UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-08104
Touchstone Funds Group Trust
(Exact name of registrant as specified in charter)
303 Broadway, Suite 1100
Cincinnati, Ohio 45202-4203
(Address of principal executive offices) (Zip code)
E. Blake Moore, Jr.
303 Broadway, Suite 1100
Cincinnati, Ohio 45202-4203
(Name and address of agent for service)
Registrant's telephone number, including area code: 800-638-8194
Date of fiscal year end: September 30
Date of reporting period: March 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Touchstone Funds Group Trust |
Touchstone Active Bond Fund |
Touchstone Anti-Benchmark® International Core Equity Fund |
Touchstone Credit Opportunities Fund |
Touchstone Dividend Equity Fund |
Touchstone High Yield Fund |
Touchstone Impact Bond Fund |
Touchstone International ESG Equity Fund |
Touchstone Mid Cap Fund |
Touchstone Mid Cap Value Fund |
Touchstone Sands Capital Select Growth Fund |
Touchstone Small Cap Fund |
Touchstone Small Cap Value Fund |
Touchstone Ultra Short Duration Fixed Income Fund |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 41.9% |
AA/Aa | 7.5 |
A/A | 13.0 |
BBB/Baa | 30.3 |
BB/Ba | 2.0 |
B/B | 2.0 |
CCC | 0.3 |
Not Rated | 0.1 |
Cash Equivalents | 2.9 |
Total | 100.0% |
Geographic Allocation(% of Net Assets) | |
Common Stocks | |
Japan | 28.0% |
United Kingdom | 10.1 |
Hong Kong | 7.7 |
Denmark | 5.6 |
Spain | 4.9 |
France | 4.8 |
Australia | 4.5 |
Israel | 4.3 |
Germany | 3.9 |
Switzerland | 3.6 |
Finland | 3.1 |
Netherlands | 2.9 |
China | 2.3 |
Norway | 1.8 |
Portugal | 1.6 |
Belgium | 1.6 |
United States | 1.6 |
Ireland | 1.4 |
Luxembourg | 1.4 |
New Zealand | 1.1 |
Singapore | 1.0 |
Jordan | 0.9 |
Sweden | 0.7 |
United Arab Emirates | 0.0 |
Short-Term Investment Funds | 3.2 |
Other Assets/Liabilities (Net) | (2.0) |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
BBB/Baa | 3.8% |
BB/Ba | 47.8 |
B/B | 28.6 |
CCC | 12.1 |
Not Rated | 3.8 |
Cash Equivalents | 3.9 |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Long Positions | |
Corporate Bonds | |
Energy | 10.8% |
Communication Services | 9.6 |
Industrials | 8.3 |
Consumer Discretionary | 7.7 |
Consumer Staples | 6.4 |
Financials | 5.4 |
Information Technology | 5.1 |
Health Care | 4.1 |
Materials | 3.8 |
Real Estate | 3.1 |
Utilities | 2.9 |
Bank Loans | 18.4 |
Asset-Backed Securities | 8.3 |
Common Stocks | |
Energy | 1.0 |
Industrials | 0.1 |
Information Technology | 0.0 |
Exchange-Traded Fund | 0.4 |
Warrants | 0.0 |
Purchased Call Options | 0.0 |
Purchased Put Options | 0.1 |
Short-Term Investment Funds | 4.5 |
Other Assets/Liabilities (Net) | 0.2 |
100.2% | |
Short Positions | |
Corporate Bonds | (0.2) |
Written Call Options | (0.0) |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Information Technology | 24.5% |
Health Care | 14.0 |
Financials | 12.1 |
Consumer Discretionary | 9.8 |
Industrials | 8.9 |
Communication Services | 7.8 |
Consumer Staples | 6.9 |
Energy | 6.5 |
Utilities | 3.8 |
Materials | 2.8 |
Real Estate | 2.6 |
Short-Term Investment Fund | 0.5 |
Other Assets/Liabilities (Net) | (0.2) |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
BBB/Baa | 4.1% |
BB/Ba | 60.5 |
B/B | 29.7 |
CCC | 3.0 |
Cash Equivalents | 2.7 |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 66.0% |
AA/Aa | 10.8 |
A/A | 11.8 |
BBB/Baa | 8.3 |
BB/Ba | 0.9 |
B/B | 0.3 |
Cash Equivalents | 1.9 |
Total | 100.0% |
Geographic Allocation(% of Net Assets) | |
Common Stocks | |
Japan | 17.0% |
France | 10.5 |
Sweden | 9.5 |
South Korea | 9.0 |
United Kingdom | 8.8 |
Germany | 8.5 |
Switzerland | 6.1 |
Singapore | 4.7 |
China | 4.3 |
Taiwan | 4.0 |
India | 3.2 |
Canada | 3.1 |
Italy | 2.8 |
Denmark | 2.7 |
Netherlands | 2.1 |
Thailand | 1.7 |
Short-Term Investment Funds | 4.6 |
Other Assets/Liabilities (Net) | (2.6) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 23.5% |
Information Technology | 15.7 |
Financials | 14.6 |
Consumer Discretionary | 12.2 |
Materials | 12.1 |
Consumer Staples | 9.1 |
Health Care | 6.4 |
Real Estate | 2.2 |
Short-Term Investment Fund | 6.2 |
Other Assets/Liabilities (Net) | (2.0) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Financials | 17.0% |
Industrials | 13.0 |
Utilities | 9.9 |
Consumer Staples | 9.5 |
Consumer Discretionary | 8.8 |
Real Estate | 8.7 |
Information Technology | 8.7 |
Materials | 8.3 |
Health Care | 7.7 |
Energy | 7.0 |
Short-Term Investment Fund | 0.0 |
Other Assets/Liabilities (Net) | 1.4 |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Information Technology | 41.2% |
Communication Services | 18.9 |
Health Care | 16.1 |
Consumer Discretionary | 14.6 |
Industrials | 6.5 |
Short-Term Investment Funds | 3.8 |
Other Assets/Liabilities (Net) | (1.1) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 27.5% |
Consumer Discretionary | 17.1 |
Financials | 12.6 |
Materials | 10.1 |
Information Technology | 9.7 |
Real Estate | 7.8 |
Consumer Staples | 6.0 |
Health Care | 4.2 |
Energy | 1.6 |
Short-Term Investment Fund | 3.7 |
Other Assets/Liabilities (Net) | (0.3) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 21.7% |
Financials | 19.5 |
Information Technology | 8.7 |
Consumer Discretionary | 8.4 |
Consumer Staples | 7.8 |
Real Estate | 7.0 |
Materials | 6.8 |
Utilities | 5.5 |
Energy | 4.9 |
Health Care | 4.5 |
Communication Services | 1.6 |
Exchange-Traded Fund | 1.3 |
Short-Term Investment Fund | 1.1 |
Other Assets/Liabilities (Net) | 1.2 |
Total | 100.0% |
Credit Quality**(% of Fixed Income Securities) | |
AAA/Aaa | 59.0% |
AA/Aa | 11.2 |
A/A | 13.0 |
BBB/Baa | 10.7 |
CCC | 0.1 |
Not Rated | 0.2 |
Cash Equivalents | 5.8 |
Total | 100.0% |
Principal Amount | Market Value | |||
Corporate Bonds — 39.9% | ||||
Financials — 11.1% | ||||
$ 1,500,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland), 2.450%, 10/29/26 | $ 1,387,097 | ||
1,447,000 | Allstate Corp. (The), 1.450%, 12/15/30 | 1,251,075 | ||
833,000 | American Financial Group, Inc., 5.250%, 4/2/30 | 898,574 | ||
1,216,000 | Ares Capital Corp., 3.250%, 7/15/25 | 1,181,020 | ||
200,000 | Banco Nacional de Panama (Panama), 144a, 2.500%, 8/11/30 | 176,626 | ||
1,158,000 | Bank of America Corp., 2.687%, 4/22/32 | 1,065,093 | ||
873,000 | Bank of America Corp., 3.705%, 4/24/28 | 879,900 | ||
1,158,000 | Bank of America Corp., MTN, 4.000%, 1/22/25 | 1,180,419 | ||
1,038,000 | Bank of Montreal (Canada), 3.803%, 12/15/32 | 1,027,476 | ||
1,410,000 | Bank of Nova Scotia (The) (Canada), Ser 2, 3.625%, 10/27/81 | 1,214,660 | ||
1,282,000 | Barclays PLC (United Kingdom), 2.894%, 11/24/32 | 1,162,990 | ||
709,000 | Berkshire Hathaway Finance Corp., 4.250%, 1/15/49 | 776,022 | ||
503,000 | BNP Paribas SA (France), 144a, 4.625%, 3/13/27 | 515,179 | ||
1,283,000 | Charles Schwab Corp. (The), 5.000%(A) | 1,278,189 | ||
1,290,000 | Citigroup, Inc., 0.981%, 5/1/25 | 1,230,677 | ||
770,000 | Citigroup, Inc., 3.200%, 10/21/26 | 764,978 | ||
494,000 | Citigroup, Inc., 4.750%, 5/18/46 | 531,038 | ||
1,187,000 | Cooperatieve Rabobank UA (Netherlands), 144a, 1.106%, 2/24/27 | 1,086,769 | ||
1,555,000 | Corestates Capital III, 144a, (3M LIBOR +0.570%), 1.076%, 2/15/27(B) | 1,492,884 | ||
1,376,000 | Goldman Sachs Group, Inc. (The), 2.615%, 4/22/32 | 1,250,773 | ||
1,865,000 | Goldman Sachs Group, Inc. (The), 3.615%, 3/15/28 | 1,864,121 | ||
608,000 | Goldman Sachs Group, Inc. (The), 3.691%, 6/5/28 | 609,628 | ||
833,000 | HSBC Holdings PLC (United Kingdom), 3.900%, 5/25/26 | 842,016 | ||
1,327,000 | Huntington Bancshares, Inc., 2.550%, 2/4/30 | 1,245,785 | ||
1,447,000 | JPMorgan Chase & Co., 2.956%, 5/13/31 | 1,354,128 | ||
1,113,000 | JPMorgan Chase & Co., 3.509%, 1/23/29 | 1,109,750 | ||
1,069,000 | Lloyds Banking Group PLC (United Kingdom), 3.574%, 11/7/28 | 1,045,915 | ||
1,410,000 | Mastercard, Inc., 2.000%, 11/18/31 | 1,285,641 | ||
1,106,000 | Morgan Stanley, 3.950%, 4/23/27 | 1,125,540 | ||
922,000 | Northwestern Mutual Life Insurance Co. (The), 144a, 3.850%, 9/30/47 | 899,362 | ||
1,497,000 | PNC Capital Trust, (3M LIBOR +0.570%), 1.093%, 6/1/28(B) | 1,399,832 | ||
1,263,000 | Prudential Financial, Inc., 5.125%, 3/1/52 | 1,276,767 | ||
1,348,000 | Toronto-Dominion Bank (The) (Canada), MTN, 1.150%, 6/12/25† | 1,273,729 | ||
2,296,000 | Truist Bank, Ser A, (3M LIBOR +0.670%), 1.180%, 5/15/27(B) | 2,189,556 | ||
37,873,209 | ||||
Consumer Discretionary — 4.6% | ||||
1,493,000 | BAT Capital Corp. (United Kingdom), 3.557%, 8/15/27 | 1,455,359 | ||
802,000 | Brunswick Corp., 4.400%, 9/15/32 | 793,009 | ||
764,000 | Ford Motor Co., 3.250%, 2/12/32 | 681,213 | ||
615,000 | Ford Motor Credit Co. LLC, 3.664%, 9/8/24 | 607,583 | ||
1,715,000 | General Motors Financial Co., Inc., 3.100%, 1/12/32 | 1,541,699 | ||
643,000 | General Motors Financial Co., Inc., 4.350%, 4/9/25 | 654,639 | ||
528,000 | General Motors Financial Co., Inc., 5.650%, 1/17/29 | 570,993 | ||
200,000 | Genm Capital Labuan Ltd. (Malaysia), 144a, 3.882%, 4/19/31 | 174,379 | ||
1,168,000 | GSK Consumer Healthcare Capital US LLC, 144a, 3.375%, 3/24/27 | 1,170,149 | ||
645,000 | Home Depot, Inc. (The), 5.950%, 4/1/41 | 833,746 | ||
1,068,000 | Hyundai Capital America, 144a, 2.650%, 2/10/25 | 1,035,853 | ||
1,274,000 | Lowe's Cos., Inc., 4.500%, 4/15/30 | 1,363,447 | ||
792,000 | Magallanes, Inc., 144a, 4.279%, 3/15/32 | 796,741 |
Principal Amount | Market Value | |||
Consumer Discretionary — (Continued) | ||||
$ 792,000 | Magallanes, Inc., 144a, 5.141%, 3/15/52 | $ 810,489 | ||
1,842,000 | Procter & Gamble Co. (The), 1.200%, 10/29/30 | 1,604,455 | ||
200,000 | Prosus NV (China), 144a, 3.257%, 1/19/27 | 182,973 | ||
366,000 | Toll Brothers Finance Corp., 3.800%, 11/1/29 | 353,918 | ||
1,053,000 | Walmart, Inc., 2.850%, 7/8/24 | 1,065,679 | ||
15,696,324 | ||||
Energy — 3.9% | ||||
1,010,000 | Boardwalk Pipelines LP, 4.800%, 5/3/29 | 1,044,642 | ||
712,000 | Canadian Natural Resources Ltd. (Canada), 6.250%, 3/15/38 | 851,442 | ||
832,000 | Cenovus Energy, Inc. (Canada), 5.250%, 6/15/37 | 901,464 | ||
753,000 | Continental Resources, Inc., 144a, 5.750%, 1/15/31 | 823,631 | ||
220,000 | Ecopetrol SA (Colombia), 5.875%, 11/2/51 | 186,727 | ||
320,000 | Ecopetrol SA (Colombia), 6.875%, 4/29/30 | 335,894 | ||
300,000 | EIG Pearl Holdings Sarl (Saudi Arabia), 144a, 3.545%, 8/31/36 | 285,775 | ||
200,000 | EIG Pearl Holdings Sarl (Saudi Arabia), 144a, 4.387%, 11/30/46 | 187,000 | ||
1,268,000 | Energy Transfer LP, 4.150%, 9/15/29 | 1,271,890 | ||
200,000 | FS Luxembourg Sarl (Brazil), 144a, 10.000%, 12/15/25 | 209,618 | ||
350,000 | Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates), 144a, 2.625%, 3/31/36 | 313,735 | ||
300,000 | KazMunayGas National Co. JSC (Kazakhstan), 144a, 4.750%, 4/19/27 | 287,268 | ||
200,000 | KazMunayGas National Co. JSC (Kazakhstan), 144a, 5.750%, 4/19/47 | 176,796 | ||
601,000 | MC Brazil Downstream Trading SARL (Brazil), 144a, 7.250%, 6/30/31 | 552,139 | ||
912,000 | Midwest Connector Capital Co. LLC, 144a, 3.900%, 4/1/24 | 915,494 | ||
1,059,000 | NGPL PipeCo LLC, 144a, 7.768%, 12/15/37 | 1,329,310 | ||
200,000 | Pertamina Persero PT (Indonesia), 144a, 6.450%, 5/30/44 | 233,979 | ||
200,000 | Petroleos del Peru SA (Peru), 144a, 4.750%, 6/19/32 | 179,100 | ||
200,000 | Petroleos del Peru SA (Peru), 144a, 5.625%, 6/19/47 | 167,640 | ||
375,000 | Petroleos Mexicanos (Mexico), 6.625%, 6/15/35 | 336,097 | ||
203,000 | Petroleos Mexicanos (Mexico), 6.700%, 2/16/32 | 192,850 | ||
250,000 | Petroleos Mexicanos (Mexico), 6.750%, 9/21/47 | 203,225 | ||
201,000 | Petroleos Mexicanos (Mexico), 7.690%, 1/23/50 | 175,624 | ||
380,000 | Petronas Capital Ltd. (Malaysia), 144a, 2.480%, 1/28/32 | 352,950 | ||
400,000 | Qatar Petroleum (Qatar), 144a, 3.125%, 7/12/41 | 363,941 | ||
250,000 | SA Global Sukuk Ltd. (Saudi Arabia), 144a, 2.694%, 6/17/31 | 236,541 | ||
200,000 | Sinopec Group Overseas Development 2018 Ltd. (China), 144a, 3.350%, 5/13/50 | 166,132 | ||
250,000 | Trinidad Petroleum Holdings Ltd. (Trinidad and Tobago), 9.750%, 6/15/26 | 254,000 | ||
668,000 | Valero Energy Corp., 4.000%, 6/1/52 | 627,443 | ||
350,000 | YPF, SA (Argentina), 144a, 6.950%, 7/21/27 | 260,753 | ||
13,423,100 | ||||
Utilities — 3.4% | ||||
199,461 | Alfa Desarrollo SpA (Chile), 144a, 4.550%, 9/27/51 | 173,032 | ||
676,000 | American Water Capital Corp., 6.593%, 10/15/37 | 877,575 | ||
1,152,000 | CMS Energy Corp., 4.750%, 6/1/50 | 1,140,480 | ||
825,000 | Duke Energy Progress LLC, 4.150%, 12/1/44 | 849,828 | ||
819,000 | Edison International, 4.125%, 3/15/28 | 813,581 | ||
1,068,000 | Electricite de France SA (France), 144a, 4.875%, 9/21/38 | 1,126,082 | ||
200,000 | Eskom Holdings SOC Ltd. (South Africa), 144a, 7.125%, 2/11/25 | 192,756 | ||
1,038,000 | FirstEnergy Transmission LLC, 144a, 5.450%, 7/15/44 | 1,132,701 | ||
203,000 | Genneia SA (Argentina), 144a, 8.750%, 9/2/27 | 191,074 |
Principal Amount | Market Value | |||
Corporate Bonds — 39.9% (Continued) | ||||
Utilities — (Continued) | ||||
$ 200,000 | NPC Ukrenergo (Ukraine), 144a, 6.875%, 11/9/26 | $ 76,000 | ||
1,281,000 | Ohio Power Co., Ser R, 2.900%, 10/1/51 | 1,060,911 | ||
1,409,000 | Pacific Gas and Electric Co., 3.500%, 8/1/50 | 1,125,178 | ||
988,000 | PacifiCorp., 5.750%, 4/1/37 | 1,163,047 | ||
200,000 | Perusahaan Listrik Negara PT (Indonesia), 144a, 4.875%, 7/17/49 | 192,836 | ||
2,024,000 | WEC Energy Group, Inc., (3M LIBOR +2.112%), 2.619%, 5/15/67(B) | 1,716,352 | ||
11,831,433 | ||||
Industrials — 3.4% | ||||
200,000 | Aeropuerto Internacional de Tocumen SA (Panama), 144a, 4.000%, 8/11/41 | 182,039 | ||
1,094,000 | Amcor Flexibles North America, Inc., 2.630%, 6/19/30 | 1,008,314 | ||
748,000 | Boeing Co. (The), 5.805%, 5/1/50 | 863,335 | ||
899,000 | Burlington Northern Santa Fe LLC, 5.750%, 5/1/40 | 1,121,265 | ||
730,000 | Carrier Global Corp., 3.577%, 4/5/50 | 667,618 | ||
1,422,000 | CNH Industrial Capital LLC, 1.450%, 7/15/26 | 1,307,427 | ||
1,034,000 | FedEx Corp., 5.100%, 1/15/44 | 1,155,698 | ||
1,123,000 | John Deere Capital Corp., MTN, 2.450%, 1/9/30 | 1,073,484 | ||
300,000 | Misc Capital Two Labuan Ltd. (Malaysia), 144a, 3.625%, 4/6/25 | 299,970 | ||
923,000 | Norfolk Southern Corp., 4.837%, 10/1/41 | 1,040,287 | ||
1,152,000 | Roper Technologies, Inc., 2.950%, 9/15/29 | 1,110,542 | ||
375,000 | Transnet SOC Ltd. (South Africa), 144a, 4.000%, 7/26/22 | 368,962 | ||
1,588,000 | Weir Group PLC (The) (United Kingdom), 144a, 2.200%, 5/13/26 | 1,484,951 | ||
11,683,892 | ||||
Communication Services — 3.2% | ||||
467,000 | Alphabet, Inc., 1.900%, 8/15/40 | 380,025 | ||
1,000,000 | AT&T, Inc., 3.850%, 6/1/60 | 894,566 | ||
700,000 | AT&T, Inc., 4.500%, 5/15/35 | 740,649 | ||
1,340,000 | British Telecommunications PLC (United Kingdom), 144a, 3.250%, 11/8/29 | 1,269,920 | ||
1,081,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.484%, 10/23/45 | 1,231,715 | ||
899,000 | Comcast Corp., 4.000%, 3/1/48 | 920,073 | ||
392,000 | Deutsche Telekom International Finance BV (Germany), 8.750%, 6/15/30 | 526,025 | ||
1,587,000 | Netflix, Inc., 144a, 4.875%, 6/15/30 | 1,686,188 | ||
512,000 | Paramount Global, 4.950%, 5/19/50 | 533,547 | ||
1,325,000 | T-Mobile USA, Inc., 3.875%, 4/15/30 | 1,330,248 | ||
1,586,000 | Verizon Communications, Inc., 2.987%, 10/30/56 | 1,304,568 | ||
10,817,524 | ||||
Health Care — 2.6% | ||||
927,000 | AbbVie, Inc., 4.450%, 5/14/46 | 992,175 | ||
1,038,000 | Alcon Finance Corp. (Switzerland), 144a, 3.800%, 9/23/49 | 966,752 | ||
848,000 | Becton Dickinson and Co., 4.685%, 12/15/44 | 911,523 | ||
966,000 | CommonSpirit Health, 4.187%, 10/1/49 | 960,724 | ||
440,000 | CommonSpirit Health, 4.200%, 8/1/23 | 446,947 | ||
883,000 | CVS Health Corp., 5.125%, 7/20/45 | 997,748 | ||
1,180,000 | DH Europe Finance II Sarl, 3.250%, 11/15/39 | 1,131,801 | ||
1,042,000 | Mylan, Inc., 4.550%, 4/15/28 | 1,055,237 | ||
156,000 | Rede D'or Finance Sarl (Brazil), 144a, 4.500%, 1/22/30 | 143,520 | ||
1,214,000 | UnitedHealth Group, Inc., 3.500%, 8/15/39 | 1,205,377 | ||
8,811,804 | ||||
Information Technology — 2.2% | ||||
729,000 | Apple, Inc., 4.650%, 2/23/46 | 862,175 | ||
1,588,000 | Broadcom, Inc., 4.150%, 11/15/30 | 1,609,626 |
Principal Amount | Market Value | |||
Information Technology — (Continued) | ||||
$ 1,351,000 | Microchip Technology, Inc., 144a, 0.983%, 9/1/24 | $ 1,280,232 | ||
535,000 | Microsoft Corp., 3.500%, 2/12/35 | 560,402 | ||
987,000 | NXP BV / NXP Funding LLC (China), 144a, 5.350%, 3/1/26 | 1,048,244 | ||
444,000 | Oracle Corp., 3.600%, 4/1/40 | 385,518 | ||
723,000 | Visa, Inc., 4.150%, 12/14/35 | 786,352 | ||
1,248,000 | VMware, Inc., 1.400%, 8/15/26 | 1,147,293 | ||
7,679,842 | ||||
Consumer Staples — 2.2% | ||||
1,401,000 | 7-Eleven, Inc., 144a, 0.950%, 2/10/26 | 1,274,889 | ||
1,358,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Belgium), 4.900%, 2/1/46 | 1,509,592 | ||
1,410,000 | JBS Finance Luxembourg Sarl, 144a, 2.500%, 1/15/27 | 1,309,552 | ||
447,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 4.375%, 2/2/52 | 388,740 | ||
717,000 | Kroger Co. (The), 5.000%, 4/15/42 | 796,226 | ||
1,065,000 | Mars, Inc., 144a, 3.875%, 4/1/39 | 1,077,666 | ||
756,000 | Starbucks Corp., 3.350%, 3/12/50 | 680,295 | ||
400,000 | Ulker Biskuvi Sanayi AS (Turkey), 144a, 6.950%, 10/30/25 | 349,312 | ||
7,386,272 | ||||
Real Estate — 2.1% | ||||
1,119,000 | Crown Castle International Corp. REIT, 3.650%, 9/1/27 | 1,112,648 | ||
954,000 | Equinix, Inc. REIT, 2.900%, 11/18/26 | 925,178 | ||
1,244,000 | Host Hotels & Resorts LP REIT, Ser F, 4.500%, 2/1/26 | 1,273,847 | ||
1,150,000 | Invitation Homes Operating Partnership LP REIT, 4.150%, 4/15/32 | 1,174,630 | ||
200,000 | Logan Group Co. Ltd. (China), 5.250%, 2/23/23 | 48,000 | ||
525,000 | Mid-America Apartments LP REIT, 3.750%, 6/15/24 | 532,948 | ||
800,000 | Sabra Health Care LP REIT, 5.125%, 8/15/26 | 819,324 | ||
406,000 | STORE Capital Corp. REIT, 4.500%, 3/15/28 | 416,900 | ||
828,000 | STORE Capital Corp. REIT, 4.625%, 3/15/29 | 859,383 | ||
7,162,858 | ||||
Materials — 1.2% | ||||
773,000 | Braskem America Finance Co. (Brazil), 144a, 7.125%, 7/22/41 | 850,308 | ||
200,000 | Braskem Idesa SAPI (Mexico), 144a, 6.990%, 2/20/32 | 196,012 | ||
421,000 | Braskem Netherlands Finance BV (Brazil), 144a, 5.875%, 1/31/50 | 417,632 | ||
200,000 | Braskem Netherlands Finance BV (Brazil), 144a, 4.500%, 1/10/28 | 197,340 | ||
200,000 | Indonesia Asahan Aluminium Persero PT (Indonesia), 6.757%, 11/15/48 | 223,776 | ||
200,000 | Indonesia Asahan Aluminium Persero PT (Indonesia), 144a, 5.450%, 5/15/30 | 208,700 | ||
200,000 | Metinvest BV (Ukraine), 144a, 7.750%, 10/17/29 | 84,000 | ||
200,000 | OCP SA (Morocco), 144a, 5.125%, 6/23/51 | 166,000 | ||
200,000 | OCP SA (Morocco), 144a, 6.875%, 4/25/44 | 202,750 | ||
300,000 | Sasol Financing USA LLC (South Africa), 5.500%, 3/18/31 | 280,080 | ||
914,000 | Sherwin-Williams Co. (The), 4.500%, 6/1/47 | 967,522 | ||
200,000 | Stillwater Mining Co. (South Africa), 144a, 4.500%, 11/16/29 | 185,720 | ||
200,000 | Suzano Austria GmbH (Brazil), 5.000%, 1/15/30 | 204,920 | ||
4,184,760 | ||||
Total Corporate Bonds | $136,551,018 | |||
U.S. Treasury Obligations — 18.7% | ||||
16,095,000 | U.S. Treasury Bond, 1.750%, 8/15/41 | 13,964,927 | ||
2,180,000 | U.S. Treasury Bond, 2.250%, 2/15/52 | 2,089,734 | ||
2,000,000 | U.S. Treasury Bond, 3.000%, 5/15/42 | 2,121,328 |
Principal Amount | Market Value | |||
U.S. Treasury Obligations — 18.7% (Continued) | ||||
$18,720,000 | U.S. Treasury Note, 0.250%, 10/31/25 | $ 17,278,706 | ||
17,045,000 | U.S. Treasury Note, 0.750%, 5/31/26 | 15,871,825 | ||
8,035,000 | U.S. Treasury Note, 0.875%, 1/31/24 | 7,835,694 | ||
5,500,000 | U.S. Treasury Note, 1.125%, 2/15/31 | 4,968,692 | ||
Total U.S. Treasury Obligations | $64,130,906 | |||
Commercial Mortgage-Backed Securities — 9.9% | ||||
2,500,000 | Austin Fairmont Hotel Trust, Ser 2019-FAIR, Class C, 144a, (1M LIBOR +1.450%), 1.847%, 9/15/32(B) | 2,443,403 | ||
500,000 | BANK, Ser 2018-BN14, Class A3, 3.966%, 9/15/60 | 514,552 | ||
970,000 | BANK, Ser 2020-BN26, Class A4, 2.403%, 3/15/63 | 906,075 | ||
1,230,000 | BANK, Ser 2022-BNK39, Class A4, 2.928%, 2/15/55 | 1,187,591 | ||
930,000 | BBCMS Mortgage Trust, Ser 2021-C11, Class A5, 2.322%, 9/15/54 | 854,083 | ||
2,745,000 | BBCMS Mortgage Trust, Ser 2021-C12, Class A5, 2.689%, 11/15/54 | 2,598,194 | ||
720,000 | BBCMS Mortgage Trust, Ser 2022-C14, Class A5, 2.946%, 2/15/55 | 699,176 | ||
1,000,000 | BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 2.347%, 2/15/29(B) | 994,518 | ||
830,000 | Citigroup Commercial Mortgage Trust, Ser 2020-GC46, Class A5, 2.717%, 2/15/53 | 790,128 | ||
1,301,714 | COMM Mortgage Trust, Ser 2014-CR14, Class A2, 3.147%, 2/10/47 | 1,287,141 | ||
1,315,000 | COMM Mortgage Trust, Ser 2015-DC1, Class A5, 3.350%, 2/10/48 | 1,313,893 | ||
1,600,000 | CSMC, Ser 2021-B33, Class A1, 144a, 3.052%, 10/10/43 | 1,527,487 | ||
580,000 | DBUBS Mortgage Trust, Ser 2017-BRBK, Class B, 144a, 3.530%, 10/10/34(B)(C) | 572,984 | ||
550,000 | Eleven Madison Trust Mortgage Trust, Ser 2015-11MD, Class C, 144a, 3.555%, 9/10/35(B)(C) | 531,705 | ||
595,000 | GS Mortgage Securities Corp. II, Ser 2017-SLP, Class B, 144a, 3.772%, 10/10/32 | 595,007 | ||
750,000 | GS Mortgage Securities Corp. Trust, Ser 2020-UPTN, Class E, 144a, 3.246%, 2/10/37 | 684,789 | ||
1,750,000 | GS Mortgage Securities Trust, Ser 2017-FARM, Class B, 144a, 3.541%, 1/10/43(B)(C) | 1,691,289 | ||
1,325,000 | GS Mortgage Securities Trust, Ser 2020-GC47, Class A5, 2.377%, 5/12/53 | 1,230,400 | ||
1,150,000 | HONO Mortgage Trust, Ser 2021-LULU, Class B, 144a, (1M LIBOR +1.450%), 1.847%, 10/15/36(B) | 1,131,720 | ||
3,000,000 | Hudson Yards Mortgage Trust, Ser 2016-10HY, Class A, 144a, 2.835%, 8/10/38 | 2,899,413 | ||
528,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2016-NINE, Class B, 144a, 2.854%, 9/6/38(B)(C) | 505,208 | ||
2,755,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2017-JP7, Class A5, 3.454%, 9/15/50 | 2,770,278 | ||
1,200,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-MINN, Class A, 144a, (1M LIBOR +1.020%), 2.270%, 11/15/35(B) | 1,196,678 | ||
575,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Class B, 4.443%, 8/15/45(B)(C) | 576,052 | ||
1,210,000 | Morgan Stanley Capital I Trust, Ser 2018-H3, Class AS, 4.177%, 7/15/51 | 1,251,798 | ||
2,380,000 | Wells Fargo Commercial Mortgage Trust, Ser 2019-C54, Class A4, 3.040%, 10/15/52 | 2,325,037 | ||
695,000 | WFRBS Commercial Mortgage Trust, Ser 2013-C12, Class B, 3.863%, 3/15/48(B)(C) | 696,154 | ||
Total Commercial Mortgage-Backed Securities | $33,774,753 | |||
U.S. Government Mortgage-Backed Obligations — 8.0% | ||||
57,138 | FHLMC, Pool #1Q0339, (12M LIBOR +1.882%), 2.145%, 4/1/37(B) | 59,031 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 8.0% (Continued) | ||||
$ 7,874 | FHLMC, Pool #A12886, 5.000%, 8/1/33 | $ 8,503 | ||
48,570 | FHLMC, Pool #A13842, 6.000%, 9/1/33 | 51,940 | ||
5,363 | FHLMC, Pool #A21415, 5.000%, 5/1/34 | 5,809 | ||
12,339 | FHLMC, Pool #A35682, 5.000%, 7/1/35 | 13,365 | ||
7,332 | FHLMC, Pool #A36523, 5.000%, 8/1/35 | 7,921 | ||
19,599 | FHLMC, Pool #A46590, 5.000%, 8/1/35 | 20,654 | ||
2,905 | FHLMC, Pool #A64971, 5.500%, 8/1/37 | 3,206 | ||
1,738,766 | FHLMC, Pool #A89148, 4.000%, 10/1/39 | 1,822,258 | ||
48,387 | FHLMC, Pool #A96485, 4.500%, 1/1/41 | 51,449 | ||
281,757 | FHLMC, Pool #A97897, 4.500%, 4/1/41 | 299,613 | ||
14,903 | FHLMC, Pool #C62740, 7.000%, 1/1/32 | 15,930 | ||
12,268 | FHLMC, Pool #C72254, 6.500%, 7/1/32 | 13,184 | ||
23,458 | FHLMC, Pool #C90986, 7.000%, 6/1/26 | 24,406 | ||
9,097 | FHLMC, Pool #G02184, 5.000%, 4/1/36 | 9,848 | ||
1,518,157 | FHLMC, Pool #G05624, 4.500%, 9/1/39 | 1,614,281 | ||
148,617 | FHLMC, Pool #G05733, 5.000%, 11/1/39 | 161,045 | ||
44,519 | FHLMC, Pool #J13584, 3.500%, 11/1/25 | 45,512 | ||
3,138,362 | FHLMC REMIC, Pool #QD2143, 2.000%, 12/1/51 | 2,918,027 | ||
835,895 | FHLMC REMIC, Pool #RA2970, 2.500%, 7/1/50 | 802,591 | ||
19,527 | FNMA, Pool #255628, 5.500%, 2/1/25 | 20,735 | ||
6,555 | FNMA, Pool #426830, 8.000%, 11/1/24 | 6,604 | ||
5,040 | FNMA, Pool #540040, 7.500%, 6/1/28 | 5,057 | ||
9,037 | FNMA, Pool #561741, 7.500%, 1/1/31 | 9,757 | ||
16,023 | FNMA, Pool #640291, 7.000%, 8/1/32 | 16,071 | ||
15,020 | FNMA, Pool #670402, 6.500%, 6/1/32 | 16,443 | ||
88,459 | FNMA, Pool #745257, 6.000%, 1/1/36 | 98,713 | ||
54,115 | FNMA, Pool #748895, 6.000%, 12/1/33 | 56,027 | ||
��� 28,867 | FNMA, Pool #758564, 6.000%, 9/1/24 | 30,763 | ||
34,461 | FNMA, Pool #810049, 5.500%, 3/1/35 | 36,639 | ||
31,732 | FNMA, Pool #819297, 6.000%, 9/1/35 | 34,727 | ||
562,314 | FNMA, Pool #881279, 5.000%, 11/1/36 | 611,090 | ||
19,890 | FNMA, Pool #889060, 6.000%, 1/1/38 | 22,747 | ||
47,180 | FNMA, Pool #889061, 6.000%, 1/1/38 | 52,715 | ||
3,651 | FNMA, Pool #895657, 6.500%, 8/1/36 | 3,888 | ||
61,248 | FNMA, Pool #905049, 5.500%, 11/1/36 | 65,131 | ||
251,871 | FNMA, Pool #928553, 5.500%, 8/1/37 | 270,896 | ||
116,511 | FNMA, Pool #931535, 5.500%, 7/1/39 | 119,906 | ||
102,343 | FNMA, Pool #AA3467, 4.500%, 4/1/39 | 109,009 | ||
171,635 | FNMA, Pool #AA4584, 4.500%, 4/1/39 | 182,820 | ||
39,907 | FNMA, Pool #AB1800, 4.000%, 11/1/40 | 41,787 | ||
73,154 | FNMA, Pool #AB2452, 4.000%, 3/1/26 | 75,349 | ||
20,940 | FNMA, Pool #AD3775, 4.500%, 3/1/25 | 21,654 | ||
25,041 | FNMA, Pool #AD6193, 5.000%, 6/1/40 | 26,606 | ||
53,829 | FNMA, Pool #AE1568, 4.000%, 9/1/40 | 56,348 | ||
327,098 | FNMA, Pool #AE2497, 4.500%, 9/1/40 | 348,445 | ||
33,199 | FNMA, Pool #AE5441, 5.000%, 10/1/40 | 35,825 | ||
107,662 | FNMA, Pool #AH1135, 5.000%, 1/1/41 | 115,849 | ||
42,448 | FNMA, Pool #AH3671, 4.000%, 2/1/26 | ��� 43,776 | ||
308,296 | FNMA, Pool #AH6622, 4.000%, 3/1/41 | 322,854 | ||
287,879 | FNMA, Pool #AL0150, 4.000%, 2/1/41 | 301,386 | ||
50,087 | FNMA, Pool #AL0211, 5.000%, 4/1/41 | 53,934 | ||
1,585,173 | FNMA, Pool #AL5718, 3.500%, 9/1/44 | 1,617,992 | ||
338,170 | FNMA, Pool #AS0779, 4.000%, 10/1/43 | 353,386 | ||
24,050 | FNMA, Pool #AS7813, 4.000%, 8/1/46 | 25,130 | ||
2,294,116 | FNMA, Pool #BT7156, 2.000%, 8/1/51 | 2,133,163 | ||
1,659,065 | FNMA, Pool #FM4660, 2.000%, 10/1/35 | 1,617,070 | ||
1,626,718 | FNMA, Pool #FM4702, 2.500%, 10/1/50 | 1,557,844 | ||
597,789 | FNMA, Pool #FM4996, 2.000%, 12/1/50 | 557,299 | ||
2,323,002 | FNMA, Pool #FM5085, 2.000%, 12/1/50 | 2,164,376 | ||
1,118,330 | FNMA, Pool #FM8360, 2.500%, 8/1/51 | 1,071,882 | ||
1,133,480 | FNMA, Pool #FM8361, 2.500%, 8/1/51 | 1,084,335 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 8.0% (Continued) | ||||
$ 1,182,226 | FNMA, Pool #FM9905, 2.500%, 12/1/51 | $ 1,130,968 | ||
1,193,241 | FNMA, Pool #FM9907, 2.500%, 12/1/51 | 1,141,506 | ||
989,647 | FNMA, Pool #MA4128, 2.000%, 9/1/40 | 929,512 | ||
738,471 | GNMA, Pool #4424, 5.000%, 4/20/39 | 810,363 | ||
Total U.S. Government Mortgage-Backed Obligations | $27,356,950 | |||
Asset-Backed Securities — 7.8% | ||||
1,100,000 | AB BSL CLO 2 Ltd. (Cayman Islands), Ser 2021-2A, Class B1, 144a, (3M LIBOR +1.650%), 1.891%, 4/15/34(B) | 1,077,458 | ||
2,039,548 | Adams Outdoor Advertising LP, Ser 2018-1, Class A, 144a, 4.810%, 11/15/48 | 2,064,795 | ||
1,400,000 | Aimco CLO 11 Ltd. (Cayman Islands), Ser 2020-11A, Class AR, 144a, (3M LIBOR +1.130%), 1.371%, 10/17/34(B) | 1,384,877 | ||
1,375,000 | Benefit Street Partners CLO XIX Ltd. (Cayman Islands), Ser 2019-19A, Class B, 144a, (3M LIBOR +2.000%), 2.241%, 1/15/33(B) | 1,374,993 | ||
825,000 | BSPRT Issuer Ltd. (Cayman Islands), Ser 2018-FL4, Class D, 144a, (1M LIBOR +2.750%), 3.147%, 9/15/35(B) | 815,222 | ||
966,529 | CF Hippolyta LLC, Ser 2020-1, Class A1, 144a, 1.690%, 7/15/60 | 914,143 | ||
1,802 | CIT Home Equity Loan Trust, Ser 2002-1, Class AF5, 6.910%, 2/25/33(B)(C) | 1,744 | ||
2,857,500 | Coinstar Funding LLC, Ser 2017-1A, Class A2, 144a, 5.216%, 4/25/47 | 2,843,417 | ||
1,271,813 | Driven Brands Funding LLC, Ser 2021-1A, Class A2, 144a, 2.791%, 10/20/51 | 1,143,518 | ||
109,588 | FHLMC Structured Pass Through Securities, Ser T-20, Class A5, 8.370%, 12/25/29(B)(C) | 122,752 | ||
8,267 | FNMA REMIC Trust, Ser 2001-W2, Class AF6, 6.089%, 10/25/31(B)(C) | 8,621 | ||
750,606 | Hilton Grand Vacations Trust, Ser 2020-AA, Class A, 144a, 2.740%, 2/25/39 | 732,740 | ||
1,150,000 | Jack in the Box Funding LLC, Ser 2022-1A, Class A2I, 144a, 3.445%, 2/26/52 | 1,086,623 | ||
967,575 | Jersey Mike's Funding, Ser 2019-1A, Class A2, 144a, 4.433%, 2/15/50 | 956,278 | ||
1,100,000 | Jimmy Johns Funding LLC, Ser 2022-1A, Class A2I, 144a, 4.077%, 4/30/52 | 1,075,250 | ||
1,425,000 | Madison Park Funding XLIX Ltd. (Cayman Islands), Ser 2021-49A, Class B1, 144a, (3M LIBOR +1.700%), 1.819%, 10/19/34(B) | 1,411,750 | ||
660,338 | Mid-State Capital Corp. Trust, Ser 2005-1, Class M2, 7.079%, 1/15/40 | 680,277 | ||
947,979 | Mill City Mortgage Loan Trust, Ser 2018-3, Class M3, 144a, 3.250%, 8/25/58(B)(C) | 903,456 | ||
1,191,000 | Neighborly Issuer LLC, Ser 2021-1A, Class A2, 144a, 3.584%, 4/30/51 | 1,117,729 | ||
1,400,000 | New Mountain CLO 1 Ltd. (Cayman Islands), Ser CLO-1A, Class AR, 144a, (3M LIBOR +1.200%), 1.441%, 10/15/34(B) | 1,387,352 | ||
70,085 | Orange Lake Timeshare Trust, Ser 2016-A, Class A, 144a, 2.610%, 3/8/29 | 70,058 | ||
1,125,000 | Planet Fitness Master Issuer LLC, Ser 2022-1A, Class A2I, 144a, 3.251%, 12/5/51 | 1,070,643 | ||
1,095,250 | TAL Advantage VII LLC, Ser 2020-1A, Class A, 144a, 2.050%, 9/20/45 | 1,027,246 | ||
600,000 | Voya CLO Ltd. (Cayman Islands), Ser 2017-4A, Class A1, 144a, (3M LIBOR +1.130%), 1.371%, 10/15/30(B) | 598,170 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 7.8% (Continued) | ||||
$ 1,588,000 | Wendy's Funding LLC, Ser 2021-1A, Class A2II, 144a, 2.775%, 6/15/51 | $ 1,405,875 | ||
1,375,000 | Whitebox CLO II Ltd. (Cayman Islands), 144a, (3M LIBOR +1.220%), 1.479%, 10/24/34(B) | 1,360,323 | ||
Total Asset-Backed Securities | $26,635,310 | |||
Non-Agency Collateralized Mortgage Obligations — 5.5% | ||||
1,671 | Adjustable Rate Mortgage Trust, Ser 2004-4, Class 3A1, 2.586%, 3/25/35(B)(C) | 1,694 | ||
1,278,364 | Agate Bay Mortgage Trust, Ser 2015-7, Class B1, 144a, 3.665%, 10/25/45(B)(C) | 1,273,367 | ||
1,992,256 | Agate Bay Mortgage Trust, Ser 2015-7, Class B2, 144a, 3.665%, 10/25/45(B)(C) | 1,981,009 | ||
512,569 | CSMC Trust, Ser 2013-7, Class B3, 144a, 3.547%, 8/25/43(B)(C) | 505,301 | ||
641,008 | CSMC Trust, Ser 2014-OAK1, Class B4, 144a, 3.649%, 11/25/44(B)(C) | 636,410 | ||
1,037,186 | CSMC Trust, Ser 2015-1, Class B3, 144a, 3.935%, 1/25/45(B)(C) | 1,036,633 | ||
1,062,339 | CSMC Trust, Ser 2015-2, Class B4, 144a, 3.906%, 2/25/45(B)(C) | 1,053,049 | ||
1,013,776 | CSMC Trust, Ser 2015-WIN1, Class B3, 144a, 3.811%, 12/25/44(B)(C) | 1,010,559 | ||
1,238,256 | EverBank Mortgage Loan Trust, Ser 2018-1, Class B2, 144a, 3.582%, 2/25/48 | 1,203,923 | ||
57,968 | Galton Funding Mortgage Trust, Ser 2019-1, Class A22, 144a, 4.000%, 2/25/59(B)(C) | 58,047 | ||
356,220 | GS Mortgage-Backed Securities Corp. Trust, Ser 2020-PJ3, Class A14, 144a, 3.000%, 10/25/50(B)(C) | 346,663 | ||
962,302 | GS Mortgage-Backed Securities Trust, Ser 2021-PJ6, Class A2, 144a, 2.500%, 11/25/51(B)(C) | 892,825 | ||
20,922 | JP Morgan Mortgage Trust, Ser 2005-A1, Class 2A1, 2.098%, 2/25/35(B)(C) | 21,622 | ||
10,212 | JP Morgan Mortgage Trust, Ser 2005-A2, Class 7CB1, 2.585%, 4/25/35(B)(C) | 10,278 | ||
18,774 | JP Morgan Mortgage Trust, Ser 2006-A4, Class 2A2, 2.256%, 6/25/36(B)(C) | 14,969 | ||
778,620 | JP Morgan Mortgage Trust, Ser 2015-IVR2, Class B3, 144a, 2.241%, 1/25/45(B)(C) | 780,449 | ||
1,663,857 | JP Morgan Mortgage Trust, Ser 2017-1, Class B2, 144a, 3.460%, 1/25/47(B)(C) | 1,624,301 | ||
353,837 | JP Morgan Mortgage Trust, Ser 2019-INV1, Class A15, 144a, 4.000%, 10/25/49(B)(C) | 354,362 | ||
1,457,865 | JP Morgan Mortgage Trust, Ser 2021-10, Class A4, 144a, 2.500%, 12/25/51(B)(C) | 1,399,490 | ||
18,354 | MASTR Alternative Loan Trust, Ser 2004-7, Class 10A1, 6.000%, 6/25/34 | 18,937 | ||
139,874 | Residential Asset Securitization Trust, Ser 2006-A1, Class 1A3, 6.000%, 4/25/36 | 85,834 | ||
150,182 | Sequoia Mortgage Trust, Ser 2013-10, Class B2, 144a, 3.536%, 8/25/43(B)(C) | 150,030 | ||
158,061 | Sequoia Mortgage Trust, Ser 2013-5, Class B1, 144a, 3.502%, 5/25/43(B)(C) | 158,066 | ||
738,247 | Sequoia Mortgage Trust, Ser 2017-2, Class A1, 144a, 3.500%, 2/25/47(B)(C) | 721,208 | ||
193,390 | Sequoia Mortgage Trust, Ser 2018-CH4, Class A13, 144a, 4.500%, 10/25/48(B)(C) | 194,166 | ||
1,575,497 | Sequoia Mortgage Trust, Ser 2021-9, Class A1, 144a, 2.500%, 1/25/52(B)(C) | 1,452,003 | ||
1,000,000 | Towd Point Mortgage Trust, Ser 2017-1, Class B1, 144a, 3.752%, 10/25/56 | 980,476 |
Principal Amount | Market Value | |||
Non-Agency Collateralized Mortgage Obligations — 5.5% (Continued) | ||||
$ 800,000 | Towd Point Mortgage Trust, Ser 2019-4, Class A2, 144a, 3.250%, 10/25/59 | $ 770,150 | ||
46,317 | Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-9, Class 2A4, 5.500%, 11/25/35 | 45,732 | ||
Total Non-Agency Collateralized Mortgage Obligations | $18,781,553 | |||
Sovereign Government Obligations — 4.3% | ||||
200,000 | Airport Authority, 144a, 3.250%, 1/12/52 | 178,403 | ||
200,000 | Angolan Government International Bond, 144a, 9.125%, 11/26/49 | 194,292 | ||
275,000 | Angolan Government International Bond, 144a, 8.250%, 5/9/28 | 279,812 | ||
12,043 | Argentine Republic Government International Bond, 1.000%, 7/9/29 | 4,084 | ||
242,500 | Argentine Republic Government International Bond, 1.125%, 7/9/35(B)(C) | 73,638 | ||
382,000 | Bahamas Government International Bond, 144a, 6.000%, 11/21/28 | 295,576 | ||
100,000 | Bahamas Government International Bond, 144a, 8.950%, 10/15/32 | 79,951 | ||
200,000 | Bahrain Government International Bond, 144a, 4.250%, 1/25/28 | 193,320 | ||
50,000 | Banque Centrale de Tunisie International Bond, 8.250%, 9/19/27 | 36,887 | ||
368,000 | Chile Government International Bond, 3.100%, 5/7/41 | 324,896 | ||
933,000 | Chile Government International Bond, 3.100%, 1/22/61 | 769,669 | ||
200,000 | Chile Government International Bond, 3.500%, 1/31/34 | 197,282 | ||
375,000 | Colombia Government International Bond, 3.250%, 4/22/32 | 313,275 | ||
604,000 | Colombia Government International Bond, 5.000%, 6/15/45 | 509,281 | ||
200,000 | Colombia Government International Bond, 5.200%, 5/15/49 | 170,790 | ||
250,000 | Colombia Government International Bond, 6.125%, 1/18/41 | 242,922 | ||
200,000 | Costa Rica Government International Bond, 144a, 5.625%, 4/30/43 | 174,002 | ||
200,000 | Dominican Republic International Bond, 144a, 5.500%, 2/22/29 | 198,202 | ||
200,000 | Dominican Republic International Bond, 144a, 4.875%, 9/23/32 | 181,002 | ||
150,000 | Dominican Republic International Bond, 144a, 5.950%, 1/25/27 | 154,126 | ||
100,000 | Dominican Republic International Bond, 144a, 6.850%, 1/27/45 | 98,751 | ||
102,150 | Ecuador Government International Bond, 144a, 0.500%, 7/31/40(B)(C) | 58,227 | ||
372,885 | Ecuador Government International Bond, 144a, 1.000%, 7/31/35(B)(C) | 243,871 | ||
631,050 | Ecuador Government International Bond, 144a, 5.000%, 7/31/30(B)(C) | 526,933 | ||
350,000 | Egypt Government International Bond, 144a, 5.750%, 5/29/24 | 347,095 | ||
200,000 | Egypt Government International Bond, 144a, 5.800%, 9/30/27 | 182,948 | ||
585,000 | Egypt Government International Bond, 144a, 5.875%, 2/16/31 | 490,044 |
Principal Amount | Market Value | |||
Sovereign Government Obligations — 4.3% (Continued) | ||||
$ 200,000 | Egypt Government International Bond, 144a, 7.500%, 1/31/27 | $ 196,709 | ||
200,000 | Egypt Government International Bond, 144a, 7.500%, 2/16/61 | 158,500 | ||
200,000 | Egypt Government International Bond, 144a, 8.150%, 11/20/59 | 164,700 | ||
25,000 | El Salvador Government International Bond, 144a, 5.875%, 1/30/25 | 13,843 | ||
100,000 | El Salvador Government International Bond, 144a, 6.375%, 1/18/27 | 49,001 | ||
100,000 | El Salvador Government International Bond, 144a, 7.650%, 6/15/35 | 46,810 | ||
75,000 | El Salvador Government International Bond, 144a, 8.625%, 2/28/29 | 36,001 | ||
585,000 | Ghana Government International Bond, 144a, 7.625%, 5/16/29 | 423,540 | ||
200,000 | Ghana Government International Bond, 144a, 8.950%, 3/26/51 | 139,100 | ||
200,000 | Government of Sharjah Finance Department, 144a, 4.000%, 7/28/50 | 161,725 | ||
200,000 | Guatemala Government Bond, 144a, 6.125%, 6/1/50 | 209,202 | ||
300,000 | Hungary Government International Bond, 144a, 3.125%, 9/21/51 | 251,148 | ||
200,000 | Ivory Coast Government International Bond, 144a, 6.375%, 3/3/28 | 204,000 | ||
150,000 | Jamaica Government International Bond, 8.000%, 3/15/39 | 193,501 | ||
200,000 | Kenya Government International Bond, 144a, 7.250%, 2/28/28 | 192,500 | ||
200,000 | Lebanese Republic Government International Bond, MTN, 6.650%, 2/26/30 | 23,250 | ||
1,173,000 | Mexico Government International Bond, 3.771%, 5/24/61 | 951,432 | ||
200,000 | Mexico Government International Bond, 4.750%, 4/27/32 | 211,794 | ||
100,000 | Mexico Government International Bond, 5.000%, 4/27/51 | 101,308 | ||
200,000 | Mongolia Government International Bond, 144a, 5.625%, 5/1/23 | 200,999 | ||
200,000 | Nigeria Government International Bond, 5.625%, 6/27/22 | 199,660 | ||
370,000 | Nigeria Government International Bond, 144a, 7.625%, 11/28/47 | 307,433 | ||
200,000 | Nigeria Government International Bond, 144a, 6.125%, 9/28/28 | 183,600 | ||
200,000 | Nigeria Government International Bond, 144a, 7.875%, 2/16/32 | 189,060 | ||
200,000 | Oman Government International Bond, 144a, 6.000%, 8/1/29 | 208,458 | ||
200,000 | Oman Government International Bond, 144a, 6.500%, 3/8/47 | 195,762 | ||
200,000 | Oman Government International Bond, 144a, 5.375%, 3/8/27 | 205,256 | ||
300,000 | Pakistan Government International Bond, 144a, 7.875%, 3/31/36 | 206,625 | ||
948,000 | Panama Government International Bond, 4.300%, 4/29/53 | 911,161 | ||
216,000 | Paraguay Government International Bond, 144a, 2.739%, 1/29/33 | 191,160 | ||
100,000 | Paraguay Government International Bond, 144a, 5.600%, 3/13/48 | 102,351 | ||
100,000 | Province of Santa Fe (Argentina), 144a, 7.000%, 3/23/23 | 92,875 |
Principal Amount | Market Value | |||
Sovereign Government Obligations — 4.3% (Continued) | ||||
$ 200,000 | Republic of Belarus International Bond, 144a, 6.875%, 2/28/23 | $ 30,000 | ||
200,000 | Republic of South Africa Government International Bond, 5.750%, 9/30/49 | 174,500 | ||
360,000 | Republic of Uzbekistan International Bond, 144a, 3.700%, 11/25/30 | 310,500 | ||
200,000 | Sri Lanka Government International Bond, 144a, 6.125%, 6/3/25 | 99,000 | ||
350,000 | Turkey Government International Bond, 4.875%, 4/16/43 | 247,940 | ||
200,000 | Turkey Government International Bond, 5.750%, 5/11/47 | 148,680 | ||
200,000 | Ukraine Government International Bond, 7.750%, 9/1/26 | 85,260 | ||
400,000 | Ukraine Government International Bond, 144a, 7.375%, 9/25/32 | 165,596 | ||
Total Sovereign Government Obligations | $14,703,219 | |||
Agency Collateralized Mortgage Obligations — 1.7% | ||||
2,626,147 | FHLMC REMIC, Ser 3331, Class PE, 6.000%, 6/15/37 | 2,891,696 | ||
678,657 | FHLMC REMIC, Ser 3859, Class JB, 5.000%, 5/15/41 | 714,975 | ||
142,755 | FNMA REMIC, Ser 2003-32, Class BZ, 6.000%, 11/25/32 | 155,378 | ||
1,506 | FNMA REMIC, Ser 2012-47, Class AI, 3.000%, 5/25/22(D) | 0 | ||
14,080 | FNMA REMIC, Ser 2015-51, Class KC, 3.000%, 6/25/45 | 13,550 | ||
439,179 | FNMA REMIC, Ser 2017-90, Class KA, 3.000%, 11/25/47 | 433,856 | ||
51,327 | FNMA Trust, Ser 2004-W15, Class 2AF, (1M LIBOR +0.250%), 0.707%, 8/25/44(B) | 51,073 | ||
995,519 | GNMA, Ser 2010-169, Class AW, 4.500%, 12/20/40 | 1,029,714 | ||
4,329,529 | GNMA, Ser 2012-147, Class IO, 0.559%, 4/16/54(B)(C)(D) | 66,028 | ||
2,008,234 | GNMA, Ser 2016-113, Class IO, 1.084%, 2/16/58(B)(C)(D) | 112,223 | ||
8,703,728 | GNMA, Ser 2016-140, Class IO, 0.758%, 5/16/58(B)(C)(D) | 363,024 | ||
Total Agency Collateralized Mortgage Obligations | $5,831,517 |
Shares | ||||
Preferred Stocks — 0.8% | ||||
Financials — 0.6% | ||||
6,415 | Bank of America Corp., Ser NN, 4.375%(A) | 138,885 | ||
22,305 | Bank of America Corp., Ser QQ, 4.250%(A) | 481,565 | ||
25,660 | JPMorgan Chase & Co., Ser JJ, 4.550%(A) | 560,927 | ||
23,122 | JPMorgan Chase & Co., Ser MM, 4.200%(A) | 487,412 | ||
8,077 | US Bancorp, Ser L, 3.750%(A) | 159,197 | ||
8,457 | US Bancorp, Ser M, 4.000%(A) | 174,891 | ||
12,830 | Wells Fargo & Co., Ser DD, 4.250%(A) | 265,453 | ||
2,268,330 | ||||
Real Estate — 0.2% | ||||
27,975 | Public Storage REIT, Ser P, 4.000%(A) | 573,208 | ||
Total Preferred Stocks | $2,841,538 |
Shares | MarketValue | |||
Short-Term Investment Funds — 3.6% | ||||
10,866,528 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | $ 10,866,528 | ||
1,257,750 | Invesco Government & Agency Portfolio, Institutional Class, 0.25%∞Ω** | 1,257,750 | ||
Total Short-Term Investment Funds | $12,124,278 | |||
Total Investment Securities—100.2% (Cost $359,288,853) | $342,731,042 | |||
Liabilities in Excess of Other Assets — (0.2%) | (626,751) | |||
Net Assets — 100.0% | $342,104,291 |
(A) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(B) | Variable rate security - Rate reflected is the rate in effect as of March 31, 2022. |
(C) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(D) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2022 was $1,228,374. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
GNMA – Government National Mortgage Association |
IO – Interest Only |
JSC – Joint Stock Company |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
SOC – State-Owned Company |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities were valued at $102,097,699 or 29.8% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $136,551,018 | $— | $136,551,018 |
U.S. Treasury Obligations | — | 64,130,906 | — | 64,130,906 |
Commercial Mortgage-Backed Securities | — | 33,774,753 | — | 33,774,753 |
U.S. Government Mortgage-Backed Obligations | — | 27,356,950 | — | 27,356,950 |
Asset-Backed Securities | — | 26,635,310 | — | 26,635,310 |
Non-Agency Collateralized Mortgage Obligations | — | 18,781,553 | — | 18,781,553 |
Sovereign Government Obligations | — | 14,703,219 | — | 14,703,219 |
Agency Collateralized Mortgage Obligations | — | 5,831,517 | — | 5,831,517 |
Preferred Stocks | 2,841,538 | — | — | 2,841,538 |
Short-Term Investment Funds | 12,124,278 | — | — | 12,124,278 |
Other Financial Instruments* | ||||
Futures | ||||
Interest rate contracts | 94,487 | — | — | 94,487 |
Total Assets | $15,060,303 | $327,765,226 | $— | $342,825,529 |
Liabilities: | ||||
Other Financial Instruments* | ||||
Futures | ||||
Interest rate contracts | $(239,646) | $— | $— | $(239,646) |
Total Liabilities | $(239,646) | $— | $— | $(239,646) |
Total | $14,820,657 | $327,765,226 | $— | $342,585,883 |
* | Other Financial Instruments are derivative instruments not reflected in total investments. Amounts shown represent unrealized appreciation (depreciation) on futures contracts and is included in Receivable for variation margin on futures contracts on the Statement of Assets and Liabilities. |
Description | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) |
Short Futures: | ||||
10-Year Ultra Long U.S. Treasury Bond | 6/21/2022 | 140 | $19,060,113 | $94,487 |
Long Futures: | ||||
5-Year U.S. Treasury Note | 6/30/2022 | 344 | 39,692,146 | (239,646) |
$(145,159) |
Shares | Market Value | |||
Common Stocks — 98.8% | ||||
Japan — 28.0% | ||||
Communication Services — 3.1% | ||||
8,000 | CyberAgent, Inc. | $ 98,997 | ||
5,700 | Nexon Co. Ltd. | 136,365 | ||
2,200 | Square Enix Holdings Co. Ltd. | 97,457 | ||
14,600 | Z Holdings Corp. | 63,117 | ||
Consumer Discretionary — 4.8% | ||||
9,800 | Pan Pacific International Holdings Corp. | 156,805 | ||
2,000 | Shimamura Co. Ltd. | 177,758 | ||
700 | Shimano, Inc. | 160,306 | ||
5,300 | Skylark Holdings Co. Ltd. | 68,482 | ||
1,700 | ZOZO, Inc. | 45,399 | ||
Consumer Staples — 8.1% | ||||
2,200 | Kobayashi Pharmaceutical Co. Ltd. | 176,271 | ||
14,700 | Lion Corp. | 163,834 | ||
1,700 | MatsukiyoCocokara & Co. | 60,133 | ||
1,200 | MEIJI Holdings Co. Ltd. | 65,078 | ||
500 | Nissin Foods Holdings Co. Ltd. | 35,058 | ||
7,300 | Pigeon Corp. | 128,381 | ||
4,000 | Sundrug Co. Ltd. | 97,422 | ||
5,100 | Welcia Holdings Co. Ltd. | 125,486 | ||
14,000 | Yamazaki Baking Co. Ltd. | 172,384 | ||
Energy — 0.6% | ||||
1,700 | Iwatani Corp. | 71,645 | ||
Financials — 1.1% | ||||
7,700 | Shinsei Bank Ltd.*† | 140,442 | ||
Health Care — 1.3% | ||||
700 | Chugai Pharmaceutical Co. Ltd. | 23,358 | ||
3,000 | Eisai Co. Ltd. | 138,986 | ||
Industrials — 4.3% | ||||
5,900 | ANA Holdings, Inc.* | 123,329 | ||
1,600 | Kyushu Railway Co. | 32,682 | ||
4,100 | MonotaRO Co. Ltd. | 87,995 | ||
5,400 | SG Holdings Co. Ltd. | 101,686 | ||
3,900 | West Japan Railway Co. | 161,600 | ||
1,600 | Yamato Holdings Co. Ltd. | 29,888 | ||
Information Technology — 0.3% | ||||
4,200 | Ricoh Co. Ltd.† | 36,371 | ||
Real Estate — 3.0% | ||||
86 | GLP J-Reit | 130,677 | ||
60 | Nippon Prologis REIT, Inc. | 175,702 | ||
2,400 | Tokyo Tatemono Co. Ltd. | 35,965 | ||
7,300 | Tokyu Fudosan Holdings Corp. | 40,065 | ||
Utilities — 1.4% | ||||
6,600 | Toho Gas Co. Ltd. | 146,904 | ||
7,900 | Tokyo Electric Power Co. Holdings, Inc.* | 26,078 | ||
Total Japan | 3,532,106 | |||
United Kingdom — 10.1% | ||||
Communication Services — 1.5% | ||||
23,803 | BT Group PLC | 56,754 | ||
13,106 | Pearson PLC | 128,504 | ||
Consumer Discretionary — 0.3% | ||||
450 | Games Workshop Group PLC | 42,947 | ||
Consumer Staples — 2.8% | ||||
50,706 | J Sainsbury PLC | 167,826 | ||
7,907 | Ocado Group PLC* | 120,737 |
Shares | Market Value | |||
United Kingdom — (Continued) | ||||
Consumer Staples — (Continued) | ||||
647 | Reckitt Benckiser Group PLC | $ 49,357 | ||
375 | Unilever PLC | 17,026 | ||
Financials — 1.4% | ||||
11,268 | Hiscox Ltd. | 145,595 | ||
10,035 | Man Group PLC | 30,623 | ||
Health Care — 1.6% | ||||
72,068 | ConvaTec Group PLC, 144a | 204,113 | ||
Industrials — 1.3% | ||||
39,345 | International Consolidated Airlines Group SA* | 72,979 | ||
21,943 | Royal Mail PLC | 94,281 | ||
Information Technology — 1.2% | ||||
1,126 | Endava PLC ADR* | 149,792 | ||
Total United Kingdom | 1,280,534 | |||
Hong Kong — 7.7% | ||||
Consumer Discretionary — 0.5% | ||||
8,182 | Melco Resorts & Entertainment Ltd. ADR* | 62,511 | ||
Consumer Staples — 0.2% | ||||
43,500 | WH Group Ltd., 144a | 27,316 | ||
Financials — 1.8% | ||||
