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: 811-09689
Wells Fargo Master Trust
(Exact name of registrant as specified in charter)
525 Market St., San Francisco, CA 94105
(Address of principal executive offices) (Zip code)
Catherine Kennedy
Wells Fargo Funds Management, LLC
525 Market St., San Francisco, CA 94105
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-222-8222
Date of fiscal year end: February 28
Registrant is making a filing for 11 of its series:
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio, Wells Fargo Emerging Markets Bond Portfolio, Wells Fargo Factor Enhanced Emerging Markets Portfolio, Wells Fargo Factor Enhanced International Portfolio, Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio, Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio, Wells Fargo High Yield Corporate Bond Portfolio, Wells Fargo Investment Grade Corporate Bond Portfolio, Wells Fargo Factor Enhanced U.S. Low Volatility Equity Portfolio, Wells Fargo Strategic Retirement Bond Portfolio, and Wells Fargo U.S. REIT Portfolio.
Date of reporting period: February 28, 2021
ITEM 1. REPORT TO STOCKHOLDERS
US Aggregate ex-Corporate Portfolio
Investment objective | The Portfolio seeks to replicate the total return of the Bloomberg Barclays U.S. Aggregate ex-Corporate Index, before fees and expenses. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Manjunath Boraiah†, Christopher Y. Kauffman, CFA®‡, Janet S. Rilling, CFA®‡, CPA, Michal Stanczyk |
Ten largest holdings (%) as of February 28, 20211 | |
FNMA, 2.00%, 3-11-2051 | 3.61 |
U.S. Treasury Bond, 3.00%, 5-15-2047 | 3.03 |
FNMA, 2.50%, 7-25-2050 | 2.76 |
FHLMC, 3.00%, 2-1-2047 | 1.88 |
GNMA, 3.50%, 2-20-2045 | 1.54 |
FHLMC, 3.50%, 2-1-2044 | 1.54 |
GNMA, 3.00%, 10-20-2050 | 1.34 |
FNMA, 4.00%, 6-1-2042 | 1.32 |
FNMA, 4.50%, 9-1-2040 | 1.26 |
U.S. Treasury Bond, 2.75%, 8-15-2042 | 1.16 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
† | Mr. Boraiah became a portfolio manager of the Portfolio on August 28, 2020. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 39.48% | ||||||
FFCB | 0.17% | 11-30-2022 | $ | 20,000 | $ 20,004 | |
FFCB | 0.30 | 3-28-2024 | 100,000 | 99,942 | ||
FFCB | 0.48 | 9-3-2024 | 70,000 | 69,720 | ||
FFCB | 0.57 | 7-2-2024 | 180,000 | 180,239 | ||
FFCB | 1.46 | 3-3-2023 | 210,000 | 210,018 | ||
FHLB | 0.55 | 2-12-2026 | 970,000 | 960,798 | ||
FHLB | 1.50 | 8-15-2024 | 10,000 | 10,376 | ||
FHLB | 2.13 | 6-9-2023 | 70,000 | 73,181 | ||
FHLB | 2.38 | 9-8-2023 | 30,000 | 31,627 | ||
FHLB | 2.50 | 3-11-2022 | 10,000 | 10,246 | ||
FHLB | 2.75 | 12-13-2024 | 10,000 | 10,862 | ||
FHLB | 2.88 | 6-14-2024 | 430,000 | 465,163 | ||
FHLB | 2.88 | 9-13-2024 | 60,000 | 65,212 | ||
FHLB | 3.00 | 3-10-2028 | 10,000 | 11,191 | ||
FHLB | 3.38 | 9-8-2023 | 30,000 | 32,367 | ||
FHLB | 5.38 | 8-15-2024 | 690,000 | 807,039 | ||
FHLB | 5.63 | 3-14-2036 | 10,000 | 14,972 | ||
FHLMC | 0.30 | 6-30-2022 | 420,000 | 420,248 | ||
FHLMC | 0.32 | 11-24-2023 | 50,000 | 50,018 | ||
FHLMC | 0.40 | 12-1-2023 | 20,000 | 20,000 | ||
FHLMC | 0.62 | 12-1-2025 | 940,000 | 927,472 | ||
FHLMC | 1.50 | 11-1-2035 | 994,153 | 1,005,984 | ||
FHLMC | 2.50 | 3-1-2032 | 2,479,562 | 2,593,948 | ||
FHLMC | 2.50 | 2-1-2035 | 1,119,633 | 1,170,967 | ||
FHLMC | 2.75 | 6-19-2023 | 220,000 | 232,925 | ||
FHLMC | 3.00 | 2-1-2047 | 10,374,778 | 11,021,299 | ||
FHLMC | 3.00 | 3-1-2048 | 88,913 | 93,142 | ||
FHLMC | 3.00 | 6-1-2050 | 1,930,644 | 2,052,449 | ||
FHLMC | 3.00 | 7-1-2050 | 3,633,810 | 3,863,057 | ||
FHLMC | 3.00 | 8-1-2050 | 1,712,636 | 1,820,986 | ||
FHLMC | 3.50 | 2-1-2044 | 8,346,562 | 9,057,046 | ||
FHLMC | 3.50 | 4-1-2045 | 351,141 | 381,234 | ||
FHLMC | 3.50 | 8-1-2047 | 3,802,063 | 4,050,618 | ||
FHLMC | 3.50 | 4-1-2050 | 2,526,264 | 2,676,554 | ||
FHLMC | 6.00 | 7-1-2040 | 1,812,367 | 2,161,155 | ||
FHLMC | 6.75 | 3-15-2031 | 330,000 | 492,158 | ||
FHLMC Series K029 Class A2 ±± | 3.32 | 2-25-2023 | 545,000 | 571,634 | ||
FHLMC Series K030 Class A2 ±± | 3.25 | 4-25-2023 | 305,000 | 321,765 | ||
FHLMC Series K032 Class A2 ±± | 3.31 | 5-25-2023 | 50,000 | 53,129 | ||
FHLMC Series K034 Class A2 ±± | 3.53 | 7-25-2023 | 60,000 | 64,192 | ||
FHLMC Series K035 Class A2 ±± | 3.46 | 8-25-2023 | 55,000 | 58,787 | ||
FHLMC Series K048 Class A2 ±± | 3.28 | 6-25-2025 | 215,000 | 236,633 | ||
FHLMC Series K062 Class A2 | 3.41 | 12-25-2026 | 750,000 | 845,422 | ||
FHLMC Series K063 Class A2 ±± | 3.43 | 1-25-2027 | 45,000 | 50,706 | ||
FHLMC Series K070 Class A2 ±± | 3.30 | 11-25-2027 | 425,000 | 479,664 | ||
FHLMC Series K152 Class A1 | 2.83 | 5-25-2030 | 307,624 | 334,330 | ||
FHLMC Series K152 Class A2 | 3.08 | 1-25-2031 | 125,000 | 139,064 | ||
FHLMC Series K153 Class A3 ±± | 3.12 | 10-25-2031 | 70,000 | 78,319 | ||
FHLMC Series K155 Class A3 | 3.75 | 4-25-2033 | 40,000 | 47,256 | ||
FNMA | 0.25 | 5-22-2023 | 330,000 | 330,475 | ||
FNMA | 0.50 | 11-7-2025 | 280,000 | 277,234 | ||
FNMA | 0.63 | 4-22-2025 | 650,000 | 651,454 | ||
FNMA %% | 1.50 | 3-16-2036 | 1,050,000 | 1,061,493 | ||
FNMA %% | 1.50 | 3-11-2051 | 2,095,000 | 2,058,256 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA %% | 2.00% | 1-25-2036 | $ | 5,885,000 | $ 6,089,186 | |
FNMA | 2.00 | 1-1-2041 | 985,042 | 1,010,222 | ||
FNMA %% | 2.00 | 3-11-2051 | 20,970,000 | 21,182,152 | ||
FNMA | 2.13 | 4-24-2026 | 180,000 | 192,208 | ||
FNMA | 2.25 | 4-12-2022 | 880,000 | 901,407 | ||
FNMA | 2.50 | 12-1-2027 | 482,903 | 505,043 | ||
FNMA | 2.50 | 9-1-2031 | 1,700,332 | 1,778,290 | ||
FNMA | 2.50 | 2-1-2035 | 1,509,410 | 1,578,614 | ||
FNMA %% | 2.50 | 7-25-2050 | 15,635,000 | 16,209,093 | ||
FNMA | 2.50 | 11-1-2050 | 4,897,683 | 5,090,186 | ||
FNMA | 3.00 | 12-1-2026 | 1,957,290 | 2,067,426 | ||
FNMA | 3.00 | 12-1-2030 | 358,892 | 382,949 | ||
FNMA | 3.00 | 7-1-2032 | 2,161,596 | 2,282,316 | ||
FNMA | 3.00 | 1-1-2034 | 402,048 | 424,223 | ||
FNMA | 3.00 | 8-1-2036 | 135,650 | 143,268 | ||
FNMA | 3.00 | 2-1-2037 | 2,710,732 | 2,863,589 | ||
FNMA | 3.00 | 8-1-2043 | 1,847,356 | 1,973,624 | ||
FNMA | 3.00 | 11-1-2046 | 1,943,585 | 2,074,419 | ||
FNMA | 3.00 | 12-1-2047 | 1,152,126 | 1,207,896 | ||
FNMA | 3.00 | 9-1-2050 | 5,709,557 | 6,041,853 | ||
FNMA | 3.50 | 4-1-2034 | 2,690,154 | 2,895,099 | ||
FNMA | 3.50 | 1-1-2035 | 128,935 | 139,781 | ||
FNMA | 3.50 | 3-1-2036 | 1,568,336 | 1,691,065 | ||
FNMA | 3.50 | 4-1-2037 | 690,948 | 739,130 | ||
FNMA | 3.50 | 6-1-2042 | 383,144 | 418,138 | ||
FNMA | 3.50 | 7-1-2042 | 643,021 | 697,795 | ||
FNMA | 3.50 | 9-1-2043 | 1,382,723 | 1,503,684 | ||
FNMA | 3.50 | 3-1-2048 | 517,471 | 550,967 | ||
FNMA | 3.50 | 5-1-2050 | 3,488,896 | 3,700,415 | ||
FNMA | 3.50 | 6-1-2050 | 784,233 | 831,403 | ||
FNMA | 4.00 | 6-1-2042 | 7,003,165 | 7,765,201 | ||
FNMA | 4.00 | 6-1-2042 | 564,257 | 621,785 | ||
FNMA | 4.00 | 8-1-2043 | 3,258,982 | 3,579,445 | ||
FNMA | 4.00 | 12-1-2047 | 2,209,983 | 2,382,333 | ||
FNMA | 4.00 | 2-1-2048 | 1,929,265 | 2,186,422 | ||
FNMA | 4.00 | 6-1-2048 | 596,841 | 643,645 | ||
FNMA | 4.00 | 8-1-2048 | 396,104 | 425,678 | ||
FNMA | 4.00 | 2-1-2050 | 1,173,949 | 1,262,745 | ||
FNMA | 4.50 | 5-1-2040 | 269,803 | 301,443 | ||
FNMA | 4.50 | 9-1-2040 | 6,555,206 | 7,386,023 | ||
FNMA | 4.50 | 2-1-2047 | 2,142,558 | 2,369,207 | ||
FNMA | 4.50 | 4-1-2048 | 663,896 | 724,973 | ||
FNMA | 4.50 | 8-1-2048 | 46,950 | 51,101 | ||
FNMA | 5.00 | 1-1-2042 | 230,028 | 265,649 | ||
FNMA | 5.00 | 6-1-2045 | 948,126 | 1,102,556 | ||
FNMA | 5.00 | 7-1-2045 | 1,483,479 | 1,717,539 | ||
FNMA | 5.50 | 9-1-2040 | 1,892,197 | 2,218,491 | ||
FNMA | 6.00 | 5-1-2041 | 103,854 | 124,914 | ||
FNMA | 6.21 | 8-6-2038 | 60,000 | 99,436 | ||
FNMA | 6.25 | 5-15-2029 | 100,000 | 138,007 | ||
FNMA | 7.13 | 1-15-2030 | 250,000 | 368,624 | ||
FNMA | 7.25 | 5-15-2030 | 80,000 | 120,071 | ||
FNMA Series 2012-M14 Class AI ±± | 2.89 | 9-25-2027 | 164,435 | 174,161 | ||
FNMA Series 2016-M5 Class A2 | 2.47 | 4-25-2026 | 220,000 | 233,565 | ||
FNMA Series 2016-M7 Class A2 | 2.50 | 9-25-2026 | 175,000 | 185,295 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA Series 2017-M1 Class A2 ±± | 2.42% | 10-25-2026 | $ | 275,000 | $ 292,726 | |
FNMA Series 2017-M11 Class A2 | 2.98 | 8-25-2029 | 1,370,000 | 1,495,949 | ||
FNMA Series 2017-M5 Class A2 ±± | 3.16 | 4-25-2029 | 70,000 | 79,136 | ||
FNMA Series 2018-M1 Class A2 ±± | 2.99 | 12-25-2027 | 1,740,000 | 1,928,155 | ||
FNMA Series 2018-M13 Class A2 ±± | 3.70 | 9-25-2030 | 90,000 | 105,907 | ||
FNMA Series 2019-M7 Class A2 | 3.14 | 4-25-2029 | 225,000 | 250,507 | ||
FNMA Series 2020 M1 Class A2 | 2.44 | 10-25-2029 | 1,100,000 | 1,178,756 | ||
GNMA %% | 2.00 | 3-18-2051 | 3,510,000 | 3,562,513 | ||
GNMA %% | 2.50 | 6-20-2050 | 5,490,000 | 5,700,164 | ||
GNMA | 2.50 | 12-20-2050 | 1,953,463 | 2,030,275 | ||
GNMA | 3.00 | 4-20-2045 | 4,108,278 | 4,355,731 | ||
GNMA | 3.00 | 11-20-2045 | 329,447 | 348,398 | ||
GNMA | 3.00 | 3-20-2046 | 733,373 | 776,220 | ||
GNMA | 3.00 | 12-20-2049 | 1,650,430 | 1,718,952 | ||
GNMA | 3.00 | 10-20-2050 | 7,480,679 | 7,862,309 | ||
GNMA | 3.50 | 2-20-2045 | 8,370,361 | 9,068,922 | ||
GNMA | 3.50 | 6-20-2045 | 1,367,511 | 1,470,984 | ||
GNMA | 3.50 | 11-20-2045 | 1,579,956 | 1,699,501 | ||
GNMA | 3.50 | 7-20-2047 | 394,599 | 421,594 | ||
GNMA | 3.50 | 5-20-2048 | 111,960 | 119,811 | ||
GNMA | 4.00 | 7-20-2044 | 1,643,135 | 1,820,037 | ||
GNMA | 4.00 | 8-20-2044 | 809,820 | 896,893 | ||
GNMA | 4.00 | 9-20-2044 | 1,660,794 | 1,839,217 | ||
GNMA | 4.00 | 12-20-2047 | 2,557,461 | 2,768,130 | ||
TVA | 1.88 | 8-15-2022 | 218,000 | 223,422 | ||
TVA | 2.88 | 2-1-2027 | 35,000 | 38,858 | ||
TVA | 4.63 | 9-15-2060 | 55,000 | 79,024 | ||
TVA | 4.65 | 6-15-2035 | 610,000 | 816,526 | ||
TVA | 5.38 | 4-1-2056 | 140,000 | 222,218 | ||
TVA | 5.50 | 6-15-2038 | 30,000 | 43,493 | ||
TVA | 6.75 | 11-1-2025 | 120,000 | 153,667 | ||
Total Agency securities (Cost $226,813,939) | 231,805,775 | |||||
Asset-backed securities: 0.63% | ||||||
Capital One Multi Asset Execution Trust Series 2017-A3 Class A3 | 2.43 | 1-15-2025 | 110,000 | 112,570 | ||
CarMax Auto Owner Trust Series 2017-2 Class A4 | 2.25 | 9-15-2022 | 144,259 | 144,936 | ||
CarMax Auto Owner Trust Series 2017-3 Class A4 | 2.22 | 11-15-2022 | 89,000 | 89,565 | ||
CarMax Auto Owner Trust Series 2018-3 Class D | 3.91 | 1-15-2025 | 80,000 | 82,765 | ||
CenterPoint Energy Transition Restoration Bond Company LLC | 4.24 | 8-15-2023 | 45,891 | 47,687 | ||
Chase Issuance Trust Series 2012-A7 Class A7 | 2.16 | 9-15-2024 | 205,000 | 211,076 | ||
Citibank Credit Card Issuance Trust Series 2014-A5 Class A5 | 2.68 | 6-7-2023 | 110,000 | 110,788 | ||
Citibank Credit Card Issuance Trust Series 2018-A3 Class A3 | 3.29 | 5-23-2025 | 180,000 | 191,932 | ||
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7 | 3.96 | 10-13-2030 | 130,000 | 153,867 | ||
Discover Card Execution Note Trust Series 2017-A2 Class A2 | 2.39 | 7-15-2024 | 335,000 | 341,491 | ||
Ford Credit Floorplan Master Owner Trust Series 2017-3 Class A | 2.48 | 9-15-2024 | 50,000 | 51,675 | ||
Ford Credit Floorplan Master Owner Trust Series 2018-2 Class A | 3.17 | 3-15-2025 | 100,000 | 105,615 | ||
