Table of Contents
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: 811-08257
GE INSTITUTIONAL FUNDS
(Exact name of registrant as specified in charter)
1600 Summer Street
Stamford, Connecticut 06905
(Address of principal executive offices)(Zip code)
GE Asset Management, Inc.
1600 Summer Street
Stamford, Connecticut 06905
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 800-242-0134
Date of fiscal year end: 09/30
Date of reporting period: 03/31/16
Table of Contents
Item 1. | Reports to Stockholders |
Table of Contents
GE Institutional Funds
Semi-Annual Report
March 31, 2016
Table of Contents
GE Institutional Funds
1 | ||||
Fund Information and Schedules of Investments | ||||
2 | ||||
7 | ||||
18 | ||||
23 | ||||
27 | ||||
36 | ||||
40 | ||||
61 | ||||
75 | ||||
Financial Statements | ||||
76 | ||||
84 | ||||
86 | ||||
88 | ||||
90 | ||||
94 | ||||
109 | ||||
113 | ||||
115 |
This report has been prepared for shareholders and may be distributed to others only if preceded by or accompanied with a current prospectus and/or summary prospectus.
Table of Contents
Notes to Performance | March 31, 2016 (Unaudited) |
Total return performance shown in this report for the GE Institutional Funds (the “Funds”, and individually, the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods of less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.
An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.
GE Investment Distributors, Inc., member of FINRA & SIPC, is the principal underwriter and distributor of the GE Institutional Funds and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Funds.
1
Table of Contents
U.S. Equity Fund | (Unaudited) |
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares), professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2016.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses
paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
October 1, 2015 – March 31, 2016
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | |||||||||||||
Actual Fund Return | |||||||||||||||
Investment Class | 1,000.00 | 1,049.00 | 1.90 | ||||||||||||
Service Class | 1,000.00 | 1,047.60 | 3.17 | ||||||||||||
Hypothetical 5% Return (2.5% for the period) | |||||||||||||||
Investment Class | 1,000.00 | 1,023.15 | 1.87 | ||||||||||||
Service Class | 1,000.00 | 1,021.90 | 3.13 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.37% for Investment Class shares and 0.62% for Service Class shares (for the period October 1, 2015 – March 31, 2016), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
2
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U.S. Equity Fund | (Unaudited) |
Investment Profile |
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of U.S. companies, such as common and preferred stocks.
Sector Allocation |
Portfolio compositions as a % of Fair Value of Investments of $601,134 (in thousands) on March 31, 2016 (a)(b)
Top Ten Largest Holdings |
as a % of Fair Value of Investments of $601,134 (in thousands) on March 31, 2016 (a)(b)
Allergan PLC | 3.11% | |||
Apple Inc. | 2.62% | |||
Comcast Corp., Class A | 2.55% | |||
Amgen Inc. | 2.53% | |||
Exxon Mobil Corp. | 2.32% | |||
Cisco Systems Inc. | 2.22% | |||
Medtronic PLC | 2.18% | |||
Johnson & Johnson | 2.15% | |||
QUALCOMM Inc. | 2.13% | |||
JPMorgan Chase & Co. | 1.98% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
3
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U.S. Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
U.S. Equity Fund |
Number of Shares | Fair Value | |||||||||
Common Stock — 95.8%† |
| |||||||||
Aerospace & Defense — 2.9% |
| |||||||||
General Dynamics Corp. | 35,675 | $ | 4,686,625 | |||||||
Hexcel Corp. | 99,737 | 4,359,504 | ||||||||
Honeywell International Inc. | 50,943 | 5,708,163 | ||||||||
The Boeing Co. | 20,395 | 2,588,941 | ||||||||
17,343,233 | ||||||||||
Air Freight & Logistics — 0.4% |
| |||||||||
United Parcel Service Inc., Class B | 20,693 | 2,182,491 | ||||||||
Airlines — 0.9% |
| |||||||||
Delta Air Lines Inc. | 115,526 | 5,623,806 | ||||||||
Apparel, Accessories & Luxury Goods — 0.6% |
| |||||||||
Ralph Lauren Corp. | 15,002 | 1,444,092 | ||||||||
VF Corp. | 29,563 | 1,914,500 | ||||||||
3,358,592 | ||||||||||
Application Software — 0.8% |
| |||||||||
Intuit Inc. | 43,972 | 4,573,528 | ||||||||
Asset Management & Custody Banks — 3.1% |
| |||||||||
Ameriprise Financial Inc. | 54,578 | 5,130,878 | ||||||||
Invesco Ltd. | 209,365 | 6,442,161 | ||||||||
State Street Corp. | 120,256 | 7,037,381 | (e) | |||||||
18,610,420 | ||||||||||
Auto Parts & Equipment — 1.1% |
| |||||||||
Delphi Automotive PLC | 89,773 | 6,734,770 | ||||||||
Automobile Manufacturers — 0.6% |
| |||||||||
Ford Motor Co. | 262,971 | 3,550,108 | ||||||||
Automotive Retail — 0.2% |
| |||||||||
Advance Auto Parts Inc. | 7,760 | 1,244,238 | ||||||||
Biotechnology — 4.9% |
| |||||||||
Alexion Pharmaceuticals Inc. | 28,970 | 4,033,203 | (a) | |||||||
Amgen Inc. | 101,621 | 15,236,037 | ||||||||
Gilead Sciences Inc. | 92,254 | 8,474,452 | ||||||||
Vertex Pharmaceuticals Inc. | 23,797 | 1,891,624 | (a) | |||||||
29,635,316 | ||||||||||
Broadcasting — 0.3% |
| |||||||||
CBS Corp., Class B | 33,626 | 1,852,456 |
Number of Shares | Fair Value | |||||||||
Cable & Satellite — 4.4% |
| |||||||||
Charter Communications Inc., Class A | 11,383 | $ | 2,304,261 | (a) | ||||||
Comcast Corp., Class A | 250,868 | 15,323,017 | ||||||||
Liberty Global PLC, Class C | 162,956 | 6,120,627 | (a) | |||||||
Sirius XM Holdings Inc. | 724,251 | 2,860,792 | (a) | |||||||
26,608,697 | ||||||||||
Casinos & Gaming — 0.3% |
| |||||||||
Las Vegas Sands Corp. | 39,317 | 2,031,903 | ||||||||
Communications Equipment — 2.2% |
| |||||||||
Cisco Systems Inc. | 468,762 | 13,345,654 | ||||||||
Consumer Finance — 1.4% |
| |||||||||
Discover Financial Services | 167,249 | 8,516,319 | ||||||||
Data Processing & Outsourced Services — 2.1% |
| |||||||||
PayPal Holdings Inc. | 98,291 | 3,794,033 | (a) | |||||||
Visa Inc., Class A | 113,811 | 8,704,265 | ||||||||
12,498,298 | ||||||||||
Diversified Banks — 5.7% |
| |||||||||
Bank of America Corp. | 732,937 | 9,909,308 | ||||||||
Citigroup Inc. | 204,363 | 8,532,155 | ||||||||
JPMorgan Chase & Co. | 200,857 | 11,894,752 | ||||||||
Wells Fargo & Co. | 83,230 | 4,025,003 | ||||||||
34,361,218 | ||||||||||
Diversified Chemicals — 0.1% |
| |||||||||
The Dow Chemical Co. | 18,106 | 920,871 | ||||||||
Drug Retail — 0.6% |
| |||||||||
CVS Health Corp. | 33,174 | 3,441,139 | ||||||||
Electric Utilities — 0.7% |
| |||||||||
NextEra Energy Inc. | 36,615 | 4,333,019 | ||||||||
Fertilizers & Agricultural Chemicals — 0.2% |
| |||||||||
Monsanto Co. | 11,895 | 1,043,667 | ||||||||
General Merchandise Stores — 0.6% | ||||||||||
Dollar General Corp. | 44,285 | 3,790,796 | ||||||||
Healthcare Distributors — 0.6% |
| |||||||||
Cardinal Health Inc. | 44,453 | 3,642,923 | ||||||||
Healthcare Equipment — 4.6% |
| |||||||||
Abbott Laboratories | 116,397 | 4,868,886 | ||||||||
Boston Scientific Corp. | 383,086 | 7,205,848 | (a) | |||||||
Medtronic PLC | 174,338 | 13,075,350 | ||||||||
Stryker Corp. | 26,395 | 2,831,920 | ||||||||
27,982,004 |
See Notes to Schedules of Investments and Notes to Financial Statements.
4
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U.S. Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Healthcare Supplies — 0.6% |
| |||||||||
The Cooper Companies Inc. | 25,349 | $ | 3,902,986 | |||||||
Home Improvement Retail — 1.7% |
| |||||||||
Lowe’s Companies Inc. | 135,280 | 10,247,460 | ||||||||
Hotels, Resorts & Cruise Lines — 0.2% |
| |||||||||
Hilton Worldwide Holdings Inc. | 48,360 | 1,089,067 | ||||||||
Household Products — 0.7% |
| |||||||||
The Procter & Gamble Co. | 50,712 | 4,174,105 | ||||||||
Housewares & Specialties — 0.1% |
| |||||||||
Newell Rubbermaid Inc. | 16,772 | 742,832 | ||||||||
Hypermarkets & Super Centers — 0.5% |
| |||||||||
Wal-Mart Stores Inc. | 43,974 | 3,011,779 | ||||||||
Independent Power Producers & Energy Traders — 0.4% |
| |||||||||
Calpine Corp. | 146,258 | 2,218,734 | (a) | |||||||
Industrial Machinery — 1.5% |
| |||||||||
Ingersoll-Rand PLC | 147,335 | 9,136,243 | ||||||||
Integrated Oil & Gas — 5.0% |
| |||||||||
Chevron Corp. | 88,553 | 8,447,956 | ||||||||
Exxon Mobil Corp. | 166,811 | 13,943,732 | ||||||||
Occidental Petroleum Corp. | 108,138 | 7,399,883 | ||||||||
29,791,571 | ||||||||||
Integrated Telecommunication Services — 0.4% |
| |||||||||
Verizon Communications Inc. | 46,255 | 2,501,470 | ||||||||
Internet Retail — 1.3% |
| |||||||||
Amazon.com Inc. | 13,088 | 7,769,560 | (a) | |||||||
Internet Software & Services — 5.6% |
| |||||||||
Alphabet Inc., Class A | 10,649 | 8,124,122 | (a) | |||||||
Alphabet Inc., Class C | 12,933 | 9,634,438 | (a) | |||||||
Baidu Inc. ADR | 39,317 | 7,504,829 | (a) | |||||||
Facebook Inc., Class A | 54,319 | 6,197,798 | (a) | |||||||
LinkedIn Corp., Class A | 17,073 | 1,952,298 | (a) | |||||||
33,413,485 | ||||||||||
Investment Banking & Brokerage — 0.9% |
| |||||||||
The Charles Schwab Corp. | 186,236 | 5,218,333 | ||||||||
IT Consulting & Other Services — 0.4% |
| |||||||||
Cognizant Technology Solutions Corp., Class A | 34,395 | 2,156,567 | (a) |
Number of Shares | Fair Value | |||||||||
Movies & Entertainment — 2.2% |
| |||||||||
The Walt Disney Co. | 49,663 | $ | 4,932,032 | |||||||
Time Warner Inc. | 112,518 | 8,163,181 | ||||||||
13,095,213 | ||||||||||
Multi-Line Insurance — 1.8% |
| |||||||||
American International Group Inc. | 43,972 | 2,376,687 | ||||||||
The Hartford Financial Services Group Inc. | 182,731 | 8,420,244 | ||||||||
10,796,931 | ||||||||||
Multi-Utilities — 0.8% |
| |||||||||
Dominion Resources Inc. | 56,906 | 4,274,778 | ||||||||
Sempra Energy | 3,395 | 353,250 | ||||||||
4,628,028 | ||||||||||
Oil & Gas Equipment & Services — 1.3% |
| |||||||||
Schlumberger Ltd. | 104,174 | 7,682,832 | ||||||||
Oil & Gas Exploration & Production — 1.8% |
| |||||||||
Concho Resources Inc. | 12,662 | 1,279,268 | (a) | |||||||
ConocoPhillips | 70,461 | 2,837,465 | ||||||||
Hess Corp. | 124,642 | 6,562,401 | ||||||||
10,679,134 | ||||||||||
Packaged Foods & Meats — 0.9% |
| |||||||||
Mondelez International Inc., Class A | 137,002 | 5,496,520 | ||||||||
Paper Packaging — 0.2% |
| |||||||||
Packaging Corporation of America | 15,765 | 952,206 | ||||||||
Pharmaceuticals — 8.0% |
| |||||||||
Allergan PLC | 69,804 | 18,709,566 | (a) | |||||||
Johnson & Johnson | 119,477 | 12,927,411 | ||||||||
Merck & Company Inc. | 205,674 | 10,882,211 | ||||||||
Pfizer Inc. | 196,582 | 5,826,691 | ||||||||
48,345,879 | ||||||||||
Property & Casualty Insurance — 1.5% |
| |||||||||
Chubb Ltd. | 60,262 | 7,180,217 | ||||||||
XL Group PLC | 45,621 | 1,678,853 | ||||||||
8,859,070 | ||||||||||
Railroads — 0.1% |
| |||||||||
CSX Corp. | 30,901 | 795,701 | ||||||||
Research & Consulting Services — 1.2% |
| |||||||||
Nielsen Holdings PLC | 138,695 | 7,303,679 | ||||||||
Semiconductor Equipment — 1.4% |
| |||||||||
Applied Materials Inc. | 385,405 | 8,162,878 |
See Notes to Schedules of Investments and Notes to Financial Statements.
5
Table of Contents
U.S. Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Semiconductors — 2.4% |
| |||||||||
NXP Semiconductors N.V. | 17,261 | $ | 1,399,349 | (a) | ||||||
QUALCOMM Inc. | 250,390 | 12,804,945 | ||||||||
14,204,294 | ||||||||||
Soft Drinks — 1.9% |
| |||||||||
PepsiCo Inc. | 114,649 | 11,749,230 | ||||||||
Specialized Finance — 2.2% |
| |||||||||
CME Group Inc. | 69,838 | 6,707,940 | ||||||||
McGraw Hill Financial Inc. | 64,666 | 6,400,641 | ||||||||
13,108,581 | ||||||||||
Specialized REITs — 2.1% |
| |||||||||
American Tower Corp. | 107,862 | 11,041,833 | ||||||||
Extra Space Storage Inc. | 19,917 | 1,861,443 | ||||||||
12,903,276 | ||||||||||
Specialty Chemicals — 0.3% |
| |||||||||
PPG Industries Inc. | 18,971 | 2,115,077 | ||||||||
Systems Software — 2.1% |
| |||||||||
Microsoft Corp. | 136,832 | 7,557,232 | ||||||||
Oracle Corp. | 118,585 | 4,851,312 | ||||||||
12,408,544 | ||||||||||
Technology Hardware, Storage & Peripherals — 3.9% |
| |||||||||
Apple Inc. | 144,333 | 15,730,854 | ||||||||
HP Inc. | 204,343 | 2,517,506 | ||||||||
Western Digital Corp. | 113,273 | 5,351,016 | ||||||||
23,599,376 | ||||||||||
Trading Companies & Distributors — 1.1% |
| |||||||||
United Rentals Inc. | 104,588 | 6,504,328 | (a) | |||||||
Total Common Stock | 575,990,435 | |||||||||
Exchange Traded Funds — 1.6% |
| |||||||||
Financial Select Sector SPDR Fund | 75,807 | 1,706,416 | (n) | |||||||
Industrial Select Sector SPDR Fund | 136,399 | 7,566,052 | (n) | |||||||
Total Exchange Traded Funds | 9,272,468 | |||||||||
Total Investments in Securities | 585,262,903 | |||||||||
Fair Value | ||||||||
Short-Term Investments — 2.6% |
| |||||||
State Street Institutional U.S. | $ | 15,870,954 | (d,m,n) | |||||
Total Investments | 601,133,857 | |||||||
Other Assets and Liabilities, | 224,904 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 601,358,761 | ||||||
|
| |||||||
Other Information: |
The Fund had the following long futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation | |||||||||||||
S&P 500 Emini Index Futures | June 2016 | 33 | $ | 3,384,975 | $ | 62,203 |
See Notes to Schedules of Investments and Notes to Financial Statements.
6
Table of Contents
S&P 500 Index Fund | (Unaudited) |
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares), professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2016.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
October 1, 2015 – March 31, 2016
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | |||||||||||||
Actual Fund Return | |||||||||||||||
Investment Class | 1,000.00 | 1,082.50 | 0.83 | ||||||||||||
Service Class | 1,000.00 | 1,081.50 | 2.13 | ||||||||||||
Hypothetical 5% Return (2.5% for the period) | |||||||||||||||
Investment Class | 1,000.00 | 1,024.20 | 0.81 | ||||||||||||
Service Class | 1,000.00 | 1,022.95 | 2.07 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.16% for Investment Class shares and 0.41% for Service Class shares (for the period October 1, 2015 – March 31, 2016), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
7
Table of Contents
S&P 500 Index Fund | (Unaudited) |
Investment Profile |
A mutual fund designed for investors who seek growth of capital and accumulation of income that corresponds to the investment return of the S&P 500® Composite Stock Index (“S&P 500® Index”). The Fund seeks to replicate the return of the S&P 500® Index while holding transaction costs low and minimizing portfolio turnover.
Sector Allocation |
Portfolio compositions as a % of Fair Value of Investments of $18,400 (in thousands) on March 31, 2016 (a)(b)
Top Ten Largest Holdings |
as a % of Fair Value of Investments of $18,400 (in thousands) on March 31, 2016 (a)(b)
Apple Inc. | 3.20% | |||
Microsoft Corp. | 2.33% | |||
Exxon Mobil Corp. | 1.84% | |||
General Electric Co. | 1.58% | |||
Johnson & Johnson | 1.58% | |||
Berkshire Hathaway Inc., Class B | 1.40% | |||
Facebook Inc., Class A | 1.37% | |||
AT&T Inc. | 1.26% | |||
Amazon.com Inc. | 1.21% | |||
Wells Fargo & Co. | 1.18% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
8
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
S&P 500 Index Fund |
Number of Shares | Fair Value | |||||||||
Common Stock — 94.7%† | ||||||||||
Advertising — 0.2% |
| |||||||||
Omnicom Group Inc. | 238 | $ | 19,809 | |||||||
The Interpublic Group of Companies Inc. | 396 | 9,088 | ||||||||
28,897 | ||||||||||
Aerospace & Defense — 2.3% |
| |||||||||
General Dynamics Corp. | 283 | 37,178 | ||||||||
Honeywell International Inc. | 748 | 83,813 | ||||||||
L-3 Communications Holdings Inc. | 76 | 9,006 | ||||||||
Lockheed Martin Corp. | 258 | 57,147 | ||||||||
Northrop Grumman Corp. | 174 | 34,435 | ||||||||
Raytheon Co. | 287 | 35,195 | ||||||||
Rockwell Collins Inc. | 129 | 11,895 | ||||||||
Textron Inc. | 267 | 9,735 | ||||||||
The Boeing Co. | 611 | 77,560 | ||||||||
United Technologies Corp. | 755 | 75,575 | ||||||||
431,539 | ||||||||||
Agricultural & Farm Machinery — 0.1% |
| |||||||||
Deere & Co. | 297 | 22,866 | ||||||||
Agricultural Products — 0.1% |
| |||||||||
Archer-Daniels-Midland Co. | 595 | 21,604 | ||||||||
Air Freight & Logistics — 0.7% |
| |||||||||
CH Robinson Worldwide Inc. | 140 | 10,392 | ||||||||
Expeditors International of Washington Inc. | 181 | 8,835 | ||||||||
FedEx Corp. | 250 | 40,680 | ||||||||
United Parcel Service Inc., Class B | 683 | 72,036 | ||||||||
131,943 | ||||||||||
Airlines — 0.6% |
| |||||||||
American Airlines Group Inc. | 601 | 24,647 | ||||||||
Delta Air Lines Inc. | 750 | 36,510 | ||||||||
Southwest Airlines Co. | 620 | 27,776 | ||||||||
United Continental Holdings Inc. | 367 | 21,969 | (a) | |||||||
110,902 | ||||||||||
Alternative Carriers — 0.1% |
| |||||||||
Level 3 Communications Inc. | 283 | 14,957 | (a) | |||||||
Aluminum — 0.1% |
| |||||||||
Alcoa Inc. | 1,283 | 12,291 | ||||||||
Apparel Retail — 0.6% |
| |||||||||
L Brands Inc. | 254 | 22,304 | ||||||||
Ross Stores Inc. | 386 | 22,349 |
Number of Shares | Fair Value | |||||||||
The Gap Inc. | 220 | $ | 6,468 | |||||||
The TJX Companies Inc. | 660 | 51,711 | ||||||||
Urban Outfitters Inc. | 78 | 2,581 | (a) | |||||||
105,413 | ||||||||||
Apparel, Accessories & Luxury Goods — 0.4% |
| |||||||||
Coach Inc. | 270 | 10,824 | ||||||||
Hanesbrands Inc. | 383 | 10,854 | ||||||||
Michael Kors Holdings Ltd. | 178 | 10,139 | (a) | |||||||
PVH Corp. | 89 | 8,816 | ||||||||
Ralph Lauren Corp. | 57 | 5,487 | ||||||||
Under Armour Inc., Class A | 177 | 15,015 | (a) | |||||||
VF Corp. | 325 | 21,047 | ||||||||
82,182 | ||||||||||
Application Software — 0.8% |
| |||||||||
Adobe Systems Inc. | 475 | 44,555 | (a) | |||||||
Autodesk Inc. | 222 | 12,945 | (a) | |||||||
Citrix Systems Inc. | 150 | 11,787 | (a) | |||||||
Intuit Inc. | 252 | 26,210 | ||||||||
salesforce.com Inc. | 595 | 43,929 | (a) | |||||||
139,426 | ||||||||||
Asset Management & Custody Banks — 1.0% |
| |||||||||
Affiliated Managers Group Inc. | 53 | 8,607 | (a) | |||||||
Ameriprise Financial Inc. | 171 | 16,076 | ||||||||
BlackRock Inc. | 119 | 40,528 | ||||||||
Franklin Resources Inc. | 371 | 14,487 | ||||||||
Invesco Ltd. | 415 | 12,770 | ||||||||
Legg Mason Inc. | 102 | 3,537 | ||||||||
Northern Trust Corp. | 213 | 13,881 | ||||||||
State Street Corp. | 385 | 22,530 | (e) | |||||||
T Rowe Price Group Inc. | 247 | 18,145 | ||||||||
The Bank of New York Mellon Corp. | 1,042 | 38,377 | ||||||||
188,938 | ||||||||||
Auto Parts & Equipment — 0.3% | ||||||||||
BorgWarner Inc. | 218 | 8,371 | ||||||||
Delphi Automotive PLC | 276 | 20,706 | ||||||||
Johnson Controls Inc. | 617 | 24,044 | ||||||||
53,121 | ||||||||||
Automobile Manufacturers — 0.5% | ||||||||||
Ford Motor Co. | 3,840 | 51,840 | ||||||||
General Motors Co. | 1,339 | 42,085 | ||||||||
93,925 | ||||||||||
Automotive Retail — 0.4% | ||||||||||
Advance Auto Parts Inc. | 72 | 11,545 | ||||||||
AutoNation Inc. | 102 | 4,761 | (a) | |||||||
AutoZone Inc. | 29 | 23,104 | (a) | |||||||
CarMax Inc. | 198 | 10,118 | (a) | |||||||
O’Reilly Automotive Inc. | 94 | 25,724 | (a) | |||||||
75,252 |
See Notes to Schedules of Investments and Notes to Financial Statements.
9
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Biotechnology — 3.0% | ||||||||||
AbbVie Inc. | 1,598 | $ | 91,278 | |||||||
Alexion Pharmaceuticals Inc. | 215 | 29,932 | (a) | |||||||
Amgen Inc. | 737 | 110,498 | ||||||||
Baxalta Inc. | 656 | 26,502 | ||||||||
Biogen Inc. | 212 | 55,188 | (a) | |||||||
Celgene Corp. | 762 | 76,269 | (a) | |||||||
Gilead Sciences Inc. | 1,321 | 121,347 | ||||||||
Regeneron Pharmaceuticals Inc. | 74 | 26,673 | (a) | |||||||
Vertex Pharmaceuticals Inc. | 234 | 18,601 | (a) | |||||||
556,288 | ||||||||||
Brewers — 0.1% | ||||||||||
Molson Coors Brewing Co., Class B | 173 | 16,639 | ||||||||
Broadcasting — 0.2% | ||||||||||
CBS Corp., Class B | 413 | 22,752 | ||||||||
Discovery Communications Inc., Class A | 109 | 3,121 | (a) | |||||||
Discovery Communications Inc., Class C | 208 | 5,616 | (a) | |||||||
Scripps Networks Interactive Inc., Class A | 74 | 4,847 | ||||||||
TEGNA Inc. | 213 | 4,997 | ||||||||
41,333 | ||||||||||
Building Products — 0.1% | ||||||||||
Allegion PLC | 75 | 4,778 | ||||||||
Masco Corp. | 328 | 10,316 | ||||||||
15,094 | ||||||||||
Cable & Satellite — 1.1% | ||||||||||
Cablevision Systems Corp., Class A | 215 | 7,095 | ||||||||
Comcast Corp., Class A | 2,379 | 145,309 | ||||||||
Time Warner Cable Inc. | 270 | 55,248 | ||||||||
207,652 | ||||||||||
Casinos & Gaming — 0.0%* | ||||||||||
Wynn Resorts Ltd. | 88 | 8,222 | ||||||||
Commodity Chemicals — 0.2% | ||||||||||
LyondellBasell Industries N.V., Class A | 343 | 29,354 | ||||||||
Communications Equipment — 1.0% | ||||||||||
Cisco Systems Inc. | 4,947 | 140,841 | ||||||||
F5 Networks Inc. | 76 | 8,045 | (a) | |||||||
Harris Corp. | 121 | 9,421 | ||||||||
Juniper Networks Inc. | 346 | 8,826 | ||||||||
Motorola Solutions Inc. | 157 | 11,885 | ||||||||
179,018 | ||||||||||
Computer & Electronics Retail — 0.1% | ||||||||||
Best Buy Company Inc. | 290 | 9,408 | ||||||||
GameStop Corp., Class A | 137 | 4,347 | ||||||||
13,755 |
Number of Shares | Fair Value | |||||||||
Construction & Engineering — 0.1% | ||||||||||
Fluor Corp. | 137 | $ | 7,357 | |||||||
Jacobs Engineering Group Inc. | 92 | 4,006 | (a) | |||||||
Quanta Services Inc. | 105 | 2,369 | (a) | |||||||
13,732 | ||||||||||
Construction Machinery & Heavy Trucks — 0.4% | ||||||||||
Caterpillar Inc. | 551 | 42,174 | ||||||||
Cummins Inc. | 161 | 17,700 | ||||||||
PACCAR Inc. | 347 | 18,977 | ||||||||
78,851 | ||||||||||
Construction Materials — 0.1% | ||||||||||
Martin Marietta Materials Inc. | 64 | 10,209 | ||||||||
Vulcan Materials Co. | 130 | 13,724 | ||||||||
23,933 | ||||||||||
Consumer Electronics — 0.1% | ||||||||||
Garmin Ltd. | 112 | 4,475 | ||||||||
Harman International Industries Inc. | 69 | 6,144 | ||||||||
10,619 | ||||||||||
Consumer Finance — 0.7% | ||||||||||
American Express Co. | 825 | 50,655 | ||||||||
Capital One Financial Corp. | 507 | 35,140 | ||||||||
Discover Financial Services | 421 | 21,437 | ||||||||
Navient Corp. | 424 | 5,075 | ||||||||
Synchrony Financial | 795 | 22,785 | (a) | |||||||
135,092 | ||||||||||
Data Processing & Outsourced Services — 2.2% | ||||||||||
Alliance Data Systems Corp. | 60 | 13,200 | (a) | |||||||
Automatic Data Processing Inc. | 436 | 39,114 | ||||||||
Fidelity National Information Services Inc. | 272 | 17,220 | ||||||||
Fiserv Inc. | 218 | 22,362 | (a) | |||||||
Mastercard Inc., Class A | 969 | 91,571 | ||||||||
Paychex Inc. | 315 | 17,013 | ||||||||
PayPal Holdings Inc. | 1,052 | 40,607 | (a) | |||||||
The Western Union Co. | 492 | 9,491 | ||||||||
Total System Services Inc. | 164 | 7,803 | ||||||||
Visa Inc., Class A | 1,897 | 145,083 | ||||||||
Xerox Corp. | 928 | 10,356 | ||||||||
413,820 | ||||||||||
Department Stores — 0.2% | ||||||||||
Kohl’s Corp. | 185 | 8,623 | ||||||||
Macy’s Inc. | 307 | 13,535 | ||||||||
Nordstrom Inc. | 132 | 7,552 | ||||||||
29,710 | ||||||||||
Distillers & Vintners — 0.2% | ||||||||||
Brown-Forman Corp., Class B | 99 | 9,748 | ||||||||
Constellation Brands Inc., Class A | 165 | 24,930 | ||||||||
34,678 |
See Notes to Schedules of Investments and Notes to Financial Statements.
10
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Distributors — 0.1% | ||||||||||
Genuine Parts Co. | 148 | $ | 14,705 | |||||||
Diversified Banks — 4.1% | ||||||||||
Bank of America Corp. | 10,147 | 137,187 | ||||||||
Citigroup Inc. | 2,905 | 121,284 | ||||||||
Comerica Inc. | 171 | 6,476 | ||||||||
JPMorgan Chase & Co. | 3,548 | 210,113 | ||||||||
U.S. Bancorp | 1,614 | 65,512 | ||||||||
Wells Fargo & Co. | 4,479 | 216,604 | ||||||||
757,176 | ||||||||||
Diversified Chemicals — 0.6% | ||||||||||
Eastman Chemical Co. | 145 | 10,473 | ||||||||
EI du Pont de Nemours & Co. | 835 | 52,872 | ||||||||
The Dow Chemical Co. | 1,072 | 54,522 | ||||||||
117,867 | ||||||||||
Diversified Metals & Mining — 0.1% | ||||||||||
Freeport-McMoRan Inc. | 1,121 | 11,591 | ||||||||
Diversified Support Services — 0.0%* | ||||||||||
Cintas Corp. | 85 | 7,634 | ||||||||
Drug Retail — 1.0% | ||||||||||
CVS Health Corp. | 1,081 | 112,132 | ||||||||
Walgreens Boots Alliance Inc. | 854 | 71,941 | ||||||||
184,073 | ||||||||||
Electric Utilities — 2.0% | ||||||||||
American Electric Power Company Inc. | 468 | 31,075 | ||||||||
Duke Energy Corp. | 656 | 52,926 | ||||||||
Edison International | 320 | 23,005 | ||||||||
Entergy Corp. | 175 | 13,874 | ||||||||
Eversource Energy | 311 | 18,144 | ||||||||
Exelon Corp. | 876 | 31,414 | ||||||||
FirstEnergy Corp. | 414 | 14,892 | ||||||||
NextEra Energy Inc. | 439 | 51,951 | ||||||||
PG&E Corp. | 467 | 27,889 | ||||||||
Pinnacle West Capital Corp. | 119 | 8,933 | ||||||||
PPL Corp. | 640 | 24,365 | ||||||||
The Southern Co. | 859 | 44,436 | ||||||||
Xcel Energy Inc. | 499 | 20,868 | ||||||||
363,772 | ||||||||||
Electrical Components & Equipment — 0.5% | ||||||||||
AMETEK Inc. | 233 | 11,645 | ||||||||
Eaton Corporation PLC | 441 | 27,589 | ||||||||
Emerson Electric Co. | 624 | 33,933 | ||||||||
Rockwell Automation Inc. | 129 | 14,674 | ||||||||
87,841 |
Number of Shares | Fair Value | |||||||||
Electronic Components — 0.2% | ||||||||||
Amphenol Corp., Class A | 303 | $ | 17,519 | |||||||
Corning Inc. | 1,128 | 23,564 | ||||||||
41,083 | ||||||||||
Electronic Equipment & Instruments — 0.0%* | ||||||||||
FLIR Systems Inc. | 100 | 3,295 | ||||||||
Electronic Manufacturing Services — 0.1% | ||||||||||
TE Connectivity Ltd. | 368 | 22,787 | ||||||||
Environmental & Facilities Services — 0.2% | ||||||||||
Republic Services Inc. | 234 | 11,150 | ||||||||
Stericycle Inc. | 83 | 10,474 | (a) | |||||||
Waste Management Inc. | 396 | 23,364 | ||||||||
44,988 | ||||||||||
Fertilizers & Agricultural Chemicals — 0.3% | ||||||||||
CF Industries Holdings Inc. | 227 | 7,114 | ||||||||
FMC Corp. | 128 | 5,167 | ||||||||
Monsanto Co. | 416 | 36,500 | ||||||||
The Mosaic Co. | 327 | 8,829 | ||||||||
57,610 | ||||||||||
Food Distributors — 0.1% | ||||||||||
Sysco Corp. | 500 | 23,365 | ||||||||
Food Retail — 0.3% | ||||||||||
The Kroger Co. | 921 | 35,228 | ||||||||
Whole Foods Market Inc. | 333 | 10,360 | ||||||||
45,588 | ||||||||||
Footwear — 0.4% | ||||||||||
NIKE Inc., Class B | 1,321 | 81,202 | ||||||||
Gas Utilities — 0.0%* | ||||||||||
AGL Resources Inc. | 117 | 7,621 | ||||||||
General Merchandise Stores — 0.5% | ||||||||||
Dollar General Corp. | 277 | 23,711 | ||||||||
Dollar Tree Inc. | 231 | 19,048 | (a) | |||||||
Target Corp. | 607 | 49,944 | ||||||||
92,703 | ||||||||||
Gold — 0.1% | ||||||||||
Newmont Mining Corp. | 515 | 13,689 | ||||||||
Health Care REITs — 0.3% | ||||||||||
HCP Inc. | 457 | 14,889 | ||||||||
Ventas Inc. | 327 | 20,588 | ||||||||
Welltower Inc. | 352 | 24,408 | ||||||||
59,885 |
See Notes to Schedules of Investments and Notes to Financial Statements.
11
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Healthcare Distributors — 0.5% | ||||||||||
AmerisourceBergen Corp. | 192 | $ | 16,618 | |||||||
Cardinal Health Inc. | 314 | 25,732 | ||||||||
Henry Schein Inc. | 81 | 13,983 | (a) | |||||||
McKesson Corp. | 219 | 34,438 | ||||||||
Patterson Companies Inc. | 79 | 3,676 | ||||||||
94,447 | ||||||||||
Healthcare Equipment — 2.0% | ||||||||||
Abbott Laboratories | 1,420 | 59,399 | ||||||||
Baxter International Inc. | 538 | 22,101 | ||||||||
Becton Dickinson and Co. | 201 | 30,516 | ||||||||
Boston Scientific Corp. | 1,282 | 24,114 | (a) | |||||||
CR Bard Inc. | 72 | 14,592 | ||||||||
Edwards Lifesciences Corp. | 212 | 18,700 | (a) | |||||||
Hologic Inc. | 200 | 6,900 | (a) | |||||||
Intuitive Surgical Inc. | 37 | 22,239 | (a) | |||||||
Medtronic PLC | 1,373 | 102,975 | ||||||||
St Jude Medical Inc. | 278 | 15,290 | ||||||||
Stryker Corp. | 301 | 32,294 | ||||||||
Varian Medical Systems Inc. | 94 | 7,522 | (a) | |||||||
Zimmer Biomet Holdings Inc. | 168 | 17,914 | ||||||||
374,556 | ||||||||||
Healthcare Facilities — 0.2% | ||||||||||
HCA Holdings Inc. | 299 | 23,337 | (a) | |||||||
Tenet Healthcare Corp. | 63 | 1,823 | (a) | |||||||
Universal Health Services Inc., Class B | 89 | 11,100 | ||||||||
36,260 | ||||||||||
Healthcare Services — 0.4% | ||||||||||
DaVita Healthcare Partners Inc. | 163 | 11,961 | (a) | |||||||
Express Scripts Holding Co. | 639 | 43,893 | (a) | |||||||
Laboratory Corporation of America Holdings | 99 | 11,596 | (a) | |||||||
Quest Diagnostics Inc. | 140 | 10,003 | ||||||||
77,453 | ||||||||||
Healthcare Supplies — 0.1% | ||||||||||
DENTSPLY SIRONA Inc. | 236 | 14,545 | ||||||||
Healthcare Technology — 0.1% | ||||||||||
Cerner Corp. | 299 | 15,835 | (a) | |||||||
Home Building — 0.1% | ||||||||||
DR Horton Inc. | 320 | 9,673 | ||||||||
Lennar Corp., Class A | 174 | 8,415 | ||||||||
PulteGroup Inc. | 245 | 4,584 | ||||||||
22,672 | ||||||||||
Home Entertainment Software — 0.2% | ||||||||||
Activision Blizzard Inc. | 496 | 16,784 | ||||||||
Electronic Arts Inc. | 306 | 20,230 | (a) | |||||||
37,014 |
Number of Shares | Fair Value | |||||||||
Home Furnishing Retail — 0.0%* | ||||||||||
Bed Bath & Beyond Inc. | 162 | $ | 8,042 | (a) | ||||||
Home Furnishings — 0.1% | ||||||||||
Leggett & Platt Inc. | 150 | 7,260 | ||||||||
Mohawk Industries Inc. | 62 | 11,836 | (a) | |||||||
19,096 | ||||||||||
Home Improvement Retail — 1.3% | ||||||||||
Lowe’s Companies Inc. | 898 | 68,024 | ||||||||
The Home Depot Inc. | 1,235 | 164,786 | ||||||||
232,810 | ||||||||||
Hotel & Resort REITs — 0.1% | ||||||||||
Host Hotels & Resorts Inc. | 735 | 12,275 | ||||||||
Hotels, Resorts & Cruise Lines — 0.4% | ||||||||||
Carnival Corp. | 439 | 23,166 | ||||||||
Marriott International Inc., Class A | 189 | 13,453 | ||||||||
Royal Caribbean Cruises Ltd. | 169 | 13,883 | ||||||||
Starwood Hotels & Resorts Worldwide Inc. | 165 | 13,766 | ||||||||
Wyndham Worldwide Corp. | 113 | 8,637 | ||||||||
72,905 | ||||||||||
Household Appliances — 0.1% | ||||||||||
Whirlpool Corp. | 76 | 13,706 | ||||||||
Household Products — 1.9% | ||||||||||
Church & Dwight Company Inc. | 128 | 11,799 | ||||||||
Colgate-Palmolive Co. | 853 | 60,264 | ||||||||
Kimberly-Clark Corp. | 343 | 46,137 | ||||||||
The Clorox Co. | 127 | 16,010 | ||||||||
The Procter & Gamble Co. | 2,622 | 215,817 | ||||||||
350,027 | ||||||||||
Housewares & Specialties — 0.1% | ||||||||||
Newell Rubbermaid Inc. | 261 | 11,560 | ||||||||
Human Resource & Employment Services — 0.0%* | ||||||||||
Robert Half International Inc. | 104 | 4,844 | ||||||||
Hypermarkets & Super Centers — 0.9% | ||||||||||
Costco Wholesale Corp. | 429 | 67,602 | ||||||||
Wal-Mart Stores Inc. | 1,532 | 104,926 | ||||||||
172,528 | ||||||||||
Independent Power Producers & Energy Traders — 0.1% | ||||||||||
AES Corp. | 649 | 7,658 | ||||||||
NRG Energy Inc. | 363 | 4,723 | ||||||||
12,381 | ||||||||||
Industrial Conglomerates — 2.5% | ||||||||||
3M Co. | 602 | 100,311 | ||||||||
Danaher Corp. | 568 | 53,880 |
See Notes to Schedules of Investments and Notes to Financial Statements.
12
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
General Electric Co. | 9,169 | $ | 291,483 | (j) | ||||||
Roper Technologies Inc. | 99 | 18,094 | ||||||||
463,768 | ||||||||||
Industrial Gases — 0.4% | ||||||||||
Air Products & Chemicals Inc. | 185 | 26,649 | ||||||||
Airgas Inc. | 63 | 8,924 | ||||||||
Praxair Inc. | 271 | 31,016 | ||||||||
66,589 | ||||||||||
Industrial Machinery — 0.6% | ||||||||||
Dover Corp. | 151 | 9,714 | ||||||||
Flowserve Corp. | 126 | 5,596 | ||||||||
Illinois Tool Works Inc. | 312 | 31,961 | ||||||||
Ingersoll-Rand PLC | 256 | 15,874 | ||||||||
Parker-Hannifin Corp. | 133 | 14,774 | ||||||||
Pentair PLC | 175 | 9,495 | ||||||||
Snap-on Inc. | 57 | 8,948 | ||||||||
Stanley Black & Decker Inc. | 147 | 15,466 | ||||||||
Xylem Inc. | 143 | 5,849 | ||||||||
117,677 | ||||||||||
Industrial REITs — 0.1% | ||||||||||
Prologis Inc. | 524 | 23,150 | ||||||||
Insurance Brokers — 0.4% | ||||||||||
Aon PLC | 261 | 27,261 | ||||||||
Marsh & McLennan Companies Inc. | 497 | 30,213 | ||||||||
Willis Towers Watson PLC | 139 | 16,494 | ||||||||
73,968 | ||||||||||
Integrated Oil & Gas — 3.0% | ||||||||||
Chevron Corp. | 1,832 | 174,773 | ||||||||
Exxon Mobil Corp. | 4,042 | 337,871 | ||||||||
Occidental Petroleum Corp. | 728 | 49,817 | ||||||||
562,461 | ||||||||||
Integrated Telecommunication Services — 2.5% | ||||||||||
AT&T Inc. | 5,928 | 232,200 | ||||||||
CenturyLink Inc. | 538 | 17,194 | ||||||||
Frontier Communications Corp. | 1,121 | 6,266 | ||||||||
Verizon Communications Inc. | 3,922 | 212,102 | ||||||||
467,762 | ||||||||||
Internet Retail — 1.9% | ||||||||||
Amazon.com Inc. | 374 | 222,022 | (a) | |||||||
Expedia Inc. | 115 | 12,399 | ||||||||
Netflix Inc. | 404 | 41,301 | (a) | |||||||
The Priceline Group Inc. | 49 | 63,159 | (a) | |||||||
TripAdvisor Inc. | 110 | 7,315 | (a) | |||||||
346,196 | ||||||||||
Internet Software & Services — 4.1% | ||||||||||
Akamai Technologies Inc. | 173 | 9,614 | (a) | |||||||
Alphabet Inc., Class A | 281 | 214,375 | (a) |
Number of Shares | Fair Value | |||||||||
Alphabet Inc., Class C | 289 | $ | 215,290 | (a) | ||||||
eBay Inc. | 1,053 | 25,124 | (a) | |||||||
Facebook Inc., Class A | 2,207 | 251,819 | (a) | |||||||
VeriSign Inc. | 95 | 8,411 | (a) | |||||||
Yahoo! Inc. | 828 | 30,479 | (a) | |||||||
755,112 | ||||||||||
Investment Banking & Brokerage — 0.7% | ||||||||||
E*TRADE Financial Corp. | 285 | 6,980 | (a) | |||||||
Morgan Stanley | 1,439 | 35,989 | ||||||||
The Charles Schwab Corp. | 1,142 | 31,999 | ||||||||
The Goldman Sachs Group Inc. | 377 | 59,181 | ||||||||
134,149 | ||||||||||
IT Consulting & Other Services — 1.3% | ||||||||||
Accenture PLC, Class A | 613 | 70,740 | ||||||||
Cognizant Technology Solutions Corp., Class A | 580 | 36,366 | (a) | |||||||
CSRA Inc. | 97 | 2,609 | ||||||||
International Business Machines Corp. | 870 | 131,762 | ||||||||
Teradata Corp. | 125 | 3,280 | (a) | |||||||
244,757 | ||||||||||
Leisure Products — 0.1% | ||||||||||
Hasbro Inc. | 109 | 8,731 | ||||||||
Mattel Inc. | 330 | 11,095 | ||||||||
19,826 | ||||||||||
Life & Health Insurance — 0.7% | ||||||||||
Aflac Inc. | 407 | 25,698 | ||||||||
Lincoln National Corp. | 242 | 9,486 | ||||||||
MetLife Inc. | 1,060 | 46,577 | ||||||||
Principal Financial Group Inc. | 266 | 10,494 | ||||||||
Prudential Financial Inc. | 428 | 30,910 | ||||||||
Torchmark Corp. | 111 | 6,012 | ||||||||
Unum Group | 236 | 7,297 | ||||||||
136,474 | ||||||||||
Life Sciences Tools & Services — 0.6% |
| |||||||||
Agilent Technologies Inc. | 325 | 12,951 | ||||||||
Illumina Inc. | 140 | 22,695 | (a) | |||||||
PerkinElmer Inc. | 86 | 4,254 | ||||||||
Thermo Fisher Scientific Inc. | 380 | 53,804 | ||||||||
Waters Corp. | 80 | 10,554 | (a) | |||||||
104,258 | ||||||||||
Managed Healthcare — 1.4% | ||||||||||
Aetna Inc. | 332 | 37,300 | ||||||||
Anthem Inc. | 249 | 34,608 | ||||||||
Centene Corp. | 200 | 12,314 | (a) | |||||||
Cigna Corp. | 244 | 33,487 | ||||||||
Humana Inc. | 141 | 25,796 | ||||||||
UnitedHealth Group Inc. | 930 | 119,877 | ||||||||
263,382 |
See Notes to Schedules of Investments and Notes to Financial Statements.
13
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Metal & Glass Containers — 0.1% | ||||||||||
Ball Corp. | 133 | $ | 9,481 | |||||||
Owens-Illinois Inc. | 210 | 3,352 | (a) | |||||||
12,833 | ||||||||||
Motorcycle Manufacturers — 0.1% | ||||||||||
Harley-Davidson Inc. | 187 | 9,599 | ||||||||
Movies & Entertainment — 1.4% | ||||||||||
The Walt Disney Co. | 1,482 | 147,178 | ||||||||
Time Warner Inc. | 786 | 57,024 | ||||||||
Twenty-First Century Fox Inc., Class A | 1,116 | 31,114 | ||||||||
Twenty-First Century Fox Inc., Class B | 411 | 11,590 | ||||||||
Viacom Inc., Class B | 340 | 14,035 | ||||||||
260,941 | ||||||||||
Multi-Line Insurance — 0.5% | ||||||||||
American International Group Inc. | 1,119 | 60,482 | ||||||||
Assurant Inc. | 63 | 4,861 | ||||||||
Loews Corp. | 273 | 10,445 | ||||||||
The Hartford Financial Services Group Inc. | 403 | 18,570 | ||||||||
94,358 | ||||||||||
Multi-Sector Holdings — 1.4% | ||||||||||
Berkshire Hathaway Inc., Class B | 1,821 | 258,363 | (a) | |||||||
Leucadia National Corp. | 258 | 4,172 | ||||||||
262,535 | ||||||||||
Multi-Utilities — 1.1% | ||||||||||
Ameren Corp. | 237 | 11,874 | ||||||||
CenterPoint Energy Inc. | 417 | 8,724 | ||||||||
CMS Energy Corp. | 270 | 11,459 | ||||||||
Consolidated Edison Inc. | 288 | 22,067 | ||||||||
Dominion Resources Inc. | 563 | 42,292 | ||||||||
DTE Energy Co. | 176 | 15,956 | ||||||||
NiSource Inc. | 307 | 7,233 | ||||||||
Public Service Enterprise Group Inc. | 482 | 22,721 | ||||||||
SCANA Corp. | 139 | 9,751 | ||||||||
Sempra Energy | 225 | 23,411 | ||||||||
TECO Energy Inc. | 187 | 5,148 | ||||||||
WEC Energy Group Inc. | 310 | 18,622 | ||||||||
199,258 | ||||||||||
Office REITs — 0.2% | ||||||||||
Boston Properties Inc. | 151 | 19,189 | ||||||||
SL Green Realty Corp. | 97 | 9,397 | ||||||||
Vornado Realty Trust | 174 | 16,431 | ||||||||
45,017 | ||||||||||
Office Services & Supplies — 0.0%* | ||||||||||
Pitney Bowes Inc. | 141 | 3,037 |
Number of Shares | Fair Value | |||||||||
Oil & Gas Drilling — 0.1% | ||||||||||
Diamond Offshore Drilling Inc. | 17 | $ | 369 | |||||||
Helmerich & Payne Inc. | 117 | 6,870 | ||||||||
Transocean Ltd. | 441 | 4,031 | ||||||||
11,270 | ||||||||||
Oil & Gas Equipment & Services — 0.9% |
| |||||||||
Baker Hughes Inc. | 429 | 18,803 | ||||||||
Cameron International Corp. | 187 | 12,538 | (a) | |||||||
FMC Technologies Inc. | 220 | 6,019 | (a) | |||||||
Halliburton Co. | 816 | 29,148 | ||||||||
National Oilwell Varco Inc. | 368 | 11,445 | ||||||||
Schlumberger Ltd. | 1,233 | 90,934 | ||||||||
168,887 | ||||||||||
Oil & Gas Exploration & Production — 1.4% |
| |||||||||
Anadarko Petroleum Corp. | 501 | 23,332 | ||||||||
Apache Corp. | 371 | 18,108 | ||||||||
Cabot Oil & Gas Corp. | 400 | 9,084 | ||||||||
Chesapeake Energy Corp. | 713 | 2,938 | ||||||||
Cimarex Energy Co. | 92 | 8,949 | ||||||||
Concho Resources Inc. | 123 | 12,428 | (a) | |||||||
ConocoPhillips | 1,177 | 47,398 | ||||||||
Devon Energy Corp. | 525 | 14,406 | ||||||||
EOG Resources Inc. | 524 | 38,032 | ||||||||
EQT Corp. | 148 | 9,954 | ||||||||
Hess Corp. | 235 | 12,373 | ||||||||
Marathon Oil Corp. | 866 | 9,647 | ||||||||
Murphy Oil Corp. | 187 | 4,710 | ||||||||
Newfield Exploration Co. | 212 | 7,049 | (a) | |||||||
Noble Energy Inc. | 417 | 13,098 | ||||||||
Pioneer Natural Resources Co. | 161 | 22,659 | ||||||||
Range Resources Corp. | 129 | 4,177 | ||||||||
Southwestern Energy Co. | 265 | 2,139 | (a) | |||||||
260,481 | ||||||||||
Oil & Gas Refining & Marketing — 0.5% |
| |||||||||
Marathon Petroleum Corp. | 534 | 19,854 | ||||||||
Phillips 66 | 449 | 38,879 | ||||||||
Tesoro Corp. | 118 | 10,149 | ||||||||
Valero Energy Corp. | 459 | 29,440 | ||||||||
98,322 | ||||||||||
Oil & Gas Storage & Transportation — 0.4% |
| |||||||||
Columbia Pipeline Group Inc. | 377 | 9,463 | ||||||||
Kinder Morgan Inc. | 1,744 | 31,148 | ||||||||
ONEOK Inc. | 200 | 5,972 | ||||||||
Spectra Energy Corp. | 659 | 20,165 | ||||||||
The Williams Companies Inc. | 670 | 10,767 | ||||||||
77,515 | ||||||||||
Packaged Foods & Meats — 1.5% | ||||||||||
Campbell Soup Co. | 175 | 11,163 | ||||||||
ConAgra Foods Inc. | 426 | 19,008 | ||||||||
General Mills Inc. | 570 | 36,110 |
See Notes to Schedules of Investments and Notes to Financial Statements.