5,700 | Hang Seng Bank Ltd. | 109,627 | ||
2,600 | Hong Kong Exchanges & Clearing Ltd. | 121,870 | ||
Industrials — 2.1% | ||||
2,700 | Jardine Matheson Holdings Ltd. | 148,500 | ||
66,000 | Pacific Basin Shipping Ltd. | 35,338 | ||
2,000 | Techtronic Industries Co. Ltd. | 32,043 | ||
23,000 | Xinyi Glass Holdings, Ltd. | 55,146 | ||
Information Technology — 1.0% | ||||
12,100 | ASM Pacific Technology Ltd. | 121,816 | ||
Real Estate — 1.8% | ||||
9,000 | Henderson Land Development Co. Ltd. | 37,359 | ||
21,600 | Link REIT | 183,951 | ||
Utilities — 0.3% | ||||
27,000 | Hong Kong & China Gas Co. Ltd. | 32,614 | ||
Total Hong Kong | 968,091 | |||
Denmark — 5.6% | ||||
Health Care — 2.5% | ||||
6,049 | Ambu A/S - Class B | 89,048 | ||
221 | Ascendis Pharma A/S ADR* | 25,937 | ||
1,209 | Coloplast A/S - Class B | 183,089 | ||
393 | GN Store Nord AS | 19,263 | ||
Industrials — 0.3% | ||||
1,315 | ISS A/S* | 23,370 | ||
553 | Vestas Wind Systems A/S | 16,222 | ||
Materials — 2.4% | ||||
2,585 | Chr Hansen Holding A/S | 189,809 | ||
1,545 | Novozymes A/S - Class B | 105,932 | ||
Utilities — 0.4% | ||||
410 | Orsted AS, 144a | 51,320 | ||
Total Denmark | 703,990 | |||
Spain — 4.9% | ||||
Communication Services — 0.8% | ||||
800 | Cellnex Telecom SA, 144a | 38,500 | ||
12,265 | Telefonica SA | 59,439 |
Shares | Market Value | |||
Common Stocks — 98.8% (Continued) | ||||
Spain — (Continued) | ||||
Financials — 3.0% | ||||
107,391 | Banco de Sabadell SA | $ 87,755 | ||
25,217 | Bankinter SA† | 147,751 | ||
43,140 | CaixaBank SA | 146,846 | ||
Health Care — 1.1% | ||||
7,370 | Grifols SA | 133,770 | ||
Total Spain | 614,061 | |||
France — 4.8% | ||||
Communication Services — 0.1% | ||||
375 | Ubisoft Entertainment SA* | 16,479 | ||
Consumer Staples — 1.5% | ||||
8,959 | Carrefour SA | 194,699 | ||
Health Care — 1.3% | ||||
1,520 | BioMerieux | 162,231 | ||
Real Estate — 1.9% | ||||
1,605 | Covivio REIT | 127,732 | ||
4,173 | Klepierre SA REIT | 111,103 | ||
Total France | 612,244 | |||
Australia — 4.5% | ||||
Communication Services — 0.2% | ||||
8,075 | Telstra Corp. Ltd. | 23,858 | ||
Consumer Discretionary — 1.7% | ||||
1,967 | Domino's Pizza Enterprises Ltd. | 128,040 | ||
3,733 | IDP Education Ltd. | 87,367 | ||
Consumer Staples — 1.3% | ||||
18,416 | Treasury Wine Estates Ltd. | 159,078 | ||
Health Care — 0.3% | ||||
1,830 | Ansell Ltd. | 35,091 | ||
Information Technology — 0.3% | ||||
1,138 | WiseTech Global Ltd. | 42,833 | ||
Materials — 0.7% | ||||
8,969 | Evolution Mining Ltd. | 29,602 | ||
1,755 | Fortescue Metals Group Ltd. | 26,978 | ||
1,617 | Newcrest Mining Ltd. | 32,675 | ||
Total Australia | 565,522 | |||
Israel — 4.3% | ||||
Financials — 2.5% | ||||
15,290 | Bank Hapoalim BM | 151,381 | ||
14,901 | Bank Leumi Le-Israel BM | 160,524 | ||
Health Care — 1.2% | ||||
16,664 | Teva Pharmaceutical Industries Ltd.* | 155,546 | ||
Information Technology — 0.6% | ||||
365 | Nice Ltd.* | 79,835 | ||
Total Israel | 547,286 | |||
Germany — 3.9% | ||||
Consumer Discretionary — 0.6% | ||||
23,154 | TUI AG* | 73,198 | ||
Consumer Staples — 0.7% | ||||
2,001 | HelloFresh SE* | 89,812 | ||
Financials — 0.5% | ||||
8,151 | Commerzbank AG* | 61,939 | ||
Health Care — 0.4% | ||||
861 | Fresenius Medical Care AG & Co. KGaA | 57,696 |
Shares | Market Value | |||
Germany — (Continued) | ||||
Industrials — 1.7% | ||||
4,826 | Deutsche Lufthansa AG* | $ 38,919 | ||
1,936 | Knorr-Bremse AG | 148,408 | ||
113 | Rheinmetall AG | 23,885 | ||
Total Germany | 493,857 | |||
Switzerland — 3.6% | ||||
Communication Services — 0.8% | ||||
170 | Swisscom AG | 102,137 | ||
Consumer Staples — 1.2% | ||||
13 | Chocoladefabriken Lindt & Spruengli AG | 154,725 | ||
Financials — 0.2% | ||||
36 | Zurich Insurance Group AG | 17,780 | ||
Health Care — 0.7% | ||||
68 | Bachem Holding AG | 37,423 | ||
135 | Roche Holding AG | 53,415 | ||
Industrials — 0.2% | ||||
48 | Geberit AG | 29,590 | ||
Real Estate — 0.5% | ||||
445 | PSP Swiss Property AG | 58,443 | ||
Total Switzerland | 453,513 | |||
Finland — 3.1% | ||||
Communication Services — 1.5% | ||||
3,201 | Elisa Oyj | 193,042 | ||
Consumer Discretionary — 0.2% | ||||
1,793 | Nokian Renkaat Oyj | 29,100 | ||
Health Care — 1.4% | ||||
3,816 | Orion Oyj - Class B | 173,310 | ||
Total Finland | 395,452 | |||
Netherlands — 2.9% | ||||
Communication Services — 0.6% | ||||
21,120 | Koninklijke KPN NV | 73,286 | ||
Consumer Staples — 1.5% | ||||
5,771 | Koninklijke Ahold Delhaize NV | 185,627 | ||
Financials — 0.8% | ||||
8,782 | Aegon NV | 46,555 | ||
651 | Euronext NV, 144a | 59,142 | ||
Total Netherlands | 364,610 | |||
China — 2.3% | ||||
Communication Services — 0.1% | ||||
455 | JOYY, Inc. ADR | 16,712 | ||
Consumer Discretionary — 0.5% | ||||
36,800 | Chow Tai Fook Jewellery Group Ltd. | 66,465 | ||
Consumer Staples — 1.3% | ||||
59,300 | Budweiser Brewing Co. APAC Ltd., 144a | 156,590 | ||
Industrials — 0.4% | ||||
15,000 | SITC International Holdings Co., Ltd. | 52,451 | ||
Total China | 292,218 | |||
Norway — 1.8% | ||||
Consumer Staples — 1.0% | ||||
4,661 | Mowi ASA | 125,548 |
Shares | Market Value | |||
Common Stocks — 98.8% (Continued) | ||||
Norway — (Continued) | ||||
Energy — 0.8% | ||||
1,918 | Aker BP ASA | $ 71,539 | ||
884 | Equinor ASA | 33,006 | ||
Total Norway | 230,093 | |||
Portugal — 1.6% | ||||
Consumer Staples — 1.6% | ||||
8,488 | Jeronimo Martins SGPS SA | 204,041 | ||
Belgium — 1.6% | ||||
Consumer Discretionary — 0.2% | ||||
143 | D'ieteren Group | 24,079 | ||
Materials — 1.4% | ||||
4,061 | Umicore SA | 175,546 | ||
Total Belgium | 199,625 | |||
United States — 1.6% | ||||
Health Care — 1.6% | ||||
3,994 | QIAGEN NV* | 195,985 | ||
Ireland — 1.4% | ||||
Consumer Staples — 1.4% | ||||
1,583 | Kerry Group PLC - Class A | 177,046 | ||
Luxembourg — 1.4% | ||||
Health Care — 1.4% | ||||
1,725 | Eurofins Scientific SE | 170,642 | ||
New Zealand — 1.1% | ||||
Health Care — 1.1% | ||||
8,375 | Fisher & Paykel Healthcare Corp. Ltd. | 140,534 | ||
Singapore — 1.0% | ||||
Industrials — 0.4% | ||||
21,600 | ComfortDelGro Corp. Ltd. | 23,630 | ||
5,500 | Keppel Corp. Ltd. | 25,933 | ||
Real Estate — 0.6% | ||||
64,100 | Suntec Real Estate Investment Trust REIT | 82,425 | ||
Total Singapore | 131,988 | |||
Jordan — 0.9% | ||||
Health Care — 0.9% | ||||
4,192 | Hikma Pharmaceuticals PLC | 113,092 | ||
Sweden — 0.7% | ||||
Energy — 0.7% | ||||
2,052 | Lundin Energy AB | 86,131 | ||
United Arab Emirates — 0.0% | ||||
Health Care — 0.0% | ||||
15,156 | NMC Health PLC(A) | 0 | ||
Total Common Stocks | $12,472,661 |
Shares | Market Value | |||
Short-Term Investment Funds — 3.2% | ||||
70,249 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | $ 70,249 | ||
335,447 | Invesco Government & Agency Portfolio, Institutional Class, 0.25%∞Ω** | 335,447 | ||
Total Short-Term Investment Funds | $405,696 | |||
Total Investment Securities — 102.0% (Cost $12,353,631) | $12,878,357 | |||
Liabilities in Excess of Other Assets — (2.0)% | (254,069) | |||
Net Assets — 100.0% | $12,624,288 |
(A) | Level 3- For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Financial Statements. |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2022 was $313,599. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities were valued at $536,981 or 4.3% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Japan | $348,086 | $3,184,020 | $— | $3,532,106 |
United Kingdom | 542,447 | 738,087 | — | 1,280,534 |
Hong Kong | 211,011 | 757,080 | — | 968,091 |
Denmark | 25,937 | 678,053 | — | 703,990 |
Spain | 146,846 | 467,215 | — | 614,061 |
France | 194,699 | 417,545 | — | 612,244 |
Australia | — | 565,522 | — | 565,522 |
Israel | — | 547,286 | — | 547,286 |
Germany | — | 493,857 | — | 493,857 |
Switzerland | — | 453,513 | — | 453,513 |
Finland | — | 395,452 | — | 395,452 |
Netherlands | — | 364,610 | — | 364,610 |
China | 16,712 | 275,506 | — | 292,218 |
Norway | — | 230,093 | — | 230,093 |
Portugal | 204,041 | — | — | 204,041 |
Belgium | — | 199,625 | — | 199,625 |
United States | — | 195,985 | — | 195,985 |
Ireland | 177,046 | — | — | 177,046 |
Luxembourg | — | 170,642 | — | 170,642 |
New Zealand | — | 140,534 | — | 140,534 |
Singapore | — | 131,988 | — | 131,988 |
Jordan | — | 113,092 | — | 113,092 |
Sweden | — | 86,131 | — | 86,131 |
United Arab Emirates | — | — | 0 | 0 |
Short-Term Investment Funds | 405,696 | — | — | 405,696 |
Total | $2,272,521 | $10,605,836 | $0 | $12,878,357 |
Measurements Using Unobservable Inputs (Level 3) | |
Assets | Common Stocks |
Beginning balance, September 30, 2021 | $0 |
Transfer into Level 3 | — |
Net realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | — |
Ending balance, March 31, 2022 | $0 |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at March 31, 2022 | $— |
Principal Amount | Market Value | |||
Corporate Bonds — 67.2% | ||||
Energy — 10.8% | ||||
$ 517,000 | Antero Resources Corp., 144a, 7.625%, 2/1/29 | $ 558,841 | ||
2,596,000 | Apache Corp., 5.100%, 9/1/40(A) | 2,615,470 | ||
1,626,000 | Archrock Partners LP / Archrock Partners Finance Corp., 144a, 6.250%, 4/1/28 | 1,602,569 | ||
105,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 5.875%, 6/30/29 | 103,688 | ||
190,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 7.000%, 11/1/26 | 194,750 | ||
187,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 8.250%, 12/31/28 | 196,444 | ||
1,171,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 9.000%, 11/1/27 | 1,604,270 | ||
2,119,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 7.625%, 12/15/25 | 2,214,355 | ||
160,000 | Cheniere Energy Partners LP, 144a, 3.250%, 1/31/32 | 145,600 | ||
239,000 | Cheniere Energy Partners LP, 4.000%, 3/1/31 | 231,684 | ||
382,000 | Cheniere Energy Partners LP, 4.500%, 10/1/29 | 383,721 | ||
1,722,000 | Citgo Holding, Inc., 144a, 9.250%, 8/1/24 | 1,739,220 | ||
1,210,000 | CITGO Petroleum Corp., 144a, 6.375%, 6/15/26 | 1,217,466 | ||
446,000 | CrownRock LP / CrownRock Finance, Inc., 144a, 5.625%, 10/15/25 | 454,579 | ||
320,000 | Cullinan Holdco Scsp (Luxembourg), 4.625%, 10/15/26 | 332,866 | ||
858,000 | EnLink Midstream LLC, 5.375%, 6/1/29 | 858,000 | ||
489,000 | Enviva Partners LP / Enviva Partners Finance Corp., 144a, 6.500%, 1/15/26 | 502,756 | ||
2,595,000 | EQM Midstream Partners LP, 6.500%, 7/15/48 | 2,504,175 | ||
810,000 | EQT Corp., 7.500%, 2/1/30 | 937,931 | ||
777,000 | Exterran Energy Solutions LP / EES Finance Corp., 8.125%, 5/1/25(A) | 783,507 | ||
2,442,000 | ITT Holdings LLC, 144a, 6.500%, 8/1/29 | 2,255,724 | ||
2,432,000 | New Fortress Energy, Inc., 144a, 6.500%, 9/30/26 | 2,401,600 | ||
65,000 | NGL Energy Operating LLC / NGL Energy Finance Corp., 144a, 7.500%, 2/1/26 | 63,940 | ||
362,000 | NGL Energy Partners LP / NGL Energy Finance Corp., 6.125%, 3/1/25 | 314,487 | ||
1,623,000 | NGL Energy Partners LP / NGL Energy Finance Corp., 7.500%, 11/1/23 | 1,551,507 | ||
475,000 | Occidental Petroleum Corp., 6.450%, 9/15/36 | 559,733 | ||
85,000 | Occidental Petroleum Corp., 8.000%, 7/15/25 | 95,455 | ||
1,239,426 | Rockcliff Energy II LLC, 144a, 5.500%, 10/15/29 | 1,242,023 | ||
747,000 | Southwestern Energy Co., 4.750%, 2/1/32 | 746,066 | ||
536,000 | Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 5.750%, 4/15/25 | 438,196 | ||
924,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 12/31/30 | 896,603 | ||
645,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 9/1/31 | 620,974 | ||
1,957,000 | TerraForm Power Operating LLC, 144a, 5.000%, 1/31/28 | 1,955,385 | ||
1,817,000 | Western Midstream Operating LP, 5.750%, 2/1/50 | 1,771,575 | ||
34,095,160 | ||||
Communication Services — 9.6% | ||||
2,682,000 | Altice Financing SA (Luxembourg), 144a, 5.000%, 1/15/28 | 2,404,011 | ||
2,475,000 | Avaya, Inc., 144a, 6.125%, 9/15/28 | 2,440,771 | ||
72,000 | Belo Corp., 7.250%, 9/15/27 | 80,640 | ||
500,000 | Belo Corp., 7.750%, 6/1/27 | 570,000 | ||
675,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 612,563 | ||
310,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 5.000%, 2/1/28 | 306,745 | ||
2,085,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.500%, 8/15/30(A) | 1,956,340 |
Principal Amount | Market Value | |||
Communication Services — (Continued) | ||||
$ 460,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 5.125%, 5/1/27 | $ 460,972 | ||
2,150,000 | CommScope, Inc., 144a, 8.250%, 3/1/27 | 2,094,100 | ||
310,000 | CommScope, Inc., 144a, 6.000%, 3/1/26(A) | 313,593 | ||
300,000 | CSC Holdings LLC, 144a, 3.375%, 2/15/31 | 252,729 | ||
76,000 | CSC Holdings LLC, 144a, 4.500%, 11/15/31 | 68,020 | ||
430,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 359,605 | ||
890,000 | CSC Holdings LLC, 144a, 5.750%, 1/15/30 | 798,074 | ||
980,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 144a, 5.375%, 8/15/26 | 379,750 | ||
1,000,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 144a, 6.625%, 8/15/27 | 207,500 | ||
250,000 | DKT Finance ApS (Denmark), 7.000%, 6/17/23 | 277,417 | ||
735,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., 144a, 3.500%, 3/1/29 | 674,362 | ||
218,000 | Gray Escrow II, Inc., 144a, 5.375%, 11/15/31 | 208,455 | ||
1,114,000 | Gray Television, Inc., 144a, 4.750%, 10/15/30 | 1,037,435 | ||
273,000 | Level 3 Financing, Inc., 144a, 4.250%, 7/1/28 | 250,616 | ||
411,000 | Level 3 Financing, Inc., 144a, 4.625%, 9/15/27 | 389,901 | ||
1,379,000 | Lumen Technologies, Inc., 144a, 4.000%, 2/15/27 | 1,285,917 | ||
565,000 | Lumen Technologies, Inc., 144a, 5.125%, 12/15/26 | 538,569 | ||
128,000 | Netflix, Inc., 4.875%, 4/15/28 | 134,241 | ||
116,000 | Netflix, Inc., 144a, 4.875%, 6/15/30 | 123,250 | ||
1,516,000 | Nexstar Media, Inc., 144a, 4.750%, 11/1/28 | 1,476,235 | ||
105,000 | Nexstar Media, Inc., 144a, 5.625%, 7/15/27 | 106,444 | ||
941,000 | Scripps Escrow II, Inc., 144a, 3.875%, 1/15/29 | 875,130 | ||
1,197,000 | Sirius XM Radio, Inc., 144a, 4.000%, 7/15/28 | 1,137,150 | ||
934,000 | Sirius XM Radio, Inc., 144a, 4.125%, 7/1/30 | 875,933 | ||
20,000 | Sirius XM Radio, Inc., 144a, 5.000%, 8/1/27 | 20,000 | ||
240,000 | Sirius XM Radio, Inc., 144a, 5.500%, 7/1/29 | 243,194 | ||
491,000 | TEGNA, Inc., 4.625%, 3/15/28 | 488,408 | ||
1,400,000 | Telenet Finance Luxembourg Notes Sarl (Belgium), 144a, 5.500%, 3/1/28 | 1,351,000 | ||
1,755,000 | Telesat Canada / Telesat LLC (Canada), 144a, 5.625%, 12/6/26 | 1,338,187 | ||
1,685,000 | Telesat Canada / Telesat LLC (Canada), 144a, 6.500%, 10/15/27 | 839,568 | ||
366,000 | ViaSat, Inc., 144a, 5.625%, 9/15/25 | 357,461 | ||
1,523,000 | ViaSat, Inc., 144a, 6.500%, 7/15/28 | 1,462,080 | ||
132,000 | Virgin Media Finance PLC (United Kingdom), 144a, 5.000%, 7/15/30 | 124,673 | ||
131,000 | Virgin Media Secured Finance PLC (United Kingdom), 144a, 4.500%, 8/15/30 | 122,158 | ||
910,000 | Virgin Media Vendor Financing Notes IV DAC (Ireland), 144a, 5.000%, 7/15/28 | 873,600 | ||
400,000 | Vmed O2 UK Financing I PLC (United Kingdom), 144a, 4.250%, 1/31/31 | 365,848 | ||
30,282,645 | ||||
Industrials — 8.3% | ||||
832,000 | American Builders & Contractors Supply Co., Inc., 144a, 3.875%, 11/15/29 | 775,840 | ||
211,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 144a, 4.125%, 8/15/26 | 203,283 | ||
343,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 144a, 5.250%, 4/30/25 | 343,858 | ||
2,525,332 | Artera Services LLC, 144a, 9.033%, 12/4/25 | 2,493,765 | ||
860,000 | Builders FirstSource, Inc., 144a, 4.250%, 2/1/32 | 800,875 | ||
1,344,000 | BWX Technologies, Inc., 144a, 4.125%, 4/15/29 | 1,293,600 | ||
758,000 | BWX Technologies, Inc., 144a, 4.125%, 6/30/28 | 730,522 | ||
1,707,000 | Cargo Aircraft Management, Inc., 144a, 4.750%, 2/1/28(A) | 1,666,169 |
Principal Amount | Market Value | |||
Corporate Bonds — 67.2% (Continued) | ||||
Industrials — (Continued) | ||||
$2,328,676 | CP Atlas Buyer, Inc., 144a, 7.000%, 12/1/28 | $ 1,985,522 | ||
958,000 | GFL Environmental, Inc. (Canada), 144a, 3.500%, 9/1/28 | 900,818 | ||
142,000 | GFL Environmental, Inc. (Canada), 144a, 3.750%, 8/1/25 | 139,160 | ||
2,192,271 | GFL Environmental, Inc. (Canada), 144a, 4.375%, 8/15/29 | 2,030,591 | ||
2,118,000 | H&E Equipment Services, Inc., 144a, 3.875%, 12/15/28 | 1,982,999 | ||
2,555,000 | Mauser Packaging Solutions Holding Co., 144a, 7.250%, 4/15/25 | 2,532,286 | ||
1,818,000 | OI European Group BV, 144a, 4.750%, 2/15/30 | 1,689,286 | ||
529,000 | Owens-Brockway Glass Container, Inc., 144a, 5.375%, 1/15/25 | 526,355 | ||
51,000 | Owens-Brockway Glass Container, Inc., 144a, 6.625%, 5/13/27 | 50,745 | ||
1,445,000 | Redwood Star Merger Sub, Inc., 144a, 8.750%, 4/1/30 | 1,383,587 | ||
723,000 | Sensata Technologies, Inc., 144a, 3.750%, 2/15/31 | 672,404 | ||
397,000 | Sensata Technologies, Inc., 144a, 4.375%, 2/15/30 | 381,120 | ||
259,000 | Summit Materials LLC / Summit Materials Finance Corp., 144a, 5.250%, 1/15/29 | 256,607 | ||
1,000,000 | TransDigm, Inc., 144a, 6.250%, 3/15/26 | 1,028,125 | ||
175,000 | TransDigm, Inc., 144a, 8.000%, 12/15/25 | 182,219 | ||
295,000 | Trident TPI Holdings, Inc., 144a, 9.250%, 8/1/24 | 296,475 | ||
1,789,000 | Tutor Perini Corp., 144a, 6.875%, 5/1/25† | 1,701,482 | ||
26,047,693 | ||||
Consumer Discretionary — 7.7% | ||||
416,000 | Allison Transmission, Inc., 144a, 4.750%, 10/1/27 | 409,240 | ||
239,000 | American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 144a, 5.750%, 4/20/29 | 238,104 | ||
565,000 | Asbury Automotive Group, Inc., 4.500%, 3/1/28 | 542,739 | ||
1,255,000 | Asbury Automotive Group, Inc., 144a, 4.625%, 11/15/29 | 1,174,002 | ||
1,291,000 | Ashton Woods USA LLC / Ashton Woods Finance Co., 144a, 4.625%, 8/1/29 | 1,138,443 | ||
653,000 | Ashton Woods USA LLC / Ashton Woods Finance Co., 144a, 6.625%, 1/15/28 | 669,031 | ||
28,000 | Bath & Body Works, Inc., 6.694%, 1/15/27 | 29,746 | ||
300,000 | Bath & Body Works, Inc., 6.750%, 7/1/36 | 306,780 | ||
961,000 | Bath & Body Works, Inc., 6.875%, 11/1/35 | 994,154 | ||
92,000 | Bath & Body Works, Inc., 7.500%, 6/15/29 | 99,654 | ||
250,000 | Boyd Gaming Corp., 4.750%, 12/1/27 | 248,032 | ||
124,000 | Boyd Gaming Corp., 144a, 8.625%, 6/1/25 | 130,245 | ||
150,000 | Caesars Entertainment, Inc., 144a, 8.125%, 7/1/27 | 160,850 | ||
1,238,000 | Carvana Co., 144a, 4.875%, 9/1/29 | 1,033,730 | ||
608,000 | Carvana Co., 144a, 5.500%, 4/15/27 | 542,640 | ||
233,000 | Carvana Co., 144a, 5.875%, 10/1/28 | 207,487 | ||
1,772,000 | Century Communities, Inc., 144a, 3.875%, 8/15/29 | 1,589,042 | ||
179,000 | Century Communities, Inc., 6.750%, 6/1/27 | 185,730 | ||
125,000 | Clarios Global LP, 144a, 6.750%, 5/15/25 | 129,441 | ||
364,000 | Clarios Global LP / Clarios US Finance Co., 144a, 6.250%, 5/15/26 | 374,465 | ||
148,000 | Dana, Inc., 4.250%, 9/1/30 | 135,450 | ||
147,000 | Dana, Inc., 5.375%, 11/15/27 | 146,081 | ||
326,000 | Dana, Inc., 5.625%, 6/15/28 | 329,423 | ||
75,000 | Ford Motor Co., 9.000%, 4/22/25 | 86,038 | ||
11,000 | Ford Motor Credit Co. LLC, 3.810%, 1/9/24 | 10,986 | ||
610,000 | Ford Motor Credit Co. LLC, 3.815%, 11/2/27 | 579,204 | ||
227,000 | Ford Motor Credit Co. LLC, 4.063%, 11/1/24 | 226,591 | ||
256,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 250,732 | ||
55,000 | Ford Motor Credit Co. LLC, 5.125%, 6/16/25 | 56,100 | ||
1,733,000 | Hanesbrands, Inc., 144a, 4.625%, 5/15/24 | 1,758,995 | ||
253,881 | Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., 144a, 5.750%, 1/20/26 | 254,026 | ||
320,000 | Lithia Motors, Inc., 144a, 3.875%, 6/1/29 | 303,408 | ||
1,363,000 | Lithia Motors, Inc., 144a, 4.375%, 1/15/31 | 1,315,295 |
Principal Amount | Market Value | |||
Consumer Discretionary — (Continued) | ||||
$ 934,000 | Live Nation Entertainment, Inc., 144a, 4.750%, 10/15/27 | $ 913,106 | ||
217,000 | Live Nation Entertainment, Inc., 144a, 4.875%, 11/1/24 | 217,870 | ||
204,000 | Live Nation Entertainment, Inc., 144a, 5.625%, 3/15/26 | 207,825 | ||
622,000 | Meritage Homes Corp., 144a, 3.875%, 4/15/29 | 592,455 | ||
1,797,000 | Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In, 144a, 8.500%, 11/15/27 | 1,987,931 | ||
1,938,000 | Real Hero Merger Sub 2, Inc., 144a, 6.250%, 2/1/29 | 1,771,371 | ||
917,000 | Six Flags Entertainment Corp., 144a, 4.875%, 7/31/24 | 917,000 | ||
115,000 | Six Flags Theme Parks, Inc., 144a, 7.000%, 7/1/25 | 120,031 | ||
177,000 | Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 144a, 8.000%, 9/20/25 | 188,774 | ||
610,000 | SRS Distribution, Inc., 144a, 6.000%, 12/1/29 | 564,250 | ||
1,043,000 | Station Casinos LLC, 144a, 4.500%, 2/15/28 | 993,145 | ||
162,000 | United Airlines, Inc., 144a, 4.375%, 4/15/26 | 159,469 | ||
162,000 | United Airlines, Inc., 144a, 4.625%, 4/15/29 | 154,054 | ||
24,443,165 | ||||
Consumer Staples — 6.4% | ||||
275,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.000%, 10/15/30 | 249,547 | ||
1,521,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.375%, 1/15/28 | 1,460,160 | ||
750,000 | American Builders & Contractors Supply Co., Inc., 144a, 4.000%, 1/15/28 | 723,765 | ||
405,000 | Bath & Body Works, Inc., 144a, 6.625%, 10/1/30 | 425,878 | ||
550,000 | BCPE Ulysses Intermediate, Inc., 144a, 7.750%, 4/1/27(B) | 499,125 | ||
425,000 | Chobani LLC / Chobani Finance Corp., Inc., 144a, 4.625%, 11/15/28 | 392,062 | ||
226,000 | Chobani LLC / Chobani Finance Corp., Inc., 144a, 7.500%, 4/15/25 | 218,497 | ||
945,000 | eG Global Finance PLC (United Kingdom), 144a, 6.750%, 2/7/25 | 942,637 | ||
385,455 | eG Global Finance PLC (United Kingdom), 144a, 8.500%, 10/30/25 | 394,610 | ||
663,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 5.500%, 1/15/30 | 677,772 | ||
2,570,000 | Korn Ferry, 144a, 4.625%, 12/15/27 | 2,506,701 | ||
1,644,000 | Kraft Heinz Foods Co., 5.000%, 6/4/42 | 1,757,025 | ||
1,855,000 | LBM Acquisition LLC, 144a, 6.250%, 1/15/29 | 1,737,504 | ||
1,259,000 | LCM Investments Holdings II LLC, 144a, 4.875%, 5/1/29 | 1,189,100 | ||
894,000 | Legacy LifePoint Health LLC, 144a, 4.375%, 2/15/27 | 864,945 | ||
300,000 | Mobilux Finance SAS (France), 4.250%, 7/15/28 | 307,130 | ||
715,000 | Paysafe Finance PLC / Paysafe Holdings US Corp., 144a, 4.000%, 6/15/29 | 608,644 | ||
1,542,000 | Specialty Building Products Holdings LLC / SBP Finance Corp., 144a, 6.375%, 9/30/26 | 1,567,906 | ||
1,260,000 | SRS Distribution, Inc., 144a, 4.625%, 7/1/28 | 1,203,565 | ||
364,000 | SRS Distribution, Inc., 144a, 6.125%, 7/1/29 | 335,790 | ||
2,209,000 | Team Health Holdings, Inc., 144a, 6.375%, 2/1/25 | 1,982,577 | ||
20,044,940 | ||||
Financials — 5.4% | ||||
1,751,000 | Acrisure LLC / Acrisure Finance, Inc., 144a, 4.250%, 2/15/29 | 1,593,463 | ||
595,000 | Acrisure LLC / Acrisure Finance, Inc., 144a, 7.000%, 11/15/25 | 586,075 | ||
1,495,000 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144a, 6.750%, 10/15/27 | 1,480,050 | ||
1,537,000 | Coinbase Global, Inc., 144a, 3.375%, 10/1/28† | 1,369,467 | ||
717,000 | Coinbase Global, Inc., 144a, 3.625%, 10/1/31 | 611,242 | ||
479,000 | LPL Holdings, Inc., 144a, 4.375%, 5/15/31 | 463,167 | ||
734,000 | LPL Holdings, Inc., 144a, 4.625%, 11/15/27 | 724,825 | ||
657,441 | Midcap Financial Issuer Trust, 144a, 5.625%, 1/15/30 | 580,961 |
Principal Amount | Market Value | |||
Corporate Bonds — 67.2% (Continued) | ||||
Financials — (Continued) | ||||
$1,830,000 | Midcap Financial Issuer Trust, 144a, 6.500%, 5/1/28 | $ 1,721,152 | ||
435,000 | Nationstar Mortgage Holdings, Inc., 144a, 5.500%, 8/15/28 | 418,905 | ||
300,000 | Navient Corp., 4.875%, 3/15/28 | 275,897 | ||
1,268,000 | Navient Corp., 5.000%, 3/15/27 | 1,212,455 | ||
490,000 | NFP Corp., 144a, 4.875%, 8/15/28 | 467,950 | ||
304,000 | NFP Corp., 144a, 6.875%, 8/15/28 | 289,560 | ||
392,000 | OneMain Finance Corp., 3.875%, 9/15/28 | 354,756 | ||
1,690,000 | OneMain Finance Corp., 4.000%, 9/15/30 | 1,491,425 | ||
1,524,000 | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., 144a, 3.625%, 3/1/29 | 1,395,039 | ||
2,237,000 | VistaJet Malta Finance PLC / XO Management Holding, Inc. (Switzerland), 144a, 6.375%, 2/1/30 | 2,113,965 | ||
17,150,354 | ||||
Information Technology — 5.1% | ||||
2,752,000 | Ahead DB Holdings LLC, 144a, 6.625%, 5/1/28 | 2,442,400 | ||
1,787,000 | Clarivate Science Holdings Corp., 144a, 4.875%, 7/1/29 | 1,681,227 | ||
1,783,000 | Condor Merger Sub, Inc., 144a, 7.375%, 2/15/30 | 1,707,223 | ||
2,277,000 | Elastic NV, 144a, 4.125%, 7/15/29 | 2,117,610 | ||
2,248,000 | II-VI, Inc., 144a, 5.000%, 12/15/29 | 2,203,040 | ||
330,000 | Open Text Corp. (Canada), 144a, 3.875%, 2/15/28 | 316,394 | ||
1,564,000 | PTC, Inc., 144a, 4.000%, 2/15/28 | 1,523,758 | ||
1,787,000 | Science Applications International Corp., 144a, 4.875%, 4/1/28 | 1,762,429 | ||
440,000 | Seagate HDD Cayman, 3.125%, 7/15/29 | 394,900 | ||
746,000 | Seagate HDD Cayman, 3.375%, 7/15/31 | 666,700 | ||
500,000 | SS&C Technologies, Inc., 144a, 5.500%, 9/30/27 | 505,898 | ||
786,000 | Synaptics, Inc., 144a, 4.000%, 6/15/29 | 740,805 | ||
16,062,384 | ||||
Health Care — 4.1% | ||||
2,242,000 | Acadia Healthcare Co., Inc., 144a, 5.000%, 4/15/29 | 2,213,386 | ||
2,492,000 | Air Methods Corp., 144a, 8.000%, 5/15/25† | 2,155,580 | ||
385,000 | Bausch Health Cos, Inc., 144a, 9.000%, 12/15/25 | 398,889 | ||
1,164,000 | Catalent Pharma Solutions, Inc., 144a, 3.125%, 2/15/29 | 1,057,977 | ||
1,766,000 | Global Medical Response, Inc., 144a, 6.500%, 10/1/25 | 1,752,755 | ||
244,000 | HCA, Inc., 5.625%, 9/1/28 | 263,479 | ||
1,644,000 | LifePoint Health, Inc., 144a, 5.375%, 1/15/29 | 1,553,580 | ||
1,557,000 | Molina Healthcare, Inc., 144a, 4.375%, 6/15/28 | 1,532,469 | ||
553,000 | Option Care Health, Inc., 144a, 4.375%, 10/31/29 | 518,438 | ||
1,771,000 | Syneos Health, Inc., 144a, 3.625%, 1/15/29 | 1,624,893 | ||
13,071,446 | ||||
Materials — 3.8% | ||||
1,289,636 | ASP Unifrax Holdings, Inc., 144a, 5.250%, 9/30/28 | 1,203,966 | ||
859,000 | ASP Unifrax Holdings, Inc., 144a, 7.500%, 9/30/29† | 763,875 | ||
1,688,000 | Chemours Co. (The), 144a, 4.625%, 11/15/29 | 1,548,115 | ||
817,000 | Chemours Co. (The), 144a, 5.750%, 11/15/28 | 796,575 | ||
330,000 | First Quantum Minerals Ltd. (Zambia), 144a, 6.500%, 3/1/24 | 332,063 | ||
617,000 | Freeport-McMoRan, Inc., 4.625%, 8/1/30 | 630,883 | ||
300,000 | Freeport-McMoRan, Inc., 5.000%, 9/1/27 | 308,019 | ||
397,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/34(A) | 440,690 | ||
63,000 | Freeport-McMoRan, Inc., 5.450%, 3/15/43(A) | 70,566 | ||
601,000 | SCIH Salt Holdings, Inc., 144a, 4.875%, 5/1/28 | 568,390 | ||
1,579,000 | SCIH Salt Holdings, Inc., 144a, 6.625%, 5/1/29† | 1,420,689 | ||
1,695,000 | Tronox, Inc., 144a, 4.625%, 3/15/29 | 1,584,825 | ||
2,480,000 | Venator Finance Sarl / Venator Materials LLC, 144a, 5.750%, 7/15/25† | 1,993,672 | ||
215,000 | Venator Finance Sarl / Venator Materials LLC, 144a, 9.500%, 7/1/25 | 224,675 | ||
11,887,003 |
Principal Amount | Market Value | |||
Real Estate — 3.1% | ||||
$2,393,000 | Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 144a, 4.500%, 4/1/27 | $ 2,237,264 | ||
215,000 | Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 144a, 5.750%, 5/15/26 | 213,050 | ||
875,000 | HAT Holdings I LLC / HAT Holdings II LLC REIT, 144a, 3.750%, 9/15/30 | 787,500 | ||
2,220,000 | HAT Holdings I LLC / HAT Holdings II LLC REIT, 144a, 6.000%, 4/15/25 | 2,275,500 | ||
390,000 | Iron Mountain, Inc. REIT, 144a, 4.875%, 9/15/29 | 371,229 | ||
531,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 3/15/28 | 523,210 | ||
1,105,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 7/15/30 | 1,082,900 | ||
920,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. REIT, 144a, 4.250%, 2/1/27 | 881,695 | ||
963,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. REIT, 144a, 4.750%, 6/15/29 | 912,428 | ||
110,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 3.750%, 2/15/27 | 106,975 | ||
201,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 4.125%, 8/15/30 | 194,037 | ||
46,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 4.625%, 12/1/29 | 46,000 | ||
9,631,788 | ||||
Utilities — 2.9% | ||||
2,534,000 | Calpine Corp., 144a, 4.500%, 2/15/28(A) | 2,471,866 | ||
1,492,000 | NRG Energy, Inc., 144a, 3.625%, 2/15/31(A) | 1,312,348 | ||
160,000 | NRG Energy, Inc., 144a, 3.875%, 2/15/32 | 140,800 | ||
88,000 | NRG Energy, Inc., 6.625%, 1/15/27 | 90,776 | ||
1,249,000 | Pattern Energy Operations LP / Pattern Energy Operations, Inc., 144a, 4.500%, 8/15/28 | 1,211,530 | ||
1,500,000 | Vistra Corp., 144a, 7.000%(C) | 1,460,625 | ||
1,000,000 | Vistra Operations Co. LLC, 144a, 5.000%, 7/31/27 | 983,810 | ||
1,350,000 | Vistra Operations Co. LLC, 144a, 5.625%, 2/15/27 | 1,348,859 | ||
268,000 | Vistra Operations Co. LLC, 144a, 4.300%, 7/15/29(A) | 258,713 | ||
9,279,327 | ||||
Total Corporate Bonds | $211,995,905 | |||
Bank Loans — 18.4%(D) | ||||
Health Care — 4.4% | ||||
992,500 | AlixPartners LLP, Initial Dollar Term Loan, (1M LIBOR + 2.750%), 3.250%, 2/04/28 | 975,905 | ||
678,167 | Avantor Funding Inc., Incremental B-5 Dollar Term Loan, (1M LIBOR + 2.250%), 2.750%, 11/08/27 | 671,989 | ||
808,258 | Bausch Health Companies Inc., First Incremental Term Loan, (1M LIBOR + 2.750%), 3.207%, 11/27/25 | 800,175 | ||
736,738 | Bausch Health Companies Inc., Initial Term Loan, (1M LIBOR + 3.000%), 3.457%, 6/02/25 | 729,982 | ||
580,500 | Belron Finance US LLC, First Incremental Loan, (3M LIBOR + 2.250%), 2.688%, 11/13/25 | 575,177 | ||
981,183 | BrightView Landscapes LLC, Initial Term Loan, (1M LIBOR + 2.500%), 2.750%, 8/15/25 | 972,598 | ||
807,907 | Change Healthcare Holdings LLC, Closing Date Term Loan, (3M LIBOR + 2.500%), 3.500%, 3/01/24 | 802,453 | ||
741,848 | Elanco Animal Health Inc., Term Loan, (1M LIBOR + 1.750%), 1.981%, 8/01/27 | 729,096 | ||
841,651 | eResearch Technology Inc., First Lien Initial Term Loan, (3M LIBOR + 4.500%), 5.500%, 2/04/27 | 837,619 | ||
711,584 | EyeCare Partners LLC, First Lien Initial Term Loan, (3M LIBOR + 3.750%), 4.756%, 2/18/27 | 701,358 | ||
638,625 | Froneri US Inc., Facility B2, (1M LIBOR + 2.250%), 2.707%, 1/29/27 | 626,197 | ||
686,906 | Gainwell Acquisition Corp, Term B Loan, (3M LIBOR + 4.000%), 5.006%, 10/01/27 | 685,189 |
Principal Amount | Market Value | |||
Bank Loans — 18.4%(D) (Continued) | ||||
Health Care — (Continued) | ||||
$1,057,111 | Med ParentCo LP, First Lien Initial Term Loan, (1M LIBOR + 4.250%), 4.707%, 8/31/26 | $ 1,044,225 | ||
901,496 | Organon & Co, Senior Secured Dollar Term Loan, (3M LIBOR + 3.000%), 3.500%, 6/02/28 | 895,862 | ||
376,200 | Packaging Coordinators Midco Inc., First Lien Term B Loan, (3M LIBOR + 3.750%), 4.500%, 11/30/27 | 373,770 | ||
980,100 | Sunshine Luxembourg VII SARL, Term Loan B3 (USD), (3M LIBOR + 3.750%), 4.756%, 10/01/26 | 972,749 | ||
706,965 | Surgery Center Holdings, Inc., 2021 New Term Loan, (1M LIBOR + 3.750%), 4.500%, 8/31/26 | 700,694 | ||
404,520 | Trans Union LLC, Term B-5 Loan, (1M LIBOR + 1.750%), 1.959%, 11/16/26 | 398,149 | ||
526,500 | US Foods Inc., Incremental B-2019 Term Loan, (3M LIBOR + 2.000%), 2.508%, 9/14/26 | 515,133 | ||
14,008,320 | ||||
Consumer Discretionary — 3.5% | ||||
850,951 | Alpha Topco Limited - Delta 2 (Lux) Sarl, 2018 Incremental New Facility B3 Loan, (1M LIBOR + 2.500%), 3.500%, 2/01/24 | 846,168 | ||
505,000 | American Airlines Inc., Initial Term Loan, (3M LIBOR + 4.750%), 5.500%, 4/20/28 | 510,838 | ||
596,904 | Aramark Services Inc., US Term B-3 Loan, (1M LIBOR + 1.750%), 2.207%, 3/11/25 | 584,369 | ||
2,615,377 | Caesars Resort Collection LLC, Term B Loan, (1M LIBOR + 2.750%), 3.207%, 12/23/24 | 2,599,031 | ||
832,325 | Caesars Resort Collection LLC, Term B-1 Loan, (1M LIBOR + 3.500%), 3.957%, 7/21/25 | 828,580 | ||
591,646 | Clarios Global LP, Amendment No. 1 Dollar Term Loan (First Lien), (1M LIBOR + 3.250%), 3.707%, 4/30/26 | 583,510 | ||
635,000 | Delta Air Lines Inc., Initial Term Loan, (3M LIBOR + 3.750%), 4.750%, 10/20/27 | 654,742 | ||
350,000 | EG Group Limited, Additional Second Lien Loan Facility, 7.000%, 4/30/27(E)(F) | 383,800 | ||
387,888 | Enterprise Development Authority, Term B Loan, (3M LIBOR + 4.250%), 5.000%, 2/28/28 | 384,009 | ||
545,875 | Hayward Industries Inc., First Lien Initial Term Loan, (1M LIBOR + 2.500%), 3.000%, 5/30/28 | 538,598 | ||
575,070 | LBM Acquisition LLC, First Lien Initial Term Loan, (1M LIBOR + 3.750%), 4.500%, 12/17/27(F) | 560,193 | ||
400,459 | Station Casinos LLC, Term B-1 Facility Loan, (1M LIBOR + 2.250%), 2.710%, 2/08/27 | 394,564 | ||
975,150 | United AirLines, Inc., Class B Term Loan, (3M LIBOR + 3.750%), 4.500%, 4/21/28 | 962,151 | ||
875,483 | Whatabrands LLC, Initial Term B Loan, (1M LIBOR + 3.250%), 3.750%, 8/03/28 | 863,997 | ||
389,800 | William Morris Endeavor Entertainment LLC, New Term Loan B-1, (1M LIBOR + 2.750%), 2.960%, 5/18/25 | 382,573 | ||
11,077,123 | ||||
Communication Services — 3.2% | ||||
605,425 | Cable One Inc., Incremental Term B-4 Loan, (3M LIBOR + 2.000%), 2.104%, 5/03/28 | 595,738 | ||
187,190 | Charter Communications Operating LLC, Term Loan B2, (1M LIBOR + 1.750%), 2.210%, 2/01/27 | 185,423 | ||
486,370 | CSC Holdings LLC, 2017 Refinancing Term Loan, (1M LIBOR + 2.250%), 2.647%, 7/17/25 | 477,557 | ||
896,443 | Delta TopCo Inc., Second Lien Initial Term Loan, (6M LIBOR + 7.250%), 8.000%, 12/01/28 | 877,017 | ||
112,956 | Diamond Sports Group LLC, Term Loan, (1M LIBOR + 8.000%), 9.000%, 5/25/26 | 114,384 | ||
620,880 | E.W. Scripps Company, The, Tranche B-2 Term Loan, (1M LIBOR + 2.563%), 3.313%, 5/01/26 | 612,567 |
Principal Amount | Market Value | |||
Communication Services — (Continued) | ||||
$ 386,267 | Go Daddy Operating Company, LLC (GD Finance Co, Inc.), Tranche B-2 Term Loan, (1M LIBOR + 1.750%), 2.199%, 2/15/24 | $ 383,208 | ||
1,007,627 | Gray Television Inc., Term C Loan, (1M LIBOR + 2.500%), 2.731%, 1/02/26 | 998,810 | ||
845,000 | Lorca Holdco Limited, Facility B, (6M EURIBOR + 4.250%), 4.250%, 9/17/27(E) | 929,939 | ||
467,131 | MH Sub I, LLC, 2020 June New Term Loan, (1M LIBOR + 3.750%), 4.750%, 9/13/24 | 461,376 | ||
511,918 | NEP Group Inc., First Lien Initial Dollar Term Loan, (1M LIBOR + 3.250%), 3.699%, 10/20/25 | 501,935 | ||
500,393 | Nexstar Broadcasting Inc., Term B-4 Loan, (1M LIBOR + 2.500%), 2.731%, 9/18/26 | 497,981 | ||
977,405 | Numericable U.S. LLC, USD TLB-12 Term Loan, (3M LIBOR + 3.688%), 3.927%, 1/31/26 | 953,889 | ||
910,000 | Proofpoint Inc., Initial Term Loan, 3.750%, 8/31/28(F) | 899,253 | ||
370,000 | Telenet Financing USD LLC, Term Loan AR Facility, (3M LIBOR + 2.000%), 2.397%, 4/28/28 | 361,013 | ||
715,000 | UPC Financing Partnership, Facility AX, (3M LIBOR + 3.000%), 3.397%, 1/31/29 | 704,575 | ||
480,000 | Virgin Media Bristol LLC, Facility Q Advance, (3M LIBOR + 3.250%), 3.647%, 1/31/29 | 476,703 | ||
10,031,368 | ||||
Information Technology — 2.6% | ||||
988,048 | Dun & Bradstreet Corporation (The), Term Loan B, (1M LIBOR + 3.250%), 3.697%, 2/06/26 | 977,634 | ||
378,624 | Epicor Software Corporation, Term C Loan, (1M LIBOR + 3.250%), 4.000%, 7/30/27 | 375,175 | ||
670,529 | Grab Holdings, Inc., Initial Term Loan, (6M LIBOR + 4.500%), 5.500%, 1/29/26 | 653,766 | ||
1,417,968 | Hyland Software Inc., 2018 Refinancing Term Loan, (1M LIBOR + 3.500%), 4.250%, 7/01/24 | 1,408,878 | ||
470,800 | Hyland Software Inc., 2021-1 Incremental Term Facility, (1M LIBOR + 6.250%), 7.000%, 7/07/25 | 464,915 | ||
1,616,379 | McAfee Corp., Tranche B-1 Term Loan, (3M Term SOFR + 4.000%), 4.500%, 3/01/29 | 1,602,236 | ||
610,000 | Quest Software, Inc., Second Lien Initial Term Loan, (3M SOFR + 7.650%), 7.690%, 2/01/30 | 589,412 | ||
231,592 | SS&C Technologies Inc., Term B-3 Loan, (1M LIBOR + 1.750%), 2.207%, 4/16/25 | 227,637 | ||
188,002 | SS&C Technologies Inc., Term B-4 Loan, (1M LIBOR + 1.750%), 2.207%, 4/16/25 | 184,858 | ||
731,689 | SS&C Technologies Inc., Term B-5 Loan, (1M LIBOR + 1.750%), 2.207%, 4/16/25 | 719,455 | ||
963,256 | Tempo Acquisition LLC, Additional Initial Term B-1 Loan, (3M Term SOFR + 3.000%), 3.500%, 8/31/28 | 955,791 | ||
8,159,757 | ||||
Financials — 1.6% | ||||
589,746 | Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan, (1M LIBOR + 3.750%), 4.750%, 4/09/27 | 586,060 | ||
828,385 | HighTower Holding LLC, Initial Term Loan, (3M LIBOR + 4.000%), 4.750%, 4/21/28 | 820,101 | ||
950,525 | HUB International Ltd, Initial Term Loan, (3M LIBOR + 2.750%), 3.125%, 4/25/25 | 938,739 | ||
659,892 | NFP Corp, Closing Date Term Loan, (1M LIBOR + 3.250%), 3.707%, 2/15/27 | 647,110 | ||
1,134,961 | Sedgwick Claims Management Services Inc., Term Loan, (1M LIBOR + 3.250%), 3.459%, 12/31/25 | 1,122,192 | ||
1,052,007 | USI Inc., Term Loan B, (3M LIBOR + 3.000%), 4.006%, 5/16/24 | 1,044,096 | ||
5,158,298 |
Principal Amount | Market Value | |||
Bank Loans — 18.4%(D) (Continued) | ||||
Industrials — 1.4% | ||||
$ 97,700 | Ameriforge Group Inc., Term Loan Non-PIK, (3M LIBOR + 9.000%), 14.000%, 6/01/22 | $ 43,965 | ||
440,611 | CP Atlas Buyer Inc., Term B Loan, (1M LIBOR + 3.750%), 4.250%, 11/23/27 | 427,463 | ||
871,325 | Summit Materials LLC, New Term Loan B, (1M LIBOR + 2.000%), 2.457%, 11/21/24 | 867,282 | ||
848,137 | Transdigm Inc., Tranche F Refinancing Term Loan, (1M LIBOR + 2.250%), 2.707%, 12/09/25 | 833,294 | ||
715,589 | Vertical Midco Gmbh, Term Loan B, (3M LIBOR + 3.500%), 4.000%, 7/30/27 | 707,990 | ||
1,500,545 | Wilsonart LLC, Tranche E Term Loan, (3M LIBOR + 3.500%), 4.500%, 12/31/26 | 1,460,091 | ||
4,340,085 | ||||
Energy — 1.3% | ||||
2,209,637 | Gulf Finance LLC, (1M LIBOR + 6.750%), 7.750%, 8/25/26 | 2,013,930 | ||
852,145 | PES Holdings LLC, Tranche C Loan Non-PIK, (3M PRIME + 6.990%), 11.000%, 12/31/22 | 25,564 | ||
268,128 | Traverse Midstream Partners LLC, (3M Term SOFR + 4.250%), 5.250%, 9/27/24 | 266,675 | ||
1,723,066 | Woodford Express LLC, Initial Term Loan, (3M LIBOR + 5.000%), 6.000%, 1/27/25 | 1,697,220 | ||
4,003,389 | ||||
Materials — 0.3% | ||||
302,240 | Aruba Investments Holdings LLC, Second Lien Initial Term Loan, (6M LIBOR + 7.750%), 8.500%, 11/24/28 | 298,462 | ||
199,670 | BWay Holding Company, Initial Term Loan, (3M LIBOR + 3.250%), 3.481%, 4/03/24 | 196,591 | ||
452,464 | Tronox Finance LLC, First Lien Term Loan B, (3M LIBOR + 2.250%), 2.474%, 3/10/28 | 445,396 | ||
940,449 | ||||
Consumer Staples — 0.1% | ||||
411,531 | IRB Holding Corp., 3.750%, 2/05/25 | 408,650 | ||
Total Bank Loans | $58,127,439 | |||
Asset-Backed Securities — 8.3% | ||||
1,000,000 | Aimco CLO 11 Ltd. (Cayman Islands), Ser 2020-11A, Class ER, 144a, (3M LIBOR +6.200%), 6.441%, 10/17/34(G) | 965,495 | ||
575,000 | AIMCO CLO 16 Ltd. (Cayman Islands), Ser 2021-16A, Class SUB, 144a, 1/17/35(G)(H) | 550,419 | ||
340,000 | Atrium XV (Cayman Islands), Ser 15A, Class SUB, 144a, 1/23/31(G)(H) | 232,966 | ||
1,250,000 | Bain Capital Credit CLO Ltd. (Cayman Islands), Ser 2019-2A, Class ER, 144a, (3M LIBOR +6.320%), 6.561%, 10/17/32(G) | 1,192,160 | ||
620,000 | Bain Capital Credit CLO Ltd. (Cayman Islands), Ser 2021-2A, Class SUB, 144a, 7/16/34(G)(H) | 464,549 | ||
850,000 | Bain Capital Credit CLO Ltd. (Cayman Islands), Ser 2022-1A, Class SUB, 144a, 4/18/35(G)(H) | 734,612 | ||
1,000,000 | Barings CLO Ltd. (Cayman Islands), Ser 2021-2A, Class SUB, 144a, 7/15/34(G)(H) | 918,568 | ||
1,000,000 | Carlyle US CLO Ltd. (Cayman Islands), Ser 2021-10A, Class E, 144a, (3M LIBOR +6.500%), 6.622%, 10/20/34(G) | 978,953 | ||
1,000,000 | Carlyle US CLO Ltd. (Cayman Islands), Ser 2021-11A, Class E, 144a, (3M LIBOR +6.400%), 6.653%, 1/25/33(G) | 972,783 | ||
500,000 | Cedar Funding IV CLO Ltd. (Cayman Islands), Ser 2014-4A, Class ERR, 144a, (3M LIBOR +6.610%), 6.869%, 7/23/34(G) | 469,760 | ||
1,500,000 | CIFC Funding Ltd. (Cayman Islands), Ser 2015-4A, Class SUB, 144a, 4/20/34(G)(H) | 677,233 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 8.3% (Continued) | ||||
$1,000,000 | CIFC Funding Ltd., Ser 2019-4A, Class DR, 144a, (3M LIBOR +6.600%), 6.841%, 10/15/34(G) | $ 971,912 | ||
500,000 | CIFC Funding Ltd. (Cayman Islands), Ser 2020-3A, Class SUB, 144a, 10/20/34(G)(H) | 453,748 | ||
1,000,000 | CIFC Funding Ltd. (Cayman Islands), Ser 2021-7A, Class E, 144a, (3M LIBOR +6.350%), 6.478%, 1/23/35(G) | 969,261 | ||
250,000 | Dryden 45 Senior Loan Fund (Cayman Islands), Ser 2016-45A, Class ER, 144a, (3M LIBOR +5.850%), 6.091%, 10/15/30(G) | 238,321 | ||
250,000 | Dryden 57 CLO Ltd. (Cayman Islands), Ser 2018-57A, Class E, 144a, (3M LIBOR +5.200%), 5.706%, 5/15/31(G) | 228,247 | ||
1,000,000 | Dryden 76 CLO Ltd. (Cayman Islands), Ser 2019-76A, Class ER, 144a, (3M LIBOR +6.500%), 6.754%, 10/20/34(G) | 972,347 | ||
250,000 | Dryden 78 CLO Ltd. (Cayman Islands), Ser 2020-78A, Class SUB, 144a, 4/17/33(G)(H) | 213,551 | ||
650,000 | Dryden 98 CLO Ltd. (Cayman Islands), Ser 2022-98X, Class SUB, 4/20/35(H) | 580,426 | ||
250,000 | Elmwood CLO VIII Ltd. (Cayman Islands), Ser 2021-1A, Class F1, 144a, (3M LIBOR +8.000%), 8.254%, 1/20/34(G) | 244,458 | ||
500,000 | Fillmore Park CLO Ltd. (Cayman Islands), Ser 2018-1A, Class E, 144a, (3M LIBOR +5.400%), 5.641%, 7/15/30(G) | 472,261 | ||
1,000,000 | ICG US CLO Ltd. (Cayman Islands), Ser 2021-1A, Class SUB, 144a, 4/17/34(G)(H) | 759,591 | ||
750,000 | Invesco CLO Ltd. (Cayman Islands), Ser 2021-3A, Class SUB, 144a, 10/22/34(G)(H) | 577,511 | ||
75,000 | Invesco CLO Ltd. (Cayman Islands), Ser 2021-3A, Class Y, 144a, 10/22/34(G)(H) | 20,657 | ||
625,000 | Madison Park Funding LIII Ltd. (Cayman Islands), Ser 2022-53A, Class SUB, 144a, 4/21/35(I) | 562,500 | ||
1,000,000 | Madison Park Funding LIX Ltd. (Cayman Islands), Ser 2021-59X, Class SUB, 1/18/34(G)(H) | 1,025,754 | ||
300,000 | Madison Park Funding XII Ltd. (Cayman Islands), Ser 2014-12A, Class SUB, 144a, 7/20/26(G)(H) | 11,100 | ||
500,000 | Madison Park Funding XXII Ltd. (Cayman Islands), Ser 2016-22A, Class ER, 144a, (3M LIBOR +6.700%), 6.941%, 1/15/33(G) | 485,415 | ||
1,000,000 | Madison Park Funding XXII Ltd. (Cayman Islands), Ser 2016-22A, Class SUB, 144a, 1/15/33(G)(H) | 664,638 | ||
500,000 | Madison Park Funding XXVIII Ltd. (Cayman Islands), Ser 2018-28A, Class SUB, 144a, 7/15/30(G)(H) | 325,962 | ||
250,000 | Madison Park Funding XXXI Ltd. (Cayman Islands), Ser 2018-31A, Class SUB, 144a, 1/23/48(G)(H) | 196,301 | ||
540,000 | Madison Park Funding XXXVII Ltd. (Cayman Islands), Ser 2019-37A, Class SUB, 144a, 7/15/49(G)(H) | 503,752 | ||
1,000,000 | Magnetite XXIII Ltd. (Cayman Islands), Ser 2019-23A, Class ER, 144a, (3M LIBOR +6.300%), 6.421%, 1/25/35(G) | 969,643 | ||
500,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2018-1A, Class SUB, 144a, 10/20/30(G)(H) | 243,264 | ||
250,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2019-2A, Class D, 144a, (3M LIBOR +6.770%), 7.011%, 4/15/31(G) | 228,116 | ||
250,000 | Octagon Loan Funding Ltd. (Cayman Islands), Ser 2014-1A, Class DRR, 144a, (3M LIBOR +2.900%), 3.388%, 11/18/31(G) | 242,596 | ||
825,000 | OHA Credit Funding 4 Ltd. (Cayman Islands), Ser 2019-4A, Class ER, 144a, (3M LIBOR +6.400%), 6.659%, 10/22/36(G) | 808,544 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 8.3% (Continued) | ||||
$ 350,000 | OHA Loan Funding Ltd. (Cayman Islands), Ser 2016-1A, Class SUB, 144a, 1/20/33(G)(H) | $ 263,431 | ||
750,000 | Rockland Park CLO Ltd. (Cayman Islands), Ser 2021-1A, Class M1, 144a, 4/20/34(G)(H) | 3,599 | ||
750,000 | Rockland Park CLO Ltd. (Cayman Islands), Ser 2021-1A, Class M2, 144a, 4/20/34(G)(H) | 8,399 | ||
750,000 | Rockland Park CLO Ltd. (Cayman Islands), Ser 2021-1A, Class SUB, 144a, 4/20/34(G)(H) | 579,946 | ||
500,000 | RR 6 Ltd. (Cayman Islands), Ser 2019-6A, Class SUB, 144a, 4/15/36(G)(H) | 495,304 | ||
500,000 | Steele Creek CLO Ltd. (Cayman Islands), Ser 2019-2A, Class E, 144a, (3M LIBOR +7.700%), 7.941%, 7/15/32(G) | 475,186 | ||
250,000 | TCI-Flatiron CLO Ltd. (Cayman Islands), Ser 2017-1A, Class D, 144a, (3M LIBOR +2.750%), 3.219%, 11/18/30(G) | 243,046 | ||
500,000 | Thompson Park CLO Ltd. (Cayman Islands), Ser 2021-1A, Class E, 144a, (3M LIBOR +6.310%), 6.551%, 4/15/34(G) | 487,186 | ||
250,000 | Voya CLO Ltd. (Cayman Islands), Ser 2019-4X, Class ER, (3M LIBOR +6.710%), 6.950%, 1/15/35(G) | 240,214 | ||
1,000,000 | Voya CLO Ltd., Ser 2020-3A, Class ER, 144a, (3M LIBOR +6.400%), 6.654%, 10/20/34(G) | 954,441 | ||
850,000 | Voya CLO Ltd. (Cayman Islands), Ser 2021-1A, Class E, 144a, (3M LIBOR +6.350%), 6.591%, 7/15/34(G) | 813,507 | ||
250,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2018-3A, Class D, 144a, (3M LIBOR +6.250%), 6.504%, 1/20/32(G) | 233,734 | ||
250,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2018-3A, Class SUB, 144a, 1/20/32(G)(H) | 148,179 | ||
280,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2020-1A, Class SUB, 144a, 4/15/33(G)(H) | 195,957 | ||
Total Asset-Backed Securities | $26,269,503 |
Shares | ||||
Common Stocks — 1.1% | ||||
Energy — 1.0% | ||||
70,000 | Antero Resources Corp.* | 2,137,100 | ||
187,384 | Ascent Resources Marcellus Holdings, LLC | 0 | ||
9,907 | Foresight Energy LLC | 158,511 | ||
45,000 | Summit Midstream Partners LP* | 669,600 | ||
2,965,211 | ||||
Industrials — 0.1% | ||||
28,087 | Tutor Perini Corp.* | 303,340 | ||
Information Technology — 0.0% | ||||
14,309 | AFG Holdings, Inc. | 14,309 | ||
Total Common Stocks | $3,282,860 | |||
Exchange-Traded Fund — 0.4% | ||||
32,000 | Alerian MLP ETF† | 1,225,600 | ||
Warrants — 0.0% | ||||
Energy — 0.0% | ||||
48,515 | Ascent Resources Marcellus Holdings, LLC, Exp 3/30/23, Price 0.00* | 0 | ||
Total Warrants | $0 |
Number of Contracts | Notional Amount | MarketValue | ||
Purchased Options — 0.1% | ||||
Purchased Call Options — 0.0% | ||||
64 | Chicago Board Options Exchange Volatility Index, Strike @60.00, Exp 04/22(A) | $ 131,584 | $ 960 | |
Purchased Put Options — 0.1% | ||||
1,500 | SPDR S&P 500 ETF Trust, Strike @375.00, Exp 05/22(A) | 67,746,000 | 174,000 | |
Total Purchased Options | $174,960 |
Shares | ||||
Short-Term Investment Funds — 4.5% | ||||
4,320,707 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | 4,320,707 | ||
9,754,757 | Invesco Government & Agency Portfolio, Institutional Class, 0.25%∞Ω** | 9,754,757 | ||
Total Short-Term Investment Funds | $14,075,464 | |||
Total Long Positions—100.0% (Cost $328,133,547) | $315,151,731 | |||
Securities Sold Short — (0.2)% |
Principal Amount | ||||
Corporate Bonds — (0.2)% | ||||
Consumer Discretionary — (0.2)% | ||||
$ (615,000) | WW International, Inc., 4.500%, 4/15/29 | (497,984) | ||
Total Securities Sold Short (Proceeds $594,481) | $(497,984) |
Number of Contracts | Notional Amount | |||
Written Options — (0.0)% | ||||
Written Call Options — (0.0)% | ||||
64 | Chicago Board Options Exchange Volatility Index, Strike @70.00, Exp 04/22 | $ 131,584 | (640) | |