Ford Credit Floorplan Master Owner Trust Series 2018-3 Class A1 | 3.52 | 10-15-2023 | 105,000 | 107,145 | ||
Ford Credit Floorplan Master Owner Trust Series 2019-2 Class A | 3.06 | 4-15-2026 | 65,000 | 69,946 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Nissan Auto Receivables Owner Trust Series 2017-A Class A4 | 2.11% | 5-15-2023 | $ | 5,283 | $ 5,297 | |
Nissan Auto Receivables Owner Trust Series 2017-C Class A4 | 2.28 | 2-15-2024 | 95,000 | 95,959 | ||
Nissan Auto Receivables Owner Trust Series 2018-B Class A4 | 3.16 | 12-16-2024 | 195,000 | 201,922 | ||
Nissan Auto Receivables Owner Trust Series 2018-C Class A4 | 3.27 | 6-16-2025 | 155,000 | 161,865 | ||
Santander Drive Auto Receivables Trust Series 2019-1 Class C | 3.42 | 4-15-2025 | 140,000 | 142,038 | ||
Synchrony Credit Card Master Note Trust Series 2016-2 Class A | 2.21 | 5-15-2024 | 175,000 | 175,754 | ||
Synchrony Credit Card Master Note Trust Series 2018-2 Class A | 3.47 | 5-15-2026 | 105,000 | 112,169 | ||
Toyota Auto Receivables Owner Trust Series 2017-D Class A4 | 2.12 | 2-15-2023 | 155,000 | 156,219 | ||
World Financial Network Credit Card Master Trust Series 2016-A Class A | 2.03 | 4-15-2025 | 237,000 | 238,274 | ||
World Omni Auto Receivables Trust Series 2017-A Class A4 | 2.24 | 6-15-2023 | 210,000 | 211,168 | ||
World Omni Auto Receivables Trust Series 2017-B Class A4 | 2.25 | 10-16-2023 | 205,000 | 207,479 | ||
World Omni Auto Receivables Trust Series 2018-D Class A4 | 3.44 | 12-16-2024 | 28,000 | 29,413 | ||
World Omni Auto Receivables Trust Series 2019-A Class A3 | 2.94 | 5-16-2022 | 146,035 | 147,160 | ||
Total Asset-backed securities (Cost $3,626,625) | 3,705,775 | |||||
Municipal obligations: 0.82% | ||||||
California: 0.33% | ||||||
Education revenue: 0.02% | ||||||
California Series B | 3.90 | 11-1-2047 | 15,000 | 17,712 | ||
University of California Series AD | 4.86 | 5-15-2112 | 70,000 | 93,510 | ||
111,222 | ||||||
GO revenue: 0.19% | ||||||
California Build America Bonds | 7.35 | 11-1-2039 | 190,000 | 301,072 | ||
California Build America Bonds | 7.55 | 4-1-2039 | 170,000 | 284,347 | ||
California Build America Bonds | 7.60 | 11-1-2040 | 15,000 | 25,947 | ||
California Build America Bonds Taxable Various Purpose | 7.50 | 4-1-2034 | 100,000 | 159,790 | ||
Los Angeles CA Community College District Build America Bonds | 6.75 | 8-1-2049 | 5,000 | 8,583 | ||
Los Angeles CA Unified School District Build America Bonds | 5.75 | 7-1-2034 | 15,000 | 20,515 | ||
Los Angeles CA Unified School District Build America Bonds | 5.76 | 7-1-2029 | 60,000 | 75,695 | ||
Los Angeles CA Unified School District Build America Bonds | 6.76 | 7-1-2034 | 160,000 | 233,491 | ||
1,109,440 | ||||||
Transportation revenue: 0.07% | ||||||
Bay Area CA Toll Authority Series 1 | 6.26 | 4-1-2049 | 100,000 | 161,027 | ||
Bay Area CA Toll Authority Series 1 | 6.92 | 4-1-2040 | 15,000 | 22,355 | ||
Bay Area CA Toll Authority Series 1 | 7.04 | 4-1-2050 | 140,000 | 240,731 | ||
424,113 | ||||||
Utilities revenue: 0.05% | ||||||
California Department of Water Resources Series P | 2.00 | 5-1-2022 | 55,000 | 56,136 |
Interest rate | Maturity date | Principal | Value | |||
Utilities revenue (continued) | ||||||
Los Angeles CA Department of Water & Power Build America Bonds Series A | 5.72% | 7-1-2039 | $ | 100,000 | $ 142,957 | |
Los Angeles CA Department of Water & Power Build America Bonds Series D | 6.57 | 7-1-2045 | 55,000 | 88,323 | ||
287,416 | ||||||
Florida: 0.04% | ||||||
Miscellaneous revenue: 0.04% | ||||||
Florida Board of Administrative Finance | 2.15 | 7-1-2030 | 200,000 | 204,170 | ||
Georgia: 0.00% | ||||||
Utilities revenue: 0.00% | ||||||
Municipal Electric Authority of Georgia Build America Bonds | 7.06 | 4-1-2057 | 10,000 | 14,193 | ||
Illinois: 0.08% | ||||||
GO revenue: 0.02% | ||||||
Chicago IL Series B | 6.31 | 1-1-2044 | 50,000 | 60,279 | ||
Illinois Taxable Pension | 5.10 | 6-1-2033 | 50,000 | 55,856 | ||
116,135 | ||||||
Miscellaneous revenue: 0.01% | ||||||
Illinois Build America Bonds Series 3 | 6.73 | 4-1-2035 | 45,000 | 53,532 | ||
Tax revenue: 0.05% | ||||||
Chicago IL Transit Authority Series B | 6.90 | 12-1-2040 | 210,000 | 299,011 | ||
Kansas: 0.00% | ||||||
Miscellaneous revenue: 0.00% | ||||||
Kansas Development Finance Authority Series H | 4.93 | 4-15-2045 | 5,000 | 6,406 | ||
Massachusetts: 0.03% | ||||||
GO revenue: 0.03% | ||||||
Massachusetts Build America Bonds Series A | 4.91 | 5-1-2029 | 130,000 | 162,858 | ||
Massachusetts Build America Bonds Series D | 4.50 | 8-1-2031 | 5,000 | 6,247 | ||
169,105 | ||||||
New Jersey: 0.05% | ||||||
Miscellaneous revenue: 0.02% | ||||||
New Jersey EDA Series A (National Insured) | 7.43 | 2-15-2029 | 95,000 | 123,609 | ||
Transportation revenue: 0.03% | ||||||
New Jersey Transportation Trust | 6.56 | 12-15-2040 | 60,000 | 85,854 | ||
New Jersey Turnpike Authority Build America Bonds Series A | 7.10 | 1-1-2041 | 70,000 | 111,055 | ||
196,909 | ||||||
New York: 0.16% | ||||||
Airport revenue: 0.07% | ||||||
Port Authority of New York & New Jersey Consolidated Bonds Series 174 | 4.46 | 10-1-2062 | 190,000 | 243,631 | ||
Port Authority of New York & New Jersey Consolidated Bonds Series 201 | 4.23 | 10-15-2057 | 100,000 | 122,998 | ||
Port Authority of New York & New Jersey Consolidated Bonds Series 210 | 4.03 | 9-1-2048 | 50,000 | 59,115 |
Interest rate | Maturity date | Principal | Value | |||
Airport revenue (continued) | ||||||
425,744 | ||||||
Tax revenue: 0.09% | ||||||
New York Metropolitan Transportation Authority Dedicated Tax Fund Build America Bonds | 7.34% | 11-15-2039 | $ | 140,000 | $ 222,375 | |
New York NY Transitional Finance Authority Build America Bonds Subseries B-1 | 5.57 | 11-1-2038 | 130,000 | 171,993 | ||
New York NY Transitional Finance Authority Build America Bonds Subseries C-2 | 5.77 | 8-1-2036 | 100,000 | 128,985 | ||
523,353 | ||||||
Water & sewer revenue: 0.00% | ||||||
New York NY Municipal Water Finance Authority Series AA | 5.44 | 6-15-2043 | 10,000 | 14,194 | ||
Ohio: 0.04% | ||||||
Education revenue: 0.00% | ||||||
Ohio State University Build America Bonds | 4.91 | 6-1-2040 | 5,000 | 6,627 | ||
Utilities revenue: 0.04% | ||||||
American Municipal Power Ohio Incorporated Build America Bonds | 5.94 | 2-15-2047 | 150,000 | 210,993 | ||
Oregon: 0.03% | ||||||
Tax revenue: 0.03% | ||||||
Oregon Department of Transportation Build America Bonds Series A | 5.83 | 11-15-2034 | 50,000 | 69,977 | ||
Oregon Taxable Pension | 5.76 | 6-1-2023 | 107,224 | 115,105 | ||
185,082 | ||||||
Pennsylvania: 0.00% | ||||||
Transportation revenue: 0.00% | ||||||
Pennsylvania Turnpike Commission Series B | 5.51 | 12-1-2045 | 5,000 | 7,008 | ||
Texas: 0.04% | ||||||
Transportation revenue: 0.02% | ||||||
Grand Parkway Transportation Corporation Series 2013E | 5.18 | 10-1-2042 | 50,000 | 66,718 | ||
Texas Private Activity Bond North Tarrant Express Managed Lanes Project Series B | 3.92 | 12-31-2049 | 50,000 | 55,273 | ||
121,991 | ||||||
Utilities revenue: 0.02% | ||||||
San Antonio TX Electric and Gas Revenue | 4.43 | 2-1-2042 | 110,000 | 134,140 | ||
Wisconsin: 0.02% | ||||||
Tax revenue: 0.02% | ||||||
Wisconsin General Fund Annual Appropriations Series C | 3.15 | 5-1-2027 | 80,000 | 88,809 | ||
Total Municipal obligations (Cost $4,459,253) | 4,833,202 | |||||
Non-agency mortgage-backed securities: 1.14% | ||||||
Benchmark Mortgage Trust Series 2018-B1 Class A2 | 3.57 | 1-15-2051 | 480,000 | 498,689 | ||
Benchmark Mortgage Trust Series 2018-B1 Class A4 | 3.40 | 1-15-2051 | 25,000 | 27,307 | ||
Benchmark Mortgage Trust Series 2018-B6 Class A4 | 4.26 | 10-10-2051 | 135,000 | 156,828 | ||
CFCRE Commercial Mortgage Trust Series 2016-C7 Class A3 | 3.84 | 12-10-2054 | 20,000 | 22,457 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class A5 | 3.14% | 2-10-2048 | $ | 55,000 | $ 59,145 | |
Citigroup Commercial Mortgage Trust Series 2016 GC37 Class B | 4.23 | 4-10-2049 | 110,000 | 120,138 | ||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class B ±± | 4.75 | 2-10-2049 | 40,000 | 44,886 | ||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class C ±± | 4.75 | 2-10-2049 | 95,000 | 100,129 | ||
Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4 | 2.90 | 7-10-2049 | 135,000 | 145,096 | ||
Citigroup Commercial Mortgage Trust Series 2017-P8 Class AS ±± | 3.79 | 9-15-2050 | 300,000 | 333,082 | ||
Citigroup Commercial Mortgage Trust Series 2018-C6 Class A4 | 4.41 | 11-10-2051 | 520,000 | 606,542 | ||
Commercial Mortgage Trust Pass-Through Certificate Series 2012-CR2 Class ASB | 2.75 | 8-15-2045 | 6,797 | 6,812 | ||
Commercial Mortgage Trust Pass-Through Certificate Series 2012-CR3 Class A3 | 2.82 | 10-15-2045 | 53,783 | 55,086 | ||
Commercial Mortgage Trust Series 2013-CR6 Class A4 | 3.10 | 3-10-2046 | 60,000 | 62,091 | ||
Commercial Mortgage Trust Series 2014 UBS5 Class C ±± | 4.60 | 9-10-2047 | 195,000 | 199,073 | ||
Commercial Mortgage Trust Series 2014-UBS6 Class C ±± | 4.45 | 12-10-2047 | 60,000 | 63,938 | ||
Commercial Mortgage Trust Series 2015-CR23 Class A3 | 3.23 | 5-10-2048 | 60,000 | 65,060 | ||
Commercial Mortgage Trust Series 2016-COR1 Class C ±± | 4.37 | 10-10-2049 | 65,000 | 68,969 | ||
Commercial Mortgage Trust Series 2016-CR28 Class A4 | 3.76 | 2-10-2049 | 215,000 | 239,336 | ||
Goldman Sachs Mortgage Securities Trust Series 2012-GCJ9 Class AS | 3.12 | 11-10-2045 | 40,000 | 41,285 | ||
Goldman Sachs Mortgage Securities Trust Series 2013-GC14 Class A5 | 4.24 | 8-10-2046 | 265,000 | 285,978 | ||
Goldman Sachs Mortgage Securities Trust Series 2014-GC18 Class B ±± | 4.89 | 1-10-2047 | 80,000 | 80,144 | ||
Goldman Sachs Mortgage Securities Trust Series 2018-GS10 Class AAB ±± | 4.11 | 7-10-2051 | 180,000 | 204,091 | ||
Goldman Sachs Mortgage Securities Trust Series 2018-GS9 Class A4 ±± | 3.99 | 3-10-2051 | 140,000 | 159,138 | ||
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2013-C15 Class A4 | 4.10 | 11-15-2045 | 13,898 | 14,883 | ||
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C31 Class A3 | 3.80 | 8-15-2048 | 195,000 | 215,960 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C29 Class A4 | 3.61 | 5-15-2048 | 200,000 | 219,791 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C5 Class A4 | 3.18 | 8-15-2045 | 60,000 | 61,615 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C11 Class AS ±± | 4.35 | 8-15-2046 | 360,000 | 361,329 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C8 Class A4 | 3.13 | 12-15-2048 | 50,000 | 52,028 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class A4 | 3.31 | 4-15-2048 | 60,000 | 65,067 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class ASB | 3.04 | 4-15-2048 | 849,681 | 889,575 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class B ±± | 3.88 | 4-15-2048 | 285,000 | 299,837 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24 Class A4 | 3.73% | 5-15-2048 | $ | 400,000 | $ 444,205 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B ±± | 3.31 | 9-15-2049 | 425,000 | 432,558 | ||