14
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Hormel Foods Corp. | 264 | $ | 11,415 | |||||||
Kellogg Co. | 251 | 19,214 | ||||||||
McCormick & Company Inc. | 113 | 11,241 | ||||||||
Mead Johnson Nutrition Co. | 193 | 16,399 | ||||||||
Mondelez International Inc., Class A | 1,559 | 62,547 | ||||||||
The Hershey Co. | 141 | 12,985 | ||||||||
The JM Smucker Co. | 117 | 15,191 | ||||||||
The Kraft Heinz Co. | 562 | 44,151 | ||||||||
Tyson Foods Inc., Class A | 290 | 19,332 | ||||||||
278,756 | ||||||||||
Paper Packaging — 0.2% | ||||||||||
Avery Dennison Corp. | 88 | 6,346 | ||||||||
International Paper Co. | 407 | 16,703 | ||||||||
Sealed Air Corp. | 192 | 9,218 | ||||||||
WestRock Co. | 251 | 9,796 | ||||||||
42,063 | ||||||||||
Personal Products — 0.1% | ||||||||||
The Estee Lauder Companies Inc., Class A | 219 | 20,654 | ||||||||
Pharmaceuticals — 5.2% | ||||||||||
Allergan PLC | 385 | 103,191 | (a) | |||||||
Bristol-Myers Squibb Co. | 1,629 | 104,060 | ||||||||
Eli Lilly & Co. | 957 | 68,914 | ||||||||
Endo International PLC | 204 | 5,743 | (a) | |||||||
Johnson & Johnson | 2,688 | 290,842 | ||||||||
Mallinckrodt PLC | 113 | 6,925 | (a) | |||||||
Merck & Company Inc. | 2,722 | 144,021 | ||||||||
Mylan N.V. | 415 | 19,235 | (a) | |||||||
Perrigo Company PLC | 140 | 17,910 | ||||||||
Pfizer Inc. | 5,954 | 176,476 | ||||||||
Zoetis Inc. | 451 | 19,993 | ||||||||
957,310 | ||||||||||
Property & Casualty Insurance — 0.8% |
| |||||||||
Chubb Ltd. | 439 | 52,307 | ||||||||
Cincinnati Financial Corp. | 143 | 9,346 | ||||||||
The Allstate Corp. | 369 | 24,860 | ||||||||
The Progressive Corp. | 575 | 20,205 | ||||||||
The Travelers Companies Inc. | 290 | 33,846 | ||||||||
XL Group PLC | 291 | 10,709 | ||||||||
151,273 | ||||||||||
Publishing — 0.0%* | ||||||||||
News Corp., Class A | 366 | 4,674 | ||||||||
News Corp., Class B | 40 | 530 | ||||||||
5,204 | ||||||||||
Railroads — 0.7% | ||||||||||
CSX Corp. | 929 | 23,922 | ||||||||
Kansas City Southern | 106 | 9,058 | ||||||||
Norfolk Southern Corp. | 285 | 23,726 | ||||||||
Union Pacific Corp. | 830 | 66,026 | ||||||||
122,732 |
Number of Shares | Fair Value | |||||||||
Real Estate Services — 0.0%* | ||||||||||
CBRE Group Inc., Class A | 283 | $ | 8,156 | (a) | ||||||
Regional Banks — 0.9% | ||||||||||
BB&T Corp. | 744 | 24,753 | ||||||||
Citizens Financial Group Inc. | 500 | 10,475 | ||||||||
Fifth Third Bancorp | 780 | 13,018 | ||||||||
Huntington Bancshares Inc. | 775 | 7,394 | ||||||||
KeyCorp | 816 | 9,009 | ||||||||
M&T Bank Corp. | 157 | 17,427 | ||||||||
People’s United Financial Inc. | 297 | 4,731 | ||||||||
Regions Financial Corp. | 1,277 | 10,024 | ||||||||
SunTrust Banks Inc. | 502 | 18,112 | ||||||||
The PNC Financial Services Group Inc. | 480 | 40,594 | ||||||||
Zions Bancorporation | 153 | 3,704 | ||||||||
159,241 | ||||||||||
Research & Consulting Services — 0.3% |
| |||||||||
Equifax Inc. | 116 | 13,258 | ||||||||
Nielsen Holdings PLC | 358 | 18,852 | ||||||||
The Dun & Bradstreet Corp. | 47 | 4,845 | ||||||||
Verisk Analytics Inc. | 152 | 12,148 | (a) | |||||||
49,103 | ||||||||||
Residential REITs — 0.5% | ||||||||||
Apartment Investment & Management Co., Class A | 151 | 6,315 | ||||||||
AvalonBay Communities Inc. | 130 | 24,726 | ||||||||
Equity Residential | 347 | 26,035 | ||||||||
Essex Property Trust Inc. | 65 | 15,201 | ||||||||
UDR Inc. | 275 | 10,596 | ||||||||
82,873 | ||||||||||
Restaurants — 1.4% | ||||||||||
Chipotle Mexican Grill Inc. | 31 | 14,600 | (a) | |||||||
Darden Restaurants Inc. | 112 | 7,426 | ||||||||
McDonald’s Corp. | 896 | 112,609 | ||||||||
Starbucks Corp. | 1,453 | 86,744 | ||||||||
Yum! Brands Inc. | 411 | 33,640 | ||||||||
255,019 | ||||||||||
Retail REITs — 0.7% | ||||||||||
Federal Realty Investment Trust | 72 | 11,236 | ||||||||
General Growth Properties Inc. | 572 | 17,006 | ||||||||
Kimco Realty Corp. | 404 | 11,627 | ||||||||
Realty Income Corp. | 244 | 15,252 | ||||||||
Simon Property Group Inc. | 294 | 61,061 | ||||||||
The Macerich Co. | 131 | 10,380 | ||||||||
126,562 | ||||||||||
Security & Alarm Services — 0.1% | ||||||||||
The ADT Corp. | 179 | 7,385 | ||||||||
Tyco International PLC | 414 | 15,198 | ||||||||
22,583 |
See Notes to Schedules of Investments and Notes to Financial Statements.
15
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Semiconductor Equipment — 0.3% | ||||||||||
Applied Materials Inc. | 1,131 | $ | 23,955 | |||||||
KLA-Tencor Corp. | 152 | 11,067 | ||||||||
Lam Research Corp. | 155 | 12,803 | ||||||||
47,825 | ||||||||||
Semiconductors — 2.4% | ||||||||||
Analog Devices Inc. | 307 | 18,171 | ||||||||
Broadcom Ltd. | 371 | 57,320 | ||||||||
First Solar Inc. | 72 | 4,930 | (a) | |||||||
Intel Corp. | 4,598 | 148,745 | ||||||||
Linear Technology Corp. | 233 | 10,382 | ||||||||
Microchip Technology Inc. | 198 | 9,544 | ||||||||
Micron Technology Inc. | 1,065 | 11,151 | (a) | |||||||
NVIDIA Corp. | 502 | 17,886 | ||||||||
Qorvo Inc. | 137 | 6,906 | (a) | |||||||
QUALCOMM Inc. | 1,472 | 75,278 | ||||||||
Skyworks Solutions Inc. | 188 | 14,645 | ||||||||
Texas Instruments Inc. | 967 | 55,525 | ||||||||
Xilinx Inc. | 251 | 11,905 | ||||||||
442,388 | ||||||||||
Soft Drinks — 2.0% | ||||||||||
Coca-Cola Enterprises Inc. | 204 | 10,351 | ||||||||
Dr Pepper Snapple Group Inc. | 186 | 16,632 | ||||||||
Monster Beverage Corp. | 151 | 20,140 | (a) | |||||||
PepsiCo Inc. | 1,419 | 145,419 | ||||||||
The Coca-Cola Co. | 3,776 | 175,169 | ||||||||
367,711 | ||||||||||
Specialized Consumer Services — 0.0%* |
| |||||||||
H&R Block Inc. | 229 | 6,050 | ||||||||
Specialized Finance — 0.6% | ||||||||||
CME Group Inc. | 322 | 30,928 | ||||||||
Intercontinental Exchange Inc. | 113 | 26,571 | ||||||||
McGraw Hill Financial Inc. | 258 | 25,537 | ||||||||
Moody’s Corp. | 169 | 16,319 | ||||||||
Nasdaq Inc. | 124 | 8,231 | ||||||||
107,586 | ||||||||||
Specialized REITs — 0.9% | ||||||||||
American Tower Corp. | 404 | 41,357 | ||||||||
Crown Castle International Corp. | 318 | 27,507 | ||||||||
Equinix Inc. | 69 | 22,819 | ||||||||
Extra Space Storage Inc. | 129 | 12,056 | ||||||||
Iron Mountain Inc. | 213 | 7,223 | ||||||||
Public Storage | 140 | 38,616 | ||||||||
Weyerhaeuser Co. | 771 | 23,886 | ||||||||
173,464 | ||||||||||
Specialty Chemicals — 0.5% | ||||||||||
Ecolab Inc. | 253 | 28,215 | ||||||||
International Flavors & Fragrances Inc. | 78 | 8,874 |
Number of Shares | Fair Value | |||||||||
PPG Industries Inc. | 257 | $ | 28,653 | |||||||
The Sherwin-Williams Co. | 75 | 21,350 | ||||||||
87,092 | ||||||||||
Specialty Stores — 0.2% | ||||||||||
Signet Jewelers Ltd. | 77 | 9,551 | ||||||||
Staples Inc. | 503 | 5,548 | ||||||||
Tiffany & Co. | 108 | 7,925 | ||||||||
Tractor Supply Co. | 131 | 11,850 | ||||||||
34,874 | ||||||||||
Steel — 0.1% | ||||||||||
Nucor Corp. | 313 | 14,805 | ||||||||
Systems Software — 3.2% | ||||||||||
CA Inc. | 303 | 9,329 | ||||||||
Microsoft Corp. | 7,753 | 428,198 | ||||||||
Oracle Corp. | 3,123 | 127,762 | ||||||||
Red Hat Inc. | 179 | 13,337 | (a) | |||||||
Symantec Corp. | 662 | 12,168 | ||||||||
590,794 | ||||||||||
Technology Hardware, Storage & Peripherals — 4.0% |
| |||||||||
Apple Inc. | 5,408 | 589,418 | (m) | |||||||
EMC Corp. | 1,850 | 49,303 | ||||||||
Hewlett Packard Enterprise Co. | 1,714 | 30,389 | ||||||||
HP Inc. | 1,778 | 21,905 | ||||||||
NetApp Inc. | 284 | 7,750 | ||||||||
SanDisk Corp. | 197 | 14,988 | ||||||||
Seagate Technology PLC | 292 | 10,059 | ||||||||
Western Digital Corp. | 227 | 10,724 | ||||||||
734,536 | ||||||||||
Tires & Rubber — 0.1% | ||||||||||
The Goodyear Tire & Rubber Co. | 262 | 8,641 | ||||||||
Tobacco — 1.7% | ||||||||||
Altria Group Inc. | 1,913 | 119,869 | ||||||||
Philip Morris International Inc. | 1,509 | 148,048 | ||||||||
Reynolds American Inc. | 784 | 39,443 | ||||||||
307,360 | ||||||||||
Trading Companies & Distributors — 0.2% |
| |||||||||
Fastenal Co. | 283 | 13,867 | ||||||||
United Rentals Inc. | 90 | 5,597 | (a) | |||||||
WW Grainger Inc. | 56 | 13,072 | ||||||||
32,536 | ||||||||||
Trucking — 0.1% | ||||||||||
JB Hunt Transport Services Inc. | 87 | 7,329 | ||||||||
Ryder System Inc. | 69 | 4,470 | ||||||||
11,799 |
See Notes to Schedules of Investments and Notes to Financial Statements.
16
Table of Contents
S&P 500 Index Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Water Utilities — 0.1% | ||||||||||
American Water Works Company Inc. | 200 | $ | 13,786 | |||||||
Total Common Stock | 17,488,835 | |||||||||
Short-Term Investments — 4.9% |
| |||||||||
State Street Institutional U.S. | 910,779 | (d,m,n) | ||||||||
Total Investments | 18,399,614 | |||||||||
Other Assets and Liabilities, | 69,705 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 18,469,319 | ||||||||
|
|
Other Information: |
The Fund had the following long futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation | |||||||||||||
S&P 500 Emini Index Futures | June 2016 | 9 | $ | 923,175 | $ | 20,272 |
See Notes to Schedules of Investments and Notes to Financial Statements.
17
Table of Contents
U.S. Large-Cap Core Equity Fund | (Unaudited) |
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares), professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2016.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
October 1, 2015 – March 31, 2016
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | |||||||||||||
Actual Fund Return | |||||||||||||||
Investment Class | 1,000.00 | 1,053.50 | 2.46 | ||||||||||||
Service Class | 1,000.00 | 1,052.10 | 3.75 | ||||||||||||
Hypothetical 5% Return (2.5% for the period) | |||||||||||||||
Investment Class | 1,000.00 | 1,022.60 | 2.43 | ||||||||||||
Service Class | 1,000.00 | 1,021.35 | 3.69 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.48% for Investment Class shares and 0.73% for Service Class shares (for the period October 1, 2015 – March 31, 2016), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
18
Table of Contents
U.S. Large-Cap Core Equity Fund | (Unaudited) |
Investment Profile |
A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks to achieve its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities of large-capitalization U.S. companies, such as common and preferred stocks. The Fund invests in U.S. large-cap companies (meaning companies with market capitalizations of $8 billion or more) that the portfolio managers believe are undervalued by the market but have solid growth prospects.
Sector Allocation |
Portfolio compositions as a % of Fair Value of Investments of $58,879 (in thousands) on March 31, 2016 (a)(b)
Top Ten Largest Holdings |
as a % of Fair Value of Investments of $58,879 (in thousands) on March 31, 2016 (a)(b)
Alphabet Inc., Class A | 3.45% | |||
Apple Inc. | 2.85% | |||
Cisco Systems Inc. | 2.59% | |||
Johnson & Johnson | 2.55% | |||
Exxon Mobil Corp. | 2.55% | |||
Bank of America Corp. | 2.40% | |||
PepsiCo Inc. | 2.24% | |||
Merck & Company Inc. | 2.24% | |||
Comcast Corp., Class A | 2.20% | |||
Oracle Corp. | 2.06% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
19
Table of Contents
U.S. Large-Cap Core Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
U.S. Large-Cap Core Equity Fund |
Number of Shares | Fair Value | |||||||||
Common Stock — 97.3%† | ||||||||||
Aerospace & Defense — 4.6% | ||||||||||
General Dynamics Corp. | 3,230 | $ | 424,325 | |||||||
Hexcel Corp. | 12,010 | 524,957 | ||||||||
Honeywell International Inc. | 9,767 | 1,094,392 | ||||||||
The Boeing Co. | 5,102 | 647,648 | ||||||||
2,691,322 | ||||||||||
Airlines — 1.3% | ||||||||||
Delta Air Lines Inc. | 15,312 | 745,388 | ||||||||
Apparel, Accessories & Luxury Goods — 0.8% | ||||||||||
VF Corp. | 7,397 | 479,030 | ||||||||
Asset Management & Custody Banks — 4.1% | ||||||||||
Ameriprise Financial Inc. | 8,736 | 821,271 | ||||||||
Invesco Ltd. | 28,111 | 864,976 | ||||||||
State Street Corp. | 11,966 | 700,250 | (e) | |||||||
2,386,497 | ||||||||||
Auto Parts & Equipment — 1.7% | ||||||||||
Delphi Automotive PLC | 13,723 | 1,029,499 | ||||||||
Automobile Manufacturers — 1.5% | ||||||||||
Ford Motor Co. | 65,784 | 888,084 | ||||||||
Automotive Retail — 0.5% | ||||||||||
Advance Auto Parts Inc. | 1,941 | 311,220 | ||||||||
Biotechnology — 3.8% | ||||||||||
Amgen Inc. | 7,951 | 1,192,094 | ||||||||
Gilead Sciences Inc. | 11,206 | 1,029,383 | ||||||||
2,221,477 | ||||||||||
Broadcasting — 0.8% | ||||||||||
CBS Corp., Class B | 8,412 | 463,417 | ||||||||
Cable & Satellite — 2.2% | ||||||||||
Comcast Corp., Class A | 21,216 | 1,295,873 | ||||||||
Communications Equipment — 2.6% | ||||||||||
Cisco Systems Inc. | 53,531 | 1,524,028 | ||||||||
Consumer Finance — 1.7% | ||||||||||
Discover Financial Services | 19,090 | 972,063 | ||||||||
Diversified Banks — 7.3% | ||||||||||
Bank of America Corp. | 104,362 | 1,410,974 | ||||||||
Citigroup Inc. | 16,516 | 689,543 |
Number of Shares | Fair Value | |||||||||
JPMorgan Chase & Co. | 19,834 | $ | 1,174,570 | |||||||
Wells Fargo & Co. | 20,803 | 1,006,033 | ||||||||
4,281,120 | ||||||||||
Drug Retail — 1.5% | ||||||||||
CVS Health Corp. | 8,299 | 860,855 | ||||||||
Electric Utilities — 1.8% | ||||||||||
NextEra Energy Inc. | 9,160 | 1,083,994 | ||||||||
General Merchandise Stores — 1.6% | ||||||||||
Dollar General Corp. | 11,117 | 951,615 | ||||||||
Healthcare Distributors — 1.5% | ||||||||||
Cardinal Health Inc. | 11,121 | 911,366 | ||||||||
Healthcare Equipment — 2.9% | ||||||||||
Boston Scientific Corp. | 52,481 | 987,167 | (a) | |||||||
Stryker Corp. | 6,603 | 708,436 | ||||||||
1,695,603 | ||||||||||
Home Improvement Retail — 1.8% | ||||||||||
Lowe’s Companies Inc. | 13,783 | 1,044,062 | ||||||||
Hotels, Resorts & Cruise Lines — 0.5% | ||||||||||
Hilton Worldwide Holdings Inc. | 12,106 | 272,627 | ||||||||
Household Products — 1.8% | ||||||||||
The Procter & Gamble Co. | 12,687 | 1,044,267 | ||||||||
Housewares & Specialties — 0.3% | ||||||||||
Newell Rubbermaid Inc. | 4,199 | 185,974 | ||||||||
Independent Power Producers & Energy Traders — 0.9% | ||||||||||
Calpine Corp. | 36,604 | 555,283 | (a) | |||||||
Industrial Machinery — 1.8% | ||||||||||
Ingersoll-Rand PLC | 17,252 | 1,069,797 | ||||||||
Integrated Oil & Gas — 5.2% | ||||||||||
Chevron Corp. | 6,305 | 601,497 | ||||||||
Exxon Mobil Corp. | 17,931 | 1,498,852 | ||||||||
Occidental Petroleum Corp. | 13,900 | 951,177 | ||||||||
3,051,526 | ||||||||||
Integrated Telecommunication Services — 1.1% | ||||||||||
Verizon Communications Inc. | 11,569 | 625,652 | ||||||||
Internet Software & Services — 3.5% | ||||||||||
Alphabet Inc., Class A | 2,664 | 2,032,366 | (a,m) | |||||||
IT Consulting & Other Services — 0.9% | ||||||||||
Cognizant Technology Solutions Corp., Class A | 8,605 | 539,533 | (a) |
See Notes to Schedules of Investments and Notes to Financial Statements.
20
Table of Contents
U.S. Large-Cap Core Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Movies & Entertainment — 1.8% | ||||||||||
Time Warner Inc. | 14,236 | $ | 1,032,822 | |||||||
Multi-Line Insurance — 1.7% | ||||||||||
The Hartford Financial Services Group Inc. | 21,772 | 1,003,254 | ||||||||
Multi-Utilities — 0.1% | ||||||||||
Sempra Energy | 850 | 88,442 | ||||||||
Oil & Gas Equipment & Services — 1.3% | ||||||||||
Schlumberger Ltd. | 10,790 | 795,762 | ||||||||
Oil & Gas Exploration & Production — 2.6% | ||||||||||
Concho Resources Inc. | 3,296 | 333,028 | (a) | |||||||
ConocoPhillips | 12,459 | 501,724 | ||||||||
Hess Corp. | 13,694 | 720,989 | ||||||||
1,555,741 | ||||||||||
Packaged Foods & Meats — 1.1% | ||||||||||
Mondelez International Inc., Class A | 16,155 | 648,139 | ||||||||
Paper Packaging — 0.4% | ||||||||||
Packaging Corporation of America | 3,944 | 238,218 | ||||||||
Pharmaceuticals — 7.9% | ||||||||||
Allergan PLC | 4,521 | 1,211,764 | (a) | |||||||
Johnson & Johnson | 13,893 | 1,503,223 | ||||||||
Merck & Company Inc. | 24,923 | 1,318,676 | ||||||||
Pfizer Inc. | 20,060 | 594,578 | ||||||||
4,628,241 | ||||||||||
Property & Casualty Insurance — 1.6% | ||||||||||
Chubb Ltd. | 4,388 | 522,830 | ||||||||
XL Group PLC | 11,420 | 420,256 | ||||||||
943,086 | ||||||||||
Railroads — 0.3% | ||||||||||
CSX Corp. | 7,729 | 199,022 | ||||||||
Research & Consulting Services — 1.6% | ||||||||||
Nielsen Holdings PLC | 17,406 | 916,600 | ||||||||
Semiconductor Equipment — 1.9% | ||||||||||
Applied Materials Inc. | 51,767 | 1,096,425 | ||||||||
Semiconductors — 2.6% | ||||||||||
NXP Semiconductors N.V. | 4,322 | 350,384 | (a) | |||||||
QUALCOMM Inc. | 22,504 | 1,150,855 | ||||||||
1,501,239 |
Number of Shares | Fair Value | |||||||||
Soft Drinks — 2.2% | ||||||||||
PepsiCo Inc. | 12,892 | $ | 1,321,172 | |||||||
Specialized REITs — 2.7% | ||||||||||
American Tower Corp. | 10,807 | 1,106,313 | ||||||||
Extra Space Storage Inc. | 4,983 | 465,711 | ||||||||
1,572,024 | ||||||||||
Specialty Chemicals — 0.9% | ||||||||||
PPG Industries Inc. | 4,746 | 529,132 | ||||||||
Systems Software — 2.1% | ||||||||||
Oracle Corp. | 29,667 | 1,213,677 | ||||||||
Technology Hardware, Storage & Peripherals — 3.6% | ||||||||||
Apple Inc. | 15,401 | 1,678,555 | ||||||||
Western Digital Corp. | 9,514 | 449,441 | ||||||||
2,127,996 | ||||||||||
Trading Companies & Distributors — 0.9% | ||||||||||
United Rentals Inc. | 8,154 | 507,096 | (a) | |||||||
Total Common Stock | 57,131,626 | |||||||||
Exchange Traded Funds — 1.7% | ||||||||||
Financial Select Sector SPDR Fund | 8,449 | 190,187 | (n) | |||||||
Industrial Select Sector SPDR Fund | 14,737 | 817,462 | (n) | |||||||
Total Exchange Traded Funds | 1,007,649 | |||||||||
Total Investments in Securities | 58,139,275 | |||||||||
Short-Term Investments — 1.2% | ||||||||||
State Street Institutional U.S. Government Money Market | 740,121 | (d,m,n) | ||||||||
Total Investments | 58,879,396 | |||||||||
Liabilities in Excess of Other Assets, | (144,213 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 58,735,183 | ||||||||
|
| |||||||||
See Notes to Schedules of Investments and Notes to Financial Statements.
21
Table of Contents
U.S. Large-Cap Core Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Other Information: |
The Fund had the following long futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Depreciation | |||||||||||||
S&P 500 Emini Index Futures | June 2016 | 1 | $ | 102,575 | $ | (338 | ) |
See Notes to Schedules of Investments and Notes to Financial Statements.
22
Table of Contents
Premier Growth Equity Fund | (Unaudited) |
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares), professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2016.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading “Expenses paid during period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
October 1, 2015 – March 31, 2016
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | |||||||||||||
Actual Fund Return | |||||||||||||||
Investment Class | 1,000.00 | 1,062.60 | 1.96 | ||||||||||||
Service Class | 1,000.00 | 1,060.80 | 3.25 | ||||||||||||
Hypothetical 5% Return (2.5% for the period) | |||||||||||||||
Investment Class | 1,000.00 | 1,023.10 | 1.92 | ||||||||||||
Service Class | 1,000.00 | 1,021.85 | 3.18 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.38% for Investment Class shares and 0.63% for Service Class shares (for the period October 1, 2015 – March 31, 2016), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
23
Table of Contents
Premier Growth Equity Fund | (Unaudited) |
Investment Profile |
A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks to achieve its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily in a limited number of large and medium-sized companies (meaning companies with market capitalizations of $2 billion or more) that the portfolio manager believes have above-average growth histories and/or growth potential.
Sector Allocation |
Portfolio compositions as a % of Fair Value of Investments of $327,968 (in thousands) on March 31, 2016 (a)(b)
Top Ten Largest Holdings |
as a % of Fair Value of Investments of $327,968 (in thousands) on March 31, 2016 (a)(b)
Alphabet Inc., Class C | 5.06% | |||
Apple Inc. | 4.73% | |||
Visa Inc., Class A | 4.57% | |||
Allergan PLC | 4.37% | |||
Amazon.com Inc. | 4.08% | |||
Baidu Inc. ADR | 3.94% | |||
Medtronic PLC | 3.81% | |||
Amgen Inc. | 3.62% | |||
CME Group Inc. | 3.52% | |||
American Tower Corp. | 3.47% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
24
Table of Contents
Premier Growth Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Premier Growth Equity Fund |
Number of Shares | Fair Value | |||||||||
Common Stock — 96.3%† |
| |||||||||
Air Freight & Logistics — 1.1% |
| |||||||||
United Parcel Service Inc., Class B | 35,610 | $ | 3,755,787 | |||||||
Application Software — 2.4% | ||||||||||
Intuit Inc. | 75,672 | 7,870,645 | ||||||||
Asset Management & Custody Banks — 2.2% |
| |||||||||
State Street Corp. | 124,637 | 7,293,757 | (e) | |||||||
Biotechnology — 9.0% | ||||||||||
Alexion Pharmaceuticals Inc. | 49,855 | 6,940,813 | (a) | |||||||
Amgen Inc. | 79,233 | 11,879,404 | ||||||||
Gilead Sciences Inc. | 81,904 | 7,523,701 | ||||||||
Vertex Pharmaceuticals Inc. | 40,952 | 3,255,275 | (a) | |||||||
29,599,193 | ||||||||||
Cable & Satellite — 8.5% | ||||||||||
Charter Communications Inc., Class A | 19,586 | 3,964,794 | (a) | |||||||
Comcast Corp., Class A | 138,881 | 8,482,851 | ||||||||
Liberty Global PLC, Class C | 280,432 | 10,533,026 | (a) | |||||||
Sirius XM Holdings Inc. | 1,246,366 | 4,923,146 | (a) | |||||||
27,903,817 | ||||||||||
Casinos & Gaming — 1.1% | ||||||||||
Las Vegas Sands Corp. | 67,660 | 3,496,669 | ||||||||
Data Processing & Outsourced Services — 6.5% |
| |||||||||
PayPal Holdings Inc. | 169,150 | 6,529,190 | (a) | |||||||
Visa Inc., Class A | 195,858 | 14,979,220 | ||||||||
21,508,410 | ||||||||||
Fertilizers & Agricultural Chemicals — 0.5% |
| |||||||||
Monsanto Co. | 20,478 | 1,796,740 | ||||||||
Healthcare Equipment — 6.4% | ||||||||||
Abbott Laboratories | 200,309 | 8,378,925 | ||||||||
Medtronic PLC | 166,479 | 12,485,925 | ||||||||
20,864,850 | ||||||||||
Healthcare Supplies — 2.0% | ||||||||||
The Cooper Companies Inc. | 43,623 | 6,716,633 | ||||||||
Home Improvement Retail — 3.2% |
| |||||||||
Lowe’s Companies Inc. | 137,991 | 10,452,818 | ||||||||
Internet Retail — 4.1% | ||||||||||
Amazon.com Inc. | 22,524 | 13,371,147 | (a) |
Number of Shares | Fair Value | |||||||||
Internet Software & Services — 13.3% |
| |||||||||
Alphabet Inc., Class C | 22,257 | $ | 16,580,352 | (a) | ||||||
Baidu Inc. ADR | 67,660 | 12,914,941 | (a) | |||||||
Facebook Inc., Class A | 93,477 | 10,665,726 | (a) | |||||||
LinkedIn Corp., Class A | 29,379 | 3,359,488 | (a) | |||||||
43,520,507 | ||||||||||
Investment Banking & Brokerage — 2.7% |
| |||||||||
The Charles Schwab Corp. | 320,494 | 8,980,242 | ||||||||
Movies & Entertainment — 2.6% |
| |||||||||
The Walt Disney Co. | 85,465 | 8,487,529 | ||||||||
Oil & Gas Equipment & Services — 2.4% |
| |||||||||
Schlumberger Ltd. | 105,051 | 7,747,511 | ||||||||
Pharmaceuticals — 4.4% | ||||||||||
Allergan PLC | 53,416 | 14,317,090 | (a) | |||||||
Semiconductors — 2.3% | ||||||||||
QUALCOMM Inc. | 146,892 | 7,512,057 | ||||||||
Soft Drinks — 3.4% | ||||||||||
PepsiCo Inc. | 108,612 | 11,130,558 | ||||||||
Specialized Finance — 6.9% | ||||||||||
CME Group Inc. | 120,185 | 11,543,769 | (m) | |||||||
McGraw Hill Financial Inc. | 111,282 | 11,014,693 | ||||||||
22,558,462 | ||||||||||
Specialized REITs — 3.5% | ||||||||||
American Tower Corp. | 111,283 | 11,392,041 | ||||||||
Systems Software — 1.4% | ||||||||||
Microsoft Corp. | 86,356 | 4,769,442 | ||||||||
Technology Hardware, Storage & Peripherals — 4.7% |
| |||||||||
Apple Inc. | 142,442 | 15,524,754 | ||||||||
Trading Companies & Distributors — 1.7% |
| |||||||||
United Rentals Inc. | 89,026 | 5,536,527 | (a) | |||||||
Total Common Stock | 316,107,186 | |||||||||
See Notes to Schedules of Investments and Notes to Financial Statements.
25
Table of Contents
Premier Growth Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Fair Value | ||||||||
Short-Term Investments — 3.6% |
| |||||||
State Street Institutional U.S. | $ | 11,860,762 | (d,m,n) | |||||
Total Investments | 327,967,948 | |||||||
Other Assets and Liabilities, | 328,967 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 328,296,915 | ||||||
|
| |||||||
Other Information: |
The Fund had the following long futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation | |||||||||||||
S&P 500 Emini Index Futures | June 2016 | 40 | $ | 4,103,000 | $ | 83,385 |
See Notes to Schedules of Investments and Notes to Financial Statements.
26
Table of Contents
Small-Cap Equity Fund | (Unaudited) |
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares), professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2016.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
October 1, 2015 – March 31, 2016
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | |||||||||||||
Actual Fund Return | |||||||||||||||
Investment Class | 1,000.00 | 1,048.70 | 4.56 | ||||||||||||
Service Class | 1,000.00 | 1,047.10 | 5.83 | ||||||||||||
Hypothetical 5% Return (2.5% for the period) | |||||||||||||||
Investment Class | 1,000.00 | 1,020.55 | 4.50 | ||||||||||||
Service Class | 1,000.00 | 1,019.30 | 5.76 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.89% for Investment Class shares and 1.14% for Service Class shares (for the period October 1, 2015 – March 31, 2016), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
27
Table of Contents
Small-Cap Equity Fund | (Unaudited) |
Investment Profile |
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of small-cap companies, such as common and preferred stocks. The Fund uses a multi sub-adviser investment strategy that combines growth, value and core investment management styles, which allows the Fund the potential to benefit from both value and growth cycles in the marketplace.
Sector Allocation |
Portfolio compositions as a % of Fair Value of Investments of $1,181,911 (in thousands) on March 31, 2016 (a)(b)
Top Ten Largest Holdings |
as a % of Fair Value of Investments of $1,181,911 (in thousands) on March 31, 2016 (a)(b)
Blackbaud Inc. | 1.27% | |||
John Wiley & Sons Inc., Class A | 1.20% | |||
Woodward Inc. | 1.05% | |||
CLARCOR Inc. | 0.97% | |||
Darling Ingredients Inc. | 0.94% | |||
Integra LifeSciences Holdings Corp. | 0.89% | |||
MEDNAX Inc. | 0.88% | |||
Hill-Rom Holdings Inc. | 0.85% | |||
Endurance Specialty Holdings Ltd. | 0.85% | |||
TreeHouse Foods Inc. | 0.83% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
28
Table of Contents
Small-Cap Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Small-Cap Equity Fund |
Number of Shares | Fair Value | |||||||||
Common Stock — 94.9%† | ||||||||||
Advertising — 0.1% | ||||||||||
National CineMedia Inc. | 42,500 | $ | 646,425 | |||||||
Aerospace & Defense — 0.5% | ||||||||||
Esterline Technologies Corp. | 33,929 | 2,173,831 | (a) | |||||||
Teledyne Technologies Inc. | 46,027 | 4,056,820 | (a) | |||||||
6,230,651 | ||||||||||
Agricultural & Farm Machinery — 0.7% |
| |||||||||
AGCO Corp. | 166,050 | 8,252,685 | ||||||||
Agricultural Products — 0.9% | ||||||||||
Darling Ingredients Inc. | 841,825 | 11,086,835 | (a) | |||||||
Airlines — 0.1% | ||||||||||
Hawaiian Holdings Inc. | 16,000 | 755,040 | (a) | |||||||
Alternative Carriers — 0.1% | ||||||||||
Inteliquent Inc. | 58,500 | 938,925 | ||||||||
Aluminum — 0.0%* | ||||||||||
Century Aluminum Co. | 35,242 | 248,456 | (a) | |||||||
Apparel Retail — 1.1% | ||||||||||
American Eagle Outfitters Inc. | 50,463 | 841,218 | ||||||||
Burlington Stores Inc. | 34,980 | 1,967,275 | (a) | |||||||
Genesco Inc. | 68,118 | 4,921,526 | (a) | |||||||
The Buckle Inc. | 155,184 | 5,256,082 | ||||||||
12,986,101 | ||||||||||
Apparel, Accessories & Luxury Goods — 0.4% |
| |||||||||
G-III Apparel Group Ltd. | 88,600 | 4,331,654 | (a) | |||||||
Application Software — 4.7% | ||||||||||
ACI Worldwide Inc. | 234,401 | 4,873,197 | (a) | |||||||
Blackbaud Inc. | 238,730 | 15,013,730 | ||||||||
Guidewire Software Inc. | 115,000 | 6,265,200 | (a) | |||||||
Jive Software Inc. | 388,113 | 1,467,067 | (a) | |||||||
Mentor Graphics Corp. | 160,000 | 3,252,800 | ||||||||
MicroStrategy Inc., Class A | 4,900 | 880,628 | (a) | |||||||
PROS Holdings Inc. | 223,500 | 2,635,065 | (a) | |||||||
PTC Inc. | 99,088 | 3,285,758 | (a) | |||||||
Qlik Technologies Inc. | 138,000 | 3,990,960 | (a) | |||||||
RealPage Inc. | 364,469 | 7,595,534 | (a) | |||||||
Sapiens International Corporation N.V. | 77,799 | 932,032 | ||||||||
SS&C Technologies Holdings Inc. | 69,342 | 4,397,669 | ||||||||
Zix Corp. | 221,300 | 869,709 | (a) | |||||||
55,459,349 |
Number of Shares | Fair Value | |||||||||
Asset Management & Custody Banks — 0.8% |
| |||||||||
Ashford Inc. | 12,700 | $ | 578,993 | (a) | ||||||
Financial Engines Inc. | 252,500 | 7,936,075 | ||||||||
Westwood Holdings Group Inc. | 10,646 | 624,388 | ||||||||
9,139,456 | ||||||||||
Auto Parts & Equipment — 1.0% |
| |||||||||
American Axle & Manufacturing Holdings Inc. | 28,961 | 445,710 | (a) | |||||||
Cooper-Standard Holding Inc. | 12,067 | 866,893 | (a) | |||||||
Drew Industries Inc. | 4,683 | 301,866 | ||||||||
Stoneridge Inc. | 55,217 | 803,960 | (a) | |||||||
Tenneco Inc. | 171,584 | 8,838,292 | (a) | |||||||
11,256,721 | ||||||||||
Automobile Manufacturers — 0.7% |
| |||||||||
Thor Industries Inc. | 110,060 | 7,018,526 | ||||||||
Winnebago Industries Inc. | 57,893 | 1,299,698 | ||||||||
8,318,224 | ||||||||||
Automotive Retail — 1.2% | ||||||||||
CST Brands Inc. | 248,000 | 9,495,920 | ||||||||
Group 1 Automotive Inc. | 50,265 | 2,950,053 | ||||||||
Monro Muffler Brake Inc. | 20,870 | 1,491,579 | ||||||||
13,937,552 | ||||||||||
Biotechnology — 2.2% | ||||||||||
Achillion Pharmaceuticals Inc. | 84,600 | 653,112 | (a) | |||||||
Aduro Biotech Inc. | 35,200 | 450,912 | (a) | |||||||
Agios Pharmaceuticals Inc. | 7,000 | 284,200 | (a) | |||||||
BioCryst Pharmaceuticals Inc. | 270,100 | 764,383 | (a) | |||||||
Cepheid | 230,000 | 7,672,800 | (a) | |||||||
Concert Pharmaceuticals Inc. | 28,500 | 389,310 | (a) | |||||||
CytomX Therapeutics Inc. | 47,300 | 610,170 | (a) | |||||||
FibroGen Inc. | 27,000 | 574,830 | (a) | |||||||
Five Prime Therapeutics Inc. | 18,600 | 755,718 | (a) | |||||||
Geron Corp. | 251,800 | 735,256 | (a) | |||||||
Halozyme Therapeutics Inc. | 84,900 | 804,003 | (a) | |||||||
Inovio Pharmaceuticals Inc. | 97,500 | 849,225 | (a) | |||||||
Insys Therapeutics Inc. | 30,500 | 487,695 | (a) | |||||||
MacroGenics Inc. | 28,800 | 540,000 | (a) | |||||||
MiMedx Group Inc. | 56,400 | 492,936 | (a) | |||||||
Natera Inc. | 64,300 | 612,136 | (a) | |||||||
NewLink Genetics Corp. | 17,700 | 322,140 | (a) | |||||||
Raptor Pharmaceutical Corp. | 148,600 | 683,560 | (a) | |||||||
Regulus Therapeutics Inc. | 90,000 | 623,700 | (a) | |||||||
Repligen Corp. | 216,243 | 5,799,637 | (a) | |||||||
Rigel Pharmaceuticals Inc. | 282,500 | 587,600 | (a) | |||||||
Seres Therapeutics Inc. | 24,200 | 642,752 | (a) | |||||||
Voyager Therapeutics Inc. | 28,300 | 247,059 | (a) | |||||||
25,583,134 | ||||||||||
Brewers — 0.5% | ||||||||||
The Boston Beer Company Inc., Class A | 29,700 | 5,496,579 | (a) |
See Notes to Schedules of Investments and Notes to Financial Statements.
29
Table of Contents
Small-Cap Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Broadcasting — 0.0%* | ||||||||||
Gray Television Inc. | 42,579 | $ | 499,026 | (a) | ||||||
Building Products — 0.4% | ||||||||||
American Woodmark Corp. | 9,400 | 701,146 | (a) | |||||||
Apogee Enterprises Inc. | 12,134 | 532,561 | ||||||||
Builders FirstSource Inc. | 68,992 | 777,540 | (a) | |||||||
Simpson Manufacturing Company Inc. | 751 | 28,666 | ||||||||
Universal Forest Products Inc. | 27,788 | 2,384,766 | ||||||||
4,424,679 | ||||||||||
Casinos & Gaming — 0.3% | ||||||||||
Churchill Downs Inc. | 6,300 | 931,644 | ||||||||
Eldorado Resorts Inc. | 68,600 | 784,784 | (a) | |||||||
Isle of Capri Casinos Inc. | 45,400 | 635,600 | (a) | |||||||
Pinnacle Entertainment Inc. | 19,108 | 670,691 | (a) | |||||||
3,022,719 | ||||||||||
Commercial Printing — 0.6% | ||||||||||
Brady Corp., Class A | 247,400 | 6,640,216 | ||||||||
Deluxe Corp. | 5,294 | 330,822 | ||||||||
6,971,038 | ||||||||||
Commodity Chemicals — 0.1% | ||||||||||
Core Molding Technologies Inc. | 15,227 | 190,033 | (a) | |||||||
Koppers Holdings Inc. | 22,740 | 510,968 | (a) | |||||||
Trinseo S.A. | 23,451 | 863,231 | (a) | |||||||
1,564,232 | ||||||||||
Communications Equipment — 0.5% |
| |||||||||
ADTRAN Inc. | 57,235 | 1,157,292 | ||||||||
CalAmp Corp. | 46,254 | 829,334 | (a) | |||||||
Extreme Networks Inc. | 119,400 | 371,334 | (a) | |||||||
Finisar Corp. | 45,616 | 832,036 | (a) | |||||||
Ixia | 63,700 | 793,702 | (a) | |||||||
Lumentum Holdings Inc. | 14,137 | 381,275 | (a) | |||||||
Plantronics Inc. | 19,645 | 769,887 | ||||||||
Ruckus Wireless Inc. | 51,712 | 507,295 | (a) | |||||||
5,642,155 | ||||||||||
Construction & Engineering — 1.0% |
| |||||||||
Chicago Bridge & Iron Company N.V. | 242,420 | 8,870,148 | ||||||||
Comfort Systems USA Inc. | 40,295 | 1,280,172 | ||||||||
Dycom Industries Inc. | 11,108 | 718,354 | (a) | |||||||
Granite Construction Inc. | 7,366 | 352,095 | ||||||||
Valmont Industries Inc. | 2,747 | 340,189 | ||||||||
11,560,958 | ||||||||||
Construction Machinery & Heavy Trucks — 0.9% | ||||||||||
Alamo Group Inc. | 26,965 | 1,502,220 | ||||||||
Astec Industries Inc. | 38,748 | 1,808,369 | ||||||||
Trinity Industries Inc. | 335,845 | 6,149,322 | ||||||||
Wabash National Corp. | 104,247 | 1,376,061 | (a) | |||||||
10,835,972 |
Number of Shares | Fair Value | |||||||||
Consumer Electronics — 0.1% | ||||||||||
Skullcandy Inc. | 54,322 | $ | 193,386 | (a) | ||||||
ZAGG Inc. | 62,000 | 558,620 | (a) | |||||||
752,006 | ||||||||||
Data Processing & Outsourced Services — 2.1% |
| |||||||||
Broadridge Financial Solutions Inc. | 126,635 | 7,510,722 | ||||||||
CoreLogic Inc. | 129,224 | 4,484,073 | (a) | |||||||
CSG Systems International Inc. | 64,780 | 2,925,465 | ||||||||
Higher One Holdings Inc. | 309,917 | 1,211,775 | (a) | |||||||
WEX Inc. | 101,500 | 8,461,040 | (a) | |||||||
24,593,075 | ||||||||||
Distillers & Vintners — 0.1% | ||||||||||
MGP Ingredients Inc. | 27,600 | 669,024 | ||||||||
Distributors — 0.8% | ||||||||||
LKQ Corp. | 283,492 | 9,051,900 | (a) | |||||||
Diversified Metals & Mining — 0.0%* |
| |||||||||
Ferroglobe PLC | 61,000 | 537,410 | ||||||||
Diversified REITs — 0.5% | ||||||||||
Cousins Properties Inc. | 508,743 | 5,280,752 | ||||||||
Gramercy Property Trust | 129,780 | 1,096,641 | ||||||||
6,377,393 | ||||||||||
Diversified Support Services — 1.5% |
| |||||||||
Healthcare Services Group Inc. | 207,266 | 7,629,461 | ||||||||
Ritchie Bros Auctioneers Inc. | 345,819 | 9,364,779 | ||||||||
UniFirst Corp. | 11,523 | 1,257,390 | ||||||||
18,251,630 | ||||||||||
Education Services — 0.4% | ||||||||||
Capella Education Co. | 12,900 | 679,056 | ||||||||
ITT Educational Services Inc. | 199,161 | 615,407 | (a) | |||||||
K12 Inc. | 291,895 | 2,886,842 | (a) | |||||||
4,181,305 | ||||||||||
Electric Utilities — 1.1% | ||||||||||
ALLETE Inc. | 20,433 | 1,145,678 | ||||||||
IDACORP Inc. | 124,623 | 9,295,630 | ||||||||
PNM Resources Inc. | 37,031 | 1,248,685 | ||||||||
Portland General Electric Co. | 16,607 | 655,810 | ||||||||
The Empire District Electric Co. | 16,391 | 541,723 | ||||||||
12,887,526 | ||||||||||
Electrical Components & Equipment — 0.4% |
| |||||||||
Encore Wire Corp. | 62,705 | 2,441,106 | ||||||||
EnerSys | 15,625 | 870,625 | ||||||||
Franklin Electric Company Inc. | 21,356 | 687,022 | ||||||||
Regal Beloit Corp. | 9,129 | 575,949 | ||||||||
4,574,702 |
See Notes to Schedules of Investments and Notes to Financial Statements.
30
Table of Contents
Small-Cap Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Electronic Components — 0.7% | ||||||||||
Belden Inc. | 12,935 | $ | 793,950 | |||||||
Littelfuse Inc. | 52,308 | 6,439,638 | ||||||||
Rogers Corp. | 22,579 | 1,351,805 | (a) | |||||||
8,585,393 | ||||||||||
Electronic Equipment & Instruments — 1.0% |
| |||||||||
Coherent Inc. | 9,800 | 900,620 | (a) | |||||||
Control4 Corp. | 138,735 | 1,104,331 | (a) | |||||||
FARO Technologies Inc. | 19,317 | 622,200 | (a) | |||||||
Rofin-Sinar Technologies Inc. | 51,263 | 1,651,694 | (a) | |||||||
VeriFone Systems Inc. | 160,727 | 4,538,930 | (a) | |||||||
Zebra Technologies Corp., Class A | 38,755 | 2,674,095 | (a) | |||||||
11,491,870 | ||||||||||
Electronic Manufacturing Services — 0.2% |
| |||||||||
Methode Electronics Inc. | 36,974 | 1,081,120 | ||||||||
Plexus Corp. | 29,304 | 1,158,094 | (a) | |||||||
2,239,214 | ||||||||||
Environmental & Facilities Services — 0.9% |
| |||||||||
Clean Harbors Inc. | 198,290 | 9,783,629 | (a) | |||||||
SP Plus Corp. | 33,200 | 798,792 | (a) | |||||||
10,582,421 | ||||||||||
Food Distributors — 0.6% | ||||||||||
SpartanNash Co. | 236,629 | 7,172,225 | ||||||||
Food Retail — 0.8% | ||||||||||
Casey’s General Stores Inc. | 11,790 | 1,336,043 | ||||||||
The Fresh Market Inc. | 303,000 | 8,644,590 | (a) | |||||||
9,980,633 | ||||||||||
Footwear — 1.1% | ||||||||||
Deckers Outdoor Corp. | 71,444 | 4,280,210 | (a) | |||||||
Wolverine World Wide Inc. | 502,000 | 9,246,840 | ||||||||
13,527,050 | ||||||||||
Gas Utilities — 0.1% | ||||||||||
South Jersey Industries Inc. | 49,022 | 1,394,676 | ||||||||
Health Care REITs — 0.4% | ||||||||||
CareTrust REIT Inc. | 28,010 | 355,727 | ||||||||
National Health Investors Inc. | 10,772 | 716,553 | ||||||||
Omega Healthcare Investors Inc. | 108,995 | 3,847,524 | ||||||||
Sabra Health Care REIT Inc. | 1,923 | 38,633 | ||||||||
4,958,437 | ||||||||||
Healthcare Distributors — 0.3% | ||||||||||
Aceto Corp. | 99,000 | 2,332,440 | ||||||||
Owens & Minor Inc. | 17,857 | 721,780 | ||||||||
�� | 3,054,220 |
Number of Shares | Fair Value | |||||||||
Healthcare Equipment — 5.4% | ||||||||||
Abaxis Inc. | 21,500 | $ | 975,885 | |||||||
ABIOMED Inc. | 5,000 | 474,050 | (a) | |||||||
Cantel Medical Corp. | 77,000 | 5,494,720 | ||||||||
Cardiovascular Systems Inc. | 212,500 | 2,203,625 | (a) | |||||||
CONMED Corp. | 109,100 | 4,575,654 | ||||||||
Exactech Inc. | 25,551 | 517,663 | (a) | |||||||
Globus Medical Inc., Class A | 213,184 | 5,063,120 | (a) | |||||||
Greatbatch Inc. | 22,199 | 791,172 | (a) | |||||||
Hill-Rom Holdings Inc. | 199,425 | 10,031,078 | ||||||||
Inogen Inc. | 23,100 | 1,039,038 | (a) | |||||||
Insulet Corp. | 146,500 | 4,857,940 | (a) | |||||||
Integra LifeSciences Holdings Corp. | 156,500 | 10,541,840 | (a) | |||||||
iRadimed Corp. | 30,300 | 580,548 | (a) | |||||||
K2M Group Holdings Inc. | 34,400 | 510,152 | (a) | |||||||
LeMaitre Vascular Inc. | 61,900 | 960,688 | ||||||||
Masimo Corp. | 143,800 | 6,016,592 | (a) | |||||||
Natus Medical Inc. | 13,078 | 502,588 | (a) | |||||||
NuVasive Inc. | 142,700 | 6,942,355 | (a) | |||||||
NxStage Medical Inc. | 44,600 | 668,554 | (a) | |||||||
Orthofix International N.V. | 8,385 | 348,145 | (a) | |||||||
Zeltiq Aesthetics Inc. | 23,800 | 646,408 | (a) | |||||||
63,741,815 | ||||||||||
Healthcare Facilities — 0.8% | ||||||||||
Amsurg Corp. | 126,755 | 9,455,923 | (a) | |||||||
Healthcare Services — 2.0% | ||||||||||
Addus HomeCare Corp. | 16,000 | 275,040 | (a) | |||||||
Air Methods Corp. | 84,728 | 3,068,848 | (a) | |||||||
AMN Healthcare Services Inc. | 39,966 | 1,343,257 | (a) | |||||||
BioTelemetry Inc. | 79,200 | 925,056 | (a) | |||||||
Cross Country Healthcare Inc. | 57,000 | 662,910 | (a) | |||||||
Diplomat Pharmacy Inc. | 23,497 | 643,818 | (a) | |||||||
Envision Healthcare Holdings Inc. | 12,482 | 254,633 | (a) | |||||||
LHC Group Inc. | 21,200 | 753,872 | (a) | |||||||
MEDNAX Inc. | 160,998 | 10,403,691 | (a) | |||||||
RadNet Inc. | 100,300 | 484,449 | �� | (a) | ||||||
Team Health Holdings Inc. | 108,690 | 4,544,329 | (a) | |||||||
23,359,903 | ||||||||||
Healthcare Supplies — 1.2% | ||||||||||
Endologix Inc. | 399,047 | 3,336,033 | (a) | |||||||
Halyard Health Inc. | 57,000 | 1,637,610 | (a) | |||||||
ICU Medical Inc. | 56,900 | 5,923,290 | (a) | |||||||
Merit Medical Systems Inc. | 23,753 | 439,193 | (a) | |||||||
OraSure Technologies Inc. | 148,200 | 1,071,486 | (a) | |||||||
RTI Surgical Inc. | 132,400 | 529,600 | (a) | |||||||
Vascular Solutions Inc. | 21,800 | 709,154 | (a) | |||||||
13,646,366 | ||||||||||
Healthcare Technology — 1.5% | ||||||||||
HMS Holdings Corp. | 413,803 | 5,938,073 | (a) | |||||||
Medidata Solutions Inc. | 140,000 | 5,419,400 | (a) | |||||||
Omnicell Inc. | 169,300 | 4,718,391 | (a) |
See Notes to Schedules of Investments and Notes to Financial Statements.
31
Table of Contents
Small-Cap Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Quality Systems Inc. | 41,066 | $ | 625,846 | |||||||
Vocera Communications Inc. | 73,822 | 941,230 | (a) | |||||||
17,642,940 | ||||||||||
Home Building — 0.2% | ||||||||||
Meritage Homes Corp. | 25,784 | 940,084 | (a) | |||||||
TopBuild Corp. | 30,993 | 921,732 | (a) | |||||||
1,861,816 | ||||||||||
Home Furnishings — 0.1% | ||||||||||
Ethan Allen Interiors Inc. | 35,572 | 1,131,901 | ||||||||
Hotel & Resort REITs — 0.4% | ||||||||||
Ashford Hospitality Trust Inc. | 84,593 | 539,703 | ||||||||
Hersha Hospitality Trust | 48,707 | 1,039,408 | ||||||||
RLJ Lodging Trust | 145,900 | 3,338,192 | ||||||||
4,917,303 | ||||||||||
Hotels, Resorts & Cruise Lines — 0.2% |
| |||||||||
Interval Leisure Group Inc. | 167,325 | 2,416,173 | ||||||||
Household Appliances — 0.1% | ||||||||||
Helen of Troy Ltd. | 12,449 | 1,290,837 | (a) | |||||||
Housewares & Specialties — 0.1% | ||||||||||
Tupperware Brands Corp. | 10,588 | 613,892 | ||||||||
Human Resource & Employment Services — 0.1% |
| |||||||||
Insperity Inc. | 15,519 | 802,798 | ||||||||
Industrial Conglomerates — 0.2% | ||||||||||
Raven Industries Inc. | 181,000 | 2,899,620 | ||||||||
Industrial Machinery — 7.4% | ||||||||||
Actuant Corp., Class A | 198,500 | 4,904,935 | ||||||||
Altra Industrial Motion Corp. | 33,626 | 934,130 | ||||||||
Barnes Group Inc. | 93,980 | 3,292,119 | ||||||||
CLARCOR Inc. | 197,794 | 11,430,515 | ||||||||
IDEX Corp. | 93,790 | 7,773,315 | ||||||||
John Bean Technologies Corp. | 44,600 | 2,515,886 | ||||||||
LB Foster Co., Class A | 36,773 | 667,798 | ||||||||
Luxfer Holdings PLC ADR | 208,417 | 2,211,304 | ||||||||
Lydall Inc. | 116,000 | 3,772,320 | (a) | |||||||
Mueller Industries Inc. | 167,182 | 4,918,495 | ||||||||
Nordson Corp. | 78,310 | 5,954,692 | ||||||||
RBC Bearings Inc. | 92,000 | 6,739,920 | (a) | |||||||
Standex International Corp. | 57,500 | 4,474,075 | ||||||||
The Gorman-Rupp Co. | 63,900 | 1,656,927 | ||||||||
The Timken Co. | 236,005 | 7,903,808 | ||||||||
TriMas Corp. | 354,000 | 6,202,080 | (a) | |||||||
Woodward Inc. | 239,191 | 12,442,716 | ||||||||
87,795,035 | ||||||||||
Industrial REITs — 0.2% | ||||||||||
Rexford Industrial Realty Inc. | 55,861 | 1,014,436 | ||||||||
STAG Industrial Inc. | 61,585 | 1,253,870 | ||||||||
2,268,306 |
Number of Shares | Fair Value | |||||||||
Internet Retail — 0.1% | ||||||||||
Overstock.com Inc. | 83,400 | $ | 1,199,292 | (a) | ||||||
Internet Software & Services — 2.8% |
| |||||||||
Alarm.com Holdings Inc. | 25,900 | 613,830 | (a) | |||||||
Brightcove Inc. | 100,600 | 627,744 | (a) | |||||||
comScore Inc. | 22,200 | 666,888 | (a) | |||||||
Cornerstone OnDemand Inc. | 163,485 | 5,357,403 | (a) | |||||||
EarthLink Holdings Corp. | 110,700 | 627,669 | ||||||||
Envestnet Inc. | 115,500 | 3,141,600 | (a) | |||||||
GoDaddy Inc., Class A | 37,225 | 1,203,484 | (a) | |||||||
LogMeIn Inc. | 153,500 | 7,745,610 | (a) | |||||||
NIC Inc. | 425,049 | 7,663,634 | ||||||||
SciQuest Inc. | 64,800 | 899,424 | (a) | |||||||
SPS Commerce Inc. | 58,500 | 2,511,990 | (a) | |||||||
TrueCar Inc. | 84,200 | 470,678 | (a) | |||||||
XO Group Inc. | 85,386 | 1,370,445 | (a) | |||||||
32,900,399 | ||||||||||
Investment Banking & Brokerage — 1.0% |
| |||||||||
Piper Jaffray Cos. | 35,521 | 1,760,421 | (a) | |||||||
Raymond James Financial Inc. | 184,043 | 8,762,287 | ||||||||
Stifel Financial Corp. | 34,384 | 1,017,766 | (a) | |||||||
11,540,474 | ||||||||||
IT Consulting & Other Services — 0.2% |
| |||||||||
Perficient Inc. | 53,085 | 1,153,006 | (a) | |||||||
The Hackett Group Inc. | 53,800 | 813,456 | ||||||||
Unisys Corp. | 96,064 | 739,693 | (a) | |||||||
2,706,155 | ||||||||||
Leisure Products — 0.7% | ||||||||||
Brunswick Corp. | 12,831 | 615,631 | ||||||||
Nautilus Inc. | 14,689 | 283,792 | (a) | |||||||
Polaris Industries Inc. | 75,155 | 7,401,264 | ||||||||
8,300,687 | ||||||||||
Life & Health Insurance — 0.1% | ||||||||||
American Equity Investment Life Holding Co. | 49,950 | 839,160 | ||||||||
Life Sciences Tools & Services — 2.0% |
| |||||||||
Albany Molecular Research Inc. | 254,225 | 3,887,100 | (a) | |||||||
Bruker Corp. | 182,544 | 5,111,232 | ||||||||
Cambrex Corp. | 22,903 | 1,007,732 | (a) | |||||||
Charles River Laboratories International Inc. | 12,983 | 985,929 | (a) | |||||||
ICON PLC | 103,127 | 7,744,838 | (a) | |||||||
INC Research Holdings Inc., Class A | 90,990 | 3,749,698 | (a) | |||||||
PAREXEL International Corp. | 8,556 | 536,718 | (a) | |||||||
PRA Health Sciences Inc. | 13,300 | 568,708 | (a) | |||||||
23,591,955 | ||||||||||
Managed Healthcare — 1.1% | ||||||||||
Centene Corp. | 140,280 | 8,637,040 | (a) | |||||||
Molina Healthcare Inc. | 65,202 | 4,204,877 | (a) | |||||||
12,841,917 |
See Notes to Schedules of Investments and Notes to Financial Statements.