Total Written Options (Premiums received $9,156) | $(640) | |||
Total Investment Securities—99.8% | $314,653,107 | |||
Other Assets in Excess of Liabilities — 0.2% | 705,002 | |||
Net Assets — 100.0% | $315,358,109 |
(A) | All or a portion of these securities are pledged as collateral for securities sold short. The total value of the securities pledged as collateral as of March 31, 2022 was $5,179,839. |
(B) | Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amounts. |
(C) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(D) | Bank loans pay interest at rates which adjust periodically unless otherwise indicated. The interest rates shown are the current interest rates as of March 31, 2022. |
(E) | The referenced index is less than 0.00% at March 31, 2022. The loan has an interest rate floor whereby the floating rate used the coupon rate calculation cannot be less than zero. |
(F) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(G) | Variable rate security - Rate reflected is the rate in effect as of March 31, 2022. |
(H) | Security has no stated coupon and is considered an equity position in the collateralized loan obligation (“CLO”). CLO equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. |
(I) | Level 3- For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Financial Statements. |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2022 was $8,827,971. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
ETF – Exchange-Traded Fund |
EUR – Euro |
EURIBOR – Euro Interbank Offered Rate |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LLLP – Limited Liability Limited Partnership |
LP – Limited Partnership |
MLP – Master Limited Partnership |
PIK – Payment In Kind |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
S&P – Standard & Poor's |
SOFR – Secured Overnight Financing Rate |
SPDR – Standard & Poor's Depositary Receipt |
USD – United States Dollar |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities were valued at $208,251,794 or 66.0% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $211,995,905 | $— | $211,995,905 |
Bank Loans | — | 58,127,439 | — | 58,127,439 |
Asset-Backed Securities | — | 25,707,003 | 562,500 | 26,269,503 |
Common Stocks | 3,110,040 | 172,820 | — | 3,282,860 |
Exchange-Traded Fund | 1,225,600 | — | — | 1,225,600 |
Warrants | — | 0 | — | 0 |
Purchased Call Options | ||||
Equity contracts | 960 | — | — | 960 |
Purchased Put Options | ||||
Equity contracts | 174,000 | — | — | 174,000 |
Short-Term Investment Funds | 14,075,464 | — | — | 14,075,464 |
Other Financial Instruments | ||||
Swap Agreements | ||||
Credit contracts | — | 8,498 | — | 8,498 |
Total Assets | $18,586,064 | $296,011,665 | $562,500 | $315,160,229 |
Liabilities: | ||||
Securities Sold Short | ||||
Corporate Bonds | $— | $(497,984) | $— | $(497,984) |
Other Financial Instruments* | ||||
Swap Agreements | ||||
Credit contracts | — | (24,385) | — | (24,385) |
Written Options | ||||
Equity contracts | (640) | — | — | (640) |
Foreign currency exchange contracts | — | (25,240) | — | (25,240) |
Total Liabilities | $(640) | $(547,609) | $— | $(548,249) |
Total | $18,585,424 | $295,464,056 | $562,500 | $314,611,980 |
* | Other Financial Instruments are derivative instruments not reflected in total investments. Amounts shown represent unrealized appreciation (depreciation) on swaps and forward foreign currency contracts on the Statement of Assets and Liabilities. |
Measurements Using Unobservable Inputs (Level 3) | |
Assets | |
Beginning balance, September 30, 2021 | $1 |
Transfer into Level 3 | — |
Purchases and Sales | 562,499 |
Change in unrealized appreciation (depreciation) | — |
Ending balance, March 31, 2022 | $562,500 |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at March 31, 2022 | $— |
Asset-Backed Securities | Fair Value | Valuation Technique | Unobservable Input |
Madison Park Funding LIII Ltd. | $562,500 | Cost | N/A |
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums (Received) | Unrealized Appreciation/ Depreciation |
Wells Fargo | 6/20/25 | $500,000 | 5.000% | ICE | American Axle & Manufacturing Inc. USD SR 5Y D14 | $(27,082) | $(2,697) | $(24,385) |
Wells Fargo | 12/20/25 | $574,281 | 5.000% | ICE | Markit CDX North America High Yield Series 35 5Y Index | $(36,323) | $(44,821) | $8,498 |
$(15,887) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Contract to | ||||||
Counterparty | Expiration Date | Receive | Deliver | Unrealized Depreciation | ||
Wells Fargo | 4/28/2022 | USD | 5,129,440 | EUR | 4,655,763 | $(25,240) |
Shares | Market Value | |||
Common Stocks — 99.7% | ||||
Information Technology — 24.5% | ||||
158,927 | Analog Devices, Inc. | $ 26,251,562 | ||
382,991 | Apple, Inc. | 66,874,058 | ||
192,364 | Automatic Data Processing, Inc. | 43,770,504 | ||
103,501 | Broadcom, Inc. | 65,172,510 | ||
1,172,487 | Cisco Systems, Inc. | 65,377,875 | ||
1,138,323 | Intel Corp. | 56,415,288 | ||
439,651 | International Business Machines Corp. | 57,163,423 | ||
161,454 | KLA Corp. | 59,101,851 | ||
417,532 | Microsoft Corp. | 128,729,291 | ||
852,757 | Oracle Corp. | 70,548,587 | ||
357,010 | Paychex, Inc. | 48,721,155 | ||
340,741 | QUALCOMM, Inc. | 52,072,040 | ||
285,206 | Texas Instruments, Inc. | 52,329,597 | ||
280,248 | Visa, Inc. - Class A | 62,150,599 | ||
854,678,340 | ||||
Health Care — 14.0% | ||||
186,910 | AbbVie, Inc. | 30,299,980 | ||
206,140 | AmerisourceBergen Corp. | 31,891,919 | ||
1,091,643 | Bristol-Myers Squibb Co. | 79,722,688 | ||
476,997 | CVS Health Corp. | 48,276,866 | ||
265,968 | Gilead Sciences, Inc. | 15,811,798 | ||
425,495 | Johnson & Johnson | 75,410,479 | ||
471,372 | Medtronic PLC | 52,298,724 | ||
643,123 | Merck & Co., Inc. | 52,768,242 | ||
646,597 | Pfizer, Inc. | 33,474,327 | ||
133,805 | UnitedHealth Group, Inc. | 68,236,536 | ||
488,191,559 | ||||
Financials — 12.1% | ||||
164,556 | Arthur J Gallagher & Co. | 28,731,478 | ||
881,380 | Bank of America Corp. | 36,330,484 | ||
68,062 | BlackRock, Inc. | 52,010,939 | ||
166,279 | Goldman Sachs Group, Inc. (The) | 54,888,698 | ||
2,064,032 | Huntington Bancshares, Inc. | 30,176,148 | ||
250,545 | JPMorgan Chase & Co. | 34,154,294 | ||
407,211 | Principal Financial Group, Inc. | 29,893,359 | ||
343,496 | Prudential Financial, Inc. | 40,590,922 | ||
136,847 | T Rowe Price Group, Inc. | 20,689,898 | ||
418,053 | Truist Financial Corp. | 23,703,605 | ||
408,383 | US Bancorp | 21,705,556 | ||
973,523 | Wells Fargo & Co. | 47,176,925 | ||
420,052,306 | ||||
Consumer Discretionary — 9.8% | ||||
215,491 | Dollar General Corp. | 47,974,761 | ||
149,868 | Home Depot, Inc. (The) | 44,859,989 | ||
224,129 | McDonald's Corp. | 55,422,619 | ||
601,380 | Starbucks Corp. | 54,707,539 | ||
131,296 | Target Corp. | 27,863,637 | ||
555,468 | VF Corp. | 31,583,911 | ||
153,381 | Whirlpool Corp. | 26,501,169 | ||
444,410 | Yum! Brands, Inc. | 52,675,917 | ||
341,589,542 | ||||
Industrials — 8.9% | ||||
259,941 | 3M Co. | 38,700,016 | ||
203,173 | Caterpillar, Inc. | 45,271,008 | ||
104,761 | Cummins, Inc. | 21,487,529 | ||
84,275 | Deere & Co. | 35,012,891 | ||
217,446 | Eaton Corp. PLC | 32,999,605 | ||
139,975 | Lockheed Martin Corp. | 61,784,965 |
Shares | Market Value | |||
Industrials — (Continued) | ||||
60,325 | Parker-Hannifin Corp. | $ 17,117,822 | ||
583,071 | Raytheon Technologies Corp. | 57,764,844 | ||
310,138,680 | ||||
Communication Services — 7.8% | ||||
1,985,582 | AT&T, Inc. | 46,919,303 | ||
1,257,419 | Comcast Corp. - Class A | 58,872,358 | ||
822,283 | Fox Corp. - Class A | 32,439,064 | ||
989,372 | Interpublic Group of Cos., Inc. (The) | 35,073,237 | ||
423,110 | Omnicom Group, Inc. | 35,913,577 | ||
1,211,591 | Verizon Communications, Inc. | 61,718,445 | ||
270,935,984 | ||||
Consumer Staples — 6.9% | ||||
815,233 | Coca-Cola Co. (The) | 50,544,446 | ||
313,824 | PepsiCo, Inc. | 52,527,861 | ||
603,747 | Philip Morris International, Inc. | 56,715,993 | ||
484,201 | Sysco Corp. | 39,535,012 | ||
266,031 | Walmart, Inc. | 39,617,336 | ||
238,940,648 | ||||
Energy — 6.5% | ||||
384,726 | Chevron Corp. | 62,644,934 | ||
673,625 | Exxon Mobil Corp. | 55,634,689 | ||
586,207 | Phillips 66 | 50,642,423 | ||
571,932 | Valero Energy Corp. | 58,073,975 | ||
226,996,021 | ||||
Utilities — 3.8% | ||||
659,259 | Dominion Energy, Inc. | 56,017,237 | ||
324,003 | Duke Energy Corp. | 36,178,175 | ||
492,677 | NextEra Energy, Inc. | 41,734,669 | ||
133,930,081 | ||||
Materials — 2.8% | ||||
151,927 | Air Products & Chemicals, Inc. | 37,968,077 | ||
825,149 | DuPont de Nemours, Inc. | 60,714,463 | ||
98,682,540 | ||||
Real Estate — 2.6% | ||||
153,567 | Alexandria Real Estate Equities, Inc. REIT | 30,905,359 | ||
134,756 | American Tower Corp. REIT | 33,853,402 | ||
199,193 | Simon Property Group, Inc. REIT | 26,205,831 | ||
90,964,592 | ||||
Total Common Stocks | $3,475,100,293 | |||
Short-Term Investment Fund — 0.5% | ||||
18,218,974 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | 18,218,974 | ||
Total Investment Securities—100.2% (Cost $3,230,133,705) | $3,493,319,267 | |||
Liabilities in Excess of Other Assets — (0.2%) | (6,044,046) | |||
Net Assets — 100.0% | $3,487,275,221 |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $3,475,100,293 | $— | $— | $3,475,100,293 |
Short-Term Investment Fund | 18,218,974 | — | — | 18,218,974 |
Total | $3,493,319,267 | $— | $— | $3,493,319,267 |
Principal Amount | Market Value | |||
Corporate Bonds — 93.8% | ||||
Communication Services — 17.1% | ||||
$ 666,000 | Altice Financing SA (Luxembourg), 144a, 5.750%, 8/15/29 | $ 604,189 | ||
483,000 | Altice Financing SA (Luxembourg), 144a, 5.000%, 1/15/28 | 432,937 | ||
540,000 | Altice France Holding SA (Luxembourg), 144a, 10.500%, 5/15/27 | 565,650 | ||
514,000 | Altice France SA (France), 144a, 5.125%, 7/15/29 | 460,672 | ||
446,000 | Altice France SA (France), 144a, 5.500%, 10/15/29 | 400,187 | ||
478,000 | Belo Corp., 7.250%, 9/15/27 | 535,360 | ||
434,000 | Cars.com, Inc., 144a, 6.375%, 11/1/28 | 430,906 | ||
638,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 578,985 | ||
398,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 5.375%, 6/1/29 | 398,000 | ||
836,000 | Connect Finco SARL / Connect US Finco LLC (United Kingdom), 144a, 6.750%, 10/1/26 | 850,538 | ||
1,212,000 | CSC Holdings LLC, 144a, 3.375%, 2/15/31 | 1,021,025 | ||
1,268,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 1,060,416 | ||
720,000 | CSC Holdings LLC, 144a, 5.750%, 1/15/30 | 645,633 | ||
1,227,000 | Directv Financing LLC / Directv Financing Co-Obligor, Inc., 144a, 5.875%, 8/15/27 | 1,207,736 | ||
607,000 | DISH DBS Corp., 144a, 5.250%, 12/1/26 | 577,834 | ||
574,000 | DISH DBS Corp., 7.750%, 7/1/26 | 569,325 | ||
351,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., 144a, 3.500%, 3/1/29 | 322,043 | ||
842,000 | Gray Escrow II, Inc., 144a, 5.375%, 11/15/31 | 805,133 | ||
330,000 | Gray Television, Inc., 144a, 7.000%, 5/15/27 | 343,893 | ||
245,000 | LCPR Senior Secured Financing DAC, 144a, 5.125%, 7/15/29 | 233,900 | ||
400,000 | LCPR Senior Secured Financing DAC, 144a, 6.750%, 10/15/27 | 410,920 | ||
909,000 | LogMeIn, Inc., 144a, 5.500%, 9/1/27 | 848,424 | ||
266,000 | Lumen Technologies, Inc., 144a, 5.375%, 6/15/29 | 236,385 | ||
240,000 | Nexstar Media, Inc., 144a, 4.750%, 11/1/28 | 233,705 | ||
629,000 | Nexstar Media, Inc., 144a, 5.625%, 7/15/27 | 637,649 | ||
750,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 144a, 4.750%, 4/30/27 | 712,125 | ||
691,000 | Photo Holdings Merger Sub, Inc., 144a, 8.500%, 10/1/26 | 658,482 | ||
408,000 | Sprint Capital Corp., 6.875%, 11/15/28 | 473,292 | ||
1,543,000 | Stagwell Global, 144a, 5.625%, 8/15/29 | 1,462,347 | ||
612,000 | Station Casinos LLC, 144a, 4.625%, 12/1/31 | 559,796 | ||
230,000 | Telecom Italia Capital SA (Italy), 6.000%, 9/30/34 | 216,216 | ||
562,000 | Telecom Italia Capital SA (Italy), 6.375%, 11/15/33 | 541,127 | ||
334,000 | T-Mobile USA, Inc., 144a, 3.375%, 4/15/29 | 318,345 | ||
376,000 | Vmed O2 UK Financing I PLC (United Kingdom), 144a, 4.250%, 1/31/31 | 343,897 | ||
324,000 | VZ Secured Financing BV (Netherlands), 144a, 5.000%, 1/15/32 | 302,940 | ||
450,000 | Ziggo Bond Co. BV (Netherlands), 144a, 5.125%, 2/28/30 | 418,784 | ||
20,418,796 | ||||
Industrials — 16.4% | ||||
781,000 | American Axle & Manufacturing, Inc., 5.000%, 10/1/29† | 732,687 | ||
683,000 | American Builders & Contractors Supply Co., Inc., 144a, 3.875%, 11/15/29 | 636,897 | ||
398,000 | BWX Technologies, Inc., 144a, 4.125%, 6/30/28 | 383,573 | ||
697,000 | Canpack SA / Canpack US LLC (Poland), 144a, 3.875%, 11/15/29 | 610,161 | ||
1,382,000 | Cimpress PLC (Ireland), 144a, 7.000%, 6/15/26 | 1,323,680 | ||
293,000 | Covanta Holding Corp., 144a, 4.875%, 12/1/29 | 278,350 |
Principal Amount | Market Value | |||
Industrials — (Continued) | ||||
$ 415,000 | Delta Air Lines, Inc., 3.750%, 10/28/29† | $ 379,007 | ||
748,000 | Dycom Industries, Inc., 144a, 4.500%, 4/15/29 | 704,990 | ||
976,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 6.500%, 10/1/25 | 966,240 | ||
789,000 | FXI Holdings, Inc., 144a, 7.875%, 11/1/24 | 785,852 | ||
348,000 | GFL Environmental, Inc. (Canada), 144a, 3.500%, 9/1/28 | 327,228 | ||
599,000 | Granite US Holdings Corp., 144a, 11.000%, 10/1/27 | 631,945 | ||
937,000 | H&E Equipment Services, Inc., 144a, 3.875%, 12/15/28 | 877,276 | ||
467,000 | Howmet Aerospace, Inc., 3.000%, 1/15/29 | 426,429 | ||
86,000 | Howmet Aerospace, Inc., 5.950%, 2/1/37 | 92,070 | ||
214,000 | Howmet Aerospace, Inc., 6.750%, 1/15/28 | 232,190 | ||
1,165,000 | Imola Merger Corp., 144a, 4.750%, 5/15/29 | 1,121,848 | ||
685,000 | Meritor, Inc., 144a, 4.500%, 12/15/28 | 685,890 | ||
159,000 | Meritor, Inc., 144a, 6.250%, 6/1/25 | 164,168 | ||
937,000 | MIWD Holdco II LLC / MIWD Finance Corp., 144a, 5.500%, 2/1/30 | 871,551 | ||
606,000 | Moog, Inc., 144a, 4.250%, 12/15/27 | 591,426 | ||
652,000 | New Enterprise Stone & Lime Co., Inc., 144a, 5.250%, 7/15/28 | 626,820 | ||
221,000 | OI European Group BV, 144a, 4.750%, 2/15/30 | 205,353 | ||
364,000 | Owens-Brockway Glass Container, Inc., 144a, 6.625%, 5/13/27 | 362,180 | ||
970,000 | Pactiv Evergreen Group Issuer Inc / Pactiv Evergreen Group Issuer LLC, 144a, 4.000%, 10/15/27 | 899,675 | ||
700,000 | PECF USS Intermediate Holding III Corp., 144a, 8.000%, 11/15/29 | 675,500 | ||
479,000 | Seaspan Corp. (Hong Kong), 144a, 5.500%, 8/1/29 | 447,865 | ||
313,000 | SPCM SA (France), 144a, 3.125%, 3/15/27 | 287,960 | ||
226,000 | Spirit AeroSystems, Inc., 144a, 7.500%, 4/15/25 | 234,148 | ||
412,000 | Standard Industries, Inc., 144a, 3.375%, 1/15/31 | 361,015 | ||
193,000 | Standard Industries, Inc., 144a, 5.000%, 2/15/27 | 191,493 | ||
319,000 | Stericycle, Inc., 144a, 3.875%, 1/15/29 | 296,670 | ||
495,000 | TK Elevator US Newco, Inc. (Germany), 144a, 5.250%, 7/15/27 | 491,401 | ||
1,000,000 | TransDigm, Inc., 4.625%, 1/15/29 | 934,970 | ||
745,000 | Vertiv Group Corp., 144a, 4.125%, 11/15/28 | 679,898 | ||
19,518,406 | ||||
Energy — 15.2% | ||||
627,000 | Antero Resources Corp., 144a, 5.375%, 3/1/30 | 641,107 | ||
510,000 | Antero Resources Corp., 144a, 7.625%, 2/1/29 | 551,274 | ||
1,026,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 6.625%, 7/15/26 | 1,042,108 | ||
458,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 7.625%, 12/15/25 | 478,610 | ||
297,000 | Bristow Group, Inc., 144a, 6.875%, 3/1/28 | 300,713 | ||
691,000 | California Resources Corp., 144a, 7.125%, 2/1/26 | 718,136 | ||
830,000 | Civitas Resources, Inc., 144a, 5.000%, 10/15/26 | 822,762 | ||
1,662,000 | CQP Holdco LP / BIP-V Chinook Holdco LLC, 144a, 5.500%, 6/15/31 | 1,635,304 | ||
610,000 | Crescent Energy Finance LLC, 144a, 7.250%, 5/1/26 | 612,843 | ||
467,000 | CVR Energy, Inc., 144a, 5.250%, 2/15/25 | 453,256 | ||
432,000 | DCP Midstream Operating LP, 144a, 5.850%, 5/21/43 | 401,954 | ||
1,277,000 | Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 1,269,044 | ||
414,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 5.750%, 2/1/29 | 414,248 | ||
534,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 6.250%, 11/1/28 | 540,862 | ||
326,000 | MEG Energy Corp. (Canada), 144a, 7.125%, 2/1/27 | 341,322 | ||
724,000 | Murphy Oil Corp., 6.375%, 7/15/28 | 753,865 | ||
326,000 | Nabors Industries, Inc., 144a, 7.375%, 5/15/27 | 339,161 |
Principal Amount | Market Value | |||
Corporate Bonds — 93.8% (Continued) | ||||
Energy — (Continued) | ||||
$ 861,000 | NuStar Logistics LP, 5.625%, 4/28/27 | $ 842,381 | ||
531,000 | NuStar Logistics LP, 6.000%, 6/1/26 | 541,694 | ||
366,000 | Occidental Petroleum Corp., 4.200%, 3/15/48 | 342,210 | ||
923,000 | Parkland Corp. (Canada), 144a, 4.500%, 10/1/29 | 855,755 | ||
756,000 | Precision Drilling Corp. (Canada), 144a, 6.875%, 1/15/29 | 767,340 | ||
268,000 | Range Resources Corp., 144a, 4.750%, 2/15/30 | 266,172 | ||
245,000 | Rockies Express Pipeline LLC, 144a, 4.950%, 7/15/29 | 237,341 | ||
101,000 | Southwestern Energy Co., 4.750%, 2/1/32 | 100,874 | ||
788,000 | Southwestern Energy Co., 8.375%, 9/15/28 | 866,800 | ||
165,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 5.500%, 1/15/28 | 159,638 | ||
782,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 12/31/30 | 758,814 | ||
584,000 | TerraForm Power Operating LLC, 144a, 5.000%, 1/31/28 | 583,518 | ||
180,000 | Weatherford International Ltd., 144a, 6.500%, 9/15/28 | 185,395 | ||
256,000 | Weatherford International Ltd., 144a, 8.625%, 4/30/30 | 259,930 | ||
18,084,431 | ||||
Consumer Discretionary — 10.2% | ||||
617,000 | Adient Global Holdings Ltd., 144a, 4.875%, 8/15/26 | 588,464 | ||
766,000 | American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 144a, 5.750%, 4/20/29 | 763,127 | ||
415,000 | Bath & Body Works, Inc., 5.250%, 2/1/28 | 419,503 | ||
829,000 | Carnival Corp., 144a, 6.000%, 5/1/29 | 781,200 | ||
532,000 | Carnival Corp., 144a, 9.875%, 8/1/27 | 588,030 | ||
449,000 | Carriage Services, Inc., 144a, 4.250%, 5/15/29 | 419,366 | ||
477,000 | Coty, Inc. / HFC Prestige Products, Inc. / HFC Prestige International US LLC, 144a, 4.750%, 1/15/29 | 444,802 | ||
423,000 | Dana, Inc., 4.250%, 9/1/30 | 387,130 | ||
381,000 | Ford Motor Co., 3.250%, 2/12/32 | 339,715 | ||
1,318,000 | Ford Motor Credit Co. LLC, 2.900%, 2/10/29 | 1,172,625 | ||
372,000 | Hilton Domestic Operating Co., Inc., 144a, 3.625%, 2/15/32 | 334,800 | ||
445,000 | International Game Technology PLC, 144a, 6.250%, 1/15/27 | 468,785 | ||
692,000 | JB Poindexter & Co., Inc., 144a, 7.125%, 4/15/26 | 703,951 | ||
617,000 | KB Home, 4.000%, 6/15/31 | 558,374 | ||
298,000 | Royal Caribbean Cruises Ltd., 144a, 5.375%, 7/15/27 | 286,312 | ||
172,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/27 | 182,750 | ||
706,000 | Sonic Automotive, Inc., 144a, 4.625%, 11/15/29 | 630,987 | ||
568,000 | Speedway Motorsports LLC / Speedway Funding II, Inc., 144a, 4.875%, 11/1/27 | 552,380 | ||
485,000 | Tempur Sealy International, Inc., 144a, 3.875%, 10/15/31 | 414,069 | ||
671,000 | Thor Industries, Inc., 144a, 4.000%, 10/15/29 | 589,071 | ||
340,000 | United Airlines, Inc., 144a, 4.625%, 4/15/29 | 323,323 | ||
238,000 | WW International, Inc., 144a, 4.500%, 4/15/29 | 192,716 | ||
1,108,000 | Wynn Macau Ltd. (Macao), 144a, 4.875%, 10/1/24 | 1,037,897 | ||
12,179,377 | ||||
Consumer Staples — 8.7% | ||||
580,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.000%, 10/15/30 | 526,318 | ||
446,000 | ACCO Brands Corp., 144a, 4.250%, 3/15/29 | 409,204 | ||
407,000 | AHP Health Partners, Inc., 144a, 5.750%, 7/15/29 | 378,510 | ||
1,163,000 | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144a, 5.875%, 2/15/28 | 1,163,000 | ||
328,000 | Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144a, 5.750%, 7/15/27 | 328,820 | ||
795,000 | BellRing Brands, Inc., 144a, 7.000%, 3/15/30 | 813,070 | ||
699,000 | Gap, Inc. (The), 144a, 3.875%, 10/1/31 | 608,899 | ||
573,000 | Macy's Retail Holdings LLC, 144a, 5.875%, 4/1/29 | 568,703 | ||
864,000 | Papa John's International, Inc., 144a, 3.875%, 9/15/29 | 793,083 |
Principal Amount | Market Value | |||
Consumer Staples — (Continued) | ||||
$1,017,000 | Performance Food Group, Inc., 144a, 4.250%, 8/1/29 | $ 926,741 | ||
314,000 | Post Holdings, Inc., 144a, 4.625%, 4/15/30 | 282,741 | ||
908,000 | Primo Water Holdings, Inc. (Canada), 144a, 4.375%, 4/30/29 | 821,831 | ||
684,000 | QVC, Inc., 4.375%, 9/1/28 | 624,063 | ||
448,000 | QVC, Inc., 4.750%, 2/15/27 | 428,960 | ||
1,374,000 | Turning Point Brands, Inc., 144a, 5.625%, 2/15/26 | 1,332,780 | ||
298,000 | US Foods, Inc., 144a, 4.625%, 6/1/30 | 276,395 | ||
147,000 | Wolverine World Wide, Inc., 144a, 4.000%, 8/15/29 | 130,463 | ||
10,413,581 | ||||
Health Care — 8.0% | ||||
592,000 | AdaptHealth LLC, 144a, 4.625%, 8/1/29 | 535,760 | ||
293,000 | AdaptHealth LLC, 144a, 5.125%, 3/1/30 | 272,124 | ||
607,000 | Avantor Funding, Inc., 144a, 3.875%, 11/1/29 | 570,580 | ||
464,000 | Bausch Health Americas, Inc., 144a, 8.500%, 1/31/27 | 463,661 | ||
373,000 | Bausch Health Cos. Inc., 144a, 5.250%, 2/15/31 | 291,872 | ||
187,000 | Bausch Health Cos. Inc., 144a, 7.000%, 1/15/28 | 167,417 | ||
264,000 | Bausch Health Cos., Inc., 144a, 4.875%, 6/1/28 | 252,780 | ||
339,000 | CHS / Community Health Systems, Inc., 144a, 5.250%, 5/15/30 | 325,792 | ||
441,000 | DaVita, Inc., 144a, 3.750%, 2/15/31 | 386,426 | ||
466,000 | DaVita, Inc., 144a, 4.625%, 6/1/30 | 436,456 | ||
400,000 | HLF Financing Sarl LLC / Herbalife International, Inc., 144a, 4.875%, 6/1/29 | 350,868 | ||
1,105,000 | MEDNAX, Inc., 144a, 5.375%, 2/15/30 | 1,068,016 | ||
330,000 | ModivCare, Inc., 144a, 5.875%, 11/15/25 | 333,300 | ||
692,000 | Molina Healthcare, Inc., 144a, 3.875%, 5/15/32 | 658,057 | ||
413,000 | Mozart Debt Merger Sub, Inc., 144a, 3.875%, 4/1/29 | 381,509 | ||
412,000 | Mozart Debt Merger Sub, Inc., 144a, 5.250%, 10/1/29 | 385,072 | ||
522,000 | Option Care Health, Inc., 144a, 4.375%, 10/31/29 | 489,375 | ||
444,000 | Tenet Healthcare Corp., 144a, 4.250%, 6/1/29 | 426,986 | ||
730,000 | Tenet Healthcare Corp., 144a, 4.375%, 1/15/30 | 700,749 | ||
729,000 | Teva Pharmaceutical Finance Netherlands III BV (Israel), 3.150%, 10/1/26 | 660,751 | ||
452,000 | Teva Pharmaceutical Finance Netherlands III BV (Israel), 4.750%, 5/9/27 | 436,039 | ||
9,593,590 | ||||
Financials — 5.7% | ||||
2,401,000 | ESC GCB Unit Corp. ESCROW, 6.625%, 5/15/51(A) | 0 | ||
440,000 | FirstCash, Inc., 144a, 4.625%, 9/1/28 | 409,750 | ||
328,000 | FirstCash, Inc., 144a, 5.625%, 1/1/30 | 315,962 | ||
611,000 | Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.250%, 5/15/27 | 599,651 | ||
807,000 | Jane Street Group / JSG Finance, Inc., 144a, 4.500%, 11/15/29 | 764,705 | ||
400,000 | MGIC Investment Corp., 5.250%, 8/15/28 | 395,164 | ||
692,000 | Navient Corp., 5.875%, 10/25/24 | 700,650 | ||
315,000 | OneMain Finance Corp., 3.875%, 9/15/28 | 285,072 | ||
228,000 | OneMain Finance Corp., 4.000%, 9/15/30 | 201,210 | ||
399,000 | OneMain Finance Corp., 6.625%, 1/15/28 | 417,079 | ||
89,000 | PennyMac Financial Services, Inc., 144a, 4.250%, 2/15/29 | 76,362 | ||
273,000 | PennyMac Financial Services, Inc., 144a, 5.375%, 10/15/25 | 270,270 | ||
414,000 | PennyMac Financial Services, Inc., 144a, 5.750%, 9/15/31 | 368,977 | ||
741,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144a, 5.750%, 4/15/26 | 755,950 |
Principal Amount | Market Value | |||
Corporate Bonds — 93.8% (Continued) | ||||
Financials — (Continued) | ||||
$ 718,000 | Rocket Mortgage LLC / Rocket Mortgage Co.-Issuer, Inc., 144a, 2.875%, 10/15/26 | $ 658,115 | ||
661,000 | Rocket Mortgage LLC / Rocket Mortgage Co.-Issuer, Inc., 144a, 3.875%, 3/1/31 | 594,900 | ||
6,813,817 | ||||
Materials — 4.4% | ||||
355,000 | Arconic Corp., 144a, 6.125%, 2/15/28 | 356,195 | ||
938,000 | Clearwater Paper Corp., 144a, 4.750%, 8/15/28 | 871,167 | ||
650,000 | Cleveland-Cliffs, Inc., 144a, 4.875%, 3/1/31 | 641,368 | ||
233,000 | Hudbay Minerals, Inc. (Canada), 144a, 4.500%, 4/1/26 | 227,175 | ||
356,000 | Hudbay Minerals, Inc. (Canada), 144a, 6.125%, 4/1/29 | 366,680 | ||
275,000 | INEOS Quattro Finance 2 PLC (United Kingdom), 144a, 3.375%, 1/15/26 | 254,490 | ||
443,000 | Kaiser Aluminum Corp., 144a, 4.500%, 6/1/31 | 397,123 | ||
243,000 | Kaiser Aluminum Corp., 144a, 4.625%, 3/1/28 | 228,797 | ||
594,000 | Mercer International, Inc. (Germany), 5.125%, 2/1/29 | 573,210 | ||
775,000 | NOVA Chemicals Corp. (Canada), 144a, 4.250%, 5/15/29 | 713,806 | ||
596,000 | Tronox, Inc., 144a, 4.625%, 3/15/29 | 557,260 | ||
5,187,271 | ||||
Information Technology — 3.7% | ||||
482,000 | Booz Allen Hamilton, Inc., 144a, 4.000%, 7/1/29 | 470,644 | ||
587,000 | Clarivate Science Holdings Corp., 144a, 4.875%, 7/1/29 | 552,255 | ||
693,000 | Minerva Merger Sub, Inc., 144a, 6.500%, 2/15/30 | 673,873 | ||
145,000 | NCR Corp., 144a, 5.125%, 4/15/29 | 139,533 | ||
299,000 | NCR Corp., 144a, 5.750%, 9/1/27 | 299,000 | ||
448,000 | Open Text Corp. (Canada), 144a, 3.875%, 12/1/29 | 425,600 | ||
560,000 | Open Text Corp. (Canada), 144a, 3.875%, 2/15/28 | 536,911 | ||
986,000 | TTM Technologies, Inc., 144a, 4.000%, 3/1/29 | 912,050 | ||
361,000 | Ziff Davis, Inc., 144a, 4.625%, 10/15/30 | 345,732 | ||
4,355,598 | ||||
Real Estate — 3.1% | ||||
450,000 | CTR Partnership LP / CareTrust Capital Corp. REIT, 144a, 3.875%, 6/30/28 | 423,000 | ||
535,000 | Diversified Healthcare Trust REIT, 4.750%, 2/15/28 | 487,139 | ||
431,000 | Diversified Healthcare Trust REIT, 9.750%, 6/15/25 | 453,627 | ||
325,000 | Howard Hughes Corp. (The), 144a, 4.375%, 2/1/31 | 305,663 | ||
132,000 | Iron Mountain, Inc. REIT, 144a, 4.500%, 2/15/31 | 121,903 | ||
301,000 | Iron Mountain, Inc. REIT, 144a, 4.875%, 9/15/29 | 286,513 | ||
112,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 3/15/28 | 110,357 | ||
660,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 7/15/30 | 646,800 | ||
515,000 | RHP Hotel Properties LP / RHP Finance Corp. REIT, 144a, 4.500%, 2/15/29 | 484,100 | ||
420,000 | Service Properties Trust REIT, 4.650%, 3/15/24 | 404,267 | ||
3,723,369 | ||||
Utilities — 1.3% | ||||
75,000 | AmeriGas Partners LP / AmeriGas Finance Corp., 5.750%, 5/20/27 | 74,625 | ||
425,000 | Calpine Corp., 144a, 4.500%, 2/15/28 | 414,579 | ||
615,000 | Edison International, 5.000%(B) | 577,177 | ||
561,000 | Vistra Operations Co. LLC, 144a, 4.375%, 5/1/29 | 530,145 | ||
1,596,526 | ||||
Total Corporate Bonds | $111,884,762 |
Shares | MarketValue | |||
Common Stocks — 2.1% | ||||
Energy — 2.1% | ||||
41,410 | Unit Corp.*† | $ 2,548,786 | ||
Short-Term Investment Funds — 3.7% | ||||
3,144,722 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | 3,144,722 | ||
1,250,178 | Invesco Government & Agency Portfolio, Institutional Class, 0.25%∞Ω** | 1,250,178 | ||
Total Short-Term Investment Funds | $4,394,900 | |||
Total Investment Securities—99.6% (Cost $123,754,432) | $118,828,448 | |||
Other Assets in Excess of Liabilities — 0.4% | 520,052 | |||
Net Assets — 100.0% | $119,348,500 |
(A) | Level 3- For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Financial Statements. |
(B) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2022 was $1,191,948. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
DAC – Designated Activity Company |
LLC – Limited Liability Company |
LP – Limited Partnership |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities were valued at $91,656,440 or 76.8% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $— | $111,884,762 | $0 | $111,884,762 |
Common Stocks | 2,548,786 | — | — | 2,548,786 |
Short-Term Investment Funds | 4,394,900 | — | — | 4,394,900 |
Total | $6,943,686 | $111,884,762 | $0 | $118,828,448 |
Principal Amount | Market Value | |||
Corporate Bonds — 29.8% | ||||
Financials — 7.8% | ||||
$ 2,444,000 | Aflac, Inc., 3.250%, 3/17/25 | $ 2,466,595 | ||
1,386,731 | Fishers Lane Associates LLC, 144a, 3.666%, 8/5/30 | 1,409,515 | ||
545,000 | Fishers Lane Associates LLC, 144a, 5.477%, 8/5/40 | 619,471 | ||
1,398,000 | Globe Life, Inc., 3.800%, 9/15/22 | 1,412,153 | ||
1,191,000 | Globe Life, Inc., 4.550%, 9/15/28 | 1,240,196 | ||
2,000,000 | MassMutual Global Funding II, 144a, 0.850%, 6/9/23 | 1,965,736 | ||
2,386,000 | National Rural Utilities Cooperative Finance Corp., 3.400%, 11/15/23 | 2,418,519 | ||
1,000,000 | Nationwide Mutual Insurance Co., 144a, 4.350%, 4/30/50 | 994,395 | ||
708,000 | Nationwide Mutual Insurance Co., 144a, 9.375%, 8/15/39 | 1,078,018 | ||
1,300,000 | New York Life Global Funding, 144a, 1.450%, 1/14/25 | 1,250,644 | ||
1,000,000 | Northwestern Mutual Global Funding, 144a, 0.600%, 3/25/24 | 958,042 | ||
2,350,000 | Northwestern Mutual Life Insurance Co. (The), 144a, 3.625%, 9/30/59 | 2,126,866 | ||
2,175,000 | Pacific Life Global Funding II, 144a, 1.375%, 4/14/26 | 2,026,007 | ||
2,000,000 | PNC Bank NA, 2.700%, 10/22/29 | 1,921,746 | ||
1,500,000 | Progressive Corp. (The), 4.200%, 3/15/48 | 1,598,662 | ||
2,000,000 | Protective Life Global Funding, 144a, 1.170%, 7/15/25 | 1,872,827 | ||
2,610,000 | Reliance Standard Life Global Funding II, 144a, 2.750%, 1/21/27 | 2,519,660 | ||
1,500,000 | SBA Tower Trust REIT, 144a, 2.836%, 1/15/25 | 1,476,615 | ||
1,218,000 | Teachers Insurance & Annuity Association of America, 144a, 4.900%, 9/15/44 | 1,343,927 | ||
1,100,000 | Unum Group, 7.190%, 2/1/28 | 1,304,359 | ||
844,000 | Unum Group, 7.250%, 3/15/28 | 984,015 | ||
2,000,000 | USB Capital IX, (3M LIBOR +1.020%), 3.500%(A)(B) | 1,661,243 | ||
34,649,211 | ||||
Utilities — 7.3% | ||||
2,148,000 | American Water Capital Corp., 2.950%, 9/1/27 | 2,131,874 | ||
2,250,000 | Avista Corp., 4.350%, 6/1/48 | 2,332,641 | ||
1,623,000 | California Water Service Co., 5.500%, 12/1/40 | 2,009,199 | ||
2,008,000 | Commonwealth Edison Co., 5.900%, 3/15/36 | 2,465,135 | ||
2,163,000 | Dominion Energy South Carolina, Inc., 4.600%, 6/15/43 | 2,296,158 | ||
1,750,000 | Duke Energy Florida Project Finance LLC, Ser 2032, 2.858%, 3/1/33 | 1,707,596 | ||
2,080,000 | Duke Energy Progress LLC, 6.300%, 4/1/38 | 2,672,419 | ||
2,532,000 | Entergy Louisiana LLC, 4.440%, 1/15/26 | 2,625,809 | ||
3,000,000 | Essential Utilities, Inc., 4.276%, 5/1/49 | 3,128,428 | ||
1,642,000 | Georgia Power Co., 4.750%, 9/1/40 | 1,732,933 | ||
2,085,000 | Kentucky Utilities Co., 5.125%, 11/1/40 | 2,340,245 | ||
2,000,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +2.067%), 3.034%, 10/1/66(B) | 1,670,000 | ||
2,926,000 | PacifiCorp., 8.050%, 9/1/22 | 2,993,117 | ||
2,750,000 | SCE Recovery Funding LLC, Ser A-2, 2.943%, 11/15/42 | 2,646,713 | ||
32,752,267 | ||||
Industrials — 6.0% | ||||
6,665 | Burlington Northern and Santa Fe Railway Co. 2005-3 Pass Through Trust, 4.830%, 1/15/23 | 6,686 | ||
497,820 | Burlington Northern and Santa Fe Railway Co. 2005-4 Pass Through Trust, 4.967%, 4/1/23 | 503,168 | ||
2,355,000 | Burlington Northern Santa Fe LLC, 6.700%, 8/1/28 | 2,806,915 | ||
1,000,000 | CSX Corp., 6.150%, 5/1/37 | 1,250,563 | ||
1,453,229 | CSX Transportation, Inc., 6.251%, 1/15/23 | 1,494,650 | ||
2,239,691 | FedEx Corp. 2020-1 Class AA Pass Through Trust, 1.875%, 2/20/34 | 2,041,510 | ||
2,823,000 | GATX Corp., 3.250%, 3/30/25 | 2,805,941 | ||
1,180,000 | Kansas City Southern, 3.000%, 5/15/23 | 1,183,590 | ||
1,625,000 | Kansas City Southern, 3.125%, 6/1/26 | 1,618,352 |
Principal Amount | Market Value | |||
Industrials — (Continued) | ||||
$ 1,941,000 | Norfolk Southern Corp., 2.903%, 2/15/23 | $ 1,950,377 | ||
2,250,000 | Republic Services, Inc., 2.300%, 3/1/30 | 2,069,510 | ||
628,000 | TOTE Maritime Alaska LLC, 6.365%, 4/15/28 | 688,434 | ||
2,450,000 | Tote Shipholdings LLC, 3.400%, 10/16/40 | 2,500,544 | ||
1,960,000 | Union Pacific Corp., 2.891%, 4/6/36 | 1,827,288 | ||
53,822 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 1/2/24 | 54,910 | ||
559,813 | Union Pacific Railroad Co. 2006 Pass Through Trust, 5.866%, 7/2/30 | 616,462 | ||
1,267,109 | Union Pacific Railroad Co. 2014-1 Pass Through Trust, 3.227%, 5/14/26 | 1,265,610 | ||
2,100,000 | Waste Management, Inc., 3.900%, 3/1/35 | 2,086,210 | ||
26,770,720 | ||||
Consumer Discretionary — 3.4% | ||||
2,388,816 | American Airlines 2016-3 Class AA Pass Through Trust, 3.000%, 10/15/28 | 2,222,567 | ||
354,485 | Continental Airlines 2007-1 Class A Pass Through Trust, 5.983%, 4/19/22 | 354,989 | ||
608,408 | Continental Airlines 2012-2 Class A Pass Through Trust, 4.000%, 10/29/24 | 607,013 | ||
3,150,000 | Delta Air Lines 2019-1 Class AA Pass Through Trust, 3.204%, 4/25/24 | 3,154,078 | ||
2,347,000 | Ford Motor Credit Co. LLC, 4.375%, 8/6/23 | 2,373,404 | ||
1,535,000 | PulteGroup, Inc., 7.875%, 6/15/32 | 1,983,231 | ||
1,300,000 | Royal Caribbean Cruises Ltd., 5.250%, 11/15/22 | 1,313,286 | ||
2,570,000 | Smithsonian Institution, 2.645%, 9/1/39 | 2,294,480 | ||
184,478 | Southwest Airlines Co. 2007-1 Pass Through Trust, 6.150%, 8/1/22 | 185,666 | ||
618,225 | United Airlines, Inc. Pass-Through Trust, 2.875%, 10/7/28 | 586,660 | ||
15,075,374 | ||||
Health Care — 1.5% | ||||
745,412 | CVS Pass Through Trust Series 2013, 144a, 4.704%, 1/10/36 | 778,799 | ||
2,199,962 | CVS Pass-Through Trust, 6.036%, 12/10/28 | 2,358,226 | ||
3,405,000 | HCA, Inc., 5.250%, 4/15/25 | 3,588,750 | ||
6,725,775 | ||||
Real Estate — 1.3% | ||||
1,800,000 | American Tower Corp. REIT, 3.125%, 1/15/27 | 1,756,219 | ||
1,350,000 | American Tower Trust #1 REIT, 144a, 3.070%, 3/15/23 | 1,341,980 | ||
2,000,000 | Crown Castle International Corp. REIT, 4.300%, 2/15/29 | 2,056,416 | ||
805,000 | SBA Tower Trust REIT, 144a, 1.631%, 11/15/26 | 757,468 | ||
5,912,083 | ||||
Consumer Staples — 1.0% | ||||
1,000,000 | Kroger Co. (The), 4.500%, 1/15/29 | 1,064,819 | ||
1,265,000 | Kroger Co. (The), Ser B, 7.700%, 6/1/29 | 1,605,635 | ||
1,600,000 | United Rentals North America, Inc., 4.875%, 1/15/28 | 1,625,272 | ||
4,295,726 | ||||
Communication Services — 0.7% | ||||
1,000,000 | AT&T, Inc., 4.850%, 7/15/45 | 1,064,104 | ||
755,000 | Verizon Communications, Inc., 2.100%, 3/22/28 | 704,991 | ||
1,185,000 | Verizon Communications, Inc., 4.862%, 8/21/46 | 1,356,614 | ||
3,125,709 | ||||
Energy — 0.4% | ||||
1,405,000 | Texas Eastern Transmission LP, 7.000%, 7/15/32 | 1,746,256 | ||
Information Technology — 0.4% | ||||
1,900,000 | Lam Research Corp., 1.900%, 6/15/30 | 1,722,077 | ||
Total Corporate Bonds | $132,775,198 |
Principal Amount | Market Value | |||
U.S. Government Agency Obligations — 22.8% | ||||
$ 1,089,000 | Canal Barge Co., Inc., 4.500%, 11/12/34 | $ 1,160,309 | ||
656,774 | Export-Import Bank of the United States, 1.581%, 11/16/24 | 648,749 | ||
1,794,911 | Helios Leasing I LLC, 1.734%, 7/24/24 | 1,780,343 | ||
848,000 | Matson Navigation Co., Inc., 5.337%, 9/4/28 | 900,583 | ||
1,100,000 | Petroleos Mexicanos (Mexico), 2.290%, 2/15/24 | 1,098,800 | ||
2,002,947 | Reliance Industries Ltd. (India), 1.870%, 1/15/26 | 1,967,278 | ||
1,702,986 | SBA Small Business Investment Cos, Ser 2017-10A, Class 1, 2.845%, 3/10/27 | 1,666,500 | ||
2,185,909 | SBA Small Business Investment Cos, Ser 2017-10B, Class 1, 2.518%, 9/10/27 | 2,148,495 | ||
3,864 | Small Business Administration Participation Certificates, Ser 2002-20H, Class 1, 5.310%, 8/1/22 | 3,896 | ||
4,461 | Small Business Administration Participation Certificates, Ser 2003-20D, Class 1, 4.760%, 4/1/23 | 4,499 | ||
24,677 | Small Business Administration Participation Certificates, Ser 2004-20D, Class 1, 4.770%, 4/1/24 | 24,925 | ||
62,974 | Small Business Administration Participation Certificates, Ser 2004-20K, Class 1, 4.880%, 11/1/24 | 63,807 | ||
44,397 | Small Business Administration Participation Certificates, Ser 2005-20H, Class 1, 5.110%, 8/1/25 | 45,020 | ||
94,195 | Small Business Administration Participation Certificates, Ser 2006-20H, Class 1, 5.700%, 8/1/26 | 97,580 | ||
108,868 | Small Business Administration Participation Certificates, Ser 2006-20K, Class 1, 5.360%, 11/1/26 | 110,827 | ||
201,361 | Small Business Administration Participation Certificates, Ser 2006-20L, Class 1, 5.120%, 12/1/26 | 203,705 | ||
161,855 | Small Business Administration Participation Certificates, Ser 2007-20A, Class 1, 5.320%, 1/1/27 | 165,459 | ||
271,147 | Small Business Administration Participation Certificates, Ser 2007-20E, Class 1, 5.310%, 5/1/27 | 278,380 | ||
532,514 | Small Business Administration Participation Certificates, Ser 2007-20F, Class 1, 5.710%, 6/1/27 | 549,745 | ||
510,174 | Small Business Administration Participation Certificates, Ser 2007-20L, Class 1, 5.290%, 12/1/27 | 530,280 | ||
188,533 | Small Business Administration Participation Certificates, Ser 2008-20A, Class 1, 5.170%, 1/1/28 | 194,532 | ||
278,907 | Small Business Administration Participation Certificates, Ser 2008-20K, Class 1, 6.770%, 11/1/28 | 293,520 | ||
459,750 | Small Business Administration Participation Certificates, Ser 2009-20C, Class 1, 4.660%, 3/1/29 | 468,611 | ||
269,647 | Small Business Administration Participation Certificates, Ser 2009-20D, Class 1, 4.310%, 4/1/29 | 272,729 | ||
329,325 | Small Business Administration Participation Certificates, Ser 2009-20E, Class 1, 4.430%, 5/1/29 | 336,120 | ||
231,815 | Small Business Administration Participation Certificates, Ser 2009-20F, Class 1, 4.950%, 6/1/29 | 237,373 | ||
629,141 | Small Business Administration Participation Certificates, Ser 2009-20J, Class 1, 3.920%, 10/1/29 | 638,784 | ||
1,068,485 | Small Business Administration Participation Certificates, Ser 2010-20F, Class 1, 3.880%, 6/1/30 | 1,076,214 | ||
1,844,594 | Small Business Administration Participation Certificates, Ser 2010-20I, Class 1, 3.210%, 9/1/30 | 1,823,334 | ||
58,000 | Small Business Administration Participation Certificates, Ser 2012-10C, Class 1, 1.240%, 5/1/22 | 58,012 | ||
4,226,150 | Small Business Administration Participation Certificates, Ser 2013-20C, Class 1, 2.220%, 3/1/33 | 4,063,574 |
Principal Amount | Market Value | |||
U.S. Government Agency Obligations — 22.8% (Continued) | ||||
$ 3,513,385 | Small Business Administration Participation Certificates, Ser 2013-20E, Class 1, 2.070%, 5/1/33 | $ 3,392,146 | ||
1,752,461 | Small Business Administration Participation Certificates, Ser 2013-20G, Class 1, 3.150%, 7/1/33 | 1,741,291 | ||
1,917,757 | Small Business Administration Participation Certificates, Ser 2014-20H, Class 1, 2.880%, 8/1/34 | 1,884,889 | ||
3,474,950 | Small Business Administration Participation Certificates, Ser 2014-20I, Class 1, 2.920%, 9/1/34 | 3,427,010 | ||
2,910,630 | Small Business Administration Participation Certificates, Ser 2014-20K, Class 1, 2.800%, 11/1/34 | 2,857,969 | ||
1,694,681 | Small Business Administration Participation Certificates, Ser 2015-20I, Class 1, 2.820%, 9/1/35 | 1,682,403 | ||
2,389,079 | Small Business Administration Participation Certificates, Ser 2016-20A, Class 1, 2.780%, 1/1/36 | 2,371,025 | ||
3,019,602 | Small Business Administration Participation Certificates, Ser 2016-20B, Class 1, 2.270%, 2/1/36 | 2,933,736 | ||
4,023,251 | Small Business Administration Participation Certificates, Ser 2016-20F, Class 1, 2.180%, 6/1/36 | 3,903,349 | ||
4,162,077 | Small Business Administration Participation Certificates, Ser 2017-20E, Class 1, 2.880%, 5/1/37 | 4,148,088 | ||
3,468,222 | Small Business Administration Participation Certificates, Ser 2017-20F, Class 1, 2.810%, 6/1/37 | 3,437,135 | ||
4,202,035 | Small Business Administration Participation Certificates, Ser 2017-20K, Class 1, 2.790%, 11/1/37 | 4,161,344 | ||
2,129,451 | Small Business Administration Participation Certificates, Ser 2017-20L, Class 1, 2.780%, 12/1/37 | 2,115,006 | ||
5,028,836 | Small Business Administration Participation Certificates, Ser 2018-20A, Class 1, 2.920%, 1/1/38 | 5,007,218 | ||
4,917,116 | Small Business Administration Participation Certificates, Ser 2018-20C, Class 1, 3.200%, 3/1/38 | 4,990,727 | ||
3,378,831 | Small Business Administration Participation Certificates, Ser 2018-20K, Class 1, 3.870%, 11/1/38 | 3,496,695 | ||
1,954,399 | Small Business Administration Participation Certificates, Ser 2018-25D, Class 1, 3.890%, 10/1/43 | 2,032,678 | ||
2,114,800 | Small Business Administration Participation Certificates, Ser 2019-25B, Class 1, 3.450%, 2/1/44 | 2,165,241 | ||
2,719,547 | Small Business Administration Participation Certificates, Ser 2019-25E, Class 1, 3.070%, 5/1/44 | 2,753,675 | ||
3,743,347 | Small Business Administration Participation Certificates, Ser 2020-25I, Class 1, 1.150%, 9/1/45 | 3,345,443 | ||
3,500,000 | Small Business Administration Participation Certificates, Ser 2022-25C, Class 1, 2.750%, 3/1/47 | 3,442,066 | ||
2,482,000 | Tennessee Valley Auth., 4.650%, 6/15/35 | 2,870,760 | ||
2,325,000 | United States International Development Finance Corp., 1.870%, 11/20/37 | 2,121,888 | ||
5,300,000 | United States of America Executive Branch, Ser 2021-25L, Class 1, 1.850%, 12/1/46 | 5,011,888 | ||
1,972,735 | United States Small Business Administration, Ser 2019-20A, Class 1, 3.370%, 1/1/39 | 2,000,418 | ||
1,064,000 | Vessel Management Services, Inc., 5.125%, 4/16/35 | 1,171,497 | ||
Total U.S. Government Agency Obligations | $101,377,568 | |||
Agency Collateralized Mortgage Obligations — 16.7% | ||||
2,449,599 | Fannie Mae-Aces, Ser 2017-M15, Class ATS2, 3.161%, 11/25/27(B)(C) | 2,462,268 | ||
3,325,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1511, Class A3, 3.542%, 3/25/34 | 3,424,963 | ||
3,512,146 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG01, Class A7, 2.875%, 4/25/26 | 3,522,752 |
Principal Amount | Market Value | |||
Agency Collateralized Mortgage Obligations — 16.7% (Continued) | ||||
$ 3,760,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG02, Class A2, 2.412%, 8/25/29 | $ 3,627,842 | ||
3,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG03, Class A1, 0.704%, 4/25/29(B)(C) | 2,757,191 | ||
2,712,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KSG1, Class A2, 1.503%, 9/25/30 | 2,437,914 | ||
1,650,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KSG2, Class A2, 2.091%, 11/25/31(B)(C) | 1,542,656 | ||
2,881,488 | FHLMC Multifamily Structured Pass Through Certificates, Ser KW03, Class A1, 2.617%, 12/25/26 | 2,892,527 | ||
3,060,000 | FHLMC Multifamily Structured Pass-Through Certificates, Ser K-1513, Class A3, 2.797%, 8/25/34 | 2,938,451 | ||
3,350,000 | FREMF Mortgage Trust, Ser 2012-K23, Class B, 144a, 3.657%, 10/25/45(B)(C) | 3,366,361 | ||
2,600,000 | FREMF Mortgage Trust, Ser 2013-K30, Class B, 144a, 3.556%, 6/25/45(B)(C) | 2,625,319 | ||
890,000 | FREMF Mortgage Trust, Ser 2014-K38, Class B, 144a, 4.222%, 6/25/47(B)(C) | 900,307 | ||
1,765,000 | FREMF Mortgage Trust, Ser 2014-K40, Class B, 144a, 4.074%, 11/25/47(B)(C) | 1,789,494 | ||
2,000,000 | FREMF Mortgage Trust, Ser 2014-K41, Class B, 144a, 3.835%, 11/25/47(B)(C) | 2,008,141 | ||
1,955,000 | FREMF Mortgage Trust, Ser 2015-K49, Class B, 144a, 3.729%, 10/25/48(B)(C) | 1,950,045 | ||
2,000,000 | FREMF Mortgage Trust, Ser 2017-K61, Class B, 144a, 3.688%, 12/25/49(B)(C) | 2,003,199 | ||
750,000 | FREMF Mortgage Trust, Ser 2018-K74, Class B, 144a, 4.091%, 2/25/51(B)(C) | 756,004 | ||
900,545 | FRESB Mortgage Trust, Ser 2015-SB9, Class A5, (1M LIBOR +0.700%), 0.941%, 11/25/35(B) | 898,968 | ||
227,407 | FRESB Mortgage Trust, Ser 2016-SB17, Class A5H, (1M LIBOR +0.700%), 0.941%, 5/25/36(B) | 226,914 | ||
894,880 | FRESB Mortgage Trust, Ser 2017-SB27, Class A10F, 3.090%, 1/25/27(B)(C) | 873,200 | ||
1,891,297 | FRESB Mortgage Trust, Ser 2018-SB46, Class A10F, 3.300%, 12/25/27(B)(C) | 1,867,862 | ||
2,457,461 | GNMA, Pool #785631, 4.666%, 5/20/67(B)(C) | 2,540,700 | ||
231,806 | GNMA, Ser 2011-142, Class B, 3.373%, 2/16/44(B)(C) | 231,701 | ||
1,027,235 | GNMA, Ser 2012-46, Class C, 3.176%, 5/16/50(B)(C) | 1,026,536 | ||
177,701 | GNMA, Ser 2012-53, Class AC, 2.381%, 12/16/43 | 177,299 | ||
1,236,080 | GNMA, Ser 2013-121, Class AB, 2.838%, 8/16/44(B)(C) | 1,214,574 | ||
438,712 | GNMA, Ser 2013-40, Class AC, 1.584%, 1/16/46 | 431,841 | ||
2,540,000 | GNMA, Ser 2015-32, Class HG, 3.000%, 9/16/49(B)(C) | 2,404,922 | ||
1,048,205 | GNMA, Ser 2015-37, Class AD, 2.600%, 11/16/55 | 1,023,794 | ||
2,685,694 | GNMA, Ser 2015-73, Class B, 2.700%, 10/16/55(B)(C) | 2,602,176 | ||
1,152,441 | GNMA, Ser 2017-46, Class AB, 2.600%, 1/16/52 | 1,109,162 | ||
1,178,439 | GNMA, Ser 2017-H11, Class FV, (1M LIBOR +0.500%), 0.606%, 5/20/67(B) | 1,174,682 | ||
1,389,206 | GNMA, Ser 2019-H15, Class GA, 2.250%, 8/20/69 | 1,366,974 | ||
3,984,962 | GNMA, Ser 2020-113, Class AF, 2.000%, 10/16/62 | 3,634,154 | ||
5,217,665 | GNMA, Ser 2020-118, Class AB, 2.250%, 4/16/62 | 5,010,075 | ||
2,366,990 | GNMA, Ser 2021-21, Class AF, 1.750%, 6/16/63 | 2,149,856 | ||
3,822,964 | GNMA, Ser 2021-22, Class AD, 1.350%, 10/16/62 | 3,512,435 | ||
Total Agency Collateralized Mortgage Obligations | $74,483,259 | |||
Municipal Bonds — 8.9% | ||||
California — 3.6% | ||||
1,000,000 | California Health Facilities Financing Authority, 2.704%, 6/1/30 | 942,029 |
Principal Amount | Market Value | |||
California — (Continued) | ||||
$ 2,000,000 | California Health Facilities Financing Authority, 2.229%, 6/1/32 | $ 1,750,309 | ||
875,000 | California Health Facilities Financing Authority, 4.140%, 6/1/34 | 895,881 | ||
1,600,000 | California Municipal Finance Authority, Revenue, 2.519%, 10/1/35 | 1,360,843 | ||
1,465,000 | City of San Francisco Public Utilities Commission Water Revenue, Build America Bonds, 6.950%, 11/1/50 | 2,170,720 | ||
2,345,000 | East Bay Municipal Utility District Water System Revenue, Build America Bonds Sub, 5.874%, 6/1/40 | 3,022,201 | ||
2,010,000 | Los Angeles Department of Water & Power Water System Revenue, Revenue, Build America Bonds, 6.008%, 7/1/39 | 2,507,319 | ||
2,700,000 | Los Angeles Unified School District, Build America Bonds Ser RY, UTGO, 6.758%, 7/1/34 | 3,428,462 | ||
16,077,764 | ||||
Texas — 1.4% | ||||
1,770,000 | Dallas Area Rapid Transit, Revenue, Build America Bonds, 5.999%, 12/1/44 | 2,335,924 | ||
2,640,000 | Texas State Transportation Commission Highway Authority, Build America Bonds, 5.178%, 4/1/30 | 2,941,067 | ||
1,281,000 | Travis County Housing Finance Corp, Revenue, 2.550%, 7/1/42 | 1,146,583 | ||
6,423,574 | ||||
Virginia — 0.8% | ||||
1,212,637 | Virginia Housing Development Authority, 2.950%, 10/25/49 | 1,180,973 | ||
2,415,551 | Virginia Housing Development Authority, 2.125%, 7/25/51 | 2,271,254 | ||
3,452,227 | ||||
Minnesota — 0.8% | ||||
3,613,966 | Minnesota Housing Finance Agency, Revenue, 1.580%, 2/1/51 | 3,350,932 | ||