Total Non-agency mortgage-backed securities (Cost $6,436,541) | 6,702,148 | |||||
U.S. Treasury securities: 52.31% | ||||||
U.S. Treasury Bond | 1.13 | 5-15-2040 | 1,595,000 | 1,370,205 | ||
U.S. Treasury Bond | 1.13 | 8-15-2040 | 855,000 | 731,292 | ||
U.S. Treasury Bond | 1.25 | 5-15-2050 | 1,285,000 | 1,037,738 | ||
U.S. Treasury Bond | 1.38 | 11-15-2040 | 1,350,000 | 1,207,406 | ||
U.S. Treasury Bond | 1.38 | 8-15-2050 | 2,420,000 | 2,020,322 | ||
U.S. Treasury Bond | 1.50 | 1-31-2027 | 1,350,000 | 1,395,404 | ||
U.S. Treasury Bond | 1.50 | 2-15-2030 | 2,090,000 | 2,121,677 | ||
U.S. Treasury Bond | 1.63 | 11-15-2050 | 1,625,000 | 1,444,980 | ||
U.S. Treasury Bond | 1.88 | 2-15-2051 | 1,290,000 | 1,221,469 | ||
U.S. Treasury Bond | 2.00 | 2-15-2050 | 2,515,000 | 2,449,865 | ||
U.S. Treasury Bond | 2.13 | 9-30-2024 | 3,270,000 | 3,470,288 | ||
U.S. Treasury Bond | 2.13 | 11-30-2024 | 995,000 | 1,056,877 | ||
U.S. Treasury Bond | 2.25 | 8-15-2049 | 1,725,000 | 1,774,594 | ||
U.S. Treasury Bond | 2.38 | 11-15-2049 | 1,660,000 | 1,754,283 | ||
U.S. Treasury Bond | 2.50 | 2-15-2046 | 100,000 | 107,617 | ||
U.S. Treasury Bond | 2.50 | 5-15-2046 | 200,000 | 215,133 | ||
U.S. Treasury Bond | 2.75 | 8-15-2042 | 6,035,000 | 6,797,154 | ||
U.S. Treasury Bond | 2.75 | 11-15-2042 | 1,920,000 | 2,160,150 | ||
U.S. Treasury Bond | 2.75 | 11-15-2047 | 1,025,000 | 1,159,651 | ||
U.S. Treasury Bond | 2.88 | 5-15-2028 | 2,295,000 | 2,572,641 | ||
U.S. Treasury Bond | 2.88 | 5-15-2043 | 605,000 | 695,301 | ||
U.S. Treasury Bond | 2.88 | 5-15-2049 | 2,040,000 | 2,375,723 | ||
U.S. Treasury Bond | 3.00 | 5-15-2042 | 145,000 | 169,758 | ||
U.S. Treasury Bond | 3.00 | 11-15-2044 | 585,000 | 685,684 | ||
U.S. Treasury Bond | 3.00 | 5-15-2045 | 105,000 | 123,309 | ||
U.S. Treasury Bond | 3.00 | 11-15-2045 | 35,000 | 41,146 | ||
U.S. Treasury Bond | 3.00 | 2-15-2047 | 310,000 | 366,296 | ||
U.S. Treasury Bond | 3.00 | 5-15-2047 | 15,051,000 | 17,798,390 | ||
U.S. Treasury Bond | 3.00 | 2-15-2048 | 435,000 | 515,781 | ||
U.S. Treasury Bond | 3.00 | 8-15-2048 | 10,000 | 11,879 | ||
U.S. Treasury Bond | 3.00 | 2-15-2049 | 1,330,000 | 1,583,479 | ||
U.S. Treasury Bond | 3.13 | 11-15-2041 | 1,090,000 | 1,301,528 | ||
U.S. Treasury Bond | 3.13 | 2-15-2042 | 370,000 | 441,890 | ||
U.S. Treasury Bond | 3.13 | 2-15-2043 | 2,010,000 | 2,400,537 | ||
U.S. Treasury Bond | 3.38 | 5-15-2044 | 20,000 | 24,851 | ||
U.S. Treasury Bond | 3.50 | 2-15-2039 | 15,000 | 18,795 | ||
U.S. Treasury Bond | 3.63 | 8-15-2043 | 110,000 | 141,616 | ||
U.S. Treasury Bond | 3.63 | 2-15-2044 | 35,000 | 45,123 | ||
U.S. Treasury Bond | 3.75 | 8-15-2041 | 35,000 | 45,563 | ||
U.S. Treasury Bond | 3.75 | 11-15-2043 | 350,000 | 458,992 | ||
U.S. Treasury Bond | 4.25 | 11-15-2040 | 480,000 | 663,319 | ||
U.S. Treasury Bond | 4.38 | 5-15-2040 | 800,000 | 1,119,594 | ||
U.S. Treasury Bond | 4.38 | 5-15-2041 | 1,905,000 | 2,681,436 | ||
U.S. Treasury Bond | 4.50 | 8-15-2039 | 550,000 | 777,047 | ||
U.S. Treasury Bond | 4.75 | 2-15-2041 | 120,000 | 176,447 | ||
U.S. Treasury Bond | 5.00 | 5-15-2037 | 1,574,000 | 2,299,331 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Bond | 5.38% | 2-15-2031 | $ | 1,592,000 | $ 2,194,162 | |
U.S. Treasury Bond | 5.50 | 8-15-2028 | 430,000 | 564,677 | ||
U.S. Treasury Bond | 6.13 | 11-15-2027 | 245,000 | 326,223 | ||
U.S. Treasury Bond | 6.13 | 8-15-2029 | 735,000 | 1,026,301 | ||
U.S. Treasury Bond | 6.25 | 5-15-2030 | 905,000 | 1,297,791 | ||
U.S. Treasury Bond | 6.38 | 8-15-2027 | 50,000 | 66,959 | ||
U.S. Treasury Bond | 6.88 | 8-15-2025 | 335,000 | 427,648 | ||
U.S. Treasury Note | 0.13 | 4-30-2022 | 3,030,000 | 3,030,473 | ||
U.S. Treasury Note | 0.13 | 5-31-2022 | 2,595,000 | 2,595,405 | ||
U.S. Treasury Note | 0.13 | 6-30-2022 | 3,085,000 | 3,086,085 | ||
U.S. Treasury Note | 0.13 | 8-31-2022 | 1,700,000 | 1,700,066 | ||
U.S. Treasury Note | 0.13 | 5-15-2023 | 2,815,000 | 2,812,471 | ||
U.S. Treasury Note | 0.13 | 7-15-2023 | 545,000 | 544,255 | ||
U.S. Treasury Note | 0.13 | 8-15-2023 | 3,190,000 | 3,184,642 | ||
U.S. Treasury Note | 0.13 | 9-15-2023 | 2,855,000 | 2,848,978 | ||
U.S. Treasury Note | 0.13 | 12-15-2023 | 2,445,000 | 2,436,404 | ||
U.S. Treasury Note | 0.25 | 4-15-2023 | 1,475,000 | 1,477,881 | ||
U.S. Treasury Note | 0.25 | 6-15-2023 | 2,925,000 | 2,929,913 | ||
U.S. Treasury Note | 0.25 | 11-15-2023 | 3,105,000 | 3,105,970 | ||
U.S. Treasury Note | 0.25 | 5-31-2025 | 1,790,000 | 1,765,877 | ||
U.S. Treasury Note | 0.25 | 6-30-2025 | 1,295,000 | 1,276,182 | ||
U.S. Treasury Note | 0.25 | 7-31-2025 | 3,000,000 | 2,953,711 | ||
U.S. Treasury Note | 0.25 | 8-31-2025 | 3,060,000 | 3,008,482 | ||
U.S. Treasury Note | 0.25 | 9-30-2025 | 3,065,000 | 3,010,405 | ||
U.S. Treasury Note | 0.25 | 10-31-2025 | 1,905,000 | 1,869,207 | ||
U.S. Treasury Note | 0.38 | 3-31-2022 | 2,895,000 | 2,902,916 | ||
U.S. Treasury Note | 0.38 | 12-31-2025 | 2,315,000 | 2,279,732 | ||
U.S. Treasury Note | 0.38 | 7-31-2027 | 1,860,000 | 1,785,673 | ||
U.S. Treasury Note | 0.38 | 9-30-2027 | 2,985,000 | 2,855,922 | ||
U.S. Treasury Note | 0.50 | 3-15-2023 | 750,000 | 755,361 | ||
U.S. Treasury Note | 0.50 | 3-31-2025 | 2,925,000 | 2,921,915 | ||
U.S. Treasury Note | 0.50 | 4-30-2027 | 220,000 | 213,770 | ||
U.S. Treasury Note | 0.50 | 5-31-2027 | 1,645,000 | 1,595,907 | ||
U.S. Treasury Note | 0.50 | 6-30-2027 | 2,225,000 | 2,156,251 | ||
U.S. Treasury Note | 0.50 | 8-31-2027 | 2,015,000 | 1,946,364 | ||
U.S. Treasury Note | 0.63 | 3-31-2027 | 1,015,000 | 995,255 | ||
U.S. Treasury Note | 0.63 | 11-30-2027 | 2,840,000 | 2,755,244 | ||
U.S. Treasury Note | 0.63 | 12-31-2027 | 2,145,000 | 2,078,639 | ||
U.S. Treasury Note | 0.63 | 5-15-2030 | 2,675,000 | 2,505,618 | ||
U.S. Treasury Note | 0.63 | 8-15-2030 | 3,160,000 | 2,950,156 | ||
U.S. Treasury Note | 0.75 | 1-31-2028 | 1,615,000 | 1,576,896 | ||
U.S. Treasury Note | 0.88 | 11-15-2030 | 3,240,000 | 3,089,138 | ||
U.S. Treasury Note | 1.13 | 2-28-2025 | 1,855,000 | 1,900,071 | ||
U.S. Treasury Note | 1.25 | 7-31-2023 | 630,000 | 646,095 | ||
U.S. Treasury Note | 1.25 | 8-31-2024 | 810,000 | 834,205 | ||
U.S. Treasury Note | 1.38 | 6-30-2023 | 4,245,000 | 4,362,069 | ||
U.S. Treasury Note | 1.38 | 8-31-2023 | 725,000 | 746,212 | ||
U.S. Treasury Note | 1.38 | 9-30-2023 | 6,135,000 | 6,319,290 | ||
U.S. Treasury Note | 1.38 | 8-31-2026 | 1,290,000 | 1,327,491 | ||
U.S. Treasury Note | 1.50 | 8-15-2022 | 2,480,000 | 2,529,891 | ||
U.S. Treasury Note | 1.50 | 1-15-2023 | 1,695,000 | 1,738,302 | ||
U.S. Treasury Note | 1.50 | 2-28-2023 | 3,560,000 | 3,656,788 | ||
U.S. Treasury Note | 1.50 | 3-31-2023 | 6,085,000 | 6,255,428 | ||
U.S. Treasury Note | 1.50 | 9-30-2024 | 3,215,000 | 3,339,581 | ||
U.S. Treasury Note | 1.50 | 10-31-2024 | 225,000 | 233,728 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Note | 1.50% | 8-15-2026 | $ | 545,000 | $ 564,437 | |
U.S. Treasury Note | 1.63 | 8-15-2022 | 175,000 | 178,828 | ||
U.S. Treasury Note | 1.63 | 4-30-2023 | 280,000 | 288,827 | ||
U.S. Treasury Note | 1.63 | 5-31-2023 | 3,090,000 | 3,190,184 | ||
U.S. Treasury Note | 1.63 | 10-31-2023 | 2,540,000 | 2,634,456 | ||
U.S. Treasury Note | 1.63 | 2-15-2026 | 6,240,000 | 6,518,606 | ||
U.S. Treasury Note | 1.63 | 5-15-2026 | 2,720,000 | 2,839,000 | ||
U.S. Treasury Note | 1.63 | 9-30-2026 | 1,395,000 | 1,453,579 | ||
U.S. Treasury Note | 1.63 | 10-31-2026 | 915,000 | 953,137 | ||
U.S. Treasury Note | 1.63 | 8-15-2029 | 2,005,000 | 2,063,192 | ||
U.S. Treasury Note | 1.75 | 3-31-2022 | 2,585,000 | 2,630,944 | ||
U.S. Treasury Note | 1.75 | 4-30-2022 | 805,000 | 820,408 | ||
U.S. Treasury Note | 1.75 | 5-15-2022 | 3,030,000 | 3,090,127 | ||
U.S. Treasury Note | 1.75 | 5-31-2022 | 3,425,000 | 3,495,507 | ||
U.S. Treasury Note | 1.75 | 6-30-2022 | 2,820,000 | 2,881,798 | ||
U.S. Treasury Note | 1.75 | 9-30-2022 | 10,000 | 10,256 | ||
U.S. Treasury Note | 1.75 | 5-15-2023 | 410,000 | 424,206 | ||
U.S. Treasury Note | 1.75 | 6-30-2024 | 3,510,000 | 3,672,475 | ||
U.S. Treasury Note | 1.75 | 12-31-2026 | 2,720,000 | 2,851,644 | ||
U.S. Treasury Note | 1.75 | 11-15-2029 | 830,000 | 861,903 | ||
U.S. Treasury Note | 1.88 | 7-31-2022 | 1,865,000 | 1,911,115 | ||
U.S. Treasury Note | 1.88 | 10-31-2022 | 2,775,000 | 2,855,323 | ||
U.S. Treasury Note | 1.88 | 8-31-2024 | 3,290,000 | 3,460,412 | ||
U.S. Treasury Note | 2.00 | 10-31-2022 | 1,990,000 | 2,052,032 | ||
U.S. Treasury Note | 2.00 | 11-30-2022 | 1,300,000 | 1,342,352 | ||
U.S. Treasury Note | 2.00 | 2-15-2023 | 30,000 | 31,088 | ||
U.S. Treasury Note | 2.00 | 6-30-2024 | 4,751,000 | 5,011,006 | ||
U.S. Treasury Note | 2.00 | 2-15-2025 | 340,000 | 360,002 | ||
U.S. Treasury Note | 2.00 | 8-15-2025 | 1,200,000 | 1,273,875 | ||
U.S. Treasury Note | 2.13 | 12-31-2022 | 1,700,000 | 1,761,824 | ||
U.S. Treasury Note | 2.13 | 11-30-2023 | 750,000 | 788,818 | ||
U.S. Treasury Note | 2.13 | 7-31-2024 | 10,000 | 10,596 | ||
U.S. Treasury Note | 2.13 | 5-15-2025 | 880,000 | 937,991 | ||
U.S. Treasury Note | 2.25 | 12-31-2023 | 15,000 | 15,844 | ||
U.S. Treasury Note | 2.25 | 4-30-2024 | 605,000 | 641,820 | ||
U.S. Treasury Note | 2.25 | 10-31-2024 | 2,035,000 | 2,170,852 | ||
U.S. Treasury Note | 2.25 | 11-15-2024 | 640,000 | 682,725 | ||
U.S. Treasury Note | 2.25 | 12-31-2024 | 1,485,000 | 1,585,586 | ||
U.S. Treasury Note | 2.25 | 11-15-2025 | 1,805,000 | 1,937,766 | ||
U.S. Treasury Note | 2.25 | 2-15-2027 | 400,000 | 430,828 | ||
U.S. Treasury Note | 2.25 | 11-15-2027 | 20,000 | 21,536 | ||
U.S. Treasury Note | 2.38 | 8-15-2024 | 490,000 | 523,688 | ||
U.S. Treasury Note | 2.38 | 5-15-2027 | 4,133,000 | 4,485,274 | ||
U.S. Treasury Note | 2.38 | 5-15-2029 | 690,000 | 750,887 | ||
U.S. Treasury Note | 2.50 | 8-15-2023 | 1,975,000 | 2,086,557 | ||
U.S. Treasury Note | 2.50 | 1-31-2024 | 895,000 | 952,965 | ||
U.S. Treasury Note | 2.50 | 5-15-2024 | 1,150,000 | 1,230,635 | ||
U.S. Treasury Note | 2.50 | 1-31-2025 | 1,670,000 | 1,800,925 | ||
U.S. Treasury Note | 2.50 | 2-28-2026 | 800,000 | 870,250 | ||
U.S. Treasury Note | 2.63 | 12-31-2025 | 2,015,000 | 2,201,309 | ||
U.S. Treasury Note | 2.63 | 1-31-2026 | 2,230,000 | 2,438,017 | ||
U.S. Treasury Note | 2.63 | 2-15-2029 | 3,060,000 | 3,387,277 | ||
U.S. Treasury Note | 2.75 | 7-31-2023 | 2,665,000 | 2,829,376 | ||
U.S. Treasury Note | 2.75 | 11-15-2023 | 2,040,000 | 2,178,497 | ||
U.S. Treasury Note | 2.75 | 2-28-2025 | 1,410,000 | 1,535,909 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Note | 2.75% | 6-30-2025 | $ | 1,270,000 | $ 1,388,021 | |
U.S. Treasury Note | 2.75 | 8-31-2025 | 2,185,000 | 2,392,063 | ||
U.S. Treasury Note | 2.75 | 2-15-2028 | 2,685,000 | 2,982,238 | ||
U.S. Treasury Note | 2.88 | 11-30-2023 | 2,400,000 | 2,573,156 | ||
U.S. Treasury Note | 2.88 | 11-30-2025 | 1,145,000 | 1,263,436 | ||
U.S. Treasury Note | 2.88 | 8-15-2028 | 1,875,000 | 2,104,907 | ||
U.S. Treasury Note | 3.13 | 11-15-2028 | 1,910,000 | 2,181,727 | ||