32
Table of Contents
Small-Cap Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Marine — 0.1% | ||||||||||
Matson Inc. | 34,420 | $ | 1,382,651 | |||||||
Multi-Line Insurance — 0.0%* | ||||||||||
Horace Mann Educators Corp. | 16,655 | 527,797 | ||||||||
Multi-Utilities — 0.1% | ||||||||||
Avista Corp. | 29,905 | 1,219,526 | ||||||||
Office REITs — 0.1% | ||||||||||
Corporate Office Properties Trust | 56,176 | 1,474,058 | ||||||||
Office Services & Supplies — 1.2% |
| |||||||||
Herman Miller Inc. | 167,405 | 5,171,140 | ||||||||
HNI Corp. | 9,444 | 369,922 | ||||||||
Steelcase Inc., Class A | 56,033 | 836,012 | ||||||||
West Corp. | 323,143 | 7,374,123 | ||||||||
13,751,197 | ||||||||||
Oil & Gas Drilling — 0.0%* | ||||||||||
Nabors Industries Ltd. | 39,406 | 362,535 | ||||||||
Oil & Gas Equipment & Services — 1.3% |
| |||||||||
CARBO Ceramics Inc. | 185,390 | 2,632,538 | ||||||||
Dril-Quip Inc. | 31,473 | 1,906,005 | (a) | |||||||
Fairmount Santrol Holdings Inc. | 344,090 | 863,666 | (a) | |||||||
Forum Energy Technologies Inc. | 413,250 | 5,454,900 | (a) | |||||||
Geospace Technologies Corp. | 15,511 | 191,406 | (a) | |||||||
Hornbeck Offshore Services Inc. | 56,931 | 565,325 | (a) | |||||||
Natural Gas Services Group Inc. | 28,755 | 621,971 | (a) | |||||||
Oil States International Inc. | 102,582 | 3,233,384 | (a) | |||||||
15,469,195 | ||||||||||
Oil & Gas Exploration & Production — 1.4% |
| |||||||||
Carrizo Oil & Gas Inc. | 75,604 | 2,337,676 | (a) | |||||||
Denbury Resources Inc. | 942,500 | 2,092,350 | ||||||||
Memorial Resource Development Corp. | 29,488 | 300,188 | (a) | |||||||
Newfield Exploration Co. | 264,100 | 8,781,325 | (a) | |||||||
Parsley Energy Inc., Class A | 42,640 | 963,664 | (a) | |||||||
Rice Energy Inc. | 1,400 | 19,544 | (a) | |||||||
SM Energy Co. | 122,871 | 2,302,602 | ||||||||
Synergy Resources Corp. | 32,170 | 249,961 | (a) | |||||||
17,047,310 | ||||||||||
Oil & Gas Refining & Marketing — 0.1% |
| |||||||||
Western Refining Inc. | 30,777 | 895,303 | ||||||||
Packaged Foods & Meats — 2.7% | ||||||||||
B&G Foods Inc. | 114,500 | 3,985,745 | ||||||||
J&J Snack Foods Corp. | 3,091 | 334,693 | ||||||||
Lifeway Foods Inc. | 67,900 | 735,357 | (a) | |||||||
Sanderson Farms Inc. | 101,676 | 9,169,142 | ||||||||
Snyder’s-Lance Inc. | 230,500 | 7,256,140 | ||||||||
TreeHouse Foods Inc. | 113,500 | 9,846,125 | (a) | |||||||
31,327,202 |
Number of Shares | Fair Value | |||||||||
Paper Packaging — 0.2% | ||||||||||
Packaging Corporation of America | 46,689 | $ | 2,820,016 | |||||||
Paper Products — 0.1% | ||||||||||
Neenah Paper Inc. | 25,613 | 1,630,524 | ||||||||
Personal Products — 0.1% | ||||||||||
Elizabeth Arden Inc. | 80,100 | 656,019 | (a) | |||||||
Pharmaceuticals — 0.3% | ||||||||||
Corcept Therapeutics Inc. | 158,100 | 739,908 | (a) | |||||||
Corium International Inc. | 39,269 | 151,578 | (a) | |||||||
Lannett Company Inc. | 13,157 | 235,905 | (a) | |||||||
Orexigen Therapeutics Inc. | 286,400 | 161,157 | (a) | |||||||
Pacira Pharmaceuticals Inc. | 8,000 | 423,840 | (a) | |||||||
Pernix Therapeutics Holdings Inc. | 158,100 | 166,005 | (a) | |||||||
Phibro Animal Health Corp., Class A | 47,000 | 1,270,880 | ||||||||
Prestige Brands Holdings Inc. | 16,604 | 886,488 | (a) | |||||||
4,035,761 | ||||||||||
Property & Casualty Insurance — 2.4% |
| |||||||||
Allied World Assurance Company Holdings AG | 257,000 | 8,979,580 | ||||||||
AMERISAFE Inc. | 59,460 | 3,124,028 | ||||||||
Argo Group International Holdings Ltd. | 111,688 | 6,409,774 | ||||||||
HCI Group Inc. | 19,992 | 665,734 | ||||||||
Heritage Insurance Holdings Inc. | 37,114 | 592,711 | ||||||||
James River Group Holdings Ltd. | 5,800 | 187,108 | ||||||||
RLI Corp. | 65,983 | 4,411,623 | ||||||||
The Navigators Group Inc. | 44,500 | 3,732,215 | (a) | |||||||
28,102,773 | ||||||||||
Publishing — 1.2% | ||||||||||
John Wiley & Sons Inc., Class A | 289,163 | 14,137,179 | ||||||||
Railroads — 0.5% | ||||||||||
Genesee & Wyoming Inc., Class A | 97,239 | 6,096,885 | (a) | |||||||
Real Estate Services — 0.1% | ||||||||||
Altisource Portfolio Solutions S.A. | 27,800 | 671,370 | (a) | |||||||
Regional Banks — 8.5% | ||||||||||
Bank of the Ozarks Inc. | 31,050 | 1,303,169 | ||||||||
BankUnited Inc. | 31,508 | 1,085,136 | ||||||||
Banner Corp. | 24,408 | 1,026,112 | ||||||||
Bryn Mawr Bank Corp. | 116,500 | 2,997,545 | ||||||||
Camden National Corp. | 16,169 | 679,098 | ||||||||
Cascade Bancorp | 67,137 | 383,352 | (a) | |||||||
CoBiz Financial Inc. | 24,840 | 293,609 | ||||||||
Columbia Banking System Inc. | 23,323 | 697,824 | ||||||||
Community Bank System Inc. | 121,500 | 4,642,515 | ||||||||
Cullen/Frost Bankers Inc. | 38,342 | 2,113,028 | ||||||||
CVB Financial Corp. | 322,500 | 5,627,625 |
See Notes to Schedules of Investments and Notes to Financial Statements.
33
Table of Contents
Small-Cap Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Enterprise Financial Services Corp. | 20,175 | $ | 545,532 | |||||||
FCB Financial Holdings Inc., Class A | 37,686 | 1,253,436 | (a) | |||||||
Fidelity Southern Corp. | 33,710 | 540,708 | ||||||||
First Financial Bankshares Inc. | 157,000 | 4,644,060 | ||||||||
First Foundation Inc. | 14,824 | 332,502 | (a) | |||||||
Fulton Financial Corp. | 418,639 | 5,601,390 | ||||||||
German American Bancorp Inc. | 34,000 | 1,094,800 | ||||||||
Great Southern Bancorp Inc. | 12,636 | 469,175 | ||||||||
Home BancShares Inc. | 28,761 | 1,177,763 | ||||||||
Iberiabank Corp. | 69,865 | 3,581,979 | ||||||||
Independent Bank Corp. | 72,000 | 3,309,120 | ||||||||
Lakeland Financial Corp. | 9,241 | 423,053 | ||||||||
LegacyTexas Financial Group Inc. | 42,049 | 826,263 | ||||||||
NBT Bancorp Inc. | 23,000 | 619,850 | ||||||||
Old National Bancorp | 20,776 | 253,259 | ||||||||
PacWest Bancorp | 51,698 | 1,920,581 | ||||||||
PrivateBancorp Inc. | 181,745 | 7,015,357 | ||||||||
Prosperity Bancshares Inc. | 170,024 | 7,887,413 | ||||||||
Renasant Corp. | 247,487 | 8,144,797 | ||||||||
South State Corp. | 8,099 | 520,199 | ||||||||
Southwest Bancorp Inc. | 35,629 | 536,216 | ||||||||
Stock Yards Bancorp Inc. | 63,400 | 2,442,802 | ||||||||
SVB Financial Group | 51,147 | 5,219,551 | (a) | |||||||
UMB Financial Corp. | 172,500 | 8,906,175 | ||||||||
Umpqua Holdings Corp. | 88,457 | 1,402,928 | ||||||||
Union Bankshares Corp. | 29,133 | 717,546 | ||||||||
United Community Banks Inc. | 74,197 | 1,370,419 | ||||||||
Washington Trust Bancorp Inc. | 99,000 | 3,694,680 | ||||||||
Westamerica Bancorporation | 82,177 | 4,002,842 | ||||||||
Wintrust Financial Corp. | 27,704 | 1,228,395 | ||||||||
100,531,804 | ||||||||||
Reinsurance — 0.9% | ||||||||||
Endurance Specialty Holdings Ltd. | 153,000 | 9,997,020 | ||||||||
Maiden Holdings Ltd. | 81,817 | 1,058,712 | ||||||||
11,055,732 | ||||||||||
Research & Consulting Services — 0.3% |
| |||||||||
Resources Connection Inc. | 237,287 | 3,692,186 | ||||||||
Residential REITs — 0.7% | ||||||||||
Education Realty Trust Inc. | 162,635 | 6,765,616 | ||||||||
Sun Communities Inc. | 19,170 | 1,372,764 | ||||||||
8,138,380 | ||||||||||
Restaurants — 1.5% | ||||||||||
BJ’s Restaurants Inc. | 20,404 | 848,194 | (a) | |||||||
Buffalo Wild Wings Inc. | 23,000 | 3,406,760 | (a) | |||||||
Cracker Barrel Old Country Store Inc. | 26,185 | 3,997,664 | ||||||||
Del Taco Restaurants Inc. | 26,363 | 272,330 | (a) | |||||||
El Pollo Loco Holdings Inc. | 161,000 | 2,147,740 | (a) | |||||||
Red Robin Gourmet Burgers Inc. | 4,317 | 278,317 | (a) | |||||||
Texas Roadhouse Inc. | 150,177 | 6,544,714 | ||||||||
17,495,719 |
Number of Shares | Fair Value | |||||||||
Retail REITs — 0.2% | ||||||||||
Retail Opportunity Investments Corp. | 53,457 | $ | 1,075,555 | |||||||
Tanger Factory Outlet Centers Inc. | 25,810 | 939,226 | ||||||||
2,014,781 | ||||||||||
Security & Alarm Services — 1.1% | ||||||||||
The ADT Corp. | 79,755 | 3,290,691 | ||||||||
The Brink’s Co. | 277,630 | 9,325,592 | ||||||||
12,616,283 | ||||||||||
Semiconductor Equipment — 0.5% | ||||||||||
Advanced Energy Industries Inc. | 24,500 | 852,355 | (a) | |||||||
Brooks Automation Inc. | 43,492 | 452,317 | ||||||||
Cabot Microelectronics Corp. | 16,300 | 666,833 | ||||||||
Rudolph Technologies Inc. | 289,097 | 3,949,065 | (a) | |||||||
5,920,570 | ||||||||||
Semiconductors — 1.2% | ||||||||||
Diodes Inc. | 8,957 | 180,036 | (a) | |||||||
Exar Corp. | 98,816 | 568,192 | (a) | |||||||
Lattice Semiconductor Corp. | 85,726 | 486,924 | (a) | |||||||
MaxLinear Inc., Class A | 37,593 | 695,470 | (a) | |||||||
Microsemi Corp. | 194,868 | 7,465,393 | (a) | |||||||
Semtech Corp. | 242,018 | 5,321,976 | (a) | |||||||
14,717,991 | ||||||||||
Specialized Finance — 0.0%* | ||||||||||
NewStar Financial Inc. | 37,632 | 329,280 | (a) | |||||||
Specialized REITs — 0.6% | ||||||||||
CoreSite Realty Corp. | 89,847 | 6,290,188 | ||||||||
Potlatch Corp. | 40,890 | 1,288,035 | ||||||||
7,578,223 | ||||||||||
Specialty Chemicals — 2.7% | ||||||||||
Balchem Corp. | 53,419 | 3,313,046 | ||||||||
HB Fuller Co. | 112,238 | 4,764,503 | ||||||||
Innospec Inc. | 103,000 | 4,466,080 | ||||||||
KMG Chemicals Inc. | 32,760 | 755,773 | ||||||||
PolyOne Corp. | 170,519 | 5,158,200 | ||||||||
Quaker Chemical Corp. | 56,322 | 4,779,485 | ||||||||
Sensient Technologies Corp. | 139,200 | 8,833,632 | ||||||||
32,070,719 | ||||||||||
Specialty Stores — 0.3% | ||||||||||
Hibbett Sports Inc. | 89,500 | 3,213,050 | (a) | |||||||
Steel — 0.4% | ||||||||||
Commercial Metals Co. | 198,485 | 3,368,290 | ||||||||
Ryerson Holding Corp. | 132,792 | 738,324 | (a) | |||||||
Schnitzer Steel Industries Inc., Class A | 24,468 | 451,190 | ||||||||
4,557,804 |
See Notes to Schedules of Investments and Notes to Financial Statements.
34
Table of Contents
Small-Cap Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Systems Software — 1.3% | ||||||||||
Barracuda Networks Inc. | 33,477 | $ | 515,546 | (a) | ||||||
CommVault Systems Inc. | 82,900 | 3,578,793 | (a) | |||||||
FleetMatics Group PLC | 60,000 | 2,442,600 | (a) | |||||||
Gigamon Inc. | 42,611 | 1,321,793 | (a) | |||||||
Qualys Inc. | 276,500 | 6,998,215 | (a) | |||||||
The Rubicon Project Inc. | 51,331 | 938,331 | (a) | |||||||
15,795,278 | ||||||||||
Technology Distributors — 0.1% | ||||||||||
Insight Enterprises Inc. | 21,778 | 623,722 | (a) | |||||||
ScanSource Inc. | 26,557 | 1,072,372 | (a) | |||||||
1,696,094 | ||||||||||
Technology Hardware, Storage & Peripherals — 0.8% |
| |||||||||
Diebold Inc. | 294,145 | 8,503,732 | ||||||||
Immersion Corp. | 86,200 | 712,012 | (a) | |||||||
Super Micro Computer Inc. | 17,642 | 601,239 | (a) | |||||||
9,816,983 | ||||||||||
Thrifts & Mortgage Finance — 0.3% |
| |||||||||
Essent Group Ltd. | 31,739 | 660,171 | (a) | |||||||
EverBank Financial Corp. | 20,347 | 307,036 | ||||||||
HomeStreet Inc. | 58,792 | 1,223,462 | (a) | |||||||
LendingTree Inc. | 6,900 | 674,682 | (a) | |||||||
Washington Federal Inc. | 52,828 | 1,196,554 | ||||||||
4,061,905 | ||||||||||
Tires & Rubber — 0.1% | ||||||||||
Cooper Tire & Rubber Co. | 15,972 | 591,283 | ||||||||
Trading Companies & Distributors — 0.7% | ||||||||||
Applied Industrial Technologies Inc. | 192,051 | 8,335,013 | ||||||||
Trucking — 0.9% | ||||||||||
Heartland Express Inc. | 57,009 | 1,057,517 | ||||||||
Landstar System Inc. | 36,500 | 2,358,265 | ||||||||
Old Dominion Freight Line Inc. | 81,164 | 5,650,637 | (a) | |||||||
Saia Inc. | 51,798 | 1,458,114 | (a) | |||||||
YRC Worldwide Inc. | 70,200 | 654,264 | (a) | |||||||
11,178,797 | ||||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Shenandoah Telecommunications Co. | 49,200 | 1,316,100 | ||||||||
Total Common Stock | 1,120,146,619 | |||||||||
Fair Value | ||||||||
Short-Term Investments — 5.2% | ||||||||
State Street Institutional U.S. | $ | 61,764,280 | (d,m,n) | |||||
Total Investments | 1,181,910,899 | |||||||
Liabilities in Excess of Other Assets, | (731,355 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,181,179,544 | ||||||
|
| |||||||
Other Information: |
The Fund had the following long futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation | |||||||||||||
Russell 2000 Mini Index Futures | June 2016 | 194 | $ | 21,526,240 | $ | 614,991 |
See Notes to Schedules of Investments and Notes to Financial Statements.
35
Table of Contents
International Equity Fund | (Unaudited) |
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares), professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2016.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
October 1, 2015 – March 31, 2016
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | |||||||||||||
Actual Fund Return | |||||||||||||||
Investment Class | 1,000.00 | 1,005.10 | 2.81 | ||||||||||||
Service Class | 1,000.00 | 1,003.60 | 4.06 | ||||||||||||
Hypothetical 5% Return (2.5% for the period) | |||||||||||||||
Investment Class | 1,000.00 | 1,022.20 | 2.83 | ||||||||||||
Service Class | 1,000.00 | 1,020.95 | 4.09 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.56% for Investment Class shares and 0.81% for Service Class shares (for the period October 1, 2015 – March 31, 2016), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
36
Table of Contents
International Equity Fund | (Unaudited) |
Investment Profile |
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily (meaning at least 65%) in companies located in both developed and emerging market countries outside the United States.
Regional Allocation as of March 31, 2016 |
Portfolio composition as a % of Fair Value of Investments of $1,258,187 (in thousands) on March 31, 2016 (a)(b)
Top Ten Largest Holdings |
as a % of Fair Value of Investments of $1,258,187 (in thousands) on March 31, 2016 (a)(b)
Roche Holding AG | 2.91% | |||
Baidu Inc. ADR | 2.47% | |||
AIA Group Ltd. | 2.40% | |||
Nidec Corp. | 2.37% | |||
Continental AG | 2.28% | |||
Vodafone Group PLC | 2.27% | |||
Telefonaktiebolaget LM Ericsson, Class B | 2.26% | |||
Anheuser-Busch InBev S.A. | 2.08% | |||
Sanofi | 1.98% | |||
Mitsui Fudosan Company Ltd. | 1.96% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
37
Table of Contents
International Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
International Equity Fund |
Number of Shares | Fair Value | |||||||||
Common Stock — 97.2%† |
| |||||||||
Australia — 1.4% |
| |||||||||
Insurance Australia Group Ltd. | 4,196,898 | $ | 18,014,821 | |||||||
Belgium — 2.1% | ||||||||||
Anheuser-Busch InBev S.A. | 210,335 | 26,185,843 | ||||||||
Canada — 1.5% | ||||||||||
Brookfield Asset Management Inc., Class A | 189,532 | 6,618,857 | ||||||||
Cenovus Energy Inc. | 934,516 | 12,210,229 | ||||||||
18,829,086 | ||||||||||
China — 2.5% | ||||||||||
Baidu Inc. ADR | 163,028 | 31,118,785 | (a) | |||||||
France — 13.1% | ||||||||||
Airbus Group SE | 104,797 | 6,968,243 | ||||||||
AXA S.A. | 731,603 | 17,249,223 | ||||||||
BNP Paribas S.A. | 465,602 | 23,467,420 | ||||||||
Credit Agricole S.A. | 752,949 | 8,166,667 | ||||||||
Safran S.A. | 147,813 | 10,355,714 | ||||||||
Sanofi | 308,964 | 24,948,394 | ||||||||
Schneider Electric SE | 237,069 | 15,004,247 | ||||||||
Technip S.A. | 388,561 | 21,568,052 | ||||||||
Total S.A. | 247,587 | 11,302,444 | ||||||||
Vivendi S.A. | 661,992 | 13,940,819 | ||||||||
Zodiac Aerospace | 617,446 | 12,390,588 | ||||||||
165,361,811 | ||||||||||
Germany — 9.9% | ||||||||||
Bayer AG | 186,055 | 21,901,569 | ||||||||
Continental AG | 126,093 | 28,737,868 | ||||||||
Fresenius SE & Company KGaA | 256,685 | 18,781,779 | ||||||||
HeidelbergCement AG | 186,951 | 16,031,268 | ||||||||
Linde AG | 97,557 | 14,235,463 | ||||||||
SAP SE | 236,017 | 19,122,579 | ||||||||
Zalando SE | 202,642 | 6,662,065 | (a) | |||||||
125,472,591 | ||||||||||
Hong Kong — 2.4% | ||||||||||
AIA Group Ltd. | 5,323,602 | 30,164,481 | (m) | |||||||
India — 2.3% | ||||||||||
ICICI Bank Ltd. | 4,766,925 | 16,908,916 | ||||||||
Power Grid Corporation of India Ltd. | 6,101,008 | 12,805,921 | ||||||||
29,714,837 | ||||||||||
Ireland — 1.2% | ||||||||||
Kerry Group PLC, Class A | 166,072 | 15,495,579 | ||||||||
Italy — 1.3% | ||||||||||
Intesa Sanpaolo S.p.A. | 5,927,927 | 16,442,089 |
Number of Shares | Fair Value | |||||||||
Japan — 25.9% | ||||||||||
Astellas Pharma Inc. | 851,500 | $ | 11,337,424 | |||||||
East Japan Railway Co. | 123,600 | 10,681,319 | ||||||||
FANUC Corp. | 70,449 | 10,959,569 | ||||||||
Fast Retailing Company Ltd. | 14,759 | 4,729,918 | ||||||||
Fuji Heavy Industries Ltd. | 407,800 | 14,422,394 | ||||||||
Japan Post Holdings Company Ltd. | 576,900 | 7,709,451 | ||||||||
Kao Corp. | 407,100 | 21,743,150 | ||||||||
Keyence Corp. | 43,694 | 23,865,605 | ||||||||
Mitsubishi Estate Company Ltd. | 1,010,724 | 18,799,044 | ||||||||
Mitsubishi Heavy Industries Ltd. | 1,874,400 | 6,972,611 | ||||||||
Mitsubishi UFJ Financial Group Inc. | 3,922,300 | 18,199,025 | ||||||||
Mitsui Fudosan Company Ltd. | 986,825 | 24,654,162 | ||||||||
Murata Manufacturing Company Ltd. | 112,479 | 13,580,142 | ||||||||
Nidec Corp. | 435,674 | 29,851,199 | ||||||||
Rakuten Inc. | 843,878 | 8,150,092 | ||||||||
Secom Company Ltd. | 205,300 | 15,281,283 | ||||||||
Shimano Inc. | 113,000 | 17,734,953 | ||||||||
SoftBank Group Corp. | 344,201 | 16,432,960 | ||||||||
Sumitomo Mitsui Financial Group Inc. | 601,900 | 18,272,012 | ||||||||
Tokio Marine Holdings Inc. | 385,946 | 13,048,577 | ||||||||
Toyota Motor Corp. | 390,481 | 20,678,348 | ||||||||
327,103,238 | ||||||||||
Mexico — 0.4% | ||||||||||
Grupo Financiero Banorte SAB de C.V., Class O | 977,215 | 5,582,945 | ||||||||
Netherlands — 3.2% | ||||||||||
ASML Holding N.V. | 240,678 | 24,486,355 | ||||||||
ING Groep N.V. | 1,347,825 | 16,326,773 | ||||||||
40,813,128 | ||||||||||
Norway — 1.7% | ||||||||||
Statoil ASA | 1,369,675 | 21,576,987 | ||||||||
South Korea — 1.0% | ||||||||||
Samsung Electronics Company Ltd. | 10,990 | 12,608,325 | ||||||||
Spain — 0.8% | ||||||||||
Banco Bilbao Vizcaya Argentaria S.A. | 1,594,516 | 10,615,098 | ||||||||
Sweden — 6.0% | ||||||||||
Assa Abloy AB, Class B | 986,840 | 19,501,371 | ||||||||
Hexagon AB, Class B | 461,118 | 17,974,427 | ||||||||
Svenska Cellulosa AB SCA, Class B | 300,282 | 9,397,356 | ||||||||
Telefonaktiebolaget LM Ericsson, Class B | 2,836,739 | 28,448,923 | ||||||||
75,322,077 | ||||||||||
Switzerland — 7.6% | ||||||||||
Geberit AG | 39,165 | 14,694,288 |
See Notes to Schedules of Investments and Notes to Financial Statements.
38
Table of Contents
International Equity Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Givaudan S.A. | 9,703 | $ | 19,109,130 | |||||||
Nestle S.A. | 218,205 | 16,371,356 | ||||||||
Roche Holding AG | 148,062 | 36,596,121 | ||||||||
The Swatch Group AG | 28,332 | 9,854,737 | ||||||||
96,625,632 | ||||||||||
Taiwan — 1.7% | ||||||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 4,371,548 | 22,004,436 | ||||||||
United Kingdom — 11.2% | ||||||||||
Barclays PLC | 6,708,716 | 14,463,656 | ||||||||
BHP Billiton PLC | 571,861 | 6,434,113 | ||||||||
Capita PLC | 327,174 | 4,899,976 | ||||||||
HSBC Holdings PLC | 1,042,679 | 6,502,610 | ||||||||
Johnson Matthey PLC | 270,843 | 10,681,915 | ||||||||
Prudential PLC | 730,426 | 13,658,435 | ||||||||
Shire PLC | 333,785 | 18,993,269 | ||||||||
Smith & Nephew PLC | 1,292,865 | 21,332,536 | ||||||||
Vodafone Group PLC | 8,971,479 | 28,523,090 | ||||||||
WPP PLC | 691,034 | 16,159,740 | ||||||||
141,649,340 | ||||||||||
Total Common Stock | 1,230,701,129 | |||||||||
Short-Term Investments — 2.2% |
| |||||||||
State Street Institutional U.S. | 27,486,186 | (d,m,n) | ||||||||
Total Investments | 1,258,187,315 | |||||||||
Other Assets and Liabilities, | 7,112,879 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,265,300,194 | ||||||||
|
| |||||||||
Other Information: |
The Fund had the following long futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
EURO Stoxx 50 Index Futures | June 2016 | 238 | $ | 7,949,254 | $ | (121,040 | ) | ||||||||||
FTSE 100 Index Futures | June 2016 | 23 | 2,020,829 | 16,136 | |||||||||||||
Topix Index Futures | June 2016 | 47 | 5,634,815 | 9,847 | |||||||||||||
|
| ||||||||||||||||
$ | (95,057 | ) | |||||||||||||||
|
|
The Fund was invested in the following sectors at March 31, 2016 (unaudited):
Sector | Percentage (based on Fair Value) | ||||
Diversified Banks | 12.32% | ||||
Pharmaceuticals | 9.04% | ||||
Life & Health Insurance | 4.10% | ||||
Diversified Real Estate Activities | 3.98% | ||||
Integrated Oil & Gas | 3.58% | ||||
Wireless Telecommunication Services | 3.57% | ||||
Electrical Components & Equipment | 3.57% | ||||
Electronic Equipment & Instruments | 3.33% | ||||
Automobile Manufacturers | 2.79% | ||||
Building Products | 2.72% | ||||
Packaged Foods & Meats | 2.53% | ||||
Internet Software & Services | 2.47% | ||||
Property & Casualty Insurance | 2.47% | ||||
Specialty Chemicals | 2.37% | ||||
Aerospace & Defense | 2.36% | ||||
Auto Parts & Equipment | 2.28% | ||||
Communications Equipment | 2.26% | ||||
Brewers | 2.08% | ||||
Semiconductor Equipment | 1.95% | ||||
Semiconductors | 1.75% | ||||
Personal Products | 1.73% | ||||
Oil & Gas Equipment & Services | 1.71% | ||||
Healthcare Equipment | 1.70% | ||||
Application Software | 1.52% | ||||
Healthcare Services | 1.49% | ||||
Industrial Machinery | 1.43% | ||||
Leisure Products | 1.41% | ||||
Multi-Line Insurance | 1.37% | ||||
Advertising | 1.28% | ||||
Construction Materials | 1.27% | ||||
Security & Alarm Services | 1.21% | ||||
Internet Retail | 1.18% | ||||
Industrial Gases | 1.13% | ||||
Movies & Entertainment | 1.11% | ||||
Electronic Components | 1.08% | ||||
Electric Utilities | 1.02% | ||||
Technology Hardware, Storage & Peripherals | 1.00% | ||||
Railroads | 0.85% | ||||
Apparel, Accessories & Luxury Goods | 0.78% | ||||
Household Products | 0.75% | ||||
Diversified Metals & Mining | 0.51% | ||||
Human Resource & Employment Services | 0.39% | ||||
Apparel Retail | 0.38% | ||||
|
| ||||
97.82% | |||||
|
| ||||
Short-Term Investments | |||||
Short-Term Investments | 2.18% | ||||
|
| ||||
2.18% | |||||
|
| ||||
100.00% | |||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
39
Table of Contents
Strategic Investment Fund | (Unaudited) |
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares), professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2016.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
October 1, 2015 – March 31, 2016
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | |||||||||||||
Actual Fund Return |
| ||||||||||||||
Investment Class | 1,000.00 | 1,029.90 | 1.83 | ||||||||||||
Service Class | 1,000.00 | 1,029.20 | 3.15 | ||||||||||||
Hypothetical 5% Return (2.5% for the period) |
| ||||||||||||||
Investment Class | 1,000.00 | 1,023.20 | 1.82 | ||||||||||||
Service Class | 1,000.00 | 1,021.90 | 3.13 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.36% for Investment Class shares and 0.62% for Service Class shares (for the period October 1, 2015 – March 31, 2016), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
40
Table of Contents
Strategic Investment Fund | (Unaudited) |
Investment Profile |
A mutual fund designed for investors who seek to maximize total return. The Fund seeks to achieve its investment objective by investing primarily in a combination of U.S. and foreign equity and debt securities and cash. The Fund’s asset allocation process utilizes information from GE Asset Management’s Asset Allocation Committee to diversify holdings across these asset classes. The Fund adjusts its weightings based on market and economic conditions to meet its objective.
Sector Allocation |
Portfolio compositions as a % of Fair Value of Investments of $751,224 (in thousands) on March 31, 2016 (a)(b)
Top Ten Largest Equity Holdings |
as a % of Fair Value of Investments of $751,224 (in thousands) on March 31, 2016 (a)(b)
Allergan PLC | 1.08% | |||
Baidu Inc. ADR | 0.95% | |||
Apple Inc. | 0.91% | |||
Comcast Corp., Class A | 0.88% | |||
Amgen Inc. | 0.88% | |||
Exxon Mobil Corp. | 0.80% | |||
Cisco Systems Inc. | 0.77% | |||
Medtronic PLC | 0.75% | |||
Johnson & Johnson | 0.75% | |||
QUALCOMM Inc. | 0.74% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
41
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Strategic Investment Fund |
Number of Shares | Fair Value | |||||||||
Domestic Equity — 31.1%† |
| |||||||||
Common Stock — 31.1% |
| |||||||||
Aerospace & Defense — 1.0% | ||||||||||
General Dynamics Corp. | 15,449 | $ | 2,029,535 | |||||||
Hexcel Corp. | 43,191 | 1,887,879 | ||||||||
Honeywell International Inc. | 22,062 | 2,472,047 | ||||||||
The Boeing Co. | 8,832 | 1,121,134 | ||||||||
7,510,595 | ||||||||||
Air Freight & Logistics — 0.1% | ||||||||||
United Parcel Service Inc., Class B | 8,961 | 945,117 | ||||||||
Airlines — 0.3% | ||||||||||
Delta Air Lines Inc. | 50,029 | 2,435,412 | ||||||||
Apparel, Accessories & Luxury Goods — 0.2% |
| |||||||||
Ralph Lauren Corp. | 6,497 | 625,401 | ||||||||
VF Corp. | 12,802 | 829,058 | ||||||||
1,454,459 | ||||||||||
Application Software — 0.3% | ||||||||||
Intuit Inc. | 19,043 | 1,980,662 | ||||||||
Asset Management & Custody Banks — 1.1% |
| |||||||||
Ameriprise Financial Inc. | 23,636 | 2,222,020 | ||||||||
Invesco Ltd. | 90,668 | 2,789,854 | ||||||||
State Street Corp. | 52,078 | 3,047,605 | (e) | |||||||
8,059,479 | ||||||||||
Automobile Manufacturers — 0.2% | ||||||||||
Ford Motor Co. | 113,881 | 1,537,393 | ||||||||
Automotive Retail — 0.1% | ||||||||||
Advance Auto Parts Inc. | 3,360 | 538,742 | ||||||||
Biotechnology — 1.7% | ||||||||||
Alexion Pharmaceuticals Inc. | 12,546 | 1,746,654 | (a) | |||||||
Amgen Inc. | 44,007 | 6,597,969 | ||||||||
Gilead Sciences Inc. | 39,967 | 3,671,369 | ||||||||
Vertex Pharmaceuticals Inc. | 10,304 | 819,065 | (a) | |||||||
12,835,057 | ||||||||||
Broadcasting — 0.1% | ||||||||||
CBS Corp., Class B | 14,562 | 802,221 | ||||||||
Cable & Satellite — 1.5% | ||||||||||
Charter Communications Inc., Class A | 4,928 | 997,575 | (a) | |||||||
Comcast Corp., Class A | 108,641 | 6,635,792 |
Number of Shares | Fair Value | |||||||||
Liberty Global PLC, Class C | 70,569 | $ | 2,650,572 | (a) | ||||||
Sirius XM Holdings Inc. | 313,639 | 1,238,874 | (a) | |||||||
11,522,813 | ||||||||||
Casinos & Gaming — 0.1% | ||||||||||
Las Vegas Sands Corp. | 17,026 | 879,904 | ||||||||
Communications Equipment — 0.8% | ||||||||||
Cisco Systems Inc. | 202,999 | 5,779,382 | ||||||||
Consumer Finance — 0.5% | ||||||||||
Discover Financial Services | 72,427 | 3,687,983 | ||||||||
Data Processing & Outsourced Services — 0.7% |
| |||||||||
PayPal Holdings Inc. | 42,565 | 1,643,009 | (a) | |||||||
Visa Inc., Class A | 49,286 | 3,769,393 | ||||||||
5,412,402 | ||||||||||
Diversified Banks — 2.0% | ||||||||||
Bank of America Corp. | 317,366 | 4,290,788 | ||||||||
Citigroup Inc. | 88,501 | 3,694,917 | ||||||||
JPMorgan Chase & Co. | 86,984 | 5,151,193 | ||||||||
Wells Fargo & Co. | 36,034 | 1,742,604 | ||||||||
14,879,502 | ||||||||||
Diversified Chemicals — 0.1% | ||||||||||
The Dow Chemical Co. | 7,841 | 398,793 | ||||||||
Drug Retail — 0.2% | ||||||||||
CVS Health Corp. | 14,366 | 1,490,185 | ||||||||
Electric Utilities — 0.3% | ||||||||||
NextEra Energy Inc. | 15,856 | 1,876,399 | ||||||||
Fertilizers & Agricultural Chemicals — 0.1% |
| |||||||||
Monsanto Co. | 5,155 | 452,300 | ||||||||
General Merchandise Stores — 0.2% |
| |||||||||
Dollar General Corp. | 19,199 | 1,643,434 | ||||||||
Healthcare Distributors — 0.2% | ||||||||||
Cardinal Health Inc. | 19,250 | 1,577,537 | ||||||||
Healthcare Equipment — 0.9% | ||||||||||
Abbott Laboratories | 50,407 | 2,108,525 | ||||||||
Boston Scientific Corp. | 165,896 | 3,120,504 | (a) | |||||||
Stryker Corp. | 11,431 | 1,226,432 | ||||||||
6,455,461 | ||||||||||
Healthcare Supplies — 0.2% | ||||||||||
The Cooper Companies Inc. | 10,977 | 1,690,129 | ||||||||
Home Improvement Retail — 0.6% |
| |||||||||
Lowe’s Companies Inc. | 58,583 | 4,437,662 |
See Notes to Schedules of Investments and Notes to Financial Statements.
42
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Hotels, Resorts & Cruise Lines — 0.1% |
| |||||||||
Hilton Worldwide Holdings Inc. | 20,943 | $ | 471,636 | |||||||
Household Products — 0.2% |
| |||||||||
The Procter & Gamble Co. | 21,961 | 1,807,610 | ||||||||
Housewares & Specialties — 0.0%* |
| |||||||||
Newell Rubbermaid Inc. | 7,264 | 321,723 | ||||||||
Hypermarkets & Super Centers — 0.2% |
| |||||||||
Wal-Mart Stores Inc. | 19,042 | 1,304,187 | ||||||||
Independent Power Producers & Energy Traders — 0.1% |
| |||||||||
Calpine Corp. | 63,338 | 960,837 | (a) | |||||||
Industrial Machinery — 0.5% |
| |||||||||
Ingersoll-Rand PLC | 63,804 | 3,956,486 | ||||||||
Integrated Oil & Gas — 1.7% | ||||||||||
Chevron Corp. | 38,348 | 3,658,399 | ||||||||
Exxon Mobil Corp. | 72,238 | 6,038,375 | ||||||||
Occidental Petroleum Corp. | 46,821 | 3,203,961 | ||||||||
12,900,735 | ||||||||||
Integrated Telecommunication Services — 0.1% |
| |||||||||
Verizon Communications Inc. | 20,031 | 1,083,276 | ||||||||
Internet Retail — 0.5% |
| |||||||||
Amazon.com Inc. | 5,668 | 3,364,751 | (a) | |||||||
Internet Software & Services — 1.5% |
| |||||||||
Alphabet Inc., Class A | 4,611 | 3,517,732 | (a) | |||||||
Alphabet Inc., Class C | 5,601 | 4,172,465 | (a) | |||||||
Facebook Inc., Class A | 23,522 | 2,683,860 | (a) | |||||||
LinkedIn Corp., Class A | 7,393 | 845,390 | (a) | |||||||
11,219,447 | ||||||||||
Investment Banking & Brokerage — 0.3% |
| |||||||||
The Charles Schwab Corp. | 80,650 | 2,259,813 | ||||||||
IT Consulting & Other Services — 0.1% |
| |||||||||
Cognizant Technology Solutions Corp., Class A | 14,895 | 933,916 | (a) | |||||||
Movies & Entertainment — 0.8% |
| |||||||||
The Walt Disney Co. | 21,507 | 2,135,860 | ||||||||
Time Warner Inc. | 48,726 | 3,535,071 | ||||||||
5,670,931 | ||||||||||
Multi-Line Insurance — 0.6% | ||||||||||
American International Group Inc. | 19,042 | 1,029,220 | ||||||||
The Hartford Financial Services Group Inc. | 79,132 | 3,646,403 | ||||||||
4,675,623 |
Number of Shares | Fair Value | |||||||||
Multi-Utilities — 0.3% | ||||||||||
Dominion Resources Inc. | 24,644 | $ | 1,851,257 | |||||||
Sempra Energy | 1,470 | 152,954 | ||||||||
2,004,211 | ||||||||||
Oil & Gas Equipment & Services — 0.4% |
| |||||||||
Schlumberger Ltd. | 45,113 | 3,327,084 | ||||||||
Oil & Gas Exploration & Production — 0.6% |
| |||||||||
Concho Resources Inc. | 5,484 | 554,003 | (a) | |||||||
ConocoPhillips | 30,513 | 1,228,759 | ||||||||
Hess Corp. | 53,968 | 2,841,415 | ||||||||
4,624,177 | ||||||||||
Packaged Foods & Meats — 0.3% |
| |||||||||
Mondelez International Inc., Class A | 59,328 | 2,380,239 | ||||||||
Paper Packaging — 0.1% | ||||||||||
Packaging Corporation of America | 6,827 | 412,351 | ||||||||
Pharmaceuticals — 2.8% | ||||||||||
Allergan PLC | 30,228 | 8,102,011 | (a,m) | |||||||
Johnson & Johnson | 51,735 | 5,597,727 | ||||||||
Merck & Company Inc. | 89,068 | 4,712,588 | ||||||||
Pfizer Inc. | 85,131 | 2,523,283 | ||||||||
20,935,609 | ||||||||||
Railroads — 0.0%* | ||||||||||
CSX Corp. | 13,381 | 344,561 | ||||||||
Research & Consulting Services — 0.4% |
| |||||||||
Nielsen Holdings PLC | 60,062 | 3,162,865 | ||||||||
Semiconductor Equipment — 0.5% |
| |||||||||
Applied Materials Inc. | 166,900 | 3,534,942 | ||||||||
Semiconductors — 0.7% | ||||||||||
QUALCOMM Inc. | 108,423 | 5,544,752 | ||||||||
Soft Drinks — 0.7% | ||||||||||
PepsiCo Inc. | 49,650 | 5,088,132 | ||||||||
Specialized Finance — 0.8% | ||||||||||
CME Group Inc. | 30,244 | 2,904,936 | ||||||||
McGraw Hill Financial Inc. | 28,003 | 2,771,737 | ||||||||
5,676,673 | ||||||||||
Specialized REITs — 0.7% | ||||||||||
American Tower Corp. | 46,710 | 4,781,703 | ||||||||
Extra Space Storage Inc. | 8,625 | 806,092 | ||||||||
5,587,795 |
See Notes to Schedules of Investments and Notes to Financial Statements.
43
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Specialty Chemicals — 0.1% | ||||||||||
PPG Industries Inc. | 8,215 | $ | 915,890 | |||||||
Systems Software — 0.7% | ||||||||||
Microsoft Corp. | 59,255 | 3,272,654 | ||||||||
Oracle Corp. | 51,354 | 2,100,892 | ||||||||
5,373,546 | ||||||||||
Technology Hardware, Storage & Peripherals — 1.4% |
| |||||||||
Apple Inc. | 62,503 | 6,812,202 | (m) | |||||||
HP Inc. | 88,490 | 1,090,197 | ||||||||
Western Digital Corp. | 49,052 | 2,317,216 | ||||||||
10,219,615 | ||||||||||
Trading Companies & Distributors — 0.4% |
| |||||||||
United Rentals Inc. | 45,293 | 2,816,772 | (a) | |||||||
Total Common Stock | 233,163,208 | |||||||||
Preferred Stock — 0.0%* | ||||||||||
Diversified Banks — 0.0%* | ||||||||||
Wells Fargo & Co. | 9,802 | 258,381 | ||||||||
Total Preferred Stock | 258,381 | |||||||||
Total Domestic Equity | 233,421,589 | |||||||||
Foreign Equity — 22.3% | ||||||||||
Common Stock — 22.3% | ||||||||||
Advertising — 0.3% | ||||||||||
WPP PLC | 80,026 | 1,871,398 | ||||||||
Aerospace & Defense — 0.5% | ||||||||||
Airbus Group SE | 12,136 | 806,956 | ||||||||
Safran S.A. | 17,118 | 1,199,280 | ||||||||
Zodiac Aerospace | 71,504 | 1,434,905 | ||||||||
3,441,141 | ||||||||||
Apparel Retail — 0.1% | ||||||||||
Fast Retailing Company Ltd. | 1,688 | 540,965 | ||||||||
Apparel, Accessories & Luxury Goods — 0.2% |
| |||||||||
Makalot Industrial Company Ltd. | 10,349 | 62,222 | ||||||||
The Swatch Group AG | 3,281 | 1,141,232 | ||||||||
1,203,454 |
Number of Shares | Fair Value | |||||||||
Application Software — 0.3% | ||||||||||
SAP SE | 27,332 | $ | 2,214,494 | |||||||
Asset Management & Custody Banks — 0.0%* |
| |||||||||
Noah Holdings Ltd. ADR | 1,347 | 33,513 | (a) | |||||||
Auto Parts & Equipment — 0.8% | ||||||||||
Continental AG | 14,603 | 3,328,171 | ||||||||
Delphi Automotive PLC | 38,876 | 2,916,478 | ||||||||
Superalloy Industrial Company Ltd. | 12,120 | 48,542 | ||||||||
6,293,191 | ||||||||||
Automobile Manufacturers — 0.6% |
| |||||||||
Fuji Heavy Industries Ltd. | 47,300 | 1,672,828 | ||||||||
Great Wall Motor Company Ltd., Class H | 55,500 | 45,078 | ||||||||
Mahindra & Mahindra Ltd. | 3,341 | 60,995 | ||||||||
Maruti Suzuki India Ltd. | 1,055 | 59,109 | ||||||||
Toyota Motor Corp. | 45,180 | 2,392,556 | ||||||||
4,230,566 | ||||||||||
Brewers — 0.4% | ||||||||||
AMBEV S.A. ADR | 12,437 | 64,423 | ||||||||
Anheuser-Busch InBev S.A. | 24,358 | 3,032,471 | ||||||||
SABMiller PLC | 786 | 48,081 | ||||||||
3,144,975 | ||||||||||
Broadcasting — 0.0%* | ||||||||||
Media Nusantara Citra Tbk PT | 176,000 | 28,935 | ||||||||
Building Products — 0.5% | ||||||||||
Assa Abloy AB, Class B | 114,283 | 2,258,396 | ||||||||
Geberit AG | 4,536 | 1,701,858 | ||||||||
3,960,254 | ||||||||||
Cable & Satellite — 0.0%* | ||||||||||
Naspers Ltd., Class N | 1,098 | 153,860 | ||||||||
Coal & Consumable Fuels — 0.0%* |
| |||||||||
Coal India Ltd. | 20,263 | 89,363 | ||||||||
Communications Equipment — 0.4% |
| |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 328,506 | 3,294,502 | ||||||||
Construction & Engineering — 0.0%* |
| |||||||||
Hyundai Engineering & Construction Company Ltd. | 3,086 | 113,742 | ||||||||
Construction Materials — 0.3% | ||||||||||
Cemex SAB de C.V. ADR | 12,328 | 89,748 | (a) | |||||||
HeidelbergCement AG | 21,650 | 1,856,513 | ||||||||
Indocement Tunggal Prakarsa Tbk PT | 55,100 | 81,964 | ||||||||
2,028,225 |
See Notes to Schedules of Investments and Notes to Financial Statements.
44
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Data Processing & Outsourced Services — 0.0%* |
| |||||||||
Cielo S.A. | 8,238 | $ | 81,288 | |||||||
Department Stores — 0.0%* | ||||||||||
Matahari Department Store Tbk PT | 105,376 | 145,826 | ||||||||
SACI Falabella | 6,332 | 44,201 | ||||||||
Woolworths Holdings Ltd. | 10,954 | 66,783 | ||||||||
256,810 | ||||||||||
Diversified Banks — 2.6% | ||||||||||
Banco Bilbao Vizcaya Argentaria S.A. | 184,649 | 1,229,255 | ||||||||
Bank of China Ltd., Class H | 68,978 | 28,635 | ||||||||
Barclays PLC | 776,915 | 1,674,990 | ||||||||
BNP Paribas S.A. | 53,936 | 2,718,500 | ||||||||
China Construction Bank Corp., Class H | 177,000 | 113,184 | ||||||||
Credit Agricole S.A. | 87,201 | 945,803 | ||||||||
CTBC Financial Holding Company Ltd. | 108,830 | 57,485 | ||||||||
Grupo Financiero Banorte SAB de C.V., Class O | 139,055 | 794,438 | ||||||||
HSBC Holdings PLC | 120,749 | 753,044 | ||||||||
ICICI Bank Ltd. | 600,253 | 2,129,177 | ||||||||
Industrial & Commercial Bank of China Ltd., Class H | 215,203 | 120,689 | ||||||||
ING Groep N.V. | 156,087 | 1,890,748 | ||||||||
Intesa Sanpaolo S.p.A. | 686,487 | 1,904,086 | ||||||||
Kasikornbank PCL | 15,400 | 76,606 | ||||||||
Malayan Banking Bhd | 62,288 | 144,006 | ||||||||
Metropolitan Bank & Trust Co. | 82,864 | 148,380 | ||||||||
Mitsubishi UFJ Financial Group Inc. | 454,200 | 2,107,436 | ||||||||
OTP Bank PLC | 2,494 | 62,652 | ||||||||
Qatar National Bank SAQ | 1,806 | 69,832 | ||||||||
Sberbank of Russia PJSC ADR | 18,192 | 126,616 | ||||||||
Shinhan Financial Group Company Ltd. | 3,080 | 109,077 | ||||||||
Sumitomo Mitsui Financial Group Inc. | 69,700 | 2,115,898 | ||||||||
19,320,537 | ||||||||||
Diversified Metals & Mining — 0.1% | ||||||||||
BHP Billiton PLC | 66,226 | 745,121 | ||||||||
Korea Zinc Company Ltd. | 177 | 74,524 | ||||||||
MMC Norilsk Nickel PJSC ADR | 2,238 | 28,892 | ||||||||
848,537 | ||||||||||
Diversified Real Estate Activities — 0.8% |
| |||||||||
Brookfield Asset Management Inc., Class A | 21,949 | 766,505 | ||||||||
Mitsubishi Estate Company Ltd. | 116,588 | 2,168,488 | ||||||||
Mitsui Fudosan Company Ltd. | 114,399 | 2,858,067 | ||||||||
5,793,060 | ||||||||||
Diversified REITs — 0.0%* | ||||||||||
Fibra Uno Administracion S.A. de C.V. | 36,954 | 86,661 |
Number of Shares | Fair Value | |||||||||
Diversified Support Services — 0.0%* |
| |||||||||
KEPCO Plant Service & Engineering Company Ltd. | 391 | $ | 21,916 | |||||||
Electric Utilities — 0.2% | ||||||||||
Power Grid Corporation of India Ltd. | 785,388 | 1,648,517 | ||||||||
Electrical Components & Equipment — 0.7% |
| |||||||||
Nidec Corp. | 50,500 | 3,460,123 | ||||||||
Schneider Electric SE | 27,454 | 1,737,581 | ||||||||
5,197,704 | ||||||||||
Electronic Components — 0.2% |
| |||||||||
Largan Precision Company Ltd. | 2,111 | 163,651 | ||||||||
Murata Manufacturing Company Ltd. | 12,999 | 1,569,433 | ||||||||
1,733,084 | ||||||||||
Electronic Equipment & Instruments — 0.7% |
| |||||||||
Flytech Technology Company Ltd. | 10,902 | 37,431 | ||||||||
Hexagon AB, Class B | 53,401 | 2,081,576 | ||||||||
Keyence Corp. | 4,998 | 2,729,901 | ||||||||
4,848,908 | ||||||||||
Food Retail — 0.0%* |
| |||||||||
Magnit PJSC GDR | 2,884 | 115,216 | ||||||||
Healthcare Equipment — 1.1% | ||||||||||
i-SENS Inc. | 1,631 | 51,628 | (a) | |||||||
Medtronic PLC | 75,497 | 5,662,275 | ||||||||
Smith & Nephew PLC | 149,719 | 2,470,394 | ||||||||
8,184,297 | ||||||||||
Healthcare Services — 0.3% | ||||||||||
Fresenius SE & Company KGaA | 29,726 | 2,175,067 | ||||||||
Household Appliances — 0.0%* | ||||||||||
Techtronic Industries Company Ltd. | 23,880 | 94,516 | ||||||||
Household Products — 0.1% | ||||||||||
Svenska Cellulosa AB SCA, Class B | 34,775 | 1,088,287 | ||||||||
Human Resource & Employment Services — 0.1% |
| |||||||||
Capita PLC | 37,889 | 567,451 | ||||||||
Hypermarkets & Super Centers — 0.0%* |
| |||||||||
Puregold Price Club Inc. | 62,800 | 49,645 | ||||||||
Industrial Conglomerates — 0.0%* | ||||||||||
Alfa SAB de C.V., Class A | 38,231 | 77,565 | ||||||||
Fosun International Ltd. | 31,500 | 44,835 | ||||||||
122,400 |
See Notes to Schedules of Investments and Notes to Financial Statements.