New York — 0.7% | ||||
1,135,000 | Port Authority of New York & New Jersey, 4.960%, 8/1/46 | 1,325,226 | ||
1,400,000 | Port Authority of New York and New Jersey, Cons One Hundred Sixty-Eight, 4.926%, 10/1/51 | 1,678,949 | ||
3,004,175 | ||||
Nevada — 0.5% | ||||
2,274,425 | Nevada Housing Division, Revenue, 1.900%, 11/1/44 | 2,161,903 | ||
Washington — 0.4% | ||||
1,515,000 | State of Washington, Build America Bonds, UTGO, 5.481%, 8/1/39 | 1,819,206 | ||
Indiana — 0.3% | ||||
1,200,000 | Indianapolis Local Public Improvement Bond Bank, Build America Bonds, 6.116%, 1/15/40 | 1,495,527 | ||
Ohio — 0.2% | ||||
875,000 | Ohio State HFA, Revenue, 2.650%, 11/1/41 | 871,155 | ||
Louisiana — 0.2% | ||||
771,680 | Louisiana Housing Corp., 2.875%, 11/1/38 | 757,021 | ||
Total Municipal Bonds | $39,413,484 | |||
U.S. Government Mortgage-Backed Obligations — 7.9% | ||||
1,470,782 | FHLMC, Pool #SD8186, 3.500%, 11/1/51 | 1,475,970 | ||
898,438 | FHLMC, Pool #W30008, 7.645%, 5/1/25 | 949,520 | ||
572,122 | FNMA, Pool #888829, 5.888%, 6/1/37(B)(C) | 568,142 | ||
613,763 | FNMA, Pool #AH8854, 4.500%, 4/1/41 | 647,594 | ||
4,000,000 | FNMA, Pool #AM9682, 3.810%, 8/1/45 | 4,214,502 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 7.9% (Continued) | ||||
$ 2,802,729 | FNMA, Pool #AN0897, 3.440%, 2/1/32 | $ 2,890,003 | ||
3,359,000 | FNMA, Pool #AN3613, 2.680%, 12/1/26 | 3,353,967 | ||
3,000,000 | FNMA, Pool #AN8089, 3.330%, 1/1/38 | 3,023,925 | ||
1,608,027 | FNMA, Pool #AS8650, 3.000%, 1/1/47 | 1,590,596 | ||
466,597 | FNMA, Pool #AT0924, 2.000%, 3/1/28 | 452,848 | ||
632,106 | FNMA, Pool #BC0153, 4.000%, 1/1/46 | 658,564 | ||
3,742,545 | FNMA, Pool #BL3622, 2.600%, 8/1/26 | 3,677,534 | ||
3,544,676 | FNMA, Pool #CB0455, 2.500%, 5/1/51 | 3,391,022 | ||
1,777,357 | FNMA, Pool #FM3442, 3.000%, 6/1/50 | 1,746,070 | ||
4,659,587 | FNMA, Pool #MA4269, 2.500%, 2/1/41 | 4,510,383 | ||
1,836,108 | FNMA, Pool #MA4416, 3.500%, 9/1/51 | 1,842,643 | ||
Total U.S. Government Mortgage-Backed Obligations | $34,993,283 | |||
U.S. Treasury Obligations — 5.8% | ||||
9,970,000 | U.S. Treasury Bond, 1.375%, 11/15/40 | 8,168,000 | ||
6,840,000 | U.S. Treasury Bond, 1.875%, 2/15/51 | 5,979,656 | ||
10,429,000 | U.S. Treasury Strip, Principal, 5/15/43(D) | 5,944,580 | ||
5,379,000 | U.S. Treasury Strip, Principal, 5/15/45(D) | 2,930,255 | ||
4,862,000 | U.S. Treasury Strip, Principal, 5/15/48(D) | 2,564,046 | ||
Total U.S. Treasury Obligations | $25,586,537 | |||
Asset-Backed Securities — 3.3% | ||||
935,037 | 321 Henderson Receivables I LLC, Ser 2012-1A, Class A, 144a, 4.210%, 2/16/65 | 976,815 | ||
1,161,550 | 321 Henderson Receivables I LLC, Ser 2012-2A, Class A, 144a, 3.840%, 10/15/59 | 1,187,976 | ||
1,572,038 | 321 Henderson Receivables I LLC, Ser 2015-2A, Class A, 144a, 3.870%, 3/15/58 | 1,615,187 | ||
2,258,872 | CF Hippolyta LLC, Ser 2021-1A, Class A1, 144a, 1.530%, 3/15/61 | 2,101,048 | ||
3,998,412 | Small Business Administration Participation Certificates, Ser 2021-10B, Class 1, 1.304%, 9/10/31 | 3,745,115 | ||
4,121,949 | Small Business Administration Participation Certificates, Ser 2021-25I, Class 1, 1.560%, 9/1/46 | 3,837,012 | ||
1,268,453 | Tesla Auto Lease Trust, Ser 2021-A, Class A2, 144a, 0.360%, 3/20/25 | 1,254,186 | ||
Total Asset-Backed Securities | $14,717,339 | |||
Commercial Mortgage-Backed Securities — 2.4% | ||||
21,753 | CD Mortgage Trust, Ser 2006-CD3, Class AJ, 5.688%, 10/15/48 | 20,157 | ||
2,300,000 | COMM Mortgage Trust, Ser 2020-SBX, Class A, 144a, 1.670%, 1/10/38 | 2,165,930 | ||
2,440,000 | DOLP Trust, Ser 2021-NYC, Class A, 144a, 2.956%, 5/10/41 | 2,298,885 | ||
2,333,828 | Logistics 1 MI TN VA Senior Notes CTL Pass-Through Trust, 144a, 2.654%, 10/10/42 | 1,948,877 | ||
2,550,000 | MKT Mortgage Trust, Ser 2020-525M, Class A, 144a, 2.694%, 2/12/40 | 2,371,021 | ||
2,125,000 | SLG Office Trust, Ser 2021-OVA, Class A, 144a, 2.585%, 7/15/41 | 1,977,295 | ||
Total Commercial Mortgage-Backed Securities | $10,782,165 | |||
Non-Agency Collateralized Mortgage Obligations — 0.1% | ||||
510,305 | Virginia Housing Development Authority, Ser 2013-B, Class A, 2.750%, 4/25/42 | 507,162 |
Shares | MarketValue | |||
Short-Term Investment Fund — 2.3% | ||||
10,394,483 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | $ 10,394,483 | ||
Total Investment Securities—100.0% (Cost $464,437,521) | $445,030,478 | |||
Liabilities in Excess of Other Assets — (0.0%) | (33,042) | |||
Net Assets — 100.0% | $444,997,436 |
(A) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(B) | Variable rate security - Rate reflected is the rate in effect as of March 31, 2022. |
(C) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(D) | Strip Security- Separate trading of Registered Interest and Principal. Holders of a principal strip security are entitled to the portion of the payment representing principal only. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
FREMF – Freddie Mac Multifamily Securitization |
FRESB – Freddie Mac Multifamily Securitization Small Balance Loan |
GNMA – Government National Mortgage Association |
HFA – Housing Finance Authority/Agency |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LP – Limited Partnership |
REIT – Real Estate Investment Trust |
UTGO – Unlimited Tax General Obligation |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities were valued at $55,816,060 or 12.5% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $— | $132,775,198 | $— | $132,775,198 |
U.S. Government Agency Obligations | — | 101,377,568 | — | 101,377,568 |
Agency Collateralized Mortgage Obligations | — | 74,483,259 | — | 74,483,259 |
Municipal Bonds | — | 39,413,484 | — | 39,413,484 |
U.S. Government Mortgage-Backed Obligations | — | 34,993,283 | — | 34,993,283 |
U.S. Treasury Obligations | — | 25,586,537 | — | 25,586,537 |
Asset-Backed Securities | — | 14,717,339 | — | 14,717,339 |
Commercial Mortgage-Backed Securities | — | 10,782,165 | — | 10,782,165 |
Non-Agency Collateralized Mortgage Obligations | — | 507,162 | — | 507,162 |
Short-Term Investment Fund | 10,394,483 | — | — | 10,394,483 |
Total | $10,394,483 | $434,635,995 | $— | $445,030,478 |
Measurements Using Unobservable Inputs (Level 3) | |
Assets | Corporate Bonds |
Beginning balance, September 30, 2021 | $2,330,817 |
Transfer out of Level 3 | 2,330,817 |
Net realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | — |
Ending balance, March 31, 2022 | $— |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at March 31, 2022 | $— |
Shares | Market Value | |||
Common Stocks — 98.0% | ||||
Japan — 17.0% | ||||
Communication Services — 2.9% | ||||
2,300 | Nintendo Co. Ltd. | $ 1,160,953 | ||
Consumer Discretionary — 8.8% | ||||
13,300 | Denso Corp. | 848,541 | ||
104,200 | Panasonic Corp. | 1,011,999 | ||
15,700 | Sony Group Corp. | 1,615,149 | ||
Industrials — 4.1% | ||||
23,200 | Hitachi Ltd. | 1,161,026 | ||
24,000 | Kubota Corp. | 449,862 | ||
Information Technology — 1.2% | ||||
900 | Tokyo Electron, Ltd. | 462,205 | ||
Total Japan | 6,709,735 | |||
France — 10.5% | ||||
Financials — 2.1% | ||||
26,310 | SCOR SE | 846,010 | ||
Industrials — 5.6% | ||||
21,420 | Cie de Saint-Gobain | 1,274,498 | ||
5,572 | Schneider Electric SE | 935,485 | ||
Materials — 2.8% | ||||
6,299 | Air Liquide SA | 1,101,972 | ||
Total France | 4,157,965 | |||
Sweden — 9.5% | ||||
Communication Services — 1.9% | ||||
50,819 | Tele2 AB - Class B | 768,170 | ||
Financials — 5.1% | ||||
99,591 | Svenska Handelsbanken AB - Class A | 915,783 | ||
72,317 | Swedbank AB - Class A† | 1,080,101 | ||
Industrials — 2.5% | ||||
46,489 | Epiroc AB - Class A | 994,347 | ||
Total Sweden | 3,758,401 | |||
South Korea — 9.0% | ||||
Communication Services — 3.7% | ||||
32,200 | KT Corp. ADR* | 461,748 | ||
33,162 | KT Corp. | 971,331 | ||
Consumer Staples — 1.4% | ||||
4,808 | E-MART, Inc. | 555,287 | ||
Financials — 3.2% | ||||
25,426 | KB Financial Group, Inc. | 1,274,196 | ||
Information Technology — 0.7% | ||||
553 | Samsung SDI Co. Ltd. | 269,140 | ||
Total South Korea | 3,531,702 | |||
United Kingdom — 8.8% | ||||
Financials — 3.7% | ||||
2,396,954 | Lloyds Banking Group PLC | 1,459,667 | ||
Industrials — 5.1% | ||||
12,716 | Ashtead Group PLC | 800,655 | ||
39,054 | RELX PLC | 1,215,273 | ||
Total United Kingdom | 3,475,595 | |||
Germany — 8.5% | ||||
Consumer Discretionary — 1.4% | ||||
7,590 | Continental AG* | 544,098 | ||
Industrials — 3.4% | ||||
28,174 | Deutsche Post AG | 1,345,362 |
Shares | Market Value | |||
Germany — (Continued) | ||||
Materials — 1.4% | ||||
9,640 | HeidelbergCement AG | $ 546,339 | ||
Real Estate — 2.3% | ||||
19,396 | Vonovia SE | 904,056 | ||
Total Germany | 3,339,855 | |||
Switzerland — 6.1% | ||||
Health Care — 3.4% | ||||
3,355 | Roche Holding AG | 1,327,445 | ||
Industrials — 2.7% | ||||
33,496 | ABB Ltd. ADR | 1,083,261 | ||
Total Switzerland | 2,410,706 | |||
Singapore — 4.7% | ||||
Financials — 3.0% | ||||
130,100 | Oversea-Chinese Banking Corp. Ltd. | 1,180,248 | ||
Real Estate — 1.7% | ||||
416,800 | CapitaLand Integrated Commercial Trust REIT | 689,529 | ||
Total Singapore | 1,869,777 | |||
China — 4.3% | ||||
Communication Services — 2.2% | ||||
19,000 | Tencent Holdings Ltd. | 875,793 | ||
Consumer Discretionary — 2.1% | ||||
7,296 | Alibaba Group Holding Ltd. ADR* | 793,805 | ||
719 | JD.com, Inc.* | 20,430 | ||
Total China | 1,690,028 | |||
Taiwan — 4.0% | ||||
Information Technology — 4.0% | ||||
15,209 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 1,585,690 | ||
India — 3.2% | ||||
Financials — 3.2% | ||||
65,952 | ICICI Bank Ltd. ADR | 1,249,131 | ||
Canada — 3.1% | ||||
Financials — 3.1% | ||||
8,305 | Intact Financial Corp. | 1,227,132 | ||
Italy — 2.8% | ||||
Utilities — 2.8% | ||||
163,965 | Enel SpA | 1,094,754 | ||
Denmark — 2.7% | ||||
Health Care — 1.4% | ||||
4,971 | Novo Nordisk A/S ADR | 552,030 | ||
Industrials — 1.3% | ||||
17,425 | Vestas Wind Systems A/S | 511,159 | ||
Total Denmark | 1,063,189 | |||
Netherlands — 2.1% | ||||
Health Care — 2.1% | ||||
27,709 | Koninklijke Philips NV | 844,950 | ||
Thailand — 1.7% | ||||
Industrials — 1.7% | ||||
347,600 | Airports of Thailand PCL* | 689,321 | ||
Total Common Stocks | $38,697,931 |
Shares | Market Value | |||
Short-Term Investment Funds — 4.6% | ||||
507,696 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | $ 507,696 | ||
1,298,697 | Invesco Government & Agency Portfolio, Institutional Class, 0.25%∞Ω** | 1,298,697 | ||
Total Short-Term Investment Funds | $1,806,393 | |||
Total Investment Securities — 102.6% (Cost $36,979,608) | $40,504,324 | |||
Liabilities in Excess of Other Assets — (2.6)% | (1,033,733) | |||
Net Assets — 100.0% | $39,470,591 |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2022 was $1,069,287. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PCL – Public Company Limited |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Japan | $— | $6,709,735 | $— | $6,709,735 |
France | — | 4,157,965 | — | 4,157,965 |
Sweden | — | 3,758,401 | — | 3,758,401 |
South Korea | 461,748 | 3,069,954 | — | 3,531,702 |
United Kingdom | — | 3,475,595 | — | 3,475,595 |
Germany | — | 3,339,855 | — | 3,339,855 |
Switzerland | 1,083,261 | 1,327,445 | — | 2,410,706 |
Singapore | — | 1,869,777 | — | 1,869,777 |
China | 793,805 | 896,223 | — | 1,690,028 |
Taiwan | 1,585,690 | — | — | 1,585,690 |
India | 1,249,131 | — | — | 1,249,131 |
Canada | 1,227,132 | — | — | 1,227,132 |
Italy | — | 1,094,754 | — | 1,094,754 |
Denmark | 552,030 | 511,159 | — | 1,063,189 |
Netherlands | — | 844,950 | — | 844,950 |
Thailand | — | 689,321 | — | 689,321 |
Short-Term Investment Funds | 1,806,393 | — | — | 1,806,393 |
Total | $8,759,190 | $31,745,134 | $— | $40,504,324 |
Shares | Market Value | |||
Common Stocks — 95.8% | ||||
Industrials — 23.5% | ||||
2,533,406 | AerCap Holdings N.V. (Ireland)* | $ 127,379,654 | ||
2,450,901 | Allison Transmission Holdings, Inc. | 96,222,373 | ||
1,727,278 | Armstrong World Industries, Inc. | 155,472,293 | ||
1,687,481 | Copart, Inc. * | 211,728,241 | ||
453,781 | Old Dominion Freight Line, Inc. | 135,535,309 | ||
2,151,939 | Otis Worldwide Corp. | 165,591,706 | ||
1,715,630 | Sensata Technologies Holding PLC* | 87,239,785 | ||
658,103 | UniFirst Corp. | 121,275,221 | ||
1,100,444,582 | ||||
Information Technology — 15.7% | ||||
1,524,897 | Amphenol Corp. - Class A | 114,900,989 | ||
1,817,064 | Black Knight, Inc.* | 105,371,541 | ||
1,147,313 | Citrix Systems, Inc. | 115,763,882 | ||
1,968,000 | Entegris, Inc. | 258,319,680 | ||
1,051,218 | Skyworks Solutions, Inc. | 140,106,335 | ||
734,462,427 | ||||
Financials — 14.6% | ||||
201,896 | Alleghany Corp.* | 171,005,912 | ||
1,691,364 | Cincinnati Financial Corp. | 229,957,849 | ||
935,710 | M&T Bank Corp. | 158,602,845 | ||
2,616,882 | Moelis & Co. - Class A | 122,862,610 | ||
682,429,216 | ||||
Consumer Discretionary — 12.2% | ||||
1,525,868 | CarMax, Inc.* | 147,215,745 | ||
612,482 | Churchill Downs, Inc. | 135,836,258 | ||
1,282,719 | Dollar Tree, Inc.* | 205,427,448 | ||
981,331 | Hasbro, Inc. | 80,390,634 | ||
568,870,085 | ||||
Materials — 12.1% | ||||
1,062,866 | AptarGroup, Inc. | 124,886,755 | ||
1,559,355 | Ball Corp. | 140,341,950 | ||
314,006 | NewMarket Corp. | 101,857,266 | ||
1,084,705 | Vulcan Materials Co. | 199,260,309 | ||
566,346,280 | ||||
Consumer Staples — 9.1% | ||||
2,265,990 | BellRing Brands, Inc.* | 52,299,049 | ||
1,396,285 | Brown-Forman Corp. - Class B | 93,579,021 | ||
2,613,485 | Lamb Weston Holdings, Inc. | 156,573,887 | ||
1,787,459 | Post Holdings, Inc.* | 123,799,410 | ||
426,251,367 |
Shares | Market Value | |||
Health Care — 6.4% | ||||
746,918 | Haemonetics Corp.* | $ 47,220,156 | ||
2,294,625 | Perrigo Co. PLC | 88,182,439 | ||
686,252 | STERIS PLC | 165,915,146 | ||
301,317,741 | ||||
Real Estate — 2.2% | ||||
3,525,899 | STORE Capital Corp. REIT | 103,062,028 | ||
Total Common Stocks | $4,483,183,726 | |||
Short-Term Investment Fund — 6.2% | ||||
288,194,691 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | 288,194,691 | ||
Total Investment Securities—102.0% (Cost $3,944,324,395) | $4,771,378,417 | |||
Liabilities in Excess of Other Assets — (2.0%) | (94,595,519) | |||
Net Assets — 100.0% | $4,676,782,898 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $4,483,183,726 | $— | $— | $4,483,183,726 |
Short-Term Investment Fund | 288,194,691 | — | — | 288,194,691 |
Total | $4,771,378,417 | $— | $— | $4,771,378,417 |
Shares | Market Value | |||
Common Stocks — 98.6% | ||||
Financials — 17.0% | ||||
246,187 | American International Group, Inc. | $ 15,453,158 | ||
68,264 | Ameriprise Financial, Inc. | 20,503,775 | ||
366,767 | Arch Capital Group Ltd.* | 17,758,858 | ||
96,453 | Hartford Financial Services Group, Inc. (The) | 6,926,290 | ||
197,326 | PacWest Bancorp | 8,510,670 | ||
160,553 | Pinnacle Financial Partners, Inc. | 14,783,720 | ||
152,629 | Progressive Corp. (The) | 17,398,180 | ||
144,045 | Reinsurance Group of America, Inc. | 15,767,166 | ||
64,404 | Signature Bank | 18,901,930 | ||
76,442 | Webster Financial Corp. | 4,289,925 | ||
202,405 | Western Alliance Bancorp | 16,763,182 | ||
157,056,854 | ||||
Industrials — 13.0% | ||||
182,444 | AerCap Holdings N.V. (Ireland)* | 9,173,284 | ||
197,326 | Clean Harbors, Inc. * | 22,029,475 | ||
96,758 | Dover Corp. | 15,181,330 | ||
180,869 | Hexcel Corp. | 10,756,279 | ||
26,310 | Huntington Ingalls Industries, Inc. | 5,247,266 | ||
33,624 | Parker-Hannifin Corp. | 9,541,146 | ||
161,822 | Regal Rexnord Corp. | 24,075,877 | ||
54,195 | Snap-on, Inc. | 11,135,989 | ||
130,738 | Westinghouse Air Brake Technologies Corp. | 12,573,074 | ||
119,713,720 | ||||
Utilities — 9.9% | ||||
598,479 | CenterPoint Energy, Inc. | 18,337,397 | ||
98,993 | DTE Energy Co. | 13,087,864 | ||
151,613 | Entergy Corp. | 17,700,818 | ||
182,444 | Evergy, Inc. | 12,468,223 | ||
490,445 | NiSource, Inc. | 15,596,151 | ||
146,534 | WEC Energy Group, Inc. | 14,625,558 | ||
91,816,011 | ||||
Consumer Staples — 9.5% | ||||
47,643 | Casey's General Stores, Inc. | 9,441,413 | ||
51,706 | Constellation Brands, Inc. - Class A | 11,908,926 | ||
270,974 | Darling Ingredients, Inc.* | 21,780,890 | ||
171,016 | Hain Celestial Group, Inc. (The)* | 5,882,950 | ||
201,795 | Ingredion, Inc. | 17,586,434 | ||
160,857 | Lamb Weston Holdings, Inc. | 9,636,943 | ||
351,225 | TreeHouse Foods, Inc.* | 11,330,519 | ||
87,568,075 | ||||
Consumer Discretionary — 8.8% | ||||
4,114 | AutoZone, Inc.* | 8,411,402 | ||
297,944 | BorgWarner, Inc. | 11,590,022 | ||
81,521 | Carter's, Inc. | 7,499,117 | ||
115,805 | Columbia Sportswear Co. | 10,483,827 | ||
117,075 | Dollar Tree, Inc.* | 18,749,561 | ||
130,382 | Hasbro, Inc. | 10,680,893 | ||
297,944 | LKQ Corp. | 13,529,637 | ||
80,944,459 | ||||
Real Estate — 8.7% | ||||
84,721 | Alexandria Real Estate Equities, Inc. REIT | 17,050,101 | ||
252,892 | American Campus Communities, Inc. REIT | 14,154,365 | ||
74,562 | Boston Properties, Inc. REIT | 9,603,585 | ||
926,441 | Chimera Investment Corp. REIT | 11,154,350 | ||
53,941 | Digital Realty Trust, Inc. REIT | 7,648,834 | ||
39,008 | Essex Property Trust, Inc. REIT | 13,476,484 | ||
394,042 | Host Hotels & Resorts, Inc. REIT | 7,656,236 | ||
80,743,955 |
Shares | Market Value | |||
Information Technology — 8.7% | ||||
138,661 | Akamai Technologies, Inc.* | $ 16,554,737 | ||
64,099 | F5 Networks, Inc.* | 13,393,486 | ||
84,060 | Global Payments, Inc. | 11,502,771 | ||
85,819 | Leidos Holdings, Inc. | 9,270,168 | ||
81,521 | PTC, Inc.* | 8,781,442 | ||
100,568 | Qorvo, Inc.* | 12,480,489 | ||
779,551 | Rackspace Technology, Inc.* | 8,699,789 | ||
80,682,882 | ||||
Materials — 8.3% | ||||
452,910 | Axalta Coating Systems Ltd. * | 11,132,528 | ||
223,991 | Berry Global Group, Inc.* | 12,982,518 | ||
147,194 | FMC Corp. | 19,366,315 | ||
699,910 | Livent Corp.* | 18,246,654 | ||
58,055 | Scotts Miracle-Gro Co. (The) | 7,138,443 | ||
253,197 | Valvoline, Inc. | 7,990,897 | ||
76,857,355 | ||||
Health Care — 7.7% | ||||
51,401 | AmerisourceBergen Corp. | 7,952,249 | ||
299,330 | Centene Corp.* | 25,200,593 | ||
196,716 | Encompass Health Corp. | 13,988,475 | ||
269,704 | Envista Holdings Corp.* | 13,137,282 | ||
86,295 | Zimmer Biomet Holdings, Inc. | 11,037,130 | ||
71,315,729 | ||||
Energy — 7.0% | ||||
405,826 | ChampionX Corp.* | 9,934,621 | ||
645,664 | Coterra Energy, Inc. | 17,413,558 | ||
91,679 | Pioneer Natural Resources | 22,922,500 | ||
137,392 | Valero Energy Corp. | 13,950,784 | ||
64,221,463 | ||||
Total Common Stocks | $910,920,503 | |||
Short-Term Investment Fund — 0.0% | ||||
1,026 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | 1,026 | ||
Total Investment Securities—98.6% (Cost $650,028,380) | $910,921,529 | |||
Other Assets in Excess of Liabilities — 1.4% | 12,500,609 | |||
Net Assets — 100.0% | $923,422,138 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $910,920,503 | $— | $— | $910,920,503 |
Short-Term Investment Fund | 1,026 | — | — | 1,026 |
Total | $910,921,529 | $— | $— | $910,921,529 |
Shares | Market Value | |||
Common Stocks — 97.3% | ||||
Information Technology — 41.2% | ||||
682,114 | Atlassian Corp. PLC - Class A* | $ 200,425,557 | ||
2,119,052 | Block, Inc.* | 287,343,451 | ||
1,298,718 | Cloudflare, Inc. - Class A* | 155,456,544 | ||
383,958 | Intuit, Inc. | 184,622,365 | ||
586,434 | ServiceNow, Inc.* | 326,579,230 | ||
174,030 | Shopify, Inc. (Canada) - Class A* | 117,637,319 | ||
561,612 | Snowflake, Inc. - Class A* | 128,682,157 | ||
611,395 | Twilio, Inc. - Class A* | 100,764,010 | ||
1,293,601 | Visa, Inc. - Class A | 286,881,894 | ||
1,788,392,527 | ||||
Communication Services — 18.9% | ||||
173,843 | Charter Communications, Inc. - Class A* | 94,834,833 | ||
1,603,220 | Match Group, Inc.* | 174,334,143 | ||
449,369 | Meta Platforms, Inc. - Class A* | 99,921,691 | ||
321,423 | Netflix, Inc.* | 120,401,842 | ||
1,928,096 | Sea Ltd. (Taiwan) ADR* | 230,966,620 | ||
2,698,706 | Warner Music Group Corp. - Class A | 102,146,022 | ||
822,605,151 | ||||
Health Care — 16.1% | ||||
761,818 | 10X Genomics, Inc. - Class A* | 57,951,495 | ||
220,463 | Align Technology, Inc.* | 96,121,868 | ||
484,823 | DexCom, Inc.* | 248,035,447 | ||
953,072 | Edwards Lifesciences Corp.* | 112,195,636 | ||
1,081,199 | Sarepta Therapeutics, Inc.* | 84,463,266 | ||
526,066 | Zoetis, Inc. | 99,210,787 | ||
697,978,499 | ||||
Consumer Discretionary — 14.6% | ||||
583,745 | Airbnb, Inc. - Class A* | 100,264,041 | ||
102,961 | Amazon.com, Inc.* | 335,647,712 | ||
763,877 | DoorDash, Inc. - Class A* | 89,518,746 | ||
377,347 | Fiverr International Ltd. (Israel)*† | 28,704,786 | ||
960,989 | Floor & Decor Holdings, Inc. - Class A* | 77,840,109 | ||
631,975,394 | ||||
Industrials — 6.5% | ||||
1,947,203 | CoStar Group, Inc.* | 129,703,192 | ||
4,332,497 | Uber Technologies, Inc.* | 154,583,493 | ||
284,286,685 | ||||
Total Common Stocks | $4,225,238,256 |
Shares | Market Value | |||
Short-Term Investment Funds — 3.8% | ||||
160,190,032 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | $ 160,190,032 | ||
4,236,870 | Invesco Government & Agency Portfolio, Institutional Class, 0.25%∞Ω** | 4,236,870 | ||
Total Short-Term Investment Funds | $164,426,902 | |||
Total Investment Securities—101.1% (Cost $3,070,173,057) | $4,389,665,158 | |||
Liabilities in Excess of Other Assets — (1.1%) | (46,466,698) | |||
Net Assets — 100.0% | $4,343,198,460 |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2022 was $4,031,710. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $4,225,238,256 | $— | $— | $4,225,238,256 |
Short-Term Investment Funds | 164,426,902 | — | — | 164,426,902 |
Total | $4,389,665,158 | $— | $— | $4,389,665,158 |
Shares | Market Value | |||
Common Stocks — 96.6% | ||||
Industrials — 27.5% | ||||
32,946 | Armstrong World Industries, Inc. | $ 2,965,470 | ||
93,175 | Evoqua Water Technologies Corp.* | 4,377,362 | ||
46,900 | Kaman Corp. | 2,039,212 | ||
31,387 | Landstar System, Inc. | 4,734,101 | ||
26,674 | ManTech International Corp. - Class A | 2,299,032 | ||
32,394 | Masonite International Corp. * | 2,881,122 | ||
44,576 | Matson, Inc. | 5,376,757 | ||
11,712 | UniFirst Corp. | 2,158,287 | ||
26,831,343 | ||||
Consumer Discretionary — 17.1% | ||||
60,164 | Acushnet Holdings Corp. | 2,422,203 | ||
3,536 | Graham Holdings Co. - Class B | 2,162,158 | ||
38,798 | Malibu Boats, Inc. - Class A* | 2,250,672 | ||
21,969 | Murphy USA, Inc. | 4,392,921 | ||
22,690 | Penske Automotive Group, Inc. | 2,126,507 | ||
117,665 | Tempur Sealy International, Inc. | 3,285,207 | ||
16,639,668 | ||||
Financials — 12.6% | ||||
67,244 | Atlantic Union Bankshares Corp. | 2,467,182 | ||
85,720 | Cannae Holdings, Inc.* | 2,050,422 | ||
78,963 | Moelis & Co. - Class A | 3,707,313 | ||
3,573 | White Mountains Insurance Group Ltd. | 4,059,786 | ||
12,284,703 | ||||
Materials — 10.1% | ||||
94,234 | GCP Applied Technologies, Inc.* | 2,960,832 | ||
51,348 | Ingevity Corp.* | 3,289,866 | ||
9,617 | NewMarket Corp. | 3,119,563 | ||
39,886 | Tredegar Corp. | 478,233 | ||
9,848,494 | ||||
Information Technology — 9.7% | ||||
83,293 | ACI Worldwide, Inc.* | 2,622,896 | ||
79,441 | CTS Corp. | 2,807,445 | ||
28,226 | Qualys, Inc.* | 4,019,665 | ||
9,450,006 | ||||
Real Estate — 7.8% | ||||
116,253 | Alexander & Baldwin, Inc. REIT | 2,695,907 | ||
80,500 | Essential Properties Realty Trust, Inc. REIT | 2,036,650 | ||
37,989 | First Industrial Realty Trust, Inc. REIT | 2,351,899 | ||
30,784 | Tejon Ranch Co.* | 562,116 | ||
7,646,572 |
Shares | Market Value | |||
Consumer Staples — 6.0% | ||||
32,468 | Energizer Holdings, Inc. | $ 998,716 | ||
18,087 | Lancaster Colony Corp. | 2,697,676 | ||
27,814 | PriceSmart, Inc. | 2,193,690 | ||
5,890,082 | ||||
Health Care — 4.2% | ||||
23,800 | Haemonetics Corp.* | 1,504,636 | ||
31,637 | LivaNova PLC* | 2,588,856 | ||
4,093,492 | ||||
Energy — 1.6% | ||||
41,143 | Dril-Quip, Inc. * | 1,536,691 | ||
Total Common Stocks | $94,221,051 | |||
Short-Term Investment Fund — 3.7% | ||||
3,600,475 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | 3,600,475 | ||
Total Investment Securities—100.3% (Cost $76,969,155) | $97,821,526 | |||
Liabilities in Excess of Other Assets — (0.3%) | (263,573) | |||
Net Assets — 100.0% | $97,557,953 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $94,221,051 | $— | $— | $94,221,051 |
Short-Term Investment Fund | 3,600,475 | — | — | 3,600,475 |
Total | $97,821,526 | $— | $— | $97,821,526 |
Shares | Market Value | |||
Common Stocks — 96.4% | ||||
Industrials — 21.7% | ||||
24,545 | Altra Industrial Motion Corp. | $ 955,537 | ||
14,014 | BWX Technologies, Inc. | 754,794 | ||
2,528 | CACI International, Inc. - Class A* | 761,585 | ||
20,614 | CIRCOR International, Inc. * | 548,745 | ||
14,479 | Clean Harbors, Inc. * | 1,616,436 | ||
6,840 | EMCOR Group, Inc. | 770,389 | ||
18,862 | Enerpac Tool Group Corp. | 412,889 | ||
10,673 | EnPro Industries, Inc. | 1,043,072 | ||
45,885 | Gates Industrial Corp. PLC* | 691,028 | ||
29,498 | Harsco Corp.* | 361,055 | ||
12,306 | Hexcel Corp. | 731,838 | ||
8,174 | Hillenbrand, Inc. | 361,046 | ||
15,571 | Huron Consulting Group, Inc.* | 713,307 | ||
13,957 | ITT, Inc. | 1,049,706 | ||
20,132 | Kelly Services, Inc. - Class A | 436,663 | ||
15,672 | Korn/Ferry International | 1,017,740 | ||
9,193 | Masonite International Corp. * | 817,625 | ||
13,727 | Regal Rexnord Corp. | 2,042,303 | ||
6,748 | SPX FLOW, Inc. | 581,813 | ||
8,293 | Standex International Corp. | 828,637 | ||
16,496,208 | ||||
Financials — 19.5% | ||||
33,435 | Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 1,199,648 | ||
37,474 | BankUnited, Inc. | 1,647,357 | ||
30,267 | First Interstate BancSystem, Inc. - Class A | 1,112,918 | ||
8,750 | Hanover Insurance Group, Inc. (The) | 1,308,300 | ||
54,542 | MGIC Investment Corp. | 739,044 | ||
27,612 | NMI Holdings, Inc. - Class A* | 569,360 | ||
25,145 | PacWest Bancorp | 1,084,504 | ||
18,575 | Pinnacle Financial Partners, Inc. | 1,710,386 | ||
73,319 | Umpqua Holdings Corp. | 1,382,796 | ||
25,437 | Univest Financial Corp. | 680,694 | ||
6,669 | Webster Financial Corp. | 374,264 | ||
17,048 | Western Alliance Bancorp | 1,411,915 | ||
17,362 | Wintrust Financial Corp. | 1,613,451 | ||
14,834,637 | ||||
Information Technology — 8.7% | ||||
11,284 | Belden, Inc. | 625,134 | ||
5,712 | ExlService Holdings, Inc.* | 818,358 | ||
79,117 | Harmonic, Inc.* | 734,997 | ||
8,082 | Lumentum Holdings, Inc.* | 788,803 | ||
8,186 | MACOM Technology Solutions Holdings, Inc.* | 490,096 | ||
88,017 | Rackspace Technology, Inc.* | 982,270 | ||
3,480 | Rogers Corp.* | 945,516 | ||
78,016 | Viavi Solutions, Inc.* | 1,254,497 | ||
6,639,671 | ||||
Consumer Discretionary — 8.4% | ||||
33,178 | American Eagle Outfitters, Inc. | 557,391 | ||
29,253 | Callaway Golf Co. * | 685,105 | ||
3,895 | Carter's, Inc. | 358,301 | ||
6,011 | Dorman Products, Inc.* | 571,225 | ||
40,164 | Goodyear Tire & Rubber Co. (The)* | 573,944 | ||
8,666 | Murphy USA, Inc. | 1,732,853 | ||
5,066 | Oxford Industries, Inc. | 458,473 | ||
12,324 | Steven Madden Ltd. | 476,199 | ||
20,319 | Urban Outfitters, Inc.* | 510,210 | ||
7,822 | YETI Holdings, Inc.* | 469,164 | ||
6,392,865 |
Shares | Market Value | |||
Consumer Staples — 7.8% | ||||
11,418 | Cal-Maine Foods, Inc. | $ 630,502 | ||
8,419 | Energizer Holdings, Inc. | 258,968 | ||
13,870 | Hain Celestial Group, Inc. (The)* | 477,128 | ||
58,120 | Hostess Brands, Inc.* | 1,275,153 | ||
12,950 | Ingredion, Inc. | 1,128,592 | ||
8,203 | MGP Ingredients, Inc. | 702,095 | ||
8,337 | Performance Food Group Co.* | 424,437 | ||
30,505 | TreeHouse Foods, Inc.* | 984,091 | ||
5,880,966 | ||||
Real Estate — 7.0% | ||||
18,686 | American Campus Communities, Inc. REIT | 1,045,855 | ||
84,346 | Chimera Investment Corp. REIT | 1,015,526 | ||
17,679 | Corporate Office Properties Trust REIT | 504,559 | ||
22,881 | Dynex Capital, Inc. REIT | 370,672 | ||
38,144 | LXP Industrial Trust REIT | 598,861 | ||
110,489 | Newmark Group, Inc. - Class A | 1,758,985 | ||
5,294,458 | ||||
Materials — 6.8% | ||||
7,364 | Cabot Corp. | 503,771 | ||
8,384 | Ingevity Corp.* | 537,163 | ||
5,447 | Innospec, Inc. | 504,120 | ||
55,012 | Livent Corp.* | 1,434,163 | ||
61,841 | O-I Glass, Inc.* | 815,064 | ||
11,779 | Silgan Holdings, Inc. | 544,543 | ||
25,884 | Valvoline, Inc. | 816,899 | ||
5,155,723 | ||||
Utilities — 5.5% | ||||
10,676 | Black Hills Corp. | 822,266 | ||
8,592 | IDACORP, Inc. | 991,173 | ||
33,314 | Portland General Electric Co. | 1,837,267 | ||
7,763 | Spire, Inc. | 557,073 | ||
4,207,779 | ||||
Energy — 4.9% | ||||
19,938 | Cactus, Inc. - Class A | 1,131,282 | ||
25,553 | Helmerich & Payne, Inc. | 1,093,157 | ||
17,357 | PDC Energy, Inc. | 1,261,507 | ||
22,519 | Select Energy Services, Inc. - Class A* | 192,988 | ||
3,678,934 | ||||
Health Care — 4.5% | ||||
23,037 | Envista Holdings Corp.* | 1,122,132 | ||
11,601 | Integra LifeSciences Holdings Corp.* | 745,480 | ||
8,891 | NuVasive, Inc.* | 504,120 | ||
19,740 | Prestige Consumer Healthcare, Inc.* | 1,045,036 | ||
3,416,768 | ||||
Communication Services — 1.6% | ||||
53,651 | TEGNA, Inc. | 1,201,782 | ||
Total Common Stocks | $73,199,791 | |||
Exchange-Traded Fund — 1.3% | ||||
6,205 | iShares Russell 2000 Value ETF | 1,001,487 |
Shares | Market Value | |||
Short-Term Investment Fund — 1.1% | ||||
803,455 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | $ 803,455 | ||
Total Investment Securities—98.8% (Cost $53,646,354) | $75,004,733 | |||
Other Assets in Excess of Liabilities — 1.2% | 944,116 | |||
Net Assets — 100.0% | $75,948,849 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
ETF – Exchange-Traded Fund |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $73,199,791 | $— | $— | $73,199,791 |
Exchange-Traded Fund | 1,001,487 | — | — | 1,001,487 |
Short-Term Investment Fund | 803,455 | — | — | 803,455 |
Total | $75,004,733 | $— | $— | $75,004,733 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 39.0% | ||||
$ 5,193,102 | ACC Auto Trust, Ser 2021-A, Class A, 144a, 1.080%, 4/15/27 | $ 5,145,205 | ||
322,904 | Aegis Asset Backed Securities Trust Mortgage Pass-Through Certificate, Ser 2005-4, Class M1, (1M LIBOR +0.675%), 1.132%, 10/25/35(A) | 322,452 | ||
4,200,000 | American Credit Acceptance Receivables Trust, Ser 2018-2, Class E, 144a, 5.160%, 9/10/24 | 4,240,352 | ||
11,310,000 | American Credit Acceptance Receivables Trust, Ser 2018-3, Class E, 144a, 5.170%, 10/15/24 | 11,418,267 | ||
9,500,000 | American Credit Acceptance Receivables Trust, Ser 2018-4, Class E, 144a, 5.380%, 1/13/25 | 9,660,625 | ||
9,205,655 | American Credit Acceptance Receivables Trust, Ser 2019-1, Class D, 144a, 3.810%, 4/14/25 | 9,262,769 | ||
153,200 | American Credit Acceptance Receivables Trust, Ser 2019-2, Class C, 144a, 3.170%, 6/12/25 | 153,193 | ||
5,547,724 | American Credit Acceptance Receivables Trust, Ser 2020-1, Class C, 144a, 2.190%, 3/13/26 | 5,550,401 | ||
159,970 | American Credit Acceptance Receivables Trust, Ser 2021-1, Class A, 144a, 0.350%, 5/13/24 | 159,905 | ||
3,507,000 | AmeriCredit Automobile Receivables Trust, Ser 2017-4, Class D, 3.080%, 12/18/23 | 3,519,688 | ||
8,250,000 | Anchorage Capital CLO Ltd. (Cayman Islands), Ser 2013-1A, Class A1R, 144a, (3M LIBOR +1.250%), 1.494%, 10/13/30(A) | 8,213,947 | ||
6,154,638 | Ares XL CLO Ltd. (Cayman Islands), Ser 2016-40A, Class A1RR, 144a, (3M LIBOR +0.870%), 1.111%, 1/15/29(A) | 6,144,169 | ||
4,694,635 | Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Ser 2006-HE3, Class A5, (1M LIBOR +0.270%), 0.997%, 3/25/36(A) | 4,648,138 | ||
4,009,523 | Avid Automobile Receivables Trust, Ser 2021-1, Class A, 144a, 0.610%, 1/15/25 | 3,982,873 | ||
3,750,000 | Barings CLO Ltd. (Cayman Islands), Ser 2013-IA, Class BR, 144a, (3M LIBOR +1.250%), 1.504%, 1/20/28(A) | 3,740,366 | ||
6,048,000 | BDS Ltd. (Cayman Islands), Ser 2020-FL5, Class B, 144a, (1M LIBOR +1.800%), 1.964%, 2/16/37(A) | 5,969,389 | ||
816,987 | Bear Stearns Asset Backed Securities Trust, Ser 2006-SD2, Class M1, (1M LIBOR +0.825%), 1.282%, 6/25/36(A) | 816,361 | ||
7,809,218 | Black Diamond CLO Ltd. (Cayman Islands), Ser 2017-1A, Class A1AR, 144a, (3M LIBOR +1.050%), 1.309%, 4/24/29(A) | 7,799,644 | ||
434,309 | BSPRT Issuer Ltd. (Cayman Islands), Ser 2019-FL5, Class A, 144a, (1M LIBOR +1.150%), 1.547%, 5/15/29(A) | 433,090 | ||
2,524,281 | CarNow Auto Receivables Trust, Ser 2021-2A, Class A, 144a, 0.730%, 9/15/23 | 2,517,732 | ||
3,242,664 | CIFC Funding Ltd. (Cayman Islands), Ser 2012-2RA, Class A1, 144a, (3M LIBOR +0.800%), 1.054%, 1/20/28(A) | 3,234,113 | ||
5,981,380 | Conn's Receivables Funding LLC, Ser 2021-A, Class A, 144a, 1.050%, 5/15/26 | 5,957,342 | ||
9,279,730 | CPS Auto Receivables Trust, Ser 2019-A, Class D, 144a, 4.350%, 12/16/24 | 9,370,840 | ||
1,881,183 | CPS Auto Trust, Ser 2018-C, Class D, 144a, 4.400%, 6/17/24 | 1,893,566 | ||
2,944,729 | Crossroads Asset Trust, Ser 2021-A, Class A2, 144a, 0.820%, 3/20/24 | 2,924,974 | ||
10,750,000 | Dewolf Park CLO Ltd. (Cayman Islands), Ser 2017-1A, Class AR, 144a, (3M LIBOR +0.920%), 1.161%, 10/15/30(A) | 10,680,566 | ||
197,427 | Drive Auto Receivables Trust, Ser 2018-1, Class D, 3.810%, 5/15/24 | 197,627 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 39.0% (Continued) | ||||
$ 2,214,519 | Drive Auto Receivables Trust, Ser 2018-2, Class D, 4.140%, 8/15/24 | $ 2,228,813 | ||
8,387,989 | DT Auto Owner Trust, Ser 2018-3A, Class D, 144a, 4.190%, 7/15/24 | 8,453,542 | ||
1,248,450 | DT Auto Owner Trust, Ser 2019-3A, Class C, 144a, 2.740%, 4/15/25 | 1,249,938 | ||
10,000,000 | DT Auto Owner Trust, Ser 2020-1A, Class C, 144a, 2.290%, 11/17/25 | 10,000,770 | ||
1,132,825 | DT Auto Owner Trust, Ser 2021-1A, Class A, 144a, 0.350%, 1/15/25 | 1,129,151 | ||
2,076,440 | Elara HGV Timeshare Issuer LLC, Ser 2016-A, Class A, 144a, 2.730%, 4/25/28 | 2,068,940 | ||
2,227,910 | Encina Equipment Finance LLC, Ser 2021-1A, Class A1, 144a, 0.500%, 9/15/25 | 2,224,979 | ||
2,293,775 | Exeter Automobile Receivables Trust, Ser 2018-2A, Class D, 144a, 4.040%, 3/15/24 | 2,311,322 | ||
1,979,780 | Exeter Automobile Receivables Trust, Ser 2019-1A, Class D, 144a, 4.130%, 12/16/24 | 1,999,026 | ||
3,223,258 | Exeter Automobile Receivables Trust, Ser 2020-1A, Class C, 144a, 2.490%, 1/15/25 | 3,225,505 | ||
5,155,140 | FCI Funding LLC, Ser 2021-1A, Class A, 144a, 1.130%, 4/15/33 | 5,102,538 | ||
11,639,403 | Flagship Credit Auto Trust, Ser 2019-1, Class C, 144a, 3.600%, 2/18/25 | 11,722,827 | ||
3,365,142 | FNA VI LLC, Ser 2021-1A, Class A, 144a, 1.350%, 1/10/32 | 3,212,676 | ||
139,800 | FNMA REMIC Trust, Ser 2001-W4, Class AF5, 5.614%, 2/25/32(A)(B) | 149,337 | ||
4,680,000 | Foursight Capital Automobile Receivables Trust, Ser 2018-2, Class D, 144a, 4.330%, 7/15/24 | 4,705,437 | ||
2,444,945 | GLS Auto Receivables Issuer Trust, Ser 2019-4A, Class B, 144a, 2.780%, 9/16/24 | 2,449,280 | ||
158,480 | GLS Auto Receivables Issuer Trust, Ser 2020-4A, Class A, 144a, 0.520%, 2/15/24 | 158,423 | ||
7,661,719 | LAD Auto Receivables Trust, Ser 2021-1A, Class A, 144a, 1.300%, 8/17/26 | 7,508,124 | ||
3,398,924 | Madison Park Funding XI Ltd. (Cayman Islands), Ser 2013-11A, Class AR2, 144a, (3M LIBOR +0.900%), 1.159%, 7/23/29(A) | 3,387,670 | ||
2,983,528 | Magnetite XVI Ltd. (Cayman Islands), Ser 2015-16A, Class AR, 144a, (3M LIBOR +0.800%), 1.041%, 1/18/28(A) | 2,974,515 | ||
7,175,000 | MF1 Ltd. (Cayman Islands), Ser 2020-FL4, Class A, 144a, (SOFR30A +1.814%), 2.143%, 11/15/35(A) | 7,101,746 | ||
4,000,000 | MF1 Ltd. (Cayman Islands), Ser 2020-FL4, Class AS, 144a, (SOFR30A +2.214%), 2.543%, 11/15/35(A) | 3,958,545 | ||
10,219,000 | MF1 Ltd. (Cayman Islands), Ser 2020-FL4, Class C, 144a, (SOFR30A +3.714%), 4.043%, 11/15/35(A) | 10,100,601 | ||
444,415 | Mill City Mortgage Loan Trust, Ser 2017-1, Class A1, 144a, 2.750%, 11/25/58(A)(B) | 444,206 | ||
7,296,386 | Monroe Capital Mml CLO Ltd. (Cayman Islands), Ser 2017-1A, Class AR, 144a, (3M LIBOR +1.300%), 1.559%, 4/22/29(A) | 7,262,246 | ||
6,250,000 | Neuberger Berman CLO XV (Cayman Islands), Ser 2013-15A, Class A1R2, 144a, (3M LIBOR +0.920%), 1.161%, 10/15/29(A) | 6,216,094 | ||
1,339,615 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2019-1A, Class A1, 144a, (3M LIBOR +1.050%), 1.304%, 4/20/27(A) | 1,339,613 | ||
2,521,239 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2019-3A, Class A1, 144a, (3M LIBOR +0.850%), 1.330%, 8/20/27(A) | 2,518,834 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 39.0% (Continued) | ||||
$ 2,162,184 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2020-1A, Class A1, 144a, (3M LIBOR +1.025%), 1.280%, 2/20/28(A) | $ 2,166,802 | ||
10,500,000 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2021-4A, Class A1, 144a, (3M LIBOR +0.800%), 0.928%, 10/15/29(A) | 10,450,335 | ||
2,927,098 | Peaks CLO 1 Ltd. (Cayman Islands), Ser 2014-1A, Class A2R, 144a, (3M LIBOR +1.410%), 1.668%, 7/25/30(A) | 2,921,656 | ||
524,229 | Prestige Auto Receivables Trust, Ser 2018-1A, Class C, 144a, 3.750%, 10/15/24 | 525,198 | ||
2,250,000 | Prestige Auto Receivables Trust, Ser 2018-1A, Class D, 144a, 4.140%, 10/15/24 | 2,270,100 | ||
9,700,000 | Progress Residential Trust, Ser 2019-SFR3, Class B, 144a, 2.571%, 9/17/36 | 9,431,175 | ||
1,436,932 | RAMP Series Trust, Ser 2005-RS6, Class M4, (1M LIBOR +0.975%), 1.432%, 6/25/35(A) | 1,433,558 | ||
620,515 | RAMP Series Trust, Ser 2006-NC3, Class A3, (1M LIBOR +0.540%), 0.997%, 3/25/36(A) | 620,092 | ||
1,569,108 | RAMP Trust, Ser 2005-RS5, Class M4, (1M LIBOR +0.640%), 1.417%, 5/25/35(A) | 1,563,025 | ||
361,697 | Santander Drive Auto Receivables Trust, Ser 2019-2, Class C, 2.900%, 10/15/24 | 362,189 | ||
447,215 | Sierra Timeshare Receivables Funding LLC, Ser 2019-1A, Class B, 144a, 3.420%, 1/20/36 | 444,018 | ||
1,862,171 | Symphony CLO XIV Ltd. (Cayman Islands), Ser 2014-14A, Class AR, 144a, (3M LIBOR +0.950%), 1.188%, 7/14/26(A) | 1,861,521 | ||
8,750,000 | Symphony Static CLO I Ltd. (Cayman Islands), Ser 2021-1A, Class A, 144a, (3M LIBOR +0.830%), 0.959%, 10/25/29(A) | 8,710,004 | ||
8,568,172 | TICP CLO III-2 Ltd. (Cayman Islands), Ser 2018-3R, Class A, 144a, (3M LIBOR +0.840%), 1.094%, 4/20/28(A) | 8,562,646 | ||
6,326,000 | Towd Point Mortgage Trust, Ser 2015-5, Class M1, 144a, 3.500%, 5/25/55(A)(B) | 6,352,555 | ||
3,855,925 | Towd Point Mortgage Trust, Ser 2017-1, Class A1, 144a, 2.750%, 10/25/56(A)(B) | 3,855,915 | ||
6,947,078 | Towd Point Mortgage Trust, Ser 2017-5, Class A1, 144a, (1M LIBOR +0.600%), 1.057%, 2/25/57(A) | 6,921,125 | ||
3,131,803 | Towd Point Mortgage Trust, Ser 2019-HY1, Class A1, 144a, (1M LIBOR +1.000%), 1.457%, 10/25/48(A) | 3,128,962 | ||
1,946,615 | Towd Point Mortgage Trust, Ser 2019-MH1, Class A1, 144a, 3.000%, 11/25/58(A)(B) | 1,941,867 | ||
4,853,894 | Tricon American Homes Trust, Ser 2017-SFR2, Class A, 144a, 2.928%, 1/17/36 | 4,818,734 | ||
3,800,000 | Tricon American Homes Trust, Ser 2017-SFR2, Class D, 144a, 3.672%, 1/17/36 | 3,744,669 | ||
6,000,000 | United Auto Credit Securitization Trust, Ser 2022-1, Class B, 144a, 2.100%, 3/10/25 | 5,926,663 | ||
818,443 | Westlake Automobile Receivables Trust, Ser 2018-3A, Class D, 144a, 4.000%, 10/16/23 | 821,630 | ||
8,200,000 | Westlake Automobile Receivables Trust, Ser 2019-1A, Class E, 144a, 4.490%, 7/15/24 | 8,314,285 | ||
10,000,000 | Westlake Automobile Receivables Trust, Ser 2019-2A, Class D, 144a, 3.200%, 11/15/24 | 10,042,571 | ||
Total Asset-Backed Securities | $350,353,587 | |||
Commercial Mortgage-Backed Securities — 21.8% | ||||
363,452 | AREIT Trust, Ser 2019-CRE3, Class A, 144a, (SOFR30A +1.134%), 1.184%, 9/14/36(A) | 362,194 | ||
10,793,000 | AREIT Trust, Ser 2020-CRE4, Class C, 144a, (SOFR30A +3.222%), 3.272%, 4/15/37(A) | 10,755,652 |
Principal Amount | Market Value | |||
Commercial Mortgage-Backed Securities — 21.8% (Continued) | ||||
$ 4,800,000 | Austin Fairmont Hotel Trust, Ser 2019-FAIR, Class C, 144a, (1M LIBOR +1.450%), 1.847%, 9/15/32(A) | $ 4,691,333 | ||
8,145,000 | BHMS, Ser 2018-ATLS, Class A, 144a, (1M LIBOR +1.250%), 1.647%, 7/15/35(A) | 8,060,581 | ||
977,000 | BPR Trust, Ser 2021-KEN, Class A, 144a, 1.647%, 2/15/29(A) | 970,176 | ||
8,900,000 | BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 2.347%, 2/15/29(A) | 8,851,214 | ||
6,260,952 | BX Commercial Mortgage Trust, Ser 2019-XL, Class A, 144a, (1M LIBOR +0.970%), 1.317%, 10/15/36(A) | 6,233,688 | ||
3,153,632 | BX Trust, Ser 2019-RP, Class A, 144a, (1M LIBOR +1.045%), 1.442%, 6/15/34(A) | 3,125,999 | ||
8,495,000 | BXMT LTD (Cayman Islands), Ser 2020-FL2, Class AS, 144a, (SOFR30A +1.264%), 1.314%, 2/15/38(A) | 8,374,915 | ||
6,494,000 | BXMT Ltd. (Cayman Islands), Ser 2020-FL2, Class A, 144a, (1M LIBOR +0.900%), 1.064%, 2/15/38(A) | 6,456,291 | ||
7,200,000 | BXP Trust, Ser 2017-CQHP, Class A, 144a, (1M LIBOR +0.850%), 1.247%, 11/15/34(A) | 7,095,572 | ||
2,700,000 | CAMB Commercial Mortgage Trust, Ser 2019-LIFE, Class C, 144a, (1M LIBOR +1.450%), 1.847%, 12/15/37(A) | 2,656,022 | ||
1,274,262 | Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Class AAB, 2.690%, 4/10/46 | 1,277,905 | ||
1,026,729 | Citigroup Commercial Mortgage Trust, Ser 2015-GC35, Class A2, 3.063%, 11/10/48 | 1,019,240 | ||
56,000,000 | Citigroup Commercial Mortgage Trust, Ser 2021-PRM2, Class XCP, 144a, 0.650%, 10/15/36(A)(B)(C) | 209,406 | ||
5,839,235 | COMM Mortgage Trust, Ser 2012-CR2, Class A4, 3.147%, 8/15/45 | 5,829,701 | ||
34,456,339 | COMM Mortgage Trust, Ser 2014-UBS3, Class XA, 1.063%, 6/10/47(A)(B)(C) | 619,005 | ||
2,680,000 | CSMC Trust, Ser 2017-CHOP, Class A, 144a, (1M LIBOR +0.750%), 1.147%, 7/15/32(A) | 2,600,271 | ||
6,080,000 | CSMC Trust, Ser 2017-PFHP, Class A, 144a, (1M LIBOR +0.950%), 1.347%, 12/15/30(A) | 6,038,115 | ||
10,020,322 | DBGS Mortgage Trust, Ser 2018-BIOD, Class B, 144a, (1M LIBOR +0.888%), 1.194%, 5/15/35(A) | 9,932,026 | ||
118,906,000 | GS Mortgage Securities Corp. II, Ser 2017-SLP, Class XA, 144a, 1.172%, 10/10/32(A)(B)(C) | 272,509 | ||
18,959,000 | GS Mortgage Securities Corp. Trust, Ser 2012-ALOH, Class A, 144a, 3.551%, 4/10/34 | 18,950,609 | ||
705,000 | GS Mortgage Securities Corp. Trust, Ser 2017-GPTX, Class A, 144a, 2.856%, 5/10/34 | 702,972 | ||
3,859,000 | GS Mortgage Securities Trust, Ser 2018-HART, Class A, 144a, (1M LIBOR +1.090%), 1.490%, 10/15/31(A) | 3,800,579 | ||
94,257,000 | HONO Mortgage Trust, Ser 2021-LULU, Class XCP, 144a, 0.459%, 10/15/36(A)(B)(C) | 246,784 | ||
1,552,488 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2012-CBX, Class A4, 3.483%, 6/15/45 | 1,553,404 | ||
50,029 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2012-CBX, Class A4FL, 144a, (1M LIBOR +1.300%), 1.741%, 6/15/45(A) | 50,053 | ||
2,750,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2019-MFP, Class C, 144a, (1M LIBOR +1.360%), 1.757%, 7/15/36(A) | 2,698,369 | ||
412,833 | JPMBB Commercial Mortgage Securities Trust, Ser 2014-C24, Class A2, 2.940%, 11/15/47 | 402,742 | ||
5,000,000 | MF1 Ltd. (Cayman Islands), Ser 2020-FL3, Class AS, 144a, (1M LIBOR +2.850%), 3.266%, 7/15/35(A) | 5,012,626 |
Principal Amount | Market Value | |||
Commercial Mortgage-Backed Securities — 21.8% (Continued) | ||||
$ 4,790,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Class E, 144a, 4.624%, 8/15/45(A)(B) | $ 4,780,321 | ||
8,526,865 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Class A4, 2.858%, 11/15/45 | 8,528,769 | ||
547,265 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Class A3FL, 144a, (1M LIBOR +1.000%), 1.441%, 7/15/46(A) | 547,485 | ||
944,686 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C8, Class ASB, 2.699%, 12/15/48 | 947,162 | ||
1,411,000 | Morgan Stanley Capital I Trust, Ser 2017-CLS, Class A, 144a, (1M LIBOR +0.700%), 1.097%, 11/15/34(A) | 1,404,309 | ||
8,700,000 | Morgan Stanley Capital I Trust, Ser 2017-CLS, Class B, 144a, (1M LIBOR +0.850%), 1.247%, 11/15/34(A) | 8,650,850 | ||
7,191,263 | Morgan Stanley Capital I Trust, Ser 2018-BOP, Class A, 144a, (1M LIBOR +0.850%), 1.247%, 8/15/33(A) | 7,145,194 | ||
978,023 | ReadyCap Commercial Mortgage Trust, Ser 2018-4, Class A, 144a, 3.390%, 2/27/51 | 960,940 | ||
3,442,841 | Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Class A, 144a, (1M LIBOR +0.750%), 1.340%, 11/11/34(A) | 3,395,441 | ||
4,862,946 | UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Class A4, 3.525%, 5/10/63 | 4,857,205 | ||
7,000,000 | Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Class AS, 3.539%, 10/15/45 | 7,023,471 | ||
3,539,149 | Wells Fargo Commercial Mortgage Trust, Ser 2017-C38, Class A2, 3.043%, 7/15/50 | 3,538,370 | ||
5,000,000 | WFRBS Commercial Mortgage Trust, Ser 2012-C9, Class AS, 3.388%, 11/15/45 | 5,012,229 | ||
10,450,000 | WFRBS Commercial Mortgage Trust, Ser 2013-C12, Class D, 144a, 4.392%, 3/15/48(A)(B) | 10,149,257 | ||
359,511 | WFRBS Commercial Mortgage Trust, Ser 2014-C19, Class A3, 3.660%, 3/15/47 | 358,464 | ||
Total Commercial Mortgage-Backed Securities | $196,149,420 | |||
Corporate Bonds — 17.5% | ||||
Utilities — 6.1% | ||||
4,000,000 | American Electric Power Co., Inc., 2.031%, 3/15/24 | 3,933,560 | ||
4,596,000 | CenterPoint Energy Resources Corp., (3M LIBOR +0.500%), 1.004%, 3/2/23(A) | 4,581,808 | ||
10,000,000 | Cleco Power LLC, 144a, (3M LIBOR +0.500%), 1.326%, 6/15/23(A) | 9,997,334 | ||
7,225,000 | Dominion Energy, Inc., (3M LIBOR +0.530%), 1.356%, 9/15/23(A) | 7,211,898 | ||
10,000,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +0.270%), 0.750%, 2/22/23(A) | 9,965,127 | ||
7,500,000 | ONE Gas, Inc., (3M LIBOR +0.610%), 1.355%, 3/11/23(A) | 7,490,207 | ||
1,500,000 | Pacific Gas and Electric Co., (SOFRRATE + 1.150%), 1.338%, 11/14/22(A) | 1,500,427 | ||
7,500,000 | Pacific Gas and Electric Co., 1.750%, 6/16/22 | 7,489,229 | ||
3,000,000 | Southern California Gas Co., (3M LIBOR +0.350%), 1.153%, 9/14/23(A) | 2,994,172 | ||
55,163,762 | ||||
Financials — 3.8% | ||||
4,367,000 | Comerica, Inc., 3.700%, 7/31/23 | 4,426,995 | ||
4,000,000 | FNB Corp., 2.200%, 2/24/23 | 3,976,341 | ||
6,300,000 | Goldman Sachs Group, Inc. (The), 2.908%, 6/5/23 | 6,306,634 | ||
2,000,000 | Intercontinental Exchange, Inc., 0.700%, 6/15/23 | 1,964,455 |
Principal Amount | Market Value | |||
Financials — (Continued) | ||||
$ 3,800,000 | Mitsubishi UFJ Financial Group, Inc. (Japan), 0.848%, 9/15/24 | $ 3,684,795 | ||
7,000,000 | National Bank of Canada (Canada), 0.900%, 8/15/23 | 6,958,722 | ||
2,800,000 | Sumitomo Mitsui Trust Bank Ltd. (Japan), 144a, 0.800%, 9/12/23 | 2,726,628 | ||