U.S. Treasury Note | 6.00 | 2-15-2026 | 450,000 | 566,385 | ||
U.S. Treasury Note | 6.50 | 11-15-2026 | 745,000 | 979,297 | ||
U.S. Treasury Note | 7.50 | 11-15-2024 | 695,000 | 876,759 | ||
Total U.S. Treasury securities (Cost $299,330,740) | 307,112,097 | |||||
Yankee corporate bonds and notes: 2.60% | ||||||
Energy: 0.21% | ||||||
Oil, gas & consumable fuels: 0.21% | ||||||
Ecopetrol SA | 5.88 | 9-18-2023 | 370,000 | 410,238 | ||
Ecopetrol SA | 5.88 | 5-28-2045 | 90,000 | 97,275 | ||
Equinor ASA | 1.75 | 1-22-2026 | 370,000 | 381,459 | ||
Equinor ASA | 3.00 | 4-6-2027 | 150,000 | 163,009 | ||
Equinor ASA | 3.13 | 4-6-2030 | 160,000 | 173,955 | ||
1,225,936 | ||||||
Financials: 2.39% | ||||||
Banks: 2.39% | ||||||
African Development Bank | 0.75 | 4-3-2023 | 410,000 | 414,275 | ||
Asian Development Bank | 1.50 | 10-18-2024 | 360,000 | 372,005 | ||
Asian Development Bank | 1.75 | 9-19-2029 | 160,000 | 164,097 | ||
Asian Development Bank | 1.88 | 1-24-2030 | 110,000 | 113,648 | ||
Asian Development Bank | 2.00 | 2-16-2022 | 760,000 | 773,001 | ||
Asian Development Bank | 2.00 | 4-24-2026 | 60,000 | 63,350 | ||
Asian Development Bank | 2.63 | 1-12-2027 | 180,000 | 196,529 | ||
Asian Development Bank | 5.82 | 6-16-2028 | 10,000 | 13,087 | ||
Asian Development Bank | 6.22 | 8-15-2027 | 80,000 | 102,881 | ||
Asian Infrastructure Investment Bank | 0.50 | 5-28-2025 | 350,000 | 348,057 | ||
Corporación Andina de Fomento | 3.75 | 11-23-2023 | 130,000 | 139,776 | ||
Corporación Andina de Fomento | 4.38 | 6-15-2022 | 120,000 | 125,551 | ||
European Bank for Reconstruction & Development | 0.50 | 5-19-2025 | 430,000 | 428,031 | ||
European Bank for Reconstruction & Development | 2.13 | 3-7-2022 | 10,000 | 10,197 | ||
European Investment Bank | 0.25 | 9-15-2023 | 470,000 | 469,132 | ||
European Investment Bank | 0.63 | 7-25-2025 | 160,000 | 159,184 | ||
European Investment Bank | 0.88 | 5-17-2030 | 120,000 | 113,797 | ||
European Investment Bank | 1.88 | 2-10-2025 | 110,000 | 115,390 | ||
European Investment Bank | 2.00 | 12-15-2022 | 100,000 | 103,213 | ||
European Investment Bank | 2.25 | 6-24-2024 | 640,000 | 678,111 | ||
European Investment Bank | 2.50 | 3-15-2023 | 200,000 | 209,273 | ||
European Investment Bank | 3.25 | 1-29-2024 | 270,000 | 292,562 | ||
European Investment Bank | 4.88 | 2-15-2036 | 50,000 | 68,403 | ||
FMS Wertmanagement | 2.00 | 8-1-2022 | 260,000 | 266,575 | ||
Inter-American Development Bank | 1.75 | 4-14-2022 | 580,000 | 590,181 | ||
Inter-American Development Bank | 1.75 | 9-14-2022 | 250,000 | 256,024 | ||
Inter-American Development Bank | 1.75 | 3-14-2025 | 560,000 | 585,631 | ||
Inter-American Development Bank | 2.00 | 6-2-2026 | 60,000 | 63,353 |
Interest rate | Maturity date | Principal | Value | |||
Banks (continued) | ||||||
Inter-American Development Bank | 2.13% | 1-18-2022 | $ | 60,000 | $ 61,017 | |
Inter-American Development Bank | 2.13 | 1-15-2025 | 150,000 | 158,937 | ||
Inter-American Development Bank | 2.38 | 7-7-2027 | 30,000 | 32,209 | ||
International Bank for Reconstruction & Development | 0.50 | 10-28-2025 | 410,000 | 404,869 | ||
International Bank for Reconstruction & Development | 0.75 | 8-26-2030 | 130,000 | 121,285 | ||
International Bank for Reconstruction & Development | 1.50 | 8-28-2024 | 400,000 | 414,099 | ||
International Bank for Reconstruction & Development | 1.88 | 10-7-2022 | 320,000 | 328,730 | ||
International Bank for Reconstruction & Development | 1.88 | 6-19-2023 | 470,000 | 487,576 | ||
International Bank for Reconstruction & Development | 2.00 | 1-26-2022 | 30,000 | 30,493 | ||
International Bank for Reconstruction & Development | 2.50 | 3-19-2024 | 480,000 | 510,761 | ||
International Bank for Reconstruction & Development | 2.50 | 7-29-2025 | 20,000 | 21,538 | ||
International Bank for Reconstruction & Development | 2.50 | 11-22-2027 | 370,000 | 401,733 | ||
International Finance Corporation | 1.38 | 10-16-2024 | 100,000 | 102,962 | ||
International Finance Corporation | 2.13 | 4-7-2026 | 100,000 | 106,398 | ||
KfW ¤ | 0.00 | 4-18-2036 | 80,000 | 58,876 | ||
KfW ¤ | 0.00 | 6-29-2037 | 50,000 | 36,264 | ||
KfW | 0.75 | 9-30-2030 | 260,000 | 242,228 | ||
KfW | 2.00 | 5-2-2025 | 40,000 | 42,289 | ||
KfW | 2.13 | 3-7-2022 | 290,000 | 295,674 | ||
KfW | 2.13 | 6-15-2022 | 110,000 | 112,736 | ||
KfW | 2.13 | 1-17-2023 | 870,000 | 901,033 | ||
KfW | 2.50 | 2-15-2022 | 140,000 | 143,086 | ||
KfW | 2.88 | 4-3-2028 | 410,000 | 455,777 | ||
Landwirtschaftliche Rentenbank | 1.75 | 7-27-2026 | 10,000 | 10,432 | ||
Landwirtschaftliche Rentenbank | 2.00 | 1-13-2025 | 150,000 | 158,105 | ||
Nordic Investment Bank | 0.38 | 9-11-2025 | 370,000 | 362,358 | ||
Oesterreichische Kontrollbank AG | 2.88 | 3-13-2023 | 260,000 | 273,775 | ||
Swedish Export Credit ¤ | 0.00 | 5-11-2037 | 65,000 | 43,427 | ||
Swedish Export Credit | 0.50 | 8-26-2025 | 510,000 | 501,485 | ||
14,055,466 | ||||||
Total Yankee corporate bonds and notes (Cost $15,070,545) | 15,281,402 | |||||
Yankee government bonds: 2.12% | ||||||
Canada Government | 2.00 | 11-15-2022 | 260,000 | 268,035 | ||
Export Development Canada | 2.63 | 2-21-2024 | 430,000 | 458,480 | ||
Export-Import Bank of Korea | 2.88 | 1-21-2025 | 400,000 | 427,516 | ||
Japan Bank for International Cooperation | 0.38 | 9-15-2023 | 760,000 | 758,894 | ||
Japan Bank for International Cooperation | 2.75 | 11-16-2027 | 360,000 | 393,212 | ||
Japan Bank for International Cooperation | 3.38 | 10-31-2023 | 270,000 | 290,776 | ||
Korea Development Bank | 2.63 | 2-27-2022 | 330,000 | 337,085 | ||
Oriental Republic of Uruguay | 4.38 | 1-23-2031 | 75,000 | 86,532 | ||
Oriental Republic of Uruguay | 4.98 | 4-20-2055 | 200,000 | 243,302 | ||
Oriental Republic of Uruguay | 5.10 | 6-18-2050 | 85,000 | 104,870 | ||
Province of Alberta | 1.30 | 7-22-2030 | 210,000 | 201,118 | ||
Province of Alberta | 1.88 | 11-13-2024 | 210,000 | 219,583 | ||
Province of Alberta | 2.20 | 7-26-2022 | 250,000 | 256,673 | ||
Province of British Columbia | 2.00 | 10-23-2022 | 15,000 | 15,439 | ||
Province of British Columbia | 7.25 | 9-1-2036 | 100,000 | 160,243 | ||
Province of Manitoba | 2.10 | 9-6-2022 | 120,000 | 123,323 | ||
Province of Manitoba | 3.05 | 5-14-2024 | 150,000 | 162,046 | ||
Province of Ontario | 2.00 | 10-2-2029 | 90,000 | 92,928 | ||
Province of Ontario | 2.20 | 10-3-2022 | 120,000 | 123,621 | ||
Province of Ontario | 2.30 | 6-15-2026 | 70,000 | 74,599 | ||
Province of Ontario | 2.50 | 4-27-2026 | 70,000 | 75,334 |
Interest rate | Maturity date | Principal | Value | |||
Yankee government bonds (continued) | ||||||
Province of Ontario | 3.20% | 5-16-2024 | $ | 5,000 | $ 5,428 | |
Province of Ontario | 3.40 | 10-17-2023 | 110,000 | 118,511 | ||
Province of Quebec | 1.35 | 5-28-2030 | 100,000 | 97,793 | ||
Province of Quebec | 2.50 | 4-9-2024 | 70,000 | 74,354 | ||
Province of Quebec | 2.50 | 4-20-2026 | 75,000 | 80,850 | ||
Province of Quebec | 2.63 | 2-13-2023 | 60,000 | 62,716 | ||
Province of Quebec | 7.13 | 2-9-2024 | 110,000 | 130,837 | ||
Province of Quebec | 7.50 | 7-15-2023 | 80,000 | 93,120 | ||
Republic of Chile | 3.24 | 2-6-2028 | 250,000 | 273,440 | ||
Republic of Colombia | 3.88 | 4-25-2027 | 200,000 | 215,702 | ||
Republic of Colombia | 6.13 | 1-18-2041 | 225,000 | 271,125 | ||
Republic of Colombia | 7.38 | 9-18-2037 | 140,000 | 185,850 | ||
Republic of Colombia | 8.13 | 5-21-2024 | 80,000 | 95,801 | ||
Republic of Hungary | 5.38 | 3-25-2024 | 19,000 | 21,594 | ||
Republic of Hungary | 7.63 | 3-29-2041 | 112,000 | 185,499 | ||
Republic of Indonesia | 3.50 | 1-11-2028 | 200,000 | 215,310 | ||
Republic of Indonesia | 4.35 | 1-11-2048 | 205,000 | 221,995 | ||
Republic of Italy | 2.88 | 10-17-2029 | 415,000 | 425,755 | ||
Republic of Italy | 5.38 | 6-15-2033 | 60,000 | 75,127 | ||
Republic of Korea | 3.88 | 9-11-2023 | 210,000 | 228,172 | ||
Republic of Panama | 3.87 | 7-23-2060 | 200,000 | 197,500 | ||
Republic of Panama | 9.38 | 4-1-2029 | 250,000 | 368,440 | ||
Republic of Peru | 2.78 | 1-23-2031 | 200,000 | 202,702 | ||
Republic of Peru | 2.84 | 6-20-2030 | 180,000 | 186,480 | ||
Republic of Peru | 5.63 | 11-18-2050 | 140,000 | 191,800 | ||
Republic of Philippines | 2.65 | 12-10-2045 | 200,000 | 180,026 | ||
Republic of Philippines | 3.70 | 2-2-2042 | 215,000 | 227,212 | ||
Republic of Philippines | 5.50 | 3-30-2026 | 410,000 | 500,143 | ||
Republic of Philippines | 9.50 | 2-2-2030 | 55,000 | 87,330 | ||
Republic of Poland | 3.00 | 3-17-2023 | 215,000 | 226,116 | ||
Republic of Poland | 3.25 | 4-6-2026 | 10,000 | 11,175 | ||
State of Israel | 3.38 | 1-15-2050 | 350,000 | 352,002 | ||
State of Israel | 5.50 | 12-4-2023 | 120,000 | 137,184 | ||
State of Israel | 5.50 | 9-18-2033 | 6,000 | 8,475 | ||
United Mexican States | 4.00 | 10-2-2023 | 194,000 | 210,005 | ||
United Mexican States | 4.15 | 3-28-2027 | 205,000 | 229,090 | ||
United Mexican States | 4.35 | 1-15-2047 | 225,000 | 222,525 | ||
United Mexican States | 4.50 | 1-31-2050 | 260,000 | 263,578 | ||
United Mexican States | 4.75 | 3-8-2044 | 54,000 | 57,106 | ||
United Mexican States | 5.55 | 1-21-2045 | 255,000 | 298,034 | ||
United Mexican States | 5.75 | 10-12-2099 | 21,000 | 23,888 | ||
United Mexican States | 6.05 | 1-11-2040 | 40,000 | 48,800 | ||
United Mexican States | 7.50 | 4-8-2033 | 110,000 | 150,151 | ||
United Mexican States | 8.30 | 8-15-2031 | 60,000 | 88,650 | ||
Total Yankee government bonds (Cost $12,119,362) | 12,421,000 |
Yield | Shares | Value | ||||
Short-term investments: 9.82% | ||||||
Investment companies: 9.82% | ||||||
Wells Fargo Government Money Market Fund Select Class ♠∞## | 0.03% | 57,676,698 | $ 57,676,698 | |||
Total Short-term investments (Cost $57,676,698) | 57,676,698 | |||||
Total investments in securities (Cost $625,533,703) | 108.92% | 639,538,097 | ||||
Other assets and liabilities, net | (8.92) | (52,375,756) | ||||
Total net assets | 100.00% | $587,162,341 |
±± | The coupon of the security is adjusted based on the principal and interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
## | All or a portion of this security is segregated for when-issued securities. |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
EDA | Economic Development Authority |
FFCB | Federal Farm Credit Banks |
FHLB | Federal Home Loan Bank |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General obligation |
National | National Public Finance Guarantee Corporation |
TVA | Tennessee Valley Authority |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $11,379,432 | $280,141,023 | $(233,843,757) | $0 | $0 | $57,676,698 | 9.82% | 57,676,698 | $21,796 |
Assets | |
Investments in unaffiliated securities, at value (cost $567,857,005) | $ 581,861,399 |
Investments in affiliated securites, at value (cost $57,676,698) | 57,676,698 |
Cash held at broker | 270,000 |
Receivable for investments sold | 12,020,979 |
Receivable for interest | 2,000,674 |
Total assets | 653,829,750 |
Liabilities | |
Payable for when-issued transactions | 56,623,879 |
Payable for investments purchased | 9,570,740 |