45
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Industrial Gases — 0.2% | ||||||||||
Linde AG | 11,298 | $ | 1,648,598 | |||||||
Industrial Machinery — 0.3% | ||||||||||
FANUC Corp. | 8,200 | 1,275,653 | ||||||||
Mitsubishi Heavy Industries Ltd. | 217,000 | 807,222 | ||||||||
2,082,875 | ||||||||||
Integrated Oil & Gas — 0.8% | ||||||||||
Cenovus Energy Inc. | 108,223 | 1,414,023 | ||||||||
China Petroleum & Chemical Corp., Class H | 169,725 | 111,596 | ||||||||
Lukoil PJSC ADR | 1,903 | 73,104 | ||||||||
Sasol Ltd. | 6,525 | 195,883 | ||||||||
Statoil ASA | 158,612 | 2,498,672 | ||||||||
Total S.A. | 28,673 | 1,308,934 | ||||||||
5,602,212 | ||||||||||
Internet Retail — 0.2% | ||||||||||
Ctrip.com International Ltd. ADR | 1,381 | 61,123 | (a) | |||||||
Rakuten Inc. | 97,698 | 943,558 | ||||||||
Zalando SE | 23,459 | 771,239 | (a) | |||||||
1,775,920 | ||||||||||
Internet Software & Services — 1.0% |
| |||||||||
Alibaba Group Holding Ltd. ADR | 1,508 | 119,177 | (a) | |||||||
Baidu Inc. ADR | 37,285 | 7,116,961 | (a) | |||||||
NAVER Corp. | 293 | 163,205 | ||||||||
NetEase Inc. ADR | 349 | 50,110 | ||||||||
Tencent Holdings Ltd. | 14,655 | 299,465 | ||||||||
Yandex N.V., Class A | 4,947 | 75,788 | (a) | |||||||
7,824,706 | ||||||||||
IT Consulting & Other Services — 0.0%* |
| |||||||||
HCL Technologies Ltd. | 13,104 | 160,954 | ||||||||
Leisure Products — 0.3% | ||||||||||
Shimano Inc. | 13,100 | 2,055,999 | ||||||||
Life & Health Insurance — 0.9% | ||||||||||
AIA Group Ltd. | 658,020 | 3,728,459 | ||||||||
China Life Insurance Company Ltd., Class H | 29,000 | 71,560 | ||||||||
Japan Post Holdings Company Ltd. | 65,200 | 871,306 | ||||||||
Ping An Insurance Group Company of China Ltd., Class H | 21,000 | 100,579 | ||||||||
Prudential PLC | 84,588 | 1,581,734 | ||||||||
6,353,638 | ||||||||||
Movies & Entertainment — 0.2% | ||||||||||
Vivendi S.A. | 76,662 | 1,614,417 | ||||||||
Multi-Line Insurance — 0.3% | ||||||||||
AXA S.A. | 84,726 | 1,997,610 |
Number of Shares | Fair Value | |||||||||
BB Seguridade Participacoes S.A. | 7,585 | $ | 63,565 | |||||||
2,061,175 | ||||||||||
Oil & Gas Equipment & Services — 0.3% |
| |||||||||
Technip S.A. | 44,997 | 2,497,671 | ||||||||
Oil & Gas Exploration & Production — 0.0%* |
| |||||||||
CNOOC Ltd. | 123,000 | 145,414 | ||||||||
Parex Resources Inc. | 16,478 | 139,498 | (a) | |||||||
284,912 | ||||||||||
Other Diversified Financial Services — 0.0%* |
| |||||||||
FirstRand Ltd. | 36,909 | 121,382 | ||||||||
Packaged Foods & Meats — 0.5% |
| |||||||||
Kerry Group PLC, Class A | 19,254 | 1,796,521 | ||||||||
Nestle S.A. | 25,269 | 1,895,868 | ||||||||
3,692,389 | ||||||||||
Personal Products — 0.4% | ||||||||||
Kao Corp. | 47,100 | 2,515,604 | ||||||||
LG Household & Health Care Ltd. | 87 | 71,891 | ||||||||
2,587,495 | ||||||||||
Pharmaceuticals — 1.8% | ||||||||||
Astellas Pharma Inc. | 98,600 | 1,312,824 | ||||||||
Bayer AG | 21,546 | 2,536,300 | ||||||||
CSPC Pharmaceutical Group Ltd. | 94,095 | 85,038 | ||||||||
Roche Holding AG | 17,147 | 4,238,182 | ||||||||
Sanofi | 35,781 | 2,889,264 | ||||||||
Shire PLC | 38,653 | 2,199,460 | ||||||||
Sino Biopharmaceutical Ltd. | 79,000 | 59,073 | ||||||||
13,320,141 | ||||||||||
Precious Metals & Minerals — 0.0%* |
| |||||||||
Tahoe Resources Inc. | 9,252 | 93,132 | ||||||||
Property & Casualty Insurance — 1.0% |
| |||||||||
Chubb Ltd. | 26,091 | 3,108,743 | ||||||||
Insurance Australia Group Ltd. | 486,029 | 2,086,237 | ||||||||
PICC Property & Casualty Company Ltd., Class H | 38,000 | 69,763 | ||||||||
Tokio Marine Holdings Inc. | 44,700 | 1,511,277 | ||||||||
XL Group PLC | 19,756 | 727,021 | ||||||||
7,503,041 | ||||||||||
Railroads — 0.2% | ||||||||||
East Japan Railway Co. | 14,300 | 1,235,784 | ||||||||
Real Estate Development — 0.0%* |
| |||||||||
China Resources Land Ltd. | 14,000 | 35,846 | ||||||||
Residential REITs — 0.0%* | ||||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 46,660 | 47,560 |
See Notes to Schedules of Investments and Notes to Financial Statements.
46
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Number of Shares | Fair Value | |||||||||
Restaurants — 0.0%* | ||||||||||
Alsea SAB de C.V. | 11,961 | $ | 45,261 | |||||||
Security & Alarm Services — 0.2% |
| |||||||||
Secom Company Ltd. | 23,800 | 1,771,527 | ||||||||
Semiconductor Equipment — 0.4% |
| |||||||||
ASML Holding N.V. | 27,872 | 2,835,671 | ||||||||
Semiconductors — 0.5% | ||||||||||
NXP Semiconductors N.V. | 7,474 | 605,917 | (a) | |||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 617,876 | 3,110,114 | ||||||||
3,716,031 | ||||||||||
Soft Drinks — 0.0%* | ||||||||||
Coca-Cola Icecek AS | 4,374 | 63,815 | ||||||||
Specialty Chemicals — 0.5% | ||||||||||
Givaudan S.A. | 1,124 | 2,213,611 | ||||||||
Johnson Matthey PLC | 31,365 | 1,237,020 | ||||||||
3,450,631 | ||||||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||||
Samsung Electronics Company Ltd. | 1,720 | 1,973,277 | ||||||||
Thrifts & Mortgage Finance — 0.0%* |
| |||||||||
Housing Development Finance Corporation Ltd. | 18,058 | 301,864 | ||||||||
Trucking — 0.0%* | ||||||||||
CAR Inc. | 33,210 | 38,919 | (a) | |||||||
Wireless Telecommunication Services — 0.7% |
| |||||||||
China Mobile Ltd. | 18,290 | 203,732 | ||||||||
MTN Group Ltd. | 3,943 | 36,245 | ||||||||
SK Telecom Company Ltd. | 527 | 96,082 | ||||||||
SoftBank Group Corp. | 39,800 | 1,900,145 | ||||||||
Vodafone Group PLC | 1,038,938 | 3,303,104 | ||||||||
5,539,308 | ||||||||||
Total Common Stock | 167,212,630 | |||||||||
Preferred Stock — 0.0%* | ||||||||||
Diversified Banks — 0.0%* | ||||||||||
Itau Unibanco Holding S.A. | 16,458 | 144,936 | ||||||||
Integrated Oil & Gas — 0.0%* | ||||||||||
Petroleo Brasileiro S.A. | 19,281 | 45,428 | (a) | |||||||
Total Preferred Stock | 190,364 | |||||||||
Total Foreign Equity | 167,402,994 |
Principal Amount | Fair Value | |||||||||||
Bonds and Notes — 32.2% | ||||||||||||
U.S. Treasuries — 6.6% | ||||||||||||
U.S. Treasury Bond | ||||||||||||
2.50% | 02/15/45 | $ | 8,876,400 | $ | 8,656,913 | |||||||
U.S. Treasury Notes | ||||||||||||
0.75% | 02/15/19 | 4,000,000 | 3,988,752 | |||||||||
0.88% | 10/15/18 | 2,538,000 | 2,542,363 | |||||||||
1.13% | 01/15/19 | 5,000,000 | 5,039,650 | |||||||||
1.75% | 12/31/20 | 11,491,300 | 11,777,686 | |||||||||
2.13% | 12/31/22 | 9,962,400 | 10,351,163 | |||||||||
2.25% | 11/15/25 | 6,971,700 | 7,258,467 | |||||||||
49,614,994 | ||||||||||||
Agency Mortgage Backed — 7.5% | ||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
4.50% | 06/01/33 - 02/01/35 | 5,501 | 5,993 | |||||||||
5.00% | 07/01/35 - 06/01/41 | 661,828 | 743,175 | |||||||||
5.50% | 05/01/20 - 04/01/39 | 134,582 | 154,167 | |||||||||
6.00% | 04/01/17 - 11/01/37 | 187,142 | 214,977 | |||||||||
6.50% | 06/01/29 | 904 | 1,028 | |||||||||
7.00% | 10/01/16 - 08/01/36 | 136,038 | 146,196 | |||||||||
7.50% | 09/01/33 | 441 | 467 | |||||||||
8.00% | 04/01/30 - 11/01/30 | 578 | 645 | |||||||||
9.00% | 04/01/16 - 06/01/21 | 71 | 72 | |||||||||
Federal National Mortgage Assoc. | ||||||||||||
2.22% | 04/01/37 | 712 | 726 | (h) | ||||||||
3.00% | 02/01/43 - 06/01/43 | 7,515,905 | 7,732,860 | |||||||||
3.50% | 11/01/42 - 08/01/45 | 4,996,077 | 5,244,733 | |||||||||
4.00% | 05/01/19 - 02/01/46 | 20,929,271 | 22,627,218 | |||||||||
4.50% | 05/01/18 - 01/01/41 | 5,166,783 | 5,636,172 | |||||||||
5.00% | 07/01/20 - 06/01/41 | 1,037,666 | 1,171,297 | |||||||||
5.50% | 06/01/20 - 01/01/39 | 1,013,332 | 1,143,876 | |||||||||
6.00% | 02/01/20 - 05/01/41 | 1,392,969 | 1,604,427 | |||||||||
6.50% | 08/01/17 - 08/01/34 | 136,159 | 154,677 | |||||||||
7.00% | 10/01/16 - 12/01/33 | 6,571 | 6,645 | |||||||||
7.50% | 12/01/23 - 12/01/33 | 4,794 | 5,347 | |||||||||
8.00% | 11/01/25 - 01/01/33 | 822 | 934 | |||||||||
9.00% | 12/01/17 - 12/01/22 | 552 | 599 | |||||||||
2.50% | TBA | 1,031,097 | 1,058,566 | (c) | ||||||||
3.00% | TBA | 1,201,000 | 1,232,409 | (c) | ||||||||
5.00% | TBA | 1,925,000 | 2,129,969 | (c) | ||||||||
Government National Mortgage Assoc. | ||||||||||||
3.50% | 05/20/43 | 1,666,651 | 1,766,224 | |||||||||
4.00% | 01/20/41 - 04/20/43 | 1,950,533 | 2,102,441 | |||||||||
4.50% | 08/15/33 - 03/20/41 | 959,753 | 1,044,665 | |||||||||
5.00% | 08/15/33 | 12,716 | 14,226 | |||||||||
6.00% | 06/15/33 - 09/15/36 | 54,939 | 63,741 | |||||||||
6.50% | 04/15/28 - 06/15/34 | 13,137 | 15,077 | |||||||||
7.00% | 04/15/28 - 10/15/36 | 7,671 | 8,675 | |||||||||
8.00% | 06/15/30 | 33 | 33 | |||||||||
8.50% | 10/15/17 | 821 | 841 |
See Notes to Schedules of Investments and Notes to Financial Statements.
47
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
9.00% | 11/15/16 - 12/15/21 | $ | 1,141 | $ | 1,175 | |||||||
4.00% | TBA | 169,190 | 180,971 | (c) | ||||||||
5.00% | TBA | 75,000 | 82,698 | (c) | ||||||||
56,297,942 | ||||||||||||
Agency Collateralized Mortgage Obligations — 0.1% | ||||||||||||
Collateralized Mortgage Obligation Trust |
| |||||||||||
0.01% | 11/01/18 | 41 | 41 | (d,f) | ||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||
0.08% | 09/25/43 | 84,142 | 239 | (g,h) | ||||||||
Federal Home Loan Mortgage Corp. REMIC |
| |||||||||||
3.50% | 11/15/24 - 11/15/30 | 600,235 | 39,707 | (g) | ||||||||
5.00% | 02/15/38 | 3,437 | 42 | (g) | ||||||||
5.50% | 06/15/33 | 3,878 | 792 | (g) | ||||||||
6.16% | 08/15/25 | 238,746 | 22,019 | (g,h) | ||||||||
7.50% | 07/15/27 | 1,539 | 202 | (g) | ||||||||
8.00% | 04/15/20 | 15 | 15 | |||||||||
Federal Home Loan Mortgage Corp. STRIPS |
| |||||||||||
1.47% | 08/01/27 | 140 | 118 | (d,f) | ||||||||
5.51% | 08/15/43 | 633,681 | 128,626 | (g,h) | ||||||||
8.00% | 02/01/23 - 07/01/24 | 541 | 107 | (g) | ||||||||
Federal National Mortgage Assoc. REMIC |
| |||||||||||
0.51% | 12/25/22 | 166 | 160 | (d,f) | ||||||||
1.23% | 12/25/42 | 32,656 | 1,437 | (g,h) | ||||||||
5.00% | 02/25/40 - 09/25/40 | 291,900 | 31,310 | (g) | ||||||||
5.57% | 07/25/38 - 12/25/41 | 676,254 | 136,426 | (g,h) | ||||||||
Federal National Mortgage Assoc. STRIPS |
| |||||||||||
4.50% | 08/25/35 - 01/25/36 | 62,105 | 10,033 | (g) | ||||||||
5.00% | 03/25/38 - 05/25/38 | 34,859 | 5,577 | (g) | ||||||||
5.50% | 12/25/33 | 7,225 | 1,404 | (g) | ||||||||
6.00% | 01/25/35 | 33,456 | 6,868 | (g) | ||||||||
7.50% | 11/25/23 | 3,304 | 632 | (g) | ||||||||
8.00% | 08/25/23 - 07/25/24 | 1,125 | 240 | (g) | ||||||||
8.50% | 03/25/17 - 01/25/18 | 15 | — | (**,g) | ||||||||
8.50% | 04/25/17 - 07/25/22 | 150 | 20 | (g) | ||||||||
9.00% | 05/25/22 | 131 | 22 | (g) | ||||||||
Government National Mortgage Assoc. |
| |||||||||||
4.50% | 10/20/37 - 08/16/39 | 431,946 | 22,763 | (g) | ||||||||
5.00% | 10/20/37 - 09/20/38 | 154,995 | 7,255 | (g) | ||||||||
5.82% | 02/20/40 | 252,824 | 40,488 | (g,h) | ||||||||
6.36% | 01/16/40 | 415,663 | 71,940 | (g,h) | ||||||||
528,483 | ||||||||||||
Corporate Notes — 14.1% |
| |||||||||||
21st Century Fox America Inc. |
| |||||||||||
3.70% | 10/15/25 | 84,000 | 87,993 | |||||||||
4.95% | 10/15/45 | 34,000 | 36,361 | |||||||||
6.65% | 11/15/37 | 160,000 | 199,267 | |||||||||
ABB Finance USA Inc. |
| |||||||||||
1.63% | 05/08/17 | 166,000 | 167,006 | |||||||||
AbbVie Inc. |
| |||||||||||
1.75% | 11/06/17 | 234,000 | 235,101 | |||||||||
2.00% | 11/06/18 | 211,000 | 213,075 |
Principal Amount | Fair Value | |||||||||||
2.50% | 05/14/20 | $ | 335,000 | $ | 341,264 | |||||||
3.60% | 05/14/25 | 138,000 | 144,923 | |||||||||
4.70% | 05/14/45 | 70,000 | 74,458 | |||||||||
ACCO Brands Corp. |
| |||||||||||
6.75% | 04/30/20 | 339,000 | 358,492 | |||||||||
Actavis Funding SCS |
| |||||||||||
1.30% | 06/15/17 | 399,000 | 397,888 | (m) | ||||||||
3.00% | 03/12/20 | 169,000 | 173,892 | (m) | ||||||||
3.45% | 03/15/22 | 236,000 | 245,094 | (m) | ||||||||
3.80% | 03/15/25 | 338,000 | 351,743 | (m) | ||||||||
4.75% | 03/15/45 | 33,000 | 34,957 | (m) | ||||||||
Activision Blizzard Inc. |
| |||||||||||
5.63% | 09/15/21 | 367,000 | 385,809 | (b) | ||||||||
Aetna Inc. |
| |||||||||||
3.50% | 11/15/24 | 210,000 | 214,323 | |||||||||
Agrium Inc. |
| |||||||||||
3.38% | 03/15/25 | 84,000 | 80,881 | |||||||||
4.90% | 06/01/43 | 147,000 | 139,932 | |||||||||
Alibaba Group Holding Ltd. |
| |||||||||||
4.50% | 11/28/34 | 205,000 | 209,499 | |||||||||
Altria Group Inc. |
| |||||||||||
2.95% | 05/02/23 | 141,000 | 146,013 | |||||||||
4.50% | 05/02/43 | 141,000 | 151,534 | |||||||||
America Movil SAB de C.V. |
| |||||||||||
3.13% | 07/16/22 | 200,000 | 205,393 | |||||||||
American Axle & Manufacturing Inc. |
| |||||||||||
6.25% | 03/15/21 | 187,000 | 193,078 | |||||||||
6.63% | 10/15/22 | 53,000 | 54,988 | |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.35% | 10/01/20 | 136,000 | 138,959 | |||||||||
4.13% | 07/01/24 | 103,000 | 106,090 | |||||||||
American Electric Power Company Inc. |
| |||||||||||
2.95% | 12/15/22 | 270,000 | 273,576 | |||||||||
American Express Co. |
| |||||||||||
3.63% | 12/05/24 | 169,000 | 170,268 | |||||||||
American Express Credit Corp. |
| |||||||||||
2.60% | 09/14/20 | 337,000 | 345,317 | |||||||||
American International Group Inc. |
| |||||||||||
3.30% | 03/01/21 | 152,000 | 155,469 | |||||||||
3.75% | 07/10/25 | 337,000 | 336,747 | |||||||||
4.13% | 02/15/24 | 102,000 | 106,325 | |||||||||
4.50% | 07/16/44 | 67,000 | 63,207 | |||||||||
4.80% | 07/10/45 | 169,000 | 166,672 | |||||||||
American Tower Corp. (REIT) |
| |||||||||||
3.40% | 02/15/19 | 515,000 | 528,457 | |||||||||
Amgen Inc. |
| |||||||||||
2.20% | 05/22/19 | 305,000 | 312,070 | |||||||||
Amkor Technology Inc. |
| |||||||||||
6.63% | 06/01/21 | 368,000 | 349,600 | |||||||||
Anadarko Petroleum Corp. |
| |||||||||||
4.85% | 03/15/21 | 130,000 | 132,409 |
See Notes to Schedules of Investments and Notes to Financial Statements.
48
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
5.55% | 03/15/26 | $ | 185,000 | $ | 187,047 | |||||||
5.95% | 09/15/16 | 568,000 | 577,295 | |||||||||
6.60% | 03/15/46 | 75,000 | 76,587 | |||||||||
Anheuser-Busch InBev Finance Inc. |
| |||||||||||
2.65% | 02/01/21 | 335,000 | 344,393 | |||||||||
3.65% | 02/01/26 | 335,000 | 352,302 | |||||||||
4.90% | 02/01/46 | 135,000 | 150,840 | |||||||||
Anheuser-Busch InBev Worldwide Inc. |
| |||||||||||
2.50% | 07/15/22 | 453,000 | 457,043 | |||||||||
Anthem Inc. |
| |||||||||||
3.30% | 01/15/23 | 185,000 | 187,402 | |||||||||
Apache Corp. |
| |||||||||||
5.10% | 09/01/40 | 169,000 | 153,378 | |||||||||
Apple Inc. |
| |||||||||||
2.85% | 05/06/21 | 359,000 | 376,815 | |||||||||
3.25% | 02/23/26 | 168,000 | 175,229 | |||||||||
3.45% | 02/09/45 | 170,000 | 153,585 | |||||||||
4.65% | 02/23/46 | 175,000 | 191,097 | |||||||||
Aramark Services Inc. |
| |||||||||||
5.75% | 03/15/20 | 370,000 | 381,562 | |||||||||
Argos Merger Sub Inc. |
| |||||||||||
7.13% | 03/15/23 | 143,000 | 151,580 | (b) | ||||||||
Ascension Health |
| |||||||||||
4.85% | 11/15/53 | 235,000 | 270,102 | |||||||||
AstraZeneca PLC | ||||||||||||
2.38% | 11/16/20 | 119,000 | 121,459 | |||||||||
3.38% | 11/16/25 | 169,000 | 175,137 | |||||||||
4.38% | 11/16/45 | 67,000 | 71,351 | |||||||||
AT&T Inc. | ||||||||||||
2.38% | 11/27/18 | 438,000 | 447,503 | |||||||||
2.45% | 06/30/20 | 337,000 | 340,661 | |||||||||
2.80% | 02/17/21 | 168,000 | 172,025 | |||||||||
3.40% | 05/15/25 | 72,000 | 72,179 | |||||||||
4.13% | 02/17/26 | 168,000 | 177,500 | |||||||||
4.45% | 04/01/24 | 262,000 | 283,045 | |||||||||
4.50% | 05/15/35 | 169,000 | 166,923 | |||||||||
4.75% | 05/15/46 | 37,000 | 36,102 | |||||||||
4.80% | 06/15/44 | 135,000 | 132,135 | |||||||||
AutoNation Inc. | ||||||||||||
4.50% | 10/01/25 | 84,000 | 86,123 | |||||||||
AutoZone Inc. | ||||||||||||
3.25% | 04/15/25 | 337,000 | 337,568 | |||||||||
Bank of America Corp. | ||||||||||||
1.70% | 08/25/17 | 849,000 | 850,215 | |||||||||
2.60% | 01/15/19 | 293,000 | 298,008 | |||||||||
3.95% | 04/21/25 | 203,000 | 202,182 | |||||||||
4.00% | 01/22/25 | 333,000 | 333,644 | |||||||||
4.10% | 07/24/23 | 163,000 | 171,986 | |||||||||
4.25% | 10/22/26 | 305,000 | 310,154 | |||||||||
Barclays Bank PLC | ||||||||||||
2.25% | 05/10/17 | 815,000 | 824,298 | (b) | ||||||||
Barclays PLC | ||||||||||||
3.25% | 01/12/21 | 340,000 | 338,543 | |||||||||
4.38% | 01/12/26 | 375,000 | 367,995 |
Principal Amount | Fair Value | |||||||||||
5.25% | 08/17/45 | $ | 200,000 | $ | 200,847 | |||||||
Barrick Gold Corp. | ||||||||||||
4.10% | 05/01/23 | 54,000 | 52,608 | |||||||||
Baxalta Inc. | ||||||||||||
2.88% | 06/23/20 | 337,000 | 336,551 | (b) | ||||||||
4.00% | 06/23/25 | 253,000 | 257,212 | (b) | ||||||||
Berkshire Hathaway Energy Co. | ||||||||||||
6.13% | 04/01/36 | 789,000 | 977,023 | |||||||||
Berkshire Hathaway Finance Corp. | ||||||||||||
3.00% | 05/15/22 | 236,000 | 246,010 | |||||||||
Berkshire Hathaway Inc. | ||||||||||||
2.20% | 03/15/21 | 181,000 | 184,765 | |||||||||
2.75% | 03/15/23 | 282,000 | 287,681 | |||||||||
3.13% | 03/15/26 | 253,000 | 260,048 | |||||||||
Berry Plastics Corp. | ||||||||||||
5.13% | 07/15/23 | 220,000 | 222,750 | |||||||||
6.00% | 10/15/22 | 100,000 | 104,750 | (b) | ||||||||
BHP Billiton Finance USA Ltd. | ||||||||||||
5.00% | 09/30/43 | 60,000 | 61,055 | |||||||||
Biogen Inc. | ||||||||||||
2.90% | 09/15/20 | 66,000 | 67,952 | |||||||||
4.05% | 09/15/25 | 72,000 | 76,979 | |||||||||
5.20% | 09/15/45 | 12,000 | 13,314 | |||||||||
Boston Scientific Corp. | ||||||||||||
3.85% | 05/15/25 | 170,000 | 176,364 | |||||||||
BP Capital Markets PLC | ||||||||||||
1.38% | 05/10/18 | 291,000 | 289,323 | |||||||||
Branch Banking & Trust Co. | ||||||||||||
3.63% | 09/16/25 | 350,000 | 366,774 | |||||||||
Burlington Northern Santa Fe LLC | ||||||||||||
3.65% | 09/01/25 | 120,000 | 129,880 | |||||||||
Calpine Corp. | ||||||||||||
5.75% | 01/15/25 | 205,000 | 196,800 | |||||||||
5.88% | 01/15/24 | 289,000 | 303,450 | (b) | ||||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. | ||||||||||||
6.50% | 04/15/21 | 370,000 | 262,700 | |||||||||
Canadian Pacific Railway Co. | ||||||||||||
2.90% | 02/01/25 | 400,000 | 386,177 | |||||||||
Capital One Financial Corp. | ||||||||||||
4.20% | 10/29/25 | 337,000 | 341,365 | |||||||||
Caterpillar Inc. | ||||||||||||
4.30% | 05/15/44 | 112,000 | 116,801 | |||||||||
Catholic Health Initiatives | ||||||||||||
2.60% | 08/01/18 | 105,000 | 106,960 | |||||||||
4.35% | 11/01/42 | 82,000 | 80,981 | |||||||||
CBS Corp. | ||||||||||||
3.70% | 08/15/24 | 266,000 | 274,133 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||||||
5.88% | 04/01/24 | 215,000 | 225,212 | (b) | ||||||||
CCO Safari II LLC | ||||||||||||
3.58% | 07/23/20 | 253,000 | 258,624 | (b) |
See Notes to Schedules of Investments and Notes to Financial Statements.
49
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Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
4.91% | 07/23/25 | $ | 253,000 | $ | 266,967 | (b) | ||||||
6.38% | 10/23/35 | 34,000 | 37,457 | (b) | ||||||||
6.48% | 10/23/45 | 67,000 | 74,571 | (b) | ||||||||
Celgene Corp. | ||||||||||||
3.88% | 08/15/25 | 179,000 | 188,200 | |||||||||
5.00% | 08/15/45 | 169,000 | 182,798 | |||||||||
CenturyLink Inc. | ||||||||||||
5.80% | 03/15/22 | 341,000 | 328,076 | |||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | ||||||||||||
5.13% | 12/15/21 | 347,000 | 323,577 | (b) | ||||||||
Chevron Corp. | ||||||||||||
3.19% | 06/24/23 | 167,000 | 172,211 | |||||||||
Chubb INA Holdings Inc. | ||||||||||||
2.30% | 11/03/20 | 337,000 | 342,755 | |||||||||
3.15% | 03/15/25 | 237,000 | 243,884 | |||||||||
3.35% | 05/03/26 | 236,000 | 246,338 | |||||||||
4.35% | 11/03/45 | 71,000 | 77,400 | |||||||||
Cigna Corp. | ||||||||||||
3.25% | 04/15/25 | 338,000 | 335,862 | |||||||||
Cinemark USA Inc. | ||||||||||||
4.88% | 06/01/23 | 370,000 | 373,126 | |||||||||
Cisco Systems Inc. | ||||||||||||
2.20% | 02/28/21 | 168,000 | 171,675 | |||||||||
Citigroup Inc. | ||||||||||||
1.55% | 08/14/17 | 346,000 | 345,962 | |||||||||
1.75% | 05/01/18 | 582,000 | 580,479 | |||||||||
1.85% | 11/24/17 | 160,000 | 160,374 | |||||||||
2.05% | 12/07/18 | 306,000 | 307,336 | |||||||||
2.70% | 03/30/21 | 365,000 | 367,829 | |||||||||
4.40% | 06/10/25 | 169,000 | 172,405 | |||||||||
4.65% | 07/30/45 | 270,000 | 282,836 | |||||||||
CMS Energy Corp. | ||||||||||||
4.88% | 03/01/44 | 171,000 | 181,856 | |||||||||
CNA Financial Corp. | ||||||||||||
5.88% | 08/15/20 | 206,000 | 230,013 | |||||||||
CNOOC Nexen Finance 2014 ULC | ||||||||||||
4.25% | 04/30/24 | 349,000 | 360,874 | |||||||||
Cogeco Communications Inc. | ||||||||||||
4.88% | 05/01/20 | 270,000 | 277,600 | (b) | ||||||||
Colgate-Palmolive Co. | ||||||||||||
4.00% | 08/15/45 | 169,000 | 185,785 | |||||||||
Columbia Pipeline Group Inc. | ||||||||||||
3.30% | 06/01/20 | 108,000 | 107,374 | (b) | ||||||||
4.50% | 06/01/25 | 77,000 | 76,473 | (b) | ||||||||
Comcast Corp. | ||||||||||||
3.38% | 08/15/25 | 390,000 | 415,027 | |||||||||
4.20% | 08/15/34 | 171,000 | 180,798 | |||||||||
4.60% | 08/15/45 | 170,000 | 188,657 | |||||||||
ConocoPhillips Co. | ||||||||||||
3.35% | 11/15/24 | 337,000 | 325,691 | |||||||||
5.95% | 03/15/46 | 36,000 | 38,565 |
Principal Amount | Fair Value | |||||||||||
Corp Andina de Fomento | ||||||||||||
4.38% | 06/15/22 | $ | 425,000 | $ | 466,930 | |||||||
Credit Suisse AG | ||||||||||||
1.70% | 04/27/18 | 334,000 | 332,592 | |||||||||
2.60% | 05/27/16 | 253,000 | 253,604 | (b) | ||||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||||||
3.75% | 03/26/25 | 502,000 | 479,767 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV | ||||||||||||
4.50% | 01/15/23 | 434,000 | 442,680 | |||||||||
CSX Corp. | ||||||||||||
4.50% | 08/01/54 | 104,000 | 103,129 | |||||||||
CubeSmart LP | ||||||||||||
4.00% | 11/15/25 | 94,000 | 96,186 | |||||||||
CVS Health Corp. | ||||||||||||
2.25% | 08/12/19 | 364,000 | 373,193 | |||||||||
3.88% | 07/20/25 | 338,000 | 364,903 | |||||||||
5.13% | 07/20/45 | 253,000 | 293,172 | |||||||||
Daimler Finance North America LLC | ||||||||||||
2.38% | 08/01/18 | 778,000 | 790,647 | (b) | ||||||||
Danaher Corp. | ||||||||||||
2.40% | 09/15/20 | 168,000 | 173,520 | |||||||||
4.38% | 09/15/45 | 88,000 | 98,317 | |||||||||
Denbury Resources Inc. | ||||||||||||
5.50% | 05/01/22 | 370,000 | 166,500 | |||||||||
6.38% | 08/15/21 | 100,000 | 47,000 | |||||||||
Deutsche Bank AG | ||||||||||||
4.50% | 04/01/25 | 342,000 | 297,370 | |||||||||
Devon Energy Corp. | ||||||||||||
5.85% | 12/15/25 | 138,000 | 133,258 | |||||||||
Dexia Credit Local S.A. | ||||||||||||
2.25% | 01/30/19 | 715,000 | 728,757 | (b) | ||||||||
Diageo Investment Corp. | ||||||||||||
2.88% | 05/11/22 | 346,000 | 361,852 | |||||||||
DigitalGlobe Inc. | ||||||||||||
5.25% | 02/01/21 | 280,000 | 254,800 | (b) | ||||||||
Discover Bank | ||||||||||||
3.10% | 06/04/20 | 250,000 | 251,928 | |||||||||
Dollar General Corp. | ||||||||||||
1.88% | 04/15/18 | 335,000 | 337,007 | |||||||||
4.13% | 07/15/17 | 341,000 | 352,033 | |||||||||
4.15% | 11/01/25 | 168,000 | 176,578 | |||||||||
Dollar Tree Inc. | ||||||||||||
5.75% | 03/01/23 | 444,000 | 470,362 | (b) | ||||||||
Dominion Resources Inc. | ||||||||||||
3.63% | 12/01/24 | 161,000 | 163,420 | |||||||||
Dr Pepper Snapple Group Inc. | ||||||||||||
3.40% | 11/15/25 | 337,000 | 348,612 | |||||||||
Duke Energy Progress LLC | ||||||||||||
4.15% | 12/01/44 | 100,000 | 105,048 | |||||||||
Eastman Chemical Co. | ||||||||||||
3.60% | 08/15/22 | 336,000 | 349,924 |
See Notes to Schedules of Investments and Notes to Financial Statements.
50
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Ecopetrol S.A. | ||||||||||||
5.88% | 05/28/45 | $ | 85,000 | $ | 66,912 | |||||||
Electricite de France S.A. | ||||||||||||
2.15% | 01/22/19 | 704,000 | 712,292 | (b) | ||||||||
Eli Lilly & Co. | ||||||||||||
3.70% | 03/01/45 | 33,000 | 33,592 | |||||||||
EMD Finance LLC | ||||||||||||
3.25% | 03/19/25 | 169,000 | 168,851 | (b) | ||||||||
Enbridge Energy Partners LP | ||||||||||||
4.20% | 09/15/21 | 140,000 | 132,953 | |||||||||
4.38% | 10/15/20 | 152,000 | 148,422 | |||||||||
Energizer Holdings Inc. | ||||||||||||
5.50% | 06/15/25 | 373,000 | 374,790 | (b) | ||||||||
Energy Transfer Equity LP | ||||||||||||
5.88% | 01/15/24 | 714,000 | 610,470 | |||||||||
Energy Transfer Partners LP | ||||||||||||
4.05% | 03/15/25 | 68,000 | 59,870 | |||||||||
5.15% | 03/15/45 | 63,000 | 48,985 | |||||||||
6.50% | 02/01/42 | 123,000 | 113,195 | |||||||||
Enterprise Products Operating LLC | ||||||||||||
3.70% | 02/15/26 | 177,000 | 175,734 | |||||||||
EOG Resources Inc. | ||||||||||||
4.15% | 01/15/26 | 305,000 | 316,265 | |||||||||
Equinix Inc. | ||||||||||||
5.88% | 01/15/26 | 75,000 | 78,975 | |||||||||
ERP Operating LP | ||||||||||||
4.50% | 07/01/44 | 68,000 | 72,195 | |||||||||
European Investment Bank | ||||||||||||
4.88% | 01/17/17 | 535,000 | 552,059 | |||||||||
Express Scripts Holding Co. | ||||||||||||
3.30% | 02/25/21 | 101,000 | 103,631 | |||||||||
Exxon Mobil Corp. | ||||||||||||
2.22% | 03/01/21 | 365,000 | 371,379 | |||||||||
3.04% | 03/01/26 | 180,000 | 184,310 | |||||||||
4.11% | 03/01/46 | 110,000 | 116,670 | |||||||||
FedEx Corp. | ||||||||||||
4.10% | 02/01/45 | 2,000 | 1,903 | |||||||||
Fiat Chrysler Automobiles N.V. | ||||||||||||
5.25% | 04/15/23 | 200,000 | 198,900 | |||||||||
Five Corners Funding Trust | ||||||||||||
4.42% | 11/15/23 | 373,000 | 391,130 | (b) | ||||||||
Florida Power & Light Co. | ||||||||||||
4.13% | 02/01/42 | 131,000 | 139,545 | |||||||||
Ford Motor Credit Company LLC | ||||||||||||
3.20% | 01/15/21 | 360,000 | 368,265 | |||||||||
3.22% | 01/09/22 | 360,000 | 366,884 | |||||||||
5.88% | 08/02/21 | 261,000 | 299,280 | |||||||||
Frontier Communications Corp. | ||||||||||||
7.13% | 03/15/19 | 295,000 | 303,112 | |||||||||
11.00% | 09/15/25 | 267,000 | 268,335 | (b) | ||||||||
General Motors Co. | ||||||||||||
5.20% | 04/01/45 | 34,000 | 31,953 |
Principal Amount | Fair Value | |||||||||||
General Motors Financial Company Inc. | ||||||||||||
3.15% | 01/15/20 | $ | 236,000 | $ | 236,799 | |||||||
3.20% | 07/13/20 | 675,000 | 673,754 | |||||||||
5.25% | 03/01/26 | 182,000 | 190,995 | |||||||||
Georgia-Pacific LLC | ||||||||||||
3.60% | 03/01/25 | 280,000 | 289,784 | (b) | ||||||||
Gilead Sciences Inc. | ||||||||||||
3.65% | 03/01/26 | 190,000 | 202,212 | |||||||||
4.80% | 04/01/44 | 89,000 | 97,820 | |||||||||
GLP Capital LP/GLP Financing II Inc. | ||||||||||||
5.38% | 11/01/23 | 43,000 | 43,000 | |||||||||
Grupo Televisa SAB | ||||||||||||
5.00% | 05/13/45 | 200,000 | 182,497 | |||||||||
Halliburton Co. | ||||||||||||
2.70% | 11/15/20 | 169,000 | 171,646 | |||||||||
3.80% | 11/15/25 | 169,000 | 169,102 | |||||||||
5.00% | 11/15/45 | 101,000 | 99,046 | |||||||||
HCA Inc. | ||||||||||||
4.75% | 05/01/23 | 576,000 | 586,080 | |||||||||
6.50% | 02/15/20 | 444,000 | 487,290 | |||||||||
Hess Corp. | ||||||||||||
5.60% | 02/15/41 | 73,000 | 65,129 | |||||||||
HSBC Holdings PLC | ||||||||||||
4.25% | 08/18/25 | 200,000 | 197,536 | |||||||||
HSBC USA Inc. | ||||||||||||
2.75% | 08/07/20 | 505,000 | 507,553 | |||||||||
Hyundai Capital America | ||||||||||||
2.13% | 10/02/17 | 118,000 | 118,321 | (b) | ||||||||
Illinois Tool Works Inc. | ||||||||||||
3.50% | 03/01/24 | 343,000 | 369,884 | |||||||||
ING Bank N.V. | ||||||||||||
2.70% | 08/17/20 | 200,000 | 204,242 | (b) | ||||||||
Ingersoll-Rand Luxembourg Finance S.A. | ||||||||||||
3.55% | 11/01/24 | 236,000 | 241,814 | |||||||||
Ingles Markets Inc. | ||||||||||||
5.75% | 06/15/23 | 375,000 | 380,625 | |||||||||
Intel Corp. | ||||||||||||
2.45% | 07/29/20 | 169,000 | 174,953 | |||||||||
International Business Machines Corp. | ||||||||||||
3.63% | 02/12/24 | 361,000 | 387,912 | |||||||||
Interstate Power & Light Co. | ||||||||||||
3.40% | 08/15/25 | 335,000 | 350,354 | |||||||||
Intesa Sanpaolo S.p.A. | ||||||||||||
5.02% | 06/26/24 | 66,000 | 61,828 | (b) | ||||||||
Invesco Finance PLC | ||||||||||||
3.13% | 11/30/22 | 366,000 | 373,513 | |||||||||
JB Poindexter & Company Inc. | ||||||||||||
9.00% | 04/01/22 | 83,000 | 86,943 | (b) | ||||||||
JBS USA LLC/JBS USA Finance Inc. | ||||||||||||
5.75% | 06/15/25 | 296,000 | 259,000 | (b) |
See Notes to Schedules of Investments and Notes to Financial Statements.
51
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Jefferies Group LLC | ||||||||||||
5.13% | 01/20/23 | $ | 283,000 | $ | 284,111 | |||||||
6.50% | 01/20/43 | 90,000 | 80,198 | |||||||||
Johnson & Johnson | ||||||||||||
1.65% | 03/01/21 | 120,000 | 120,631 | |||||||||
2.45% | 03/01/26 | 120,000 | 120,591 | |||||||||
3.70% | 03/01/46 | 183,000 | 192,139 | |||||||||
Johnson Controls Inc. | ||||||||||||
4.63% | 07/02/44 | 166,000 | 160,512 | |||||||||
JPMorgan Chase & Co. | ||||||||||||
2.55% | 10/29/20 | 168,000 | 170,334 | |||||||||
3.88% | 09/10/24 | 481,000 | 492,740 | |||||||||
4.25% | 10/01/27 | 167,000 | 173,791 | |||||||||
5.00% | 12/29/49 | 244,000 | 233,020 | (h) | ||||||||
6.10% | 10/29/49 | 405,000 | 412,699 | (h) | ||||||||
KB Home | ||||||||||||
7.00% | 12/15/21 | 423,000 | 423,000 | |||||||||
Kellogg Co. | ||||||||||||
4.50% | 04/01/46 | 75,000 | 76,809 | |||||||||
Keysight Technologies Inc. | ||||||||||||
4.55% | 10/30/24 | 295,000 | 287,567 | |||||||||
KFW | ||||||||||||
4.50% | 07/16/18 | 446,000 | 480,829 | |||||||||
Kinder Morgan Energy Partners LP | ||||||||||||
3.50% | 09/01/23 | 75,000 | 67,974 | |||||||||
4.30% | 05/01/24 | 180,000 | 171,126 | |||||||||
Kinder Morgan Inc. | ||||||||||||
3.05% | 12/01/19 | 67,000 | 65,984 | |||||||||
4.30% | 06/01/25 | 134,000 | 127,513 | |||||||||
5.55% | 06/01/45 | 101,000 | 89,784 | |||||||||
Kraft Heinz Foods Co. | ||||||||||||
2.80% | 07/02/20 | 338,000 | 346,315 | (b) | ||||||||
3.95% | 07/15/25 | 215,000 | 229,023 | (b) | ||||||||
L Brands Inc. | ||||||||||||
5.63% | 02/15/22 | 369,000 | 401,996 | |||||||||
L-3 Communications Corp. | ||||||||||||
1.50% | 05/28/17 | 211,000 | 210,291 | |||||||||
Lee Enterprises Inc. | ||||||||||||
9.50% | 03/15/22 | 300,000 | 295,125 | (b) | ||||||||
Lennar Corp. | ||||||||||||
4.50% | 11/15/19 | 442,000 | 459,680 | |||||||||
4.75% | 05/30/25 | 150,000 | 147,375 | |||||||||
Levi Strauss & Co. | ||||||||||||
5.00% | 05/01/25 | 222,000 | 224,220 | |||||||||
Lockheed Martin Corp. | ||||||||||||
2.50% | 11/23/20 | 236,000 | 241,828 | |||||||||
3.55% | 01/15/26 | 337,000 | 356,724 | |||||||||
3.80% | 03/01/45 | 71,000 | 68,893 | |||||||||
4.70% | 05/15/46 | 76,000 | 85,004 | |||||||||
Lowe’s Companies Inc. | ||||||||||||
4.38% | 09/15/45 | 135,000 | 150,045 | |||||||||
LyondellBasell Industries N.V. | ||||||||||||
4.63% | 02/26/55 | 67,000 | 59,873 |
Principal Amount | Fair Value | |||||||||||
Marathon Oil Corp. | ||||||||||||
6.00% | 10/01/17 | $ | 370,000 | $ | 375,082 | |||||||
Marathon Petroleum Corp. | ||||||||||||
3.63% | 09/15/24 | 340,000 | 311,029 | |||||||||
Marsh & McLennan Companies Inc. | ||||||||||||
3.50% | 03/10/25 | 169,000 | 171,899 | |||||||||
3.75% | 03/14/26 | 235,000 | 241,067 | |||||||||
Mattel Inc. | ||||||||||||
2.35% | 05/06/19 | 499,000 | 505,478 | |||||||||
McDonald’s Corp. | ||||||||||||
2.75% | 12/09/20 | 92,000 | 95,328 | |||||||||
3.70% | 01/30/26 | 214,000 | 226,832 | |||||||||
4.88% | 12/09/45 | 71,000 | 77,588 | |||||||||
Mead Johnson Nutrition Co. | ||||||||||||
3.00% | 11/15/20 | 236,000 | 242,620 | |||||||||
4.13% | 11/15/25 | 236,000 | 250,691 | |||||||||
Medtronic Inc. | ||||||||||||
2.50% | 03/15/20 | 101,000 | 104,555 | |||||||||
3.50% | 03/15/25 | 379,000 | 404,556 | |||||||||
4.63% | 03/15/45 | 170,000 | 189,925 | |||||||||
Memorial Sloan-Kettering Cancer Center | ||||||||||||
4.13% | 07/01/52 | 105,000 | 104,851 | |||||||||
Merck & Company Inc. | ||||||||||||
2.75% | 02/10/25 | 335,000 | 343,099 | |||||||||
MetLife Inc. | ||||||||||||
3.60% | 11/13/25 | 168,000 | 172,218 | |||||||||
4.05% | 03/01/45 | 85,000 | 80,433 | |||||||||
4.72% | 12/15/44 | 104,000 | 108,438 | |||||||||
MGM Resorts International | ||||||||||||
5.25% | 03/31/20 | 222,000 | 227,550 | |||||||||
6.63% | 12/15/21 | 370,000 | 396,825 | |||||||||
Microsoft Corp. | ||||||||||||
4.00% | 02/12/55 | 160,000 | 157,204 | |||||||||
Mid-America Apartments LP | ||||||||||||
4.00% | 11/15/25 | 169,000 | 172,593 | |||||||||
Mizuho Bank Ltd. | ||||||||||||
2.45% | 04/16/19 | 420,000 | 424,250 | (b) | ||||||||
Monsanto Co. | ||||||||||||
4.70% | 07/15/64 | 98,000 | 84,708 | |||||||||
Morgan Stanley | ||||||||||||
2.45% | 02/01/19 | 170,000 | 172,524 | |||||||||
2.65% | 01/27/20 | 145,000 | 147,196 | |||||||||
3.70% | 10/23/24 | 165,000 | 170,626 | |||||||||
3.88% | 01/27/26 | 53,000 | 55,308 | |||||||||
3.95% | 04/23/27 | 337,000 | 337,527 | |||||||||
4.10% | 05/22/23 | 560,000 | 577,698 | |||||||||
5.00% | 11/24/25 | 131,000 | 141,833 | |||||||||
Motorola Solutions Inc. |
| |||||||||||
4.00% | 09/01/24 | 121,000 | 111,724 | |||||||||
National Retail Properties Inc. |
| |||||||||||
4.00% | 11/15/25 | 168,000 | 172,872 |
See Notes to Schedules of Investments and Notes to Financial Statements.
52
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
NCL Corporation Ltd. |
| |||||||||||
4.63% | 11/15/20 | $ | 186,000 | $ | 186,930 | (b) | ||||||
Newell Rubbermaid Inc. |
| |||||||||||
3.85% | 04/01/23 | 365,000 | 378,683 | |||||||||
4.20% | 04/01/26 | 183,000 | 191,400 | |||||||||
5.50% | 04/01/46 | 110,000 | 119,086 | |||||||||
Newmont Mining Corp. |
| |||||||||||
4.88% | 03/15/42 | 131,000 | 112,646 | |||||||||
Nexen Energy ULC |
| |||||||||||
6.40% | 05/15/37 | 144,000 | 163,414 | |||||||||
NIKE Inc. | ||||||||||||
3.88% | 11/01/45 | 169,000 | 176,878 | |||||||||
Noble Energy Inc. |
| |||||||||||
3.90% | 11/15/24 | 202,000 | 190,378 | |||||||||
Northern States Power Co. |
| |||||||||||
2.20% | 08/15/20 | 337,000 | 343,297 | |||||||||
Northrop Grumman Corp. |
| |||||||||||
3.85% | 04/15/45 | 39,000 | 38,606 | |||||||||
Novartis Capital Corp. |
| |||||||||||
3.00% | 11/20/25 | 118,000 | 123,078 | |||||||||
4.00% | 11/20/45 | 223,000 | 238,737 | |||||||||
NRG Energy Inc. |
| |||||||||||
6.25% | 07/15/22 | 184,000 | 171,063 | |||||||||
Occidental Petroleum Corp. |
| |||||||||||
3.50% | 06/15/25 | 337,000 | 345,275 | |||||||||
Omnicom Group Inc. |
| |||||||||||
3.63% | 05/01/22 | 105,000 | 110,282 | |||||||||
Oracle Corp. | ||||||||||||
2.25% | 10/08/19 | 649,000 | 669,771 | |||||||||
2.95% | 05/15/25 | 225,000 | 230,587 | |||||||||
4.13% | 05/15/45 | 68,000 | 69,495 | |||||||||
Owens & Minor Inc. |
| |||||||||||
3.88% | 09/15/21 | 310,000 | 312,567 | |||||||||
Owens-Brockway Glass Container Inc. |
| |||||||||||
6.38% | 08/15/25 | 100,000 | 105,125 | (b) | ||||||||
Pacific Gas & Electric Co. |
| |||||||||||
3.40% | 08/15/24 | 506,000 | 528,124 | |||||||||
PacifiCorp | ||||||||||||
6.25% | 10/15/37 | 3,000 | 3,919 | |||||||||
Penn National Gaming Inc. |
| |||||||||||
5.88% | 11/01/21 | 225,000 | 223,875 | |||||||||
PepsiCo Inc. | ||||||||||||
3.10% | 07/17/22 | 85,000 | 90,732 | |||||||||
4.25% | 10/22/44 | 100,000 | 106,840 | |||||||||
4.60% | 07/17/45 | 101,000 | 113,903 | |||||||||
Perrigo Finance Unlimited Co. |
| |||||||||||
3.50% | 03/15/21 | 200,000 | 204,921 | |||||||||
Petroleos Mexicanos | ||||||||||||
3.50% | 01/30/23 | 147,000 | 133,219 | |||||||||
5.63% | 01/23/46 | 67,000 | 56,307 | |||||||||
6.38% | 02/04/21 | 135,000 | 143,978 | (b) |
Principal Amount | Fair Value | |||||||||||
Pfizer Inc. | ||||||||||||
4.40% | 05/15/44 | $ | 106,000 | $ | 119,872 | |||||||
Philip Morris International Inc. |
| |||||||||||
2.75% | 02/25/26 | 162,000 | 165,110 | |||||||||
4.13% | 03/04/43 | 140,000 | 144,972 | |||||||||
Phillips 66 Partners LP |
| |||||||||||
2.65% | 02/15/20 | 101,000 | 97,303 | |||||||||
3.61% | 02/15/25 | 144,000 | 130,909 | |||||||||
PNC Bank NA | ||||||||||||
2.40% | 10/18/19 | 346,000 | 353,221 | |||||||||
Praxair Inc. | ||||||||||||
3.20% | 01/30/26 | 106,000 | 111,288 | |||||||||
Precision Castparts Corp. |
| |||||||||||
4.38% | 06/15/45 | 101,000 | 111,169 | |||||||||
Principal Financial Group Inc. |
| |||||||||||
4.70% | 05/15/55 | 300,000 | 290,550 | (h) | ||||||||
Prologis LP | ||||||||||||
3.75% | 11/01/25 | 168,000 | 175,377 | |||||||||
Prudential Financial Inc. |
| |||||||||||
5.38% | 05/15/45 | 169,000 | 167,310 | (h) | ||||||||
5.63% | 06/15/43 | 166,000 | 169,071 | (h) | ||||||||
PulteGroup Inc. | ||||||||||||
4.25% | 03/01/21 | 70,000 | 71,050 | |||||||||
5.50% | 03/01/26 | 210,000 | 216,038 | |||||||||
QUALCOMM Inc. | ||||||||||||
4.80% | 05/20/45 | 119,000 | 117,913 | |||||||||
Quest Diagnostics Inc. |
| |||||||||||
4.70% | 03/30/45 | 101,000 | 97,883 | |||||||||
Regency Energy Partners LP/Regency Energy Finance Corp. |
| |||||||||||
4.50% | 11/01/23 | 236,000 | 208,305 | |||||||||
Revlon Consumer Products Corp. |
| |||||||||||
5.75% | 02/15/21 | 504,000 | 517,860 | |||||||||
Reynolds American Inc. |
| |||||||||||
4.45% | 06/12/25 | 102,000 | 112,272 | |||||||||
Rio Tinto Finance USA Ltd. |
| |||||||||||
3.75% | 06/15/25 | 85,000 | 83,360 | |||||||||
Roche Holdings Inc. |
| |||||||||||
2.63% | 05/15/26 | 200,000 | 199,860 | (b) | ||||||||
Rogers Communications Inc. |
| |||||||||||
5.00% | 03/15/44 | 61,000 | 67,214 | |||||||||
Royal Bank of Canada |
| |||||||||||
1.20% | 09/19/17 | 773,000 | 772,235 | |||||||||
4.65% | 01/27/26 | 170,000 | 172,581 | |||||||||
Ryder System Inc. |
| |||||||||||
2.45% | 09/03/19 | 394,000 | 394,454 | |||||||||
Santander Bank NA |
| |||||||||||
2.00% | 01/12/18 | 411,000 | 407,534 | |||||||||
Santander UK Group Holdings PLC |
| |||||||||||
3.13% | 01/08/21 | 214,000 | 215,252 | |||||||||
4.75% | 09/15/25 | 200,000 | 189,169 | (b) | ||||||||
Schaeffler Holding Finance BV (6.75% Cash/7.50% PIK) |
| |||||||||||
6.75% | 11/15/22 | 300,000 | 326,250 | (b,l) |
See Notes to Schedules of Investments and Notes to Financial Statements.