4,000,000 | UBS Group AG (Switzerland), 144a, 1.008%, 7/30/24 | 3,892,932 | ||
33,937,502 | ||||
Consumer Discretionary — 1.7% | ||||
3,500,000 | American Honda Finance Corp., MTN, 0.875%, 7/7/23 | 3,442,068 | ||
5,000,000 | Hyundai Capital America, 144a, 0.800%, 1/8/24 | 4,775,061 | ||
2,500,000 | Hyundai Capital America, 144a, 2.375%, 2/10/23 | 2,491,977 | ||
5,000,000 | Toyota Motor Corp. (Japan), 0.681%, 3/25/24 | 4,829,972 | ||
15,539,078 | ||||
Consumer Staples — 1.2% | ||||
5,500,000 | Nestle Holdings, Inc., 144a, 0.375%, 1/15/24 | 5,283,847 | ||
1,570,000 | Reckitt Benckiser Treasury Services PLC (United Kingdom), 144a, (3M LIBOR +0.560%), 1.514%, 6/24/22(A) | 1,571,746 | ||
4,500,000 | Triton Container International Ltd. (Bermuda), 144a, 0.800%, 8/1/23 | 4,368,196 | ||
11,223,789 | ||||
Energy — 1.1% | ||||
5,000,000 | Energy Transfer Partners LP / Regency Energy Finance Corp., 4.500%, 11/1/23 | 5,078,388 | ||
5,000,000 | Midwest Connector Capital Co. LLC, 144a, 3.625%, 4/1/22 | 5,000,000 | ||
10,078,388 | ||||
Health Care — 1.1% | ||||
7,225,000 | Dignity Health, 3.125%, 11/1/22 | 7,266,532 | ||
2,500,000 | Viatris, Inc., 1.125%, 6/22/22 | 2,499,847 | ||
9,766,379 | ||||
Information Technology — 1.0% | ||||
4,000,000 | Microchip Technology, Inc., 4.250%, 9/1/25 | 4,051,345 | ||
5,000,000 | SK Hynix, Inc. (South Korea), 144a, 1.000%, 1/19/24 | 4,802,650 | ||
8,853,995 | ||||
Industrials — 0.9% | ||||
8,380,000 | Huntington Ingalls Industries, Inc., 144a, 0.670%, 8/16/23 | 8,134,532 | ||
Materials — 0.6% | ||||
5,000,000 | Nutrien Ltd. (Canada), 1.900%, 5/13/23 | 4,964,441 | ||
Total Corporate Bonds | $157,661,866 | |||
Non-Agency Collateralized Mortgage Obligations — 11.9% | ||||
655,794 | Bear Stearns ARM Trust, Ser 2003-1, Class 5A1, 2.067%, 4/25/33(A)(B)†† | 682,748 | ||
122,000 | Bear Stearns Asset Backed Securities Trust, Ser 2003-AC7, Class A2, 5.750%, 1/25/34(A)(B)†† | 119,344 | ||
3,240,059 | BRAVO Residential Funding Trust, Ser 2019-NQM2, Class A1, 144a, 2.748%, 11/25/59(A)(B) | 3,178,078 | ||
13,653,030 | Cascade Funding Mortgage Trust, Ser 2021-HB6, Class A, 144a, 0.898%, 6/25/36(A)(B) | 13,516,213 | ||
5,344,529 | CFMT LLC, Ser 2020-HB4, Class A, 144a, 0.946%, 12/26/30(A)(B) | 5,303,925 | ||
7,285,539 | CFMT LLC, Ser 2021-EBO1, Class A, 144a, 0.985%, 11/25/50(A)(B) | 7,173,775 | ||
6,038,462 | CFMT LLC, Ser 2021-HB7, Class A, 144a, 1.151%, 10/27/31(A)(B) | 5,944,331 | ||
9,826 | Community Program Loan Trust, Ser 1987-A, Class A5, 4.500%, 4/1/29 | 9,725 |
Principal Amount | Market Value | |||
Non-Agency Collateralized Mortgage Obligations — 11.9% (Continued) | ||||
$ 12,532,618 | CSMC Trust, Ser 2018-RPL9, Class A1, 144a, 3.850%, 9/25/57(A)(B) | $ 12,631,533 | ||
1,470,781 | GSR Mortgage Loan Trust, Ser 2003-13, Class 1A1, 2.579%, 10/25/33(A)(B) | 1,542,156 | ||
59,138 | JP Morgan Mortgage Trust, Ser 2006-A4, Class 2A2, 2.256%, 6/25/36(A)(B) | 47,154 | ||
3,588,143 | JP Morgan Mortgage Trust, Ser 2019-HYB1, Class A5A, 144a, 3.000%, 10/25/49(A)(B) | 3,467,874 | ||
53,815 | Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Class 1A, 1.907%, 12/25/34(A)(B) | 54,207 | ||
16,442 | Merrill Lynch Mortgage Investors Trust, Ser 2003-A1, Class 2A, (12M LIBOR +1.625%), 2.956%, 12/25/32(A) | 16,270 | ||
1,227,057 | Mill City Mortgage Loan Trust, Ser 2018-2, Class A1, 144a, 3.500%, 5/25/58(A)(B) | 1,231,367 | ||
526,770 | RFMSI Trust, Ser 2007-SA1, Class 1A1, 3.369%, 2/25/37(A)(B) | 465,434 | ||
10,951,691 | RMF Proprietary Issuance Trust, Ser 2019-1, Class A, 144a, 2.750%, 10/25/63(A)(B) | 10,727,670 | ||
2,177,405 | Sequoia Mortgage Trust, Ser 2013-7, Class B2, 3.506%, 6/25/43(A)(B) | 2,176,416 | ||
622,691 | Sequoia Mortgage Trust, Ser 2018-CH4, Class A13, 144a, 4.500%, 10/25/48(A)(B) | 625,191 | ||
2,003,613 | Sequoia Mortgage Trust, Ser 2019-CH3, Class A13, 144a, 4.000%, 9/25/49(A)(B) | 2,010,933 | ||
1,810,192 | Starwood Mortgage Residential Trust, Ser 2019-INV1, Class A1, 144a, 2.610%, 9/27/49(A)(B) | 1,812,568 | ||
10,412,249 | Starwood Mortgage Residential Trust, Ser 2020-3, Class A1, 144a, 1.486%, 4/25/65(A)(B) | 10,260,087 | ||
5,982,590 | Towd Point HE Trust, Ser 2021-HE1, Class A1, 144a, 0.918%, 2/25/63(A)(B) | 5,875,417 | ||
9,878,351 | Towd Point Mortgage Trust, Ser 2018-2, Class A1, 144a, 3.250%, 3/25/58(A)(B) | 9,882,379 | ||
8,501,150 | Towd Point Mortgage Trust, Ser 2021-SJ2, Class A1A, 144a, 2.250%, 12/25/61(A)(B) | 8,404,564 | ||
Total Non-Agency Collateralized Mortgage Obligations | $107,159,359 | |||
Commercial Paper — 3.2% | ||||
3,400,000 | Black Hills Corp., 0.500%, 4/1/22(D) | 3,399,950 | ||
25,000,000 | Dairy Farmers of America, 0.700%, 4/1/22(D) | 24,999,634 | ||
Total Commercial Paper | $28,399,584 | |||
U.S. Government Agency Obligations — 2.4% | ||||
3,839 | Small Business Administration Participation Certificates, Ser 2003-20E, Class 1, 4.640%, 5/1/23 | 3,879 | ||
52,784 | Small Business Administration Pools, Pool #508374, (Prime Rate -2.500%), 0.750%, 4/25/28(A) | 53,588 | ||
4,300,000 | United States International Development Finance Corp., 0.300%, 7/5/38(A)(B) | 4,300,000 | ||
1,870,000 | United States International Development Finance Corp., 0.340%, 5/15/26(A)(B) | 1,870,000 | ||
5,703,600 | United States International Development Finance Corp., 0.350%, 4/20/35(A)(B) | 5,703,600 | ||
10,000,000 | United States International Development Finance Corp., 0.390%, 9/30/27(A)(B) | 10,000,000 | ||
Total U.S. Government Agency Obligations | $21,931,067 | |||
Municipal Bonds — 2.1% | ||||
Other Territory — 2.0% | ||||
1,495,000 | Taxable Municipal Funding Trust, Rev., 144a, 0.640%, 11/1/24(A)(B) | 1,495,000 |
Principal Amount | Market Value | |||
Other Territory — (Continued) | ||||
$ 840,000 | Taxable Municipal Funding Trust, Rev., 144a, 0.640%, 5/15/56(A)(B) | $ 840,000 | ||
9,050,000 | Taxable Municipal Funding Trust, Rev., 144a, 0.640%, 12/15/25(A)(B) | 9,050,000 | ||
6,800,000 | Taxable Municipal Funding Trust, Txbl Floaters Ser 2020 11, (LOC - Barclays Bank PLC), 144a, 0.640%, 9/1/30(A)(B) | 6,800,000 | ||
100,000 | Taxable Municipal Funding Trust, Txbl Muni Fltrs Btmft 2020-003, (LOC - Barclays Bank PLC), 144a, 0.640%, 1/16/25(A)(B) | 100,000 | ||
18,285,000 | ||||
California — 0.1% | ||||
960,000 | CA St Enterprise Dev Authority, Txbl Variable J Harris Indl Wt, (LOC - City National Bank), 144a, 0.920%, 9/1/41(A)(B) | 960,000 | ||
Total Municipal Bonds | $19,245,000 | |||
Agency Collateralized Mortgage Obligations — 1.0% | ||||
135,912,523 | FHLMC Multifamily Structured Pass Through Certificates, Ser K038, Class X1, 1.094%, 3/25/24(A)(B)(C) | 2,494,226 | ||
61,065,841 | FHLMC Multifamily Structured Pass Through Certificates, Ser K040, Class X1, 0.703%, 9/25/24(A)(B)(C) | 861,700 | ||
153,639 | FHLMC REMIC, Ser 2770, Class FH, (1M LIBOR +0.400%), 0.797%, 3/15/34(A) | 153,988 | ||
808,829 | FHLMC REMIC, Ser 4238, Class TL, 1.250%, 8/15/27 | 778,398 | ||
22,982 | FNMA REMIC, Ser 2003-119, Class PU, 4.000%, 11/25/33 | 23,199 | ||
31,087 | FNMA REMIC, Ser 2003-33, Class AM, 4.250%, 5/25/33 | 31,918 | ||
20,396 | FNMA REMIC, Ser 2003-42, Class CA, 4.000%, 5/25/33 | 20,903 | ||
108,057 | FNMA REMIC, Ser 2003-81, Class FE, (1M LIBOR +0.500%), 0.957%, 9/25/33(A) | 108,701 | ||
255,390 | FNMA REMIC, Ser 2009-32, Class BH, 5.250%, 5/25/39 | 263,261 | ||
211 | FNMA REMIC, Ser 2011-15, Class HC, 2.500%, 3/25/26 | 211 | ||
53,519 | FNMA REMIC, Ser 2012-102, Class NA, 1.500%, 9/25/27 | 52,263 | ||
1,594 | FNMA REMIC, Ser 2012-47, Class AI, 3.000%, 5/25/22(C) | 0 | ||
2,530,080 | FREMF Mortgage Trust, Ser 2012-K21, Class B, 144a, 3.940%, 7/25/45(A)(B) | 2,531,344 | ||
800,000 | FREMF Mortgage Trust, Ser 2012-K23, Class B, 144a, 3.657%, 10/25/45(A)(B) | 803,907 | ||
435,000 | FREMF Mortgage Trust, Ser 2013-K25, Class B, 144a, 3.619%, 11/25/45(A)(B) | 437,947 | ||
45,028 | GNMA, Ser 2002-72, Class AB, 4.500%, 10/20/32 | 45,022 | ||
18,214 | GNMA, Ser 2011-57, Class BA, 3.000%, 5/20/40 | 18,323 | ||
46,951 | GNMA, Ser 2012-27, Class A, 1.614%, 7/16/39 | 46,689 | ||
Total Agency Collateralized Mortgage Obligations | $8,672,000 | |||
U.S. Government Mortgage-Backed Obligations — 0.7% | ||||
129,964 | FHLMC, Pool #1B7189, (12M LIBOR +2.470%), 2.810%, 3/1/36(A) | 136,519 | ||
155,719 | FHLMC, Pool #1H1354, (1 Year CMT Rate +2.250%), 2.340%, 11/1/36(A) | 163,427 | ||
63,879 | FHLMC, Pool #1J1813, (12M LIBOR +1.925%), 2.175%, 8/1/37(A) | 67,048 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 0.7% (Continued) | ||||
$ 87,060 | FHLMC, Pool #1L0147, (1 Year CMT Rate +2.290%), 2.290%, 7/1/35(A) | $ 87,087 | ||
48,779 | FHLMC, Pool #1Q0080, (12M LIBOR +1.663%), 1.887%, 1/1/36(A) | 50,667 | ||
105,351 | FHLMC, Pool #1Q0119, (12M LIBOR +1.840%), 2.114%, 9/1/36(A) | 110,255 | ||
83,808 | FHLMC, Pool #1Q0187, (12M LIBOR +1.796%), 2.005%, 12/1/36(A) | 85,686 | ||
51,267 | FHLMC, Pool #1Q0339, (12M LIBOR +1.882%), 2.145%, 4/1/37(A) | 52,966 | ||
104,517 | FHLMC, Pool #1Q1303, (1 Year CMT Rate +2.250%), 2.358%, 11/1/36(A) | 108,614 | ||
164,259 | FHLMC, Pool #781515, (1 Year CMT Rate +2.250%), 2.382%, 4/1/34(A) | 172,124 | ||
75,822 | FHLMC, Pool #782760, (1 Year CMT Rate +2.250%), 2.306%, 11/1/36(A) | 79,742 | ||
75,936 | FHLMC, Pool #847795, (1 Year CMT Rate +2.277%), 2.389%, 4/1/35(A) | 76,045 | ||
202,937 | FHLMC, Pool #848539, (1 Year CMT Rate +2.270%), 2.411%, 4/1/37(A) | 210,971 | ||
412,845 | FHLMC, Pool #848583, (1 Year CMT Rate +2.318%), 2.430%, 1/1/36(A) | 431,444 | ||
5,615 | FHLMC, Pool #A92646, 5.500%, 6/1/40 | 6,176 | ||
6,597 | FHLMC, Pool #C03505, 5.500%, 6/1/40 | 7,248 | ||
144 | FHLMC, Pool #G00100, 8.000%, 2/1/23 | 146 | ||
18,817 | FHLMC, Pool #G01840, 5.000%, 7/1/35 | 20,379 | ||
3,327 | FNMA, Pool #175123, 7.450%, 8/1/22 | 3,336 | ||
57,531 | FNMA, Pool #254868, 5.000%, 9/1/33 | 61,550 | ||
20,084 | FNMA, Pool #256272, 5.500%, 6/1/26 | 21,326 | ||
39,077 | FNMA, Pool #256852, 6.000%, 8/1/27 | 41,706 | ||
10,453 | FNMA, Pool #323832, 7.500%, 7/1/29 | 11,396 | ||
333 | FNMA, Pool #334593, 7.000%, 5/1/24 | 342 | ||
20,538 | FNMA, Pool #665773, 7.500%, 6/1/31 | 20,606 | ||
75,108 | FNMA, Pool #679742, (1 Year CMT Rate +2.582%), 2.699%, 1/1/40(A) | 75,185 | ||
68,354 | FNMA, Pool #725424, 5.500%, 4/1/34 | 74,159 | ||
232,353 | FNMA, Pool #725490, (12M LIBOR +1.621%), 1.853%, 4/1/34(A) | 237,148 | ||
10,922 | FNMA, Pool #735484, 5.000%, 5/1/35 | 11,804 | ||
71,805 | FNMA, Pool #813170, (12M LIBOR +1.575%), 2.004%, 1/1/35(A) | 73,196 | ||
234,629 | FNMA, Pool #815323, (6M LIBOR +1.532%), 1.760%, 1/1/35(A) | 242,422 | ||
69,369 | FNMA, Pool #820364, (12M LIBOR +0.827%), 1.077%, 4/1/35(A) | 69,442 | ||
101,663 | FNMA, Pool #827787, (6M LIBOR +1.550%), 1.675%, 5/1/35(A) | 105,248 | ||
39,781 | FNMA, Pool #889060, 6.000%, 1/1/38 | 45,495 | ||
41,859 | FNMA, Pool #889061, 6.000%, 1/1/38 | 46,770 | ||
2,628 | FNMA, Pool #889382, 5.500%, 4/1/38 | 2,899 | ||
96,202 | FNMA, Pool #922674, (12M LIBOR +1.905%), 2.226%, 4/1/36(A) | 100,407 | ||
23,309 | FNMA, Pool #960376, 5.500%, 12/1/37 | 25,693 | ||
199,237 | FNMA, Pool #995405, 5.500%, 10/1/23 | 202,487 | ||
4,293 | FNMA, Pool #AD0941, 5.500%, 4/1/40 | 4,735 | ||
30,595 | FNMA, Pool #AE0363, 5.000%, 7/1/37 | 33,081 | ||
33,199 | FNMA, Pool #AE5441, 5.000%, 10/1/40 | 35,825 | ||
36,395 | FNMA, Pool #AI6588, 4.000%, 7/1/26 | 37,526 | ||
55,532 | FNMA, Pool #AI8506, 4.000%, 8/1/26 | 57,334 | ||
50,087 | FNMA, Pool #AL0211, 5.000%, 4/1/41 | 53,934 | ||
2,230 | FNMA, Pool #AL0302, 5.000%, 4/1/24 | 2,276 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 0.7% (Continued) | ||||
$ 280,704 | FNMA, Pool #AL0478, (12M LIBOR +1.773%), 2.045%, 4/1/36(A) | $ 292,431 | ||
109,368 | FNMA, Pool #AL0543, 5.000%, 7/1/41 | 118,363 | ||
47,550 | FNMA, Pool #AL1105, 4.500%, 12/1/40 | 50,499 | ||
11,250 | FNMA, Pool #AL2591, 5.500%, 5/1/38 | 11,673 | ||
240,153 | FNMA, Pool #AL5275, (6M LIBOR +1.511%), 1.692%, 9/1/37(A) | 247,995 | ||
749,790 | FNMA, Pool #AL7396, (6M LIBOR +1.535%), 1.694%, 2/1/37(A) | 774,584 | ||
930 | GNMA, Pool #344233, 8.000%, 2/15/23 | 938 | ||
5,045 | GNMA, Pool #345123, 8.000%, 12/15/23 | 5,064 | ||
94 | GNMA, Pool #780322, 8.000%, 11/15/22 | 94 | ||
191,755 | GNMA, Pool #80826, (1 Year CMT Rate +1.500%), 2.000%, 2/20/34(A) | 198,412 | ||
79,988 | GNMA, Pool #80889, (1 Year CMT Rate +1.500%), 1.875%, 4/20/34(A) | 82,477 | ||
163,488 | GNMA, Pool #81016, (1 Year CMT Rate +1.500%), 1.625%, 8/20/34(A) | 167,771 | ||
176,376 | GNMA, Pool #82760, (1 Year CMT Rate +1.500%), 2.000%, 3/20/41(A) | 183,235 | ||
44,698 | GNMA, Pool #MA2392, (1 Year CMT Rate +1.500%), 1.750%, 11/20/44(A) | 45,398 | ||
289,549 | GNMA, Pool #MA2466, (1 Year CMT Rate +1.500%), 1.750%, 12/20/44(A) | 293,697 | ||
Total U.S. Government Mortgage-Backed Obligations | $6,036,503 |
Shares | ||||
Short-Term Investment Fund — 0.0% | ||||
90,342 | Dreyfus Government Cash Management, Institutional Shares, 0.19%∞Ω | 90,342 | ||
Total Investment Securities—99.6% (Cost $905,846,897) | $895,698,728 | |||
Other Assets in Excess of Liabilities — 0.4% | 3,945,977 | |||
Net Assets — 100.0% | $899,644,705 |
(A) | Variable rate security - Rate reflected is the rate in effect as of March 31, 2022. |
(B) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(C) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
(D) | Rate reflects yield at the time of purchase. |
†† | The issuers and/or sponsors of certain mortgage-backed securities may no longer exist; however, the securities held by the Fund are separate legal entities organized as trusts and publicly traded. The Fund receives principal and interest payments directly from these trusts. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2022. |
Portfolio Abbreviations: |
ARM – Adjustable Rate Mortgage |
CLO – Collateralized Loan Obligation |
CMT – Constant Maturity Treasury |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
FREMF – Freddie Mac Multifamily Securitization |
GNMA – Government National Mortgage Association |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LOC – Letter of Credit |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REMIC – Real Estate Mortgage Investment Conduit |
SOFR30A – Secured Overnight Financing Rate 30 Day Average |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities were valued at $667,783,066 or 74.2% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $— | $350,353,587 | $— | $350,353,587 |
Commercial Mortgage-Backed Securities | — | 196,149,420 | — | 196,149,420 |
Corporate Bonds | — | 157,661,866 | — | 157,661,866 |
Non-Agency Collateralized Mortgage Obligations | — | 107,159,359 | — | 107,159,359 |
Commercial Paper | — | 28,399,584 | — | 28,399,584 |
U.S. Government Agency Obligations | — | 21,931,067 | — | 21,931,067 |
Municipal Bonds | — | 19,245,000 | — | 19,245,000 |
Agency Collateralized Mortgage Obligations | — | 8,672,000 | — | 8,672,000 |
U.S. Government Mortgage-Backed Obligations | — | 6,036,503 | — | 6,036,503 |
Short-Term Investment Fund | 90,342 | — | — | 90,342 |
Total | $90,342 | $895,608,386 | $— | $895,698,728 |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone Dividend Equity Fund | Touchstone High Yield Fund | Touchstone Impact Bond Fund | |
Assets | ||||||
Investments, at cost | $359,288,853 | $12,353,631 | $328,133,547 | $3,230,133,705 | $123,754,432 | $464,437,521 |
Investments, at market value * | $342,731,042 | $12,878,357 | $315,151,731 | $3,493,319,267 | $118,828,448 | $445,030,478 |
Cash | — | — | — | — | — | — |
Cash deposits held at prime broker (A) | 138,250 | — | 707,348 | — | — | — |
Foreign currency † | — | 21,794 | 1,102,086 | — | — | — |
Dividends and interest receivable | 2,037,077 | 43,229 | 3,832,228 | 4,335,374 | 1,680,529 | 2,677,623 |
Loan receivable from affiliates(B) | — | — | — | — | — | — |
Receivable for capital shares sold | 258,818 | — | 1,197,511 | 434,170 | 213,547 | 1,962,230 |
Receivable for investments sold | 312,140 | — | 14,686,560 | — | — | — |
Receivable for variation margin on futures contracts | 13,233 | — | — | — | — | — |
Receivable for variation margin on swap agreements | — | — | 89,240 | — | — | — |
Receivable for securities lending income | 219 | 91 | 12,424 | — | 724 | — |
Receivable from Investment Advisor | — | 10,255 | — | — | — | — |
Tax reclaim receivable | 3,103 | 54,534 | 1,921 | 107,039 | 11,714 | — |
Other assets | 30,206 | 5,611 | 50,055 | 103,583 | 25,539 | 38,758 |
Total Assets | 345,524,088 | 13,013,871 | 336,831,104 | 3,498,299,433 | 120,760,501 | 449,709,089 |
Liabilities | ||||||
Bank overdrafts | 180 | — | 101,428 | 55 | — | — |
Written options, at market value ‡ | — | — | 640 | — | — | — |
Unrealized depreciation on forward foreign currency contracts | — | — | 25,240 | — | — | — |
Dividends payable | — | — | — | — | — | — |
Securities sold short** | — | — | 497,984 | — | — | — |
Dividend and interest payable on securities sold short | — | — | 13,189 | — | — | — |
Payable for return of collateral for securities on loan | 1,257,750 | 335,447 | 9,754,757 | — | 1,250,178 | — |
Loan payable to affiliates(B) | — | — | — | — | — | — |
Payable for capital shares redeemed | 457,491 | 1,180 | 813,810 | 7,064,432 | 52,700 | 2,291,648 |
Payable for investments purchased | 1,448,870 | — | 9,961,044 | — | — | 2,155,478 |
Payable to Investment Advisor | 88,258 | — | 141,327 | 1,505,549 | 42,499 | 93,188 |
Payable to other affiliates | 64,916 | 1,934 | 52,420 | 1,300,200 | 13,883 | 52,707 |
Payable to Trustees | 13,749 | 13,749 | 13,749 | 13,806 | 13,749 | 13,749 |
Payable for professional services | 16,380 | 25,386 | 12,156 | 50,156 | 10,714 | 1,568 |
Payable for reports to shareholders | 3,958 | 1,754 | 1,730 | 96,410 | 4,125 | 4,788 |
Payable for transfer agent services | 64,293 | 57 | 60,181 | 987,500 | 18,519 | 96,982 |
Other accrued expenses and liabilities | 3,952 | 10,076 | 23,340 | 6,104 | 5,634 | 1,545 |
Total Liabilities | 3,419,797 | 389,583 | 21,472,995 | 11,024,212 | 1,412,001 | 4,711,653 |
Net Assets | $342,104,291 | $12,624,288 | $315,358,109 | $3,487,275,221 | $119,348,500 | $444,997,436 |
Net assets consist of: | ||||||
Par value | 333,506 | 13,785 | 323,229 | 1,975,006 | 148,296 | 453,159 |
Paid-in capital | 451,562,033 | 13,163,984 | 386,398,377 | 3,171,644,977 | 137,283,518 | 470,446,170 |
Distributable earnings (deficit) | (109,791,248) | (553,481) | (71,363,497) | 313,655,238 | (18,083,314) | (25,901,893) |
Net Assets | $342,104,291 | $12,624,288 | $315,358,109 | $3,487,275,221 | $119,348,500 | $444,997,436 |
*Includes market value of securities on loan of: | $1,228,374 | $313,599 | $8,827,971 | $— | $1,191,948 | $— |
†Cost of foreign currency: | $— | $21,724 | $1,096,631 | $— | $— | $— |
‡Premiums received from written options: | $— | $— | $9,156 | $— | $— | $— |
**Proceeds received for securities sold short: | $— | $— | $594,481 | $— | $— | $— |
(A) | Represents segregated cash for futures contracts, swap agreements, securities sold short and/or written options. |
(B) | See Note 5 in Notes to Financial Statements. |
Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund |
$36,979,608 | $3,944,324,395 | $650,028,380 | $3,070,173,057 | $76,969,155 | $53,646,354 | $905,846,897 |
$40,504,324 | $4,771,378,417 | $910,921,529 | $4,389,665,158 | $97,821,526 | $75,004,733 | $895,698,728 |
— | 11 | — | 21,489 | — | 1,448 | 83 |
— | — | — | — | — | — | — |
50,594 | — | — | — | — | — | — |
209,407 | 3,683,675 | 1,135,497 | — | 91,675 | 86,028 | 2,112,360 |
— | 5,257,595 | — | — | — | — | — |
43,110 | 9,926,039 | 1,152,606 | 4,526,055 | 25,793 | 95,197 | 390,622 |
— | — | 20,447,233 | 2,800,212 | — | 964,230 | 5,059,001 |
— | — | — | — | — | — | — |
— | — | — | — | — | — | — |
2,322 | — | — | — | — | — | — |
— | — | — | — | — | — | — |
47,974 | — | — | — | — | — | 2,611 |
19,650 | 183,367 | 46,629 | 191,976 | 30,146 | 30,605 | 69,111 |
40,877,381 | 4,790,429,104 | 933,703,494 | 4,397,204,890 | 97,969,140 | 76,182,241 | 903,332,516 |
— | — | 2,710,630 | — | — | — | — |
— | — | — | — | — | — | — |
— | — | — | — | — | — | — |
— | — | — | — | — | — | 108,463 |
— | — | — | — | — | — | — |
— | — | — | — | — | — | — |
1,298,697 | — | — | 4,236,870 | — | — | — |
— | — | 5,257,595 | — | — | — | — |
36,715 | 20,534,285 | 1,375,386 | 5,993,123 | 296,974 | 29,011 | 2,993,182 |
— | 88,267,701 | — | 39,623,992 | — | 96,269 | — |
12,945 | 2,745,275 | 484,172 | 2,140,398 | 49,579 | 46,838 | 160,662 |
5,202 | 640,630 | 107,644 | 869,835 | 11,439 | 10,285 | 176,509 |
13,749 | 13,749 | 13,749 | 13,749 | 13,749 | 13,749 | 13,749 |
18,182 | 4,489 | 11,246 | 10,979 | 11,112 | 11,887 | 13,295 |
4,725 | 92,734 | 36,055 | 33,107 | 5,175 | 4,610 | 12,663 |
10,499 | 1,299,901 | 281,825 | 920,278 | 20,778 | 19,771 | 201,302 |
6,076 | 47,442 | 3,054 | 164,099 | 2,381 | 972 | 7,986 |
1,406,790 | 113,646,206 | 10,281,356 | 54,006,430 | 411,187 | 233,392 | 3,687,811 |
$39,470,591 | $4,676,782,898 | $923,422,138 | $4,343,198,460 | $97,557,953 | $75,948,849 | $899,644,705 |
49,688 | 1,027,038 | 385,619 | 2,987,776 | 77,236 | 22,694 | 989,085 |
35,245,799 | 3,646,720,668 | 634,705,509 | 2,911,212,843 | 75,593,261 | 66,660,494 | 1,016,649,899 |
4,175,104 | 1,029,035,192 | 288,331,010 | 1,428,997,841 | 21,887,456 | 9,265,661 | (117,994,279) |
$39,470,591 | $4,676,782,898 | $923,422,138 | $4,343,198,460 | $97,557,953 | $75,948,849 | $899,644,705 |
$1,069,287 | $— | $— | $4,031,710 | $— | $— | $— |
$50,594 | $— | $— | $— | $— | $— | $— |
$— | $— | $— | $— | $— | $— | $— |
$— | $— | $— | $— | $— | $— | $— |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone Dividend Equity Fund | Touchstone High Yield Fund | Touchstone Impact Bond Fund | |
Pricing of Class A Shares | ||||||
Net assets applicable to Class A shares | $164,572,961 | $— | $135,643,745 | $1,749,119,894 | $15,887,655 | $16,417,658 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 16,008,149 | — | 13,965,190 | 98,845,159 | 2,025,312 | 1,674,262 |
Net asset value price per share* | $10.28 | $— | $9.71 | $17.70 | $7.84 | $9.81 |
Maximum sales charge - Class A shares | 3.25% | — | 3.25% | 5.00% | 3.25% | 3.25% |
Maximum offering price per share (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) - Class A shares | $10.63 | $— | $10.04 | $18.63 | $8.10 | $10.14 |
Pricing of Class C Shares | ||||||
Net assets applicable to Class C shares | $6,672,407 | $— | $25,818,034 | $686,158,724 | $965,797 | $1,594,865 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 709,913 | — | 2,749,116 | 39,105,813 | 123,463 | 162,804 |
Net asset value and offering price per share** | $9.40 | $— | $9.39 | $17.55 | $7.82 | $9.80 |
Pricing of Class S Shares | ||||||
Net assets applicable to Class S shares | $— | $— | $— | $— | $— | $— |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | — | — | — | — | — | — |
Net asset value, offering price and redemption price per share | $— | $— | $— | $— | $— | $— |
Pricing of Class Y Shares | ||||||
Net assets applicable to Class Y shares | $74,256,499 | $199,239 | $149,693,868 | $1,051,383,890 | $29,898,522 | $198,342,441 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 7,228,168 | 21,612 | 15,185,196 | 59,514,953 | 3,697,908 | 20,196,107 |
Net asset value, offering price and redemption price per share | $10.27 | $9.22 | $9.86 | $17.67 | $8.09 | $9.82 |
Pricing of Class Z Shares | ||||||
Net assets applicable to Class Z shares | $— | $— | $— | $— | $— | $— |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | — | — | — | — | — | — |
Net asset value, offering price and redemption price per share | $— | $— | $— | $— | $— | $— |
Pricing of Institutional Class Shares | ||||||
Net assets applicable to Institutional Class shares | $96,602,424 | $12,425,049 | $4,202,462 | $563,561 | $72,596,526 | $228,640,110 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 9,404,387 | 1,356,899 | 423,433 | 31,910 | 8,982,894 | 23,282,497 |
Net asset value, offering price and redemption price per share | $10.27 | $9.16 | $9.92 | $17.66 | $8.08 | $9.82 |
Pricing of Class R6 Shares | ||||||
Net assets applicable to Class R6 shares | $— | $— | $— | $49,152 | $— | $2,362 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | — | — | — | 2,784 | — | 240 |
Net asset value, offering price and redemption price per share | $— | $— | $— | $17.66 | $— | $9.82 |
* | There is no sales load on subscriptions of $1 million or more for all funds except for Active Bond Fund, Credit Opportunities Fund, High Yield Fund, Impact Bond Fund and Ultra Short Duration Fixed Income Fund. There is no sales load on subscriptions of $500,000 or more for Active Bond Fund, Credit Opportunities Fund, High Yield Fund, Impact Bond Fund and Ultra Short Duration Fixed Income Fund. Redemptions that were part of a $500,000 or $1 million or more subscription, as applicable, may be subject to a contingent deferred sales load if redeemed within a one-year period from the date of purchase. |
** | Redemption price per share varies by length of time shares are held due to the terms of the contingent deferred sales charge. |
Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund |
$9,435,357 | $140,064,306 | $15,573,638 | $566,907,763 | $4,953,084 | $24,868,893 | $144,109,514 |
1,188,674 | 3,122,328 | 656,075 | 42,574,799 | 398,552 | 745,276 | 15,843,080 |
$7.94 | $44.86 | $23.74 | $13.32 | $12.43 | $33.37 | $9.10 |
5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 2.00% |
$8.36 | $47.22 | $24.99 | $14.02 | $13.08 | $35.13 | $9.29 |
$1,924,828 | $81,340,351 | $4,114,585 | $41,418,444 | $210,493 | $435,630 | $4,299,016 |
242,568 | 1,967,298 | 180,299 | 3,898,513 | 19,081 | 13,679 | 472,200 |
$7.94 | $41.35 | $22.82 | $10.62 | $11.03 | $31.85 | $9.10 |
$— | $— | $— | $— | $— | $— | $46,181,749 |
— | — | — | — | — | — | 5,075,010 |
$— | $— | $— | $— | $— | $— | $9.10 |
$20,404,104 | $3,185,820,456 | $414,199,694 | $1,152,102,002 | $55,001,775 | $40,857,867 | $282,707,708 |
2,566,096 | 69,855,847 | 17,346,252 | 76,945,544 | 4,341,850 | 1,219,103 | 31,063,932 |
$7.95 | $45.61 | $23.88 | $14.97 | $12.67 | $33.51 | $9.10 |
$— | $47,368,863 | $— | $368,484,283 | $— | $— | $67,226,794 |
— | 1,064,010 | — | 27,647,963 | — | — | 7,389,192 |
$— | $44.52 | $— | $13.33 | $— | $— | $9.10 |
$7,706,302 | $528,937,497 | $489,534,221 | $1,746,761,285 | $37,392,601 | $9,786,459 | $355,119,924 |
971,511 | 11,557,173 | 20,379,243 | 116,529,194 | 2,964,117 | 291,379 | 39,065,111 |
$7.93 | $45.77 | $24.02 | $14.99 | $12.62 | $33.59 | $9.09 |
$— | $693,251,425 | $— | $467,524,683 | $— | $— | $— |
— | 15,137,136 | — | 31,181,795 | — | — | — |
$— | $45.80 | $— | $14.99 | $— | $— | $— |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone Dividend Equity Fund | |
Investment Income | ||||
Dividends* | $16,499 | $177,615 | $1,176 | $47,086,010 |
Interest** | 4,774,965 | — | 7,755,083 | — |
Income from securities loaned | 1,726 | 1,296 | 36,818 | — |
Total Investment Income | 4,793,190 | 178,911 | 7,793,077 | 47,086,010 |
Expenses | ||||
Investment advisory fees | 679,546 | 57,005 | 900,200 | 9,367,445 |
Administration fees | 237,621 | 16,164 | 193,452 | 2,347,262 |
Compliance fees and expenses | 1,538 | 1,538 | 1,538 | 1,538 |
Custody fees | 26,919 | 15,812 | 34,653 | 22,399 |
Professional fees | 19,845 | 26,030 | 37,284 | 48,681 |
Transfer Agent fees, Class A | 76,832 | — | 56,540 | 720,878 |
Transfer Agent fees, Class C | 3,982 | — | 10,691 | 351,761 |
Transfer Agent fees, Class S | — | — | — | — |
Transfer Agent fees, Class Y | 42,071 | 151 | 55,501 | 476,132 |
Transfer Agent fees, Class Z | — | — | — | — |
Transfer Agent fees, Institutional Class | 4,585 | 26 | 224 | 447 |
Transfer Agent fees, Class R6 | — | — | — | 10 |
Pricing expense | 5,136 | 8,643 | 6,074 | — |
Registration Fees, Class A | 11,012 | — | 7,333 | 14,419 |
Registration Fees, Class C | 6,840 | — | 5,538 | 8,583 |
Registration Fees, Class S | — | — | — | — |
Registration Fees, Class Y | 7,931 | 2,194 | 14,604 | 8,828 |
Registration Fees, Class Z | — | — | — | — |
Registration Fees, Institutional Class | 6,471 | 2,829 | 4,136 | 856 |
Registration Fees, Class R6 | — | — | — | 742 |
Dividend expense on securities sold short | — | — | 17,108 | — |
Interest expense on securities sold short | — | — | 52,272 | — |
Reports to Shareholders, Class A | 3,876 | — | 2,782 | 36,763 |
Reports to Shareholders, Class C | 1,196 | — | 1,213 | 32,889 |
Reports to Shareholders, Class S | — | — | — | — |
Reports to Shareholders, Class Y | 2,363 | 967 | 3,037 | 33,269 |
Reports to Shareholders, Class Z | — | — | — | — |
Reports to Shareholders, Institutional Class | 1,321 | 948 | 990 | 967 |
Reports to Shareholders, Class R6 | — | — | — | 965 |
Shareholder servicing fees, Class Z | — | — | — | — |
Distribution and shareholder servicing expenses, Class A | 222,406 | — | 174,061 | 2,216,163 |
Distribution and shareholder servicing expenses, Class C | 40,296 | — | 141,271 | 3,766,732 |
Distribution expenses, Class S | — | — | — | — |
Trustee fees | 13,848 | 13,848 | 13,848 | 13,848 |
Other expenses | 39,932 | 7,563 | 32,880 | 96,715 |
Total Expenses | 1,455,567 | 153,718 | 1,767,230 | 19,568,292 |
Fees waived and/or reimbursed by the Advisor and/or Affiliates(A) | (94,323) | (78,863) | (230,474) | (255,381) |
Fees eligible for recoupment by the Advisor(A) | — | — | — | — |
Net Expenses | 1,361,244 | 74,855 | 1,536,756 | 19,312,911 |
Net Investment Income (Loss) | 3,431,946 | 104,056 | 6,256,321 | 27,773,099 |
Realized and Unrealized Gains (Losses) on Investments | ||||
Net realized gains (losses) on investments(B) | (1,130,617) | (443,347) | (595,886) | 63,485,923 |
Net realized gains on securities sold short | — | — | 130,283 | — |
Net realized gains on written options | — | — | 226,604 | — |
Net realized gains on futures contracts | 317,891 | — | — | — |
Net realized losses on swap agreements | — | — | (32,803) | — |
Net realized gains on forward foreign currency contracts | — | — | 397,518 | — |
Net realized gains (losses) on foreign currency transactions | — | 25,744 | (63,009) | — |
Net change in unrealized appreciation (depreciation) on investments | (25,560,260) | (2,588,452) | (14,093,195) | 182,103,847 |
Net change in unrealized appreciation (depreciation) on securities sold short | — | — | 89,247 | — |
Net change in unrealized appreciation (depreciation) on written options | — | — | 7,494 | — |
Net change in unrealized appreciation (depreciation) on futures contracts | (145,159) | — | — | — |
Net change in unrealized appreciation (depreciation) on swap agreements | — | — | 40,782 | — |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | — | — | (128,084) | — |
Net change in unrealized appreciation (depreciation) on foreign currency transactions | — | (1,477) | 23,230 | — |
Net Realized and Unrealized Gains (Losses) on Investments | (26,518,145) | (3,007,532) | (13,997,819) | 245,589,770 |
Change in Net Assets Resulting from Operations | $(23,086,199) | $(2,903,476) | $(7,741,498) | $273,362,869 |
*Net of foreign tax withholding of: | $— | $21,228 | $— | $— |
**Net of foreign tax withholding of: | $17,854 | $— | $— | $— |
(A) | See Note 4 in Notes to Financial Statements. |
(B) | For the six months ended March 31, 2022, Mid Cap Fund, Sands Capital Select Growth Fund and Small Cap Fund had redemptions-in-kind of securities in the amount of $254,069,738, $256,031,696, and $2,965,387, respectively. Net realized gains (losses) on investments includes the realized gain on the transactions of $105,596,007, $147,895,732 and $1,074,598, respectively, which will not be recognized by the Fund for tax purposes. |
Touchstone High Yield Fund | Touchstone Impact Bond Fund | Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund |
$433 | $1,952 | $452,473 | $24,229,472 | $8,617,143 | $3,100,123 | $558,667 | $671,165 | $420 |
3,171,552 | 5,064,472 | — | 849 | — | 2,174 | — | — | 5,786,379 |
2,651 | 936 | 6,031 | — | 996 | 1,698 | — | 444 | — |
3,174,636 | 5,067,360 | 458,504 | 24,230,321 | 8,618,139 | 3,103,995 | 558,667 | 671,609 | 5,786,799 |
336,959 | 579,613 | 118,779 | 15,589,807 | 3,450,893 | 16,029,088 | 411,625 | 334,641 | 1,275,540 |
80,284 | 289,057 | 23,569 | 3,076,916 | 592,661 | 3,478,773 | 62,364 | 50,686 | 656,564 |
1,538 | 1,538 | 1,538 | 1,538 | 1,538 | 1,538 | 1,538 | 1,538 | 1,538 |
20,475 | 6,832 | 5,885 | 28,017 | 7,349 | 37,108 | 5,460 | 7,950 | 38,608 |
15,400 | 20,004 | 18,757 | 58,978 | 20,324 | 68,374 | 12,370 | 12,939 | 24,918 |
9,602 | 9,289 | 5,090 | 89,612 | 9,349 | 229,008 | 3,543 | 12,009 | 47,336 |
494 | 725 | 1,000 | 37,666 | 1,588 | 24,532 | 231 | 371 | 957 |
— | — | — | — | — | — | — | — | 12,887 |
18,146 | 67,059 | 10,221 | 1,774,967 | 456,810 | 629,574 | 25,106 | 16,508 | 106,972 |
— | — | — | 40,314 | — | 369,970 | — | — | 34,705 |
1,730 | 56,612 | 7 | 149,810 | 72,039 | 448,324 | 4,057 | 652 | 95,214 |
— | 71 | — | 39 | — | 56 | — | — | — |
3,213 | 2,656 | 2,501 | — | — | — | — | — | 4,048 |
4,947 | 8,161 | 7,023 | 10,929 | 9,707 | 12,321 | 5,829 | 8,404 | 8,870 |
3,452 | 5,807 | 5,126 | 8,654 | 4,980 | 8,391 | 3,886 | 3,303 | 4,444 |
— | — | — | — | — | — | — | — | 6,580 |
7,256 | 12,791 | 9,024 | 75,322 | 14,341 | 44,462 | 9,418 | 9,157 | 14,990 |
— | — | — | 9,021 | — | 14,483 | — | — | 7,784 |
8,736 | 9,754 | 1,474 | 16,743 | 15,846 | 44,457 | 6,438 | 3,649 | 17,076 |
— | 836 | — | 1,150 | — | 4,313 | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
1,446 | 1,343 | 1,441 | 3,773 | 1,729 | 7,138 | 1,187 | 1,779 | 2,309 |
1,006 | 1,020 | 1,075 | 3,948 | 1,096 | 1,902 | 992 | 999 | 1,032 |
— | — | — | — | — | — | — | — | 2,799 |
1,365 | 3,660 | 1,457 | 122,268 | 33,395 | 34,394 | 3,172 | 1,860 | 4,943 |
— | — | — | 2,988 | — | 9,557 | — | — | 2,274 |
1,025 | 1,700 | 948 | 10,308 | 16,085 | 17,384 | 1,053 | 1,090 | 1,602 |
— | 2,804 | — | 1,236 | — | 1,490 | — | — | — |
— | — | — | 66,295 | — | 574,931 | — | — | 87,623 |
18,541 | 22,187 | 12,662 | 178,661 | 18,808 | 897,190 | 6,604 | 31,928 | 178,175 |
5,376 | 8,139 | 11,905 | 440,181 | 20,784 | 289,584 | 1,026 | 2,572 | 15,291 |
— | — | — | — | — | — | — | — | 122,370 |
13,848 | 13,848 | 13,848 | 13,848 | 13,848 | 13,848 | 13,848 | 13,848 | 13,848 |
16,972 | 14,223 | 9,601 | 667,244 | 21,313 | 662,303 | 11,930 | 13,641 | 32,680 |
571,811 | 1,139,729 | 262,931 | 22,480,233 | 4,784,483 | 23,954,493 | 591,677 | 529,524 | 2,823,977 |
(78,471) | (92,441) | (72,456) | (6,412) | (594,189) | (53,574) | (117,660) | (57,263) | (286,202) |
— | 13,300 | — | 204,851 | — | 20,196 | — | — | — |
493,340 | 1,060,588 | 190,475 | 22,678,672 | 4,190,294 | 23,921,115 | 474,017 | 472,261 | 2,537,775 |
2,681,296 | 4,006,772 | 268,029 | 1,551,649 | 4,427,845 | (20,817,120) | 84,650 | 199,348 | 3,249,024 |
331,470 | (462,363) | 461,086 | 222,998,684 | 39,548,016 | 138,192,303 | 2,239,369 | 2,887,896 | (410,701) |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | 1,324 | — | — | — | — | — | — |
(7,619,262) | (32,455,728) | (3,663,658) | (241,597,548) | 23,403,270 | (1,813,833,068) | (1,630,438) | (624,480) | (8,954,782) |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | (2,509) | — | — | — | — | — | — |
(7,287,792) | (32,918,091) | (3,203,757) | (18,598,864) | 62,951,286 | (1,675,640,765) | 608,931 | 2,263,416 | (9,365,483) |
$(4,606,496) | $(28,911,319) | $(2,935,728) | $(17,047,215) | $67,379,131 | $(1,696,457,885) | $693,581 | $2,462,764 | $(6,116,459) |
$— | $— | $76,474 | $— | $— | $— | $— | $— | $— |
$2,997 | $— | $— | $— | $— | $— | $— | $— | $1,320 |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | ||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | |
From Operations | ||||||
Net investment income | $3,431,946 | $7,992,609 | $104,056 | $577,520 | $6,256,321 | $6,422,974 |
Net realized gains (losses) on investments, securities sold short, written options, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions | (812,726) | 11,402,813 | (417,603) | 3,576,770 | 62,707 | 14,169,305 |
Net change in unrealized appreciation (depreciation) on investments, securities sold short, written options, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions | (25,705,419) | (14,784,211) | (2,589,929) | (285,194) | (14,060,526) | (426,231) |
Change in Net Assets from Operations | (23,086,199) | 4,611,211 | (2,903,476) | 3,869,096 | (7,741,498) | 20,166,048 |
Distributions to Shareholders: | ||||||
Distributed earnings, Class A | (2,411,756) | (2,854,355) | — | — | (6,932,557) | (2,010,075) |
Distributed earnings, Class B | — | — | — | — | — | — |
Distributed earnings, Class C | (90,632) | (91,900) | — | — | (1,380,521) | (375,656) |
Distributed earnings, Class Y | (1,243,153) | (2,291,191) | (27,448) | (4,532) | (6,339,648) | (3,026,554) |
Distributed earnings, Institutional Class | (1,521,616) | (3,052,478) | (3,622,949) | (714,426) | (224,360) | (1,962,020) |
Distributed earnings, Class R6 | — | — | — | — | — | — |
Total Distributions | (5,267,157) | (8,289,924) | (3,650,397) | (718,958) | (14,877,086) | (7,374,305) |
Change in Net Assets from Share Transactions(B) | (18,074,332) | 33,611,918 | (20,319,659) | (771,211) | 60,709,986 | 177,091,677 |
Total Increase (Decrease) in Net Assets | (46,427,688) | 29,933,205 | (26,873,532) | 2,378,927 | 38,091,402 | 189,883,420 |
Net Assets | ||||||
Beginning of period | 388,531,979 | 358,598,774 | 39,497,820 | 37,118,893 | 277,266,707 | 87,383,287 |
End of period | $342,104,291 | $388,531,979 | $12,624,288 | $39,497,820 | $315,358,109 | $277,266,707 |
(A) | The Fund changed its fiscal year end from October 31 to September 30. |
(B) | For details on share transactions by class, see Statements of Changes in Net Assets - Capital Stock Activity in pages 60-66. |
Touchstone Dividend Equity Fund | Touchstone High Yield Fund | Touchstone Impact Bond Fund | ||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Eleven Months Ended September 30, 2021(A) | For the Year Ended October 31, 2020 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 |
$27,773,099 | $74,658,477 | $231,627,728 | $2,681,296 | $8,786,402 | $4,006,772 | $7,077,303 |
63,485,923 | 693,404,709 | (637,360,833) | 331,470 | 7,075,942 | (462,363) | 1,304,822 |
182,103,847 | 199,414,510 | (532,491,386) | (7,619,262) | 4,489,032 | (32,455,728) | (9,914,205) |
273,362,869 | 967,477,696 | (938,224,491) | (4,606,496) | 20,351,376 | (28,911,319) | (1,532,080) |
(46,528,633) | (37,578,649) | (151,258,569) | (321,369) | (682,278) | (186,702) | (294,184) |
— | (2,109,055) | (17,797,190) | — | — | — | — |
(17,153,613) | (14,593,990) | (138,592,258) | (19,957) | (36,797) | (11,076) | (14,442) |
(30,767,337) | (34,302,130) | (242,410,378) | (718,658) | (1,574,315) | (2,354,678) | (3,080,885) |
(16,283) | (1,422) | — | (1,698,823) | (6,593,545) | (2,785,475) | (4,314,437) |
(341) | (11) | — | — | — | (27) | — |
(94,466,207) | (88,585,257) | (550,058,395) | (2,758,807) | (8,886,935) | (5,337,958) | (7,703,948) |
(397,918,532) | (1,822,939,395) | (3,062,747,155) | (12,706,059) | (57,540,644) | 43,420,742 | 53,261,500 |
(219,021,870) | (944,046,956) | (4,551,030,041) | (20,071,362) | (46,076,203) | 9,171,465 | 44,025,472 |
3,706,297,091 | 4,650,344,047 | 9,201,374,088 | 139,419,862 | 185,496,065 | 435,825,971 | 391,800,499 |
$3,487,275,221 | $3,706,297,091 | $4,650,344,047 | $119,348,500 | $139,419,862 | $444,997,436 | $435,825,971 |
Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | ||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | |
From Operations | ||||||
Net investment income (loss) | $268,029 | $362,539 | $1,551,649 | $5,125,933 | $4,427,845 | $3,143,017 |
Net realized gains (losses) on investments and foreign currency transactions | 462,410 | 3,095,868 | 222,998,684 | 249,118,292 | 39,548,016 | 91,266,526 |
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | (3,666,167) | 2,792,476 | (241,597,548) | 621,005,091 | 23,403,270 | 179,982,199 |
Change in Net Assets from Operations | (2,935,728) | 6,250,883 | (17,047,215) | 875,249,316 | 67,379,131 | 274,391,742 |
Distributions to Shareholders: | ||||||
Distributed earnings, Class A | (698,434) | (48,775) | (4,115,987) | (2,210,139) | (984,846) | (17,884) |
Distributed earnings, Class C | (136,481) | — | (2,578,283) | (1,691,858) | (262,128) | — |
Distributed earnings, Class S | — | — | — | — | — | — |
Distributed earnings, Class Y | (1,412,734) | (80,193) | (94,122,985) | (57,465,241) | (27,840,715) | (1,153,819) |
Distributed earnings, Class Z | — | — | (1,548,497) | (1,244,341) | — | — |
Distributed earnings, Institutional Class | (252) | (19) | (17,280,597) | (25,311,010) | (32,054,914) | (1,848,019) |
Distributed earnings, Class R6 | — | — | (18,048,845) | — | — | — |
Return of capital, Class A | — | — | — | — | — | — |
Return of capital, Class C | — | — | — | — | — | — |
Return of capital, Class Y | — | — | — | — | — | — |
Return of capital, Institutional Class | — | — | — | — | — | — |
Total Distributions | (2,247,901) | (128,987) | (137,695,194) | (87,922,589) | (61,142,603) | (3,019,722) |
Change in Net Assets from Share Transactions(A) | 11,270,708 | (76,211) | 1,577,943 | 196,604,803 | 41,990,620 | (79,179,049) |
Total Increase (Decrease) in Net Assets | 6,087,079 | 6,045,685 | (153,164,466) | 983,931,530 | 48,227,148 | 192,192,971 |
Net Assets | ||||||
Beginning of period | 33,383,512 | 27,337,827 | 4,829,947,364 | 3,846,015,834 | 875,194,990 | 683,002,019 |
End of period | $39,470,591 | $33,383,512 | $4,676,782,898 | $4,829,947,364 | $923,422,138 | $875,194,990 |
(A) | For details on share transactions by class, see Statements of Changes in Net Assets - Capital Stock Activity in pages 60-66. |
Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund | ||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 |
$(20,817,120) | $(38,393,633) | $84,650 | $613,344 | $199,348 | $115,710 | $3,249,024 | $6,477,833 |
138,192,303 | 1,041,558,717 | 2,239,369 | 17,883,246 | 2,887,896 | 5,693,285 | (410,701) | 175,982 |
(1,813,833,068) | 141,728,022 | (1,630,438) | 9,656,923 | (624,480) | 24,049,244 | (8,954,782) | 2,532,844 |
(1,696,457,885) | 1,144,893,106 | 693,581 | 28,153,513 | 2,462,764 | 29,858,239 | (6,116,459) | 9,186,659 |
(87,728,653) | (17,693,260) | (678,527) | (76,369) | (93,993) | (32,691) | (698,859) | (1,191,026) |
(8,735,299) | (4,115,544) | (28,748) | (5,189) | (845) | (461) | (9,981) | (19,141) |
— | — | — | — | — | — | (178,210) | (371,847) |
(165,283,847) | (152,873,291) | (6,589,242) | (1,040,101) | (188,453) | (63,554) | (1,852,030) | (3,531,075) |
(59,112,671) | (52,230,135) | — | — | — | — | (342,373) | (732,118) |
(241,831,240) | (8,474) | (4,725,275) | (1,003,459) | (44,000) | (17,628) | (2,888,572) | (5,902,220) |
(49,261,002) | (102,763) | — | — | — | — | — | — |
— | — | — | — | — | (30,163) | — | — |
— | — | — | — | — | (425) | — | — |
— | — | — | — | — | (58,641) | — | — |
— | — | — | — | — | (16,265) | — | — |
(611,952,712) | (227,023,467) | (12,021,792) | (2,125,118) | (327,291) | (219,828) | (5,970,025) | (11,747,427) |
299,411,492 | 3,177,487,521 | 13,925,537 | (4,449,869) | (2,336,642) | (6,753,764) | (161,271,708) | 88,853,009 |
(2,008,999,105) | 4,095,357,160 | 2,597,326 | 21,578,526 | (201,169) | 22,884,647 | (173,358,192) | 86,292,241 |
6,352,197,565 | 2,256,840,405 | 94,960,627 | 73,382,101 | 76,150,018 | 53,265,371 | 1,073,002,897 | 986,710,656 |
$4,343,198,460 | $6,352,197,565 | $97,557,953 | $94,960,627 | $75,948,849 | $76,150,018 | $899,644,705 | $1,073,002,897 |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | |||||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A(C) | ||||||||
Proceeds from Shares issued | 587,520 | $6,339,317 | 1,581,041 | $17,746,223 | — | $— | — | $— |
Proceeds from Shares issued in connection with reorganization | — | — | 9,794,843 | 110,186,140 | — | — | — | — |
Reinvestment of distributions | 200,816 | 2,175,495 | 224,230 | 2,513,018 | — | — | — | — |
Cost of Shares redeemed | (1,580,801) | (17,070,019) | (6,207,410) | (69,966,791) | — | — | — | — |
Shares issued (reacquired) upon automatic conversion | — | — | — | — | — | — | — | — |
Change from Class A Share Transactions | (792,465) | (8,555,207) | 5,392,704 | 60,478,590 | — | — | — | — |
Class B(C) | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Reinvestment of distributions | — | — | — | — | — | — | — | — |
Share conversion in connection with reorganization | — | — | — | — | — | — | — | — |
Cost of Shares redeemed | — | — | — | — | — | — | — | — |
Shares issued (reacquired) upon automatic conversion | — | — | — | — | — | — | — | — |
Change from Class B Share Transactions | — | — | — | — | — | — | — | — |
Class C | ||||||||
Proceeds from Shares issued | 38,424 | 374,371 | 79,533 | 820,532 | — | — | — | — |
Proceeds from Shares issued in connection with reorganization | — | — | 628,710 | 6,476,580 | — | — | — | — |
Reinvestment of distributions | 8,986 | 89,325 | 8,702 | 89,500 | — | — | — | — |
Cost of Shares redeemed | (244,118) | (2,411,695) | (355,656) | (3,662,936) | — | — | — | — |
Shares issued (reacquired) upon automatic conversion | — | — | — | — | — | — | — | — |
Change from Class C Share Transactions | (196,708) | (1,947,999) | 361,289 | 3,723,676 | — | — | — | — |
Class Y(D) | ||||||||
Proceeds from Shares issued | 517,851 | 5,643,087 | 2,054,376 | 23,130,318 | 154 | 1,521 | 360 | 4,282 |
Proceeds from Shares issued in connection with reorganization | — | — | — | — | — | — | — | — |
Reinvestment of distributions | 97,497 | 1,055,232 | 172,216 | 1,928,699 | 2,678 | 27,448 | 382 | 4,531 |
Cost of Shares redeemed | (1,746,444) | (19,124,647) | (1,909,973) | (21,405,317) | (4,336) | (45,901) | — | — |
Change from Class Y Share Transactions | (1,131,096) | (12,426,328) | 316,619 | 3,653,700 | (1,504) | (16,932) | 742 | 8,813 |
Institutional Class | ||||||||
Proceeds from Shares issued | 1,346,840 | 14,760,658 | 1,734,665 | 19,494,859 | 86,839 | 901,175 | 26,082 | 312,372 |
Reinvestment of distributions | 122,535 | 1,324,853 | 242,823 | 2,719,478 | 351,924 | 3,622,949 | 60,238 | 714,426 |
Cost of Shares redeemed | (1,029,769) | (11,230,309) | (5,014,127) | (56,458,385) | (2,405,257) | (24,826,851) | (152,975) | (1,806,822) |
Change from Institutional Class Share Transactions | 439,606 | 4,855,202 | (3,036,639) | (34,244,048) | (1,966,494) | (20,302,727) | (66,655) | (780,024) |
Class R6 | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Reinvestment of distributions | — | — | — | — | — | — | — | — |
Cost of Shares redeemed | — | — | — | — | — | — | — | — |