Overdraft due to custodian bank | 270,000 |
Advisory fee payable | 121,366 |
Trustees’ fees and expenses payable | 857 |
Accrued expenses and other liabilities | 80,567 |
Total liabilities | 66,667,409 |
Total net assets | $587,162,341 |
Investment income | |
Interest (net of foreign withholding taxes of $1,148) | $ 9,179,089 |
Income from affiliated securities | 21,796 |
Total investment income | 9,200,885 |
Expenses | |
Advisory fee | 283,422 |
Custody and accounting fees | 33,286 |
Professional fees | 44,521 |
Interest holder report expenses | 6,982 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 16,037 |
Total expenses | 403,843 |
Less: Fee waivers and/or expense reimbursements | (98,078) |
Net expenses | 305,765 |
Net investment income | 8,895,120 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 13,824,150 |
Net change in unrealized gains (losses) on investments | (20,010,769) |
Net realized and unrealized gains (losses) on investments | (6,186,619) |
Net increase in net assets resulting from operations | $ 2,708,501 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 8,895,120 | $ 14,752,004 |
Net realized gains on investments | 13,824,150 | 2,813,519 |
Net change in unrealized gains (losses) on investments | (20,010,769) | 44,821,599 |
Net increase in net assets resulting from operations | 2,708,501 | 62,387,122 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 200,389,400 | 135,893,333 |
Withdrawals | (281,370,896) | (144,584,522) |
Net decrease in net assets resulting from capital transactions | (80,981,496) | (8,691,189) |
Total increase (decrease) in net assets | (78,272,995) | 53,695,933 |
Net assets | ||
Beginning of period | 665,435,336 | 611,739,403 |
End of period | $ 587,162,341 | $ 665,435,336 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 0.52% | 10.34% | 3.23% | (1.39)% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.07% | 0.07% | 0.08% | 0.08% | ||
Net expenses | 0.05% 3 | 0.06% | 0.07% | 0.07% | ||
Net investment income | 1.57% | 2.32% | 2.38% | 2.03% | ||
Supplemental data | ||||||
Portfolio turnover rate | 114% | 46% | 72% | 221% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.02% higher. |
Gross unrealized gains | $14,156,657 |
Gross unrealized losses | (6,430) |
Net unrealized gains | $14,150,227 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 231,805,775 | $0 | $ 231,805,775 |
Asset-backed securities | 0 | 3,705,775 | 0 | 3,705,775 |
Municipal obligations | 0 | 4,833,202 | 0 | 4,833,202 |
Non-agency mortgage-backed securities | 0 | 6,702,148 | 0 | 6,702,148 |
U.S. Treasury securities | 307,112,097 | 0 | 0 | 307,112,097 |
Yankee corporate bonds and notes | 0 | 15,281,402 | 0 | 15,281,402 |
Yankee government bonds | 0 | 12,421,000 | 0 | 12,421,000 |
Short-term investments | ||||
Investment companies | 57,676,698 | 0 | 0 | 57,676,698 |
Total assets | $364,788,795 | $274,749,302 | $0 | $639,538,097 |
Average daily net assets | Advisory fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$620,758,426 | $25,955,025 | $614,865,071 | $34,986,730 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Emerging Markets Bond Portfolio
Investment objective | The Portfolio seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index before fees and expenses. |
Adviser | Wells Fargo Funds Management, LLC |
Subadvisers | Wells Fargo Asset Management (International) Limited |
Wells Fargo Capital Management Incorporated | |
Portfolio managers | Manjunath Boraiah †, Michael Lee, Alex Perrin |
Ten largest holdings (%) as of February 28, 20211 | |
Republic of South Africa, 4.85%, 9-30-2029 | 1.64 |
Qatar Government, 4.63%, 6-2-2046 | 1.46 |
Republic of Peru, 6.55%, 3-14-2037 | 1.36 |
Kingdom of Bahrain, 7.00%, 10-12-2028 | 1.23 |
Petroleos Mexicanos Company, 5.95%, 1-28-2031 | 1.23 |
Federation of Malaysia, 3.18%, 4-27-2026 | 1.19 |
Ukraine Government, 7.75%, 9-1-2025 | 1.18 |
Federative Republic of Brazil, 4.63%, 1-13-2028 | 1.17 |
Government of Jamaica, 7.88%, 7-28-2045 | 1.13 |
Republic of Philippines, 6.38%, 1-15-2032 | 1.11 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
† | Mr. Boriah became a portfolio manager of the Portfolio on January 11, 2021. |
Interest rate | Maturity date | Principal | Value | |||
Yankee corporate bonds and notes: 13.66% | ||||||
Azerbaijan: 0.57% | ||||||
State Oil Company of the Azerbaijan Republic (Energy, Oil, gas & consumable fuels) | 4.75% | 3-13-2023 | $ | 200,000 | $ 211,710 | |
Bahrain: 0.60% | ||||||
Oil & Gas Holding Company (Energy, Oil, gas & consumable fuels) | 7.63 | 11-7-2024 | 200,000 | 222,822 | ||
Chile: 1.54% | ||||||
Codelco Incorporated (Materials, Metals & mining) | 4.25 | 7-17-2042 | 250,000 | 272,245 | ||
Codelco Incorporated (Materials, Metals & mining) | 4.88 | 11-4-2044 | 250,000 | 296,100 | ||
568,345 | ||||||
China: 2.23% | ||||||
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, gas & consumable fuels) | 3.00 | 4-12-2022 | 200,000 | 204,474 | ||
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, gas & consumable fuels) | 3.25 | 4-28-2025 | 200,000 | 213,817 | ||
Sinopec Group Overseas Development (2018) Limited (Energy, Oil, gas & consumable fuels)144A | 2.30 | 1-8-2031 | 200,000 | 193,926 | ||
State Grid Overseas Investment (2016) Limited (Utilities, Electric utilities) | 2.88 | 5-18-2026 | 200,000 | 212,505 | ||
824,722 | ||||||
Indonesia: 1.74% | ||||||
PT Indonesia Asahan Aluminium Persero Tbk (Materials, Metals & mining) | 5.71 | 11-15-2023 | 200,000 | 221,250 | ||
PT Pertamina Persero Tbk (Energy, Oil, gas & consumable fuels) | 5.63 | 5-20-2043 | 200,000 | 231,352 | ||
PT Perusahaan Listrik Negar Tbk (Utilities, Electric utilities) | 4.00 | 6-30-2050 | 200,000 | 188,250 | ||
640,852 | ||||||
Kazakhstan: 0.64% | ||||||
KazMunayGas National Company JSC (Energy, Oil, gas & consumable fuels) | 5.75 | 4-19-2047 | 200,000 | 235,825 | ||
Malaysia: 1.58% | ||||||
Petronas Capital Limited Bhd (Energy, Oil, gas & consumable fuels) | 3.50 | 4-21-2030 | 200,000 | 219,536 | ||
Petronas Capital Limited Bhd (Energy, Oil, gas & consumable fuels) | 4.50 | 3-18-2045 | 300,000 | 362,027 | ||
581,563 | ||||||
Mexico: 2.25% | ||||||
Petroleos Mexicanos Company (Energy, Oil, gas & consumable fuels) | 5.63 | 1-23-2046 | 250,000 | 201,975 | ||
Petroleos Mexicanos Company (Energy, Oil, gas & consumable fuels) | 5.95 | 1-28-2031 | 470,000 | 453,550 | ||
Petroleos Mexicanos Company (Energy, Oil, gas & consumable fuels) | 6.75 | 9-21-2047 | 200,000 | 175,800 | ||
831,325 | ||||||
Netherlands: 0.76% | ||||||
MDC-GMTN BV (Financials, Diversified financial services) | 3.75 | 4-19-2029 | 250,000 | 280,570 |
Interest rate | Maturity date | Principal | Value | |||
Saudi Arabia: 1.13% | ||||||
KSA Sukuk Limited (Financials, Diversified financial services) | 2.89% | 4-20-2022 | $ | 200,000 | $ 205,038 | |
KSA Sukuk Limited (Financials, Diversified financial services) | 2.97 | 10-29-2029 | 200,000 | 211,144 | ||
416,182 | ||||||
United Arab Emirates: 0.62% | ||||||
Abu Dhabi Crude Oil Pipeline LLC (Energy, Oil, gas & consumable fuels) | 4.60 | 11-2-2047 | 200,000 | 230,373 | ||
Total Yankee corporate bonds and notes (Cost $4,808,460) | 5,044,289 | |||||
Yankee government bonds: 83.42% | ||||||
Abu Dhabi Government | 2.13 | 9-30-2024 | 200,000 | 208,653 | ||
Abu Dhabi Government | 2.50 | 10-11-2022 | 200,000 | 206,371 | ||
Abu Dhabi Government | 3.13 | 9-30-2049 | 200,000 | 192,810 | ||
Abu Dhabi Government | 3.88 | 4-16-2050 | 200,000 | 220,000 | ||
Arab Republic of Egypt | 5.88 | 6-11-2025 | 200,000 | 213,500 | ||
Arab Republic of Egypt | 7.50 | 1-31-2027 | 200,000 | 225,250 | ||
Arab Republic of Egypt | 8.50 | 1-31-2047 | 250,000 | 259,820 | ||
Arab Republic of Egypt | 8.70 | 3-1-2049 | 200,000 | 210,792 | ||
China Development Bank | 4.00 | 1-24-2037 | 350,000 | 380,684 | ||
China Government | 0.40 | 10-21-2023 | 200,000 | 199,904 | ||
China Government | 1.88 | 12-3-2022 | 200,000 | 205,154 | ||
Dominican Republic | 5.88 | 1-30-2060 | 200,000 | 194,500 | ||
Dominican Republic | 5.95 | 1-25-2027 | 350,000 | 394,275 | ||
Dominican Republic | 6.00 | 7-19-2028 | 200,000 | 226,000 | ||
Dominican Republic | 6.40 | 6-5-2049 | 150,000 | 158,477 | ||
Export-Import Bank of India | 4.00 | 1-14-2023 | 250,000 | 262,783 | ||
Federation of Malaysia | 3.18 | 4-27-2026 | 400,000 | 438,822 | ||
Federative Republic of Brazil | 2.63 | 1-5-2023 | 200,000 | 206,700 | ||
Federative Republic of Brazil | 4.50 | 5-30-2029 | 200,000 | 213,169 | ||
Federative Republic of Brazil | 4.63 | 1-13-2028 | 400,000 | 430,603 | ||
Federative Republic of Brazil | 5.63 | 1-7-2041 | 250,000 | 262,627 | ||
Government of Jamaica | 7.88 | 7-28-2045 | 300,000 | 417,000 | ||
Islamic Republic of Pakistan | 8.25 | 9-30-2025 | 200,000 | 223,320 | ||
Kingdom of Bahrain | 6.75 | 9-20-2029 | 200,000 | 221,834 | ||
Kingdom of Bahrain | 7.00 | 10-12-2028 | 400,000 | 454,000 | ||
Kingdom of Jordan | 5.85 | 7-7-2030 | 200,000 | 213,276 | ||
Kingdom of Morocco | 4.25 | 12-11-2022 | 200,000 | 210,220 | ||
Kuwait Government | 3.50 | 3-20-2027 | 200,000 | 223,006 | ||
Lebanese Republic † | 6.60 | 11-27-2026 | 300,000 | 37,392 | ||
Lebanese Republic † | 7.05 | 11-2-2035 | 200,000 | 25,820 | ||
Lebanese Republic † | 8.25 | 4-12-2021 | 350,000 | 45,185 | ||
Mongolia Government | 5.13 | 12-5-2022 | 200,000 | 207,311 | ||
Oman Government | 3.88 | 3-8-2022 | 300,000 | 303,210 | ||
Oman Government | 5.93 | 10-31-2025 | 200,000 | 220,108 | ||
Oman Government | 6.50 | 3-8-2047 | 400,000 | 378,048 | ||
Oriental Republic of Uruguay | 4.38 | 10-27-2027 | 200,000 | 228,002 | ||
Oriental Republic of Uruguay | 4.98 | 4-20-2055 | 100,000 | 121,651 | ||
Oriental Republic of Uruguay | 5.10 | 6-18-2050 | 250,000 | 308,440 | ||
Oriental Republic of Uruguay | 7.88 | 1-15-2033 | 125,000 | 190,939 | ||
Perusahaan Penerbit SBSN Indonesia III | 4.45 | 2-20-2029 | 200,000 | 226,752 | ||
Qatar Government | 3.25 | 6-2-2026 | 200,000 | 218,952 | ||
Qatar Government | 3.75 | 4-16-2030 | 200,000 | 225,593 | ||
Qatar Government | 4.00 | 3-14-2029 | 200,000 | 228,519 | ||
Qatar Government | 4.63 | 6-2-2046 | 450,000 | 538,920 |
Interest rate | Maturity date | Principal | Value | |||
Yankee government bonds: 83.42% (continued) | ||||||
Republic of Angola | 8.25% | 5-9-2028 | $ | 200,000 | $ 198,740 | |
Republic of Angola | 9.50 | 11-12-2025 | 200,000 | 212,240 | ||
Republic of Argentina | 0.13 | 7-9-2030 | 200,000 | 72,400 | ||
Republic of Argentina | 0.13 | 7-9-2046 | 1,018,500 | 325,410 | ||
Republic of Argentina | 1.00 | 7-9-2029 | 28,355 | 11,172 | ||
Republic of Armenia 144A | 3.60 | 2-2-2031 | 200,000 | 183,633 | ||
Republic of Azerbaijan | 3.50 | 9-1-2032 | 200,000 | 206,000 | ||
Republic of Belarus | 7.63 | 6-29-2027 | 200,000 | 216,020 | ||
Republic of Chile | 3.50 | 1-25-2050 | 200,000 | 200,840 | ||
Republic of Chile | 3.86 | 6-21-2047 | 150,000 | 160,652 | ||
Republic of Colombia | 3.13 | 4-15-2031 | 200,000 | 199,000 | ||
Republic of Colombia | 3.88 | 4-25-2027 | 200,000 | 215,702 | ||