53
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Schlumberger Holdings Corp. |
| |||||||||||
3.00% | 12/21/20 | $ | 459,000 | $ | 465,548 | (b) | ||||||
4.00% | 12/21/25 | 306,000 | 316,065 | (b) | ||||||||
Sealed Air Corp. | ||||||||||||
4.88% | 12/01/22 | 221,000 | 229,840 | (b) | ||||||||
5.13% | 12/01/24 | 221,000 | 229,287 | (b) | ||||||||
Sinclair Television Group Inc. |
| |||||||||||
5.38% | 04/01/21 | 387,000 | 399,577 | |||||||||
Southern California Edison Co. |
| |||||||||||
2.40% | 02/01/22 | 135,000 | 136,369 | |||||||||
Spectra Energy Partners LP |
| |||||||||||
4.75% | 03/15/24 | 175,000 | 188,591 | |||||||||
Sprint Corp. | ||||||||||||
7.63% | 02/15/25 | 248,000 | 184,140 | |||||||||
Standard Industries Inc. |
| |||||||||||
5.38% | 11/15/24 | 442,000 | 448,630 | (b) | ||||||||
State Street Corp. |
| |||||||||||
3.55% | 08/18/25 | 335,000 | 356,606 | (e) | ||||||||
Statoil ASA | ||||||||||||
3.95% | 05/15/43 | 84,000 | 80,082 | |||||||||
Sunoco LP/Sunoco Finance Corp. |
| |||||||||||
5.50% | 08/01/20 | 148,000 | 147,630 | (b) | ||||||||
SUPERVALU Inc. |
| |||||||||||
6.75% | 06/01/21 | 374,000 | 318,835 | |||||||||
T-Mobile USA Inc. |
| |||||||||||
6.50% | 01/15/26 | 112,000 | 116,340 | |||||||||
6.63% | 04/01/23 | 370,000 | 389,425 | |||||||||
Tampa Electric Co. |
| |||||||||||
4.35% | 05/15/44 | 169,000 | 174,219 | |||||||||
Target Corp. | ||||||||||||
3.50% | 07/01/24 | 213,000 | 233,726 | |||||||||
TD Ameritrade Holding Corp. |
| |||||||||||
2.95% | 04/01/22 | 166,000 | 169,475 | |||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
4.90% | 09/15/44 | 235,000 | 251,886 | (b) | ||||||||
Teck Resources Ltd. |
| |||||||||||
2.50% | 02/01/18 | 98,000 | 85,750 | |||||||||
3.15% | 01/15/17 | 150,000 | 144,000 | |||||||||
Telecom Italia S.p.A. | ||||||||||||
5.30% | 05/30/24 | 600,000 | 615,000 | (b) | ||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.75% | 06/01/20 | 921,000 | 944,025 | |||||||||
6.00% | 10/01/20 | 347,000 | 369,555 | |||||||||
The Allstate Corp. |
| |||||||||||
5.75% | 08/15/53 | 186,000 | 189,023 | (h) | ||||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd. |
| |||||||||||
2.30% | 03/10/19 | 400,000 | 403,452 | (b) | ||||||||
The Boeing Co. |
| |||||||||||
1.65% | 10/30/20 | 168,000 | 168,066 | |||||||||
2.60% | 10/30/25 | 168,000 | 170,900 | |||||||||
2.85% | 10/30/24 | 211,000 | 218,448 | |||||||||
The Coca-Cola Co. |
| |||||||||||
2.88% | 10/27/25 | 337,000 | 350,725 |
Principal Amount | Fair Value | |||||||||||
The Dow Chemical Co. |
| |||||||||||
4.25% | 10/01/34 | $ | 172,000 | $ | 167,620 | |||||||
The Goldman Sachs Group Inc. |
| |||||||||||
2.38% | 01/22/18 | 299,000 | 302,879 | |||||||||
2.63% | 01/31/19 | 191,000 | 194,811 | |||||||||
2.90% | 07/19/18 | 223,000 | 228,238 | |||||||||
3.75% | 05/22/25 | 288,000 | 294,909 | |||||||||
4.00% | 03/03/24 | 174,000 | 182,512 | |||||||||
4.25% | 10/21/25 | 57,000 | 57,939 | |||||||||
4.80% | 07/08/44 | 368,000 | 384,887 | |||||||||
5.15% | 05/22/45 | 169,000 | 171,731 | |||||||||
The Home Depot Inc. | ||||||||||||
3.35% | 09/15/25 | 236,000 | 255,851 | |||||||||
4.25% | 04/01/46 | 59,000 | 64,935 | |||||||||
The Korea Development Bank |
| |||||||||||
3.38% | 09/16/25 | 200,000 | 212,991 | |||||||||
The Kroger Co. | ||||||||||||
2.95% | 11/01/21 | 236,000 | 246,080 | |||||||||
3.50% | 02/01/26 | 105,000 | 110,401 | |||||||||
The Progressive Corp. |
| |||||||||||
3.70% | 01/26/45 | 101,000 | 98,126 | |||||||||
The Toronto-Dominion Bank |
| |||||||||||
2.50% | 12/14/20 | 206,000 | 210,237 | |||||||||
The Walt Disney Co. | ||||||||||||
2.30% | 02/12/21 | 306,000 | 316,091 | |||||||||
4.13% | 06/01/44 | 73,000 | 78,317 | |||||||||
Time Inc. | ||||||||||||
5.75% | 04/15/22 | 371,000 | 329,262 | (b) | ||||||||
Time Warner Cable Inc. |
| |||||||||||
4.50% | 09/15/42 | 34,000 | 30,190 | |||||||||
6.55% | 05/01/37 | 101,000 | 110,879 | |||||||||
Time Warner Inc. | ||||||||||||
3.60% | 07/15/25 | 21,000 | 21,565 | |||||||||
3.88% | 01/15/26 | 309,000 | 324,197 | |||||||||
5.35% | 12/15/43 | 306,000 | 325,731 | |||||||||
TransCanada PipeLines Ltd. | ||||||||||||
4.88% | 01/15/26 | 170,000 | 179,640 | |||||||||
Tyco Electronics Group S.A. | ||||||||||||
2.35% | 08/01/19 | 344,000 | 347,301 | |||||||||
Tyco International Finance S.A. |
| |||||||||||
5.13% | 09/14/45 | 100,000 | 107,101 | |||||||||
Tyson Foods Inc. | ||||||||||||
2.65% | 08/15/19 | 72,000 | 73,856 | |||||||||
3.95% | 08/15/24 | 70,000 | 74,654 | |||||||||
5.15% | 08/15/44 | 70,000 | 78,289 | |||||||||
U.S. Bancorp | ||||||||||||
5.13% | 12/29/49 | 337,000 | 345,004 | (h) | ||||||||
UBS Group Funding Jersey Ltd. |
| |||||||||||
2.95% | 09/24/20 | 200,000 | 200,745 | (b) | ||||||||
Ultra Petroleum Corp. | ||||||||||||
6.13% | 10/01/24 | 366,000 | 27,450 | (b) | ||||||||
United Rentals North America Inc. |
| |||||||||||
6.13% | 06/15/23 | 287,000 | 296,327 |
See Notes to Schedules of Investments and Notes to Financial Statements.
54
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
UnitedHealth Group Inc. | ||||||||||||
2.70% | 07/15/20 | $ | 223,000 | $ | 231,743 | |||||||
4.75% | 07/15/45 | 268,000 | 307,406 | |||||||||
US Bank NA | ||||||||||||
2.80% | 01/27/25 | 250,000 | 255,184 | |||||||||
Valeant Pharmaceuticals International Inc. |
| |||||||||||
6.13% | 04/15/25 | 152,000 | 117,040 | (b) | ||||||||
6.38% | 10/15/20 | 207,000 | 171,810 | (b) | ||||||||
Ventas Realty LP | ||||||||||||
4.13% | 01/15/26 | 135,000 | 138,688 | |||||||||
Verizon Communications Inc. |
| |||||||||||
1.35% | 06/09/17 | 682,000 | 683,996 | |||||||||
3.50% | 11/01/24 | 168,000 | 176,340 | |||||||||
4.15% | 03/15/24 | 154,000 | 167,501 | |||||||||
4.40% | 11/01/34 | 168,000 | 169,877 | |||||||||
4.67% | 03/15/55 | 118,000 | 113,280 | |||||||||
4.86% | 08/21/46 | 169,000 | 178,266 | |||||||||
5.05% | 03/15/34 | 288,000 | 312,220 | |||||||||
5.15% | 09/15/23 | 215,000 | 248,244 | |||||||||
6.55% | 09/15/43 | 114,000 | 149,951 | |||||||||
Virgin Media Finance PLC |
| |||||||||||
5.75% | 01/15/25 | 202,000 | 204,525 | (b) | ||||||||
Visa Inc. | ||||||||||||
2.80% | 12/14/22 | 214,000 | 223,402 | |||||||||
3.15% | 12/14/25 | 214,000 | 223,493 | |||||||||
4.30% | 12/14/45 | 101,000 | 110,529 | |||||||||
Volkswagen Group of America Finance LLC |
| |||||||||||
1.06% | 11/20/17 | 200,000 | 196,231 | (b,h) | ||||||||
2.13% | 05/23/19 | 297,000 | 293,756 | (b) | ||||||||
W.R. Grace & Co. | ||||||||||||
5.13% | 10/01/21 | 140,000 | 145,600 | (b) | ||||||||
5.63% | 10/01/24 | 367,000 | 382,597 | (b) | ||||||||
Wal-Mart Stores Inc. |
| |||||||||||
4.30% | 04/22/44 | 314,000 | 351,228 | |||||||||
Wells Fargo & Co. |
| |||||||||||
3.90% | 05/01/45 | 169,000 | 169,073 | |||||||||
4.10% | 06/03/26 | 218,000 | 228,227 | |||||||||
4.30% | 07/22/27 | 136,000 | 144,376 | |||||||||
5.88% | 12/29/49 | 234,000 | 249,865 | (h) | ||||||||
5.90% | 12/29/49 | 226,000 | 229,037 | (h) | ||||||||
Western Digital Corp. |
| |||||||||||
7.38% | 04/01/23 | 35,000 | 35,700 | (b) | ||||||||
Williams Partners LP |
| |||||||||||
5.40% | 03/04/44 | 34,000 | 25,479 | |||||||||
Windstream Services LLC |
| |||||||||||
6.38% | 08/01/23 | 259,000 | 189,718 | |||||||||
WPP Finance 2010 |
| |||||||||||
3.75% | 09/19/24 | 335,000 | 339,198 | |||||||||
XLIT Ltd. | ||||||||||||
5.25% | 12/15/43 | 143,000 | 148,086 | |||||||||
Zimmer Biomet Holdings Inc. |
| |||||||||||
3.55% | 04/01/25 | 169,000 | 170,829 | |||||||||
105,761,446 |
Principal Amount | Fair Value | |||||||||||
Non-Agency Collateralized Mortgage Obligations — 3.3% |
| |||||||||||
American Tower Trust I (REIT) |
| |||||||||||
1.55% | 03/15/43 | $ | 420,000 | $ | 419,690 | (b) | ||||||
Banc of America Commercial Mortgage Trust 2006-4 |
| |||||||||||
5.63% | 07/10/46 | 20,816 | 20,834 | |||||||||
Banc of America Commercial Mortgage Trust 2007-1 |
| |||||||||||
5.48% | 01/15/49 | 600,000 | 606,513 | (h) | ||||||||
Banc of America Commercial Mortgage Trust 2007-4 |
| |||||||||||
5.74% | 02/10/51 | 94,459 | 97,901 | (h) | ||||||||
Banc of America Commercial Mortgage Trust 2008-1 |
| |||||||||||
6.22% | 02/10/51 | 488,063 | 513,432 | (h) | ||||||||
Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-1 |
| |||||||||||
5.34% | 11/10/42 | 63,320 | 63,250 | (h) | ||||||||
Banc of America Merrill Lynch Commercial Mortgage Trust 2014-520M | ||||||||||||
4.18% | 08/15/46 | 137,514 | 144,379 | (b,h) | ||||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-T22 | ||||||||||||
5.73% | 04/12/38 | 68,864 | 68,835 | (h) | ||||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PW18 | ||||||||||||
6.09% | 06/11/50 | 290,000 | 300,418 | (h) | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC23 |
| |||||||||||
4.51% | 07/10/47 | 692,000 | 564,357 | (b,h) | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC33 |
| |||||||||||
3.17% | 09/10/58 | 146,638 | 96,205 | |||||||||
Citigroup Commercial Mortgage Trust 2015-P1 |
| |||||||||||
3.72% | 09/15/48 | 604,059 | 645,826 | |||||||||
COMM 2013-CR12 Mortgage Trust |
| |||||||||||
5.08% | 10/10/46 | 100,000 | 92,118 | (b,h) | ||||||||
COMM 2013-LC13 Mortgage Trust |
| |||||||||||
4.56% | 08/10/46 | 140,000 | 154,864 | (b,h) | ||||||||
COMM 2014-CR14 Mortgage Trust |
| |||||||||||
4.53% | 02/10/47 | 200,000 | 221,110 | (h) | ||||||||
COMM 2014-CR19 Mortgage Trust |
| |||||||||||
4.72% | 08/10/47 | 332,639 | 253,260 | (b,h) | ||||||||
COMM 2014-CR20 Mortgage Trust |
| |||||||||||
4.51% | 11/10/47 | 169,443 | 167,453 | (h) | ||||||||
COMM 2014-CR21 Mortgage Trust |
| |||||||||||
3.99% | 12/10/47 | 332,372 | 355,689 | |||||||||
COMM 2015-CR23 Mortgage Trust |
| |||||||||||
4.26% | 05/10/48 | 161,100 | 149,595 | (h) | ||||||||
COMM 2015-CR24 Mortgage Trust |
| |||||||||||
3.46% | 08/10/55 | 293,578 | 199,210 | (h) | ||||||||
3.70% | 08/10/55 | 293,105 | 313,267 | |||||||||
4.37% | 08/10/55 | 263,981 | 238,742 | (h) | ||||||||
COMM 2015-LC19 Mortgage Trust |
| |||||||||||
2.87% | 02/10/48 | 260,000 | 180,007 | (b) | ||||||||
COMM 2015-PC1 Mortgage Trust |
| |||||||||||
4.44% | 07/10/50 | 160,441 | 156,499 | (h) | ||||||||
Core Industrial Trust 2015-CALW |
| |||||||||||
3.25% | 02/10/34 | 322,321 | 325,753 | (b) | ||||||||
CSAIL 2015-C1 Commercial Mortgage Trust |
| |||||||||||
3.80% | 04/15/50 | 100,000 | 75,283 | (b,h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
55
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
CSAIL 2015-C2 Commercial Mortgage Trust |
| |||||||||||
4.21% | 06/15/57 | $ | 112,000 | $ | 81,847 | (h) | ||||||
CSAIL 2015-C3 Commercial Mortgage Trust |
| |||||||||||
3.36% | 08/15/48 | 175,977 | 123,511 | (h) | ||||||||
4.11% | 08/15/48 | 234,636 | 235,411 | (h) | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH |
| |||||||||||
3.55% | 04/10/34 | 150,000 | 159,672 | (b) | ||||||||
GS Mortgage Securities Trust 2011-GC5 |
| |||||||||||
3.00% | 08/10/44 | 197,810 | 198,110 | |||||||||
5.32% | 08/10/44 | 120,000 | 132,423 | (b,h) | ||||||||
GS Mortgage Securities Trust 2014-GC20 |
| |||||||||||
4.26% | 04/10/47 | 175,000 | 188,472 | |||||||||
GS Mortgage Securities Trust 2014-NEW |
| |||||||||||
3.79% | 01/10/31 | 345,000 | 332,267 | (b) | ||||||||
GS Mortgage Securities Trust 2015-GC28 |
| |||||||||||
1.17% | 02/10/48 | 2,270,245 | 152,569 | (g,h) | ||||||||
GS Mortgage Securities Trust 2015-GC32 |
| |||||||||||
3.35% | 07/10/48 | 161,291 | 115,770 | |||||||||
4.41% | 07/10/48 | 75,719 | 73,274 | (h) | ||||||||
GS Mortgage Securities Trust 2015-GC34 |
| |||||||||||
2.98% | 10/10/48 | 554,581 | 376,574 | |||||||||
GS Mortgage Securities Trust 2015-GS1 |
| |||||||||||
3.27% | 11/10/48 | 417,675 | 304,489 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 | ||||||||||||
2.32% | 12/15/47 | 1,047,441 | 77,875 | (g,h) | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 | ||||||||||||
5.44% | 05/15/45 | 70,000 | 70,592 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CB18 | ||||||||||||
5.44% | 06/12/47 | 258,617 | 263,151 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 | ||||||||||||
5.19% | 05/15/45 | 146,000 | 142,878 | (b,h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||||||
4.03% | 07/15/45 | 90,000 | 97,045 | (h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2013-C15 |
| |||||||||||
5.07% | 11/15/45 | 140,000 | 144,020 | (h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2013-C17 |
| |||||||||||
4.89% | 01/15/47 | 100,000 | 88,304 | (b,h) | ||||||||
4.89% | 01/15/47 | 260,000 | 256,593 | (h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C18 | ||||||||||||
4.81% | 02/15/47 | 180,000 | 180,804 | (h) | ||||||||
4.81% | 02/15/47 | 100,000 | 81,543 | (b,h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 |
| |||||||||||
4.68% | 04/15/47 | 100,000 | 79,429 | (b,h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C29 |
| |||||||||||
3.70% | 05/15/48 | 307,309 | 216,029 | (h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30 |
| |||||||||||
4.31% | 07/15/48 | 293,257 | 262,873 | (h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C31 |
| |||||||||||
3.80% | 08/15/48 | 439,886 | 471,477 | |||||||||
LB-UBS Commercial Mortgage Trust 2004-C8 |
| |||||||||||
0.46% | 12/15/39 | 11,033 | 51 | (b,g,h) |
Principal Amount | Fair Value | |||||||||||
LB-UBS Commercial Mortgage Trust 2006-C4 |
| |||||||||||
5.86% | 06/15/38 | $ | 32,825 | $ | 32,820 | (h) | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6 |
| |||||||||||
6.11% | 07/15/40 | 192,914 | 199,872 | (h) | ||||||||
6.11% | 07/15/40 | 430,000 | 444,568 | (b) | ||||||||
ML-CFC Commercial Mortgage Trust 2006-3 |
| |||||||||||
5.46% | 07/12/46 | 350,000 | 353,090 | (h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 |
| |||||||||||
4.08% | 07/15/46 | 326,000 | 321,560 | (h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 |
| |||||||||||
4.16% | 05/15/46 | 111,517 | 100,327 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 |
| |||||||||||
4.83% | 02/15/47 | 160,799 | 132,166 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 |
| |||||||||||
4.90% | 04/15/47 | 485,625 | 396,673 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 |
| |||||||||||
3.39% | 10/15/47 | 673,132 | 468,780 | (b) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 |
| |||||||||||
3.25% | 12/15/47 | 199,711 | 138,914 | (b) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | ||||||||||||
1.42% | 02/15/48 | 2,544,305 | 216,285 | (g,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 |
| |||||||||||
0.99% | 03/15/48 | 3,109,159 | 200,539 | (g,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 |
| |||||||||||
3.88% | 04/15/48 | 290,007 | 284,517 | (h) | ||||||||
4.24% | 04/15/48 | 764,870 | 589,240 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 |
| |||||||||||
4.14% | 07/15/50 | 760,119 | 550,930 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 |
| |||||||||||
3.73% | 05/15/48 | 641,574 | 685,635 | |||||||||
4.35% | 05/15/48 | 586,623 | 554,751 | (h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 |
| |||||||||||
3.00% | 01/15/49 | 120,541 | 76,703 | (b) | ||||||||
4.60% | 01/15/49 | 171,461 | 162,660 | (h) | ||||||||
Morgan Stanley Capital I Trust 2005-T17 |
| |||||||||||
4.84% | 12/13/41 | 40,904 | 40,993 | (h) | ||||||||
Morgan Stanley Capital I Trust 2006-IQ11 |
| |||||||||||
5.87% | 10/15/42 | 110,000 | 109,054 | (h) | ||||||||
Morgan Stanley Capital I Trust 2006-T21 |
| |||||||||||
5.27% | 10/12/52 | 109,172 | 109,110 | (h) | ||||||||
Morgan Stanley Capital I Trust 2006-T23 |
| |||||||||||
5.89% | 08/12/41 | 137,517 | 137,778 | (h) | ||||||||
Morgan Stanley Capital I Trust 2007-IQ16 |
| |||||||||||
6.05% | 12/12/49 | 290,000 | 301,465 | (h) | ||||||||
Morgan Stanley Capital I Trust 2008-T29 |
| |||||||||||
6.27% | 01/11/43 | 110,000 | 116,793 | (h) | ||||||||
Morgan Stanley Capital I Trust 2012-C4 |
| |||||||||||
5.21% | 03/15/45 | 120,000 | 132,062 | (b,h) | ||||||||
Morgan Stanley Capital I Trust 2015-MS1 |
| |||||||||||
4.03% | 05/15/48 | 220,000 | 162,211 | (b,h) | ||||||||
Morgan Stanley Capital I Trust 2015-UBS8 |
| |||||||||||
3.81% | 12/15/48 | 609,131 | 653,308 |
See Notes to Schedules of Investments and Notes to Financial Statements.
56
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Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Morgan Stanley Capital I Trust 2016-UBS9 |
| |||||||||||
1.42% | 03/15/49 | $ | 2,173,794 | $ | 183,708 | (g,h) | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 |
| |||||||||||
1.41% | 02/15/48 | 2,635,912 | 215,675 | (g,h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 |
| |||||||||||
4.01% | 06/15/48 | 481,783 | 498,691 | |||||||||
4.22% | 06/15/48 | 239,622 | 174,961 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 |
| |||||||||||
4.50% | 09/15/58 | 146,644 | 110,835 | (b,h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C31 |
| |||||||||||
3.70% | 11/15/48 | 293,304 | 313,058 | |||||||||
Wells Fargo Commercial Mortgage Trust 2015-LC22 |
| |||||||||||
4.54% | 09/15/58 | 146,742 | 110,852 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||||||
4.25% | 07/15/58 | 146,643 | 106,531 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-P2 |
| |||||||||||
4.74% | 12/15/48 | 743,135 | 687,584 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 |
| |||||||||||
3.79% | 12/15/47 | 381,206 | 409,126 | |||||||||
4.47% | 12/15/47 | 146,629 | 142,315 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2016-C33 |
| |||||||||||
3.12% | 03/15/59 | 128,332 | 83,218 | (b,o) | ||||||||
Wells Fargo Mortgage Backed Securities Trust 2006-3 |
| |||||||||||
5.50% | 03/25/36 | 23,949 | 274 | |||||||||
WFRBS Commercial Mortgage Trust 2013-C17 |
| |||||||||||
4.26% | 12/15/46 | 190,000 | 207,440 | |||||||||
5.13% | 12/15/46 | 140,000 | 129,374 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2013-C18 |
| |||||||||||
4.67% | 12/15/46 | 190,621 | 170,447 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2014-C19 |
| |||||||||||
4.23% | 03/15/47 | 293,728 | 234,670 | (b) | ||||||||
4.72% | 03/15/47 | 240,000 | 255,617 | (h) | ||||||||
WFRBS Commercial Mortgage Trust 2014-C22 |
| |||||||||||
3.91% | 09/15/57 | 443,071 | 313,967 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2014-C24 |
| |||||||||||
3.69% | 11/15/47 | 578,051 | 412,005 | (b) | ||||||||
WFRBS Commercial Mortgage Trust 2014-C25 |
| |||||||||||
3.80% | 11/15/47 | 80,000 | 57,678 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2014-LC14 |
| |||||||||||
4.35% | 03/15/47 | 447,000 | 485,483 | (h) | ||||||||
4.59% | 03/15/47 | 464,977 | 372,852 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2015-C31 |
| |||||||||||
3.85% | 11/15/48 | 73,319 | 50,999 | |||||||||
24,731,707 | ||||||||||||
Sovereign Bonds — 0.4% |
| |||||||||||
Government of Chile |
| |||||||||||
3.63% | 10/30/42 | 250,000 | 235,625 | |||||||||
Government of Colombia |
| |||||||||||
2.63% | 03/15/23 | 236,000 | 219,480 | |||||||||
Government of Mexico |
| |||||||||||
3.60% | 01/30/25 | 510,000 | 520,200 |
Principal Amount | Fair Value | |||||||||||
4.00% | 10/02/23 | $ | 168,000 | $ | 175,980 | |||||||
4.60% | 01/23/46 | 245,000 | 238,875 | |||||||||
4.75% | 03/08/44 | 322,000 | 321,195 | |||||||||
Government of Panama | ||||||||||||
4.00% | 09/22/24 | 200,000 | 210,000 | |||||||||
Government of Peru |
| |||||||||||
4.13% | 08/25/27 | 99,000 | 103,703 | |||||||||
5.63% | 11/18/50 | 55,000 | 61,875 | |||||||||
Government of Philippines |
| |||||||||||
4.20% | 01/21/24 | 200,000 | 225,683 | |||||||||
Government of Turkey |
| |||||||||||
3.25% | 03/23/23 | 73,000 | 68,802 | |||||||||
4.88% | 04/16/43 | 200,000 | 185,550 | |||||||||
2,566,968 | ||||||||||||
Municipal Bonds and Notes — 0.2% |
| |||||||||||
American Municipal Power Inc. |
| |||||||||||
6.27% | 02/15/50 | 95,000 | 115,092 | |||||||||
Municipal Electric Authority of Georgia |
| |||||||||||
6.64% | 04/01/57 | 169,000 | 210,451 | |||||||||
New Jersey Transportation Trust Fund Authority |
| |||||||||||
6.88% | 12/15/39 | 65,000 | 69,640 | |||||||||
Port Authority of New York & New Jersey |
| |||||||||||
4.46% | 10/01/62 | 350,000 | 365,970 | |||||||||
South Carolina State Public Service Authority |
| |||||||||||
6.45% | 01/01/50 | 120,000 | 163,501 | |||||||||
State of California |
| |||||||||||
5.70% | 11/01/21 | 175,000 | 208,407 | |||||||||
State of Illinois |
| |||||||||||
5.10% | 06/01/33 | 100,000 | 93,515 | |||||||||
1,226,576 | ||||||||||||
FNMA (TBA) — 0.0%* | ||||||||||||
Lehman TBA | ||||||||||||
5.50% | TBA | 64,117 | 3,783 | (k,o) | ||||||||
Total Bonds and Notes | 240,731,899 | |||||||||||
Number of Shares | Fair Value | |||||||||
Exchange Traded Funds — 3.8% |
| |||||||||
Financial Select Sector SPDR Fund | 32,828 | 738,957 | (n) | |||||||
Industrial Select Sector SPDR Fund | 59,068 | 3,276,502 | (n) | |||||||
Vanguard FTSE Emerging Markets ETF | 694,831 | 24,027,256 | ||||||||
Total Exchange Traded Funds | 28,042,715 | |||||||||
Total Investments in Securities | 669,599,197 | |||||||||
See Notes to Schedules of Investments and Notes to Financial Statements.
57
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Schedule of Investments | March 31, 2016 (Unaudited) |
Fair Value | ||||||||
Short-Term Investments – 10.9% | ||||||||
State Street Institutional U.S. | $ | 81,624,707 | (d,m,n) |
Fair Value | ||||||||
Total Investments | $ | 751,223,904 | ||||||
Liabilities in Excess of Other Assets, net — (0.3)% | (2,014,169 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 749,209,735 | ||||||
|
|
Other Information: |
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract annual Fixed Rate | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Depreciation | |||||||||||||||||||||||||
Markit CDX North America High Yield Index | CME Group Inc. | $ | 13,812 | 5.00 | % | 12/20/20 | $ | (395,107 | ) | $ | (306,815 | ) | $ | (88,292 | ) |
The Fund had the following long futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
S&P Mid 400 Emini Index Futures | June 2016 | 156 | $ | 22,482,720 | $ | 682,906 | |||||||||||
2 Yr. U.S. Treasury Notes Futures | June 2016 | 91 | 19,906,250 | (1,268 | ) | ||||||||||||
5 Yr. U.S. Treasury Notes Futures | June 2016 | 5 | 605,820 | 3,348 | |||||||||||||
10 Yr. U.S. Treasury Notes Futures | June 2016 | 47 | 6,128,359 | 47,074 | |||||||||||||
|
| ||||||||||||||||
$ | 732,060 | ||||||||||||||||
|
|
The Fund had the following short futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
EURO Stoxx 50 Index Futures | June 2016 | 11 | $ | (367,402 | ) | $ | 3,212 | ||||||||||
FTSE 100 Index Futures | June 2016 | 2 | (175,724 | ) | (818 | ) | |||||||||||
S&P 500 Emini Index Futures | June 2016 | 77 | (7,898,275 | ) | (121,307 | ) | |||||||||||
Topix Index Futures | June 2016 | 3 | (359,669 | ) | 2,690 | ||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | June 2016 | 26 | (4,485,813 | ) | 23,986 | ||||||||||||
|
| ||||||||||||||||
$ | (92,237 | ) | |||||||||||||||
|
| ||||||||||||||||
$ | 639,823 | ||||||||||||||||
|
|
The Fund was invested in the following countries/territories at March 31, 2016 (unaudited):
Country/Territory | Percentage (based on Fair Value) | ||||
United States | 74.83% | ||||
Japan | 5.15% | ||||
United Kingdom | 3.17% | ||||
France | 2.74% | ||||
Germany | 2.14% | ||||
Switzerland | 2.00% | ||||
China | 1.23% | ||||
Sweden | 1.16% | ||||
Ireland | 1.12% | ||||
Netherlands | 0.78% | ||||
Canada | 0.72% | ||||
India | 0.59% | ||||
Hong Kong | 0.52% | ||||
Taiwan | 0.46% | ||||
Mexico | 0.41% | ||||
Belgium | 0.40% | ||||
South Korea | 0.40% | ||||
Italy | 0.34% | ||||
Norway | 0.34% | ||||
Australia | 0.30% | ||||
Luxembourg | 0.25% | ||||
Spain | 0.16% | ||||
Supranational | 0.14% | ||||
South Africa | 0.08% | ||||
Guernsey | 0.06% | ||||
Philippines | 0.06% | ||||
Russian Federation | 0.06% | ||||
Brazil | 0.05% | ||||
Turkey | 0.05% | ||||
Colombia | 0.04% | ||||
Chile | 0.04% |
See Notes to Schedules of Investments and Notes to Financial Statements.
58
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Country/Territory | Percentage (based on Fair Value) | ||||
Indonesia | 0.03% | ||||
Panama | 0.03% | ||||
Jersey | 0.03% | ||||
Bermuda | 0.03% | ||||
Peru | 0.02% | ||||
Cayman Islands | 0.02% | ||||
Malaysia | 0.02% | ||||
Thailand | 0.01% | ||||
Qatar | 0.01% | ||||
Hungary | 0.01% | ||||
|
| ||||
100.00% | |||||
|
|
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at March 31, 2016 (unaudited):
Industry | Domestic | Foreign | Total | ||||||||||||
Diversified Banks | 2.01% | 2.60% | 4.61% | ||||||||||||
Pharmaceuticals | 2.80% | 1.76% | 4.56% | ||||||||||||
Exchange Traded Funds | 3.73% | 0.00% | 3.73% | ||||||||||||
Internet Software & Services | 1.50% | 1.03% | 2.53% | ||||||||||||
Integrated Oil & Gas | 1.72% | 0.75% | 2.47% | ||||||||||||
Healthcare Equipment | 0.86% | 1.09% | 1.95% | ||||||||||||
Biotechnology | 1.71% | 0.00% | 1.71% | ||||||||||||
Technology Hardware, Storage & Peripherals | 1.37% | 0.25% | 1.62% | ||||||||||||
Cable & Satellite | 1.52% | 0.03% | 1.55% | ||||||||||||
Aerospace & Defense | 1.00% | 0.46% | 1.46% | ||||||||||||
Semiconductors | 0.74% | 0.49% | 1.23% | ||||||||||||
Communications Equipment | 0.77% | 0.44% | 1.21% | ||||||||||||
Asset Management & Custody Banks | 1.08% | 0.00% | 1.08% | ||||||||||||
Property & Casualty Insurance | 0.00% | 1.00% | 1.00% | ||||||||||||
Movies & Entertainment | 0.75% | 0.22% | 0.97% | ||||||||||||
Multi-Line Insurance | 0.63% | 0.27% | 0.90% | ||||||||||||
Semiconductor Equipment | 0.47% | 0.38% | 0.85% | ||||||||||||
Life & Health Insurance | 0.00% | 0.85% | 0.85% | ||||||||||||
Auto Parts & Equipment | 0.00% | 0.84% | 0.84% | ||||||||||||
Packaged Foods & Meats | 0.32% | 0.49% | 0.81% | ||||||||||||
Industrial Machinery | 0.53% | 0.27% | 0.80% | ||||||||||||
Oil & Gas Equipment & Services | 0.44% | 0.34% | 0.78% | ||||||||||||
Diversified Real Estate Activities | 0.00% | 0.77% | 0.77% | ||||||||||||
Automobile Manufacturers | 0.20% | 0.57% | 0.77% | ||||||||||||
Specialized Finance | 0.76% | 0.00% | 0.76% | ||||||||||||
Specialized REITs | 0.74% | 0.00% | 0.74% | ||||||||||||
Wireless Telecommunication Services | 0.00% | 0.74% | 0.74% | ||||||||||||
Data Processing & Outsourced Services | 0.72% | 0.01% | 0.73% | ||||||||||||
Systems Software | 0.72% | 0.00% | 0.72% | ||||||||||||
Electrical Components & Equipment | 0.00% | 0.69% | 0.69% | ||||||||||||
Soft Drinks | 0.68% | 0.01% | 0.69% | ||||||||||||
Internet Retail | 0.45% | 0.23% | 0.68% | ||||||||||||
Oil & Gas Exploration & Production | 0.61% | 0.04% | 0.65% |
Industry | Domestic | Foreign | Total | ||||||||||||
Electronic Equipment & Instruments | 0.00% | 0.65% | 0.65% | ||||||||||||
Home Improvement Retail | 0.59% | 0.00% | 0.59% | ||||||||||||
Specialty Chemicals | 0.12% | 0.46% | 0.58% | ||||||||||||
Application Software | 0.26% | 0.30% | 0.56% | ||||||||||||
Building Products | 0.00% | 0.53% | 0.53% | ||||||||||||
Consumer Finance | 0.49% | 0.00% | 0.49% | ||||||||||||
Electric Utilities | 0.25% | 0.22% | 0.47% | ||||||||||||
Research & Consulting Services | 0.42% | 0.00% | 0.42% | ||||||||||||
Brewers | 0.00% | 0.42% | 0.42% | ||||||||||||
Household Products | 0.24% | 0.15% | 0.39% | ||||||||||||
Trading Companies & Distributors | 0.37% | 0.00% | 0.37% | ||||||||||||
Apparel, Accessories & Luxury Goods | 0.19% | 0.16% | 0.35% | ||||||||||||
Personal Products | 0.00% | 0.34% | 0.34% | ||||||||||||
Airlines | 0.32% | 0.00% | 0.32% | ||||||||||||
Investment Banking & Brokerage | 0.30% | 0.00% | 0.30% | ||||||||||||
Healthcare Services | 0.00% | 0.29% | 0.29% | ||||||||||||
Leisure Products | 0.00% | 0.27% | 0.27% | ||||||||||||
Construction Materials | 0.00% | 0.27% | 0.27% | ||||||||||||
Multi-Utilities | 0.27% | 0.00% | 0.27% | ||||||||||||
Advertising | 0.00% | 0.25% | 0.25% | ||||||||||||
Security & Alarm Services | 0.00% | 0.24% | 0.24% | ||||||||||||
Electronic Components | 0.00% | 0.23% | 0.23% | ||||||||||||
Healthcare Supplies | 0.22% | 0.00% | 0.22% | ||||||||||||
Industrial Gases | 0.00% | 0.22% | 0.22% | ||||||||||||
General Merchandise Stores | 0.22% | 0.00% | 0.22% | ||||||||||||
Railroads | 0.05% | 0.16% | 0.21% | ||||||||||||
Healthcare Distributors | 0.21% | 0.00% | 0.21% | ||||||||||||
Drug Retail | 0.20% | 0.00% | 0.20% | ||||||||||||
Hypermarkets & Super Centers | 0.17% | 0.01% | 0.18% | ||||||||||||
IT Consulting & Other Services | 0.12% | 0.03% | 0.15% | ||||||||||||
Integrated Telecommunication Services | 0.14% | 0.00% | 0.14% | ||||||||||||
Independent Power Producers & Energy Traders | 0.13% | 0.00% | 0.13% | ||||||||||||
Air Freight & Logistics | 0.13% | 0.00% | 0.13% | ||||||||||||
Casinos & Gaming | 0.12% | 0.00% | 0.12% | ||||||||||||
Diversified Metals & Mining | 0.00% | 0.11% | 0.11% | ||||||||||||
Broadcasting | 0.11% | 0.00% | 0.11% | ||||||||||||
Human Resource & Employment Services | 0.00% | 0.08% | 0.08% | ||||||||||||
Apparel Retail | 0.00% | 0.07% | 0.07% | ||||||||||||
Automotive Retail | 0.07% | 0.00% | 0.07% | ||||||||||||
Hotels, Resorts & Cruise Lines | 0.06% | 0.00% | 0.06% | ||||||||||||
Fertilizers & Agricultural Chemicals | 0.06% | 0.00% | 0.06% | ||||||||||||
Paper Packaging | 0.05% | 0.00% | 0.05% | ||||||||||||
Diversified Chemicals | 0.05% | 0.00% | 0.05% | ||||||||||||
Housewares & Specialties | 0.04% | 0.00% | 0.04% | ||||||||||||
Thrifts & Mortgage Finance | 0.00% | 0.04% | 0.04% | ||||||||||||
Department Stores | 0.00% | 0.03% | 0.03% | ||||||||||||
Industrial Conglomerates | 0.00% | 0.02% | 0.02% | ||||||||||||
Other Diversified Financial Services | 0.00% | 0.02% | 0.02% | ||||||||||||
Food Retail | 0.00% | 0.02% | 0.02% | ||||||||||||
Construction & Engineering | 0.00% | 0.01% | 0.01% | ||||||||||||
Household Appliances | 0.00% | 0.01% | 0.01% |
See Notes to Schedules of Investments and Notes to Financial Statements.
59
Table of Contents
Strategic Investment Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Industry | Domestic | Foreign | Total | ||||||||||||
Precious Metals & Minerals | 0.00% | 0.01% | 0.01% | ||||||||||||
Coal & Consumable Fuels | 0.00% | 0.01% | 0.01% | ||||||||||||
Diversified REITs | 0.00% | 0.01% | 0.01% | ||||||||||||
Residential REITs | 0.00% | 0.01% | 0.01% | ||||||||||||
Restaurants | 0.00% | 0.01% | 0.01% | ||||||||||||
Trucking | 0.00% | 0.01% | 0.01% | ||||||||||||
Real Estate Development | 0.00% | 0.00% | 0.00% | *** | |||||||||||
Diversified Support Services | 0.00% | 0.00% | 0.00% | *** | |||||||||||
|
| ||||||||||||||
57.09% | |||||||||||||||
|
|
Sector | Percentage (based on Fair Value) | ||||
Corporate Notes | 14.07% | ||||
Agency Mortgage Backed | 7.50% | ||||
U.S. Treasuries | 6.61% | ||||
Non-Agency Collateralized Mortgage Obligations | 3.29% | ||||
Sovereign Bonds | 0.34% | ||||
Municipal Bonds and Notes | 0.16% | ||||
Agency Collateralized Mortgage Obligations | 0.07% | ||||
FNMA (TBA) | 0.00% | *** | |||
|
| ||||
32.04% | |||||
|
| ||||
Short-Term Investments | |||||
Short-Term Investments | 10.87% | ||||
|
| ||||
10.87% | |||||
|
| ||||
100.00% | |||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
60
Table of Contents
Income Fund | (Unaudited) |
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares), professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2016.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
October 1, 2015 – March 31, 2016
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | |||||||||||||
Actual Fund Return | |||||||||||||||
Investment Class | 1,000.00 | 1,025.50 | 1.22 | ||||||||||||
Service Class | 1,000.00 | 1,024.00 | 2.48 | ||||||||||||
Hypothetical 5% Return (2.5% for the period) | |||||||||||||||
Investment Class | 1,000.00 | 1,023.80 | 1.21 | ||||||||||||
Service Class | 1,000.00 | 1,022.55 | 2.48 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.24% for Investment Class shares and 0.49% for Service Class shares (for the period October 1, 2015 – March 31, 2016), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
61
Table of Contents
Income Fund | (Unaudited) |
Investment Profile |
A mutual fund designed for investors who seek maximum income consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in debt securities and investing primarily in a variety of investment-grade debt securities, such as mortgage-backed securities, corporate bonds, U.S. Government securities and money market instruments.
Sector Allocation |
Portfolio compositions as a % of Fair Value of Investments of $291,465 (in thousands) on March 31, 2016 (a)(b)
Quality Ratings |
as a % of Fair Value of Investments of $291,465 (in thousands) on March 31, 2016 (a)(b)
Moody’s / S&P / Ratings * | Percentage of Fair Value | |||
Aaa / AAA | 4.62% | |||
Aa / AA | 46.18% | |||
A / A | 10.40% | |||
Baa / BBB | 20.80% | |||
Ba / BB and lower | 10.38% | |||
NR / Other | 7.62% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
* | Moody’s Investors Services, Inc. (“Moody’s”) and Standard & Poor’s Corporation (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, GE Asset Management Incorporated (“GEAM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
62
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Income Fund |
Principal Amount | Fair Value | |||||||||||
Bonds and Notes — 97.2%† |
| |||||||||||
U.S. Treasuries – 18.8% | ||||||||||||
U.S. Treasury Bond | ||||||||||||
2.50% | 02/15/45 | $ | 5,710,900 | $ | 5,569,687 | (m) | ||||||
U.S. Treasury Notes | ||||||||||||
1.13% | 01/15/19 | 11,000,000 | 11,087,230 | |||||||||
1.75% | 12/31/20 | 14,551,500 | 14,914,152 | (m) | ||||||||
2.13% | 12/31/22 | 12,202,900 | 12,679,094 | (m) | ||||||||
2.25% | 11/15/25 | 10,377,100 | 10,803,941 | |||||||||
55,054,104 | ||||||||||||
Agency Mortgage Backed — 22.4% |
| |||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
4.50% | 06/01/33 - 02/01/35 | 15,834 | 17,254 | |||||||||
5.00% | 07/01/35 - 06/01/41 | 1,242,135 | 1,394,668 | |||||||||
5.50% | 05/01/20 - 04/01/39 | 379,609 | 433,675 | |||||||||
6.00% | 04/01/17 - 11/01/37 | 625,811 | 718,735 | |||||||||
6.50% | 07/01/29 - 10/01/33 | 2,730 | 3,140 | |||||||||
7.00% | 10/01/16 - 08/01/36 | 77,582 | 89,267 | |||||||||
7.50% | 01/01/30 - 09/01/33 | 2,245 | 2,376 | |||||||||
8.00% | 11/01/30 | 14,153 | 15,623 | |||||||||
8.50% | 04/01/30 | 20,011 | 24,783 | |||||||||
9.00% | 12/01/16 | 94 | 96 | |||||||||
9.50% | 04/01/21 | 29 | 31 | |||||||||
Federal National Mortgage Assoc. | ||||||||||||
2.22% | 04/01/37 | 2,534 | 2,584 | (h) | ||||||||
3.00% | 02/01/43 - 06/01/43 | 10,524,155 | 10,829,456 | (m) | ||||||||
3.50% | 11/01/42 - 08/01/45 | 3,247,977 | 3,413,766 | (m) | ||||||||
4.00% | 05/01/19 - 02/01/46 | 17,271,410 | 18,701,256 | |||||||||
4.00% | 01/01/41 - 03/01/44 | 7,628,620 | 8,201,409 | (m) | ||||||||
4.50% | 05/01/18 - 08/01/20 | 88,878 | 92,326 | |||||||||
4.50% | 07/01/33 - 01/01/41 | 5,963,976 | 6,506,154 | (m) | ||||||||
5.00% | 07/01/20 | 22,809 | 24,156 | |||||||||
5.00% | 03/01/34 - 06/01/41 | 2,048,023 | 2,309,714 | (m) | ||||||||
5.50% | 06/01/20 - 11/01/35 | 280,415 | 306,047 | |||||||||
5.50% | 10/01/24 | 7,148 | 7,215 | (h) | ||||||||
5.50% | 12/01/32 - 04/01/38 | 1,549,600 | 1,754,558 | (m) | ||||||||
6.00% | 05/01/19 - 09/01/21 | 29,979 | 31,546 | |||||||||
6.00% | 01/01/29 - 08/01/35 | 1,168,895 | 1,350,452 | (m) | ||||||||
6.50% | 07/01/17 - 05/01/21 | 15,293 | 15,907 | |||||||||
6.50% | 05/01/24 - 08/01/36 | 95,946 | 110,164 | (m) | ||||||||
7.00% | 10/01/16 - 08/01/17 | 3,674 | 3,745 | |||||||||
7.00% | 10/01/32 - 02/01/34 | 10,856 | 11,651 | (m) | ||||||||
7.50% | 12/01/23 - 12/01/33 | 64,331 | 73,435 | (m) | ||||||||
8.00% | 07/01/25 - 01/01/33 | 15,429 | 17,460 | (m) | ||||||||
9.00% | 12/01/17 - 12/01/22 | 2,506 | 2,722 | (m) | ||||||||
2.50% | TBA | 484,542 | 497,450 | (c) | ||||||||
3.00% | TBA | 175,000 | 179,577 | (c) |
Principal Amount | Fair Value | |||||||||||
Government National Mortgage Assoc. |
| |||||||||||
3.50% | 05/20/43 | $ | 3,180,008 | $ | 3,369,995 | (m) | ||||||
4.00% | 01/20/41 - 04/20/43 | 3,440,146 | 3,708,059 | (m) | ||||||||
4.50% | 08/15/33 - 09/15/34 | 131,188 | 143,528 | |||||||||
4.50% | 05/20/40 | 550,654 | 599,276 | (m) | ||||||||
5.00% | 08/15/33 | 45,382 | 50,769 | |||||||||
6.00% | 04/15/27 - 09/15/36 | 268,995 | 310,414 | |||||||||
6.50% | 04/15/19 - 09/15/36 | 110,004 | 126,218 | |||||||||
7.00% | 10/15/27 - 10/15/36 | 56,941 | 65,055 | |||||||||
7.50% | 01/15/23 - 11/15/31 | 10,087 | 10,546 | |||||||||
8.00% | 05/15/30 - 09/15/30 | 453 | 502 | |||||||||
8.50% | 10/15/17 | 606 | 621 | |||||||||
9.00% | 11/15/16 - 12/15/21 | 4,221 | 4,370 | |||||||||
5.50% | TBA | 255,000 | 285,376 | (c) | ||||||||
65,817,127 | ||||||||||||
Agency Collateralized Mortgage Obligations — 0.3% |
| |||||||||||
Collateralized Mortgage Obligation Trust |
| |||||||||||
0.01% | 11/01/18 | 87 | 87 | (d,f) | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
0.08% | 09/25/43 | 983,084 | 2,792 | (g,h) | ||||||||
Federal Home Loan Mortgage Corp. REMIC |
| |||||||||||
3.50% | 11/15/24 - 11/15/30 | 1,039,900 | 68,965 | (g) | ||||||||
5.00% | 02/15/38 | 9,022 | 111 | (g) | ||||||||
5.50% | 06/15/33 | 47,088 | 9,612 | (g) | ||||||||
6.16% | 08/15/25 | 375,416 | 34,623 | (g,h) | ||||||||
7.50% | 07/15/27 | 4,707 | 617 | (g) | ||||||||
8.00% | 04/15/20 | 27 | 27 | |||||||||
Federal Home Loan Mortgage Corp. STRIPS |
| |||||||||||
1.47% | 08/01/27 | 1,105 | 929 | (d,f) | ||||||||
5.51% | 08/15/43 | 788,722 | 160,097 | (g,h) | ||||||||
8.00% | 02/01/23 - 07/01/24 | 4,067 | 803 | (g) | ||||||||
Federal National Mortgage Assoc. REMIC |
| |||||||||||
0.51% | 12/25/22 | 235 | 226 | (d,f) | ||||||||
1.23% | 12/25/42 | 186,655 | 8,213 | (g,h) | ||||||||
5.00% | 02/25/40 - 09/25/40 | 484,590 | 52,232 | (g) | ||||||||
5.57% | 07/25/38 - 12/25/41 | 781,870 | 155,412 | (g,h) | ||||||||
7.07% | 05/25/18 | 30,991 | 1,529 | (g,h) | ||||||||
8.00% | 05/25/22 | 5 | 84 | (g) | ||||||||
Federal National Mortgage Assoc. STRIPS |
| |||||||||||
1.87% | 12/25/34 | 23,223 | 22,455 | (d,f) | ||||||||
4.50% | 08/25/35 - 01/25/36 | 167,898 | 27,057 | (g) | ||||||||
5.00% | 03/25/38 - 05/25/38 | 93,706 | 15,009 | (g) | ||||||||
5.50% | 12/25/33 | 21,457 | 4,171 | (g) | ||||||||
6.00% | 01/25/35 | 90,505 | 18,580 | (g) | ||||||||
7.50% | 11/25/23 | 20,517 | 3,923 | (g) | ||||||||
8.00% | 08/25/23 - 07/25/24 | 8,229 | 1,757 | (g) | ||||||||
8.50% | 03/25/17 - 07/25/22 | 315 | 40 | (g) | ||||||||
8.50% | 01/25/18 | 11 | — | (**,g) | ||||||||
9.00% | 05/25/22 | 186 | 32 | (g) | ||||||||
Government National Mortgage Assoc. |
| |||||||||||
4.50% | 10/20/37 - 08/16/39 | 830,251 | 44,077 | (g) | ||||||||
5.00% | 10/20/37 - 09/20/38 | 404,209 | 18,923 | (g) |
See Notes to Schedules of Investments and Notes to Financial Statements.
63
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
5.82% | 02/20/40 | $ | 311,097 | $ | 49,820 | (g,h) | ||||||
6.36% | 01/16/40 | 517,762 | 89,611 | (g,h) | ||||||||
791,814 | ||||||||||||
Asset Backed — 0.1% |
| |||||||||||
Chase Funding Trust 2004-1 | ||||||||||||
3.99% | 11/25/33 | 260,477 | 266,306 | (i) | ||||||||
Corporate Notes — 42.0% |
| |||||||||||
21st Century Fox America Inc. | ||||||||||||
3.70% | 10/15/25 | 107,000 | 112,086 | |||||||||
4.95% | 10/15/45 | 43,000 | 45,986 | |||||||||
6.65% | 11/15/37 | 213,000 | 265,274 | |||||||||
ABB Finance USA Inc. | ||||||||||||
1.63% | 05/08/17 | 158,000 | 158,957 | |||||||||
AbbVie Inc. | ||||||||||||
1.75% | 11/06/17 | 370,000 | 371,741 | |||||||||
2.00% | 11/06/18 | 304,000 | 306,989 | |||||||||
2.50% | 05/14/20 | 425,000 | 432,947 | |||||||||
3.60% | 05/14/25 | 170,000 | 178,529 | |||||||||
4.70% | 05/14/45 | 85,000 | 90,413 | |||||||||
ACCO Brands Corp. | ||||||||||||
6.75% | 04/30/20 | 400,000 | 423,000 | |||||||||
Actavis Funding SCS | ||||||||||||
1.30% | 06/15/17 | 400,000 | 398,886 | |||||||||
3.00% | 03/12/20 | 214,000 | 220,194 | |||||||||
3.45% | 03/15/22 | 299,000 | 310,521 | |||||||||
3.80% | 03/15/25 | 426,000 | 443,321 | |||||||||
4.75% | 03/15/45 | 42,000 | 44,491 | |||||||||
Activision Blizzard Inc. | ||||||||||||
5.63% | 09/15/21 | 438,000 | 460,447 | (b) | ||||||||
Aetna Inc. | ||||||||||||
3.50% | 11/15/24 | 266,000 | 271,475 | |||||||||
Agrium Inc. | ||||||||||||
3.38% | 03/15/25 | 107,000 | 103,027 | |||||||||
4.90% | 06/01/43 | 187,000 | 178,009 | |||||||||
Alibaba Group Holding Ltd. | ||||||||||||
4.50% | 11/28/34 | 205,000 | 209,499 | |||||||||
Altria Group Inc. | ||||||||||||
2.95% | 05/02/23 | 209,000 | 216,431 | |||||||||
4.50% | 05/02/43 | 209,000 | 224,614 | |||||||||
America Movil SAB de C.V. | ||||||||||||
3.13% | 07/16/22 | 211,000 | 216,689 | |||||||||
American Axle & Manufacturing Inc. | ||||||||||||
6.25% | 03/15/21 | 283,000 | 292,198 | |||||||||
6.63% | 10/15/22 | 56,000 | 58,100 | |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.35% | 10/01/20 | 172,000 | 175,742 | |||||||||
4.13% | 07/01/24 | 127,000 | 130,809 | |||||||||
American Electric Power Company Inc. |
| |||||||||||
2.95% | 12/15/22 | 341,000 | 345,517 |
Principal Amount | Fair Value | |||||||||||
American Express Co. |
| |||||||||||
3.63% | 12/05/24 | $ | 242,000 | $ | 243,815 | |||||||
American Express Credit Corp. |
| |||||||||||
2.60% | 09/14/20 | 428,000 | 438,563 | |||||||||
American International Group Inc. |
| |||||||||||
3.30% | 03/01/21 | 213,000 | 217,861 | |||||||||
3.75% | 07/10/25 | 250,000 | 249,812 | |||||||||
4.13% | 02/15/24 | 129,000 | 134,470 | |||||||||
4.50% | 07/16/44 | 85,000 | 80,188 | |||||||||
4.80% | 07/10/45 | 214,000 | 211,052 | |||||||||
American Tower Corp. (REIT) |
| |||||||||||
3.40% | 02/15/19 | 550,000 | 564,371 | |||||||||
Amgen Inc. |
| |||||||||||
2.20% | 05/22/19 | 274,000 | 280,352 | |||||||||
Amkor Technology Inc. |
| |||||||||||
6.63% | 06/01/21 | 438,000 | 416,100 | |||||||||
Anadarko Petroleum Corp. |
| |||||||||||
4.85% | 03/15/21 | 178,000 | 181,298 | |||||||||
5.55% | 03/15/26 | 255,000 | 257,822 | |||||||||
5.95% | 09/15/16 | 794,000 | 806,993 | |||||||||
6.60% | 03/15/46 | 100,000 | 102,116 | |||||||||
Anheuser-Busch InBev Finance Inc. |
| |||||||||||
2.65% | 02/01/21 | 220,000 | 226,168 | |||||||||
3.65% | 02/01/26 | 370,000 | 389,110 | |||||||||
4.90% | 02/01/46 | 190,000 | 212,293 | |||||||||
Anheuser-Busch InBev Worldwide Inc. |
| |||||||||||
2.50% | 07/15/22 | 395,000 | 398,525 | |||||||||
Anthem Inc. |
| |||||||||||
3.30% | 01/15/23 | 218,000 | 220,830 | (m) | ||||||||
Apache Corp. | ||||||||||||
5.10% | 09/01/40 | 213,000 | 193,311 | |||||||||
Apple Inc. |
| |||||||||||
2.85% | 05/06/21 | 180,000 | 188,932 | |||||||||
3.25% | 02/23/26 | 236,000 | 246,155 | |||||||||
3.45% | 02/09/45 | 215,000 | 194,240 | |||||||||
4.65% | 02/23/46 | 247,000 | 269,719 | |||||||||
Argos Merger Sub Inc. |
| |||||||||||
7.13% | 03/15/23 | 268,000 | 284,080 | (b) | ||||||||
Ascension Health | ||||||||||||
4.85% | 11/15/53 | 327,000 | 375,844 | |||||||||
AstraZeneca PLC | ||||||||||||
2.38% | 11/16/20 | 135,000 | 137,789 | |||||||||
3.38% | 11/16/25 | 214,000 | 221,772 | |||||||||
4.38% | 11/16/45 | 94,000 | 100,105 | |||||||||
AT&T Inc. |
| |||||||||||
2.38% | 11/27/18 | 250,000 | 255,424 | |||||||||
2.45% | 06/30/20 | 406,000 | 410,411 | |||||||||
2.80% | 02/17/21 | 234,000 | 239,607 | |||||||||
3.40% | 05/15/25 | 73,000 | 73,182 | |||||||||
4.13% | 02/17/26 | 234,000 | 247,232 | |||||||||
4.45% | 04/01/24 | 328,000 | 354,346 | |||||||||
4.50% | 05/15/35 | 213,000 | 210,382 |
See Notes to Schedules of Investments and Notes to Financial Statements.