Change from Class R6 Share Transactions | — | — | — | — | — | — | — | — |
Change from Share Transactions | (1,680,663) | $(18,074,332) | 3,033,973 | $33,611,918 | (1,967,998) | $(20,319,659) | (65,913) | $(771,211) |
(A) | Represents the period from commencement of operations (July 19, 2021 and August 2, 2021) through September 30, 2021 for Institutional Class shares and Class R6 shares, respectively. |
(B) | The Fund changed its fiscal year end from October 31 to September 30. |
(C) | Effective July 16, 2021, Class B shares of the AIG Focused Dividend Strategy Fund were reorganized into Class A shares of the Touchstone Dividend Equity Fund. |
(D) | Effective July 16, 2021, Class W shares of the AIG Senior Floating Rate Fund and the AIG Focused Dividend Strategy Fund were reorganized into Class Y shares of the Touchstone Credit Opportunities Fund and the Touchstone Dividend Equity Fund, respectively. |
Touchstone Credit Opportunities Fund | Touchstone Dividend Equity Fund | ||||||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Eleven Months Ended September 30, 2021(A) (B) | For the Year Ended October 31, 2020 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
1,573,229 | $15,994,731 | 953,296 | $9,677,433 | 6,680,598 | $118,007,333 | 18,284,009 | $305,544,840 | 32,491,602 | $486,460,585 |
— | — | 13,726,507 | 141,260,445 | — | — | 11,403,748 | 196,261,607 | — | — |
592,534 | 5,935,819 | 169,953 | 1,734,106 | 2,113,280 | 37,590,052 | 1,811,037 | 30,101,529 | 8,170,831 | 127,355,567 |
(1,722,658) | (17,426,218) | (1,919,910) | (19,609,644) | (12,920,609) | (228,271,267) | (46,557,495) | (778,744,677) | (62,833,118) | (942,900,578) |
— | — | — | — | — | — | — | — | 1,460,932 | 21,639,786 |
443,105 | 4,504,332 | 12,929,846 | 133,062,340 | (4,126,731) | (72,673,882) | (15,058,701) | (246,836,701) | (20,709,753) | (307,444,640) |
— | — | — | — | — | — | 136,950 | 2,217,290 | 635,537 | 9,704,526 |
— | — | — | — | — | — | 111,727 | 1,822,664 | 980,773 | 15,306,408 |
— | — | — | — | — | — | (9,181,258) | (156,710,795) | — | — |
— | — | — | — | — | — | (3,577,145) | (58,419,158) | (6,740,251) | (99,688,786) |
— | — | — | — | — | — | — | — | (211,231) | (3,035,073) |
— | — | — | — | — | — | (12,509,726) | (211,089,999) | (5,335,172) | (77,712,925) |
195,093 | 1,924,076 | 198,200 | 1,956,744 | 292,839 | 5,130,825 | 1,335,140 | 21,782,502 | 4,570,086 | 69,249,503 |
— | — | 3,149,581 | 31,321,283 | — | — | 264,762 | 4,518,475 | — | — |
135,563 | 1,313,980 | 36,177 | 356,730 | 923,756 | 16,228,345 | 827,808 | 13,554,365 | 7,429,473 | 116,019,169 |
(701,930) | (6,923,141) | (508,343) | (5,019,285) | (10,289,561) | (180,023,372) | (34,119,489) | (562,501,490) | (73,315,974) | (1,083,852,691) |
— | — | — | — | — | — | — | — | (1,263,663) | (18,604,713) |
(371,274) | (3,685,085) | 2,875,615 | 28,615,472 | (9,072,966) | (158,664,202) | (31,691,779) | (522,646,148) | (62,580,078) | (917,188,732) |
8,154,829 | 83,704,115 | 5,664,582 | 58,278,512 | 2,666,211 | 46,814,966 | 10,482,598 | 173,072,737 | 27,504,922 | 416,610,757 |
— | — | 1,935,037 | 20,196,958 | — | — | 2,988,813 | 51,352,080 | — | — |
622,924 | 6,316,472 | 294,373 | 3,005,542 | 1,360,127 | 24,166,884 | 1,599,069 | 26,426,043 | 12,165,668 | 190,671,524 |
(3,172,541) | (32,023,036) | (2,133,266) | (21,900,451) | (13,469,890) | (237,845,416) | (66,132,757) | (1,093,538,113) | (158,495,499) | (2,367,683,139) |
5,605,212 | 57,997,551 | 5,760,726 | 59,580,561 | (9,443,552) | (166,863,566) | (51,062,277) | (842,687,253) | (118,824,909) | (1,760,400,858) |
226,410 | 2,396,164 | 154,880 | 1,589,436 | 24,867 | 442,380 | 43,758 | 746,709 | — | — |
21,919 | 224,330 | 165,580 | 1,665,750 | 916 | 16,284 | 84 | 1,422 | — | — |
(70,972) | (727,306) | (4,536,711) | (47,421,882) | (12,469) | (220,669) | (25,246) | (429,936) | — | — |
177,357 | 1,893,188 | (4,216,251) | (44,166,696) | 13,314 | 237,995 | 18,596 | 318,195 | — | — |
— | — | — | — | 2,621 | 44,804 | 144 | 2,500 | — | — |
— | — | — | — | 19 | 341 | 1 | 11 | — | — |
— | — | — | — | (1) | (22) | — | — | — | — |
— | — | — | — | 2,639 | 45,123 | 145 | 2,511 | — | — |
5,854,400 | $60,709,986 | 17,349,936 | $177,091,677 | (22,627,296) | $(397,918,532) | (110,303,742) | $(1,822,939,395) | (207,449,912) | $(3,062,747,155) |
Touchstone High Yield Fund | Touchstone Impact Bond Fund | |||||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited)(A) | For the Year Ended September 30, 2021 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A | ||||||||
Proceeds from Shares issued | 970,596 | $7,868,605 | 1,566,811 | $12,966,425 | 156,821 | $1,628,904 | 901,622 | $9,649,457 |
Reinvestment of distributions | 34,815 | 281,141 | 73,113 | 599,939 | 10,025 | 103,558 | 22,409 | 239,040 |
Cost of Shares redeemed | (790,441) | (6,491,724) | (1,684,115) | (13,909,317) | (194,494) | (1,977,181) | (750,021) | (8,017,527) |
Change from Class A Share Transactions | 214,970 | 1,658,022 | (44,191) | (342,953) | (27,648) | (244,719) | 174,010 | 1,870,970 |
Class C | ||||||||
Proceeds from Shares issued | 78,790 | 653,732 | 6,419 | 52,516 | 14,822 | 150,736 | 47,117 | 503,565 |
Reinvestment of distributions | 1,508 | 12,152 | 4,205 | 34,328 | 906 | 9,370 | 1,104 | 11,798 |
Cost of Shares redeemed | (57,381) | (465,669) | (69,525) | (567,351) | (7,672) | (78,540) | (54,392) | (576,886) |
Change from Class C Share Transactions | 22,917 | 200,215 | (58,901) | (480,507) | 8,056 | 81,566 | (6,171) | (61,523) |
Class Y | ||||||||
Proceeds from Shares issued | 194,731 | 1,626,244 | 927,706 | 7,935,403 | 3,740,527 | 38,448,068 | 10,483,459 | 112,124,601 |
Reinvestment of distributions | 85,804 | 713,695 | 184,449 | 1,558,178 | 213,256 | 2,201,419 | 265,494 | 2,835,648 |
Cost of Shares redeemed | (830,980) | (6,949,692) | (1,027,444) | (8,666,870) | (2,574,562) | (26,558,258) | (5,408,326) | (57,650,536) |
Change from Class Y Share Transactions | (550,445) | (4,609,753) | 84,711 | 826,711 | 1,379,221 | 14,091,229 | 5,340,627 | 57,309,713 |
Class Z | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Reinvestment of distributions | — | — | — | — | — | — | — | — |
Cost of Shares redeemed | — | — | — | — | — | — | — | — |
Change from Class Z Share Transactions | — | — | — | — | — | — | — | — |
Institutional Class | ||||||||
Proceeds from Shares issued | 894,122 | 7,484,541 | 9,988,999 | 84,709,298 | 4,563,255 | 47,347,249 | 4,823,496 | 51,565,488 |
Reinvestment of distributions | 202,627 | 1,684,193 | 773,258 | 6,527,173 | 233,293 | 2,405,554 | 347,131 | 3,707,296 |
Cost of Shares redeemed | (2,264,585) | (19,123,277) | (17,418,797) | (148,780,366) | (1,997,243) | (20,262,664) | (5,736,474) | (61,130,444) |
Change from Institutional Class Share Transactions | (1,167,836) | (9,954,543) | (6,656,540) | (57,543,895) | 2,799,305 | 29,490,139 | (565,847) | (5,857,660) |
Class R6 | ||||||||
Proceeds from Shares issued | — | — | — | — | 237 | 2,500 | — | — |
Reinvestment of distributions | — | — | — | — | 3 | 27 | — | — |
Cost of Shares redeemed | — | — | — | — | — | — | — | — |
Change from Class R6 Share Transactions | — | — | — | — | 240 | 2,527 | — | — |
Change from Share Transactions | (1,480,394) | $(12,706,059) | (6,674,921) | $(57,540,644) | 4,159,174 | $43,420,742 | 4,942,619 | $53,261,500 |
(A) | Represents the period from commencement of operations (November 22, 2021) through March 31, 2022 for Class R6 shares. |
(B) | Represents the period from commencement of operations (February 22, 2021) through September 30, 2021 for Class R6 shares. |
Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | ||||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021(B) | ||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
69,159 | $605,389 | 392,101 | $3,253,480 | 479,344 | $22,499,021 | 1,056,622 | $48,021,108 |
73,968 | 649,137 | 5,449 | 46,211 | 71,397 | 3,424,450 | 43,425 | 1,864,324 |
(77,385) | (681,372) | (849,981) | (7,474,932) | (387,120) | (18,239,256) | (804,599) | (36,519,129) |
65,742 | 573,154 | (452,431) | (4,175,241) | 163,621 | 7,684,215 | 295,448 | 13,366,303 |
6,805 | 58,524 | 3,336 | 29,600 | 118,501 | 5,138,590 | 527,048 | 22,032,167 |
15,724 | 136,481 | — | — | 54,254 | 2,397,489 | 39,173 | 1,562,270 |
(82,671) | (724,439) | (250,238) | (2,163,270) | (307,275) | (13,391,247) | (634,832) | (26,906,601) |
(60,142) | (529,434) | (246,902) | (2,133,670) | (134,520) | (5,855,168) | (68,611) | (3,312,164) |
453,322 | 3,935,098 | 1,040,078 | 9,287,340 | 11,529,600 | 546,562,356 | 29,528,367 | 1,339,183,765 |
157,788 | 1,385,068 | 9,218 | 77,978 | 1,751,887 | 85,423,942 | 1,191,861 | 51,892,782 |
(291,874) | (2,530,573) | (356,297) | (3,132,637) | (12,482,786) | (595,200,722) | (23,432,626) | (1,086,466,153) |
319,236 | 2,789,593 | 692,999 | 6,232,681 | 798,701 | 36,785,576 | 7,287,602 | 304,610,394 |
— | — | — | — | 55,783 | 2,622,794 | 294,301 | 13,056,057 |
— | — | — | — | 32,502 | 1,546,815 | 29,122 | 1,240,929 |
— | — | — | — | (202,987) | (9,429,611) | (1,136,353) | (49,001,380) |
— | — | — | — | (114,702) | (5,260,002) | (812,930) | (34,704,394) |
1,046,782 | 9,048,318 | — | — | 7,213,235 | 345,938,403 | 11,851,354 | 551,714,234 |
29 | 252 | 2 | 19 | 284,656 | 13,929,717 | 305,343 | 13,325,183 |
(75,686) | (611,175) | — | — | (10,238,925) | (493,180,547) | (26,681,385) | (1,270,666,182) |
971,125 | 8,437,395 | 2 | 19 | (2,741,034) | (133,312,427) | (14,524,688) | (705,626,765) |
— | — | — | — | 3,098,600 | 144,448,729 | 13,812,160 | 664,476,348 |
— | — | — | — | 44,138 | 2,160,530 | — | — |
— | — | — | — | (939,911) | (45,073,510) | (877,851) | (42,204,919) |
— | — | — | — | 2,202,827 | 101,535,749 | 12,934,309 | 622,271,429 |
1,295,961 | $11,270,708 | (6,332) | $(76,211) | 174,893 | $1,577,943 | 5,111,130 | $196,604,803 |
Touchstone Mid Cap Value Fund | Touchstone Sands Capital Select Growth Fund | |||||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A | ||||||||
Proceeds from Shares issued | 80,362 | $1,926,147 | 179,118 | $3,742,466 | 2,363,611 | $41,808,640 | 4,489,061 | $85,327,200 |
Proceeds from Shares issued in connection with reorganization | — | — | — | — | — | — | 31,777,096 | 621,944,594 |
Reinvestment of distributions | 36,298 | 852,756 | 777 | 15,458 | 4,519,112 | 78,722,927 | 726,547 | 12,765,441 |
Cost of Shares redeemed | (36,639) | (878,276) | (194,259) | (4,301,475) | (5,130,633) | (81,730,939) | (5,675,525) | (109,088,540) |
Change from Class A Share Transactions | 80,021 | 1,900,627 | (14,364) | (543,551) | 1,752,090 | 38,800,628 | 31,317,179 | 610,948,695 |
Class C | ||||||||
Proceeds from Shares issued | 9,520 | 216,407 | 44,231 | 975,312 | 186,467 | 2,423,256 | 557,848 | 8,806,047 |
Proceeds from Shares issued in connection with reorganization | — | — | — | — | — | — | 3,024,107 | 48,772,136 |
Reinvestment of distributions | 11,605 | 260,768 | — | — | 616,498 | 8,587,815 | 280,249 | 4,077,626 |
Cost of Shares redeemed | (24,207) | (561,756) | (64,635) | (1,390,188) | (1,332,946) | (18,010,874) | (1,909,718) | (30,198,698) |
Change from Class C Share Transactions | (3,082) | (84,581) | (20,404) | (414,876) | (529,981) | (6,999,803) | 1,952,486 | 31,457,111 |
Class Y(A) | ||||||||
Proceeds from Shares issued | 1,430,834 | 34,444,977 | 4,976,510 | 107,646,472 | 12,456,257 | 220,759,421 | 26,427,558 | 552,879,177 |
Proceeds from Shares issued in connection with reorganization | — | — | — | — | — | — | 2,050,915 | 44,517,985 |
Reinvestment of distributions | 1,164,504 | 27,542,464 | 53,819 | 1,141,546 | 7,425,758 | 145,396,335 | 6,900,842 | 134,290,391 |
Cost of Shares redeemed | (2,130,687) | (51,267,228) | (6,000,984) | (128,777,432) | (20,990,735) | (370,544,328) | (40,208,134) | (869,420,564) |
Change from Class Y Share Transactions | 464,651 | 10,720,213 | (970,655) | (19,989,414) | (1,108,720) | (4,388,572) | (4,828,819) | (137,733,011) |
Class Z | ||||||||
Proceeds from Shares issued | — | — | — | — | 918,656 | 15,955,242 | 2,349,120 | 44,465,418 |
Reinvestment of distributions | — | — | — | — | 3,380,155 | 58,949,906 | 2,953,208 | 51,976,461 |
Cost of Shares redeemed | — | — | — | — | (4,287,357) | (66,741,106) | (6,168,500) | (116,963,273) |
Change from Class Z Share Transactions | — | — | — | — | 11,454 | 8,164,042 | (866,172) | (20,521,394) |
Institutional Class | ||||||||
Proceeds from Shares issued | 2,909,031 | 69,971,318 | 7,159,517 | 157,885,918 | 26,561,966 | 451,599,143 | 34,707,619 | 738,829,312 |
Proceeds from Shares issued in connection with reorganization | — | — | — | — | — | — | 128,604,796 | 2,547,803,595 |
Reinvestment of distributions | 1,076,758 | 25,635,165 | 73,904 | 1,599,620 | 11,423,614 | 223,902,843 | 435 | 8,474 |
Cost of Shares redeemed | (2,727,339) | (66,152,122) | (10,054,747) | (217,716,746) | (34,296,974) | (574,536,722) | (50,472,388) | (1,076,340,071) |
Change from Institutional Class Share Transactions | 1,258,450 | 29,454,361 | (2,821,326) | (58,231,208) | 3,688,606 | 100,965,264 | 112,840,462 | 2,210,301,310 |
Class R6 | ||||||||
Proceeds from Shares issued | — | — | — | — | 8,774,143 | 146,384,000 | 23,160,816 | 511,629,011 |
Reinvestment of distributions | — | — | — | — | 2,425,351 | 47,536,886 | 5,281 | 102,763 |
Cost of Shares redeemed | — | — | — | — | (1,826,172) | (31,050,953) | (1,357,750) | (28,696,964) |
Change from Class R6 Share Transactions | — | — | — | — | 9,373,322 | 162,869,933 | 21,808,347 | 483,034,810 |
Change from Share Transactions | 1,800,040 | $41,990,620 | (3,826,749) | $(79,179,049) | 13,186,771 | $299,411,492 | 162,223,483 | $3,177,487,521 |
(A) | Effective July 16, 2021, Class W shares of the AIG Focused Growth Fund were reorganized into Class Y shares of the Touchstone Sands Capital Select Growth Fund. |
Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | ||||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | ||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
20,455 | $289,573 | 43,246 | $590,663 | 15,201 | $514,319 | 42,845 | $1,116,437 |
— | — | — | — | — | — | — | — |
47,532 | 622,960 | 5,640 | 70,614 | 2,627 | 91,456 | 2,306 | 60,923 |
(44,216) | (594,260) | (93,218) | (1,222,383) | (30,286) | (1,026,527) | (89,797) | (2,685,709) |
23,771 | 318,273 | (44,332) | (561,106) | (12,458) | (420,752) | (44,646) | (1,508,349) |
8,040 | 92,963 | 38,275 | 492,935 | 602 | 19,492 | 4,097 | 116,576 |
— | — | — | — | — | — | — | — |
2,469 | 28,747 | 381 | 4,341 | 25 | 845 | 32 | 817 |
(6,929) | (79,087) | (54,615) | (663,938) | (5,026) | (160,789) | (8,879) | (252,956) |
3,580 | 42,623 | (15,959) | (166,662) | (4,399) | (140,452) | (4,750) | (135,563) |
658,712 | 8,894,084 | 746,342 | 10,272,999 | 47,823 | 1,624,375 | 129,975 | 3,908,356 |
— | — | — | — | — | — | — | — |
488,404 | 6,524,238 | 79,888 | 1,025,095 | 5,339 | 186,598 | 4,571 | 120,978 |
(295,346) | (3,961,737) | (717,298) | (9,747,622) | (115,563) | (3,911,132) | (228,926) | (6,501,791) |
851,770 | 11,456,585 | 108,932 | 1,550,472 | (62,401) | (2,100,159) | (94,380) | (2,472,457) |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
222,848 | 2,982,283 | 1,174,009 | 15,984,215 | 33,591 | 1,125,129 | 42,781 | 1,285,210 |
— | — | — | — | — | — | — | — |
355,282 | 4,724,892 | 78,422 | 1,002,693 | 526 | 18,406 | 495 | 13,106 |
(401,711) | (5,599,119) | (1,630,878) | (22,259,481) | (23,602) | (818,814) | (140,813) | (3,935,711) |
176,419 | 2,108,056 | (378,447) | (5,272,573) | 10,515 | 324,721 | (97,537) | (2,637,395) |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
1,055,540 | $13,925,537 | (329,806) | $(4,449,869) | (68,743) | $(2,336,642) | (241,313) | $(6,753,764) |
Touchstone Ultra Short Duration Fixed Income Fund | ||||
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | |||
Shares | Dollars | Shares | Dollars | |
Class A | ||||
Proceeds from Shares issued | 2,226,150 | $20,404,125 | 4,686,457 | $43,241,421 |
Reinvestment of distributions | 72,806 | 666,397 | 123,448 | 1,139,270 |
Cost of Shares redeemed | (2,116,694) | (19,404,923) | (2,612,393) | (24,114,385) |
Change from Class A Share Transactions | 182,262 | 1,665,599 | 2,197,512 | 20,266,306 |
Class C | ||||
Proceeds from Shares issued | 130,396 | 1,194,563 | 133,907 | 1,237,687 |
Reinvestment of distributions | 463 | 4,237 | 810 | 7,479 |
Cost of Shares redeemed | (119,750) | (1,098,466) | (244,873) | (2,263,008) |
Change from Class C Share Transactions | 11,109 | 100,334 | (110,156) | (1,017,842) |
Class S | ||||
Proceeds from Shares issued | 4,443 | 40,759 | 1,605,257 | 14,831,783 |
Reinvestment of distributions | 18,847 | 172,585 | 38,145 | 352,177 |
Cost of Shares redeemed | (643,934) | (5,907,764) | (2,605,972) | (24,063,147) |
Change from Class S Share Transactions | (620,644) | (5,694,420) | (962,570) | (8,879,187) |
Class Y | ||||
Proceeds from Shares issued | 11,578,125 | 106,188,885 | 17,600,835 | 162,587,751 |
Reinvestment of distributions | 159,196 | 1,457,891 | 291,545 | 2,691,868 |
Cost of Shares redeemed | (12,847,940) | (117,664,973) | (17,423,646) | (160,851,675) |
Change from Class Y Share Transactions | (1,110,619) | (10,018,197) | 468,734 | 4,427,944 |
Class Z | ||||
Proceeds from Shares issued | 893,469 | 8,189,923 | 2,629,137 | 24,264,471 |
Reinvestment of distributions | 37,164 | 340,350 | 78,837 | 727,666 |
Cost of Shares redeemed | (1,692,728) | (15,530,100) | (3,875,990) | (35,793,520) |
Change from Class Z Share Transactions | (762,095) | (6,999,827) | (1,168,016) | (10,801,383) |
Institutional Class | ||||
Proceeds from Shares issued | 10,368,147 | 95,205,657 | 41,003,304 | 378,229,514 |
Reinvestment of distributions | 293,432 | 2,685,745 | 597,097 | 5,507,609 |
Cost of Shares redeemed | (26,012,437) | (238,216,599) | (32,400,298) | (298,879,952) |
Change from Institutional Class Share Transactions | (15,350,858) | (140,325,197) | 9,200,103 | 84,857,171 |
Change from Share Transactions | (17,650,845) | $(161,271,708) | 9,625,607 | $88,853,009 |
Touchstone Active Bond Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $11.12 | $11.23 | $10.68 | $10.01 | $10.47 | $10.59 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.09(A) | 0.22(A) | 0.28(A) | 0.27 | 0.23 | 0.24 |
Net realized and unrealized gains (losses) on investments | (0.79) | (0.10) | 0.55 | 0.68 | (0.43) | (0.11) |
Total from investment operations | (0.70) | 0.12 | 0.83 | 0.95 | (0.20) | 0.13 |
Distributions from: | ||||||
Net investment income | (0.11) | (0.23) | (0.28) | (0.28) | (0.26) | (0.25) |
Realized capital gains | (0.03) | — | — | — | —(B) | — |
Total distributions | (0.14) | (0.23) | (0.28) | (0.28) | (0.26) | (0.25) |
Net asset value at end of period | $10.28 | $11.12 | $11.23 | $10.68 | $10.01 | $10.47 |
Total return(C) | (6.30%)(D) | 1.10% | 7.91% | 9.68% | (1.87%) | 1.26% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $164,573 | $186,813 | $128,086 | $127,502 | $133,083 | $22,117 |
Ratio to average net assets: | ||||||
Net expenses | 0.87%(E) | 0.90% | 0.90% | 0.90% | 0.90% | 0.90% |
Gross expenses | 0.91%(E) | 0.93% | 0.95% | 1.00% | 0.97% | 1.18% |
Net investment income | 1.73%(E) | 1.99% | 2.54% | 2.68% | 2.34% | 2.33% |
Portfolio turnover rate | 89%(D) | 144%(F) | 261% | 235% | 448%(G) | 496% |
Touchstone Active Bond Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $10.18 | $10.30 | $9.82 | $9.23 | $9.68 | $9.82 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.05(A) | 0.13(A) | 0.18(A) | 0.12 | 0.20 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.72) | (0.09) | 0.51 | 0.68 | (0.46) | (0.10) |
Total from investment operations | (0.67) | 0.04 | 0.69 | 0.80 | (0.26) | 0.04 |
Distributions from: | ||||||
Net investment income | (0.08) | (0.16) | (0.21) | (0.21) | (0.19) | (0.18) |
Realized capital gains | (0.03) | — | — | — | —(B) | — |
Total distributions | (0.11) | (0.16) | (0.21) | (0.21) | (0.19) | (0.18) |
Net asset value at end of period | $9.40 | $10.18 | $10.30 | $9.82 | $9.23 | $9.68 |
Total return(C) | (6.62%)(D) | 0.39% | 7.11% | 8.83% | (2.64%) | 0.52% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $6,672 | $9,229 | $5,618 | $11,743 | $23,807 | $4,642 |
Ratio to average net assets: | ||||||
Net expenses | 1.60%(E) | 1.64% | 1.65% | 1.65% | 1.65% | 1.65% |
Gross expenses | 1.85%(E) | 1.93% | 1.93% | 1.85% | 1.79% | 2.18% |
Net investment income | 1.00%(E) | 1.25% | 1.79% | 1.93% | 1.59% | 1.58% |
Portfolio turnover rate | 89%(D) | 144%(F) | 261% | 235% | 448%(G) | 496% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | Portfolio turnover excludes the purchases and sales of securities of the AIG U.S. Government Securities Fund acquired on July 16, 2021. If these transactions were included, portfolio turnover would have been higher. |
(G) | Portfolio turnover excludes the purchases and sales of securities by the Sentinel Government Securities Fund and Sentinel Total Return Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Active Bond Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $11.11 | $11.22 | $10.67 | $10.00 | $10.46 | $10.59 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.11(A) | 0.25(A) | 0.30(A) | 0.31 | 0.26 | 0.27 |
Net realized and unrealized gains (losses) on investments | (0.79) | (0.10) | 0.56 | 0.67 | (0.43) | (0.12) |
Total from investment operations | (0.68) | 0.15 | 0.86 | 0.98 | (0.17) | 0.15 |
Distributions from: | ||||||
Net investment income | (0.13) | (0.26) | (0.31) | (0.31) | (0.29) | (0.28) |
Realized capital gains | (0.03) | — | — | — | —(B) | — |
Total distributions | (0.16) | (0.26) | (0.31) | (0.31) | (0.29) | (0.28) |
Net asset value at end of period | $10.27 | $11.11 | $11.22 | $10.67 | $10.00 | $10.46 |
Total return | (6.18%)(C) | 1.35% | 8.18% | 9.96% | (1.62%) | 1.43% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $74,256 | $92,882 | $90,235 | $90,336 | $165,937 | $79,648 |
Ratio to average net assets: | ||||||
Net expenses | 0.62%(D) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% |
Gross expenses | 0.68%(D) | 0.70% | 0.73% | 0.73% | 0.70% | 0.86% |
Net investment income | 1.98%(D) | 2.24% | 2.79% | 2.93% | 2.59% | 2.58% |
Portfolio turnover rate | 89%(C) | 144%(E) | 261% | 235% | 448%(F) | 496% |
Touchstone Active Bond Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $11.11 | $11.22 | $10.67 | $10.00 | $10.46 | $10.58 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.11(A) | 0.26(A) | 0.31(A) | 0.30 | 0.27 | 0.25 |
Net realized and unrealized gains (losses) on investments | (0.79) | (0.10) | 0.56 | 0.69 | (0.43) | (0.09) |
Total from investment operations | (0.68) | 0.16 | 0.87 | 0.99 | (0.16) | 0.16 |
Distributions from: | ||||||
Net investment income | (0.13) | (0.27) | (0.32) | (0.32) | (0.30) | (0.28) |
Realized capital gains | (0.03) | — | — | — | —(B) | — |
Total distributions | (0.16) | (0.27) | (0.32) | (0.32) | (0.30) | (0.28) |
Net asset value at end of period | $10.27 | $11.11 | $11.22 | $10.67 | $10.00 | $10.46 |
Total return | (6.14%)(C) | 1.43% | 8.23% | 10.06% | (1.54%) | 1.61% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $96,602 | $99,607 | $134,659 | $96,477 | $38,715 | $20,800 |
Ratio to average net assets: | ||||||
Net expenses | 0.54%(D) | 0.57% | 0.57% | 0.57% | 0.57% | 0.57% |
Gross expenses | 0.58%(D) | 0.61% | 0.63% | 0.66% | 0.66% | 0.87% |
Net investment income | 2.06%(D) | 2.32% | 2.87% | 3.01% | 2.67% | 2.66% |
Portfolio turnover rate | 89%(C) | 144%(E) | 261% | 235% | 448%(F) | 496% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share. |
(C) | Not annualized. |
(D) | Annualized. |
(E) | Portfolio turnover excludes the purchases and sales of securities of the AIG U.S. Government Securities Fund acquired on July 16, 2021. If these transactions were included, portfolio turnover would have been higher. |
(F) | Portfolio turnover excludes the purchases and sales of securities by the Sentinel Government Securities Fund and Sentinel Total Return Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Anti-Benchmark® International Core Equity Fund—Class Y | ||||
Selected Data for a Share Outstanding Throughout Each Period | ||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Period Ended September 30, 2019(A) | ||
2021 | 2020 | |||
Net asset value at beginning of period | $11.78 | $10.86 | $10.20 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income | 0.04(B) | 0.16 | 0.08 | 0.24 |
Net realized and unrealized gains (losses) on investments | (1.34) | 0.96 | 0.81 | (0.03) |
Total from investment operations | (1.30) | 1.12 | 0.89 | 0.21 |
Distributions from: | ||||
Net investment income | (0.35) | (0.20) | (0.23) | (0.01) |
Realized capital gains | (0.91) | — | — | — |
Total distributions | (1.26) | (0.20) | — | — |
Net asset value at end of period | $9.22 | $11.78 | $10.86 | $10.20 |
Total return | (11.86%)(C) | 10.32% | 8.74% | 2.13%(C) |
Ratios and supplemental data: | ||||
Net assets at end of period (000's) | $199 | $272 | $243 | $3 |
Ratio to average net assets: | ||||
Net expenses | 0.69%(D) | 0.69% | 0.69% | 0.69%(D) |
Gross expenses | 4.03%(D) | 3.40% | 9.11% | 373.97%(D) |
Net investment income | 0.72%(D) | 1.34% | 1.43% | 2.74%(D) |
Portfolio turnover rate | 40%(C) | 62% | 79% | 117%(C)(E) |
Touchstone Anti-Benchmark® International Core Equity Fund—Institutional Class | ||||
Selected Data for a Share Outstanding Throughout Each Period | ||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Period Ended September 30, 2019(A) | ||
2021 | 2020 | |||
Net asset value at beginning of period | $11.80 | $10.88 | $10.20 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income | 0.05(B) | 0.18 | 0.17 | 0.21 |
Net realized and unrealized gains (losses) on investments | (1.32) | 0.96 | 0.75 | — |
Total from investment operations | (1.27) | 1.14 | 0.92 | 0.21 |
Distributions from: | ||||
Net investment income | (0.46) | (0.22) | (0.24) | (0.01) |
Realized capital gains | (0.91) | — | — | — |
Total distributions | (1.37) | (0.22) | — | — |
Net asset value at end of period | $9.16 | $11.80 | $10.88 | $10.20 |
Total return | (11.69%)(C) | 10.43% | 9.00% | 2.14%(C) |
Ratios and supplemental data: | ||||
Net assets at end of period (000's) | $12,425 | $39,225 | $36,876 | $36,710 |
Ratio to average net assets: | ||||
Net expenses | 0.59%(D) | 0.59% | 0.59% | 0.59%(D) |
Gross expenses | 1.19%(D) | 0.97% | 0.96% | 1.13%(D) |
Net investment income | 0.82%(D) | 1.44% | 1.53% | 2.84%(D) |
Portfolio turnover rate | 40%(C) | 62% | 79% | 117%(C)(E) |
(A) | Represents the period from commencement of operations (November 19, 2018) through September 30, 2019. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Not annualized. |
(D) | Annualized. |
(E) | Portfolio turnover excludes securities received from processing a subscription-in-kind. |
Touchstone Credit Opportunities Fund—Class A | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Three Months Ended September 30, 2019(A) | Year Ended June 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Net asset value at beginning of period | $10.46 | $9.45 | $10.03 | $9.95 | $9.96 | $10.41 | $10.05 |
Income (loss) from investment operations: | |||||||
Net investment income | 0.21(B) | 0.47(B) | 0.57 | 0.20 | 0.52 | 0.49 | 0.45 |
Net realized and unrealized gains (losses) on investments | (0.45) | 1.07 | (0.61) | 0.04 | 0.12 | (0.13) | 0.45 |
Total from investment operations | (0.24) | 1.54 | (0.04) | 0.24 | 0.64 | 0.36 | 0.90 |
Distributions from: | |||||||
Net investment income | (0.19) | (0.53) | (0.54) | (0.12) | (0.54) | (0.53) | (0.47) |
Realized capital gains | (0.32) | — | — | (0.04) | (0.11) | (0.28) | (0.07) |
Total distributions | (0.51) | (0.53) | (0.54) | (0.16) | (0.65) | (0.81) | (0.54) |
Net asset value at end of period | $9.71 | $10.46 | $9.45 | $10.03 | $9.95 | $9.96 | $10.41 |
Total return(C) | (2.42%)(D) | 16.67% | (0.29%) | 1.40%(D) | 6.69% | 3.50% | 9.08% |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $135,644 | $141,422 | $5,597 | $7,239 | $226 | $153 | $45 |
Ratio to average net assets: | |||||||
Net expenses (including dividend and interest expense on securities sold short)(E) | 1.08%(F) | 1.09% | 1.18% | 1.18%(F) | 1.55% | 1.76% | 1.87% |
Gross expenses (including dividend and interest expense on securities sold short)(G) | 1.21%(F) | 1.32% | 1.61% | 2.55%(F) | 7.56% | 10.00% | 16.01% |
Net investment income | 4.12%(F) | 4.45% | 5.90% | 5.43%(F) | 5.46% | 5.00% | 4.44% |
Portfolio turnover rate | 39%(D) | 135%(H) | 115% | 28%(D)(I) | 94% | 70% | 84% |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short was 1.03%, 1.04%, 1.08%, 1.08%, 1.45%, 1.69% and 1.69% for the six months ended March 31, 2022, for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 1.16%, 1.27%, 1.51%, 2.45%, 7.46%, 9.93% and 15.83% for the six months ended March 31, 2022, for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Dynamic Diversified Income Fund and the AIG Senior Floating Rate Fund acquired on June 25, 2021 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
(I) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Credit Opportunities Fund—Class C | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Three Months Ended September 30, 2019(A) | Year Ended June 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Net asset value at beginning of period | $10.13 | $9.18 | $9.75 | $9.98 | $10.00 | $10.44 | $10.08 |
Income (loss) from investment operations: | |||||||
Net investment income | 0.18(B) | 0.40(B) | 0.52 | 0.19 | 0.43 | 0.44 | 0.34 |
Net realized and unrealized gains (losses) on investments | (0.43) | 1.02 | (0.62) | (0.27) | 0.14 | (0.15) | 0.48 |
Total from investment operations | (0.25) | 1.42 | (0.10) | (0.08) | 0.57 | 0.29 | 0.82 |
Distributions from: | |||||||
Net investment income | (0.17) | (0.47) | (0.47) | (0.11) | (0.48) | (0.45) | (0.39) |
Realized capital gains | (0.32) | — | — | (0.04) | (0.11) | (0.28) | (0.07) |
Total distributions | (0.49) | (0.47) | (0.47) | (0.15) | (0.59) | (0.73) | (0.46) |
Net asset value at end of period | $9.39 | $10.13 | $9.18 | $9.75 | $9.98 | $10.00 | $10.44 |
Total return(C) | (2.60%)(D) | 15.79% | (0.98%) | 1.15%(D) | 5.97% | 2.69% | 8.31% |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $25,818 | $31,605 | $2,246 | $4,538 | $127 | $22 | $22 |
Ratio to average net assets: | |||||||
Net expenses (including dividend and interest expense on securities sold short)(E) | 1.48%(F) | 1.56% | 1.93% | 1.93%(F) | 2.26% | 2.51% | 2.62% |
Gross expenses (including dividend and interest expense on securities sold short)(G) | 1.99%(F) | 2.17% | 2.61% | 3.62%(F) | 11.81% | 34.60% | 73.30% |
Net investment income | 3.72%(F) | 3.98% | 5.15% | 4.68%(F) | 4.75% | 4.25% | 3.69% |
Portfolio turnover rate | 39%(D) | 135%(H) | 115% | 28%(D)(I) | 94% | 70% | 84% |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short was 1.43%, 1.51%, 1.83%, 1.83%, 2.16%, 2.44% and 2.44% for the six months ended March 31, 2022, for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 1.94%, 2.12%, 2.51%, 3.52%, 11.71%, 34.53% and 73.12% for the six months ended March 31, 2022, for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Dynamic Diversified Income Fund and the AIG Senior Floating Rate Fund acquired on June 25, 2021 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
(I) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Credit Opportunities Fund—Class Y | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Three Months Ended September 30, 2019(A) | Year Ended June 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Net asset value at beginning of period | $10.61 | $9.57 | $10.16 | $9.95 | $9.96 | $10.41 | $10.04 |
Income (loss) from investment operations: | |||||||
Net investment income | 0.22(B) | 0.48(B) | 0.59 | 0.17 | 0.60 | 0.50 | 0.39 |
Net realized and unrealized gains (losses) on investments | (0.45) | 1.11 | (0.62) | 0.21 | 0.06 | (0.12) | 0.54 |
Total from investment operations | (0.23) | 1.59 | (0.03) | 0.38 | 0.66 | 0.38 | 0.93 |
Distributions from: | |||||||
Net investment income | (0.20) | (0.55) | (0.56) | (0.13) | (0.56) | (0.55) | (0.49) |
Realized capital gains | (0.32) | — | — | (0.04) | (0.11) | (0.28) | (0.07) |
Total distributions | (0.52) | (0.55) | (0.56) | (0.17) | (0.67) | (0.83) | (0.56) |
Net asset value at end of period | $9.86 | $10.61 | $9.57 | $10.16 | $9.95 | $9.96 | $10.41 |
Total return | (2.29%)(C) | 16.98% | (0.13%) | 1.54%(C) | 7.05% | 3.73% | 9.39% |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $149,694 | $101,613 | $36,558 | $47,483 | $11,356 | $444 | $315 |
Ratio to average net assets: | |||||||
Net expenses (including dividend and interest expense on securities sold short)(D) | 0.88%(E) | 0.88% | 0.93% | 0.93%(E) | 1.09% | 1.51% | 1.62% |
Gross expenses (including dividend and interest expense on securities sold short)(F) | 0.98%(E) | 1.07% | 1.20% | 1.60%(E) | 1.71% | 4.29% | 8.25% |
Net investment income | 4.32%(E) | 4.66% | 6.15% | 5.68%(E) | 5.93% | 5.25% | 4.69% |
Portfolio turnover rate | 39%(C) | 135%(G) | 115% | 28%(C)(H) | 94% | 70% | 84% |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short was 0.83%, 0.83%, 0.83%, 0.83%, 0.99%, 1.44% and 1.44% for the six months ended March 31, 2022, for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 0.93%, 1.02%, 1.10%, 1.50%, 1.61%, 4.22% and 8.07% for the six months ended March 31, 2022, for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(G) | Portfolio turnover excludes the purchases and sales of securities by the Dynamic Diversified Income Fund and the AIG Senior Floating Rate Fund acquired on June 25, 2021 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Credit Opportunities Fund—Institutional Class | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Three Months Ended September 30, 2019(A) | Year Ended June 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Net asset value at beginning of period | $10.68 | $9.63 | $10.22 | $9.95 | $9.96 | $10.41 | $10.05 |
Income (loss) from investment operations: | |||||||
Net investment income | 0.23(B) | 0.49(B) | 0.61 | 0.15 | 0.58 | 0.55 | 0.50 |
Net realized and unrealized gains (losses) on investments | (0.47) | 1.12 | (0.63) | 0.29 | 0.09 | (0.16) | 0.43 |
Total from investment operations | (0.24) | 1.61 | (0.02) | 0.44 | 0.67 | 0.39 | 0.93 |
Distributions from: | |||||||
Net investment income | (0.20) | (0.56) | (0.57) | (0.13) | (0.57) | (0.56) | (0.50) |
Realized capital gains | (0.32) | — | — | (0.04) | (0.11) | (0.28) | (0.07) |
Total distributions | (0.52) | (0.56) | (0.57) | (0.17) | (0.68) | (0.84) | (0.57) |
Net asset value at end of period | $9.92 | $10.68 | $9.63 | $10.22 | $9.95 | $9.96 | $10.41 |
Total return | (2.33%)(C) | 17.07% | (0.02%) | 1.57%(C) | 7.04% | 3.85% | 9.47% |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $4,202 | $2,627 | $42,982 | $48,158 | $47,531 | $51,715 | $53,150 |
Ratio to average net assets: | |||||||
Net expenses (including dividend and interest expense on securities sold short)(D) | 0.78%(E) | 0.78% | 0.83% | 0.83%(E) | 1.24% | 1.41% | 1.52% |
Gross expenses (including dividend and interest expense on securities sold short)(F) | 1.13%(E) | 0.97% | 1.06% | 1.36%(E) | 1.50% | 1.59% | 1.69% |
Net investment income | 4.42%(E) | 4.76% | 6.25% | 5.78%(E) | 5.78% | 5.35% | 4.79% |
Portfolio turnover rate | 39%(C) | 135%(G) | 115% | 28%(C)(H) | 94% | 70% | 84% |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short was 0.73%, 0.73%, 0.73%, 0.73%, 1.14%, 1.34% and 1.34% for the six months ended March 31, 2022, for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 1.08%, 0.92%, 0.96%, 1.26%, 1.40%, 1.52% and 1.51% for the six months ended March 31, 2022, for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(G) | Portfolio turnover excludes the purchases and sales of securities by the Dynamic Diversified Income Fund and the AIG Senior Floating Rate Fund acquired on June 25, 2021 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Dividend Equity Fund—Class A | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2022 (Unaudited) | For the Eleven Months Ended September 30, 2021(A) | Year Ended October 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |||
Net asset value at beginning of period | $16.88 | $14.12 | $17.17 | $17.55 | $18.81 | $16.66 | $17.61 |
Income (loss) from investment operations: | |||||||
Net investment income(B) | 0.14 | 0.29 | 0.55 | 0.50 | 0.47 | 0.45 | 0.51 |
Net realized and unrealized gains (losses) on investments | 1.15 | 2.83 | (2.42) | 0.39 | 0.15 | 2.28 | 0.12 |
Total from investment operations | 1.29 | 3.12 | (1.87) | 0.89 | 0.62 | 2.73 | 0.63 |
Distributions from: | |||||||
Net investment income | (0.16) | (0.36) | (0.60) | (0.49) | (0.44) | (0.54) | (0.42) |
Realized capital gains | (0.31) | — | (0.58) | (0.78) | (1.44) | (0.04) | (1.16) |
Total distributions | (0.47) | (0.36) | (1.18) | (1.27) | (1.88) | (0.58) | (1.58) |
Net asset value at end of period | $17.70 | $16.88 | $14.12 | $17.17 | $17.55 | $18.81 | $16.66 |
Total return(C) | 7.62%(D) | 22.13%(D) | (11.33%) | 5.42% | 3.03% | 16.57% | 4.38% |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $1,749,120 | $1,737,804 | $1,666,379 | $2,381,987 | $3,570,189 | $4,598,192 | $4,849,219 |
Ratio to average net assets: | |||||||
Net expenses | 0.99%(E) | 1.09%(E) | 1.09% | 1.05% | 1.04% | 1.04% | 1.05% |
Gross expenses | 0.99%(E) | 1.09%(E) | 1.09% | 1.05% | 1.04% | 1.04% | 1.05% |
Net investment income | 1.59%(E) | 1.91%(E) | 3.60% | 2.90% | 2.57% | 2.52% | 3.16% |
Portfolio turnover rate | 7%(D) | 83%(D)(F) | 68% | 37% | 38% | 45% | 60% |
(A) | The Fund changed its fiscal year end from October 31 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | Portfolio turnover excludes the purchases and sales of securities by the AIG Select Dividend Growth Fund acquired on July 16, 2021. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Dividend Equity Fund—Class C | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2022 (Unaudited) | For the Eleven Months Ended September 30, 2021(A) | Year Ended October 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |||
Net asset value at beginning of period | $16.74 | $13.99 | $17.00 | $17.38 | $18.65 | $16.53 | $17.48 |
Income (loss) from investment operations: | |||||||
Net investment income(B) | 0.08 | 0.19 | 0.47 | 0.38 | 0.35 | 0.33 | 0.40 |
Net realized and unrealized gains (losses) on investments | 1.13 | 2.80 | (2.40) | 0.39 | 0.14 | 2.26 | 0.13 |
Total from investment operations | 1.21 | 2.99 | (1.93) | 0.77 | 0.49 | 2.59 | 0.53 |
Distributions from: | |||||||
Net investment income | (0.09) | (0.24) | (0.50) | (0.37) | (0.32) | (0.43) | (0.32) |
Realized capital gains | (0.31) | — | (0.58) | (0.78) | (1.44) | (0.04) | (1.16) |
Total distributions | (0.40) | (0.24) | (1.08) | (1.15) | (1.76) | (0.47) | (1.48) |
Net asset value at end of period | $17.55 | $16.74 | $13.99 | $17.00 | $17.38 | $18.65 | $16.53 |
Total return(C) | 7.24%(D) | 21.38%(D) | (11.89%) | 4.78% | 2.31% | 15.80% | 3.75% |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $686,159 | $806,336 | $1,117,141 | $2,421,728 | $3,142,587 | $3,682,928 | $3,628,575 |
Ratio to average net assets: | |||||||
Net expenses | 1.69%(E) | 1.75%(E) | 1.74% | 1.70% | 1.69% | 1.69% | 1.70% |
Gross expenses | 1.76%(E) | 1.77%(E) | 1.74% | 1.70% | 1.69% | 1.69% | 1.70% |
Net investment income | 0.89%(E) | 1.27%(E) | 2.99% | 2.27% | 1.92% | 1.87% | 2.51% |
Portfolio turnover rate | 7%(D) | 83%(D)(F) | 68% | 37% | 38% | 45% | 60% |
(A) | The Fund changed its fiscal year end from October 31 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | Portfolio turnover excludes the purchases and sales of securities by the AIG Select Dividend Growth Fund acquired on July 16, 2021. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Dividend Equity Fund—Class Y | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2022 (Unaudited) | For the Eleven Months Ended September 30, 2021(A)(B) | Year Ended October 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |||
Net asset value at beginning of period | $16.85 | $14.10 | $17.14 | $17.52 | $18.79 | $16.65 | $17.60 |
Income (loss) from investment operations: | |||||||
Net investment income(C) | 0.16 | 0.33 | 0.61 | 0.53 | 0.51 | 0.47 | 0.53 |
Net realized and unrealized gains (losses) on investments | 1.15 | 2.81 | (2.44) | 0.39 | 0.15 | 2.29 | 0.14 |
Total from investment operations | 1.31 | 3.14 | (1.83) | 0.92 | 0.66 | 2.76 | 0.67 |
Distributions from: | |||||||
Net investment income | (0.18) | (0.39) | (0.63) | (0.52) | (0.49) | (0.58) | (0.46) |
Realized capital gains | (0.31) | — | (0.58) | (0.78) | (1.44) | (0.04) | (1.16) |
Total distributions | (0.49) | (0.39) | (1.21) | (1.30) | (1.93) | (0.62) | (1.62) |
Net asset value at end of period | $17.67 | $16.85 | $14.10 | $17.14 | $17.52 | $18.79 | $16.65 |
Total return | 7.76%(D) | 22.33%(D) | (11.11%) | 5.66% | 3.21% | 16.80% | 4.60% |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $1,051,384 | $1,161,841 | $1,691,794 | $4,094,116 | $5,289,972 | $5,499,586 | $3,523,472 |
Ratio to average net assets: | |||||||
Net expenses | 0.74%(E) | 0.88%(E) | 0.88% | 0.85% | 0.84% | 0.84% | 0.85% |
Gross expenses | 0.74%(E) | 0.88%(E) | 0.88% | 0.85% | 0.84% | 0.84% | 0.85% |
Net investment income | 1.84%(E) | 2.14%(E) | 3.83% | 3.13% | 2.77% | 2.67% | 3.30% |
Portfolio turnover rate | 7%(D) | 83%(D)(F) | 68% | 37% | 38% | 45% | 60% |
(A) | Effective July 16, 2021, Class W shares of the AIG Focused Dividend Strategy Fund were reorganized into Class Y shares of the Fund. |
(B) | The Fund changed its fiscal year end from October 31 to September 30. |
(C) | The net investment income per share was based on average shares outstanding for the period. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | Portfolio turnover excludes the purchases and sales of securities by the AIG Select Dividend Growth Fund acquired on July 16, 2021. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Dividend Equity Fund—Institutional Class | ||
Selected Data for a Share Outstanding Throughout Each Period | ||
Six Months Ended March 31, 2022 (Unaudited) | Period Ended September 30, 2021(A) | |
Net asset value at beginning of period | $16.84 | $17.02 |
Income (loss) from investment operations: | ||
Net investment income(B) | 0.17 | 0.07 |
Net realized and unrealized gains (losses) on investments | 1.14 | (0.17) |
Total from investment operations | 1.31 | (0.10) |
Distributions from: | ||
Net investment income | (0.18) | (0.08) |
Realized capital gains | (0.31) | — |
Total distributions | (0.49) | (0.08) |
Net asset value at end of period | $17.66 | $16.84 |
Total return | 7.74%(C) | (0.61%)(C) |
Ratios and supplemental data: | ||
Net assets at end of period (000's) | $564 | $313 |
Ratio to average net assets: | ||
Net expenses | 0.67%(D) | 0.67%(D) |
Gross expenses | 1.51%(D) | 3.37%(D) |
Net investment income | 1.91%(D) | 2.01%(D) |
Portfolio turnover rate | 7%(C) | 83%(C)(E) |
Touchstone Dividend Equity Fund—Class R6 | ||
Selected Data for a Share Outstanding Throughout Each Period | ||
Six Months Ended March 31, 2022 (Unaudited) | Period Ended September 30, 2021(F) | |
Net asset value at beginning of period | $16.84 | $17.34 |
Income (loss) from investment operations: | ||
Net investment income(B) | 0.16 | 0.06 |
Net realized and unrealized gains (losses) on investments | 1.16 | (0.48) |
Total from investment operations | 1.32 | (0.42) |
Distributions from: | ||
Net investment income | (0.19) | (0.08) |
Realized capital gains | (0.31) | — |
Total distributions | (0.50) | (0.08) |
Net asset value at end of period | $17.66 | $16.84 |
Total return | 7.82%(C) | (2.44%)(C) |
Ratios and supplemental data: | ||
Net assets at end of period (000's) | $49 | $2 |
Ratio to average net assets: | ||
Net expenses | 0.65%(D) | 0.65%(D) |
Gross expenses | 54.98%(D) | 359.78%(D) |
Net investment income | 1.93%(D) | 2.26%(D) |
Portfolio turnover rate | 7%(C) | 83%(C)(E) |
(A) | Represents the period from commencement of operations (July 19, 2021) through September 30, 2021. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Not annualized. |
(D) | Annualized. |
(E) | Portfolio turnover excludes the purchases and sales of securities by the AIG Select Dividend Growth Fund acquired on July 16, 2021. If these transactions were included, portfolio turnover would have been higher. |
(F) | Represents the period from commencement of operations (August 2, 2021) through September 30, 2021. |
Touchstone High Yield Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $8.33 | $7.86 | $8.27 | $8.12 | $8.43 | $8.21 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.17 | 0.36 | 0.39 | 0.40 | 0.41 | 0.39 |
Net realized and unrealized gains (losses) on investments | (0.48) | 0.48 | (0.41) | 0.16 | (0.31) | 0.21 |
Total from investment operations | (0.31) | 0.84 | (0.02) | 0.56 | 0.10 | 0.60 |
Distributions from: | ||||||
Net investment income | (0.18) | (0.37) | (0.39) | (0.41) | (0.41) | (0.38) |
Net asset value at end of period | $7.84 | $8.33 | $7.86 | $8.27 | $8.12 | $8.43 |
Total return(A) | (3.80%)(B) | 10.84% | (0.13%) | 7.08% | 1.24% | 7.45% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $15,888 | $15,081 | $14,578 | $14,642 | $12,457 | $16,925 |
Ratio to average net assets: | ||||||
Net expenses | 1.05%(C) | 1.05% | 1.05% | 1.05% | 1.05% | 1.05% |
Gross expenses | 1.25%(C) | 1.21% | 1.25% | 1.28% | 1.29% | 1.24% |
Net investment income | 4.04%(C) | 4.35% | 4.84% | 4.95% | 4.76% | 4.63% |
Portfolio turnover rate | 34%(B) | 96% | 89% | 63% | 59% | 69% |
Touchstone High Yield Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $8.31 | $7.84 | $8.25 | $8.10 | $8.41 | $8.19 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.15 | 0.26 | 0.29 | 0.34 | 0.34 | 0.33 |
Net realized and unrealized gains (losses) on investments | (0.49) | 0.52 | (0.37) | 0.16 | (0.30) | 0.21 |
Total from investment operations | (0.34) | 0.78 | (0.08) | 0.50 | 0.04 | 0.54 |
Distributions from: | ||||||
Net investment income | (0.15) | (0.31) | (0.33) | (0.35) | (0.35) | (0.32) |
Net asset value at end of period | $7.82 | $8.31 | $7.84 | $8.25 | $8.10 | $8.41 |
Total return(A) | (4.17%)(B) | 10.07% | (0.89%) | 6.31% | 0.50% | 6.68% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $966 | $835 | $1,250 | $4,582 | $9,444 | $13,025 |
Ratio to average net assets: | ||||||
Net expenses | 1.80%(C) | 1.80% | 1.80% | 1.80% | 1.80% | 1.80% |
Gross expenses | 2.70%(C) | 2.83% | 2.35% | 2.10% | 2.00% | 1.97% |
Net investment income | 3.29%(C) | 3.60% | 4.09% | 4.20% | 4.01% | 3.88% |