Republic of Colombia | 4.50 | 1-28-2026 | 200,000 | 221,002 | ||
Republic of Colombia | 5.00 | 6-15-2045 | 286,000 | 309,595 | ||
Republic of Colombia | 7.38 | 9-18-2037 | 150,000 | 199,125 | ||
Republic of Costa Rica | 7.00 | 4-4-2044 | 350,000 | 342,125 | ||
Republic of Cote d'Ivoire | 6.13 | 6-15-2033 | 200,000 | 215,000 | ||
Republic of Croatia | 6.00 | 1-26-2024 | 200,000 | 229,640 | ||
Republic of Ecuador | 0.50 | 7-31-2040 | 350,000 | 113,754 | ||
Republic of Ecuador | 0.50 | 7-31-2040 | 300,000 | 97,503 | ||
Republic of Ecuador | 0.50 | 7-31-2040 | 17,740 | 5,766 | ||
Republic of Eduador | 0.50 | 7-31-2030 | 150,000 | 87,752 | ||
Republic of Eduador | 0.50 | 7-31-2035 | 125,000 | 57,501 | ||
Republic of El Salvador | 7.65 | 6-15-2035 | 347,000 | 343,013 | ||
Republic of Gabon | 6.38 | 12-12-2024 | 150,000 | 154,875 | ||
Republic of Ghana | 7.63 | 5-16-2029 | 300,000 | 312,858 | ||
Republic of Ghana | 8.63 | 6-16-2049 | 200,000 | 193,292 | ||
Republic of Guatemala | 4.38 | 6-5-2027 | 200,000 | 216,000 | ||
Republic of Hungary | 5.38 | 2-21-2023 | 200,000 | 218,906 | ||
Republic of Hungary | 5.38 | 3-25-2024 | 200,000 | 227,302 | ||
Republic of Indonesia | 4.10 | 4-24-2028 | 300,000 | 335,189 | ||
Republic of Indonesia | 5.13 | 1-15-2045 | 200,000 | 237,064 | ||
Republic of Indonesia | 7.75 | 1-17-2038 | 125,000 | 184,710 | ||
Republic of Iraq | 5.80 | 1-15-2028 | 218,750 | 202,344 | ||
Republic of Kazakhstan | 4.88 | 10-14-2044 | 300,000 | 368,658 | ||
Republic of Kazakhstan | 5.13 | 7-21-2025 | 200,000 | 233,584 | ||
Republic of Kenya | 6.88 | 6-24-2024 | 200,000 | 221,798 | ||
Republic of Kenya | 8.25 | 2-28-2048 | 200,000 | 220,772 | ||
Republic of Nigeria | 7.63 | 11-21-2025 | 200,000 | 228,764 | ||
Republic of Nigeria | 7.88 | 2-16-2032 | 300,000 | 322,740 | ||
Republic of Panama | 3.16 | 1-23-2030 | 200,000 | 208,502 | ||
Republic of Panama | 3.87 | 7-23-2060 | 200,000 | 197,500 | ||
Republic of Panama | 4.00 | 9-22-2024 | 200,000 | 217,502 | ||
Republic of Panama | 4.50 | 5-15-2047 | 350,000 | 389,379 | ||
Republic of Paraguay | 5.00 | 4-15-2026 | 250,000 | 280,625 | ||
Republic of Peru | 4.13 | 8-25-2027 | 100,000 | 113,450 | ||
Republic of Peru | 5.63 | 11-18-2050 | 100,000 | 137,000 | ||
Republic of Peru | 6.55 | 3-14-2037 | 365,000 | 503,704 | ||
Republic of Peru | 7.35 | 7-21-2025 | 100,000 | 125,126 | ||
Republic of Peru | 8.75 | 11-21-2033 | 25,000 | 39,250 | ||
Republic of Philippines | 3.70 | 2-2-2042 | 200,000 | 211,360 | ||
Republic of Philippines | 4.20 | 1-21-2024 | 200,000 | 219,720 | ||
Republic of Philippines | 5.50 | 3-30-2026 | 150,000 | 182,979 | ||
Republic of Philippines | 6.38 | 1-15-2032 | 300,000 | 408,159 | ||
Republic of Poland | 3.25 | 4-6-2026 | 300,000 | 335,262 |
Interest rate | Maturity date | Principal | Value | |||
Yankee government bonds: 83.42% (continued) | ||||||
Republic of Poland | 4.00% | 1-22-2024 | $ | 100,000 | $ 110,000 | |
Republic of Senegal | 6.25 | 5-23-2033 | 200,000 | 212,677 | ||
Republic of Serbia | 2.13 | 12-1-2030 | 200,000 | 188,212 | ||
Republic of South Africa | 4.85 | 9-30-2029 | 600,000 | 605,738 | ||
Republic of South Africa | 6.25 | 3-8-2041 | 200,000 | 201,621 | ||
Republic of Sri Lanka | 5.75 | 4-18-2023 | 200,000 | 120,156 | ||
Republic of Sri Lanka | 6.75 | 4-18-2028 | 300,000 | 169,971 | ||
Republic of Sri Lanka | 7.55 | 3-28-2030 | 200,000 | 113,902 | ||
Republic of Turkey | 4.88 | 10-9-2026 | 200,000 | 199,600 | ||
Republic of Turkey | 5.60 | 11-14-2024 | 200,000 | 209,000 | ||
Republic of Turkey | 6.63 | 2-17-2045 | 400,000 | 384,000 | ||
Republic of Turkey | 7.38 | 2-5-2025 | 200,000 | 221,250 | ||
Republic of Turkey | 7.63 | 4-26-2029 | 200,000 | 224,730 | ||
Republic of Venezuela † | 6.00 | 12-9-2020 | 225,000 | 22,275 | ||
Republic of Venezuela † | 7.00 | 3-31-2038 | 200,000 | 18,000 | ||
Republic of Zambia | 8.50 | 4-14-2024 | 200,000 | 115,926 | ||
Romania Government | 4.38 | 8-22-2023 | 200,000 | 217,492 | ||
Romania Government | 4.88 | 1-22-2024 | 150,000 | 166,971 | ||
Romania Government | 5.13 | 6-15-2048 | 200,000 | 228,142 | ||
Russian Federation | 4.50 | 4-4-2022 | 200,000 | 207,758 | ||
Russian Federation | 4.88 | 9-16-2023 | 200,000 | 219,562 | ||
Russian Federation | 5.10 | 3-28-2035 | 200,000 | 236,154 | ||
Russian Federation | 5.63 | 4-4-2042 | 200,000 | 252,056 | ||
Russian Federation | 12.75 | 6-24-2028 | 180,000 | 302,935 | ||
Saudi Government | 2.88 | 3-4-2023 | 200,000 | 208,204 | ||
Saudi Government | 3.63 | 3-4-2028 | 200,000 | 220,514 | ||
Saudi Government | 4.50 | 4-17-2030 | 200,000 | 233,984 | ||
Saudi Government | 4.50 | 10-26-2046 | 200,000 | 224,230 | ||
Saudi Government | 4.63 | 10-4-2047 | 200,000 | 227,800 | ||
Trinidad & Tobago Government | 4.50 | 8-4-2026 | 200,000 | 215,000 | ||
Ukraine Government | 7.38 | 9-25-2032 | 200,000 | 205,610 | ||
Ukraine Government | 7.75 | 9-1-2023 | 200,000 | 215,812 | ||
Ukraine Government | 7.75 | 9-1-2025 | 400,000 | 434,448 | ||
United Mexican States | 2.66 | 5-24-2031 | 200,000 | 192,652 | ||
United Mexican States | 3.25 | 4-16-2030 | 200,000 | 203,696 | ||
United Mexican States | 4.00 | 10-2-2023 | 200,000 | 216,500 | ||
United Mexican States | 4.50 | 1-31-2050 | 200,000 | 202,752 | ||
United Mexican States | 6.75 | 9-27-2034 | 150,000 | 195,752 | ||
Total Yankee government bonds (Cost $31,414,562) | 30,795,433 |
Yield | Shares | |||||
Short-term investments: 1.77% | ||||||
Investment companies: 1.77% | ||||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 654,821 | 654,821 | |||
Total Short-term investments (Cost $654,821) | 654,821 | |||||
Total investments in securities (Cost $36,877,843) | 98.85% | 36,494,543 | ||||
Other assets and liabilities, net | 1.15 | 423,875 | ||||
Total net assets | 100.00% | $36,918,418 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
† | Non-income-earning security |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $922,295 | $13,131,946 | $(13,399,420) | $0 | $0 | $654,821 | 1.77% | 654,821 | $471 |
Assets | |
Investments in unaffiliated securities, at value (cost $36,223,022) | $ 35,839,722 |
Investments in affiliated securites, at value (cost $654,821) | 654,821 |
Cash | 189,710 |
Receivable for interest | 475,670 |
Prepaid expenses and other assets | 1,587 |
Total assets | 37,161,510 |
Liabilities | |
Payable for investments purchased | 189,710 |
Professional fees payable | 45,706 |
Trustees’ fees and expenses payable | 857 |
Advisory fee payable | 65 |
Accrued expenses and other liabilities | 6,754 |
Total liabilities | 243,092 |
Total net assets | $36,918,418 |
Investment income | |
Interest | $ 1,677,938 |
Income from affiliated securities | 471 |
Total investment income | 1,678,409 |
Expenses | |
Advisory fee | 90,096 |
Custody and accounting fees | 13,212 |
Professional fees | 55,073 |
Interest holder report expenses | 8,435 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 8,057 |
Total expenses | 194,468 |
Less: Fee waivers and/or expense reimbursements | (90,053) |
Net expenses | 104,415 |
Net investment income | 1,573,994 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (1,594,466) |
Net change in unrealized gains (losses) on investments | (149,379) |
Net realized and unrealized gains (losses) on investments | (1,743,845) |
Net decrease in net assets resulting from operations | $ (169,851) |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 1,573,994 | $ 2,165,344 |
Net realized gains (losses) on investments | (1,594,466) | 332,518 |
Net change in unrealized gains (losses) on investments | (149,379) | 1,113,039 |
Net increase (decrease) in net assets resulting from operations | (169,851) | 3,610,901 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 9,652,126 | 5,447,656 |
Withdrawals | (15,111,545) | (10,607,041) |
Net decrease in net assets resulting from capital transactions | (5,459,419) | (5,159,385) |
Total decrease in net assets | (5,629,270) | (1,548,484) |
Net assets | ||
Beginning of period | 42,547,688 | 44,096,172 |
End of period | $ 36,918,418 | $ 42,547,688 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | (0.31)% | 8.59% | 2.84% | 0.62% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.54% | 0.51% | 0.44% | 0.44% | ||
Net expenses | 0.29% 3 | 0.35% | 0.40% | 0.43% | ||
Net investment income | 4.37% | 4.95% | 4.70% | 4.19% | ||
Supplemental data | ||||||
Portfolio turnover rate | 31% | 36% | 38% | 174% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.25% higher. |
Gross unrealized gains | $ 0 |
Gross unrealized losses | (403,161) |
Net unrealized losses | $(403,161) |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Yankee corporate bonds and notes | $ 0 | $ 5,044,289 | $0 | $ 5,044,289 |
Yankee government bonds | 0 | 30,795,433 | 0 | 30,795,433 |
Short-term investments | ||||
Investment companies | 654,821 | 0 | 0 | 654,821 |
Total assets | $654,821 | $35,839,722 | $0 | $36,494,543 |
Average daily net assets | Advisory fee |
First $5 billion | 0.250% |
Next $5 billion | 0.230 |
Over $10 billion | 0.210 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Factor Enhanced Emerging Markets Equity Portfolio
Investment objective | The Portfolio seeks long-term capital appreciation. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Dennis Beinn, CFA®‡, Harindra de Silva, Ph.D., CFA®‡, Monisha Jayakumar |
Ten largest holdings (%) as of February 28, 20211 | |
Taiwan Semiconductor Manufacturing Company Limited | 6.29 |
Tencent Holdings Limited | 6.18 |
Alibaba Group Holding Limited ADR | 5.24 |
Samsung Electronics Company Limited | 4.07 |
Meituan Dianping | 1.98 |
Naspers Limited | 1.26 |
JD.com Incorporated ADR | 1.22 |
Infosys Limited | 1.00 |
Reliance Industries Limited | 1.00 |
Baidu Incorporated ADR | 0.98 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Sector allocation as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Country allocation as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Shares | Value | |||||
Common stocks: 92.74% | ||||||
Brazil: 2.54% | ||||||
B3 Brasil Bolsa Balcao SA (Financials, Capital markets) | 63,500 | $ 615,262 | ||||
Banco BTG Pactual SA (Financials, Diversified financial services) | 20,600 | 373,610 | ||||
Banco do Brasil SA (Financials, Banks) | 67,200 | 336,348 | ||||
Banco Santander Brasil SA (Financials, Banks) | 26,300 | 175,468 | ||||
BB Seguridade Participacoes SA (Financials, Insurance) | 70,600 | 320,359 | ||||
CCR SA (Industrials, Transportation infrastructure) | 19,982 | 40,112 | ||||
Cia Siderurgica Nacional SA (Materials, Metals & mining) | 27,800 | 163,054 | ||||
Companhia Brasileira de Distribuição (Consumer staples, Food & staples retailing) | 200 | 2,962 | ||||
Companhia de Saneamento Basico do Estado de Sao Paulo SA (Utilities, Water utilities) | 18,241 | 119,780 | ||||
Cosan SA Industria e Comercio (Energy, Oil, gas & consumable fuels) | 7,100 | 103,126 | ||||
CPFL Energia SA (Utilities, Electric utilities) | 15,600 | 80,335 | ||||
Localiza Rent A Car SA (Industrials, Road & rail) | 1,360 | 14,075 | ||||