64
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
4.75% | 05/15/46 | $ | 50,000 | $ | 48,787 | |||||||
4.80% | 06/15/44 | 167,000 | 163,456 | |||||||||
AutoNation Inc. | ||||||||||||
4.50% | 10/01/25 | 102,000 | 104,578 | |||||||||
AutoZone Inc. | ||||||||||||
3.25% | 04/15/25 | 426,000 | 426,718 | |||||||||
Bank of America Corp. |
| |||||||||||
1.70% | 08/25/17 | 1,075,000 | 1,076,538 | (m) | ||||||||
2.60% | 01/15/19 | 17,000 | 17,291 | (m) | ||||||||
3.95% | 04/21/25 | 257,000 | 255,965 | (m) | ||||||||
4.00% | 01/22/25 | 445,000 | 445,861 | (m) | ||||||||
4.10% | 07/24/23 | 190,000 | 200,474 | (m) | ||||||||
4.25% | 10/22/26 | 385,000 | 391,505 | (m) | ||||||||
Barclays Bank PLC |
| |||||||||||
2.25% | 05/10/17 | 1,281,000 | 1,295,614 | (b) | ||||||||
Barrick Gold Corp. |
| |||||||||||
4.10% | 05/01/23 | 68,000 | 66,247 | |||||||||
Baxalta Inc. | ||||||||||||
2.88% | 06/23/20 | 428,000 | 427,430 | (b) | ||||||||
4.00% | 06/23/25 | 321,000 | 326,345 | (b) | ||||||||
Berkshire Hathaway Energy Co. |
| |||||||||||
6.13% | 04/01/36 | 495,000 | 612,961 | |||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
3.00% | 05/15/22 | 134,000 | 139,684 | |||||||||
Berkshire Hathaway Inc. |
| |||||||||||
2.20% | 03/15/21 | 253,000 | 258,262 | |||||||||
2.75% | 03/15/23 | 393,000 | 400,918 | |||||||||
3.13% | 03/15/26 | 354,000 | 363,861 | |||||||||
Berry Plastics Corp. |
| |||||||||||
5.13% | 07/15/23 | 260,000 | 263,250 | |||||||||
6.00% | 10/15/22 | 300,000 | 314,250 | (b) | ||||||||
Biogen Inc. |
| |||||||||||
2.90% | 09/15/20 | 72,000 | 74,129 | |||||||||
4.05% | 09/15/25 | 80,000 | 85,532 | |||||||||
5.20% | 09/15/45 | 10,000 | 11,095 | |||||||||
Boston Scientific Corp. |
| |||||||||||
3.85% | 05/15/25 | 215,000 | 223,049 | |||||||||
BP Capital Markets PLC |
| |||||||||||
1.38% | 05/10/18 | 210,000 | 208,790 | |||||||||
Branch Banking & Trust Co. |
| |||||||||||
3.63% | 09/16/25 | 450,000 | 471,566 | |||||||||
Calpine Corp. |
| |||||||||||
5.75% | 01/15/25 | 255,000 | 244,800 | |||||||||
5.88% | 01/15/24 | 262,000 | 275,100 | (b) | ||||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. | ||||||||||||
6.50% | 04/15/21 | 438,000 | 310,980 | |||||||||
Canadian Pacific Railway Co. |
| |||||||||||
2.90% | 02/01/25 | 500,000 | 482,721 | |||||||||
Capital One Financial Corp. |
| |||||||||||
4.20% | 10/29/25 | 427,000 | 432,531 | |||||||||
Caterpillar Inc. |
| |||||||||||
4.30% | 05/15/44 | 129,000 | 134,529 |
Principal Amount | Fair Value | |||||||||||
Catholic Health Initiatives |
| |||||||||||
2.60% | 08/01/18 | $ | 130,000 | $ | 132,426 | |||||||
4.35% | 11/01/42 | 129,000 | 127,397 | |||||||||
CBS Corp. |
| |||||||||||
3.70% | 08/15/24 | 325,000 | 334,937 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
| |||||||||||
5.88% | 04/01/24 | 399,000 | 417,952 | (b) | ||||||||
CCO Safari II LLC |
| |||||||||||
3.58% | 07/23/20 | 321,000 | 328,136 | (b) | ||||||||
4.91% | 07/23/25 | 320,000 | 337,666 | (b) | ||||||||
6.38% | 10/23/35 | 43,000 | 47,373 | (b) | ||||||||
6.48% | 10/23/45 | 86,000 | 95,718 | (b) | ||||||||
Celgene Corp. |
| |||||||||||
3.88% | 08/15/25 | 208,000 | 218,690 | |||||||||
5.00% | 08/15/45 | 214,000 | 231,471 | |||||||||
CenturyLink Inc. |
| |||||||||||
5.80% | 03/15/22 | 176,000 | 169,330 | |||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. |
| |||||||||||
5.13% | 12/15/21 | 485,000 | 452,262 | (b) | ||||||||
Chevron Corp. |
| |||||||||||
3.19% | 06/24/23 | 234,000 | 241,301 | |||||||||
Chubb INA Holdings Inc. |
| |||||||||||
2.30% | 11/03/20 | 426,000 | 433,275 | |||||||||
3.15% | 03/15/25 | 150,000 | 154,357 | |||||||||
3.35% | 05/03/26 | 298,000 | 311,054 | |||||||||
4.35% | 11/03/45 | 90,000 | 98,113 | |||||||||
Cigna Corp. |
| |||||||||||
3.25% | 04/15/25 | 427,000 | 424,299 | |||||||||
Cinemark USA Inc. |
| |||||||||||
4.88% | 06/01/23 | 437,000 | 440,693 | |||||||||
Cisco Systems Inc. |
| |||||||||||
2.20% | 02/28/21 | 225,000 | 229,922 | |||||||||
Citigroup Inc. |
| |||||||||||
1.55% | 08/14/17 | 388,000 | 387,957 | (m) | ||||||||
1.75% | 05/01/18 | 419,000 | 417,905 | (m) | ||||||||
1.85% | 11/24/17 | 205,000 | 205,480 | (m) | ||||||||
2.05% | 12/07/18 | 427,000 | 428,864 | (m) | ||||||||
2.70% | 03/30/21 | 507,000 | 510,930 | |||||||||
4.40% | 06/10/25 | 215,000 | 219,332 | (m) | ||||||||
4.45% | 09/29/27 | 250,000 | 251,689 | (m) | ||||||||
4.65% | 07/30/45 | 342,000 | 358,259 | (m) | ||||||||
CMS Energy Corp. |
| |||||||||||
4.88% | 03/01/44 | 215,000 | 228,650 | |||||||||
CNA Financial Corp. |
| |||||||||||
5.88% | 08/15/20 | 366,000 | 408,664 | |||||||||
CNOOC Nexen Finance 2014 ULC |
| |||||||||||
4.25% | 04/30/24 | 433,000 | 447,732 | (m) | ||||||||
Cogeco Communications Inc. | ||||||||||||
4.88% | 05/01/20 | 400,000 | 411,260 | (b) | ||||||||
Colgate-Palmolive Co. |
| |||||||||||
4.00% | 08/15/45 | 214,000 | 235,255 |
See Notes to Schedules of Investments and Notes to Financial Statements.
65
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Columbia Pipeline Group Inc. |
| |||||||||||
3.30% | 06/01/20 | $ | 120,000 | $ | 119,304 | (b) | ||||||
4.50% | 06/01/25 | 86,000 | 85,411 | (b) | ||||||||
Comcast Corp. | ||||||||||||
3.38% | 08/15/25 | 222,000 | 236,246 | |||||||||
4.20% | 08/15/34 | 210,000 | 222,033 | |||||||||
4.60% | 08/15/45 | 215,000 | 238,596 | |||||||||
ConocoPhillips Co. | ||||||||||||
3.35% | 11/15/24 | 247,000 | 238,711 | |||||||||
5.95% | 03/15/46 | 51,000 | 54,634 | |||||||||
Corp Andina de Fomento | ||||||||||||
4.38% | 06/15/22 | 646,000 | 709,734 | (m) | ||||||||
Credit Suisse AG |
| |||||||||||
1.70% | 04/27/18 | 421,000 | 419,225 | |||||||||
2.60% | 05/27/16 | 416,000 | 416,994 | (b) | ||||||||
Credit Suisse Group Funding Guernsey Ltd. |
| |||||||||||
3.75% | 03/26/25 | 502,000 | 479,767 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV |
| |||||||||||
4.50% | 01/15/23 | 520,000 | 530,400 | |||||||||
CSX Corp. | ||||||||||||
4.50% | 08/01/54 | 125,000 | 123,953 | |||||||||
CubeSmart LP |
| |||||||||||
4.00% | 11/15/25 | 120,000 | 122,791 | |||||||||
CVS Health Corp. |
| |||||||||||
2.25% | 08/12/19 | 430,000 | 440,860 | |||||||||
3.88% | 07/20/25 | 428,000 | 462,067 | |||||||||
5.13% | 07/20/45 | 323,000 | 374,287 | |||||||||
Daimler Finance North America LLC |
| |||||||||||
2.38% | 08/01/18 | 633,000 | 643,290 | (b) | ||||||||
Danaher Corp. | ||||||||||||
2.40% | 09/15/20 | 215,000 | 222,065 | |||||||||
4.38% | 09/15/45 | 106,000 | 118,427 | |||||||||
Denbury Resources Inc. | ||||||||||||
5.50% | 05/01/22 | 438,000 | 197,100 | |||||||||
6.38% | 08/15/21 | 175,000 | 82,250 | |||||||||
Deutsche Bank AG | ||||||||||||
4.50% | 04/01/25 | 433,000 | 376,495 | |||||||||
Devon Energy Corp. |
| |||||||||||
5.85% | 12/15/25 | 193,000 | 186,368 | |||||||||
Dexia Credit Local S.A. |
| |||||||||||
2.25% | 01/30/19 | 869,000 | 885,720 | (b,m) | ||||||||
Diageo Investment Corp. |
| |||||||||||
2.88% | 05/11/22 | 509,000 | 532,320 | |||||||||
DigitalGlobe Inc. | ||||||||||||
5.25% | 02/01/21 | 438,000 | 398,580 | (b) | ||||||||
Discover Bank | ||||||||||||
3.10% | 06/04/20 | 298,000 | 300,298 | |||||||||
Dollar General Corp. |
| |||||||||||
1.88% | 04/15/18 | 425,000 | 427,546 | |||||||||
4.13% | 07/15/17 | 427,000 | 440,816 | |||||||||
4.15% | 11/01/25 | 213,000 | 223,876 |
Principal Amount | Fair Value | |||||||||||
Dollar Tree Inc. |
| |||||||||||
5.75% | 03/01/23 | $ | 525,000 | $ | 556,172 | (b) | ||||||
Dominion Resources Inc. |
| |||||||||||
3.63% | 12/01/24 | 224,000 | 227,367 | |||||||||
Dr Pepper Snapple Group Inc. |
| |||||||||||
3.40% | 11/15/25 | 427,000 | 441,714 | |||||||||
Duke Energy Progress LLC |
| |||||||||||
4.15% | 12/01/44 | 130,000 | 136,563 | |||||||||
Eastman Chemical Co. |
| |||||||||||
3.60% | 08/15/22 | 426,000 | 443,653 | |||||||||
Ecopetrol S.A. |
| |||||||||||
5.88% | 05/28/45 | 106,000 | 83,443 | |||||||||
Electricite de France S.A. |
| |||||||||||
2.15% | 01/22/19 | 857,000 | 867,095 | (b,m) | ||||||||
Eli Lilly & Co. | ||||||||||||
3.70% | 03/01/45 | 42,000 | 42,754 | |||||||||
EMD Finance LLC |
| |||||||||||
3.25% | 03/19/25 | 214,000 | 213,811 | (b) | ||||||||
Enbridge Energy Partners LP |
| |||||||||||
4.20% | 09/15/21 | 196,000 | 186,134 | |||||||||
4.38% | 10/15/20 | 211,000 | 206,034 | |||||||||
Energizer Holdings Inc. | ||||||||||||
5.50% | 06/15/25 | 440,000 | 442,112 | (b) | ||||||||
Energy Transfer Equity LP |
| |||||||||||
5.88% | 01/15/24 | 862,000 | 737,010 | |||||||||
Energy Transfer Partners LP |
| |||||||||||
4.05% | 03/15/25 | 85,000 | 74,838 | |||||||||
5.15% | 03/15/45 | 73,000 | 56,761 | |||||||||
6.50% | 02/01/42 | 233,000 | 214,427 | |||||||||
Enterprise Products Operating LLC | ||||||||||||
3.70% | 02/15/26 | 205,000 | 203,533 | |||||||||
EOG Resources Inc. |
| |||||||||||
4.15% | 01/15/26 | 425,000 | 440,697 | |||||||||
Equinix Inc. | ||||||||||||
5.88% | 01/15/26 | 90,000 | 94,770 | |||||||||
ERP Operating LP |
| |||||||||||
4.50% | 07/01/44 | 85,000 | 90,244 | |||||||||
European Investment Bank |
| |||||||||||
4.88% | 01/17/17 | 490,000 | 505,624 | (m) | ||||||||
Express Scripts Holding Co. |
| |||||||||||
3.30% | 02/25/21 | 139,000 | 142,621 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
2.22% | 03/01/21 | 510,000 | 518,913 | |||||||||
3.04% | 03/01/26 | 240,000 | 245,747 | |||||||||
4.11% | 03/01/46 | 155,000 | 164,398 | |||||||||
FedEx Corp. | ||||||||||||
4.10% | 02/01/45 | 2,000 | 1,903 | |||||||||
Fiat Chrysler Automobiles N.V. |
| |||||||||||
5.25% | 04/15/23 | 200,000 | 198,900 | |||||||||
Five Corners Funding Trust |
| |||||||||||
4.42% | 11/15/23 | 465,000 | 487,601 | (b) |
See Notes to Schedules of Investments and Notes to Financial Statements.
66
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Florida Power & Light Co. |
| |||||||||||
4.13% | 02/01/42 | $ | 234,000 | $ | 249,264 | |||||||
Ford Motor Credit Company LLC |
| |||||||||||
3.20% | 01/15/21 | 450,000 | 460,331 | |||||||||
3.22% | 01/09/22 | 455,000 | 463,701 | |||||||||
5.88% | 08/02/21 | 329,000 | 377,253 | |||||||||
Frontier Communications Corp. |
| |||||||||||
7.13% | 03/15/19 | 407,000 | 418,192 | |||||||||
11.00% | 09/15/25 | 265,000 | 266,325 | (b) | ||||||||
General Motors Co. |
| |||||||||||
5.20% | 04/01/45 | 43,000 | 40,412 | |||||||||
General Motors Financial Company Inc. |
| |||||||||||
3.15% | 01/15/20 | 300,000 | 301,016 | |||||||||
3.20% | 07/13/20 | 855,000 | 853,422 | |||||||||
5.25% | 03/01/26 | 255,000 | 267,603 | |||||||||
Georgia-Pacific LLC |
| |||||||||||
3.60% | 03/01/25 | 425,000 | 439,851 | (b) | ||||||||
Gilead Sciences Inc. |
| |||||||||||
3.65% | 03/01/26 | 240,000 | 255,426 | |||||||||
4.80% | 04/01/44 | 147,000 | 161,567 | |||||||||
GLP Capital LP/GLP Financing II Inc. |
| |||||||||||
5.38% | 11/01/23 | 129,000 | 129,000 | |||||||||
Grupo Televisa SAB |
| |||||||||||
5.00% | 05/13/45 | 209,000 | 190,710 | |||||||||
Halliburton Co. |
| |||||||||||
2.70% | 11/15/20 | 214,000 | 217,351 | |||||||||
3.80% | 11/15/25 | 193,000 | 193,116 | |||||||||
5.00% | 11/15/45 | 128,000 | 125,524 | |||||||||
HCA Inc. | ||||||||||||
4.75% | 05/01/23 | 205,000 | 208,588 | |||||||||
6.50% | 02/15/20 | 85,000 | 93,288 | |||||||||
Hess Corp. | ||||||||||||
5.60% | 02/15/41 | 102,000 | 91,003 | |||||||||
HSBC USA Inc. |
| |||||||||||
2.75% | 08/07/20 | 640,000 | 643,235 | |||||||||
Hyundai Capital America |
| |||||||||||
2.13% | 10/02/17 | 207,000 | 207,563 | (b) | ||||||||
Illinois Tool Works Inc. |
| |||||||||||
3.50% | 03/01/24 | 431,000 | 464,781 | |||||||||
Ingersoll-Rand Luxembourg Finance S.A. |
| |||||||||||
3.55% | 11/01/24 | 299,000 | 306,366 | |||||||||
Ingles Markets Inc. |
| |||||||||||
5.75% | 06/15/23 | 554,000 | 562,310 | |||||||||
International Business Machines Corp. |
| |||||||||||
3.63% | 02/12/24 | 439,000 | 471,727 | |||||||||
Interstate Power & Light Co. |
| |||||||||||
3.40% | 08/15/25 | 100,000 | 104,583 | |||||||||
Intesa Sanpaolo S.p.A. |
| |||||||||||
5.02% | 06/26/24 | 133,000 | 124,594 | (b) | ||||||||
Invesco Finance PLC |
| |||||||||||
3.13% | 11/30/22 | 460,000 | 469,443 |
Principal Amount | Fair Value | |||||||||||
JB Poindexter & Company Inc. |
| |||||||||||
9.00% | 04/01/22 | $ | 120,000 | $ | 125,700 | (b) | ||||||
JBS USA LLC/JBS USA Finance Inc. |
| |||||||||||
5.75% | 06/15/25 | 350,000 | 306,250 | (b) | ||||||||
Jefferies Group LLC | ||||||||||||
5.13% | 01/20/23 | 131,000 | 131,514 | |||||||||
6.50% | 01/20/43 | 142,000 | 126,534 | |||||||||
Johnson & Johnson |
| |||||||||||
1.65% | 03/01/21 | 150,000 | 150,789 | |||||||||
2.45% | 03/01/26 | 150,000 | 150,738 | |||||||||
3.70% | 03/01/46 | 256,000 | 268,785 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.55% | 10/29/20 | 190,000 | 192,639 | |||||||||
3.88% | 09/10/24 | 715,000 | 732,451 | |||||||||
4.25% | 10/01/27 | 484,000 | 503,683 | |||||||||
6.10% | 10/29/49 | 510,000 | 519,695 | (h) | ||||||||
KB Home |
| |||||||||||
7.00% | 12/15/21 | 515,000 | 515,000 | |||||||||
Kellogg Co. | ||||||||||||
4.50% | 04/01/46 | 100,000 | 102,412 | |||||||||
Keysight Technologies Inc. |
| |||||||||||
4.55% | 10/30/24 | 369,000 | 359,703 | |||||||||
KFW | ||||||||||||
4.50% | 07/16/18 | 169,000 | 182,197 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
3.50% | 09/01/23 | 139,000 | 125,978 | |||||||||
4.30% | 05/01/24 | 119,000 | 113,134 | |||||||||
Kinder Morgan Inc. |
| |||||||||||
3.05% | 12/01/19 | 94,000 | 92,574 | |||||||||
4.30% | 06/01/25 | 187,000 | 177,947 | |||||||||
5.55% | 06/01/45 | 128,000 | 113,785 | �� | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
2.80% | 07/02/20 | 408,000 | 418,037 | (b,m) | ||||||||
3.95% | 07/15/25 | 246,000 | 262,045 | (b,m) | ||||||||
L Brands Inc. |
| |||||||||||
5.63% | 02/15/22 | 175,000 | 190,649 | |||||||||
L-3 Communications Corp. |
| |||||||||||
1.50% | 05/28/17 | 167,000 | 166,439 | (m) | ||||||||
Lee Enterprises Inc. |
| |||||||||||
9.50% | 03/15/22 | 353,000 | 347,264 | (b,m) | ||||||||
Lennar Corp. |
| |||||||||||
4.50% | 11/15/19 | 525,000 | 546,000 | (m) | ||||||||
4.75% | 05/30/25 | 176,000 | 172,920 | (m) | ||||||||
Levi Strauss & Co. |
| |||||||||||
5.00% | 05/01/25 | 262,000 | 264,620 | (m) | ||||||||
Lockheed Martin Corp. |
| |||||||||||
2.50% | 11/23/20 | 299,000 | 306,384 | |||||||||
3.55% | 01/15/26 | 427,000 | 451,991 | |||||||||
3.80% | 03/01/45 | 88,000 | 85,389 | |||||||||
4.70% | 05/15/46 | 96,000 | 107,373 | |||||||||
Lowe’s Companies Inc. |
| |||||||||||
4.38% | 09/15/45 | 170,000 | 188,945 |
See Notes to Schedules of Investments and Notes to Financial Statements.
67
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
LyondellBasell Industries N.V. |
| |||||||||||
4.63% | 02/26/55 | $ | 85,000 | $ | 75,959 | |||||||
Marathon Oil Corp. |
| |||||||||||
6.00% | 10/01/17 | 514,000 | 521,060 | |||||||||
Marathon Petroleum Corp. |
| |||||||||||
3.63% | 09/15/24 | 425,000 | 388,787 | |||||||||
Marsh & McLennan Companies Inc. |
| |||||||||||
3.50% | 03/10/25 | 206,000 | 209,533 | |||||||||
3.75% | 03/14/26 | 300,000 | 307,745 | |||||||||
Mattel Inc. | ||||||||||||
2.35% | 05/06/19 | 475,000 | 481,166 | |||||||||
McDonald’s Corp. |
| |||||||||||
2.75% | 12/09/20 | 128,000 | 132,630 | |||||||||
3.70% | 01/30/26 | 299,000 | 316,928 | |||||||||
4.88% | 12/09/45 | 98,000 | 107,093 | |||||||||
Mead Johnson Nutrition Co. |
| |||||||||||
3.00% | 11/15/20 | 299,000 | 307,387 | |||||||||
4.13% | 11/15/25 | 299,000 | 317,613 | |||||||||
Medtronic Inc. | ||||||||||||
2.50% | 03/15/20 | 128,000 | 132,505 | |||||||||
3.50% | 03/15/25 | 462,000 | 493,153 | |||||||||
4.63% | 03/15/45 | 215,000 | 240,199 | |||||||||
Memorial Sloan-Kettering Cancer Center |
| |||||||||||
4.13% | 07/01/52 | 165,000 | 164,765 | |||||||||
Merck & Company Inc. |
| |||||||||||
2.75% | 02/10/25 | 425,000 | 435,274 | |||||||||
MetLife Inc. | ||||||||||||
3.60% | 11/13/25 | 214,000 | 219,374 | |||||||||
4.05% | 03/01/45 | 107,000 | 101,250 | |||||||||
4.72% | 12/15/44 | 131,000 | 136,590 | |||||||||
MGM Resorts International |
| |||||||||||
5.25% | 03/31/20 | 267,000 | 273,675 | |||||||||
6.63% | 12/15/21 | 438,000 | 469,755 | |||||||||
Microsoft Corp. |
| |||||||||||
4.00% | 02/12/55 | 225,000 | 221,069 | |||||||||
Mid-America Apartments LP |
| |||||||||||
4.00% | 11/15/25 | 193,000 | 197,103 | |||||||||
Mizuho Bank Ltd. |
| |||||||||||
2.45% | 04/16/19 | 523,000 | 528,292 | (b) | ||||||||
Monsanto Co. |
| |||||||||||
4.70% | 07/15/64 | 123,000 | 106,317 | |||||||||
Morgan Stanley |
| |||||||||||
2.45% | 02/01/19 | 235,000 | 238,489 | (m) | ||||||||
2.65% | 01/27/20 | 90,000 | 91,363 | (m) | ||||||||
3.70% | 10/23/24 | 189,000 | 195,445 | (m) | ||||||||
3.88% | 01/27/26 | 73,000 | 76,179 | (m) | ||||||||
3.95% | 04/23/27 | 427,000 | 427,667 | (m) | ||||||||
4.10% | 05/22/23 | 727,000 | 749,976 | (m) | ||||||||
5.00% | 11/24/25 | 171,000 | 185,140 | (m) | ||||||||
Motorola Solutions Inc. |
| |||||||||||
4.00% | 09/01/24 | 143,000 | 132,038 |
Principal Amount | Fair Value | |||||||||||
National Retail Properties Inc. |
| |||||||||||
4.00% | 11/15/25 | $ | 213,000 | $ | 219,177 | |||||||
NCL Corporation Ltd. |
| |||||||||||
4.63% | 11/15/20 | 220,000 | 221,100 | (b,m) | ||||||||
Newell Rubbermaid Inc. |
| |||||||||||
3.85% | 04/01/23 | 510,000 | 529,118 | |||||||||
4.20% | 04/01/26 | 157,000 | 164,206 | |||||||||
5.50% | 04/01/46 | 150,000 | 162,391 | |||||||||
Newmont Mining Corp. |
| |||||||||||
4.88% | 03/15/42 | 163,000 | 140,163 | |||||||||
Nexen Energy ULC |
| |||||||||||
6.40% | 05/15/37 | 232,000 | 263,278 | |||||||||
NIKE Inc. | ||||||||||||
3.88% | 11/01/45 | 214,000 | 223,976 | |||||||||
Noble Energy Inc. |
| |||||||||||
3.90% | 11/15/24 | 256,000 | 241,271 | |||||||||
Northern States Power Co. |
| |||||||||||
2.20% | 08/15/20 | 427,000 | 434,978 | |||||||||
Northrop Grumman Corp. |
| |||||||||||
3.85% | 04/15/45 | 50,000 | 49,494 | |||||||||
Novartis Capital Corp. |
| |||||||||||
3.00% | 11/20/25 | 108,000 | 112,647 | (m) | ||||||||
4.00% | 11/20/45 | 283,000 | 302,971 | (m) | ||||||||
NRG Energy Inc. |
| |||||||||||
6.25% | 07/15/22 | 227,000 | 211,039 | (m) | ||||||||
Occidental Petroleum Corp. |
| |||||||||||
3.50% | 06/15/25 | �� | 428,000 | 438,510 | (m) | |||||||
Omnicom Group Inc. |
| |||||||||||
3.63% | 05/01/22 | 187,000 | 196,408 | (m) | ||||||||
Oracle Corp. |
| |||||||||||
2.25% | 10/08/19 | 610,000 | 629,522 | (m) | ||||||||
2.95% | 05/15/25 | 273,000 | 279,779 | (m) | ||||||||
4.13% | 05/15/45 | 86,000 | 87,891 | (m) | ||||||||
Owens & Minor Inc. |
| |||||||||||
3.88% | 09/15/21 | 350,000 | 352,898 | (m) | ||||||||
Owens-Brockway Glass Container Inc. |
| |||||||||||
6.38% | 08/15/25 | 300,000 | 315,375 | (b,m) | ||||||||
Pacific Gas & Electric Co. |
| |||||||||||
3.40% | 08/15/24 | 640,000 | 667,983 | (m) | ||||||||
PacifiCorp | ||||||||||||
6.25% | 10/15/37 | 258,000 | 337,045 | (m) | ||||||||
Penn National Gaming Inc. |
| |||||||||||
5.88% | 11/01/21 | 265,000 | 263,675 | (m) | ||||||||
PepsiCo Inc. |
| |||||||||||
3.10% | 07/17/22 | 97,000 | 103,541 | (m) | ||||||||
4.25% | 10/22/44 | 127,000 | 135,686 | (m) | ||||||||
4.60% | 07/17/45 | 128,000 | 144,353 | (m) | ||||||||
Perrigo Finance Unlimited Co. |
| |||||||||||
3.50% | 03/15/21 | 254,000 | 260,250 | |||||||||
Petroleos Mexicanos |
| |||||||||||
3.50% | 01/30/23 | 278,000 | 251,938 | |||||||||
5.63% | 01/23/46 | 94,000 | 78,998 | |||||||||
6.38% | 02/04/21 | 185,000 | 197,303 | (b) |
See Notes to Schedules of Investments and Notes to Financial Statements.
68
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Pfizer Inc. |
| |||||||||||
4.40% | 05/15/44 | $ | 135,000 | $ | 152,667 | |||||||
Philip Morris International Inc. | ||||||||||||
2.75% | 02/25/26 | 227,000 | 231,358 | |||||||||
4.13% | 03/04/43 | 214,000 | 221,600 | |||||||||
Phillips 66 Partners LP |
| |||||||||||
2.65% | 02/15/20 | 128,000 | 123,314 | |||||||||
3.61% | 02/15/25 | 139,000 | 126,363 | |||||||||
PNC Bank NA |
| |||||||||||
2.40% | 10/18/19 | 441,000 | 450,204 | |||||||||
Praxair Inc. |
| |||||||||||
3.20% | 01/30/26 | 148,000 | 155,384 | |||||||||
Precision Castparts Corp. |
| |||||||||||
4.38% | 06/15/45 | 128,000 | 140,888 | |||||||||
Principal Financial Group Inc. |
| |||||||||||
4.70% | 05/15/55 | 276,000 | 267,306 | (h) | ||||||||
Prologis LP |
| |||||||||||
3.75% | 11/01/25 | 213,000 | 222,352 | |||||||||
Prudential Financial Inc. |
| |||||||||||
5.38% | 05/15/45 | 214,000 | 211,860 | (h) | ||||||||
5.63% | 06/15/43 | 260,000 | 264,810 | (h) | ||||||||
PulteGroup Inc. |
| |||||||||||
4.25% | 03/01/21 | 130,000 | 131,950 | |||||||||
5.50% | 03/01/26 | 390,000 | 401,212 | |||||||||
QUALCOMM Inc. |
| |||||||||||
4.80% | 05/20/45 | 154,000 | 152,593 | |||||||||
Quest Diagnostics Inc. |
| |||||||||||
4.70% | 03/30/45 | 128,000 | 124,050 | |||||||||
Regency Energy Partners LP/Regency Energy Finance Corp. |
| |||||||||||
4.50% | 11/01/23 | 300,000 | 264,794 | |||||||||
Revlon Consumer Products Corp. |
| |||||||||||
5.75% | 02/15/21 | 895,000 | 919,612 | (m) | ||||||||
Reynolds American Inc. |
| |||||||||||
4.45% | 06/12/25 | 130,000 | 143,092 | |||||||||
Rio Tinto Finance USA Ltd. |
| |||||||||||
3.75% | 06/15/25 | 107,000 | 104,935 | |||||||||
Roche Holdings Inc. |
| |||||||||||
2.63% | 05/15/26 | 220,000 | 219,846 | (b) | ||||||||
Rogers Communications Inc. |
| |||||||||||
5.00% | 03/15/44 | 86,000 | 94,760 | |||||||||
Royal Bank of Canada |
| |||||||||||
1.20% | 09/19/17 | 717,000 | 716,290 | |||||||||
4.65% | 01/27/26 | 235,000 | 238,568 | |||||||||
Ryder System Inc. |
| |||||||||||
2.45% | 09/03/19 | 345,000 | 345,397 | |||||||||
Santander Bank NA |
| |||||||||||
2.00% | 01/12/18 | 520,000 | 515,615 | |||||||||
Santander UK Group Holdings PLC |
| |||||||||||
3.13% | 01/08/21 | 300,000 | 301,755 | |||||||||
4.75% | 09/15/25 | 200,000 | 189,169 | (b) | ||||||||
Schaeffler Holding Finance BV (6.75% Cash/7.50% PIK) |
| |||||||||||
6.75% | 11/15/22 | 860,000 | 935,250 | (b,l) |
Principal Amount | Fair Value | |||||||||||
Schlumberger Holdings Corp. |
| |||||||||||
3.00% | 12/21/20 | $ | 641,000 | $ | 650,144 | (b,m) | ||||||
4.00% | 12/21/25 | 427,000 | 441,044 | (b,m) | ||||||||
Sealed Air Corp. |
| |||||||||||
4.88% | 12/01/22 | 262,000 | 272,480 | (b) | ||||||||
5.13% | 12/01/24 | 262,000 | 271,825 | (b) | ||||||||
Sinclair Television Group Inc. |
| |||||||||||
5.38% | 04/01/21 | 459,000 | 473,917 | |||||||||
Sinopec Capital 2013 Ltd. |
| |||||||||||
3.13% | 04/24/23 | 335,000 | 331,325 | (b) | ||||||||
Southern California Edison Co. |
| |||||||||||
2.40% | 02/01/22 | 170,000 | 171,724 | |||||||||
Spectra Energy Partners LP |
| |||||||||||
4.75% | 03/15/24 | 207,000 | 223,076 | (m) | ||||||||
Standard Industries Inc. |
| |||||||||||
5.38% | 11/15/24 | 525,000 | 532,875 | (b) | ||||||||
State Street Corp. |
| |||||||||||
3.55% | 08/18/25 | 150,000 | 159,674 | (m,e) | ||||||||
Statoil ASA | ||||||||||||
3.95% | 05/15/43 | 107,000 | 102,009 | |||||||||
Sunoco LP/Sunoco Finance Corp. |
| |||||||||||
5.50% | 08/01/20 | 175,000 | 174,563 | (b,m) | ||||||||
SUPERVALU Inc. |
| |||||||||||
6.75% | 06/01/21 | 441,000 | 375,953 | (m) | ||||||||
T-Mobile USA Inc. |
| |||||||||||
6.50% | 01/15/26 | 132,000 | 137,115 | (m) | ||||||||
6.63% | 04/01/23 | 438,000 | 460,995 | (m) | ||||||||
Tampa Electric Co. |
| |||||||||||
4.35% | 05/15/44 | 209,000 | 215,454 | (m) | ||||||||
Target Corp. | ||||||||||||
3.50% | 07/01/24 | 265,000 | 290,786 | (m) | ||||||||
TD Ameritrade Holding Corp. |
| |||||||||||
2.95% | 04/01/22 | 211,000 | 215,417 | (m) | ||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
4.90% | 09/15/44 | 250,000 | 267,964 | (b,m) | ||||||||
Teck Resources Ltd. |
| |||||||||||
2.50% | 02/01/18 | 125,000 | 109,375 | (m) | ||||||||
3.15% | 01/15/17 | 177,000 | 169,920 | (m) | ||||||||
Telecom Italia S.p.A. |
| |||||||||||
5.30% | 05/30/24 | 650,000 | 666,250 | (b,m) | ||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.75% | 06/01/20 | 160,000 | 164,000 | (m) | ||||||||
6.00% | 10/01/20 | 424,000 | 451,560 | (m) | ||||||||
The Allstate Corp. |
| |||||||||||
5.75% | 08/15/53 | 240,000 | 243,900 | (h) | ||||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd. |
| |||||||||||
2.30% | 03/10/19 | 400,000 | 403,452 | (b) | ||||||||
The Boeing Co. |
| |||||||||||
1.65% | 10/30/20 | 213,000 | 213,084 | |||||||||
2.60% | 10/30/25 | 213,000 | 216,676 | |||||||||
2.85% | 10/30/24 | 224,000 | 231,907 |
See Notes to Schedules of Investments and Notes to Financial Statements.
69
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
The Coca-Cola Co. |
| |||||||||||
2.88% | 10/27/25 | $ | 427,000 | $ | 444,390 | |||||||
The Dow Chemical Co. |
| |||||||||||
4.25% | 10/01/34 | 218,000 | 212,448 | |||||||||
The Goldman Sachs Group Inc. |
| |||||||||||
2.38% | 01/22/18 | 335,000 | 339,346 | |||||||||
2.63% | 01/31/19 | 140,000 | 142,794 | |||||||||
2.90% | 07/19/18 | 296,000 | 302,953 | |||||||||
3.75% | 05/22/25 | 365,000 | 373,757 | |||||||||
4.00% | 03/03/24 | 142,000 | 148,947 | |||||||||
4.25% | 10/21/25 | 72,000 | 73,187 | |||||||||
4.80% | 07/08/44 | 464,000 | 485,292 | |||||||||
5.15% | 05/22/45 | 214,000 | 217,458 | |||||||||
The Home Depot Inc. |
| |||||||||||
3.35% | 09/15/25 | 299,000 | 324,150 | |||||||||
4.25% | 04/01/46 | 82,000 | 90,248 | |||||||||
The Korea Development Bank |
| |||||||||||
3.38% | 09/16/25 | 211,000 | 224,706 | |||||||||
4.00% | 09/09/16 | 245,000 | 248,326 | (m) | ||||||||
The Kroger Co. |
| |||||||||||
2.95% | 11/01/21 | 299,000 | 311,771 | (m) | ||||||||
3.50% | 02/01/26 | 144,000 | 151,407 | |||||||||
The Progressive Corp. |
| |||||||||||
3.70% | 01/26/45 | 122,000 | 118,528 | |||||||||
The Toronto-Dominion Bank |
| |||||||||||
2.50% | 12/14/20 | 427,000 | 435,783 | |||||||||
The Walt Disney Co. |
| |||||||||||
2.30% | 02/12/21 | 328,000 | 338,816 | (m) | ||||||||
4.13% | 06/01/44 | 102,000 | 109,429 | |||||||||
Time Inc. |
| |||||||||||
5.75% | 04/15/22 | 443,000 | 393,162 | (b) | ||||||||
Time Warner Cable Inc. |
| |||||||||||
4.50% | 09/15/42 | 43,000 | 38,182 | (m) | ||||||||
6.55% | 05/01/37 | 127,000 | 139,423 | (m) | ||||||||
Time Warner Inc. |
| |||||||||||
3.60% | 07/15/25 | 6,000 | 6,161 | (m) | ||||||||
3.88% | 01/15/26 | 391,000 | 410,230 | (m) | ||||||||
5.35% | 12/15/43 | 261,000 | 277,830 | (m) | ||||||||
TransCanada PipeLines Ltd. |
| |||||||||||
4.88% | 01/15/26 | 235,000 | 248,326 | |||||||||
Tyco Electronics Group S.A. |
| |||||||||||
2.35% | 08/01/19 | 421,000 | 425,039 | |||||||||
Tyco International Finance S.A. |
| |||||||||||
5.13% | 09/14/45 | 130,000 | 139,232 | |||||||||
Tyson Foods Inc. |
| |||||||||||
2.65% | 08/15/19 | 71,000 | 72,831 | (m) | ||||||||
3.95% | 08/15/24 | 78,000 | 83,185 | (m) | ||||||||
5.15% | 08/15/44 | 78,000 | 87,236 | (m) | ||||||||
U.S. Bancorp |
| |||||||||||
5.13% | 12/29/49 | 427,000 | 437,141 | (h,m) | ||||||||
UBS Group Funding Jersey Ltd. | ||||||||||||
2.95% | 09/24/20 | 200,000 | 200,745 | (b,m) |
Principal Amount | Fair Value | |||||||||||
Ultra Petroleum Corp. |
| |||||||||||
6.13% | 10/01/24 | $ | 437,000 | $ | 32,775 | (b,m) | ||||||
United Rentals North America Inc. |
| |||||||||||
6.13% | 06/15/23 | 345,000 | 356,213 | (m) | ||||||||
UnitedHealth Group Inc. |
| |||||||||||
2.70% | 07/15/20 | 155,000 | 161,077 | (m) | ||||||||
4.75% | 07/15/45 | 275,000 | 315,435 | (m) | ||||||||
US Bank NA |
| |||||||||||
2.80% | 01/27/25 | 315,000 | 321,532 | (m) | ||||||||
Valeant Pharmaceuticals International Inc. |
| |||||||||||
6.13% | 04/15/25 | 90,000 | 69,300 | (b,m) | ||||||||
6.38% | 10/15/20 | 137,000 | 113,710 | (b,m) | ||||||||
Ventas Realty LP |
| |||||||||||
4.13% | 01/15/26 | 171,000 | 175,671 | (m) | ||||||||
Verizon Communications Inc. |
| |||||||||||
1.35% | 06/09/17 | 593,000 | 594,736 | (m) | ||||||||
3.50% | 11/01/24 | 213,000 | 223,573 | (m) | ||||||||
4.15% | 03/15/24 | 172,000 | 187,079 | (m) | ||||||||
4.40% | 11/01/34 | 213,000 | 215,380 | (m) | ||||||||
4.67% | 03/15/55 | 150,000 | 144,000 | (m) | ||||||||
4.86% | 08/21/46 | 214,000 | 225,734 | (m) | ||||||||
5.05% | 03/15/34 | 385,000 | 417,377 | (m) | ||||||||
5.15% | 09/15/23 | 256,000 | 295,584 | (m) | ||||||||
6.55% | 09/15/43 | 144,000 | 189,411 | (m) | ||||||||
Virgin Media Finance PLC |
| |||||||||||
5.75% | 01/15/25 | 439,000 | 444,487 | (b,m) | ||||||||
Visa Inc. | ||||||||||||
2.80% | 12/14/22 | 299,000 | 312,137 | (m) | ||||||||
3.15% | 12/14/25 | 299,000 | 312,263 | (m) | ||||||||
4.30% | 12/14/45 | 141,000 | 154,303 | (m) | ||||||||
Volkswagen Group of America Finance LLC |
| |||||||||||
1.06% | 11/20/17 | 211,000 | 207,024 | (b,h,m) | ||||||||
2.13% | 05/23/19 | 200,000 | 197,816 | (b,m) | ||||||||
W.R. Grace & Co. |
| |||||||||||
5.13% | 10/01/21 | 165,000 | 171,600 | (b) | ||||||||
5.63% | 10/01/24 | 438,000 | 456,615 | (b) | ||||||||
Wells Fargo & Co. |
| |||||||||||
3.90% | 05/01/45 | 214,000 | 214,092 | (m) | ||||||||
4.10% | 06/03/26 | 22,000 | 23,032 | (m) | ||||||||
4.30% | 07/22/27 | 172,000 | 182,593 | (m) | ||||||||
5.88% | 12/29/49 | 297,000 | 317,137 | (h,m) | ||||||||
5.90% | 12/29/49 | 281,000 | 284,776 | (h,m) | ||||||||
Western Digital Corp. |
| |||||||||||
7.38% | 04/01/23 | 65,000 | 66,300 | (b) | ||||||||
Williams Partners LP |
| |||||||||||
5.40% | 03/04/44 | 43,000 | 32,223 | |||||||||
Windstream Services LLC |
| |||||||||||
6.38% | 08/01/23 | 409,000 | 299,593 | |||||||||
WPP Finance 2010 |
| |||||||||||
3.75% | 09/19/24 | 425,000 | 430,326 | |||||||||
XLIT Ltd. |
| |||||||||||
5.25% | 12/15/43 | 184,000 | 190,544 |
See Notes to Schedules of Investments and Notes to Financial Statements.
70
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Zimmer Biomet Holdings Inc. |
| |||||||||||
3.55% | 04/01/25 | $ | 213,000 | $ | 215,306 | |||||||
123,212,594 | ||||||||||||
Non-Agency Collateralized Mortgage Obligations — 11.8% |
| |||||||||||
American Tower Trust I (REIT) |
| |||||||||||
1.55% | 03/15/43 | 644,000 | 643,525 | (b) | ||||||||
Banc of America Commercial Mortgage Trust 2006-4 |
| |||||||||||
5.68% | 07/10/46 | 1,050,000 | 1,053,587 | |||||||||
Banc of America Commercial Mortgage Trust 2007-1 |
| |||||||||||
5.48% | 01/15/49 | 905,000 | 914,824 | (h) | ||||||||
Banc of America Commercial Mortgage Trust 2007-4 |
| |||||||||||
5.74% | 02/10/51 | 60,724 | 62,936 | (h) | ||||||||
Banc of America Commercial Mortgage Trust 2008-1 |
| |||||||||||
6.22% | 02/10/51 | 137,268 | 144,403 | (h) | ||||||||
Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-1 | ||||||||||||
5.34% | 11/10/42 | 41,402 | 41,356 | (h) | ||||||||
Banc of America Merrill Lynch Commercial Mortgage Trust 2014-520M |
| |||||||||||
4.18% | 08/15/46 | 168,401 | 176,808 | (b,h) | ||||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-T22 |
| |||||||||||
5.73% | 04/12/38 | 108,214 | 108,169 | (h) | ||||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PW18 |
| |||||||||||
6.09% | 06/11/50 | 190,000 | 196,825 | (h) | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC23 |
| |||||||||||
4.51% | 07/10/47 | 848,000 | 691,582 | (b,h) | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||||||
3.17% | 09/10/58 | 206,012 | 135,159 | |||||||||
Citigroup Commercial Mortgage Trust 2015-P1 |
| |||||||||||
3.72% | 09/15/48 | 848,321 | 906,978 | |||||||||
COMM 2013-CR12 Mortgage Trust | ||||||||||||
5.08% | 10/10/46 | 100,000 | 92,118 | (b,h) | ||||||||
COMM 2013-LC13 Mortgage Trust |
| |||||||||||
4.56% | 08/10/46 | 175,000 | 193,580 | (b,h) | ||||||||
COMM 2014-CR14 Mortgage Trust |
| |||||||||||
4.53% | 02/10/47 | 245,000 | 270,860 | (h) | ||||||||
COMM 2014-CR19 Mortgage Trust | ||||||||||||
4.72% | 08/10/47 | 413,823 | 315,071 | (b,h) | ||||||||
COMM 2014-CR20 Mortgage Trust |
| |||||||||||
4.51% | 11/10/47 | 208,404 | 205,956 | (h) | ||||||||
COMM 2014-CR21 Mortgage Trust |
| |||||||||||
3.99% | 12/10/47 | 418,316 | 447,662 | |||||||||
COMM 2015-CR23 Mortgage Trust |
| |||||||||||
4.26% | 05/10/48 | 189,546 | 176,010 | (h) | ||||||||
COMM 2015-CR24 Mortgage Trust |
| |||||||||||
3.46% | 08/10/55 | 412,335 | 279,794 | (h) | ||||||||
3.70% | 08/10/55 | 411,768 | 440,093 | |||||||||
4.37% | 08/10/55 | 370,677 | 335,236 | (h) | ||||||||
COMM 2015-LC19 Mortgage Trust |
| |||||||||||
2.87% | 02/10/48 | 309,000 | 213,931 | (b) | ||||||||
COMM 2015-PC1 Mortgage Trust |
| |||||||||||
4.44% | 07/10/50 | 185,864 | 181,298 | (h) |
Principal Amount | Fair Value | |||||||||||
Core Industrial Trust 2015-CALW |
| |||||||||||
3.25% | 02/10/34 | $ | 381,065 | $ | 385,122 | (b) | ||||||
CSAIL 2015-C1 Commercial Mortgage Trust |
| |||||||||||
3.80% | 04/15/50 | 100,000 | 75,283 | (b,h) | ||||||||
CSAIL 2015-C2 Commercial Mortgage Trust |
| |||||||||||
4.21% | 06/15/57 | 133,000 | 97,193 | (h) | ||||||||
CSAIL 2015-C3 Commercial Mortgage Trust | ||||||||||||
3.36% | 08/15/48 | 247,064 | 173,403 | (h) | ||||||||
4.11% | 08/15/48 | 329,419 | 330,507 | (h) | ||||||||
GS Mortgage Securities Corp. II 2012-GCJ9 |
| |||||||||||
2.31% | 11/10/45 | 947,206 | 87,254 | (h,g) | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH |
| |||||||||||
3.55% | 04/10/34 | 280,000 | 298,055 | (b) | ||||||||
GS Mortgage Securities Trust 2011-GC5 |
| |||||||||||
3.00% | 08/10/44 | 346,168 | 346,692 | |||||||||
5.32% | 08/10/44 | 100,000 | 110,352 | (b,h) | ||||||||
GS Mortgage Securities Trust 2014-GC20 |
| |||||||||||
4.26% | 04/10/47 | 220,000 | 236,936 | |||||||||
GS Mortgage Securities Trust 2014-NEW |
| |||||||||||
3.79% | 01/10/31 | 430,000 | 414,130 | (b) | ||||||||
GS Mortgage Securities Trust 2015-GC28 |
| |||||||||||
1.17% | 02/10/48 | 2,845,917 | 191,257 | (g,h) | ||||||||
GS Mortgage Securities Trust 2015-GC32 |
| |||||||||||
3.35% | 07/10/48 | 226,593 | 162,642 | |||||||||
4.41% | 07/10/48 | 106,375 | 102,940 | (h) | ||||||||
GS Mortgage Securities Trust 2015-GC34 |
| |||||||||||
2.98% | 10/10/48 | 459,148 | 311,773 | |||||||||
GS Mortgage Securities Trust 2015-GS1 |
| |||||||||||
3.27% | 11/10/48 | 567,780 | 413,917 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 |
| |||||||||||
2.32% | 12/15/47 | 1,226,733 | 91,205 | (g,h) | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 | ||||||||||||
5.44% | 05/15/45 | 380,000 | 383,213 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CB18 | ||||||||||||
5.44% | 06/12/47 | 267,535 | 272,225 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 | ||||||||||||
5.19% | 05/15/45 | 175,000 | 171,258 | (b,h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||||||
4.03% | 07/15/45 | 125,000 | 134,784 | (h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2013-C15 | ||||||||||||
5.07% | 11/15/45 | 170,000 | 174,882 | (h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2013-C17 | ||||||||||||
4.89% | 01/15/47 | 317,000 | 312,846 | (h) | ||||||||
4.89% | 01/15/47 | 180,876 | 159,721 | (b,h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C18 | ||||||||||||
4.81% | 02/15/47 | 210,000 | 210,938 | (h) | ||||||||
4.81% | 02/15/47 | 197,705 | 161,215 | (b,h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||||||
4.68% | 04/15/47 | 100,000 | 79,429 | (b,h) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C29 |
| |||||||||||
3.70% | 05/15/48 | 392,595 | 275,982 | (h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
71
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30 |
| |||||||||||
4.31% | 07/15/48 | $ | 411,987 | $ | 369,302 | (h) | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C31 |
| |||||||||||
3.80% | 08/15/48 | 617,747 | 662,111 | |||||||||
LB-UBS Commercial Mortgage Trust 2004-C8 |
| |||||||||||
0.46% | 12/15/39 | 96,018 | 444 | (b,g,h) | ||||||||
LB-UBS Commercial Mortgage Trust 2006-C4 |
| |||||||||||
5.86% | 06/15/38 | 57,445 | 57,436 | (h) | ||||||||
LB-UBS Commercial Mortgage Trust 2007-C6 |
| |||||||||||
6.11% | 07/15/40 | 269,803 | 279,534 | (h) | ||||||||
6.11% | 07/15/40 | 530,000 | 547,956 | (b) | ||||||||
MASTR Alternative Loan Trust 2003-5 |
| |||||||||||
5.00% | 08/25/18 | 18,308 | 642 | (g) | ||||||||
ML-CFC Commercial Mortgage Trust 2006-3 |
| |||||||||||
5.46% | 07/12/46 | 1,029,000 | 1,038,085 | (h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 | ||||||||||||
4.08% | 07/15/46 | 396,000 | 390,607 | (h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 | ||||||||||||
4.16% | 05/15/46 | 156,576 | 140,865 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | ||||||||||||
4.83% | 02/15/47 | 225,766 | 185,564 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | ||||||||||||
4.90% | 04/15/47 | 578,625 | 472,638 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 | ||||||||||||
3.39% | 10/15/47 | 835,411 | 581,794 | (b) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 | ||||||||||||
3.25% | 12/15/47 | 251,885 | 175,204 | (b) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | ||||||||||||
1.42% | 02/15/48 | 3,227,724 | 274,381 | (g,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | ||||||||||||
0.99% | 03/15/48 | 3,887,396 | 250,735 | (g,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 | ||||||||||||
3.88% | 04/15/48 | 342,479 | 335,996 | (h) | ||||||||
4.24% | 04/15/48 | 1,292,096 | 995,404 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | ||||||||||||
4.14% | 07/15/50 | 1,525,730 | 1,105,840 | (b,h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||||||
3.73% | 05/15/48 | 751,116 | 802,700 | |||||||||
4.35% | 05/15/48 | 823,726 | 778,972 | (h) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 | ||||||||||||
3.00% | 01/15/49 | 267,259 | 170,062 | (b) | ||||||||
4.60% | 01/15/49 | 380,157 | 360,644 | (h) | ||||||||
Morgan Stanley Capital I Trust 2005-T17 | ||||||||||||
4.84% | 12/13/41 | 62,853 | 62,989 | (h) | ||||||||
Morgan Stanley Capital I Trust 2006-IQ11 |
| |||||||||||
5.87% | 10/15/42 | 270,000 | 267,678 | (h) | ||||||||
Morgan Stanley Capital I Trust 2006-T21 |
| |||||||||||
5.27% | 10/12/52 | 77,980 | 77,935 | (h) | ||||||||
Morgan Stanley Capital I Trust 2006-T23 |
| |||||||||||
5.89% | 08/12/41 | 59,646 | 59,759 | (h) | ||||||||
Morgan Stanley Capital I Trust 2007-IQ16 |
| |||||||||||
6.05% | 12/12/49 | 190,000 | 197,512 | (h) |
Principal Amount | Fair Value | |||||||||||
Morgan Stanley Capital I Trust 2008-T29 |
| |||||||||||
6.27% | 01/11/43 | $ | 250,000 | $ | 265,439 | (h) | ||||||
Morgan Stanley Capital I Trust 2012-C4 |
| |||||||||||
5.21% | 03/15/45 | 190,000 | 209,098 | (b,h) | ||||||||
Morgan Stanley Capital I Trust 2015-MS1 |
| |||||||||||
4.03% | 05/15/48 | 260,000 | 191,704 | (b,h) | ||||||||
Morgan Stanley Capital I Trust 2015-UBS8 |
| |||||||||||
3.81% | 12/15/48 | 724,838 | 777,406 | |||||||||
Morgan Stanley Capital I Trust 2016-UBS9 |
| |||||||||||
1.42% | 03/15/49 | 4,775,894 | 403,613 | (g,h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 |
| |||||||||||
1.41% | 02/15/48 | 3,280,368 | 268,405 | (g,h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 |
| |||||||||||
4.01% | 06/15/48 | 565,872 | 585,732 | |||||||||
4.22% | 06/15/48 | 336,512 | 245,706 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 |
| |||||||||||
4.50% | 09/15/58 | 205,915 | 155,632 | (b,h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C31 |
| |||||||||||
3.70% | 11/15/48 | 411,887 | 439,627 | |||||||||
Wells Fargo Commercial Mortgage Trust 2015-LC22 |
| |||||||||||
4.54% | 09/15/58 | 206,161 | 155,738 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 |
| |||||||||||
4.25% | 07/15/58 | 206,028 | 149,672 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-P2 |
| |||||||||||
4.74% | 12/15/48 | 1,596,140 | 1,476,826 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 |
| |||||||||||
3.79% | 12/15/47 | 535,543 | 574,767 | |||||||||
4.47% | 12/15/47 | 205,916 | 199,858 | (h) | ||||||||
Wells Fargo Commercial Mortgage Trust 2016-C33 |
| |||||||||||
3.12% | 03/15/59 | 281,063 | 182,257 | (b,o) | ||||||||
Wells Fargo Mortgage Backed Securities Trust 2006-3 |
| |||||||||||
5.50% | 03/25/36 | 73,343 | 839 | |||||||||
WFRBS Commercial Mortgage Trust 2013-C17 |
| |||||||||||
4.26% | 12/15/46 | 240,000 | 262,029 | |||||||||
5.13% | 12/15/46 | 175,000 | 161,718 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2013-C18 |
| |||||||||||
4.67% | 12/15/46 | 221,760 | 198,290 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2014-C19 |
| |||||||||||
4.23% | 03/15/47 | 412,226 | 329,343 | (b) | ||||||||
4.72% | 03/15/47 | 300,000 | 319,521 | (h) | ||||||||
WFRBS Commercial Mortgage Trust 2014-C22 |
| |||||||||||
3.91% | 09/15/57 | 532,045 | 377,016 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2014-C24 |
| |||||||||||
3.69% | 11/15/47 | 784,992 | 559,502 | (b) | ||||||||
WFRBS Commercial Mortgage Trust 2014-C25 |
| |||||||||||
3.80% | 11/15/47 | 95,000 | 68,493 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2014-LC14 |
| |||||||||||
4.35% | 03/15/47 | 544,000 | 590,834 | (h) | ||||||||
4.59% | 03/15/47 | 582,134 | 466,797 | (b,h) | ||||||||
WFRBS Commercial Mortgage Trust 2015-C31 |
| |||||||||||
3.85% | 11/15/48 | 102,974 | 71,626 | |||||||||
34,723,192 |
See Notes to Schedules of Investments and Notes to Financial Statements.