Portfolio turnover rate | 34%(B) | 96% | 89% | 63% | 59% | 69% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Not annualized. |
(C) | Annualized. |
Touchstone High Yield Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $8.58 | $8.09 | $8.52 | $8.35 | $8.67 | $8.44 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.20 | 0.39 | 0.44 | 0.47 | 0.44 | 0.43 |
Net realized and unrealized gains (losses) on investments | (0.50) | 0.50 | (0.45) | 0.14 | (0.32) | 0.21 |
Total from investment operations | (0.30) | 0.89 | (0.01) | 0.61 | 0.12 | 0.64 |
Distributions from: | ||||||
Net investment income | (0.19) | (0.40) | (0.42) | (0.44) | (0.44) | (0.41) |
Net asset value at end of period | $8.09 | $8.58 | $8.09 | $8.52 | $8.35 | $8.67 |
Total return | (3.57%)(A) | 11.18% | 0.02% | 7.52% | 1.44% | 7.74% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $29,899 | $36,447 | $33,694 | $44,030 | $63,983 | $75,435 |
Ratio to average net assets: | ||||||
Net expenses | 0.80%(B) | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% |
Gross expenses | 0.95%(B) | 0.89% | 0.89% | 0.91% | 0.88% | 0.90% |
Net investment income | 4.29%(B) | 4.60% | 5.09% | 5.20% | 5.01% | 4.88% |
Portfolio turnover rate | 34%(A) | 96% | 89% | 63% | 59% | 69% |
Touchstone High Yield Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $8.58 | $8.09 | $8.51 | $8.35 | $8.66 | $8.43 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.18 | 0.40 | 0.43 | 0.44 | 0.44 | 0.42 |
Net realized and unrealized gains (losses) on investments | (0.49) | 0.50 | (0.42) | 0.16 | (0.30) | 0.22 |
Total from investment operations | (0.31) | 0.90 | 0.01 | 0.60 | 0.14 | 0.64 |
Distributions from: | ||||||
Net investment income | (0.19) | (0.41) | (0.43) | (0.44) | (0.45) | (0.41) |
Net asset value at end of period | $8.08 | $8.58 | $8.09 | $8.51 | $8.35 | $8.66 |
Total return | (3.65%)(A) | 11.27% | 0.21% | 7.47% | 1.63% | 7.70% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $72,597 | $87,056 | $135,974 | $135,328 | $111,705 | $112,503 |
Ratio to average net assets: | ||||||
Net expenses | 0.72%(B) | 0.72% | 0.72% | 0.72% | 0.72% | 0.72% |
Gross expenses | 0.81%(B) | 0.75% | 0.75% | 0.77% | 0.76% | 0.75% |
Net investment income | 4.37%(B) | 4.68% | 5.17% | 5.28% | 5.09% | 4.96% |
Portfolio turnover rate | 34%(A) | 96% | 89% | 63% | 59% | 69% |
(A) | Not annualized. |
(B) | Annualized. |
Touchstone Impact Bond Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $10.57 | $10.80 | $10.44 | $9.77 | $10.13 | $10.38 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.08 | 0.15 | 0.19 | 0.23 | 0.22 | 0.18 |
Net realized and unrealized gains (losses) on investments | (0.73) | (0.21) | 0.37 | 0.69 | (0.33) | (0.17) |
Total from investment operations | (0.65) | (0.06) | 0.56 | 0.92 | (0.11) | 0.01 |
Distributions from: | ||||||
Net investment income | (0.11) | (0.17) | (0.20) | (0.25) | (0.25) | (0.26) |
Net asset value at end of period | $9.81 | $10.57 | $10.80 | $10.44 | $9.77 | $10.13 |
Total return(A) | (6.21%)(B) | (0.57%) | 5.46% | 9.59% | (1.07%) | 0.15% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $16,418 | $17,997 | $16,509 | $10,083 | $5,697 | $5,137 |
Ratio to average net assets: | ||||||
Net expenses | 0.76%(C) | 0.84% | 0.85% | 0.85% | 0.85% | 0.85% |
Gross expenses | 0.88%(C) | 0.93% | 1.03% | 1.19% | 1.30% | 1.22% |
Net investment income | 1.50%(C) | 1.43% | 1.83% | 2.28% | 2.25% | 1.98% |
Portfolio turnover rate | 8%(B) | 24% | 21% | 22% | 40% | 18% |
Touchstone Impact Bond Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $10.56 | $10.79 | $10.43 | $9.75 | $10.12 | $10.36 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.04 | 0.07 | 0.12 | 0.16 | 0.16 | 0.11 |
Net realized and unrealized gains (losses) on investments | (0.73) | (0.21) | 0.37 | 0.70 | (0.35) | (0.17) |
Total from investment operations | (0.69) | (0.14) | 0.49 | 0.86 | (0.19) | (0.06) |
Distributions from: | ||||||
Net investment income | (0.07) | (0.09) | (0.13) | (0.18) | (0.18) | (0.18) |
Net asset value at end of period | $9.80 | $10.56 | $10.79 | $10.43 | $9.75 | $10.12 |
Total return(A) | (6.57%)(B) | (1.32%) | 4.69% | 8.89% | (1.94%) | (0.51%) |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $1,595 | $1,635 | $1,737 | $1,475 | $1,087 | $1,876 |
Ratio to average net assets: | ||||||
Net expenses | 1.51%(C) | 1.59% | 1.60% | 1.60% | 1.60% | 1.60% |
Gross expenses | 2.34%(C) | 2.37% | 2.55% | 2.94% | 2.78% | 2.30% |
Net investment income | 0.75%(C) | 0.68% | 1.08% | 1.53% | 1.50% | 1.23% |
Portfolio turnover rate | 8%(B) | 24% | 21% | 22% | 40% | 18% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Not annualized. |
(C) | Annualized. |
Touchstone Impact Bond Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $10.59 | $10.82 | $10.45 | $9.78 | $10.15 | $10.39 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.09 | 0.19 | 0.22 | 0.26 | 0.24 | 0.24 |
Net realized and unrealized gains (losses) on investments | (0.74) | (0.22) | 0.38 | 0.69 | (0.33) | (0.19) |
Total from investment operations | (0.65) | (0.03) | 0.60 | 0.95 | (0.09) | 0.05 |
Distributions from: | ||||||
Net investment income | (0.12) | (0.20) | (0.23) | (0.28) | (0.28) | (0.29) |
Net asset value at end of period | $9.82 | $10.59 | $10.82 | $10.45 | $9.78 | $10.15 |
Total return | (6.18%)(A) | (0.32%) | 5.81% | 9.84% | (0.92%) | 0.50% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $198,342 | $199,280 | $145,821 | $95,218 | $54,895 | $37,233 |
Ratio to average net assets: | ||||||
Net expenses | 0.51%(B)(C) | 0.59% | 0.60% | 0.60% | 0.60% | 0.60% |
Gross expenses | 0.50%(B) | 0.60% | 0.64% | 0.68% | 0.67% | 0.73% |
Net investment income | 1.75%(B) | 1.68% | 2.08% | 2.53% | 2.50% | 2.23% |
Portfolio turnover rate | 8%(A) | 24% | 21% | 22% | 40% | 18% |
Touchstone Impact Bond Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $10.59 | $10.82 | $10.45 | $9.78 | $10.14 | $10.39 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.10 | 0.19 | 0.23 | 0.27 | 0.26 | 0.25 |
Net realized and unrealized gains (losses) on investments | (0.74) | (0.21) | 0.38 | 0.69 | (0.33) | (0.20) |
Total from investment operations | (0.64) | (0.02) | 0.61 | 0.96 | (0.07) | 0.05 |
Distributions from: | ||||||
Net investment income | (0.13) | (0.21) | (0.24) | (0.29) | (0.29) | (0.30) |
Net asset value at end of period | $9.82 | $10.59 | $10.82 | $10.45 | $9.78 | $10.14 |
Total return | (6.13%)(A) | (0.22%) | 5.92% | 9.95% | (0.72%) | 0.51% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $228,640 | $216,914 | $227,734 | $207,462 | $191,224 | $222,013 |
Ratio to average net assets: | ||||||
Net expenses | 0.41%(B) | 0.49% | 0.50% | 0.50% | 0.50% | 0.50% |
Gross expenses | 0.47%(B) | 0.57% | 0.59% | 0.60% | 0.60% | 0.60% |
Net investment income | 1.85%(B) | 1.78% | 2.18% | 2.63% | 2.60% | 2.33% |
Portfolio turnover rate | 8%(A) | 24% | 21% | 22% | 40% | 18% |
(A) | Not annualized. |
(B) | Annualized. |
(C) | Net expenses include amounts recouped or eligible for recoupment by the Advisor. |
Touchstone Impact Bond Fund—Class R6 | |
Selected Data for a Share Outstanding Throughout The Period | |
Period Ended March 31, 2022 (Unaudited)(A) | |
Net asset value at beginning of period | $10.51 |
Income (loss) from investment operations: | |
Net investment income | 0.06 |
Net realized and unrealized losses on investments | (0.64) |
Total from investment operations | (0.58) |
Distributions from: | |
Net investment income | (0.11) |
Net asset value at end of period | $9.82 |
Total return | (5.53%)(B) |
Ratios and supplemental data: | |
Net assets at end of period (000's) | $2 |
Ratio to average net assets: | |
Net expenses | 0.37%(C) |
Gross expenses | 427.85%(C) |
Net investment income | 1.89%(C) |
Portfolio turnover rate | 8%(B) |
(A) | Represents the period from commencement of operations (November 22, 2021) through March 31, 2022. |
(B) | Not annualized. |
(C) | Annualized. |
Touchstone International ESG Equity Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.10 | $7.44 | $8.50 | $9.58 | $9.40 | $8.77 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.05 | 0.12 | 0.03 | 0.15 | 0.24 | 0.25 |
Net realized and unrealized gains (losses) on investments | (0.59) | 1.57 | 0.62 | (0.29) | 0.35 | 0.62 |
Total from investment operations | (0.54) | 1.69 | 0.65 | (0.14) | 0.59 | 0.87 |
Distributions from: | ||||||
Net investment income | (0.12) | (0.03) | (0.02) | (0.17) | (0.23) | (0.24) |
Realized capital gains | (0.50) | — | (1.69) | (0.77) | (0.18) | — |
Total distributions | (0.62) | (0.03) | (1.71) | (0.94) | (0.41) | (0.24) |
Net asset value at end of period | $7.94 | $9.10 | $7.44 | $8.50 | $9.58 | $9.40 |
Total return(A) | (6.46%)(B) | 22.73% | 7.93% | (0.81%) | 6.41% | 10.10% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $9,435 | $10,218 | $11,719 | $10,333 | $11,984 | $22,725 |
Ratio to average net assets: | ||||||
Net expenses | 1.17%(C) | 1.17% | 1.17% | 1.20% | 1.20% | 1.20% |
Gross expenses | 1.58%(C) | 1.64% | 1.81% | 1.52% | 1.41% | 1% |
Net investment income | 1.34%(C) | 1.06% | 0.68% | 1.71% | 2.16% | 2.69% |
Portfolio turnover rate | 9%(B) | 52% | 80% | 123% | 68% | 39% |
Touchstone International ESG Equity Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.01 | $7.40 | $8.48 | $9.57 | $9.39 | $8.75 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.01 | — | (0.03) | 0.09 | 0.14 | 0.17 |
Net realized and unrealized gains (losses) on investments | (0.58) | 1.61 | 0.64 | (0.30) | 0.38 | 0.64 |
Total from investment operations | (0.57) | 1.61 | 0.61 | (0.21) | 0.52 | 0.81 |
Distributions from: | ||||||
Net investment income | — | — | (—)(D) | (0.11) | (0.16) | (0.17) |
Realized capital gains | (0.50) | — | (1.69) | (0.77) | (0.18) | — |
Total distributions | (0.50) | — | (1.69) | (0.88) | (0.34) | (0.17) |
Net asset value at end of period | $7.94 | $9.01 | $7.40 | $8.48 | $9.57 | $9.39 |
Total return(A) | (6.80%)(B) | 21.76% | 7.35% | (1.61%) | 5.62% | 9.42% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $1,925 | $2,727 | $4,066 | $10,691 | $19,455 | $22,324 |
Ratio to average net assets: | ||||||
Net expenses | 1.95%(C) | 1.95% | 1.95% | 1.95% | 1.95% | 1.95% |
Gross expenses | 2.67%(C) | 2.56% | 2.56% | 2.16% | 2.07% | 2.05% |
Net investment income (loss) | 0.56%(C) | 0.28% | (0.10%) | 1.05% | 1.41% | 1.94% |
Portfolio turnover rate | 9%(B) | 52% | 80% | 123% | 68% | 39% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Less than $0.005 per share. |
Touchstone International ESG Equity Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.09 | $7.43 | $8.47 | $9.55 | $9.38 | $8.75 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.07 | 0.10 | 0.07 | 0.18 | 0.23 | 0.26 |
Net realized and unrealized gains (losses) on investments | (0.59) | 1.61 | 0.61 | (0.30) | 0.37 | 0.63 |
Total from investment operations | (0.52) | 1.71 | 0.68 | (0.12) | 0.60 | 0.89 |
Distributions from: | ||||||
Net investment income | (0.12) | (0.05) | (0.03) | (0.19) | (0.25) | (0.26) |
Realized capital gains | (0.50) | — | (1.69) | (0.77) | (0.18) | — |
Total distributions | (0.62) | (0.05) | (1.72) | (0.96) | (0.43) | (0.26) |
Net asset value at end of period | $7.95 | $9.09 | $7.43 | $8.47 | $9.55 | $9.38 |
Total return | (6.33%)(A) | 23.07% | 8.32% | (0.57%) | 6.59% | 10.41% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $20,404 | $20,434 | $11,550 | $16,554 | $56,185 | $75,763 |
Ratio to average net assets: | ||||||
Net expenses | 0.90%(B) | 0.90% | 0.90% | 0.95% | 0.95% | 0.95% |
Gross expenses | 1.26%(B) | 1.34% | 1.49% | 1.09% | 0.99% | 1.00% |
Net investment income | 1.61%(B) | 1.33% | 0.95% | 2.17% | 2.41% | 2.94% |
Portfolio turnover rate | 9%(A) | 52% | 80% | 123% | 68% | 39% |
Touchstone International ESG Equity Fund—Institutional Class | ||||
Selected Data for a Share Outstanding Throughout Each Period | ||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Period Ended September 30, 2019(C) | ||
2021 | 2020 | |||
Net asset value at beginning of period | $9.10 | $7.43 | $8.48 | $8.05(D) |
Income (loss) from investment operations: | ||||
Net investment income (loss) | 0.14 | 0.12 | 0.07 | (0.01) |
Net realized and unrealized gains (losses) on investments | (0.67) | 1.60 | 0.60 | 0.45 |
Total from investment operations | (0.53) | 1.72 | 0.67 | 0.44 |
Distributions from: | ||||
Net investment income | (0.14) | (0.05) | (0.03) | (0.01) |
Realized capital gains | (0.50) | — | (1.69) | — |
Total distributions | (0.64) | (0.05) | (1.72) | (0.01) |
Net asset value at end of period | $7.93 | $9.10 | $7.43 | $8.48 |
Total return | (6.39%)(A) | 23.21% | 8.30% | 5.46%(A) |
Ratios and supplemental data: | ||||
Net assets at end of period (000's) | $7,706 | $4 | $3 | $3 |
Ratio to average net assets: | ||||
Net expenses | 0.89%(B) | 0.89% | 0.89% | 0.89%(B) |
Gross expenses | 1.22%(B) | 255.65% | 314.41% | 2,643.52%(B) |
Net investment income (loss) | 1.62%(B) | 1.34% | 0.96% | (0.97%)(B) |
Portfolio turnover rate | 9%(A) | 52% | 80% | 123%(A) |
(A) | Not annualized. |
(B) | Annualized. |
(C) | Represents the period from commencement of operations (November 16, 2018) through September 30, 2019. |
(D) | Net asset value at the beginning of period is based on the net asset value of Class Y shares on August 23, 2019. |
Touchstone Mid Cap Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $46.47 | $39.04 | $38.87 | $34.99 | $30.50 | $25.91 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.05)(A) | (0.07)(A) | 0.03(A) | 0.05 | 0.01(A) | (0.02)(A) |
Net realized and unrealized gains (losses) on investments | (0.20) | 8.33 | 1.27 | 5.00 | 4.79 | 4.69 |
Total from investment operations | (0.25) | 8.26 | 1.30 | 5.05 | 4.80 | 4.67 |
Distributions from: | ||||||
Net investment income | (0.15) | (0.13) | (0.24) | (0.02) | — | (0.08) |
Realized capital gains | (1.21) | (0.70) | (0.89) | (1.15) | (0.31) | — |
Total distributions | (1.36) | (0.83) | (1.13) | (1.17) | (0.31) | (0.08) |
Net asset value at end of period | $44.86 | $46.47 | $39.04 | $38.87 | $34.99 | $30.50 |
Total return(B) | (0.70%)(C) | 21.34% | 3.32% | 15.34% | 15.83% | 18.08% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $140,064 | $137,477 | $103,964 | $61,772 | $36,824 | $34,761 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.21%(E) | 1.22% | 1.21% | 1.23% | 1.24% | 1.24% |
Gross expenses (including liquidity provider expenses)(F) | 1.21%(E) | 1.23% | 1.29% | 1.36% | 1.35% | 1.36% |
Net investment income (loss) | (0.20%)(E) | (0.15%) | 0.08% | 0.19% | 0.04% | (0.09%) |
Portfolio turnover rate | 6%(C)(G) | 21%(G) | 18% | 25% | 46% | 19% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A was 1.18% and 1.21% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A was 1.18% and 1.22% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $43.00 | $36.38 | $36.34 | $33.01 | $29.02 | $24.76 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.20)(A) | (0.36)(A) | (0.23)(A) | (0.17) | (0.22)(A) | (0.22)(A) |
Net realized and unrealized gains (losses) on investments | (0.17) | 7.74 | 1.16 | 4.65 | 4.52 | 4.48 |
Total from investment operations | (0.37) | 7.38 | 0.93 | 4.48 | 4.30 | 4.26 |
Distributions from: | ||||||
Net investment income | (0.07) | (0.06) | — | — | — | — |
Realized capital gains | (1.21) | (0.70) | (0.89) | (1.15) | (0.31) | — |
Total distributions | (1.28) | (0.76) | — | — | — | — |
Net asset value at end of period | $41.35 | $43.00 | $36.38 | $36.34 | $33.01 | $29.02 |
Total return(B) | (1.02%)(C) | 20.47% | 2.54% | 14.48% | 14.91% | 17.21% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $81,340 | $90,388 | $78,959 | $66,855 | $56,274 | $57,224 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.93%(E) | 1.93% | 1.96% | 1.98% | 1.99% | 1.99% |
Gross expenses (including liquidity provider expenses)(F) | 1.93%(E) | 1.93% | 2.00% | 2.07% | 2.08% | 2.11% |
Net investment loss | (0.91%)(E) | (0.86%) | (0.67%) | (0.56%) | (0.71%) | (0.84%) |
Portfolio turnover rate | 6%(C)(G) | 21%(G) | 18% | 25% | 46% | 19% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class C was1.90% and 1.92% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class C was 1.90% and 1.92% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $47.18 | $39.55 | $39.33 | $35.33 | $30.77 | $26.14 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.02(A) | 0.05(A) | 0.12(A) | 0.14 | 0.10(A) | 0.05(A) |
Net realized and unrealized gains (losses) on investments | (0.20) | 8.44 | 1.28 | 5.05 | 4.82 | 4.74 |
Total from investment operations | (0.18) | 8.49 | 1.40 | 5.19 | 4.92 | 4.79 |
Distributions from: | ||||||
Net investment income | (0.18) | (0.16) | (0.29) | (0.04) | (0.05) | (0.16) |
Realized capital gains | (1.21) | (0.70) | (0.89) | (1.15) | (0.31) | — |
Total distributions | (1.39) | (0.86) | (1.18) | (1.19) | (0.36) | (0.16) |
Net asset value at end of period | $45.61 | $47.18 | $39.55 | $39.33 | $35.33 | $30.77 |
Total return | (0.55%)(B) | 21.64% | 3.57% | 15.62% | 16.09% | 18.40% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $3,185,820 | $3,258,367 | $2,443,232 | $1,194,001 | $712,578 | $551,794 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(C) | 0.95%(D)(E) | 0.97%(E) | 0.96% | 0.98% | 0.99% | 0.99% |
Gross expenses (including liquidity provider expenses)(F) | 0.94%(D) | 0.93% | 1.00% | 1.07% | 1.05% | 1.08% |
Net investment income | 0.07%(D) | 0.10% | 0.33% | 0.44% | 0.29% | 0.16% |
Portfolio turnover rate | 6%(B)(G) | 21%(G) | 18% | 25% | 46% | 19% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Y was 0.92% and 0.96% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(D) | Annualized. |
(E) | Net expenses include amounts recouped or eligible for recoupment by the Advisor. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Y was 0.91% and 0.92% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Fund—Class Z | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $46.12 | $38.75 | $38.62 | $34.78 | $30.32 | $25.75 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.05)(A) | (—)(A)(B) | 0.03(A) | 0.05 | 0.01(A) | (0.02)(A) |
Net realized and unrealized gains (losses) on investments | (0.19) | 8.20 | 1.25 | 4.96 | 4.76 | 4.67 |
Total from investment operations | (0.24) | 8.20 | 1.28 | 5.01 | 4.77 | 4.65 |
Distributions from: | ||||||
Net investment income | (0.15) | (0.13) | (0.26) | (0.02) | — | (0.08) |
Realized capital gains | (1.21) | (0.70) | (0.89) | (1.15) | (0.31) | — |
Total distributions | (1.36) | (0.83) | (1.15) | (1.17) | (0.31) | (0.08) |
Net asset value at end of period | $44.52 | $46.12 | $38.75 | $38.62 | $34.78 | $30.32 |
Total return | (0.69%)(C) | 21.33% | 3.30% | 15.32% | 15.83% | 18.08% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $47,369 | $54,368 | $77,184 | $61,657 | $20,464 | $19,312 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.24%(E) | 1.22% | 1.21% | 1.22% | 1.24% | 1.24% |
Gross expenses (including liquidity provider expenses)(F) | 1.26%(E) | 1.25% | 1.30% | 1.37% | 1.40% | 1.44% |
Net investment income (loss) | (0.22%)(E) | (0.15%) | 0.08% | 0.19% | 0.04% | (0.09%) |
Portfolio turnover rate | 6%(C)(G) | 21%(G) | 18% | 25% | 46% | 19% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses Class Z was 1.21% and 1.21% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Z was 1.23% and 1.24% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $47.34 | $39.64 | $39.41 | $35.38 | $30.81 | $26.18 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.03(A) | 0.10(A) | 0.15(A) | 0.15 | 0.12(A) | 0.07(A) |
Net realized and unrealized gains (losses) on investments | (0.20) | 8.46 | 1.29 | 5.08 | 4.83 | 4.74 |
Total from investment operations | (0.17) | 8.56 | 1.44 | 5.23 | 4.95 | 4.81 |
Distributions from: | ||||||
Net investment income | (0.19) | (0.16) | (0.32) | (0.05) | (0.07) | (0.18) |
Realized capital gains | (1.21) | (0.70) | (0.89) | (1.15) | (0.31) | — |
Total distributions | (1.40) | (0.86) | (1.21) | (1.20) | (0.38) | (0.18) |
Net asset value at end of period | $45.77 | $47.34 | $39.64 | $39.41 | $35.38 | $30.81 |
Total return | (0.52%)(B) | 21.80% | 3.64% | 15.71% | 16.18% | 18.50% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $528,937 | $676,846 | $1,142,677 | $245,418 | $129,284 | $113,867 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(C) | 0.88%(D) | 0.85%(E) | 0.89%(E) | 0.91% | 0.92% | 0.92% |
Gross expenses (including liquidity provider expenses)(F) | 0.88%(D) | 0.84% | 0.89% | 0.97% | 0.97% | 0.98% |
Net investment income | 0.14%(D) | 0.22% | 0.40% | 0.51% | 0.36% | 0.23% |
Portfolio turnover rate | 6%(B)(G) | 21%(G) | 18% | 25% | 46% | 19% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.85% and 0.84% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(D) | Annualized. |
(E) | Net expenses include amounts recouped by the Advisor. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.85% and 0.83% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Fund—Class R6 | ||
Selected Data for a Share Outstanding Throughout Each Period | ||
Six Months Ended March 31, 2022 (Unaudited) | Period Ended September 30, 2021(A) | |
Net asset value at beginning of period | $47.35 | $45.92 |
Income (loss) from investment operations: | ||
Net investment income | 0.05(B) | 0.07(B) |
Net realized and unrealized gains (losses) on investments | (0.20) | 1.36 |
Total from investment operations | (0.15) | 1.43 |
Distributions from: | ||
Net investment income | (0.19) | — |
Realized capital gains | (1.21) | — |
Total distributions | (1.40) | — |
Net asset value at end of period | $45.80 | $47.35 |
Total return | (0.49%)(C) | 3.11%(C) |
Ratios and supplemental data: | ||
Net assets at end of period (000's) | $693,251 | $612,500 |
Ratio to average net assets: | ||
Net expenses (including liquidity provider expenses)(D) | 0.82%(E) | 0.80%(E) |
Gross expenses (including liquidity provider expenses)(F) | 0.82%(E) | 0.82%(E) |
Net investment income | 0.20%(E) | 0.27%(E) |
Portfolio turnover rate | 6%(C)(G) | 21%(C)(G) |
(A) | Represents the period from commencement of operations (February 22, 2021) through September 30, 2021. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class R6 was 0.79% and 0.79% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class R6 was 0.79% and 0.81% for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Value Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $23.62 | $16.71 | $17.91 | $18.71 | $19.36 | $17.49 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.07 | 0.01(A) | 0.09 | 0.12 | 0.07 | 0.04 |
Net realized and unrealized gains (losses) on investments | 1.67 | 6.93 | (1.20) | (0.06) | 0.48 | 2.47 |
Total from investment operations | 1.74 | 6.94 | (1.11) | 0.06 | 0.55 | 2.51 |
Distributions from: | ||||||
Net investment income | (0.13) | (0.03) | (0.09) | (0.10) | (0.06) | (0.03) |
Realized capital gains | (1.49) | — | — | (0.76) | (1.14) | (0.61) |
Total distributions | (1.62) | (0.03) | (0.09) | (0.86) | (1.20) | (0.64) |
Net asset value at end of period | $23.74 | $23.62 | $16.71 | $17.91 | $18.71 | $19.36 |
Total return(B) | 7.49%(C) | 41.59% | (6.20%) | 0.81% | 2.80% | 14.62% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $15,574 | $13,605 | $9,864 | $10,866 | $17,217 | $21,001 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.22%(E) | 1.23% | 1.22% | 1.22% | 1.25% | 1.27% |
Gross expenses (including liquidity provider expenses)(F) | 1.42%(E) | 1.55% | 1.59% | 1.53% | 1.48% | 1.47% |
Net investment income | 0.65%(E) | 0.06% | 0.50% | 0.59% | 0.32% | 0.19% |
Portfolio turnover rate | 15%(C) | 33%(G) | 37% | 34% | 31% | 43% |
Touchstone Mid Cap Value Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $22.73 | $16.17 | $17.37 | $18.20 | $18.94 | $17.23 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.02) | (0.15)(A) | (0.24) | (0.12) | (0.13) | (0.06) |
Net realized and unrealized gains (losses) on investments | 1.60 | 6.71 | (0.96) | 0.05 | 0.53 | 2.38 |
Total from investment operations | 1.58 | 6.56 | (1.20) | (0.07) | 0.40 | 2.32 |
Distributions from: | ||||||
Realized capital gains | (1.49) | — | — | (0.76) | (1.14) | (0.61) |
Net asset value at end of period | $22.82 | $22.73 | $16.17 | $17.37 | $18.20 | $18.94 |
Total return(B) | 7.07%(C) | 40.57% | (6.91%) | 0.06% | 2.04% | 13.78% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $4,115 | $4,167 | $3,296 | $5,378 | $7,755 | $10,758 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.97%(E) | 1.98% | 1.97% | 1.97% | 2.01% | 2.02% |
Gross expenses (including liquidity provider expenses)(F) | 2.26%(E) | 2.36% | 2.57% | 2.40% | 2.31% | 2.33% |
Net investment loss | (0.10%)(E) | (0.69%) | (0.25%) | (0.17%) | (0.43%) | (0.56%) |
Portfolio turnover rate | 15%(C) | 33%(G) | 37% | 34% | 31% | 43% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A was 1.22% and for Class C was 1.97% for the year ended September 30, 2021. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A was 1.54% and for Class C was 2.35% for the year ended September 30, 2021. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Value Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $23.75 | $16.78 | $17.99 | $18.79 | $19.45 | $17.57 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.11 | 0.07(A) | 0.12 | 0.14 | 0.11 | 0.08 |
Net realized and unrealized gains (losses) on investments | 1.67 | 6.96 | (1.20) | (0.04) | 0.48 | 2.49 |
Total from investment operations | 1.78 | 7.03 | (1.08) | 0.10 | 0.59 | 2.57 |
Distributions from: | ||||||
Net investment income | (0.16) | (0.06) | (0.13) | (0.14) | (0.11) | (0.08) |
Realized capital gains | (1.49) | — | — | (0.76) | (1.14) | (0.61) |
Total distributions | (1.65) | (0.06) | (0.13) | (0.90) | (1.25) | (0.69) |
Net asset value at end of period | $23.88 | $23.75 | $16.78 | $17.99 | $18.79 | $19.45 |
Total return | 7.61%(B) | 41.97% | (5.97%) | 1.08% | 3.00% | 14.91% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $414,200 | $400,865 | $299,596 | $286,407 | $337,247 | $322,979 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(C) | 0.97%(D) | 0.98% | 0.97% | 0.97% | 1.00% | 1.02% |
Gross expenses (including liquidity provider expenses)(E) | 1.13%(D) | 1.16% | 1.22% | 1.19% | 1.05% | 1.10% |
Net investment income | 0.90%(D) | 0.31% | 0.75% | 0.84% | 0.57% | 0.43% |
Portfolio turnover rate | 15%(B) | 33%(F) | 37% | 34% | 31% | 43% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Y was 0.97% for the year ended September 30, 2021. |
(D) | Annualized. |
(E) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Y was 1.15% for the year ended September 30, 2021. |
(F) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Value Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $23.88 | $16.87 | $18.09 | $18.89 | $19.54 | $17.64 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.12 | 0.10(A) | 0.15 | 0.17 | 0.12 | 0.09 |
Net realized and unrealized gains (losses) on investments | 1.68 | 7.00 | (1.22) | (0.04) | 0.50 | 2.52 |
Total from investment operations | 1.80 | 7.10 | (1.07) | 0.13 | 0.62 | 2.61 |
Distributions from: | ||||||
Net investment income | (0.17) | (0.09) | (0.15) | (0.17) | (0.13) | (0.10) |
Realized capital gains | (1.49) | — | — | (0.76) | (1.14) | (0.61) |
Total distributions | (1.66) | (0.09) | (0.15) | (0.93) | (1.27) | (0.71) |
Net asset value at end of period | $24.02 | $23.88 | $16.87 | $18.09 | $18.89 | $19.54 |
Total return | 7.68%(B) | 42.16% | (5.86%) | 1.20% | 3.17% | 15.04% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $489,534 | $456,557 | $370,247 | $453,198 | $431,412 | $334,083 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(C) | 0.84%(D) | 0.85% | 0.84% | 0.84% | 0.87% | 0.89% |
Gross expenses (including liquidity provider expenses)(E) | 0.94%(D) | 0.97% | 0.98% | 0.97% | 0.99% | 1.01% |
Net investment income | 1.03%(D) | 0.44% | 0.88% | 0.97% | 0.70% | 0.57% |
Portfolio turnover rate | 15%(B) | 33%(F) | 37% | 34% | 31% | 43% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.84% for the year ended September 30, 2021. |
(D) | Annualized. |
(E) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.96% for the year ended September 30, 2021. |
(F) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Sands Capital Select Growth Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $20.61 | $17.22 | $13.12 | $17.73 | $16.58 | $16.14 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.08) | (0.19)(A) | (0.11)(A) | (0.06) | (0.21) | (0.34) |
Net realized and unrealized gains (losses) on investments | (5.05) | 5.43 | 6.58 | (0.72) | 4.72 | 2.94 |
Total from investment operations | (5.13) | 5.24 | 6.47 | (0.78) | 4.51 | 2.60 |
Distributions from: | ||||||
Realized capital gains | (2.16) | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) |
Net asset value at end of period | $13.32 | $20.61 | $17.22 | $13.12 | $17.73 | $16.58 |
Total return(B) | (27.36%)(C) | 32.30% | 58.43% | (1.75%) | 33.03% | 19.63% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $566,908 | $841,243 | $163,697 | $89,299 | $97,583 | $89,860 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.07%(E) | 1.06%(F) | 1.25%(F) | 1.44% | 1.43% | 1.23% |
Gross expenses (including liquidity provider expenses)(G) | 1.07%(E) | 1.06% | 1.24% | 1.44% | 1.43% | 1.25% |
Net investment loss | (0.95%)(E) | (0.96%) | (0.85%) | (1.23%) | (1.28%) | (0.95%) |
Portfolio turnover rate | 15%(C)(H) | 35%(H)(I) | 41%(H) | 25%(H) | 21%(H) | 22% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A were 1.05%, 1.04%, 1.22%, 1.40% and 1.42% for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(E) | Annualized. |
(F) | Net expenses include amounts recouped by the Advisor. |
(G) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A were 1.05%, 1.04%, 1.21%, 1.40% and 1.42% for the six month ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019 and 2018, respectively |
(H) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(I) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Sands Capital Select Growth Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $16.95 | $14.57 | $11.52 | $16.20 | $15.51 | $15.36 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.11) | (0.28)(A) | (0.18)(A) | (0.51) | (0.24) | (0.79) |
Net realized and unrealized gains (losses) on investments | (4.06) | 4.51 | 5.60 | (0.34) | 4.29 | 3.10 |
Total from investment operations | (4.17) | 4.23 | 5.42 | (0.85) | 4.05 | 2.31 |
Distributions from: | ||||||
Realized capital gains | (2.16) | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) |
Net asset value at end of period | $10.62 | $16.95 | $14.57 | $11.52 | $16.20 | $15.51 |
Total return(B) | (27.63%)(C) | 31.14% | 57.27% | (2.44%) | 32.11% | 18.77% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $41,418 | $75,082 | $36,065 | $50,079 | $80,444 | $73,516 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.76%(E) | 1.86% | 2.01% | 2.19% | 2.18% | 1.98% |
Gross expenses (including liquidity provider expenses)(F) | 1.87%(E) | 1.87% | 2.04% | 2.21% | 2.19% | 2.01% |
Net investment loss | (1.65%)(E) | (1.75%) | (1.56%) | (1.98%) | (2.03%) | (1.70%) |
Portfolio turnover rate | 15%(C)(G) | 35%(G)(H) | 41%(G) | 25%(G) | 21%(G) | 22% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class C were 1.74%, 1.84%, 1.98%, 2.15% and 2.17% for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class C were 1.85%, 1.85%, 2.01%, 2.17% and 2.18% for the six month ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019 and 2018, respectively |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Sands Capital Select Growth Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $22.86 | $18.89 | $14.14 | $18.73 | $17.29 | $16.70 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.07) | (0.16)(A) | (0.09)(A) | (0.14) | (0.18) | (0.10) |
Net realized and unrealized gains (losses) on investments | (5.66) | 5.98 | 7.21 | (0.62) | 4.98 | 2.85 |
Total from investment operations | (5.73) | 5.82 | 7.12 | (0.76) | 4.80 | 2.75 |
Distributions from: | ||||||
Realized capital gains | (2.16) | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) |
Net asset value at end of period | $14.97 | $22.86 | $18.89 | $14.14 | $18.73 | $17.29 |
Total return | (27.29%)(B) | 32.53% | 58.86% | (1.45%) | 33.36% | 19.89% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $1,152,102 | $1,784,643 | $1,565,333 | $1,089,979 | $1,556,324 | $1,775,755 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(C) | 0.84%(D) | 0.85% | 1.00%(E) | 1.19%(E) | 1.18%(E) | 0.98% |
Gross expenses (including liquidity provider expenses)(F) | 0.84%(D) | 0.85% | 0.99% | 1.18% | 1.17% | 0.99% |
Net investment loss | (0.73%)(D) | (0.74%) | (0.58%) | (0.98%) | (1.03%) | (0.70%) |
Portfolio turnover rate | 15%(B)(G) | 35%(G)(H) | 41%(G) | 25%(G) | 21%(G) | 22% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Y were 0.82%, 0.83%, 0.97%, 1.15% and 1.17% for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(D) | Annualized. |
(E) | Net expenses include amounts recouped by the Advisor. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Y were 0.82%, 0.83%, 0.96%, 1.14% and 1.16% for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Sands Capital Select Growth Fund—Class Z | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $20.63 | $17.25 | $13.14 | $17.75 | $16.58 | $16.15 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.09) | (0.20)(A) | (0.11)(A) | (0.17) | (0.20) | (0.32) |
Net realized and unrealized gains (losses) on investments | (5.05) | 5.43 | 6.59 | (0.61) | 4.73 | 2.91 |
Total from investment operations | (5.14) | 5.23 | 6.48 | (0.78) | 4.53 | 2.59 |
Distributions from: | ||||||
Realized capital gains | (2.16) | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) |
Net asset value at end of period | $13.33 | $20.63 | $17.25 | $13.14 | $17.75 | $16.58 |
Total return | (27.38%)(B) | 32.17% | 58.42% | (1.69%) | 33.10% | 19.62% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $368,484 | $570,206 | $491,741 | $458,996 | $611,071 | $556,651 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(C) | 1.16%(D)(E) | 1.16%(E) | 1.24% | 1.43% | 1.42% | 1.22% |
Gross expenses (including liquidity provider expenses)(F) | 1.15%(D) | 1.16% | 1.31% | 1.49% | 1.47% | 1.28% |
Net investment loss | (1.05%)(D) | (1.05%) | (0.82%) | (1.22%) | (1.27%) | (0.94%) |
Portfolio turnover rate | 15%(B)(G) | 35%(G)(H) | 41%(G) | 25%(G) | 21%(G) | 22% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Z were 1.14%, 1.14%, 1.21%, 1.39% and 1.41% for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(D) | Annualized. |
(E) | Net expenses include amounts recouped or eligible for recoupment by the Advisor. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Z were 1.13%, 1.14%, 1.28%, 1.45% and 1.46% for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Sands Capital Select Growth Fund—Institutional Class | |||
Selected Data for a Share Outstanding Throughout Each Period | |||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Period Ended September 30, 2020(A) | |
Net asset value at beginning of period | $22.88 | $18.89 | $19.81(B) |
Income (loss) from investment operations: | |||
Net investment loss | (0.07) | (0.15)(C) | (0.01)(C) |
Net realized and unrealized gains (losses) on investments | (5.66) | 5.99 | (0.91) |
Total from investment operations | (5.73) | 5.84 | (0.92) |
Distributions from: | |||
Realized capital gains | (2.16) | (1.85) | — |
Net asset value at end of period | $14.99 | $22.88 | $18.89 |
Total return | (27.26%)(D) | 32.65% | (4.64%)(D) |
Ratios and supplemental data: | |||
Net assets at end of period (000's) | $1,746,761 | $2,582,030 | $2 |
Ratio to average net assets: | |||
Net expenses (including liquidity provider expenses)(E) | 0.79%(F) | 0.79%(G) | 0.81%(F) |
Gross expenses (including liquidity provider expenses)(H) | 0.79%(F) | 0.79% | 1,344.66%(F) |
Net investment loss | (0.68%)(F) | (0.69%) | (0.81%)(F) |
Portfolio turnover rate | 15%(D)(I) | 35%(I)(J) | 41%(I) |
(A) | Represents the period from commencement of operations (September 1, 2020) through September 30, 2020. |
(B) | Net asset value at the beginning of period is based on the net asset value of Class Y shares on September 1, 2020. |
(C) | The net investment income per share was based on average shares outstanding for the period. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.77%, 0.77% and 0.78% for the six months ended March 31, 2022 and the year ended September 30, 2021 and the period ended September 30, 2020, respectively. |
(F) | Annualized. |
(G) | Net expenses include amounts recouped by the Advisor. |
(H) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.77%, 0.77% and 1344.63% for the six months ended March 31, 2022 and the years ended September 30, 2021 and the period ended September 30, 2020, respectively. |
(I) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(J) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Sands Capital Select Growth Fund—Class R6 | |||
Selected Data for a Share Outstanding Throughout Each Period | |||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Period Ended September 30, 2020(A) | |
Net asset value at beginning of period | $22.88 | $18.89 | $19.81(B) |
Income (loss) from investment operations: | |||
Net investment loss | (0.06) | (0.14)(C) | (0.01)(C) |
Net realized and unrealized gains (losses) on investments | (5.67) | 5.98 | (0.91) |
Total from investment operations | (5.73) | 5.84 | (0.92) |
Distributions from: | |||
Realized capital gains | (2.16) | (1.85) | — |
Net asset value at end of period | $14.99 | $22.88 | $18.89 |
Total return | (27.26%)(D) | 32.65% | (4.64%)(D) |
Ratios and supplemental data: | |||
Net assets at end of period (000's) | $467,525 | $498,994 | $2 |
Ratio to average net assets: | |||
Net expenses (including liquidity provider expenses)(E) | 0.74%(F) | 0.74% | 0.75%(F) |
Gross expenses (including liquidity provider expenses)(G) | 0.75%(F) | 0.75% | 3.55%(F) |
Net investment loss | (0.63%)(F) | (0.65%) | (0.73%)(F) |
Portfolio turnover rate | 15%(D)(H) | 35%(H)(I) | 41%(H) |
(A) | Represents the period from commencement of operations (September 1, 2020) through September 30, 2020. |
(B) | Net asset value at the beginning of period is based on the net asset value of Class Y shares on September 1, 2020. |
(C) | The net investment income per share was based on average shares outstanding for the period. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class R6 was 0.72%, 0.72% and 0.72% for the six months ended March 31, 2022 and the year ended September 30, 2021 and the period ended September 30, 2020, respectively. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class R6 was 0.73%, 0.73% and 3.52% for the six months ended March 31, 2022 and the years ended September 30, 2021 and the period ended September 30, 2020, respectively. |
(H) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(I) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Small Cap Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $14.05 | $10.29 | $12.35 | $16.24 | $17.73 | $16.24 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.01)(A) | 0.05(A) | 0.01(A) | —(B) | 0.32(A)(C) | 0.02 |
Net realized and unrealized gains (losses) on investments | 0.20 | 3.91 | (0.98) | (0.49) | 1.52 | 1.47 |
Total from investment operations | 0.19 | 3.96 | (0.97) | (0.49) | 1.84 | 1.49 |
Distributions from: | ||||||
Net investment income | (0.03) | — | — | — | (0.34) | — |
Realized capital gains | (1.78) | (0.20) | (1.09) | (3.40) | (2.99) | — |
Total distributions | (1.81) | (0.20) | (1.09) | (3.40) | (3.33) | — |
Net asset value at end of period | $12.43 | $14.05 | $10.29 | $12.35 | $16.24 | $17.73 |
Total return(D) | 0.67%(E) | 38.68% | (8.92%) | 0.22% | 12.14% | 9.17% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $4,953 | $5,266 | $4,313 | $3,750 | $8,142 | $12,461 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(F) | 1.24%(G) | 1.27% | 1.27% | 1.39% | 1.39% | 1.38% |
Gross expenses (including liquidity provider expenses)(H) | 1.72%(G) | 1.78% | 2.09% | 2.01% | 1.65% | 1.52% |
Net investment income (loss) | (0.09%)(G) | 0.39% | 0.08% | 0.02% | 1.99%(C) | —(B) |
Portfolio turnover rate | 5%(E)(I) | 33%(I) | 22%(I) | 17%(I) | 29%(I) | 18% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share or 0.005%. |
(C) | Includes impact of special dividend from Alexander & Baldwin Inc. in January, 2018 as part of the company's conversion to a real estate investment trust. This special dividend enhanced the net investment income per share and ratio of net investment income for Class A by $0.34 and 2.10%, respectively. |
(D) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(E) | Not annualized. |
(F) | The ratio of net expenses to average net assets excluding liquidity provider expenses was 1.24%, 1.24%, 1.34% and 1.38% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(G) | Annualized. |
(H) | The ratio of gross expenses to average net assets excluding liquidity provider expenses was 1.75%, 2.06%, 1.96% and 1.64% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(I) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Small Cap Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $12.69 | $9.38 | $11.41 | $15.40 | $16.94 | $15.63 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.05)(A) | (0.04)(A) | (0.07)(A) | (0.10) | 0.19(A)(B) | (0.31) |
Net realized and unrealized gains (losses) on investments | 0.18 | 3.55 | (0.87) | (0.49) | 1.45 | 1.62 |
Total from investment operations | 0.13 | 3.51 | (0.94) | (0.59) | 1.64 | 1.31 |
Distributions from: | ||||||
Net investment income | (0.01) | — | — | — | (0.19) | — |
Realized capital gains | (1.78) | (0.20) | (1.09) | (3.40) | (2.99) | — |
Total distributions | (1.79) | (0.20) | (1.09) | (3.40) | (3.18) | — |
Net asset value at end of period | $11.03 | $12.69 | $9.38 | $11.41 | $15.40 | $16.94 |
Total return(C) | 0.28%(D) | 37.62% | (9.43%) | (0.58%) | 11.33% | 8.38% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $210 | $197 | $295 | $3,356 | $6,299 | $9,266 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(E) | 1.99%(F) | 2.02% | 2.02% | 2.14% | 2.14% | 2.13% |
Gross expenses (including liquidity provider expenses)(G) | 7.05%(F) | 4.51% | 3.10% | 2.64% | 2.40% | 2.28% |
Net investment income (loss) | (0.84%)(F) | (0.36%) | (0.68%) | (0.73%) | 1.24%(B) | (0.75%) |
Portfolio turnover rate | 5%(D)(H) | 33%(H) | 22%(H) | 17%(H) | 29%(H) | 18% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Includes impact of special dividend from Alexander & Baldwin Inc. in January, 2018 as part of the company's conversion to a real estate investment trust. This special dividend enhanced the net investment income per share and ratio of net investment income for Class C by $0.34 and 2.10%, respectively. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding liquidity provider expenses was 1.99%, 1.99%, 2.09% and 2.13% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding liquidity provider expenses was 4.48%, 3.07%, 2.59% and 2.39% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(H) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Small Cap Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $14.28 | $10.52 | $12.59 | $16.45 | $17.94 | $16.44 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.01(A) | 0.09(A) | 0.04(A) | 0.04 | 0.37(A)(B) | 0.05 |
Net realized and unrealized gains (losses) on investments | 0.20 | 3.98 | (1.00) | (0.50) | 1.53 | 1.50 |
Total from investment operations | 0.21 | 4.07 | (0.96) | (0.46) | 1.90 | 1.55 |
Distributions from: | ||||||
Net investment income | (0.04) | (0.11) | (0.02) | — | (0.40) | (0.05) |
Realized capital gains | (1.78) | (0.20) | (1.09) | (3.40) | (2.99) | — |
Total distributions | (1.82) | (0.31) | (1.11) | (3.40) | (3.39) | (0.05) |
Net asset value at end of period | $12.67 | $14.28 | $10.52 | $12.59 | $16.45 | $17.94 |
Total return | 0.80%(C) | 39.02% | (8.65%) | 0.44% | 12.44% | 9.46% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $55,002 | $49,842 | $35,573 | $34,709 | $51,218 | $84,954 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 0.99%(E) | 1.02% | 1.02% | 1.14% | 1.14% | 1.13% |
Gross expenses (including liquidity provider expenses)(F) | 1.21%(E) | 1.25% | 1.32% | 1.31% | 1.17% | 1.15% |
Net investment income | 0.16%(E) | 0.64% | 0.33% | 0.27% | 2.24%(B) | 0.25% |
Portfolio turnover rate | 5%(C)(G) | 33%(G) | 22%(G) | 17%(G) | 29%(G) | 18% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Includes impact of special dividend from Alexander & Baldwin Inc. in January, 2018 as part of the company’s conversion to a real estate investment trust. This special dividend enhanced the net investment income per share and ratio of net investment income for Class Y by $0.34 and 2.10%, respectively. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses was 0.99%, 0.99%, 1.09% and 1.13% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses was 1.22%, 1.29%, 1.26% and 1.16% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Small Cap Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $14.23 | $10.49 | $12.55 | $16.40 | $17.93 | $16.43 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.02(A) | 0.10(A) | 0.04(A) | 0.06 | 0.38(A)(B) | 0.16 |
Net realized and unrealized gains (losses) on investments | 0.19 | 3.97 | (0.97) | (0.51) | 1.53 | 1.41 |
Total from investment operations | 0.21 | 4.07 | (0.93) | (0.45) | 1.91 | 1.57 |
Distributions from: | ||||||
Net investment income | (0.04) | (0.13) | (0.04) | — | (0.45) | (0.07) |
Realized capital gains | (1.78) | (0.20) | (1.09) | (3.40) | (2.99) | — |
Total distributions | (1.82) | (0.33) | (1.13) | (3.40) | (3.44) | (0.07) |
Net asset value at end of period | $12.62 | $14.23 | $10.49 | $12.55 | $16.40 | $17.93 |
Total return | 0.82%(C) | 39.13% | (8.57%) | 0.54% | 12.52% | 9.57% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $37,393 | $39,656 | $33,201 | $36,691 | $93,636 | $122,876 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 0.91%(E) | 0.94% | 0.94% | 1.06% | 1.06% | 1.05% |
Gross expenses (including liquidity provider expenses)(F) | 1.13%(E) | 1.16% | 1.21% | 1.20% | 1.10% | 1.05% |
Net investment income | 0.24%(E) | 0.72% | 0.41% | 0.35% | 2.32%(B) | 0.34% |