Lojas Renner SA (Consumer discretionary, Multiline retail) | 14,600 | 95,506 | ||||
Magazine Luiza SA (Consumer discretionary, Multiline retail) | 70,800 | 305,475 | ||||
Petrobras Distribuidora SA (Consumer discretionary, Specialty retail) | 39,400 | 140,046 | ||||
Sul America SA Ctf de Deposito de Acoes (Financials, Insurance) | 48,698 | 287,016 | ||||
Telefonica Brasil SA (Communication services, Diversified telecommunication services) | 16,555 | 129,978 | ||||
TIM SA (Communication services, Wireless telecommunication services) | 70,800 | 161,707 | ||||
Ultrapar Participacoes SA (Energy, Oil, gas & consumable fuels) | 105,596 | 364,033 | ||||
WEG SA (Industrials, Electrical equipment) | 37,333 | 519,939 | ||||
4,348,191 | ||||||
Chile: 0.44% | ||||||
Cencosud SA (Consumer staples, Food & staples retailing) | 166,049 | 324,604 | ||||
Colbun SA (Utilities, Independent power & renewable electricity producers) | 1,264,704 | 236,207 | ||||
Enel Americas SA (Utilities, Electric utilities) | 165,804 | 25,229 | ||||
S.A.C.I. Falabella (Consumer discretionary, Multiline retail) | 38,627 | 159,709 | ||||
745,749 | ||||||
China: 36.29% | ||||||
A Living Services Company Limited Class H (Industrials, Commercial services & supplies) | 10,500 | 43,965 | ||||
Agile Property Holdings Limited (Real estate, Real estate management & development) | 120,000 | 169,472 | ||||
Agricultural Bank of China Limited Class H (Financials, Banks) | 27,000 | 9,820 | ||||
Aier Eye Hospital Group Company Limited Class A (Health care, Health care providers & services) | 1,600 | 17,920 | ||||
Alibaba Group Holding Limited ADR (Consumer discretionary, Internet & direct marketing retail)† | 37,708 | 8,965,454 | ||||
Aluminum Corporation of China Limited Class H (Materials, Metals & mining)† | 403,334 | 202,237 | ||||
Angel Yeast Company Limited Class A (Consumer staples, Food products) | 15,200 | 125,691 |
Shares | Value | |||||
China: (continued) | ||||||
Anhui Conch Cement Company Limited Class H (Materials, Construction materials) | 29,500 | $ 189,575 | ||||
Anhui Gujing Distillery Company Class B (Consumer staples, Beverages) | 11,313 | 150,299 | ||||
ANTA Sports Products Limited (Consumer discretionary, Textiles, apparel & luxury goods) | 15,000 | 229,806 | ||||
Apeloa Pharmaceutical Company Limited Class A (Health care, Pharmaceuticals) | 33,900 | 132,086 | ||||
Baidu Incorporated ADR (Communication services, Interactive media & services)† | 5,928 | 1,680,351 | ||||
Bank of Chengdu Company Limited Class A (Financials, Banks) | 16,800 | 28,608 | ||||
Bank of China Limited Class H (Financials, Banks) | 1,982,000 | 694,989 | ||||
Bank of Communications Company Limited Class H (Financials, Banks) | 205,000 | 115,717 | ||||
Bank of Hangzhou Company Limited Class A (Financials, Banks) | 31,900 | 79,096 | ||||
Beijing Capital International Airport Company Limited Class H (Industrials, Transportation infrastructure) | 32,666 | 25,430 | ||||
Beijing Dabeinong Technology Group Company Limited Class A (Consumer staples, Food products) | 148,400 | 229,492 | ||||
Beijing Enlight Media Company Limited Class A (Communication services, Media) | 44,800 | 94,218 | ||||
Beijing Kunlun Tech Company Limited Class A (Communication services, Interactive media & services) | 27,000 | 97,116 | ||||
Beijing Oriental Yuhong Waterproof Technology Company Limited Class A (Materials, Construction materials) | 32,400 | 236,925 | ||||
BYD Company Limited Class H (Consumer discretionary, Automobiles) | 12,000 | 307,563 | ||||
C&S Paper Company Limited Class A (Consumer staples, Household products) | 65,200 | 215,428 | ||||
Chacha Food Company Limited Class A (Consumer staples, Food products) | 25,800 | 227,064 | ||||
China Cinda Asset Management Company Limited Class H (Financials, Capital markets) | 219,000 | 43,449 | ||||
China Conch Venture Holdings Limited (Industrials, Construction & engineering) | 59,000 | 262,244 | ||||
China Construction Bank Class H (Financials, Banks) | 1,875,000 | 1,505,146 | ||||
China Galaxy Securities Company Limited Class H (Financials, Capital markets) | 563,500 | 347,751 | ||||
China Hongqiao Group Limited (Materials, Metals & mining) | 425,500 | 527,472 | ||||
China International Capital Corporation Limited Class H (Financials, Capital markets)144A† | 76,000 | 175,232 | ||||
China Lesso Group Holdings Limited Class L (Industrials, Building products) | 49,000 | 90,486 | ||||
China Life Insurance Company Limited Class H (Financials, Insurance) | 257,000 | 542,746 | ||||
China Longyuan Power Group Corporation Class H (Utilities, Independent power & renewable electricity producers) | 420,000 | 624,370 | ||||
China MeiDong Auto Holdings Limited (Consumer discretionary, Specialty retail) | 156,000 | 592,838 | ||||
China Merchants Bank Company Limited Class A (Financials, Banks) | 21,200 | 167,570 | ||||
China Merchants Bank Company Limited Class H (Financials, Banks) | 109,500 | 839,728 |
Shares | Value | |||||
China: (continued) | ||||||
China Merchants Property Operation & Service Company Limited Class A (Real estate, Real estate management & development) | 19,000 | $ 55,281 | ||||
China Molybdenum Company Limited Class H (Materials, Metals & mining) | 321,000 | 247,584 | ||||
China National Building Material Company Limited Class H (Materials, Construction materials) | 456,000 | 689,880 | ||||
China National Medicines Corporation Limited Class A (Health care, Health care equipment & supplies) | 6,400 | 37,745 | ||||
China Petroleum & Chemical Corporation Class H (Energy, Oil, gas & consumable fuels) | 426,000 | 237,265 | ||||
China Resources Cement Holdings Limited (Materials, Construction materials) | 372,000 | 442,599 | ||||
China Resources Land Limited (Real estate, Real estate management & development) | 72,000 | 342,154 | ||||
China Shenhua Energy Company Limited Class H (Energy, Oil, gas & consumable fuels) | 265,500 | 505,079 | ||||
China Yangtze Power Company Limited Class A (Utilities, Independent power & renewable electricity producers) | 9,012 | 27,590 | ||||
China Yuhua Education Corporation Limited (Consumer discretionary, Diversified consumer services)144A | 90,000 | 74,380 | ||||
Chongqing Brewery Company Limited Class A (Consumer staples, Beverages) | 14,840 | 277,301 | ||||
Chongqing Fuling Zhacai Group Company Limited Class A (Consumer staples, Food products) | 10,200 | 70,562 | ||||
CIFI Holdings Group Company Limited (Real estate, Real estate management & development) | 272,000 | 257,589 | ||||
COSCO Shipping Holdings Company Limited Class H (Industrials, Marine)† | 293,750 | 326,366 | ||||
Country Garden Holdings Company Limited (Real estate, Real estate management & development) | 150,000 | 186,712 | ||||
Country Garden Services Holdings Company Limited (Industrials, Commercial services & supplies) | 22,666 | 186,443 | ||||
Da An Gene Company Limited of Sun Yat-Sen University Class A (Health care, Health care equipment & supplies) | 57,400 | 302,288 | ||||
Daqin Railway Company Limited Class A (Industrials, Transportation infrastructure) | 62,800 | 63,482 | ||||
Dongfeng Motor Group Company Limited Class H (Consumer discretionary, Automobiles) | 4,000 | 3,672 | ||||
ENN Energy Holdings Limited (Utilities, Gas utilities) | 17,800 | 272,199 | ||||
G-bits Network Technology (Xiamen) Company Limited Class A (Information technology, Software) | 2,700 | 130,651 | ||||
Geely Automobile Holdings Limited (Consumer discretionary, Automobiles) | 98,000 | 317,001 | ||||
GF Securities Company Limited Class A (Financials, Capital markets) | 4,600 | 11,415 | ||||
GF Securities Company Limited Class H (Financials, Capital markets) | 93,000 | 131,796 | ||||
Giant Network Group Company Limited Class A (Information technology, Software) | 49,800 | 130,084 | ||||
Great Wall Motor Company Limited Class H (Consumer discretionary, Automobiles) | 229,000 | 663,378 | ||||
Guangdong Haid Group Company Limited Class A (Consumer staples, Food products) | 4,500 | 55,423 | ||||
Guangzhou Automobile Group Company Limited Class H (Consumer discretionary, Automobiles) | 120,400 | 111,525 |
Shares | Value | |||||
China: (continued) | ||||||
Guangzhou Kingmed Diagnostics Group Company Limited Class A (Health care, Health care providers & services) | 300 | $ 6,364 | ||||
Guangzhou R&F Properties Company Limited Class H (Real estate, Real estate management & development) | 33,600 | 44,844 | ||||
Haier Smart Home Company Limited Class H (Consumer discretionary, Household durables)† | 41,800 | 158,977 | ||||
Hebei Construction Group Company Limited Class H (Industrials, Construction & engineering) | 12,000 | 4,982 | ||||
Hefei Meyer Optoelectronic Technology Incorporated Class A (Industrials, Machinery) | 25,209 | 146,777 | ||||
Heilongjiang Agriculture Company Limited Class A (Consumer staples, Food products) | 21,200 | 54,953 | ||||
Henan Shuanghui Investment & Development Company Limited Class A (Consumer staples, Food products) | 34,108 | 243,338 | ||||
Hengan International Group Company Limited (Consumer staples, Personal products) | 51,500 | 356,009 | ||||
Hongfa Technology Company Limited Class A (Industrials, Machinery) | 4,000 | 31,933 | ||||
Hualan Biological Engineering Incorporated Class A (Health care, Biotechnology) | 1,600 | 10,604 | ||||
Huaneng Power International Incorporated Class H (Utilities, Independent power & renewable electricity producers) | 67,334 | 22,996 | ||||
Huaxin Cement Company Limited Class A (Materials, Construction materials) | 13,700 | 47,514 | ||||
Hundsun Technologies Incorporated Class A (Information technology, Software) | 1,400 | 18,951 | ||||
Industrial & Commercial Bank of China Limited Class H (Financials, Banks) | 1,439,000 | 941,423 | ||||
JD.com Incorporated ADR (Consumer discretionary, Internet & direct marketing retail)† | 22,284 | 2,091,799 | ||||
Jiangsu Changshu Rural Commercial Bank Company Limited Class A (Financials, Banks) | 33,700 | 39,153 | ||||
Jiangsu Express Company Limited Class H (Industrials, Transportation infrastructure) | 76,000 | 88,241 | ||||
Jiangsu Hengli Hydraulic Company Limited Class A (Industrials, Machinery) | 45,256 | 665,911 | ||||
Jiangsu Yangnong Chemical Company Limited Class A (Materials, Chemicals) | 11,600 | 240,731 | ||||
Jiangxi Copper Company Limited Class H (Materials, Metals & mining) | 102,000 | 247,022 | ||||
Jinyu Bio-Technology Company Limited Class A (Health care, Biotechnology) | 30,900 | 99,779 | ||||
Joincare Pharmaceutical Group Industry Company Limited Class A (Health care, Pharmaceuticals) | 15,200 | 29,163 | ||||
Jointown Pharmaceutical Group Company Limited Class A (Health care, Pharmaceuticals)† | 7,931 | 20,732 | ||||
Jonjee Hi-Tech Industrial & Commercial Holding Company Limited Class A (Consumer staples, Food products) | 4,100 | 32,923 | ||||
Joyoung Company Limited Class A (Consumer discretionary, Household durables) | 40,947 | 189,688 | ||||
Kaisa Group Holdings Limited (Real estate, Real estate management & development) | 74,000 | 38,316 | ||||