72
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
Principal Amount | Fair Value | |||||||||||
Sovereign Bonds — 1.1% |
| |||||||||||
Government of Colombia |
| |||||||||||
2.63% | 03/15/23 | $ | 327,000 | $ | 304,110 | |||||||
5.63% | 02/26/44 | 143,000 | 142,285 | |||||||||
Government of Mexico |
| |||||||||||
3.60% | 01/30/25 | 336,000 | 342,720 | (m) | ||||||||
4.00% | 10/02/23 | 214,000 | 224,165 | |||||||||
4.60% | 01/23/46 | 310,000 | 302,250 | (m) | ||||||||
4.75% | 03/08/44 | 466,000 | 464,835 | (m) | ||||||||
Government of Panama |
| |||||||||||
4.00% | 09/22/24 | 203,000 | 213,150 | |||||||||
Government of Peru |
| |||||||||||
4.13% | 08/25/27 | 129,000 | 135,128 | |||||||||
5.63% | 11/18/50 | 69,000 | 77,625 | |||||||||
Government of Philippines |
| |||||||||||
3.95% | 01/20/40 | 200,000 | 219,445 | |||||||||
4.20% | 01/21/24 | 200,000 | 225,683 | |||||||||
Government of Turkey |
| |||||||||||
3.25% | 03/23/23 | 296,000 | 278,979 | |||||||||
4.88% | 04/16/43 | 211,000 | 195,755 | |||||||||
3,126,130 | ||||||||||||
Municipal Bonds and Notes — 0.7% |
| |||||||||||
American Municipal Power Inc. |
| |||||||||||
6.27% | 02/15/50 | 295,000 | 357,390 | |||||||||
Municipal Electric Authority of Georgia |
| |||||||||||
6.64% | 04/01/57 | 336,000 | 418,411 | |||||||||
Port Authority of New York & New Jersey |
| |||||||||||
4.46% | 10/01/62 | 525,000 | 548,955 | |||||||||
South Carolina State Public Service Authority |
| |||||||||||
6.45% | 01/01/50 | 235,000 | 320,190 | |||||||||
State of California | ||||||||||||
5.70% | 11/01/21 | 290,000 | 345,361 |
Principal Amount | Fair Value | |||||||||||
State of Illinois | ||||||||||||
5.10% | 06/01/33 | $ | 130,000 | $ | 121,569 | |||||||
2,111,876 | ||||||||||||
FNMA (TBA) — 0.0%* |
| |||||||||||
Lehman TBA | ||||||||||||
5.50% | TBA | 216,625 | 12,781 | (k,o) | ||||||||
Total Bonds and Notes | 285,115,924 | |||||||||||
Number of Shares | Fair Value | |||||||||||
Domestic Equity — 0.1% | ||||||||||||
Preferred Stock — 0.1% | ||||||||||||
Wells Fargo & Co. | ||||||||||||
(Cost $326,100) | 13,044 | 343,840 | ||||||||||
Total Investments in Securities | 285,459,764 | |||||||||||
Short-Term Investments — 2.0% | ||||||||||||
State Street Institutional U.S. | 6,004,909 | (d,m,n) | ||||||||||
Total Investments | 291,464,673 | |||||||||||
Other Assets and Liabilities, | 1,919,201 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 293,383,874 | ||||||||||
|
|
Other Information: |
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract annual Fixed Rate | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Depreciation | |||||||||||||||||||||||||
Markit CDX North America High Yield Index | CME Group Inc. | $ | 17,782 | 5.00 | % | 12/20/20 | $ | (508,674 | ) | $ | (387,331 | ) | $ | (121,342 | ) |
See Notes to Schedules of Investments and Notes to Financial Statements.
73
Table of Contents
Income Fund
Schedule of Investments | March 31, 2016 (Unaudited) |
The Fund had the following long futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
U.S. Long Bond Futures | June 2016 | 5 | $ | 822,188 | $ | (6,150 | ) | ||||||||||
2 Yr. U.S. Treasury Notes Futures | June 2016 | 110 | 24,062,500 | (4,436 | ) | ||||||||||||
5 Yr. U.S. Treasury Notes Futures | June 2016 | 101 | 12,237,570 | 11,771 | |||||||||||||
|
| ||||||||||||||||
$ | 1,185 | ||||||||||||||||
|
|
The Fund had the following short futures contracts open at March 31, 2016:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | June 2016 | 4 | $ | (690,125 | ) | $ | (4,572 | ) | |||||||||
10 Yr. U.S. Treasury Notes Futures | June 2016 | 80 | (8,605,781 | ) | 25,509 | ||||||||||||
|
| ||||||||||||||||
$ | 20,937 | ||||||||||||||||
|
| ||||||||||||||||
$ | 22,122 | ||||||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
74
Table of Contents
Notes to Schedules of Investments | March 31, 2016 (Unaudited) |
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Funds’ future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Fund’s summary prospectus and the Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016, these securities amounted to $25,407,168 and $33,515,944 or 3.39% and 11.42% of the net assets of the GE Institutional Strategic Investment Fund and GE Institutional Income Fund, respectively. These securities have been determined to be liquid using procedures established by the Fund’s Board of Trustees. |
(c) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future. |
(d) | Coupon amount represents effective yield. |
(e) | State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(f) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder. |
(g) | Interest only security. These securities represent 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. |
(h) | Variable or floating rate security. The stated rate represents the rate at March 31, 2016. |
(i) | Step coupon bond. |
(j) | General Electric Co. is the parent company of GE Asset Management Incorporated (GEAM), the Fund’s investment adviser. |
(k) | Security is in default. |
(l) | Represents a payment-in-kind (PIK) security which may pay all or a portion of interest in additional par. |
(m) | At March 31, 2016, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBA’s. |
(n) | Sponsored by SSGA Funds Management, Inc., the S&P 500 Index Fund’s sub-advisor, and an affiliate of State Street Bank & Trust Co., the Funds’ sub-administrator, custodian and accounting agent. |
(o) | Security is fair valued by the Valuation Committee, in accordance with the procedures approved by the Board of Trustees. |
† | Percentages are based on net assets as of March 31, 2016. |
* | Less than 0.05%. |
** | Less than $0.50 |
*** | Less than 0.005%. |
Abbreviations:
ADR | — | American Depositary Receipt | ||
GDR | — | Global Depositary Receipt | ||
REIT | — | Real Estate Investment Trust | ||
REMIC | — | Real Estate Mortgage Investment Conduit | ||
SPDR | — | Standard and Poor’s Depositary Receipt | ||
STRIPS | — | Separate Trading of Registered Interest and Principal of Security | ||
TBA | — | To Be Announced |
75
Table of Contents
Selected data based on a share outstanding throughout the periods indicated
U.S. Equity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Class | Service Class | |||||||||||||||||||||||||||||||||||||||||||||||||
3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | 3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | |||||||||||||||||||||||||||||||||||||||
Inception date | — | — | — | — | — | 11/25/97 | — | — | — | — | — | 1/3/01 | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.46 | $ | 17.32 | $ | 15.59 | $ | 12.90 | $ | 10.07 | $ | 10.50 | $ | 15.06 | $ | 17.95 | $ | 15.96 | $ | 13.12 | $ | 10.24 | $ | 10.67 | ||||||||||||||||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.11 | * | 0.21 | * | 0.22 | * | 0.22 | * | 0.16 | * | 0.13 | 0.10 | * | 0.18 | * | 0.19 | * | 0.18 | * | 0.14 | * | 0.10 | * | |||||||||||||||||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.62 | * | (0.65) | * | 2.60 | * | 2.67 | * | 2.80 | * | (0.42) | 0.64 | * | (0.69) | * | 2.67 | * | 2.83 | * | 2.84 | * | (0.41) | * | |||||||||||||||||||||||||||
Total income/(loss) from investment operations | 0.73 | (0.44) | 2.82 | 2.89 | 2.96 | (0.29) | 0.74 | (0.51) | 2.86 | 3.01 | 2.98 | (0.31) | ||||||||||||||||||||||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.24 | 0.25 | 0.22 | 0.20 | 0.13 | 0.14 | 0.20 | 0.21 | — | 0.17 | 0.10 | 0.12 | ||||||||||||||||||||||||||||||||||||||
Net realized gains | 2.45 | 2.17 | 0.87 | — | — | — | 2.45 | 2.17 | 0.87 | — | — | — | ||||||||||||||||||||||||||||||||||||||
Total distributions | 2.69 | 2.42 | 1.09 | 0.20 | 0.13 | 0.14 | 2.65 | 2.38 | 0.87 | 0.17 | 0.10 | 0.12 | ||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 12.50 | $ | 14.46 | $ | 17.32 | $ | 15.59 | $ | 12.90 | $ | 10.07 | $ | 13.15 | $ | 15.06 | $ | 17.95 | $ | 15.96 | $ | 13.12 | $ | 10.24 | ||||||||||||||||||||||||||
TOTAL RETURN (a) | 4.90% | (3.57)% | 18.88% | 22.76% | 29.68% | (2.92)% | 4.76% | (3.83)% | 18.55% | 23.23% | 29.33% | (3.08)% | ||||||||||||||||||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 601,253 | $ | 615,024 | $ | 836,752 | $ | 767,603 | $ | 658,065 | $ | 522,532 | $ | 106 | $ | 104 | $ | 117 | $ | 84 | $ | 3,133 | $ | 2,402 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net expenses | 0.37% | ** | 0.37% | 0.36% | (b) | 0.36% | (b) | 0.36% | (b) | 0.36% | (b) | 0.62% | ** | 0.62% | 0.61% | (b) | 0.61% | (b) | 0.61% | (b) | 0.61% | (b) | ||||||||||||||||||||||||||||
Gross expenses | 0.37% | ** | 0.37% | 0.36% | 0.36% | 0.37% | 0.37% | 0.62% | ** | 0.62% | 0.61% | 0.61% | 0.62% | 0.62% | ||||||||||||||||||||||||||||||||||||
Net investment income | 1.70% | ** | 1.32% | 1.36% | 1.60% | 1.39% | 1.13% | 1.43% | ** | 1.07% | 1.11% | 1.33% | 1.14% | 0.87% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 25% | 41% | 38% | 37% | 71% | 44% | 25% | 41% | 38% | 37% | 71% | 44% |
See Notes to Financial Highlights and Notes to Financial Statements.
76
Table of Contents
S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Investment Class | Service Class | |||||||||||||||||||||||||||||||||||||||||||||||
3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | 3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | |||||||||||||||||||||||||||||||||||||
— | — | — | — | — | 11/25/97 | — | — | — | — | — | 9/30/05 | |||||||||||||||||||||||||||||||||||||
$ | 18.34 | | $ | 18.84 | $ | 16.01 | $ | 13.71 | $ | 10.91 | $ | 10.98 | $ | 18.69 | $ | 19.20 | $ | 16.31 | $ | 13.97 | $ | 10.86 | $ | 10.93 | ||||||||||||||||||||||||
0.20 | * | 0.37 | * | 0.32 | * | 0.30 | * | 0.26 | * | 0.23 | * | 0.18 | * | 0.33 | * | 0.28 | * | 0.27 | * | 0.22 | * | 0.20 | * | |||||||||||||||||||||||||
| 1.31 | * | (0.48) | * | 2.76 | * | 2.27 | * | 2.95 | * | (0.09) | * | 1.34 | * | (0.49) | * | 2.83 | * | 2.31 | * | 2.98 | * | (0.09) | * | ||||||||||||||||||||||||
| 1.51 | | (0.11) | 3.08 | 2.57 | 3.21 | 0.14 | 1.52 | (0.16) | 3.11 | 2.58 | 3.20 | 0.11 | |||||||||||||||||||||||||||||||||||
0.41 | 0.39 | 0.25 | 0.27 | 0.41 | 0.21 | 0.36 | 0.35 | 0.22 | 0.24 | 0.09 | 0.18 | |||||||||||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
0.41 | 0.39 | 0.25 | 0.27 | 0.41 | 0.21 | 0.36 | 0.35 | 0.22 | 0.24 | 0.09 | 0.18 | |||||||||||||||||||||||||||||||||||||
$ | 19.44 | | $ | 18.34 | $ | 18.84 | $ | 16.01 | $ | 13.71 | $ | 10.91 | $ | 19.85 | $ | 18.69 | $ | 19.20 | $ | 16.31 | $ | 13.97 | $ | 10.86 | ||||||||||||||||||||||||
8.25% | (0.68)% | 19.54% | 19.11% | 30.07% | 1.07% | 8.15% | (0.95)% | 19.28% | 18.81% | 29.65% | 0.88% | |||||||||||||||||||||||||||||||||||||
$ | 10,671 | | $ | 20,017 | $ | 32,326 | $ | 42,753 | $ | 31,997 | $ | 25,664 | $ | 7,798 | $ | 6,960 | $ | 7,150 | $ | 5,922 | $ | 4,496 | $ | 1,742 | ||||||||||||||||||||||||
0.16% | ** | 0.16% | 0.19% | (b) | 0.15% | (b) | 0.15% | (b) | 0.15% | (b) | 0.41% | ** | 0.41% | 0.44% | (b) | 0.40% | (b) | 0.40% | (b) | 0.36% | (b) | |||||||||||||||||||||||||||
0.16% | ** | 0.16% | 0.19% | 0.15% | 0.16% | 0.16% | 0.41% | ** | 0.41% | 0.44% | 0.40% | 0.41% | 0.40% | |||||||||||||||||||||||||||||||||||
2.06% | ** | 1.91% | 1.79% | 2.05% | 2.03% | 1.86% | 1.89% | ** | 1.65% | 1.52% | 1.80% | 1.76% | 1.60% | |||||||||||||||||||||||||||||||||||
7% | 7% | 16% | 2% | 11% | 4% | 7% | 7% | 16% | 2% | 11% | 4% |
See Notes to Financial Highlights and Notes to Financial Statements.
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Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
U.S. Large-Cap Core Equity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Class | Service Class | |||||||||||||||||||||||||||||||||||||||||||||||||
3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | 3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | |||||||||||||||||||||||||||||||||||||||
Inception date | — | — | — | — | — | 2/2/00 | — | — | — | — | — | 9/30/05 | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.85 | $ | 11.15 | $ | 11.64 | $ | 10.94 | $ | 8.76 | $ | 9.11 | $ | 8.77 | $ | 11.06 | $ | 11.56 | $ | 10.87 | $ | 8.71 | $ | 9.06 | ||||||||||||||||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.08 | 0.18 | 0.17 | 0.21 | 0.18 | 0.16 | * | 0.07 | 0.11 | 0.13 | 0.17 | 0.17 | 0.14 | * | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.37 | (0.62) | 1.73 | 1.94 | 2.25 | (0.35) | * | 0.36 | (0.57) | 1.73 | 1.94 | 2.22 | (0.35) | * | ||||||||||||||||||||||||||||||||||||
Total income/(loss) from investment operations | 0.45 | (0.44) | 1.90 | 2.15 | 2.43 | (0.19) | 0.43 | (0.46) | 1.86 | 2.11 | 2.39 | (0.21) | ||||||||||||||||||||||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.19 | 0.16 | 0.15 | 0.25 | 0.14 | 0.16 | 0.16 | 0.13 | 0.12 | 0.22 | 0.12 | 0.14 | ||||||||||||||||||||||||||||||||||||||
Net realized gains | 1.77 | 1.70 | 2.24 | 1.20 | 0.11 | — | 1.77 | 1.70 | 2.24 | 1.20 | 0.11 | — | ||||||||||||||||||||||||||||||||||||||
Total distributions | 1.96 | 1.86 | 2.39 | 1.45 | 0.25 | 0.16 | 1.93 | 1.83 | 2.36 | 1.42 | 0.23 | 0.14 | ||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 7.34 | $ | 8.85 | $ | 11.15 | $ | 11.64 | $ | 10.94 | $ | 8.76 | $ | 7.27 | $ | 8.77 | $ | 11.06 | $ | 11.56 | $ | 10.87 | $ | 8.71 | ||||||||||||||||||||||||||
TOTAL RETURN (a) | 5.35% | (5.31)% | 18.60% | 22.84% | 28.27% | (2.32)% | 5.21% | (5.51)% | 18.32% | 22.56% | 27.88% | (2.54)% | ||||||||||||||||||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 54,677 | $ | 59,483 | $ | 95,740 | $ | 90,668 | $ | 185,990 | $ | 159,556 | $ | 4,058 | $ | 4,117 | $ | 4,391 | $ | 3,583 | $ | 3,191 | $ | 2,769 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net expenses | 0.48% | ** | 0.43% | 0.43% | (b) | 0.43% | (b) | 0.39% | (b) | 0.39% | (b) | 0.73% | ** | 0.68% | 0.68% | (b) | 0.68% | (b) | 0.64% | (b) | 0.64% | (b) | ||||||||||||||||||||||||||||
Gross expenses | 0.48% | ** | 0.43% | 0.43% | 0.43% | 0.39% | 0.40% | 0.73% | ** | 0.68% | 0.68% | 0.68% | 0.64% | 0.65% | ||||||||||||||||||||||||||||||||||||
Net investment income | 1.70% | ** | 1.44% | 1.46% | 1.78% | 1.80% | 1.63% | 1.45% | ** | 1.20% | 1.21% | 1.44% | 1.55% | 1.37% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 33% | 48% | 45% | 44% | 83% | 44% | 33% | 48% | 45% | 44% | 83% | 44% |
See Notes to Financial Highlights and Notes to Financial Statements.
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Table of Contents
Premier Growth Equity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Investment Class | Service Class | |||||||||||||||||||||||||||||||||||||||||||||||
3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | 3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | |||||||||||||||||||||||||||||||||||||
— | — | — | — | — | 10/29/99 | — | — | — | — | — | 1/3/01 | |||||||||||||||||||||||||||||||||||||
$ | 13.61 | | $ | 14.96 | $ | 12.92 | $ | 10.83 | $ | 8.05 | $ | 8.03 | $ | 13.46 | $ | 14.82 | $ | 12.80 | $ | 10.74 | $ | 7.98 | $ | 7.95 | ||||||||||||||||||||||||
0.07 | * | 0.13 | * | 0.13 | * | 0.14 | * | 0.10 | * | 0.06 | * | 0.05 | * | 0.09 | * | 0.10 | * | 0.11 | * | 0.07 | * | 0.04 | * | |||||||||||||||||||||||||
| 0.83 | * | (0.11) | * | 2.38 | * | 2.09 | * | 2.77 | * | (0.01) | * | 0.82 | * | (0.12) | * | 2.36 | * | 2.07 | * | 2.76 | * | (0.01) | * | ||||||||||||||||||||||||
| 0.90 | | 0.02 | 2.51 | 2.23 | 2.87 | 0.05 | 0.87 | (0.03) | 2.46 | 2.18 | 2.83 | 0.03 | |||||||||||||||||||||||||||||||||||
0.14 | 0.13 | 0.11 | 0.14 | 0.09 | 0.03 | 0.11 | 0.09 | 0.08 | 0.12 | 0.07 | — | |||||||||||||||||||||||||||||||||||||
1.25 | 1.24 | 0.36 | — | — | — | 1.25 | 1.24 | 0.36 | — | — | — | |||||||||||||||||||||||||||||||||||||
1.39 | 1.37 | 0.47 | 0.14 | 0.09 | 0.03 | 1.36 | 1.33 | 0.44 | 0.12 | 0.07 | — | |||||||||||||||||||||||||||||||||||||
$ | 13.12 | $ | 13.61 | $ | 14.96 | $ | 12.92 | $ | 10.83 | $ | 8.05 | $ | 12.97 | $ | 13.46 | $ | 14.82 | $ | 12.80 | $ | 10.74 | $ | 7.98 | |||||||||||||||||||||||||
6.26% | (0.47)% | 19.80% | 20.85% | 35.95% | 0.64% | 6.08% | (0.77)% | 19.56% | 20.49% | 35.65% | 0.38% | |||||||||||||||||||||||||||||||||||||
$ | 317,391 | | $ | 334,227 | $ | 428,536 | $ | 369,286 | $ | 257,923 | $ | 221,273 | $ | 10,906 | $ | 5,820 | $ | 3,836 | $ | 3,216 | $ | 2,148 | $ | 1,692 | ||||||||||||||||||||||||
0.38% | ** | 0.38% | 0.37% | (b) | 0.38% | (b) | 0.38% | (b) | 0.38% | (b) | 0.63% | ** | 0.63% | 0.62% | (b) | 0.63% | (b) | 0.63% | (b) | 0.63% | (b) | |||||||||||||||||||||||||||
0.38% | ** | 0.38% | 0.37% | 0.38% | 0.38% | 0.38% | 0.63% | ** | 0.63% | 0.62% | 0.63% | 0.63% | 0.63% | |||||||||||||||||||||||||||||||||||
1.05% | ** | 0.89% | 0.94% | 1.20% | 0.98% | 0.66% | 0.76% | ** | 0.61% | 0.69% | 0.93% | 0.73% | 0.41% | |||||||||||||||||||||||||||||||||||
11% | 21% | 21% | 25% | 15% | 26% | 11% | 21% | 21% | 25% | 15% | 26% |
See Notes to Financial Highlights and Notes to Financial Statements.
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Table of Contents
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Small-Cap Equity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Class | Service Class | |||||||||||||||||||||||||||||||||||||||||||||||||
3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | 3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | |||||||||||||||||||||||||||||||||||||||
Inception date | — | — | — | — | — | 8/3/98 | — | — | — | — | — | 9/30/05 | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.18 | $ | 19.32 | $ | 20.19 | $ | 16.80 | $ | 13.05 | $ | 12.61 | $ | 17.21 | $ | 19.37 | $ | 20.27 | $ | 16.87 | $ | 13.11 | $ | 12.69 | ||||||||||||||||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.03 | * | 0.03 | * | 0.01 | * | 0.07 | * | 0.04 | 0.05 | 0.01 | * | (0.01) | * | (0.04) | * | 0.02 | * | 0.00 | (c) | 0.01 | * | ||||||||||||||||||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.77 | * | (0.08) | * | 1.12 | * | 4.69 | * | 3.86 | 0.40 | 0.77 | * | (0.08) | * | 1.12 | * | 4.72 | * | 3.87 | 0.41 | * | |||||||||||||||||||||||||||||
Total income/(loss) from investment operations | 0.80 | (0.05) | 1.13 | 4.76 | 3.90 | 0.45 | 0.78 | (0.09) | 1.08 | 4.74 | 3.87 | 0.42 | ||||||||||||||||||||||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.03 | 0.02 | 0.02 | 0.07 | 0.06 | 0.01 | 0.01 | — | — | 0.04 | 0.02 | — | ||||||||||||||||||||||||||||||||||||||
Net realized gains | 2.02 | 2.07 | 1.98 | 1.30 | 0.09 | — | 2.02 | 2.07 | 1.98 | 1.30 | 0.09 | — | ||||||||||||||||||||||||||||||||||||||
Total distributions | 2.05 | 2.09 | 2.00 | 1.37 | 0.15 | 0.01 | 2.03 | 2.07 | 1.98 | 1.34 | 0.11 | 0.00 | (c) | |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 15.93 | $ | 17.18 | $ | 19.32 | $ | 20.19 | $ | 16.80 | $ | 13.05 | $ | 15.96 | $ | 17.21 | $ | 19.37 | $ | 20.27 | $ | 16.87 | $ | 13.11 | ||||||||||||||||||||||||||
TOTAL RETURN (a) | 4.87% | (0.90)% | 5.61% | 30.57% | 30.03% | 3.53% | 4.71% | (1.12)% | 5.32% | 30.26% | 29.63% | 3.31% | ||||||||||||||||||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,179,358 | $ | 1,171,984 | $ | 1,264,304 | $ | 1,249,146 | $ | 966,702 | $ | 759,833 | $ | 1,822 | $ | 1,741 | $ | 71 | $ | 87 | $ | 44 | $ | 32 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net expenses | 0.89% | ** | 0.89% | 0.88% | (b) | 0.88% | (b) | 0.89% | (b) | 0.89% | (b) | 1.14% | ** | 1.14% | 1.13% | (b) | 1.13% | (b) | 1.14% | (b) | 1.13% | (b) | ||||||||||||||||||||||||||||
Gross expenses | 0.89% | ** | 0.89% | 0.88% | 0.89% | 0.90% | 0.89% | 1.14% | ** | 1.14% | 1.13% | 1.14% | 1.15% | 1.14% | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.38% | ** | 0.17% | 0.07% | 0.37% | 0.27% | 0.31% | 0.13% | ** | (0.07)% | (0.19)% | 0.09% | 0.04% | 0.07% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 20% | 40% | 37% | 37% | 36% | 46% | 20% | 40% | 37% | 37% | 36% | 46% |
See Notes to Financial Highlights and Notes to Financial Statements.
80
Table of Contents
International Equity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Investment Class | Service Class | |||||||||||||||||||||||||||||||||||||||||||||||
3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | 3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | |||||||||||||||||||||||||||||||||||||
— | — | — | — | — | 11/25/97 | — | — | — | — | — | 1/3/01 | |||||||||||||||||||||||||||||||||||||
$ | 11.41 | | $ | 12.72 | $ | 12.71 | $ | 10.68 | $ | 9.25 | $ | 10.90 | $ | 11.33 | $ | 12.62 | $ | 12.61 | $ | 10.59 | $ | 9.17 | $ | 10.80 | ||||||||||||||||||||||||
0.05 | * | 0.18 | * | 0.30 | * | 0.18 | * | 0.20 | * | 0.23 | 0.03 | * | 0.08 | * | 0.26 | * | 0.15 | * | 0.14 | * | 0.19 | |||||||||||||||||||||||||||
| 0.01 | * | (1.15) | * | (0.08) | * | 2.09 | * | 1.47 | * | (1.70) | 0.02 | * | (1.06) | * | (0.08) | * | 2.07 | * | 1.49 | * | (1.68) | ||||||||||||||||||||||||||
| 0.06 | | (0.97) | 0.22 | 2.27 | 1.67 | (1.47) | 0.05 | (0.98) | 0.18 | 2.22 | 1.63 | (1.49) | |||||||||||||||||||||||||||||||||||
0.18 | 0.34 | 0.21 | 0.24 | 0.24 | 0.18 | 0.14 | 0.31 | 0.17 | 0.20 | 0.21 | 0.14 | |||||||||||||||||||||||||||||||||||||
0.18 | 0.34 | 0.21 | 0.24 | 0.24 | 0.18 | 0.14 | 0.31 | 0.17 | 0.20 | 0.21 | 0.14 | |||||||||||||||||||||||||||||||||||||
$ | 11.29 | | $ | 11.41 | $ | 12.72 | $ | 12.71 | $ | 10.68 | $ | 9.25 | $ | 11.24 | $ | 11.33 | $ | 12.62 | $ | 12.61 | $ | 10.59 | $ | 9.17 | ||||||||||||||||||||||||
0.51% | (7.80)% | 1.69% | 21.57% | 18.43% | (13.83)% | 0.36% | (7.95)% | 1.42% | 21.19% | 18.11% | (14.01)% | |||||||||||||||||||||||||||||||||||||
$ | 1,247,473 | | $ | 1,284,412 | $ | 1,724,647 | $ | 1,836,243 | $ | 1,984,087 | $ | 1,876,948 | $ | 17,828 | $ | 19,562 | $ | 92,749 | $ | 101,204 | $ | 119,576 | $ | 344,024 | ||||||||||||||||||||||||
0.56% | ** | 0.56% | 0.56% | (b) | 0.56% | (b) | 0.56% | (b) | 0.55% | (b) | 0.81% | ** | 0.81% | 0.81% | (b) | 0.81% | (b) | 0.81% | (b) | 0.80% | (b) | |||||||||||||||||||||||||||
0.56% | ** | 0.56% | 0.56% | 0.56% | 0.56% | 0.56% | 0.81% | ** | 0.81% | 0.81% | 0.81% | 0.81% | 0.81% | |||||||||||||||||||||||||||||||||||
| 0.87% | ** | 1.38% | 2.29% | 1.57% | 2.03% | 1.95% | 0.59% | ** | 0.63% | 2.03% | 1.31% | 1.39% | 1.68% | ||||||||||||||||||||||||||||||||||
15% | 26% | 39% | 47% | 50% | 41% | 15% | 26% | 39% | 47% | 50% | 41% |
See Notes to Financial Highlights and Notes to Financial Statements.
81
Table of Contents
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Strategic Investment Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Class | Service Class | |||||||||||||||||||||||||||||||||||||||||||||||||
3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | 3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | |||||||||||||||||||||||||||||||||||||||
Inception date | — | — | — | — | — | 10/29/99 | — | — | — | — | — | 9/30/05 | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.91 | $ | 13.54 | $ | 13.09 | $ | 11.88 | $ | 10.23 | $ | 10.71 | $ | 11.81 | $ | 13.44 | $ | 12.99 | $ | 11.80 | $ | 10.17 | $ | 10.58 | ||||||||||||||||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.10 | * | 0.21 | * | 0.25 | * | 0.22 | * | 0.22 | * | 0.22 | 0.09 | * | 0.17 | * | 0.21 | * | 0.18 | * | 0.18 | * | 0.19 | * | |||||||||||||||||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.25 | * | (0.49) | * | 0.90 | * | 1.22 | * | 1.66 | * | (0.51) | 0.25 | * | (0.48) | * | 0.90 | * | 1.21 | * | 1.66 | * | (0.50) | * | |||||||||||||||||||||||||||
Total income/(loss) from investment operations | 0.35 | (0.28) | 1.15 | 1.44 | 1.88 | (0.29) | 0.34 | (0.31) | 1.11 | 1.39 | 1.84 | (0.31) | ||||||||||||||||||||||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.21 | 0.25 | 0.22 | 0.23 | 0.23 | 0.19 | 0.18 | 0.22 | 0.18 | 0.20 | 0.21 | 0.10 | ||||||||||||||||||||||||||||||||||||||
Net realized gains | 0.59 | 1.10 | 0.48 | — | — | — | 0.59 | 1.10 | 0.48 | — | — | — | ||||||||||||||||||||||||||||||||||||||
Total distributions | 0.80 | 1.35 | 0.70 | 0.23 | 0.23 | 0.19 | 0.77 | 1.32 | 0.66 | 0.20 | 0.21 | 0.10 | ||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 11.46 | $ | 11.91 | $ | 13.54 | $ | 13.09 | $ | 11.88 | $ | 10.23 | $ | 11.38 | $ | 11.81 | $ | 13.44 | $ | 12.99 | $ | 11.80 | $ | 10.17 | ||||||||||||||||||||||||||
TOTAL RETURN (a) | 2.99% | (2.46)% | 8.98% | 12.34% | 18.67% | (2.85)% | 2.92% | (2.72)% | 8.79% | 11.98% | 18.39% | (3.04)% | ||||||||||||||||||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 749,149 | $ | 754,367 | $ | 835,338 | $ | 827,998 | $ | 742,918 | $ | 629,230 | $ | 61 | $ | 60 | $ | 62 | $ | 57 | $ | 61 | $ | 34 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net expenses | 0.36% | ** | 0.36% | 0.35% | (b) | 0.34% | (b) | 0.34% | (b) | 0.34% | (b) | 0.61% | ** | 0.61% | 0.60% | (b) | 0.59% | (b) | 0.59% | (b) | 0.59% | (b) | ||||||||||||||||||||||||||||
Gross expenses | 0.36% | ** | 0.36% | 0.35% | 0.36% | 0.36% | 0.36% | 0.61% | ** | 0.61% | 0.60% | 0.61% | 0.61% | 0.61% | ||||||||||||||||||||||||||||||||||||
Net investment income | 1.78% | ** | 1.61% | 1.84% | 1.74% | 1.93% | 1.95% | 1.53% | ** | 1.36% | 1.60% | 1.48% | 1.69% | 1.70% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 48% | 144% | 185% | 153% | 188% | 187% | 48% | 144% | 185% | 153% | 188% | 187% |
See Notes to Financial Highlights and Notes to Financial Statements.
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Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Investment Class | Service Class | |||||||||||||||||||||||||||||||||||||||||||||||
3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | 3/31/16† | 9/30/15 | 9/30/14 | 9/30/13 | 9/30/12 | 9/30/11 | |||||||||||||||||||||||||||||||||||||
— | — | — | — | — | 11/21/97 | — | — | — | — | — | 9/30/05 | |||||||||||||||||||||||||||||||||||||
$ | 9.45 | | $ | 9.51 | $ | 9.34 | $ | 10.01 | $ | 9.73 | $ | 9.51 | $ | 9.66 | $ | 9.72 | $ | 9.55 | $ | 10.23 | $ | 9.94 | $ | 9.70 | ||||||||||||||||||||||||
0.14 | 0.25 | 0.26 | 0.21 | 0.25 | 0.34 | 0.13 | 0.23 | 0.24 | 0.19 | 0.24 | 0.32 | |||||||||||||||||||||||||||||||||||||
| 0.08 | | (0.05) | 0.17 | (0.32) | 0.44 | 0.22 | 0.09 | (0.05) | 0.17 | (0.33) | 0.44 | 0.24 | |||||||||||||||||||||||||||||||||||
| 0.22 | | 0.20 | 0.43 | (0.11) | 0.69 | 0.56 | 0.22 | 0.18 | 0.41 | (0.14) | 0.68 | 0.56 | |||||||||||||||||||||||||||||||||||
0.14 | 0.26 | 0.26 | 0.21 | 0.26 | 0.34 | 0.13 | 0.24 | 0.24 | 0.19 | 0.24 | 0.32 | |||||||||||||||||||||||||||||||||||||
0.09 | — | — | 0.35 | 0.15 | — | 0.09 | — | — | 0.35 | 0.15 | — | |||||||||||||||||||||||||||||||||||||
0.23 | 0.26 | 0.26 | 0.56 | 0.41 | 0.34 | 0.22 | 0.24 | 0.24 | 0.54 | 0.39 | 0.32 | |||||||||||||||||||||||||||||||||||||
$ | 9.44 | | $ | 9.45 | $ | 9.51 | $ | 9.34 | $ | 10.01 | $ | 9.73 | $ | 9.66 | $ | 9.66 | $ | 9.72 | $ | 9.55 | $ | 10.23 | $ | 9.94 | ||||||||||||||||||||||||
2.55% | 2.05% | 4.61% | (1.13)% | 7.28% | 6.01% | 2.40% | 1.81% | 4.32% | (1.40)% | 7.02% | 5.91% | |||||||||||||||||||||||||||||||||||||
$ | 293,138 | | $ | 291,252 | $ | 322,946 | $ | 341,603 | $ | 372,643 | $ | 375,669 | $ | 246 | $ | 248 | $ | 327 | $ | 316 | $ | 320 | $ | 306 | ||||||||||||||||||||||||
0.24% | ** | 0.23% | 0.23% | (b) | 0.21% | (b) | 0.21% | (b) | 0.20% | (b) | 0.49% | ** | 0.48% | 0.48% | (b) | 0.46% | (b) | 0.46% | (b) | 0.45% | (b) | |||||||||||||||||||||||||||
0.24% | ** | 0.23% | 0.23% | 0.23% | 0.23% | 0.23% | 0.49% | ** | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% | |||||||||||||||||||||||||||||||||||
3.01% | ** | 2.65% | 2.73% | 2.21% | 2.58% | 3.59% | 2.76% | ** | 2.40% | 2.47% | 2.00% | 2.33% | 3.33% | |||||||||||||||||||||||||||||||||||
88% | 297% | 308% | 348% | 403% | 393% | 88% | 297% | 308% | 348% | 403% | 393% |
See Notes to Financial Highlights and Notes to Financial Statements.
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Notes to Financial Highlights |
(a) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
(b) | Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund. |
(c) | Less than $0.005. |
† | Unaudited. |
* | Per share values have been calculated using the average share method. |
** | Annualized for periods less than one year. |
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[This page intentionally left blank.]
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(1) | Deposits at broker for futures contracts. |
The accompanying Notes are an integral part of these financial statements.
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Premier Growth Equity Fund | Small-Cap Equity Fund | International Equity Fund | Strategic Investment Fund | Income Fund | ||||||||||||||||||||
$ | 316,107,186 |
| $ | 1,120,146,619 | $ | 1,230,701,129 | $ | 669,599,197 | $ | 285,459,764 | ||||||||||||||
| — |
| — | — | — | — | ||||||||||||||||||
11,860,762 | 61,764,280 | 27,486,186 | 81,624,707 | 6,004,909 | ||||||||||||||||||||
— | 330,883 | 20,943 | 24,489 | 1,928 | ||||||||||||||||||||
— | 1,385,000 | 1,602,608 | 525,000 | — | ||||||||||||||||||||
| — |
| — | 773,330 | 90,250 | — | ||||||||||||||||||
1,357,585 | 3,878,196 | — | 1,597,276 | 1,424,555 | ||||||||||||||||||||
160,575 | 905,923 | 6,085,717 | 2,564,122 | 1,950,040 | ||||||||||||||||||||
46,829 | 26,978 | 10,095 | 13,990 | 46,365 | ||||||||||||||||||||
— | 50,948 | — | 10,680 | — | ||||||||||||||||||||
5,719 | 19,399 | 22,555 | 12,830 | 5,086 | ||||||||||||||||||||
329,538,656 | 1,188,508,226 | 1,266,702,563 | 756,062,541 | 294,892,647 | ||||||||||||||||||||
1,021,281 | 5,392,577 | — | 6,061,167 | 1,321,203 | ||||||||||||||||||||
111,317 | 1,077,205 | 747,031 | 536,478 | 76,395 | ||||||||||||||||||||
— | — | — | 32,467 | 41,797 | ||||||||||||||||||||
7,401 | — | 65,521 | — | 12,983 | ||||||||||||||||||||
101,742 | 858,900 | 589,817 | 222,694 | 56,395 | ||||||||||||||||||||
1,241,741 | 7,328,682 | 1,402,369 | 6,852,806 | 1,508,773 | ||||||||||||||||||||
$ | 328,296,915 | $ | 1,181,179,544 | $ | 1,265,300,194 | $ | 749,209,735 | $ | 293,383,874 | |||||||||||||||
$ | 260,504,211 | $ | 1,058,011,325 | $ | 1,493,036,532 | $ | 726,095,917 | $ | 293,787,675 | |||||||||||||||
673,996 | 809,158 | 4,349,353 | 3,533,715 | 247,059 | ||||||||||||||||||||
16,072,183 | 11,362,504 | (200,737,460 | ) | (3,512,049 | ) | (2,789,058 | ) | |||||||||||||||||
50,963,140 | 110,381,566 | (31,225,746 | ) | 22,540,833 | 2,237,418 | |||||||||||||||||||
83,385 | 614,991 | (95,057 | ) | 639,823 | 22,122 | |||||||||||||||||||
— | — | — | (88,292 | ) | (121,342 | ) | ||||||||||||||||||
— | — | (27,428 | ) | (212 | ) | — | ||||||||||||||||||
$ | 328,296,915 | $ | 1,181,179,544 | $ | 1,265,300,194 | $ | 749,209,735 | $ | 293,383,874 | |||||||||||||||
$317,391,161 | $1,179,357,788 | $1,247,472,625 | $749,149,026 | $293,137,828 | ||||||||||||||||||||
24,193,955 | 74,046,392 | 110,528,653 | 65,360,111 | 31,036,424 | ||||||||||||||||||||
$13.12 | $15.93 | $11.29 | $11.46 | $9.44 | ||||||||||||||||||||
$10,905,754 | $1,821,756 | $17,827,569 | $60,709 | $246,046 | ||||||||||||||||||||
840,614 | 114,138 | 1,586,234 | 5,337 | 25,468 | ||||||||||||||||||||
$12.97 | $15.96 | $11.24 | $11.38 | $9.66 |
The accompanying Notes are an integral part of these financial statements.
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For the period ended March 31, 2016 (Unaudited) | U.S. Equity Fund | S&P 500 Index Fund | U.S. Large-Cap Core Equity Fund | ||||||||||||
INVESTMENT INCOME | |||||||||||||||
Income | |||||||||||||||
Dividend | $ | 6,290,011 | $ | 254,748 | $ | 663,532 | |||||||||
Interest | 13,744 | 678 | 1,449 | ||||||||||||
Income from affiliated investments | — | 5,241 | — | ||||||||||||
Less: Foreign taxes withheld | (4,570 | ) | (17 | ) | (404 | ) | |||||||||
Total income | 6,299,185 | 260,650 | 664,577 | ||||||||||||
Expenses | |||||||||||||||
Advisory and administration fees | 1,104,466 | 17,423 | 144,208 | ||||||||||||
Distribution and service: | |||||||||||||||
Service Class | 150 | 9,246 | 5,152 | ||||||||||||
Trustees’ fees | 19,776 | 751 | 2,280 | ||||||||||||
Other expenses | 18 | 22 | 4 | ||||||||||||
Total expenses | 1,124,410 | 27,442 | 151,644 | ||||||||||||
Net investment income | $ | 5,174,775 | $ | 233,208 | $ | 512,933 | |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||||||||||||||
Realized gain (loss) on: | |||||||||||||||
Investments | $ | 14,775,970 | $ | 4,027,716 | $ | (333,556 | ) | ||||||||
Affiliated investments | — | 78,196 | — | ||||||||||||
Futures | (921,858 | ) | 37,406 | 118,632 | |||||||||||
Swap contracts | — | — | — | ||||||||||||
Foreign currency transactions | 39 | — | 3 | ||||||||||||
Increase (decrease) in unrealized appreciation/depreciation on: |
| ||||||||||||||
Investments | 10,684,157 | (2,336,139 | ) | 2,916,909 | |||||||||||
Futures | 263,454 | 66,715 | (5,784 | ) | |||||||||||
Swap contracts | — | — | — | ||||||||||||
Foreign currency translations | 205 | — | 18 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 24,801,967 | 1,873,894 | 2,696,222 | ||||||||||||
Net increase in net assets resulting from operations | $ | 29,976,742 | $ | 2,107,102 | $ | 3,209,155 |
The accompanying Notes are an integral part of these financial statements.
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Premier Growth Equity Fund | Small-Cap Equity Fund | International Equity Fund | Strategic Investment Fund | Income Fund | ||||||||||||||||||||
$ | 2,466,036 | $ | 7,352,550 | $ | 10,270,592 | $ | 4,271,953 | $ | 12,676 | |||||||||||||||
8,195 | 48,467 | 19,510 | 3,899,749 | 4,693,818 | ||||||||||||||||||||
— | — | — | — | — | ||||||||||||||||||||
— | (21,940 | ) | (1,008,912 | ) | (125,430 | ) | — | |||||||||||||||||
2,474,231 | 7,379,077 | 9,281,190 | 8,046,272 | 4,706,494 | ||||||||||||||||||||
642,315 | 5,126,435 | 3,617,778 | 1,335,089 | 333,935 | ||||||||||||||||||||
10,693 | 2,214 | 23,635 | 75 | 307 | ||||||||||||||||||||
10,119 | 35,681 | 41,277 | 23,308 | 9,173 | ||||||||||||||||||||
1,661 | 260 | 100 | 14 | 11 | ||||||||||||||||||||
664,788 | 5,164,590 | 3,682,790 | 1,358,486 | 343,426 | ||||||||||||||||||||
$ | 1,809,443 | $ | 2,214,487 | $ | 5,598,400 | $ | 6,687,786 | $ | 4,363,068 | |||||||||||||||
$ | 21,092,982 | $ | 31,002,708 | $ | (10,480,931 | ) | $ | 2,281,179 | $ | (214,729 | ) | |||||||||||||
— | — | — | — | — | ||||||||||||||||||||
838,307 | (953,331 | ) | 6,949,329 | (211,573 | ) | (676,346 | ) | |||||||||||||||||
— | — | — | 80,980 | 136,195 | ||||||||||||||||||||
— | — | (336,813 | ) | (13,625 | ) | — | ||||||||||||||||||
(2,272,989 | ) | 21,966,580 | 4,292,317 | 12,451,124 | 3,071,196 | |||||||||||||||||||
18,995 | 1,445,259 | 215,002 | 1,046,478 | 377,279 | ||||||||||||||||||||
— | — | — | 112,483 | 115,902 | ||||||||||||||||||||
— | — | 75,560 | 8,196 | — | ||||||||||||||||||||
19,677,295 | 53,461,216 | 714,464 | 15,755,242 | 2,809,497 | ||||||||||||||||||||
$ | 21,486,738 | $ | 55,675,703 | $ | 6,312,864 | $ | 22,443,028 | $ | 7,172,565 |
The accompanying Notes are an integral part of these financial statements.
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* | (Unaudited). |
** | Includes $53,149,863 of net realized gains from redemptions in-kind. |
The accompanying Notes are an integral part of these financial statements.
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U.S. Large-Cap Core Equity Fund | Premier Growth Equity Fund | Small-Cap Equity Fund | |||||||||||||||||||||||||||
Six Months 2016* | Year Ended September 30, 2015 | Six Months Ended March 31, 2016* | Year Ended September 30, 2015 | Six Months Ended March 31, 2016* | Year Ended September 30, 2015 | ||||||||||||||||||||||||
$ | 512,933 | $ | 1,317,080 | $ | 1,809,443 | $ | 3,476,376 | $ | 2,214,487 | $ | 2,176,128 | ||||||||||||||||||
| (214,921 | ) | 12,395,598 | 21,931,289 | 81,687,620 | ** | 30,049,377 | 131,806,056 | |||||||||||||||||||||
| 2,911,143 |
| (15,671,708 | ) | (2,253,994 | ) | (82,804,737 | ) | 23,411,839 | (140,276,190 | ) | ||||||||||||||||||
3,209,155 | (1,959,030 | ) | 21,486,738 | 2,359,259 | 55,675,703 | (6,294,006 | ) | ||||||||||||||||||||||
(1,156,540 | ) | (1,342,057 | ) | (3,274,744 | ) | (3,720,776 | ) | (2,263,681 | ) | (1,374,532 | ) | ||||||||||||||||||
(76,196 | ) | (52,746 | ) | (49,836 | ) | (26,469 | ) | (981 | ) | — | |||||||||||||||||||
(11,092,379 | ) | (14,455,771 | ) | (29,010,695 | ) | (35,918,312 | ) | (135,317,625 | ) | (132,249,163 | ) | ||||||||||||||||||
(837,244 | ) | (683,259 | ) | (575,259 | ) | (346,446 | ) | (207,202 | ) | (7,659 | ) | ||||||||||||||||||
(13,162,359 | ) | (16,533,833 | ) | (32,910,534 | ) | (40,012,003 | ) | (137,789,489 | ) | (133,631,354 | ) | ||||||||||||||||||
| (9,953,204 | ) | (18,492,863 | ) | (11,423,796 | ) | (37,652,744 | ) | (82,113,786 | ) | (139,925,360 | ) | |||||||||||||||||
1,693,843 | 10,054,919 | 42,487,693 | 106,044,404 | 23,751,659 | 84,339,060 | ||||||||||||||||||||||||
146,321 | 516,762 | 5,780,897 | 3,538,979 | 166,949 | 1,899,623 | ||||||||||||||||||||||||
12,245,160 | 15,793,694 | 32,115,120 | 38,382,651 | 137,581,306 | 133,620,989 | ||||||||||||||||||||||||
913,420 | 735,986 | 624,951 | 372,773 | 208,183 | 7,659 | ||||||||||||||||||||||||
(9,502,653 | ) | (44,589,061 | ) | (80,271,403 | ) | (201,640,905 | ) | (71,973,479 | ) | (170,538,400 | ) | ||||||||||||||||||
(407,267 | ) | (551,232 | ) | (1,063,386 | ) | (1,370,477 | ) | (166,764 | ) | (53,119 | ) | ||||||||||||||||||
5,088,824 | (18,038,932 | ) | (326,128 | ) | (54,672,575 | ) | 89,567,854 | 49,275,812 | |||||||||||||||||||||
(4,864,380 | ) | (36,531,795 | ) | (11,749,924 | ) | (92,325,319 | ) | 7,454,068 | (90,649,548 | ) | |||||||||||||||||||
63,599,563 | 100,131,358 | 340,046,839 | 432,372,158 | 1,173,725,476 | 1,264,375,024 | ||||||||||||||||||||||||
$ | 58,735,183 | $ | 63,599,563 | $ | 328,296,915 | $ | 340,046,839 | $ | 1,181,179,544 | $ | 1,173,725,476 | ||||||||||||||||||
$ | 266,544 |
| $ | 986,347 | $ | 673,996 | $ | 2,189,133 | $ | 809,158 | $ | 859,333 | |||||||||||||||||
217,960 | 1,007,527 | 3,165,574 | 7,079,612 | 1,477,123 | 4,486,265 | ||||||||||||||||||||||||
1,688,988 | 1,641,756 | 2,368,372 | 2,645,255 | 8,779,917 | 7,301,693 | ||||||||||||||||||||||||
(1,177,311 | ) | (4,511,311 | ) | (5,906,149 | ) | (13,797,090 | ) | (4,436,785 | ) | (9,002,090 | ) | ||||||||||||||||||
729,637 | (1,862,028 | ) | (372,203 | ) | (4,072,223 | ) | 5,820,255 | 2,785,868 | |||||||||||||||||||||
18,926 | 53,845 | 440,637 | 237,641 | 10,627 | 99,952 | ||||||||||||||||||||||||
127,040 | 77,067 | 46,568 | 25,923 | 13,243 | 417 | ||||||||||||||||||||||||
(57,104 | ) | (58,177 | ) | (79,024 | ) | (90,000 | ) | (10,935 | ) | (2,852 | ) | ||||||||||||||||||
88,862 | 72,735 | 408,181 | 173,564 | 12,935 | 97,517 |
The accompanying Notes are an integral part of these financial statements.
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Statements of Changes in Net Assets | International Equity Fund | |||||||||
Six Months March 31, | Year Ended September 30, 2015 | |||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
Operations: | ||||||||||
Net investment income | $ | 5,598,400 | $ | 21,421,320 | ||||||
Net realized gain (loss) on investments, futures, swaps contracts and foreign currency transactions | (3,868,415 | ) | 110,110,756 | |||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swaps contracts and foreign currency translations | 4,582,879 | (233,019,206 | ) | |||||||
Net increase (decrease) from operations | 6,312,864 | (101,487,130 | ) | |||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Investment Class | (20,487,258 | ) | (40,074,208 | ) | ||||||
Service Class | (228,586 | ) | (2,200,814 | ) | ||||||
Net realized gains | ||||||||||
Investment Class | — | — | ||||||||
Service Class | — | — | ||||||||
Total distributions | (20,715,844 | ) | (42,275,022 | ) | ||||||
Increase (decrease) in assets from operations and distributions | (14,402,980 | ) | (143,762,152 | ) | ||||||
Share transactions: | ||||||||||
Proceeds from sale of shares | ||||||||||
Investment Class | 28,929,785 | 88,160,235 | ||||||||
Service Class | 64,323 | 423,186 | ||||||||
Value of distributions reinvested | ||||||||||
Investment Class | 20,486,760 | 39,960,532 | ||||||||
Service Class | 228,335 | 2,200,320 | ||||||||
Cost of shares redeemed | ||||||||||
Investment Class | (72,129,438 | ) | (425,151,525 | ) | ||||||
Service Class | (1,851,218 | ) | (75,251,629 | ) | ||||||
Net increase (decrease) from share transactions | (24,271,453 | ) | (369,658,881 | ) | ||||||
Total increase (decrease) in net assets | (38,674,433 | ) | (513,421,033 | ) | ||||||
NET ASSETS | ||||||||||
Beginning of period | 1,303,974,627 | 1,817,395,660 | ||||||||
End of period | $ | 1,265,300,194 | $ | 1,303,974,627 | ||||||
Undistributed (distributions in excess of) net investment income, end of period | $ | 4,349,353 | $ | 19,466,797 | ||||||
CHANGES IN FUND SHARES | ||||||||||
Investment Class | ||||||||||
Shares sold | 2,536,058 | 6,898,008 | ||||||||
Issued for distributions reinvested | 1,754,003 | 3,288,933 | ||||||||
Shares redeemed | (6,304,114 | ) | (33,274,173 | ) | ||||||
Net increase (decrease) in fund shares | (2,014,053 | ) | (23,087,232 | ) | ||||||
Service Class | ||||||||||
Shares sold | 5,722 | 32,902 | ||||||||
Issued for distributions reinvested | 19,616 | 181,995 | ||||||||
Shares redeemed | (165,280 | ) | (5,835,339 | ) | ||||||
Net increase (decrease) in fund shares | (139,942 | ) | (5,620,442 | ) |
* | (Unaudited). |
The accompanying Notes are an integral part of these financial statements.