Portfolio turnover rate | 5%(C)(G) | 33%(G) | 22%(G) | 17%(G) | 29%(G) | 18% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Includes impact of special dividend from Alexander & Baldwin Inc. in January, 2018 as part of the company’s conversion to a real estate investment trust. This special dividend enhanced the net investment income per share and ratio of net investment income for Institutional Class by $0.34 and 2.10%, respectively. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses was 0.91%, 0.91%, 1.01% and 1.05% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses was 1.13%, 1.18%, 1.15% and 1.09% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Small Cap Value Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $32.49 | $20.63 | $24.00 | $27.91 | $26.06 | $22.20 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.06(A) | (—)(A) | 0.03(A) | 0.11 | 0.02 | 0.03 |
Net realized and unrealized gains (losses) on investments | 0.95 | 11.98 | (3.34) | (2.29) | 1.83 | 3.85 |
Total from investment operations | 1.01 | 11.98 | (3.31) | (2.18) | 1.85 | 3.88 |
Distributions from: | ||||||
Net investment income | (0.13) | (0.08) | (0.04) | (0.03) | —(B) | (0.02) |
Realized capital gains | — | — | — | (1.70) | — | — |
Return of capital | — | (0.04) | (0.02) | — | — | — |
Total distributions | (0.13) | (0.12) | (0.06) | (1.73) | —(B) | (0.02) |
Net asset value at end of period | $33.37 | $32.49 | $20.63 | $24.00 | $27.91 | $26.06 |
Total return(C) | 3.08%(D) | 57.95% | (13.83%) | (7.37%) | 7.12% | 17.46% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $24,869 | $24,620 | $16,552 | $24,389 | $83,139 | $76,884 |
Ratio to average net assets: | ||||||
Net expenses | 1.38%(E) | 1.38% | 1.38% | 1.38% | 1.38% | 1.38% |
Gross expenses | 1.53%(E) | 1.55% | 1.58% | 1.68% | 1.75% | 1.83% |
Net investment income (loss) | 0.33%(E) | (0.02%) | 0.12% | 0.19% | 0.09% | 0.07% |
Portfolio turnover rate | 12%(D) | 29% | 41% | 28% | 49%(F)(G) | 63%(F) |
Touchstone Small Cap Value Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $31.06 | $19.84 | $23.21 | $27.22 | $25.60 | $21.95 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.07)(A) | (0.22)(A) | (0.13)(A) | (0.41) | (0.11) | (0.22) |
Net realized and unrealized gains (losses) on investments | 0.92 | 11.50 | (3.22) | (1.90) | 1.73 | 3.87 |
Total from investment operations | 0.85 | 11.28 | (3.35) | (2.31) | 1.62 | 3.65 |
Distributions from: | ||||||
Net investment income | (0.06) | (0.04) | (0.02) | — | — | — |
Realized capital gains | — | — | — | (1.70) | — | — |
Return of capital | — | (0.02) | —(B) | — | — | — |
Total distributions | (0.06) | (0.06) | (0.02) | (1.70) | — | — |
Net asset value at end of period | $31.85 | $31.06 | $19.84 | $23.21 | $27.22 | $25.60 |
Total return(C) | 2.68%(D) | 56.81% | (14.46%) | (8.07%) | 6.29% | 16.63% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $436 | $562 | $453 | $788 | $1,433 | $1,223 |
Ratio to average net assets: | ||||||
Net expenses | 2.13%(E) | 2.13% | 2.13% | 2.13% | 2.13% | 2.13% |
Gross expenses | 3.92%(E) | 3.71% | 4.50% | 3.57% | 3.66% | 3.69% |
Net investment loss | (0.42%)(E) | (0.77%) | (0.63%) | (0.56%) | (0.66%) | (0.68%) |
Portfolio turnover rate | 12%(D) | 29% | 41% | 28% | 49%(F)(G) | 63%(F) |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(G) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Small Cap Value Opportunities Fund acquired on September 21, 2018. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Small Cap Value Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $32.61 | $20.67 | $24.05 | $27.96 | $26.14 | $22.24 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.10(A) | 0.07(A) | 0.08(A) | 0.10 | 0.15 | 0.06 |
Net realized and unrealized gains (losses) on investments | 0.95 | 12.01 | (3.34) | (2.23) | 1.78 | 3.88 |
Total from investment operations | 1.05 | 12.08 | (3.26) | (2.13) | 1.93 | 3.94 |
Distributions from: | ||||||
Net investment income | (0.15) | (0.09) | (0.09) | (0.08) | (0.11) | (0.04) |
Realized capital gains | — | — | — | (1.70) | — | — |
Return of capital | — | (0.05) | (0.03) | — | — | — |
Total distributions | (0.15) | (0.14) | (0.12) | (1.78) | (0.11) | (0.04) |
Net asset value at end of period | $33.51 | $32.61 | $20.67 | $24.05 | $27.96 | $26.14 |
Total return | 3.19%(B) | 58.32% | (13.60%) | (7.16%) | 7.41% | 17.80% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $40,858 | $41,793 | $28,435 | $24,921 | $41,365 | $2,829 |
Ratio to average net assets: | ||||||
Net expenses | 1.13%(C) | 1.13% | 1.13% | 1.13% | 1.13% | 1.13% |
Gross expenses | 1.23%(C) | 1.26% | 1.31% | 1.30% | 1.71% | 1.95% |
Net investment income | 0.58%(C) | 0.23% | 0.37% | 0.44% | 0.34% | 0.32% |
Portfolio turnover rate | 12%(B) | 29% | 41% | 28% | 49%(D)(E) | 63%(D) |
Touchstone Small Cap Value Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $32.67 | $20.68 | $24.04 | $27.94 | $26.14 | $22.22 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.12(A) | 0.11(A) | 0.12(A) | 0.18 | 0.28 | (0.06) |
Net realized and unrealized gains (losses) on investments | 0.96 | 12.03 | (3.33) | (2.27) | 1.69 | 4.04 |
Total from investment operations | 1.08 | 12.14 | (3.21) | (2.09) | 1.97 | 3.98 |
Distributions from: | ||||||
Net investment income | (0.16) | (0.10) | (0.11) | (0.11) | (0.17) | (0.06) |
Realized capital gains | — | — | — | (1.70) | — | — |
Return of capital | — | (0.05) | (0.04) | — | — | — |
Total distributions | (0.16) | (0.15) | (0.15) | (1.81) | (0.17) | (0.06) |
Net asset value at end of period | $33.59 | $32.67 | $20.68 | $24.04 | $27.94 | $26.14 |
Total return | 3.29%(B) | 58.59% | (13.42%) | (6.98%) | 7.53% | 17.93% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $9,786 | $9,176 | $7,825 | $40,104 | $29,279 | $7,699 |
Ratio to average net assets: | ||||||
Net expenses | 0.98%(C) | 0.98% | 0.98% | 0.98% | 0.98% | 0.98% |
Gross expenses | 1.22%(C) | 1.25% | 1.19% | 1.17% | 1.27% | 1.52% |
Net investment income | 0.73%(C) | 0.38% | 0.52% | 0.59% | 0.49% | 0.47% |
Portfolio turnover rate | 12%(B) | 29% | 41% | 28% | 49%(D)(E) | 63%(D) |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(E) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Small Cap Value Opportunities Fund acquired on September 21, 2018. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Ultra Short Duration Fixed Income Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.02 | 0.04 | 0.18 | 0.23 | 0.16 | 0.13 |
Net realized and unrealized gains (losses) on investments | (0.09) | 0.02 | (0.06) | 0.04 | (0.01) | (0.02) |
Total from investment operations | (0.07) | 0.06 | 0.12 | 0.27 | 0.15 | 0.11 |
Distributions from: | ||||||
Net investment income | (0.04) | (0.08) | (0.18) | (0.23) | (0.19) | (0.14) |
Net asset value at end of period | $9.10 | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 |
Total return(A) | (0.71%)(B) | 0.67% | 1.32% | 2.95% | 1.50% | 1.29% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $144,110 | $144,172 | $124,233 | $71,684 | $76,623 | $14,080 |
Ratio to average net assets: | ||||||
Net expenses | 0.69%(C) | 0.69% | 0.69% | 0.69% | 0.69% | 0.69% |
Gross expenses | 0.73%(C) | 0.74% | 0.80% | 0.80% | 0.81% | 0.90% |
Net investment income | 0.44%(C) | 0.40% | 1.84% | 2.43% | 1.88% | 1.40% |
Portfolio turnover rate | 38%(B) | 113% | 72% | 91% | 143%(D) | 136% |
Touchstone Ultra Short Duration Fixed Income Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.21 | $9.24 | $9.29 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.01) | (0.01) | 0.12 | 0.18 | 0.13 | 0.08 |
Net realized and unrealized gains (losses) on investments | (0.08) | 0.02 | (0.04) | 0.04 | (0.03) | (0.02) |
Total from investment operations | (0.09) | 0.01 | 0.08 | 0.22 | 0.10 | 0.06 |
Distributions from: | ||||||
Net investment income | (0.02) | (0.04) | (0.13) | (0.18) | (0.14) | (0.09) |
Net asset value at end of period | $9.10 | $9.21 | $9.24 | $9.29 | $9.25 | $9.29 |
Total return(A) | (0.96%)(B) | 0.07% | 0.93% | 2.45% | 1.00% | 0.77% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $4,299 | $4,249 | $5,276 | $4,225 | $4,492 | $5,704 |
Ratio to average net assets: | ||||||
Net expenses | 1.19%(C) | 1.19% | 1.19% | 1.19% | 1.19% | 1.19% |
Gross expenses | 1.47%(C) | 1.47% | 1.60% | 1.71% | 1.67% | 1.56% |
Net investment income (loss) | (0.06%)(C) | (0.10%) | 1.33% | 1.93% | 1.38% | 0.90% |
Portfolio turnover rate | 38%(B) | 113% | 72% | 91% | 143%(D) | 136% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Portfolio turnover excludes the purchases and sales of securities of the Sentinel Low Duration Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Ultra Short Duration Fixed Income Fund—Class S | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Period Ended September 30, 2018(A) | |||
2021 | 2020 | 2019 | |||
Net asset value at beginning of period | $9.21 | $9.23 | $9.28 | $9.25 | $9.29 |
Income (loss) from investment operations: | |||||
Net investment income | 0.01 | 0.01 | 0.12 | 0.21 | 0.13 |
Net realized and unrealized gains (losses) on investments | (0.09) | 0.03 | (0.01) | 0.03 | (0.02) |
Total from investment operations | (0.08) | 0.04 | 0.11 | 0.24 | 0.11 |
Distributions from: | |||||
Net investment income | (0.03) | (0.06) | (0.16) | (0.21) | (0.15) |
Net asset value at end of period | $9.10 | $9.21 | $9.23 | $9.28 | $9.25 |
Total return | (0.83%)(B) | 0.42% | 1.18% | 2.59% | 1.24%(B) |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $46,182 | $52,456 | $61,464 | $135,565 | $141,918 |
Ratio to average net assets: | |||||
Net expenses | 0.94%(C) | 0.94% | 0.94% | 0.94% | 0.94%(C) |
Gross expenses | 0.99%(C) | 0.99% | 0.99% | 0.99% | 0.99%(C) |
Net investment income | 0.19%(C) | 0.15% | 1.58% | 2.18% | 1.63%(C) |
Portfolio turnover rate | 38%(B) | 113% | 72% | 91% | 143%(D) |
Touchstone Ultra Short Duration Fixed Income Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.04 | 0.06 | 0.19 | 0.25 | 0.20 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.09) | 0.03 | (0.05) | 0.04 | (0.03) | (0.02) |
Total from investment operations | (0.05) | 0.09 | 0.14 | 0.29 | 0.17 | 0.13 |
Distributions from: | ||||||
Net investment income | (0.06) | (0.11) | (0.20) | (0.25) | (0.21) | (0.16) |
Net asset value at end of period | $9.10 | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 |
Total return | (0.59%)(B) | 0.92% | 1.57% | 3.21% | 1.75% | 1.55% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $282,708 | $296,363 | $292,708 | $305,997 | $262,571 | $260,830 |
Ratio to average net assets: | ||||||
Net expenses | 0.44%(C) | 0.44% | 0.44% | 0.44% | 0.44% | 0.44% |
Gross expenses | 0.49%(C) | 0.50% | 0.51% | 0.51% | 0.50% | 0.51% |
Net investment income | 0.69%(C) | 0.65% | 2.09% | 2.68% | 2.13% | 1.65% |
Portfolio turnover rate | 38%(B) | 113% | 72% | 91% | 143%(D) | 136% |
(A) | Represents the period from commencement of operations (October 27, 2017) through September 30, 2018. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Portfolio turnover excludes the purchases and sales of securities of the Sentinel Low Duration Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Ultra Short Duration Fixed Income Fund—Class Z | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.02 | 0.03 | 0.17 | 0.23 | 0.18 | 0.13 |
Net realized and unrealized gains (losses) on investments | (0.09) | 0.03 | (0.05) | 0.04 | (0.03) | (0.02) |
Total from investment operations | (0.07) | 0.06 | 0.12 | 0.27 | 0.15 | 0.11 |
Distributions from: | ||||||
Net investment income | (0.04) | (0.08) | (0.18) | (0.23) | (0.19) | (0.14) |
Net asset value at end of period | $9.10 | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 |
Total return | (0.71%)(A) | 0.68% | 1.32% | 2.95% | 1.50% | 1.29% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $67,227 | $75,058 | $86,018 | $128,199 | $163,898 | $211,797 |
Ratio to average net assets: | ||||||
Net expenses | 0.69%(B) | 0.69% | 0.69% | 0.69% | 0.69% | 0.69% |
Gross expenses | 0.78%(B) | 0.78% | 0.79% | 0.77% | 0.78% | 0.78% |
Net investment income | 0.44%(B) | 0.40% | 1.83% | 2.43% | 1.88% | 1.40% |
Portfolio turnover rate | 38%(A) | 113% | 72% | 91% | 143%(C) | 136% |
Touchstone Ultra Short Duration Fixed Income Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.20 | $9.22 | $9.28 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.05 | 0.07 | 0.20 | 0.26 | 0.21 | 0.16 |
Net realized and unrealized gains (losses) on investments | (0.10) | 0.02 | (0.05) | 0.03 | (0.03) | (0.02) |
Total from investment operations | (0.05) | 0.09 | 0.15 | 0.29 | 0.18 | 0.14 |
Distributions from: | ||||||
Net investment income | (0.06) | (0.11) | (0.21) | (0.26) | (0.22) | (0.17) |
Net asset value at end of period | $9.09 | $9.20 | $9.22 | $9.28 | $9.25 | $9.29 |
Total return | (0.56%)(A) | 0.98% | 1.63% | 3.17% | 1.80% | 1.60% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $355,120 | $500,705 | $417,011 | $362,921 | $275,561 | $257,777 |
Ratio to average net assets: | ||||||
Net expenses | 0.39%(B) | 0.39% | 0.39% | 0.39% | 0.39% | 0.39% |
Gross expenses | 0.45%(B) | 0.45% | 0.46% | 0.46% | 0.46% | 0.45% |
Net investment income | 0.74%(B) | 0.70% | 2.13% | 2.73% | 2.18% | 1.70% |
Portfolio turnover rate | 38%(A) | 113% | 72% | 91% | 143%(C) | 136% |
(A) | Not annualized. |
(B) | Annualized. |
(C) | Portfolio turnover excludes the purchases and sales of securities of the Sentinel Low Duration Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Active Bond Fund ("Active Bond Fund”) |
Touchstone Anti-Benchmark® International Core Equity Fund ("Anti-Benchmark® International Core Equity Fund”) |
Touchstone Credit Opportunities Fund ("Credit Opportunities Fund”) |
Touchstone Dividend Equity Fund ("Dividend Equity Fund”) |
Touchstone High Yield Fund ("High Yield Fund”) |
Touchstone Impact Bond Fund ("Impact Bond Fund”) |
Touchstone International ESG Equity Fund ("International ESG Equity Fund”) |
Touchstone Mid Cap Fund ("Mid Cap Fund”) |
Touchstone Mid Cap Value Fund ("Mid Cap Value Fund”) |
Touchstone Sands Capital Select Growth Fund ("Sands Capital Select Growth Fund”) |
Touchstone Small Cap Fund ("Small Cap Fund”) |
Touchstone Small Cap Value Fund ("Small Cap Value Fund”) |
Touchstone Ultra Short Duration Fixed Income Fund ("Ultra Short Duration Fixed Income Fund”) |
Class A | Class C | Class S | Class Y | Class Z | Institutional Class | Class R6 | |
Active Bond Fund | X | X | X | X | |||
Anti-Benchmark® International Core Equity Fund | X | X | |||||
Credit Opportunities Fund | X | X | X | X | |||
Dividend Equity Fund | X | X | X | X | X | ||
High Yield Fund | X | X | X | X | |||
Impact Bond Fund | X | X | X | X | X | ||
International ESG Equity Fund | X | X | X | X | |||
Mid Cap Fund | X | X | X | X | X | X | |
Mid Cap Value Fund | X | X | X | X | |||
Sands Capital Select Growth Fund | X | X | X | X | X | X | |
Small Cap Fund | X | X | X | X | |||
Small Cap Value Fund | X | X | X | X | |||
Ultra Short Duration Fixed Income Fund | X | X | X | X | X | X |
(1) | market value of investment securities, assets and liabilities at the current rate of exchange on the valuation date; and |
(2) | purchases and sales of investment securities, income, and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. |
Assets | Liabilities | ||
Credit Opportunities Fund | |||
Forwards - Foreign Currency Contracts | $— | $25,240 | |
Total | $— | $25,240 |
Counterparty | Derivative Type | Gross Amount of Recognized Liabilities | Gross Amount Available for Offset in Statement of Assets and Liabilities | Non-Cash Collateral Received | Cash Collateral Received | Net Amount(A) |
Wells Fargo | Forward-Foreign Currency Contracts | $(25,240) | $— | $— | $— | $(25,240) |
(A) | Net amount represents the net amount payable to the counterparty in the event of default. |
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Asset Derivatives | Liability Derivatives |
Active Bond Fund | Futures Contracts - Interest Rate Contracts* | $94,487 | $239,646 |
Credit Opportunities Fund | Purchased Options - Equity Contracts** | 174,960 | — |
Written Options - Equity Contracts*** | — | 640 | |
Forwards - Foreign Currency Contracts**** | — | 25,240 | |
Swap Agreements - Credit Contracts***** | 8,498 | 24,385 |
* | Statements of Assets and Liabilities Location: Receivable and Payable for variation margin on futures contracts. Only current day’s variation margin is reported within the payable/receivable on the Statement of Assets and Liabilities. Includes cumulative appreciation/(depreciation) on futures contracts as reported on the Portfolio of Investments and within the components of net assets section of the Statement of Assets and Liabilities. |
** | Statements of Assets and Liabilities Location: Investments, at market value. |
*** | Statements of Assets and Liabilities Location: Written options, at market value. |
**** | Statements of Assets and Liabilities Location: Unrealized appreciation (depreciation) on forward foreign currency contracts. |
***** | Statements of Assets and Liabilities Location: Receivable for variation margin on swap agreements. Variation margin reported in the Portfolio of Investments and other tables in the Notes to the Financial Statements is the cumulative unrealized appreciation (depreciation). |
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Realized Gains (Losses) on Derivatives | Change in Unrealized Appreciation (Depreciation) on Derivatives |
Active Bond Fund | Futures - Interest Rate Contracts | $317,891 | $(145,159) |
Credit Opportunities Fund | Purchased Options - Equity Contracts* | (140,708) | (477,979) |
Written Options - Equity Contracts** | 226,604 | 7,494 | |
Forwards - Foreign Currency Exchange Contracts*** | 397,518 | (128,084) | |
Swap Agreements - Credit Contracts**** | (32,803) | 40,782 |
* | Statements of Operations Location: Net realized gains (losses) on investments and net change in unrealized appreciation (depreciation) on investments, respectively. |
** | Statements of Operations Location: Net realized gains on written options and net change in unrealized appreciation (depreciation) on written options, respectively. |
*** | Statements of Operations Location: Net realized gains on forward foreign currency contracts and net change in unrealized appreciation (depreciation) on forward foreign currency contracts, respectively. |
**** | Statements of Operations Location: Net realized losses on swap agreements and net change in unrealized appreciation (depreciation) on swap agreements, respectively. |
Active Bond Fund | Credit Opportunities Fund | |
Equity Contracts: | ||
Purchased Options - Cost | $— | $246,648 |
Written Options - Premiums received | — | 6,690 |
Credit Contracts: | ||
Credit Default Swaps - Notional value | — | 1,382,903 |
Forward currency exchange contracts: | ||
U.S. dollar amount received | — | 5,475,831 |
Interest Rate Contracts: | ||
Futures Contracts - Notional Value | 19,584,086 | — |
Fund | Security Type | Market Value of Securities Loaned* | Market Value of Collateral Received** | Net Amount*** |
Active Bond Fund | Corporate Bonds | $1,228,374 | $1,257,750 | $29,376 |
Anti-Benchmark® International Core Equity Fund | Common Stocks | 313,599 | 335,447 | 21,848 |
Credit Opportunities Fund | Corporate Bonds | 7,614,627 | 8,506,565 | 891,938 |
Exchange-Traded Fund | 1,213,344 | 1,248,192 | 34,848 | |
Total Credit Opportunities Fund | 8,827,971 | 9,754,757 | 926,786 | |
High Yield Fund | Corporate Bonds | 1,099,623 | 1,153,863 | 54,240 |
Common Stocks | 92,325 | 96,315 | 3,990 | |
Total High Yield Fund | 1,191,948 | 1,250,178 | 58,230 | |
International ESG Equity Fund | Common Stocks | 1,069,287 | 1,298,697 | 229,410 |
Sands Capital Select Growth Fund | Common Stocks | 4,031,710 | 4,236,870 | 205,160 |
* | The remaining contractual maturity is overnight for all securities. |
** | Gross amount of recognized liabilities for securities lending included in the Statements of Assets and Liabilities. |
*** | Net amount represents the net amount payable due to (receive from) the borrower in the event of default. |
Active Bond Fund | Anti- Benchmark® International Core Equity Fund | Credit Opportunities Fund | Dividend Equity Fund | High Yield Fund | |
Purchases of investment securities | $83,209,978 | $9,506,288 | $169,994,249 | $249,357,106 | $42,368,081 |
Proceeds from sales and maturities | $56,657,941 | $32,989,526 | $111,704,380 | $723,607,736 | $60,965,511 |
Impact Bond Fund | International ESG Equity Fund | Mid Cap Fund* | Mid Cap Value Fund | Sands Capital Select Growth Fund* | |
Purchases of investment securities | $35,757,170 | $11,964,695 | $356,372,168 | $137,571,189 | $821,710,172 |
Proceeds from sales and maturities | $7,462,632 | $3,093,008 | $253,601,824 | $157,799,842 | $899,308,769 |
Small Cap Fund* | Small Cap Value Fund | Ultra Short Duration Fixed Income Fund | |
Purchases of investment securities | $10,183,955 | $9,483,232 | $344,768,197 |
Proceeds from sales and maturities | $4,665,392 | $12,708,744 | $420,823,995 |
* | Mid Cap Fund, Sands Capital Select Growth Fund and Small Cap Fund had redemptions-in-kind out of the Fund of $300,002,915, $283,863,509 and $3,958,498, respectively. The redemptions were comprised of securities in the amount of $254,069,738, $256,031,696 and $2,965,387, which is excluded from the proceeds from sales and maturities, and cash in the amount of $45,933,177, $27,831,813, and $993,111, for the Mid Cap Fund, Sands Capital Select Growth Fund and Small Cap Fund, respectively. |
Active Bond Fund* | 0.38% on the first $200 million 0.30% on such assets over $200 million |
Anti-Benchmark® International Core Equity Fund | 0.45% on the first $1 billion 0.40% on such assets over $1 billion |
Credit Opportunities Fund | 0.60% |
Dividend Equity Fund | 0.55% on the first $1 billion 0.50% on such assets over $1 billion |
High Yield Fund | 0.60% on the first $50 million 0.50% on the next $250 million 0.45% on such assets over $300 million |
Impact Bond Fund | 0.30% on the first $200 million 0.225% on such assets over $200 million |
International ESG Equity Fund | 0.65% on the first $1 billion 0.60% on such assets over $1 billion |
Mid Cap Fund | 0.80% on the first $1 billion 0.70% on the next $500 million 0.60% on such assets over $1.5 billion |
Mid Cap Value Fund | 0.75% |
Sands Capital Select Growth Fund | 0.70% on the first $1 billion 0.65% on the next $500 million 0.60% on the next $500 million 0.55% on such assets over $2 billion |
Small Cap Fund | 0.85% on the first $250 million 0.80% on the next $250 million 0.70% on such assets over $500 million |
Small Cap Value Fund | 0.85% |
Ultra Short Duration Fixed Income Fund | 0.25% |
Ares Capital Management II LLC | The London Company |
Credit Opportunities Fund | Mid Cap Fund |
EARNEST Partners LLC | Small Cap Fund |
Impact Bond Fund | Rockefeller & Co. LLC |
Fort Washington Investment Advisors, Inc.* | International ESG Equity Fund |
Active Bond Fund | Sands Capital Management, LLC |
Dividend Equity Fund | Sands Capital Select Growth Fund |
High Yield Fund | TOBAM S.A.S. |
Ultra Short Duration Fixed Income Fund | Anti-Benchmark® International Core Equity Fund |
Leeward Investments, LLC** | |
Mid Cap Value Fund | |
Small Cap Value Fund |
Class A | Class C | Class S | Class Y | Class Z | Institutional Class | Class R6 | Termination Date | |
Active Bond Fund* | 0.83% | 1.56% | — | 0.58% | — | 0.50% | — | July 29, 2023 |
Anti-Benchmark® International Core Equity Fund | — | — | — | 0.69% | — | 0.59% | — | January 29, 2023 |
Credit Opportunities Fund | 1.03% | 1.43% | — | 0.83% | — | 0.73% | — | July 29, 2023 |
Dividend Equity Fund | 0.99% | 1.69% | — | 0.77% | — | 0.67% | 0.65% | July 29, 2023 |
High Yield Fund | 1.05% | 1.80% | — | 0.80% | — | 0.72% | — | January 29, 2023 |
Impact Bond Fund | 0.76% | 1.51% | — | 0.51% | — | 0.41% | 0.37% | January 29, 2023 |
International ESG Equity Fund | 1.17% | 1.95% | — | 0.90% | — | 0.89% | — | January 29, 2023 |
Mid Cap Fund | 1.21% | 1.96% | — | 0.96% | 1.21% | 0.89% | 0.79% | January 29, 2023 |
Mid Cap Value Fund | 1.22% | 1.97% | — | 0.97% | — | 0.84% | — | January 29, 2023 |
Sands Capital Select Growth Fund | 1.13% | 1.74% | — | 0.90% | 1.14% | 0.78% | 0.72% | July 29, 2023 |
Small Cap Fund | 1.24% | 1.99% | — | 0.99% | — | 0.91% | — | January 29, 2023 |
Small Cap Value Fund | 1.38% | 2.13% | — | 1.13% | — | 0.98% | — | January 29, 2023 |
Ultra Short Duration Fixed Income Fund | 0.69% | 1.19% | 0.94% | 0.44% | 0.69% | 0.39% | — | January 29, 2023 |
* | Prior to January 1, 2022, the expense limitation for Class A shares was 0.90%, Class C shares was 1.63%, Class Y shares was 0.65% and Institutional Class was 0.57%. |
Fund | Investment Advisory Fees Waived | Administration Fees Waived | Other Operating Expenses Reimbursed/ Waived | Total |
Active Bond Fund | $— | $9,285 | $85,038 | $94,323 |
Anti-Benchmark® International Core Equity Fund | — | 16,164 | 62,699 | 78,863 |
Credit Opportunities Fund | — | 1,675 | 228,799 | 230,474 |
Dividend Equity Fund | — | — | 255,381 | 255,381 |
High Yield Fund | — | 23,567 | 54,904 | 78,471 |
Impact Bond Fund | — | 3,713 | 88,728 | 92,441 |
International ESG Equity Fund | — | 15,501 | 56,955 | 72,456 |
Mid Cap Fund | — | — | 6,412 | 6,412 |
Mid Cap Value Fund | — | 127,105 | 467,084 | 594,189 |
Sands Capital Select Growth Fund | — | 16,628 | 36,946 | 53,574 |
Small Cap Fund | — | 45,148 | 72,512 | 117,660 |
Small Cap Value Fund | — | 6,145 | 51,118 | 57,263 |
Ultra Short Duration Fixed Income Fund | — | 25,254 | 260,948 | 286,202 |
Fund | Expires on or before June 30, 2022 | Expires on or before September 30, 2022 | Expires on or before September 30, 2023 | Expires on or before September 30, 2024 | Expires on or before September 30, 2025 | Total |
Active Bond Fund | $— | $140,432 | $170,804 | $91,314 | $47,659 | $450,209 |
Anti-Benchmark® International Core Equity Fund | — | 114,246 | 141,795 | 157,113 | 78,863 | 492,017 |
Credit Opportunities Fund | 75,137 | 107,785 | 229,289 | 179,639 | 69,297 | 661,147 |
Dividend Equity Fund | — | — | — | 2,947 | 3,942 | 6,889 |
High Yield Fund | — | 58,462 | 85,080 | 72,946 | 58,915 | 275,403 |
Impact Bond Fund | — | 133,534 | 247,247 | 185,879 | 75,490 | 642,150 |
International ESG Equity Fund | — | 50,433 | 141,782 | 110,488 | 51,232 | 353,935 |
Mid Cap Fund | — | 89,953 | 85,991 | 629 | 6,412 | 182,985 |
Mid Cap Value Fund | — | 837,486 | 1,340,628 | 1,228,808 | 573,164 | 3,980,086 |
Sands Capital Select Growth Fund | — | 153,785 | 270,747 | 17,026 | 22,486 | 464,044 |
Small Cap Fund | — | 88,706 | 218,366 | 217,704 | 110,030 | 634,806 |
Small Cap Value Fund | — | 67,777 | 142,724 | 78,571 | 35,650 | 324,722 |
Ultra Short Duration Fixed Income Fund | — | 318,593 | 615,640 | 480,103 | 237,491 | 1,651,827 |
Fund | Amount |
Active Bond Fund | $ 6,845 |
Credit Opportunities Fund | 3,803 |
Dividend Equity Fund | 17,868 |
High Yield Fund | 811 |
Impact Bond Fund | 267 |
International ESG Equity Fund | 434 |
Mid Cap Fund | 7,351 |
Mid Cap Value Fund | 940 |
Sands Capital Select Growth Fund | 15,669 |
Small Cap Fund | 558 |
Small Cap Value Fund | 569 |
Ultra Short Duration Fixed Income Fund | 622 |
Fund | Class A | Class C |
Active Bond Fund | $ 116 | $ 132 |
Credit Opportunities Fund | — | 29 |
Dividend Equity Fund | 20 | 1,224 |
Mid Cap Fund | 20 | 200 |
Mid Cap Value Fund | — | 54 |
Sands Capital Select Growth Fund | 136 | 2,940 |
Ultra Short Duration Fixed Income Fund | — | 193 |
Fund | Shares ReFlow Subscribed to | Redemptions-in-kind |
Mid Cap Fund | 6,135,816 | $ 254,069,738 |
Sands Capital Select Growth Fund | 16,797,484 | 256,031,696 |
Small Cap Fund | 84,060 | 2,965,387 |
Fund | Daily Average Amount Loaned | Weighted Average Interest Rate | Interest Income* |
Mid Cap Fund | $ 239,708 | 0.70% | $ 849 |
Sands Capital Select Growth Fund | $ 637,027 | 0.68% | $ 2,174 |
* | Included in Interest in the Statements of Operations. |
Fund | Daily Average Amount Borrowed | Weighted Average Interest Rate | Interest Expense* |
Active Bond Fund | $ 18,951 | 0.68% | $ 65 |
Credit Opportunities Fund | $ 32,583 | 0.68% | $ 111 |
High Yield Fund | $ 146,184 | 0.68% | $ 499 |
Mid Cap Value Fund | $ 28,887 | 0.89% | $ 130 |
* | Included in Other expenses in the Statements of Operations. |
Active Bond Fund | Anti-Benchmark® International Core Equity Fund | Credit Opportunities Fund | ||||
Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | |
From ordinary income | $8,289,924 | $9,224,555 | $718,958 | $830,992 | $7,374,305 | $5,412,892 |
Total distributions | $8,289,924 | $9,224,555 | $718,958 | $830,992 | $7,374,305 | $5,412,892 |
Dividend Equity Fund | |||
Eleven Months Ended September 30, 2021 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |
From ordinary income | $87,137,356 | $550,058,395 | $295,515,778 |
From long-term capital gains | 1,447,901 | — | 536,010,979 |
Total distributions | $88,585,257 | $550,058,395 | $831,526,757 |
High Yield Fund | Impact Bond Fund | International ESG Equity Fund | ||||
Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | |
From ordinary income | $8,886,935 | $10,325,343 | $7,703,948 | $7,625,238 | $128,987 | $92,070 |
From long-term capital gains | — | — | — | — | — | 6,554,323 |
Total distributions | $8,886,935 | $10,325,343 | $7,703,948 | $7,625,238 | $128,987 | $6,646,393 |
Mid Cap Fund | Mid Cap Value Fund | Sands Capital Select Growth Fund | ||||
Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | |
From ordinary income | $51,726,485 | $16,227,598 | $3,019,722 | $6,179,571 | $— | $— |
From long-term capital gains | 36,196,104 | 40,623,294 | — | — | 227,023,467 | 275,526,970 |
Total distributions | $87,922,589 | $56,850,892 | $3,019,722 | $6,179,571 | $227,023,467 | $275,526,970 |
Small Cap Fund | Small Cap Value Fund | Ultra Short Duration Fixed Income Fund | ||||
Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | |
From ordinary income | $807,183 | $183,932 | $114,334 | $335,913 | $11,769,916 | $21,013,925 |
From long-term capital gains | 1,317,935 | 6,668,316 | — | — | — | — |
From return of capital | — | — | 105,494 | 111,479 | — | — |
Total distributions | $2,125,118 | $6,852,248 | $219,828 | $447,392 | $11,769,916 | $21,013,925 |
Active Bond Fund | Anti-Benchmark® International Core Equity Fund | Credit Opportunities Fund | Dividend Equity Fund | |
Tax cost of portfolio investments | $376,755,456 | $37,679,856 | $263,224,847 | $3,644,080,392 |
Gross unrealized appreciation on investments | 12,263,276 | 5,412,004 | 5,200,948 | 183,908,735 |
Gross unrealized depreciation on investments | (3,767,147) | (2,823,232) | (4,627,936) | (103,448,368) |
Net unrealized appreciation (depreciation) on investments | 8,496,129 | 2,588,772 | 573,012 | 80,460,367 |
Gross unrealized appreciation on short sales, derivatives and foreign currency transactions | — | 252 | 283,215 | — |
Gross unrealized depreciation on short sales, derivatives and foreign currency transactions | — | (631) | (266,137) | — |
Net unrealized appreciation (depreciation) on short sales, derivatives and foreign currency transactions | — | (379) | 17,078 | — |
Capital loss carryforwards | (91,508,721) | — | (56,911,838) | — |
Undistributed ordinary income | 1,724,501 | 1,015,142 | 7,576,835 | — |
Undistributed capital gains | — | 2,396,857 | — | 54,298,209 |
Other temporary differences | (149,801) | — | — | — |
Accumulated earnings (deficit) | $(81,437,892) | $6,000,392 | $(48,744,913) | $134,758,576 |
High Yield Fund | Impact Bond Fund | International ESG Equity Fund | Mid Cap Fund | |
Tax cost of portfolio investments | $139,014,798 | $421,111,071 | $26,252,526 | $3,769,099,419 |
Gross unrealized appreciation on investments | 4,837,876 | 16,245,602 | 8,363,060 | 1,193,543,224 |
Gross unrealized depreciation on investments | (2,282,569) | (3,290,775) | (1,252,427) | (129,593,451) |
Net unrealized appreciation (depreciation) on investments | 2,555,307 | 12,954,827 | 7,110,633 | 1,063,949,773 |
Gross unrealized appreciation on foreign currency transactions | — | — | 224 | — |
Net unrealized appreciation (depreciation) on foreign currency transactions | — | — | 224 | — |
Capital loss carryforwards | (13,348,003) | (5,646,856) | — | — |
Undistributed ordinary income | 74,685 | 1,039,413 | 422,773 | 69,959,141 |
Undistributed capital gains | — | — | 1,825,103 | 49,868,687 |
Accumulated earnings (deficit) | $(10,718,011) | $8,347,384 | $9,358,733 | $1,183,777,601 |
Mid Cap Value Fund | Sands Capital Select Growth Fund | Small Cap Fund | Small Cap Value Fund | |
Tax cost of portfolio investments | $654,531,146 | $3,239,070,095 | $72,997,469 | $55,967,415 |
Gross unrealized appreciation on investments | 246,939,621 | 3,143,280,912 | 26,687,356 | 23,172,001 |
Gross unrealized depreciation on investments | (17,775,311) | (11,259,155) | (4,704,962) | (2,222,504) |
Net unrealized appreciation (depreciation) on investments | 229,164,310 | 3,132,021,757 | 21,982,394 | 20,949,497 |
Capital loss carryforwards | — | — | — | (13,819,309) |
Undistributed ordinary income | 7,962,630 | 52,821,660 | 592,650 | — |
Undistributed capital gains | 44,967,542 | 552,565,021 | 10,640,623 | — |
Accumulated earnings (deficit) | $282,094,482 | $3,737,408,438 | $33,215,667 | $7,130,188 |
Ultra Short Duration Fixed Income Fund | |
Tax cost of portfolio investments | $1,110,698,477 |
Gross unrealized appreciation on investments | 1,365,085 |
Gross unrealized depreciation on investments | (2,701,321) |
Net unrealized appreciation (depreciation) on investments | (1,336,236) |
Capital loss carryforwards | (104,990,187) |
Undistributed ordinary income | 523,973 |
Other temporary differences | (105,345) |
Accumulated earnings (deficit) | $(105,907,795) |
Fund | No Expiration Short Term | No Expiration Long Term | Total |
Active Bond Fund* | $ 55,475,994 | $ 36,032,727 | $ 91,508,721 |
Credit Opportunities Fund* | 5,698,509 | 51,213,329 | 56,911,838 |
High Yield Fund | — | 13,348,003 | 13,348,003 |
Impact Bond Fund | 113,616 | 5,533,240 | 5,646,856 |
Small Cap Value Fund | 6,572,278 | 7,247,031 | 13,819,309 |
Ultra Short Duration Fixed Income Fund* | 33,129,444 | 71,860,743 | 104,990,187 |
* | Future utilization may be limited under current tax laws |
Fund | Utilized |
Active Bond Fund | $ 8,970,575 |
Anti-Benchmark® International Core Equity Fund | 696,512 |
Credit Opportunities Fund | 5,080,241 |
Dividend Equity Fund | 628,429,823 |
High Yield Fund | 6,953,509 |
Impact Bond Fund | 304,444 |
International ESG Equity Fund | 1,240,415 |
Mid Cap Value Fund | 11,468,563 |
Small Cap Value Fund | 5,330,852 |
Fund | Federal Tax Cost | Gross Unrealized Appreciation on Investments | Gross Unrealized Depreciation on Investments | Gross Unrealized Appreciation on Other(A) | Gross Unrealized Depreciation on Other(A) | Net Unrealized Appreciation (Depreciation) |
Active Bond Fund | $359,288,853 | $1,553,529 | $(18,111,340) | $94,487 | $(239,646) | $(16,702,970) |
Anti-Benchmark® International Core Equity Fund | 12,353,631 | 1,482,139 | (957,413) | 109 | (1,965) | 522,870 |
Credit Opportunities Fund | 328,133,547 | 2,577,775 | (15,559,591) | 121,464 | (63,653) | (12,924,005) |
Dividend Equity Fund | 3,230,133,705 | 399,011,534 | (135,825,972) | — | — | 263,185,562 |
High Yield Fund | 123,754,432 | 953,527 | (5,879,511) | — | — | (4,925,984) |
Impact Bond Fund | 464,437,521 | 2,690,201 | (22,097,244) | — | — | (19,407,043) |
International ESG Equity Fund | 36,979,608 | 5,831,789 | (2,307,073) | — | (2,361) | 3,522,355 |
Mid Cap Fund | 3,944,324,395 | 1,044,603,562 | (217,549,540) | — | — | 827,054,022 |
Mid Cap Value Fund | 650,028,380 | 281,692,164 | (20,799,015) | — | — | 260,893,149 |
Sands Capital Select Growth Fund | 3,070,173,057 | 1,538,525,046 | (219,032,945) | — | — | 1,319,492,101 |
Small Cap Fund | 76,969,155 | 25,256,707 | (4,404,336) | — | — | 20,852,371 |
Small Cap Value Fund | 53,646,354 | 23,184,788 | (1,826,409) | — | — | 21,358,379 |
Ultra Short Duration Fixed Income Fund | 905,846,897 | 252,577 | (10,400,746) | — | — | (10,148,169) |
(A) | Other includes Short Sales, Derivatives and Foreign Currency Transactions. |
Net Expense Ratio Annualized March 31, 2022 | Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Expenses Paid During the Six Months Ended March 31, 2022* | ||
Active Bond Fund | |||||
Class A | Actual | 0.87% | $1,000.00 | $937.00 | $4.20 |
Class A | Hypothetical | 0.87% | $1,000.00 | $1,020.59 | $4.38 |
Class C | Actual | 1.60% | $1,000.00 | $933.80 | $7.71 |
Class C | Hypothetical | 1.60% | $1,000.00 | $1,016.95 | $8.05 |
Class Y | Actual | 0.62% | $1,000.00 | $938.20 | $3.00 |
Net Expense Ratio Annualized March 31, 2022 | Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Expenses Paid During the Six Months Ended March 31, 2022* | ||
Class Y | Hypothetical | 0.62% | $1,000.00 | $1,021.84 | $3.13 |
Institutional Class | Actual | 0.54% | $1,000.00 | $938.60 | $2.61 |
Institutional Class | Hypothetical | 0.54% | $1,000.00 | $1,022.24 | $2.72 |
Anti-Benchmark® International Core Equity Fund | |||||
Class Y | Actual | 0.69% | $1,000.00 | $969.10 | $3.39 |
Class Y | Hypothetical | 0.69% | $1,000.00 | $1,021.49 | $3.48 |
Institutional Class | Actual | 0.59% | $1,000.00 | $969.20 | $2.90 |
Institutional Class | Hypothetical | 0.59% | $1,000.00 | $1,021.99 | $2.97 |
Credit Opportunities Fund | |||||
Class A | Actual | 1.08% | $1,000.00 | $975.80 | $5.32** |
Class A | Hypothetical | 1.08% | $1,000.00 | $1,019.55 | $5.44** |
Class C | Actual | 1.48% | $1,000.00 | $974.00 | $7.28** |
Class C | Hypothetical | 1.48% | $1,000.00 | $1,017.55 | $7.44** |
Class Y | Actual | 0.88% | $1,000.00 | $977.10 | $4.34** |
Class Y | Hypothetical | 0.88% | $1,000.00 | $1,020.54 | $4.43** |
Institutional Class | Actual | 0.78% | $1,000.00 | $976.70 | $3.84** |
Institutional Class | Hypothetical | 0.78% | $1,000.00 | $1,021.04 | $3.93** |
Dividend Equity Fund | |||||
Class A | Actual | 0.99% | $1,000.00 | $1,076.20 | $5.12 |
Class A | Hypothetical | 0.99% | $1,000.00 | $1,020.00 | $4.99 |
Class C | Actual | 1.69% | $1,000.00 | $1,072.40 | $8.73 |
Class C | Hypothetical | 1.69% | $1,000.00 | $1,016.50 | $8.50 |
Class Y | Actual | 0.74% | $1,000.00 | $1,077.60 | $3.83 |
Class Y | Hypothetical | 0.74% | $1,000.00 | $1,021.24 | $3.73 |
Institutional Class | Actual | 0.67% | $1,000.00 | $1,077.40 | $3.47 |
Institutional Class | Hypothetical | 0.67% | $1,000.00 | $1,021.59 | $3.38 |
Class R6 | Actual | 0.65% | $1,000.00 | $1,078.20 | $3.37 |
Class R6 | Hypothetical | 0.65% | $1,000.00 | $1,021.69 | $3.28 |
High Yield Fund | |||||
Class A | Actual | 1.05% | $1,000.00 | $931.00 | $5.05 |
Class A | Hypothetical | 1.05% | $1,000.00 | $1,019.70 | $5.29 |
Class C | Actual | 1.80% | $1,000.00 | $948.90 | $8.75 |
Class C | Hypothetical | 1.80% | $1,000.00 | $1,015.96 | $9.05 |
Class Y | Actual | 0.80% | $1,000.00 | $964.30 | $3.92 |
Class Y | Hypothetical | 0.80% | $1,000.00 | $1,020.94 | $4.03 |
Institutional Class | Actual | 0.72% | $1,000.00 | $963.50 | $3.52 |
Institutional Class | Hypothetical | 0.72% | $1,000.00 | $1,021.34 | $3.63 |
Impact Bond Fund | |||||
Class A | Actual | 0.76% | $1,000.00 | $937.90 | $3.67 |
Class A | Hypothetical | 0.76% | $1,000.00 | $1,021.14 | $3.83 |
Class C | Actual | 1.51% | $1,000.00 | $934.30 | $7.28 |
Class C | Hypothetical | 1.51% | $1,000.00 | $1,017.40 | $7.59 |
Class Y | Actual | 0.51% | $1,000.00 | $938.20 | $2.46 |
Class Y | Hypothetical | 0.51% | $1,000.00 | $1,022.39 | $2.57 |
Institutional Class | Actual | 0.41% | $1,000.00 | $938.70 | $1.98 |
Institutional Class | Hypothetical | 0.41% | $1,000.00 | $1,022.89 | $2.07 |
Class R6*** | Actual | 0.37% | $1,000.00 | $938.70 | $1.27 |
Class R6*** | Hypothetical | 0.37% | $1,000.00 | $1,016.36 | $1.32 |
International ESG Equity Fund | |||||
Class A | Actual | 1.17% | $1,000.00 | $935.40 | $5.65 |
Class A | Hypothetical | 1.17% | $1,000.00 | $1,019.10 | $5.89 |
Class C | Actual | 1.95% | $1,000.00 | $932.00 | $9.39 |
Class C | Hypothetical | 1.95% | $1,000.00 | $1,015.21 | $9.80 |
Class Y | Actual | 0.90% | $1,000.00 | $936.70 | $4.35 |
Class Y | Hypothetical | 0.90% | $1,000.00 | $1,020.44 | $4.53 |
Institutional Class | Actual | 0.89% | $1,000.00 | $936.10 | $4.30 |
Institutional Class | Hypothetical | 0.89% | $1,000.00 | $1,020.49 | $4.48 |
Mid Cap Fund | |||||
Class A | Actual | 1.21% | $1,000.00 | $993.00 | $6.01**** |
Class A | Hypothetical | 1.21% | $1,000.00 | $1,018.90 | $6.09**** |
Class C | Actual | 1.93% | $1,000.00 | $989.80 | $9.57**** |
Class C | Hypothetical | 1.93% | $1,000.00 | $1,015.31 | $9.70**** |
Class Y | Actual | 0.95% | $1,000.00 | $994.50 | $4.72**** |
Class Y | Hypothetical | 0.95% | $1,000.00 | $1,020.19 | $4.78**** |
Net Expense Ratio Annualized March 31, 2022 | Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Expenses Paid During the Six Months Ended March 31, 2022* | ||
Class Z | Actual | 1.24% | $1,000.00 | $993.10 | $6.16**** |
Class Z | Hypothetical | 1.24% | $1,000.00 | $1,018.75 | $6.24**** |
Institutional Class | Actual | 0.88% | $1,000.00 | $994.80 | $4.38**** |
Institutional Class | Hypothetical | 0.88% | $1,000.00 | $1,020.54 | $4.43**** |
Class R6 | Actual | 0.82% | $1,000.00 | $995.10 | $4.08**** |
Class R6 | Hypothetical | 0.82% | $1,000.00 | $1,020.84 | $4.13**** |
Mid Cap Value Fund | |||||
Class A | Actual | 1.22% | $1,000.00 | $1,074.90 | $6.31 |
Class A | Hypothetical | 1.22% | $1,000.00 | $1,018.85 | $6.14 |
Class C | Actual | 1.97% | $1,000.00 | $1,070.70 | $10.17 |
Class C | Hypothetical | 1.97% | $1,000.00 | $1,015.11 | $9.90 |
Class Y | Actual | 0.97% | $1,000.00 | $1,076.10 | $5.02 |
Class Y | Hypothetical | 0.97% | $1,000.00 | $1,020.09 | $4.89 |
Institutional Class | Actual | 0.84% | $1,000.00 | $1,076.80 | $4.35 |
Institutional Class | Hypothetical | 0.84% | $1,000.00 | $1,020.74 | $4.23 |
Sands Capital Select Growth Fund | |||||
Class A | Actual | 1.07% | $1,000.00 | $726.40 | $4.61***** |
Class A | Hypothetical | 1.07% | $1,000.00 | $1,019.60 | $5.39***** |
Class C | Actual | 1.76% | $1,000.00 | $723.70 | $7.56***** |
Class C | Hypothetical | 1.76% | $1,000.00 | $1,016.16 | $8.85***** |
Class Y | Actual | 0.84% | $1,000.00 | $727.10 | $3.62***** |
Class Y | Hypothetical | 0.84% | $1,000.00 | $1,020.74 | $4.23***** |
Class Z | Actual | 1.16% | $1,000.00 | $726.20 | $4.99***** |
Class Z | Hypothetical | 1.16% | $1,000.00 | $1,019.15 | $5.84***** |
Institutional Class | Actual | 0.79% | $1,000.00 | $727.40 | $3.40***** |
Institutional Class | Hypothetical | 0.79% | $1,000.00 | $1,020.99 | $3.98***** |
Class R6 | Actual | 0.74% | $1,000.00 | $727.40 | $3.19***** |
Class R6 | Hypothetical | 0.74% | $1,000.00 | $1,021.24 | $3.73***** |
Small Cap Fund | |||||
Class A | Actual | 1.24% | $1,000.00 | $1,006.70 | $6.20 |
Class A | Hypothetical | 1.24% | $1,000.00 | $1,018.75 | $6.24 |
Class C | Actual | 1.99% | $1,000.00 | $1,002.80 | $9.94 |
Class C | Hypothetical | 1.99% | $1,000.00 | $1,015.01 | $10.00 |
Class Y | Actual | 0.99% | $1,000.00 | $1,008.00 | $4.96 |
Class Y | Hypothetical | 0.99% | $1,000.00 | $1,020.00 | $4.99 |
Institutional Class | Actual | 0.91% | $1,000.00 | $1,008.20 | $4.56 |
Institutional Class | Hypothetical | 0.91% | $1,000.00 | $1,020.39 | $4.58 |
Small Cap Value Fund | |||||
Class A | Actual | 1.38% | $1,000.00 | $1,030.80 | $6.99 |
Class A | Hypothetical | 1.38% | $1,000.00 | $1,018.05 | $6.94 |
Class C | Actual | 2.13% | $1,000.00 | $1,026.80 | $10.76 |
Class C | Hypothetical | 2.13% | $1,000.00 | $1,014.31 | $10.70 |
Class Y | Actual | 1.13% | $1,000.00 | $1,031.90 | $5.72 |
Class Y | Hypothetical | 1.13% | $1,000.00 | $1,019.30 | $5.69 |
Institutional Class | Actual | 0.98% | $1,000.00 | $1,032.90 | $4.97 |
Institutional Class | Hypothetical | 0.98% | $1,000.00 | $1,020.04 | $4.94 |
Ultra Short Duration Fixed Income Fund | |||||
Class A | Actual | 0.69% | $1,000.00 | $992.90 | $3.43 |
Class A | Hypothetical | 0.69% | $1,000.00 | $1,021.49 | $3.48 |
Class C | Actual | 1.19% | $1,000.00 | $990.40 | $5.91 |
Class C | Hypothetical | 1.19% | $1,000.00 | $1,019.00 | $5.99 |
Class S | Actual | 0.94% | $1,000.00 | $991.70 | $4.67 |
Class S | Hypothetical | 0.94% | $1,000.00 | $1,020.24 | $4.73 |
Class Y | Actual | 0.44% | $1,000.00 | $994.10 | $2.19 |
Class Y | Hypothetical | 0.44% | $1,000.00 | $1,022.74 | $2.22 |
Class Z | Actual | 0.69% | $1,000.00 | $992.90 | $3.43 |
Class Z | Hypothetical | 0.69% | $1,000.00 | $1,021.49 | $3.48 |
Institutional Class | Actual | 0.39% | $1,000.00 | $994.40 | $1.94 |
Net Expense Ratio Annualized March 31, 2022 | Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Expenses Paid During the Six Months Ended March 31, 2022* | ||
Institutional Class | Hypothetical | 0.39% | $1,000.00 | $1,022.99 | $1.97 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
** | Excluding interest and dividend expenses on securities sold short, your actual cost of investment in Class A, Class C, Class Y and Institutional Class would be $5.07, $7.04, $4.09 and $3.60, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y and Institutional Class would be $5.19, $7.19, $4.18 and $3.68, respectively. |
*** | Represents the period from commencement of operations (November 22, 2021) through March 31, 2022. Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 129/365. |
**** | Excluding liquidity provider expenses, your actual cost of investment in Class A, Class C, Class Y, Class Z, Institutional Class and Class R6 would be $5.86, $9.43, $4.57, $6.01, $4.18 and $3.93, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y, Class Z, Institutional Class and Class R6 would be $5.94, $9.55, $4.63, $6.09, $4.23 and $3.98, respectively. |
***** | Excluding liquidity provider expenses, your actual cost of investment in Class A, Class C, Class Y, Class Z, Institutional Class and Class R6 would be $4.52, $7.48, $3.52, $4.91, $3.32 and $3.10, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y, Class Z, Institutional Class and Class R6 would be $5.29, $8.75, $4.13, $5.74, $3.88 and $3.63, respectively. |
303 Broadway
Cincinnati, Ohio 45202-4203
800.638.8194
www.touchstoneinvestments.com
303 Broadway
Cincinnati, Ohio 45202-4203
4400 Computer Drive
Westborough, Massachusetts 01581
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Touchstone Funds Group Trust
By (Signature and Title)* | /s/ E. Blake Moore, Jr. | |
E. Blake Moore, Jr., President | ||
(principal executive officer) |
Date: | June 1, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ E. Blake Moore, Jr. | |
E. Blake Moore, Jr., President | ||
(principal executive officer) |
Date: | June 1, 2022 |
By (Signature and Title)* | /s/ Terrie A. Wiedenheft | |
Terrie A. Wiedenheft, Controller and Treasurer | ||
(principal financial officer) |
Date: | June 1, 2022 |
* Print the name and title of each signing officer under his or her signature