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Strategic Investment Fund | Income Fund | ||||||||||||||||||
Six Months Ended March 31, 2016* | Year Ended September 30, 2015 | Six Months Ended March 31, 2016* | Year Ended September 30, 2015 | ||||||||||||||||
$ | 6,687,786 | $ | 13,136,228 | $ | 4,363,068 | $ | 8,213,587 | ||||||||||||
| 2,136,961 |
| 38,111,815 | (754,880 | ) | 2,673,620 | |||||||||||||
| 13,618,281 |
| (68,993,007 | ) | 3,564,377 | (3,747,989 | ) | ||||||||||||
22,443,028 | (17,744,964 | ) | 7,172,565 | 7,139,218 | |||||||||||||||
(13,184,321 | ) | (15,273,876 | ) | (4,435,229 | ) | (8,238,729 | ) | ||||||||||||
(905 | ) | (1,030 | ) | (3,449 | ) | (7,616 | ) | ||||||||||||
(36,971,641 | ) | (66,200,278 | ) | (2,849,874 | ) | — | |||||||||||||
(2,964 | ) | (5,115 | ) | (2,372 | ) | — | |||||||||||||
(50,159,831 | ) | (81,480,299 | ) | (7,290,924 | ) | (8,246,345 | ) | ||||||||||||
(27,716,803 | ) | (99,225,263 | ) | (118,359 | ) | (1,107,127 | ) | ||||||||||||
17,463,757 | 60,984,889 | 27,990,578 | 78,967,884 | ||||||||||||||||
225 | 250 | 663 | 4,700 | ||||||||||||||||
50,155,750 | 81,473,065 | 7,276,495 | 8,186,024 | ||||||||||||||||
3,427 | 5,390 | 5,821 | 7,616 | ||||||||||||||||
(45,123,219 | ) | (124,210,613 | ) | (33,262,594 | ) | (117,742,658 | ) | ||||||||||||
(1,070 | ) | (25 | ) | (8,234 | ) | (89,998 | ) | ||||||||||||
22,498,870 | 18,252,956 | 2,002,729 | (30,666,432 | ) | |||||||||||||||
(5,217,933 | ) | (80,972,307 | ) | 1,884,370 | (31,773,559 | ) | |||||||||||||
754,427,668 | 835,399,975 | 291,499,504 | 323,273,063 | ||||||||||||||||
$ | 749,209,735 | $ | 754,427,668 | $ | 293,383,874 | $ | 291,499,504 | ||||||||||||
$ | 3,533,715 | $ | 10,031,155 | $ | 247,059 | $ | 322,669 | ||||||||||||
1,497,948 | 4,767,694 | 2,993,815 | 8,248,670 | ||||||||||||||||
4,399,627 | 6,575,711 | 779,682 | 853,674 | ||||||||||||||||
(3,894,454 | ) | (9,660,957 | ) | (3,563,838 | ) | (12,247,001 | ) | ||||||||||||
2,003,121 | 1,682,448 | 209,659 | (3,144,657 | ) | |||||||||||||||
22 | 19 | 69 | 482 | ||||||||||||||||
302 | 438 | 610 | 777 | ||||||||||||||||
(87 | ) | (2 | ) | (865 | ) | (9,284 | ) | ||||||||||||
237 | 455 | (186 | ) | (8,025 | ) |
The accompanying Notes are an integral part of these financial statements.
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1. | Organization of the Funds |
GE Institutional Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was organized as a Delaware business trust on May 23, 1997, and is authorized to issue an unlimited number of shares. It is currently comprised of ten investment funds (each a “Fund” and collectively the “Funds”), although only the following eight Funds are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, U.S. Large-Cap Core Equity Fund, Premier Growth Equity Fund, Small-Cap Equity Fund, International Equity Fund, Strategic Investment Fund and Income Fund. The Funds presently offer two classes of shares — the Investment Class and the Service Class. The Trust expects that most of the time, each Fund will have relatively few shareholders (as compared with most mutual funds), but that these shareholders will invest substantial amounts in a Fund (minimum initial investment requirements are described in the current summary prospectus for each Fund and in the Funds’ statutory prospectus). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies.
2. | Summary of Significant Accounting Policies |
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.
Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. There are no items to report.
The following summarizes the significant accounting policies of the Trust.
Securities Valuation and Transactions All investments in securities are recorded at their estimated fair value, as described in Note 3.
Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.
Each Fund’s income, expenses (other than distribution and service fees) and realized and unrealized gains and losses are allocated proportionally each day among the share classes based upon the relative net assets of each class.
Foreign Currency Accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of such transactions.
All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m. Eastern time.
The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the year. Such fluctuations are included in the net realized or unrealized gain or loss from investments. Net realized gains or losses on foreign currency transactions represent net gains or losses on sales and maturities of foreign currency contracts, disposition of foreign currencies, the difference between the amount of net investment income and withholding taxes accrued and the U.S. dollar amount actually received or paid, and gains or losses between the trade and settlement date on purchases and sales of foreign securities. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities (including foreign currencies and open foreign currency contracts) as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/depreciation on foreign currency related transactions.
Derivatives The Funds are subject to equity price risk, interest rate risk, credit risk and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. Certain Funds may enter into various types of derivatives transactions (such as options, futures, options on futures, interest rate futures, interest-
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only swaps, interest rate swaps, index swaps and credit default swaps) to gain or hedge exposure to certain types of securities as an alternative to investing directly in or selling such securities, or to manage: yield, interest rate exposure (also known as duration), exposure to credit quality, and to gain exposure to certain market segments.
Futures Contracts A futures contract is an agreement to buy or sell a specific amount of a commodity, financial instrument, currency or index at a particular price and future date. Certain Funds may invest in interest rate, financial and stock or bond index futures contracts subject to certain limitations. During the six-month period ended March 31, 2016, the U.S. Equity Fund, S&P 500 Index Fund, U.S. Large-Cap Core Equity Fund, Premier Growth Equity Fund, Small-Cap Equity Fund and International Equity Fund invested in stock index future contracts to gain equity exposure for accumulating and residual cash positions. The Strategic Investment Fund invested in futures contracts on various stock indices, bonds and notes to gain equity exposure and to manage duration of fixed income securities. The Income Fund invested in futures contracts on bonds and notes to manage duration of fixed income securities. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. With futures contracts, there is minimal counterparty credit risk to a Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.
Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuation in the fair value of the underlying security. A Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions
move unexpectedly, a Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. A Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.
Credit Default Swaps During the six-month period ended March 31, 2016, the Strategic Investment Fund and Income Fund engaged in credit default swaps to manage credit risk. When a Fund is the buyer in a credit default swap contract, a Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, a Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, a Fund loses its investment and recovers nothing. However, if a credit event occurs, a Fund receives full notional value for a referenced debt obligation that may have little or no value. When a Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, a Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that a Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by a Fund for the same referenced obligation. As the seller, a Fund may create economic leverage to its portfolio because, in addition to its total net assets, a Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded
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as realized gain upon receipt or realized loss upon payment. A Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. A Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. A Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if a Fund had invested in the referenced debt obligation directly. If a Fund is a buyer of a credit default swap and no credit event occurs, a Fund will not earn any return on its investment. If a Fund is a seller of a credit default swap, a Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject a Fund to the risk that the counterparty to the transaction may not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
When-Issued Securities and Forward Commitments The Strategic Investment Fund and Income Fund may purchase or sell securities on a when issued or forward commitment basis. These transactions are arrangements in which a Fund purchases and sells securities with payment and delivery scheduled a month or more after entering into the transaction. The price of the underlying securities and the date when these securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the commitments. In connection with such purchases, a Fund maintains cash or liquid assets in an amount equal to the purchase commitments for such underlying securities until settlement date and for sales
commitments a Fund maintains equivalent deliverable securities as “cover” for the transaction. Unsettled commitments are valued at the current market value of the underlying security. Daily fluctuations in the value of such commitments are recorded as unrealized gains or losses. The Funds will not enter into such commitments for the purpose of investment leverage.
Forward Foreign Currency Exchange Contracts Certain Funds may enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage currency exposure. Forward foreign currency exchange contracts are valued at the mean between the bid and the offered forward rates as last quoted by a recognized dealer. The aggregate principal amounts of the contracts are not recorded in a Fund’s financial statements. Such amounts appear under the caption Forward Foreign Currency Contracts in the Schedules of Investments. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (or liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains or losses on foreign currency related transactions. A Fund’s risks in using these contracts include changes in the value of foreign currency or the possibility that the counterparties do not perform under the contracts’ terms. When a Fund enters into a forward foreign currency exchange contract, it is required to segregate cash or liquid securities with its custodian in an amount equal to the value of a Fund’s total assets committed to the consummation of the forward contract. If the value of the segregated securities declines, additional cash or securities are segregated so that the value of the account will equal the amount of a Fund’s commitment with respect to the contract.
Investments in Foreign Markets Investments in foreign markets involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, restrictions on repatriation of income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, tariffs and taxes, subject to delays in settlements, and their prices may be more volatile.
A Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests.
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Such taxes are generally based upon income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as income and/or capital gains are earned.
Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available. Withholding taxes on foreign dividends, if any, have been provided for in accordance with a Fund’s understanding of the applicable country’s tax rules and rates. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.
Expenses Each Fund pays a “unitary fee” to GEAM equivalent to the Fund’s advisory and administration fee. This fee includes any normal operating expenses payable by a Fund, except for fees paid to the Trust’s independent Trustees, distribution and shareholder servicing fees, brokerage fees and commissions and expenses that are not normal operating expenses of the Funds (such as extraordinary expenses, interest and taxes).
Federal Income Taxes The Funds intend to comply with all sections of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies including the distribution of substantially all of their taxable net investment income, tax-exempt income and net realized capital gains to their shareholders. Therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes.
3. | Security Valuation and Transactions |
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the
measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.
Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:
Level 1 – Quoted prices for identical investments in active markets.
Level 2 – Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
Level 3 – Significant inputs to the valuation model are unobservable.
Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.
Fair Value Measurement The following section describes the valuation methodologies the Funds use to measure different financial investments at fair value.
A Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price. Level 1 securities primarily include publicly-traded equity securities, which may not necessarily represent the last sales price. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances, the Fund typically classifies the investment securities in Level 2.
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Debt securities (other than short-term securities described below) generally are valued at an evaluated bid price as reported by independent pricing services. The pricing services use various pricing models for each asset class. The inputs and assumptions to the model of the pricing services are derived from market observable sources, which may include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers and other market related data. Since many fixed income securities do not trade on a daily basis, the methodology of the pricing service may also use other available information such as benchmark curves, benchmarking of similar securities, sector groupings and matrix pricing, as applicable. Thus, certain securities may not be priced using market quotations, but rather determined from market observable information. These investments are included in Level 2 and are primarily comprised of corporate fixed income, government, mortgage and asset-backed securities. In the absence of a reliable bid price from such a pricing service, debt securities may be valued based on broker or dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Funds with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified as Level 3.
A Fund may use non-binding broker or dealer quotes for valuation when there is limited or no relevant market activity for a specific investment or for other investments that share similar characteristics and a price is not provided by a pricing service or is deemed not to be reliable. The Funds have not adjusted the prices obtained. Investment securities priced using non-binding broker or dealer quotes are included in Level 3.
Investments in registered investment companies are valued at the published daily net asset value (“NAV”) and classified in Level 1.
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Funds with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.
If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Funds’ Board of Trustees that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of any Fund in the appropriate circumstances.
Foreign securities may be valued with the assistance of an independent fair value pricing service in circumstances where it is believed that they have been or would be materially affected by events occurring after the close of the portfolio security’s primary market and before the close of regular trading on the New York Stock Exchange. In these circumstances, the Funds classify the investment securities in Level 2. This independent fair value pricing service uses a proprietary model to identify affected securities, taking into consideration various factors, and the fair value of such securities may be something other than the last available quotation or other market price.
All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m. Eastern time.
Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of a Fund’s NAV.
The value established for such a portfolio security valued other than by use of a market quotation (as described above) may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time and it is
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possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.
Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps and written options contracts, which are valued based on fair value as discussed above.
The Funds use closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the-counter markets. Derivative assets and liabilities
included in Level 2 primarily represent interest rate swaps, cross-currency swaps, credit default swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following tables present each Fund’s investments measured at fair value on a recurring basis at March 31, 2016:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
U.S. Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 575,990,435 | $ | — | $ | — | $ | 575,990,435 | ||||||||||
Exchange Traded Funds | 9,272,468 | — | — | 9,272,468 | ||||||||||||||
Short-Term Investments | 15,870,954 | — | — | 15,870,954 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 601,133,857 | $ | — | $ | — | $ | 601,133,857 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 62,203 | $ | — | $ | — | $ | 62,203 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
S&P 500 Index Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 17,488,835 | $ | — | $ | — | $ | 17,488,835 | ||||||||||
Short-Term Investments | 910,779 | — | — | 910,779 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 18,399,614 | $ | — | $ | — | $ | 18,399,614 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 20,272 | $ | — | $ | — | $ | 20,272 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
U.S. Large-Cap Core Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 57,131,626 | $ | — | $ | — | $ | 57,131,626 | ||||||||||
Exchange Traded Funds | 1,007,649 | — | — | 1,007,649 | ||||||||||||||
Short-Term Investments | 740,121 | — | — | 740,121 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 58,879,396 | $ | — | $ | — | $ | 58,879,396 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Depreciation | $ | (338 | ) | $ | — | $ | — | $ | (338 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||||
Premier Growth Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 316,107,186 | $ | — | $ | — | $ | 316,107,186 | ||||||||||
Short-Term Investments | 11,860,762 | — | — | 11,860,762 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 327,967,948 | $ | — | $ | — | $ | 327,967,948 | ||||||||||
|
|
|
|
|
|
|
|
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Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 83,385 | $ | — | $ | — | $ | 83,385 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Small-Cap Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 1,120,146,619 | $ | — | $ | — | $ | 1,120,146,619 | ||||||||||
Short-Term Investments | 61,764,280 | — | — | 61,764,280 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,181,910,899 | $ | — | $ | — | $ | 1,181,910,899 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 614,991 | $ | — | $ | — | $ | 614,991 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
International Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 1,230,701,129 | $ | — | $ | — | $ | 1,230,701,129 | ||||||||||
Short-Term Investments | 27,486,186 | — | — | 27,486,186 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,258,187,315 | $ | — | $ | — | $ | 1,258,187,315 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 25,983 | $ | — | $ | — | $ | 25,983 | ||||||||||
Long Futures Contracts — Unrealized Depreciation | (121,040 | ) | — | — | (121,040 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | (95,057 | ) | $ | — | $ | — | $ | (95,057 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||||
Strategic Investment Fund | Investments in Securities† | |||||||||||||||||
Domestic Equity | $ | 233,421,589 | $ | — | $ | — | $ | 233,421,589 | ||||||||||
Foreign Equity | 167,402,994 | — | — | 167,402,994 | ||||||||||||||
U.S. Treasuries | — | 49,614,994 | — | 49,614,994 | ||||||||||||||
Agency Mortgage Backed | — | 56,297,942 | — | 56,297,942 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 528,483 | — | 528,483 | ||||||||||||||
Corporate Notes | — | 105,761,446 | — | 105,761,446 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 24,648,489 | 83,218 | 24,731,707 | ||||||||||||||
Sovereign Bonds | — | 2,566,968 | — | 2,566,968 | ||||||||||||||
Municipal Bonds and Notes | — | 1,226,576 | — | 1,226,576 | ||||||||||||||
FNMA (TBA) | — | — | 3,783 | 3,783 | ||||||||||||||
Exchange Traded Funds | 28,042,715 | — | — | 28,042,715 | ||||||||||||||
Short-Term Investments | 81,624,707 | — | — | 81,624,707 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 510,492,005 | $ | 240,644,898 | $ | 87,001 | $ | 751,223,904 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Credit Default Swap Contracts — Unrealized Depreciation | $ | — | $ | (88,292 | ) | $ | — | $ | (88,292 | ) | ||||||||
Long Futures Contracts — Unrealized Appreciation | 733,328 | — | — | 733,328 | ||||||||||||||
Long Futures Contracts — Unrealized Depreciation | (1,268 | ) | — | — | (1,268 | ) | ||||||||||||
Short Futures Contracts — Unrealized Appreciation | 29,888 | — | — | 29,888 | ||||||||||||||
Short Futures Contracts — Unrealized Depreciation | (122,125 | ) | — | — | (122,125 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | 639,823 | $ | (88,292 | ) | $ | — | $ | 551,531 | |||||||||
|
|
|
|
|
|
|
| |||||||||||
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Income Fund | Investments in Securities† | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 55,054,104 | $ | — | $ | 55,054,104 | ||||||||||
Agency Mortgage Backed | — | 65,817,127 | — | 65,817,127 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 791,814 | — | 791,814 | ||||||||||||||
Asset Backed | — | 266,306 | — | 266,306 | ||||||||||||||
Corporate Notes | — | 123,212,594 | — | 123,212,594 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 34,540,935 | 182,257 | 34,723,192 | ||||||||||||||
Sovereign Bonds | — | 3,126,130 | — | 3,126,130 | ||||||||||||||
Municipal Bonds and Notes | — | 2,111,876 | — | 2,111,876 | ||||||||||||||
FNMA (TBA) | — | — | 12,781 | 12,781 | ||||||||||||||
Preferred Stock | 343,840 | — | — | 343,840 | ||||||||||||||
Short-Term Investments | 6,004,909 | — | — | 6,004,909 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 6,348,749 | $ | 284,920,886 | $ | 195,038 | $ | 291,464,673 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Credit Default Swap Contracts — Unrealized Depreciation | $ | — | $ | (121,342 | ) | $ | — | $ | (121,342 | ) | ||||||||
Long Futures Contracts — Unrealized Appreciation | 11,771 | — | — | 11,771 | ||||||||||||||
Long Futures Contracts — Unrealized Depreciation | (10,586 | ) | — | — | (10,586 | ) | ||||||||||||
Short Futures Contracts — Unrealized Appreciation | 25,509 | — | — | 25,509 | ||||||||||||||
Short Futures Contracts — Unrealized Depreciation | (4,572 | ) | — | — | (4,572 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | 22,122 | �� | $ | (121,342 | ) | $ | — | $ | (99,220 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||||
† | See Schedule of Investments for Industry Classification. |
* | Other financial instruments include derivative instruments such as futures contracts and credit default swaps. Amounts shown represent unrealized appreciation (depreciation), at period end. |
There were no significant transfers between fair value levels during the period. Transfers between fair value levels are considered to occur at the beginning of the period.
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and, accordingly, a reconciliation of Level 3 assets for the six-month period ended March 31, 2016 is not presented.
4. | Derivatives Disclosure |
Shown below are the derivative contracts entered into by each Fund, summarized by primary risk exposure as they appear on the Statements of Assets and Liabilities, none of which are accounted for as hedging instruments under FASB ASC No. 815 Derivatives and Hedging (“ASC 815”) as of March 31, 2016.
Asset Derivatives March 31, 2016 | Liability Derivatives March 31, 2016 | |||||||||||
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Assets and Liabilities | Fair Value ($) | Location in the Statements of Assets and Liabilities | Fair Value ($) | ||||||||
U.S. Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 62,203 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — |
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
Asset Derivatives March 31, 2016 | Liability Derivatives March 31, 2016 | |||||||||||
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Assets and Liabilities | Fair Value ($) | Location in the Statements of Assets and Liabilities | Fair Value ($) | ||||||||
S&P 500 Index Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 20,272 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | |||||||
U.S. Large-Cap Core Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (338 | )* | |||||||
Premier Growth Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 83,385 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | |||||||
Small-Cap Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 614,991 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | |||||||
International Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 25,983 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (121,040 | )* | ||||||
Strategic Investment Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 688,808 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (122,125 | )* | ||||||
Interest Rate Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 74,408 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (1,268 | )* | ||||||
Credit Risk Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts | — | Liabilites, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts | (88,292 | )* | |||||||
Income Fund | ||||||||||||
Interest Rate Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 37,280 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (15,158 | )* | ||||||
Credit Risk Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts | — | Liabilites, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts | (121,342 | )* |
* | Includes cumulative unrealized appreciation/(depreciation) of futures and credit default swap contracts as reported in the Schedule of Investments and within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities. |
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
Shown below are the effects of derivative instruments on each Fund’s Statements of Operation, summarized by primary risk exposure, none of which are accounted for as hedging instruments under ASC 815.
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Operations | Total Notional Amount of Futures Contracts Purchased/(Sold) ($) | Realized Gain (Loss) on Derivatives Recognized in Income ($) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ($) | ||||||||||
Realized Gain/(Loss) | Unrealized Gain/(Loss) | |||||||||||||
U.S. Equity Fund | ||||||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures |
| 44,162,967/ (47,754,657) |
| (921,858 | ) | (263,454 | ) | ||||||
S&P 500 Index Fund | ||||||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures |
| 2,708,703/ (3,321,233) |
| 37,406 | 66,715 | ||||||||
U.S. Large-Cap Core Equity Fund | ||||||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures |
| 6,798,701/ (8,145,139) |
| 118,632 | (5,784 | ) | |||||||
Premier Growth Equity Fund | ||||||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures |
| 56,822,314/ (50,905,025) |
| 838,307 | 18,995 | ||||||||
Small-Cap Equity Fund | ||||||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures |
| 122,282,922/ (120,428,464) |
| (953,331 | ) | 1,445,259 | |||||||
International Equity Fund | ||||||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures |
| 92,414,288/ (95,634,609) |
| 6,949,329 | 215,002 | ||||||||
Strategic Investment Fund | ||||||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures |
| 100,686,623/ (97,288,408 | ) | 452,707 | 750,556 | ||||||||
Interest Rate Contracts | Realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures |
| 389,244,879/ (352,676,327 | ) | (664,279) | 295,922 | ||||||||
Credit Risk Contracts | Realized gain/(loss) on credit default swaps Increase/ (decrease) in unrealized appreciation/(depreciation) on swap contracts | —/— | 80,980 | 112,483 | ||||||||||
Income Fund | ||||||||||||||
Interest Rate Contracts | Realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures |
| 482,690,663/ (436,396,905 | ) | (676,346) | 377,279 |
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Operations | Total Notional Amount of Futures Contracts Purchased/(Sold) ($) | Realized Gain (Loss) on Derivatives Recognized in Income ($) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ($) | ||||||||
Realized Gain/(Loss) | Unrealized Gain/(Loss) | |||||||||||
Credit Risk Contracts | Realized gain/(loss) on credit default swaps Increase/ (decrease) in unrealized appreciation/(depreciation) on swap contracts | —/— | 136,195 | 115,902 |
During the six-month period ended March 31, 2016, the Funds had an average notional value of long and short futures contracts as shown below. The Strategic Investment Fund and Income Fund had average notional values of $9,450,484 and $11,973,391 on credit default swaps, respectively. Please refer to the table following the Portfolio of Investments for open credit default swaps and futures contracts at March 31, 2016.
Fund | Long Contracts | Short Contracts | ||||||
U.S. Equity Fund | $ | 7,534,581 | $ | — | ||||
S&P 500 Index Fund | 1,131,291 | — | ||||||
U.S. Large-Cap Core Equity Fund | 1,017,149 | — | ||||||
Premier Growth Equity Fund | 3,694,648 | 1,386,975 | ||||||
Small-Cap Equity Fund | 20,756,313 | — | ||||||
International Equity Fund | 13,105,021 | 10,454,080 | ||||||
Strategic Investment Fund | 40,596,807 | 36,376,344 | ||||||
Income Fund | 30,882,052 | 40,060,688 |
5. | Line of Credit |
The Trust (excluding the S&P 500 Index Fund) shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with the Trust’s custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.20% per annum on the daily unused portion of the credit facility, payable quarterly by GEAM and included in the “unitary fee” paid by the Funds.
Generally, borrowings under the credit facilities would accrue interest at the higher of the Overnight LIBOR plus 1.25% and the Overnight Federal Funds Rate plus 1.25% and would be borne by the borrowing Fund. The maximum borrowing allowed by any one Fund is the lesser of (i) 33.33% of the Fund’s total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Trust during the six-month period ended March 31, 2016.
6. | Fees and Compensation Paid to Affiliates |
The advisory and administration fees paid to GEAM (“Management Fee”), a wholly-owned subsidiary of General Electric Company, for investment advisory and administrative services is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:
Fund | Average Daily Net Assets of Fund | Management Fee | ||
U.S. Equity Fund | First $25 million | 0.55% | ||
U.S. Large-Cap Core Equity Fund | Next $25 million | 0.45% | ||
Premier Growth Equity Fund | Over $50 million | 0.35% | ||
S&P 500 Index Fund | All assets | 0.15% |
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
Fund | Average Daily Net Assets of Fund | Management Fee | ||
Small-Cap Equity Fund | First $250 million | 0.95% | ||
Next $250 million | 0.90% | |||
Over $500 million | 0.85% | |||
International Equity Fund | First $25 million | 0.75% | ||
Next $50 million | 0.65% | |||
Over $75 million | 0.55% | |||
Strategic Investment Fund | First $25 million | 0.45% | ||
Next $25 million | 0.40% | |||
Over $50 million | 0.35% | |||
Income Fund | First $25 million | 0.35% | ||
Next $25 million | 0.30% | |||
Next $50 million | 0.25% | |||
Over $100 million | 0.20% |
On March 29, 2016, General Electric Company agreed to sell to State Street Corporation the asset management and advisory services business conducted by GEAM and certain of its subsidiaries (the “Transaction”). The Transaction is not expected to result in any change in the investment objectives or policies of any of the Funds of the Trust. The Transaction is expected to close in the third quarter of 2016 pending receipt of certain regulatory approvals and subject to the satisfaction of other customary closing conditions. The closing of the Transaction will result in the automatic termination of each Fund’s investment advisory contract and sub-advisory contract (for Funds with sub-advisers). The Trustees have considered and approved a new investment advisory contract with SSGA Funds Management, Inc. (“SSGA FM”), an affiliate of State Street Corporation, for each of the Funds, and where applicable, sub-advisory contracts between SSGA FM and the current sub-advisers (collectively, “New Agreements”). The New Agreements will be presented to the Funds’ shareholders for approval. Subject to requisite approval by the shareholders of the Funds, the New Agreements would take effect upon termination of the current advisory and sub-advisory contracts when the Transaction closes.
Distribution and Shareholder Servicing Fees The Funds have adopted a Shareholder Servicing and Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Service Class shares of each Fund. Each Fund pays GE Investment Distributors, Inc. (“GEID”), a wholly-owned subsidiary of GEAM and the Funds’ principal underwriter, a monthly fee for distribution and/or shareholder services provided, at an annual rate of 0.25% of the average daily net assets of such Fund attributable to the Service Class shares. Currently, Investment Class shares are not subject to a 12b-1 fee.
Trustee Compensation The Funds pay no compensation to their Trustees who are officers or employees of GEAM or its affiliates. Trustees who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to unaffiliated Trustees is reflected on the Statements of Operations. These fees are allocated pro rata across funds and share classes served by the Trustees and are based upon the relative net assets of each fund. (For additional information about Trustees compensation please refer to the Funds’ Statement of Additional Information).
7. | Sub-Advisory Fees |
For certain funds that have retained sub-advisers to manage all or a portion of the respective Fund’s assets, GEAM pays each sub-adviser an investment sub-advisory fee out of the Management Fee that it receives from the respective Fund. The investment sub-advisory fee is paid by GEAM monthly and is based upon the average daily net assets of the respective Fund’s assets that are allocated to and managed by the sub-adviser. Each such sub-adviser is responsible for the day-to-day management of those assets of the Fund that are allocated to the sub-adviser, including the responsibility for making decisions to buy, sell or hold a particular security with respect to those assets. For their services, GEAM pays an investment sub-advisory fee to each of Palisade Capital Management, L.L.C., Champlain Investment Partners, LLC, GlobeFlex Capital, L.P., SouthernSun Asset Management, LLC and Kennedy Capital Management, Inc., sub-advisers to the Small-Cap Equity Fund, and SSGA Funds Management, Inc., sub-adviser to the S&P 500 Index Fund.
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
8. | Investment Transactions |
Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended March 31, 2016, were as follows:
U.S. Government Securities | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
U.S. Equity Fund | $ | — | $ | — | $ | 150,437,201 | $ | 186,891,633 | ||||||||
S&P 500 Index Fund | — | — | 1,516,412 | 11,453,230 | ||||||||||||
U.S. Large-Cap Core Equity Fund | — | — | 19,558,233 | 25,640,631 | ||||||||||||
Premier Growth Equity Fund | — | — | 36,738,507 | 76,124,817 | ||||||||||||
Small-Cap Equity Fund | — | — | 215,009,732 | 255,234,689 | ||||||||||||
International Equity Fund | — | — | 187,507,272 | 211,356,438 | ||||||||||||
Strategic Investment Fund | 186,691,365 | 192,598,601 | 132,328,038 | 140,829,040 | ||||||||||||
Income Fund | 199,579,678 | 206,319,953 | 49,529,041 | 45,659,180 |
Affiliated Investments Transactions with affiliated investments for the six-month period ended March 31, 2016 were as follows:
S&P 500 Index Fund
Security | Value, Beginning of period | Cost of purchases | Proceeds from sales | Dividend/ Interest | Realized gain (loss) | Value, end of period | ||||||||||||||||||
General Electric Co., Common Stock | $ | 386,698 | $ | 30,327 | $ | (187,053 | ) | $ | 5,241 | $ | 78,196 | $ | 291,483 |
9. | Income Taxes |
The Funds are subject to ASC 740, Income Taxes (“ASC 740”). ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires
evaluation of tax positions taken or expected to be taken in the course of preparing each Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to any Fund’s net assets required under ASC 740. Each Fund’s 2012, 2013, 2014 and 2015 fiscal year tax returns are still open to examination by the Federal and applicable state tax authorities.
At March 31, 2016, information on the tax cost of investments was as follows:
Fund | Cost of Investments for Tax Purposes | Gross Tax Appreciation | Gross Tax Depreciation | Net Tax Appreciation/ (Depreciation) | ||||||||||||
U.S. Equity Fund | $ | 542,370,879 | $ | 77,756,347 | $ | (18,993,369 | ) | $ | 58,762,978 | |||||||
S&P 500 Index Fund | 15,843,547 | 3,236,297 | (680,230 | ) | 2,556,067 | |||||||||||
U.S. Large-Cap Core Equity Fund | 54,137,449 | 6,601,072 | (1,859,125 | ) | 4,741,947 | |||||||||||
Premier Growth Equity Fund | 277,922,536 | 59,769,717 | (9,724,305 | ) | 50,045,412 | |||||||||||
Small-Cap Equity Fund | 1,076,760,410 | 193,445,539 | (88,295,050 | ) | 105,150,489 | |||||||||||
International Equity Fund | 1,304,414,913 | 101,822,617 | (148,050,215 | ) | (46,227,598 | ) | ||||||||||
Strategic Investment Fund | 731,952,955 | 49,682,218 | (30,411,269 | ) | 19,270,949 | |||||||||||
Income Fund | 289,769,575 | 6,110,173 | (4,415,075 | ) | 1,695,098 |
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
As of September 30, 2015, the following Funds have capital loss carryovers as indicated below. The capital loss carryover is available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains offset will not be distributed to shareholders.
Fund | Short Term | Long Term | Expires | |||||||||
S&P 500 Index Fund | $ | 12,758,327 | $ | — | 9/30/2018 | |||||||
1,202,747 | — | 9/30/2019 | ||||||||||
International Equity Fund | 34,429,113 | — | 9/30/2018 | |||||||||
140,255,693 | — | 9/30/2019 |
These amounts will be available to offset future taxable capital gains. Under the Regulated Investment Company Modernization Act of 2010, a Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Fund capital loss carryovers were utilized as follows:
Fund | Amount | |||
S&P 500 Index Fund | $ | 6,252,474 | ||
International Equity Fund | 122,618,768 |
Any qualified late-year loss is deemed to arise on the first day of a Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, a Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.
The following Funds elected to defer qualified late-year losses for the year ended September 30, 2015 as follows:
Fund | Capital | Ordinary | ||||||
U.S. Equity Fund | $ | — | $ | (322 | ) | |||
S&P 500 Index Fund | — | — | ||||||
U.S. Large-Cap Core Equity Fund | — | (49 | ) | |||||
Premier Growth Equity Fund | — | — | ||||||
Small-Cap Equity Fund | (394,638 | ) | — | |||||
International Equity Fund | (7,334,371 | ) | (1,242,610 | ) | ||||
Strategic Investment Fund | — | (159,386 | ) | |||||
Income Fund | (1,846,794 | ) | — |
Distributions to Shareholders The Income Fund declares net investment income dividends daily and pays them monthly. All other Funds declare and pay dividends from net investment income, if any, annually. All Funds declare and pay distributions annually from net realized capital gains in excess of capital loss carryforwards, if any. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ
from GAAP. These differences include (but are not limited to) gains and losses on foreign currency, foreign taxes payable, investments in futures, investments in swap contracts, investments in passive foreign investment companies, losses deferred to offsetting positions, losses deferred due to wash sale transactions, investments in underlying securities and redemptions in kind.
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
The tax character of distributions paid during the years ended September 30, 2015 and September 30, 2014 is as follows:
September 30, 2015 | September 30, 2014 | |||||||||||||||
Fund | Ordinary Income | Long Term Capital Gains | Ordinary Income | Long Term Capital Gains | ||||||||||||
U.S. Equity Fund | $ | 14,371,167 | $ | 88,684,050 | $ | 15,343,882 | $ | 35,383,526 | ||||||||
S&P 500 Index Fund | 660,014 | — | 750,000 | — | ||||||||||||
U.S. Large-Cap Core Equity Fund | 2,468,416 | 14,065,417 | 5,493,995 | 13,835,426 | ||||||||||||
Premier Growth Equity Fund | 4,234,095 | 35,777,908 | 3,289,862 | 10,133,896 | ||||||||||||
Small-Cap Equity Fund | 11,492,443 | 122,138,911 | 20,072,748 | 102,397,930 | ||||||||||||
International Equity Fund | 42,275,022 | — | 30,469,900 | — | ||||||||||||
Strategic Investment Fund | 22,748,238 | 58,732,061 | 15,207,126 | 27,849,379 | ||||||||||||
Income Fund | 8,246,345 | — | 9,026,757 | — |
Reclassifications are made to a Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the NAV of any of the Funds. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.
The reclassifications for the year ended September 30, 2015 were as follows:
Fund | Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) | Unrealized Loss | Paid In Capital | ||||||||||||
U.S. Equity Fund | $ | (231,880 | ) | $ | 231,880 | $ | — | $ | — | |||||||
S&P 500 Index Fund | 13,588 | (13,588 | ) | — | — | |||||||||||
U.S. Large-Cap Core Equity Fund | (50,960 | ) | 50,960 | — | — | |||||||||||
Premier Growth Equity Fund | — | (52,622,633 | ) | — | 52,622,633 | |||||||||||
Small-Cap Equity Fund | (377,258 | ) | 437,547 | (60,289 | ) | — | ||||||||||
International Equity Fund | (1,221,241 | ) | 1,221,241 | — | — | |||||||||||
Strategic Investment Fund | (230,862 | ) | 230,862 | — | — | |||||||||||
Income Fund | 59,748 | (59,748 | ) | — | — |
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Disclosure for the Boards of Trustees’ Consideration of the Renewal of the GE Institutional Funds’ Advisory Agreements
The Board of Trustees of the GE Institutional Funds (the “Board”), including the independent Board members, considered and all those that were present unanimously approved the continuance for an additional year of each of the Funds’ Investment Advisory and Administration Agreements with GE Asset Management Incorporated (“GEAM”); with respect to the S&P 500 Index Fund, the continuance of the Investment Sub-Advisory Agreement with SSGA Funds Management, Inc.; and with respect to the Small-Cap Equity Fund, the continuance of the Investment Sub-Advisory Agreements with each of the Fund’s sub-advisers, Palisade Capital Management, L.L.C., Champlain Investment Partners, LLC, GlobeFlex Capital, L.P., SouthernSun Asset Management, LLC and Kennedy Capital Management, Inc. at meetings held on December 16 and December 18, 2015.
In considering these approvals, the Board members considered and discussed a substantial amount of information and analysis provided, at the Board’s request, by GEAM and each of the sub-advisers. The Board members also considered detailed information regarding performance and expenses of other investment companies, including those with similar investment strategies and sizes, which was prepared by an independent third party provider, Morningstar, Inc. (“Morningstar”). The Board members reviewed the fees charged by GEAM for other mutual funds and investment products other than mutual funds that employ a similar investment strategy as any of the Funds. The Board had the opportunity to ask questions and request additional information in connection with its considerations.
Before approving each Fund’s investment advisory and sub-advisory agreements, as applicable, the independent Board members reviewed the information provided with management of GEAM and with their independent legal counsel. The Board members also reviewed a memorandum prepared by independent legal counsel discussing the legal standards for the consideration of the proposed continuances. The independent Board members discussed the proposed continuances in detail during a private session with their independent legal counsel at which no representatives of GEAM or any of the sub-advisers were present. The independent Board
members and their independent legal counsel requested, received and considered additional information from GEAM following these sessions.
In advance of the meetings, and in response to their request, the Board members received from GEAM written responses to their inquiries, which included substantial exhibits and other materials related to GEAM’s business and the services it provides to each Fund. Also in advance of the meetings, the Board members received from each of the sub-advisers a written response to a letter of inquiry prepared by GEAM at the Board’s request, which included substantial exhibits and other materials related to the business of, and the services provided by, each of the sub-advisers to the Small-Cap Equity Fund or the S&P 500 Index Fund, as applicable. The Board members took into account their experience as Board members and particularly their previous consideration of these types of agreements. When feasible, information was presented in a manner to facilitate comparisons to prior periods and to reflect certain enhancements to GEAM’s infrastructure, systems, research and analytics capabilities and shareholder servicing model. To focus their review, the Board members asked GEAM management and each of the sub-advisers, in their oral presentations and/or written materials, to highlight material differences from the information presented in recent years.
During the meetings, the Board members had an opportunity to discuss this information with GEAM representatives, including senior executives, representatives from the legal, compliance and finance departments, and investment personnel. The Board members also had an opportunity to hear presentations by representatives of each of the sub-advisers during the past year. The Board members posed questions to these representatives and engaged in substantive discussions with them concerning each of their investment processes.
In reaching their determinations relating to the continuance of the Funds’ investment advisory and sub-advisory agreements, as applicable, the Board members considered all factors that they deemed relevant, including the factors discussed below. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Board member may have attributed different weights to the various factors. The Board
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members evaluated the information provided to them, for each Fund on a fund-by-fund basis, and their determinations were made separately in respect of each Fund. In particular, the Board members focused on the following with respect to each Fund:
The Nature, Extent And Quality Of Services Provided.
The Board members reviewed the services provided by GEAM and each of the sub-advisers, taking into account their past experiences with each of them. In connection with their consideration of GEAM’s services, the Board members focused on the favorable attributes of GEAM, including (i) an investment philosophy oriented toward long-term performance; (ii) effective processes used for selecting investments and brokers; with respect to the sub-advised funds, effective processes used for overseeing sub-advisers; and with respect to the Small-Cap Equity Fund, effective processes used for overseeing multiple sub-advisers; (iii) effective processes used for providing Fund administration, including controllership and compliance functions, the optimization of its Fund administration platform and the continued oversight of the performance of other companies that provide services to the Funds and their shareholders; (iv) highly skilled professionals, including analysts, research professionals, traders and portfolio managers with a depth of experience relevant to the Funds; (v) access to significant and enhanced technological resources from which the Funds may benefit, including a platform that increases the quality and efficiency of analytics and research; and (vi) a favorable history and reputation. The Board members noted that the Funds represent only a small portion of the assets managed by GEAM, but benefit from a full array of services and resources provided by GEAM.
In connection with their consideration of the services provided by each of the sub-advisers, the Board members focused on the favorable attributes of the sub-advisers relating to their respective investment philosophies and disciplines, experienced investment and trading personnel, systems and other resources, including research capabilities of the sub-advisers for the Small-Cap Equity Fund, and favorable histories and reputations.
In light of these discussions, the Board, including the independent Board members, concluded that the
services provided by GEAM and each of the sub-advisers continue to be satisfactory.
Investment Performance Of The Funds And The Sub-Advisers.
The Board members considered the investment performance of each of the Funds for various periods. The Board members reviewed detailed comparisons of the performance of the Funds with the relevant securities indices and peer and category groupings of mutual funds prepared by Morningstar with respect to various periods. The Board members also engaged in detailed discussions with GEAM management and, in connection with the Small-Cap Equity Fund and the S&P 500 Index Fund, representatives of each of the sub-advisers at a prior meeting held during the year, about each of their investment processes and performance results. These discussions focused on each Fund’s investment objective, GEAM’s asset allocation process (if applicable), the number and experience of portfolio management and supporting research personnel, each Fund’s investment style and approach employed, the likely market cycles for each Fund’s investment style and, in some instances, relative underperformance in certain periods. The Board also considered the Small-Cap Equity Fund’s multi-manager structure and how each sub-adviser’s approach to small-cap investing fits within the Fund’s overall strategy. The Board members discussed GEAM’s investment approach with respect to each of the Funds, that the performance of the Funds generally is consistent with GEAM’s articulated long-term approach and overall investment philosophy and, if applicable, reasons for a Fund’s underperformance.
The Board, including the independent Board members, concluded that each Fund’s performance was acceptable overall, taking into consideration the factors discussed above.
Cost Of The Services Provided And Profits Realized From The Relationships With The Funds.
The Board members considered the fees paid to GEAM by the Funds, as well as those paid to each of the sub-advisers by GEAM, and the cost of the services provided by GEAM and each of the sub-advisers. The Board members reviewed the information they had requested from GEAM and each of the sub-advisers concerning their profitability.
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The Board members considered the profit margin information for GEAM’s investment company business as a whole, as well as GEAM’s profitability data for each Fund. GEAM reviewed with the Board the Funds’ unitary fee structure where GEAM (and not the Funds) bears most of the Funds’ operating expenses, therefore affecting GEAM’s profitability. The Board members reviewed GEAM’s assumptions and the methods of cost allocation used by GEAM in preparing Fund-specific profitability data. The Board members discussed with GEAM the basis for its belief that the methods of allocation used were reasonable for each area of its business. The Board members also considered information regarding the calculation methodology provided by certain of the sub-advisers in preparing their respective profitability data.
Information was presented regarding the financial condition of GEAM and each of the sub-advisers for various past periods. The Board members noted and discussed the additional services provided by GEAM to the Funds compared to similar mutual funds managed by GEAM, and noted that GEAM, and not the Funds, pays the sub-advisory fees to the sub-advisers. In connection with the Small-Cap Equity Fund, GEAM reviewed its portfolio management services related to the allocation and rebalancing of assets among the multiple sub-advisers as a result of the Fund’s multi-manager structure, as well as the services related to overseeing each of the sub-advisers, including but not limited to having multiple meetings with each sub-adviser during the year to conduct investment performance, risk and compliance reviews. The Board members determined that GEAM and each of the sub-advisers should be entitled to earn a reasonable level of profits for the services they provide to the Funds. The Board members also recognized that GEAM has made and continues to make significant investments in its business in fulfilling its obligations to the Funds and supporting its Fund-related activities.
Based on their review, the Board, including the independent Board members, concluded that they were satisfied that the level of profitability to GEAM and each of the sub-advisers from their relationship with the Funds was not unreasonable or excessive.
The Extent To Which Economies Of Scale Would Be Realized As Each Fund Grows And Whether Fee Levels Would Reflect Such Economies Of Scale.
The Board members considered the extent to which economies of scale would be realized as the Funds grow,
and whether fee levels reflect these economies of scale for the benefit of Fund investors. GEAM reviewed with the Board members that it generally charged comparatively lower fees to the Funds since inception, that all Funds (other than the S&P 500 Index Fund) are subject to breakpoints in their management fee and that GEAM (and not the Funds) bears most of the Funds’ operating expenses. Therefore, GEAM is already sharing the low-fee benefits of larger asset sizes. The Board members also considered the substantial infrastructure investments that GEAM has made with respect to its operations and its commitment to continue investing resources to enhance services to the Funds and their shareholders. The Board members recognized the benefits to the Funds of GEAM’s past investment in its operations through expenditures to support its substantial infrastructure, generally lower Fund fees and payment of Fund operating expenses and that, with respect to all GEAM managed mutual funds, GEAM has not yet fully recouped that investment. The Board members also recognized the benefits to each Fund of being able to leverage a favorable cost structure achieved with respect to each Fund’s other operating expenses as a result of GEAM’s large overall base of assets under management and its vendor management practices.
Comparison Of Services To Be Rendered And Fees To Be Paid.
The Board members discussed the respective services provided to the Funds by GEAM and each of the sub-advisers and the fees charged for those services, including for the sub-advised funds, (i) the allocation of the total advisory fees between GEAM and the sub-adviser(s), and (ii) the services required of GEAM to oversee the S&P 500 Index Fund’s sub-adviser, or multiple sub-advisers in the case of the Small-Cap Equity Fund. The Board members reviewed information concerning the fee and expense ratios for each Fund and comparative information with respect to peer groupings of mutual funds prepared by Morningstar. They discussed that most of the Funds’ figures were generally below the applicable peer group medians and, therefore, the Funds are generally charged a competitive rate in comparison to their peers. The Board also considered GEAM’s comparatively lower historical fee structure overall relative to advisers of other comparable industry peer group funds and noted that GEAM has generally foregone a higher rate of fee for most of the Funds since the inception of its relationship with the Funds. In connection
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with each of the sub-advised Funds, the Board members reviewed comparative mutual fund and/or other account fee information provided by each of the sub-advisers. In light of the foregoing, the Board, including the independent Board members, determined that the advisory fees and, with respect to the sub-advised Funds, the sub-advisory fees paid to each of the sub-advisers, considered in relation to the services provided to the Funds, supported the Board’s approval of the investment advisory and sub-advisory agreements.
Fall-Out Benefits.
The Board members considered other actual and potential financial benefits that GEAM and each of the sub-advisers may derive from their respective relationships with the Funds, including, to the extent applicable, soft dollar commission benefits generated through Fund portfolio transactions. The Board members noted, however, that each Fund benefits from the vast array of resources available through GEAM, and that each Fund represents only a small portion of the assets managed by GEAM.
Conclusion.
No single factor was determinative to the Board’s decision. Based on their discussion and such other matters as were deemed relevant, the Board, including the independent Board members, concluded that renewal of each Fund’s investment advisory agreement and, to the extent applicable, each sub-advisory agreement was in the best interests of the Fund and its shareholders.
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Additional Information | (Unaudited) |
Information about Directors and Executive Officers:
The business and affairs of the Funds are managed under the direction of the Funds’ Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set forth below.
Interested Trustees and Executive Officers
Jeanne M. La Porta
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 50
Position(s) Held with Fund Trustee and President
Term of Office and Length of Time Served Until successor is elected and qualified – 2 years
Principal Occupation(s) During Past 5 Years Senior Vice President and Commercial Operations Leader at GEAM since March 2014; President of GE Institutional Funds and GE Investments Funds, Inc. since April 2014; President and Trustee of GEAM’s UCITs Funds since March 2014; Senior Vice President and Commercial Administrative Officer at GEAM from April 2010 to March 2014; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 24
Other Directorships Held by Trustee Director and President of GE Investments Funds, Inc. since 2014; Trustee of Elfun Funds, GE Retirement Savings Plan and General Electric Pension Trust since 2014; and Director of GE Investment Distributors, Inc. since June 2011.
Matthew J. Simpson
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 55
Position(s) Held with Fund Trustee and Executive Vice President
Term of Office and Length of Time Served Until successor is elected and qualified – 9 years
Principal Occupation(s) During Past 5 Years Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 24
Other Directorships Held by Trustee Trustee of Elfun Funds, GE Retirement Savings Plan Funds and General Electric Pension Trust since July 2007; Director and Executive Vice President of GE Investments Funds, Inc. since July 2007; Director of GEAM since July 2007; Trustee and Executive Vice President of GE Funds from July 2007 to February 2011; and Director of GE Investment Distributors, Inc. since June 2011.
JoonWon Choe
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 46
Position(s) Held with Fund Vice President & Secretary
Term of Office and Length of Time Served Until successor is elected and qualified – 5 years
Principal Occupation(s) During Past 5 Years Senior Vice President and Deputy General Counsel of GEAM since March 2011; Vice President and Secretary of GE Investments Funds, Inc. since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) since September 2010; Senior Vice President and Associate General Counsel of GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.
Number of Portfolios in Fund Complex Overseen by Officer N/A
Other Directorships Held by Officer N/A
Robert Herlihy
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 48
Position(s) Held with Fund Chief Compliance Officer
Term of Office and Length of Time Served Until successor is elected and qualified – 10 years
Principal Occupation(s) During Past 5 Years Chief Compliance Officer of GEAM, GE Investments Funds, Inc., Elfun Funds, and GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002 to 2005.
Number of Portfolios in Fund Complex Overseen by Officer N/A
Other Directorships Held by Officer N/A
Arthur A. Jensen
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 49
Position(s) Held with Fund Treasurer
Term of Office and Length of Time Served Until successor is elected and qualified – 5 years
Principal Occupation(s) During Past 5 Years Treasurer of GE Investments Funds, Inc., Elfun Funds and GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.
Number of Portfolios in Fund Complex Overseen by Officer N/A
Other Directorships Held by Officer N/A
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Additional Information | (Unaudited) |
Non-Interested Trustees
John R. Costantino
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 69
Position(s) Held with Fund Chairman of the Board
Term of Office and Length of Time Served Until successor is elected and qualified – 19 years
Principal Occupation(s) During Past 5 Years General Partner, NGN Capital LLC since 2006; and Managing Director, Vice President of Walden Capital Management since 1996.
Number of Portfolios in Fund Complex Overseen by Trustee 16
Other Directorships Held by Trustee Director of GE Investments Funds, Inc. since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of NeuroScience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006 to 2008 and Trustee of Gregorian University Foundation from 1992 to 2007.
R. Sheldon Johnson
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 69
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 5 years
Principal Occupation(s) During Past 5 Years Retired, 2006 to present; Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.
Number of Portfolios in Fund Complex Overseen by Trustee 16
Other Directorships Held by Trustee Director of GE Investments Funds, Inc. since April 2011 and Trustee of St. Lawrence University since 2003.
Donna M. Rapaccioli
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 53
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 4 years
Principal Occupation(s) During Past 5 Years Dean of the Gabelli School of Business since 2007 and Accounting Professor since 1987 at Fordham University.
Number of Portfolios in Fund Complex Overseen by Officer 16
Other Directorships Held by Officer Director of GE Investments Funds, Inc. since January 2012 and Trustee of Emmanuel College since 2010.
The Statement of Additional Information for the Funds includes additional information about the Trustees and Officers and is available, without charge, upon request by calling 1-800-242-0134.
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Investment Team | (Unaudited) |
Investment Adviser and Administrator
GE Asset Management Incorporated
Trustees
John R. Costantino, Chairman
R. Sheldon Johnson
Jeanne M. La Porta
Donna M. Rapaccioli
Matthew J. Simpson
Secretary
JoonWon Choe
Assistant Secretary
Michelle Matzelle
Treasurer
Arthur A. Jensen
Distributor
GE Investment Distributors, Inc.
Member FINRA and SIPC
Custodian
State Street Bank & Trust Company
At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.
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Investment Adviser
GE Asset Management Incorporated
1600 Summer Street
P.O. Box 7900
Stamford, CT 06904-7900
Distributor
GE Investment Distributors, Inc.
Member FINRA and SIPC
1600 Summer Street
Stamford, CT 06905-5125
or at
P.O. Box 7900
Stamford, CT 06904-7900
www.geam.com
The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for the first, second and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-242-0134; (ii) on the Funds’ website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC — information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-months period ended June 30 is available without charge (i) through the Funds’ website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.
GEIN-2 (3/16)
This does not constitute a part of the Funds’ Shareholder Report
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Item 2. | Code of Ethics. |
Applicable only to an annual filing.
Item 3. | Audit Committee Financial Expert. |
Applicable only to an annual filing.
Item 4. | Principal Accountant Fees and Services. |
Applicable only to an annual filing.
Item 5. | Audit Committee of Listed Registrants. |
Applicable only to Closed-End Management Investment Companies.
Item 6. | Schedule of Investments. |
(a) Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Applicable only to Closed-End Management Investment Companies.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Applicable only to Closed-End Management Investment Companies.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Applicable only to Closed-End Management Investment Companies.
Item 10. | Submission of Matters to a Vote of Security Holders. |
During the reporting period, there have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.
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Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive officer and principal financial officer 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”)), are effective as of a date within 90 days of the filing date of the report included in Item 1 of this Form N-CSR, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(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) that occurred during the Registrant’s second fiscal quarter of the period covered by this Form N-CSR that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. | Exhibits. |
(a)(1) Applicable only to an annual filing.
(a)(2) The certifications required by Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) The certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002, are attached hereto.
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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.
GE Institutional Funds | ||
By: | /s/ Jeanne M. La Porta | |
Jeanne M. La Porta | ||
President, GE Institutional Funds |
Date: May 23, 2016
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: | /s/ Jeanne M. La Porta | |
Jeanne M. La Porta | ||
President, GE Institutional Funds |
Date: May 23, 2016
By: | /s/ Arthur A. Jensen | |
Arthur A. Jensen | ||
Treasurer, GE Institutional Funds |
Date: May 23, 2016