Kingdee International Software Group Company Limited (Information technology, Software) | 52,000 | 186,108 | ||||
Kingsoft Corporation Limited (Information technology, Software) | 10,000 | 70,010 | ||||
Kunlun Energy Company Limited (Utilities, Gas utilities) | 78,000 | 71,645 |
Shares | Value | |||||
China: (continued) | ||||||
Kweichow Moutai Company Limited Class A (Consumer staples, Beverages) | 1,700 | $ 559,277 | ||||
LBX Pharmacy Chain JSC Class A (Consumer staples, Food & staples retailing) | 6,860 | 76,361 | ||||
Leo Group Company Limited Class A (Communication services, Media) | 142,501 | 67,503 | ||||
Li Ning Company Limited (Consumer discretionary, Textiles, apparel & luxury goods) | 44,500 | 249,758 | ||||
Livzon Pharmaceutical Group Incorporated Class A (Health care, Pharmaceuticals) | 24,100 | 138,898 | ||||
Logan Property Holdings Company Limited (Real estate, Real estate management & development) | 180,000 | 280,224 | ||||
Longfor Properties Company Limited (Real estate, Real estate management & development) | 42,500 | 251,908 | ||||
Luenmei Quantum Company Limited Class A (Industrials, Construction & engineering) | 16,700 | 25,691 | ||||
Mango Excellent Media Company Limited Class A (Consumer discretionary, Multiline retail) | 500 | 4,974 | ||||
Meituan Dianping (Consumer discretionary, Internet & direct marketing retail)† | 75,300 | 3,382,057 | ||||
Midea Group Company Limited Class A (Consumer discretionary, Household durables) | 7,101 | 102,394 | ||||
NetEase Incorporated ADR (Communication services, Entertainment) | 9,745 | 1,070,488 | ||||
New Oriental Education & Technology Group Incorporated ADR (Consumer discretionary, Diversified consumer services)† | 2,465 | 437,833 | ||||
Nine Dragons Paper Holdings Limited (Materials, Paper & forest products) | 212,000 | 341,352 | ||||
NIO Incorporated ADR Class A (Consumer discretionary, Automobiles)† | 29,411 | 1,346,436 | ||||
Offcn Education Technology Company Limited Class A (Consumer discretionary, Diversified consumer services) | 8,000 | 40,330 | ||||
People's Insurance Company Group of China Limited Class H (Financials, Insurance) | 1,188,000 | 369,059 | ||||
Perfect World Company Limited Class A (Information technology, Software) | 6,100 | 22,277 | ||||
Pinduoduo Incorporated ADR (Consumer discretionary, Internet & direct marketing retail)† | 220 | 37,655 | ||||
Ping An Healthcare and Technology Company Limited (Health care, Health care technology)144A† | 1,800 | 25,958 | ||||
Ping An Insurance Group Company Class H (Financials, Insurance) | 116,000 | 1,435,450 | ||||
Postal Savings Bank of China Company Limited Class H (Financials, Banks)144A | 303,000 | 225,433 | ||||
S.F. Holding Company Limited Class A (Industrials, Air freight & logistics) | 10,600 | 172,229 | ||||
Shandong Buchang Pharmaceuticals Company Limited Class A (Health care, Biotechnology) | 23,500 | 80,631 | ||||
Shandong Hualu-Hengsheng Chemical Company Limited Class A (Materials, Chemicals) | 59,307 | 390,868 | ||||
Shandong Weigao Group Medical Polymer Company Limited Class H (Health care, Health care equipment & supplies) | 18,667 | 32,061 | ||||
Shanghai Bairun Investment Holding Group Company Limited Class A (Consumer staples, Beverages) | 28,400 | 427,827 |
Shares | Value | |||||
China: (continued) | ||||||
Shanghai Baosight Software Company Limited Class A (Information technology, IT services) | 6,600 | $ 58,552 | ||||
Shanghai Jin Jiang International Hotels Company Limited Class A (Consumer discretionary, Hotels, restaurants & leisure) | 34,900 | 291,161 | ||||
Shanghai Lujiazui Finance & Trade Zone Development Company Limited (Real estate, Real estate management & development) | 180,870 | 144,871 | ||||
Shanghai Pharmaceuticals Holding Company Limited Class A (Health care, Health care equipment & supplies) | 22,600 | 71,625 | ||||
Shanghai Pharmaceuticals Holding Company Limited Class H (Health care, Health care providers & services) | 1,934 | 3,547 | ||||
Shanxi Xinghuacun Fen Wine Factory Company Limited Class A (Consumer staples, Beverages) | 2,400 | 116,536 | ||||
Shijiazhuang Yiling Pharmaceutical Company Limited Class A (Health care, Pharmaceuticals) | 19,500 | 70,846 | ||||
Shimao Property Holding Limited (Real estate, Real estate management & development) | 29,500 | 97,142 | ||||
Sinolink Securities Company Limited Class A (Financials, Capital markets) | 17,400 | 34,797 | ||||
Sinotrans Limited Class A (Industrials, Air freight & logistics) | 164,700 | 115,304 | ||||
Sunny Optical Technology Group Company Limited (Information technology, Electronic equipment, instruments & components) | 5,000 | 124,583 | ||||
TAL Education Group ADR (Consumer discretionary, Diversified consumer services)† | 7,634 | 591,940 | ||||
Tencent Holdings Limited (Communication services, Interactive media & services) | 121,500 | 10,570,128 | ||||
Thunder Software Technology Company Limited Class A (Industrials, Commercial services & supplies) | 5,800 | 108,006 | ||||
Tingyi Holding Corporation (Consumer staples, Food products) | 74,000 | 148,424 | ||||
Tongcheng-Elong Holdings Limited (Communication services, Interactive media & services)† | 17,200 | 40,339 | ||||
TravelSky Technology Limited Class H (Information technology, IT services) | 23,000 | 58,000 | ||||
Tsingtao Brewery Company Limited Class H (Consumer staples, Beverages) | 18,000 | 147,825 | ||||
Vipshop Holdings Limited ADR (Consumer discretionary, Internet & direct marketing retail)† | 11,597 | 432,800 | ||||
Weichai Power Company Limited Class H (Industrials, Machinery) | 138,000 | 406,197 | ||||
Weifu High-Technology Group Company Limited Class A (Consumer discretionary, Auto components) | 19,800 | 70,551 | ||||
Weihai Guangwei Composites Company Limited Class A (Materials, Chemicals) | 17,300 | 195,055 | ||||
Wuhu Sanqi Interactive Entertainment Network Technology Group Company Limited Class A (Consumer discretionary, Auto components) | 7,900 | 34,454 | ||||
Wuliangye Yibin Company Limited Class A (Consumer staples, Beverages) | 1,800 | 78,153 | ||||
WuXi AppTec Company Limited (Health care, Life sciences tools & services)144A | 4,380 | 91,195 | ||||
Wuxi Biologics (Cayman) Incorporated (Health care, Life sciences tools & services)144A† | 64,500 | 799,085 | ||||
Xinyi Solar Holdings Limited (Information technology, Semiconductors & semiconductor equipment) | 112,333 | 235,941 |
Shares | Value | |||||
China: (continued) | ||||||
Yanzhou Coal Mining Company Limited Class H (Energy, Oil, gas & consumable fuels) | 836,000 | $ 775,031 | ||||
Yifeng Pharmacy Chain Company Limited Class A (Consumer staples, Food & staples retailing) | 2,200 | 29,990 | ||||
Yihai International Holding (Consumer staples, Food products) | 11,500 | 157,474 | ||||
Yum China Holdings Incorporated (Consumer discretionary, Hotels, restaurants & leisure) | 8,442 | 505,169 | ||||
Zhejiang Chint Electrics Company Limited Class A (Industrials, Electrical equipment) | 18,400 | 97,663 | ||||
Zhejiang Expressway Company Limited Class H (Industrials, Transportation infrastructure) | 22,000 | 19,213 | ||||
Zhejiang Huahai Pharmaceutical Company Limited Class A (Health care, Pharmaceuticals) | 7,500 | 32,849 | ||||
Zhejiang Juhua Company Limited Class A (Materials, Chemicals) | 35,400 | 47,840 | ||||
Zhejiang Sanhua Intelligent Controls Company Limited Class A (Industrials, Machinery) | 7,000 | 26,256 | ||||
Zhongsheng Group Holdings Limited (Consumer discretionary, Specialty retail) | 70,000 | 432,649 | ||||
Zhuzhou CSR Times Electric Company Limited Class H (Industrials, Electrical equipment) | 17,700 | 76,880 | ||||
Zijin Mining Group Company Limited Class H (Materials, Metals & mining) | 350,000 | 516,374 | ||||
ZTE Corporation Class H (Information technology, Communications equipment) | 19,200 | 48,839 | ||||
ZTO Express (Cayman) Incorporated ADR (Industrials, Air freight & logistics) | 8,208 | 276,938 | ||||
62,120,838 | ||||||
Colombia: 0.02% | ||||||
Bancolombia SA (Financials, Banks) | 4,494 | 38,693 | ||||
Czech Republic: 0.04% | ||||||
Komercni Banka AS (Financials, Banks)† | 903 | 28,185 | ||||
Moneta Money Bank (Financials, Banks)144A† | 12,021 | 43,825 | ||||
72,010 | ||||||
Greece: 0.16% | ||||||
FF Group (Consumer discretionary, Specialty retail)♦† | 3,820 | 0 | ||||
Hellenic Telecommunications Organization SA (Communication services, Diversified telecommunication services) | 14,122 | 218,249 | ||||
OPAP SA (Consumer discretionary, Hotels, restaurants & leisure) | 3,709 | 50,036 | ||||
268,285 | ||||||
Hong Kong: 2.81% | ||||||
Brilliance China Automotive Holdings Limited (Consumer discretionary, Automobiles) | 100,000 | 89,455 | ||||
BYD Electronic International Company Limited (Information technology, Communications equipment) | 51,000 | 283,649 | ||||
China Everbright Limited (Financials, Capital markets) | 120,000 | 154,918 | ||||
China Mengniu Dairy Company Limited (Consumer staples, Food products) | 34,334 | 187,618 |
Shares | Value | |||||
Hong Kong: (continued) | ||||||
China Merchants Port Holdings Company Limited (Industrials, Transportation infrastructure) | 76,000 | $ 110,622 | ||||
China Overseas Property Holding Limited (Real estate, Real estate management & development) | 315,000 | 207,512 | ||||
China Power International Development Limited (Utilities, Independent power & renewable electricity producers) | 1,221,000 | 261,078 | ||||
China Traditional Chinese Medicine Holdings Company Limited (Health care, Pharmaceuticals) | 200,000 | 119,789 | ||||
Far East Horizon Limited (Financials, Diversified financial services) | 39,000 | 41,956 | ||||
Fosun International (Industrials, Industrial conglomerates) | 23,500 | 35,255 | ||||
Haitian International Holdings Limited (Industrials, Machinery) | 94,000 | 322,453 | ||||
Kingboard Chemicals Holdings Limited (Information technology, Electronic equipment, instruments & components) | 125,500 | 578,167 | ||||
Kingboard Laminates Holdings Limited (Information technology, Electronic equipment, instruments & components) | 342,000 | 582,055 | ||||
KWG Property Holding Limited (Real estate, Real estate management & development) | 380,500 | 576,342 | ||||
Lee & Man Paper Manufacturing Limited (Materials, Paper & forest products) | 293,000 | 270,840 | ||||
Shenzhen Investment Limited (Real estate, Real estate management & development) | 334,666 | 120,523 | ||||
Shenzhou International Group Holdings Limited (Consumer discretionary, Textiles, apparel & luxury goods) | 18,800 | 389,845 | ||||
Sinotruk Hong Kong Limited (Industrials, Machinery) | 133,500 | 426,057 | ||||
Sun Art Retail Group Limited (Consumer staples, Food & staples retailing) | 18,500 | 15,960 | ||||
Vinda International Holdings Limited (Consumer staples, Household products) | 10,000 | 29,828 | ||||
4,803,922 | ||||||
Hungary: 0.43% | ||||||
OTP Bank plc (Financials, Banks)† | 6,434 | 291,833 | ||||
Richter Gedeon (Health care, Pharmaceuticals) | 15,394 | 437,929 | ||||
729,762 | ||||||
India: 8.93% | ||||||
Adani Green Energy Limited (Utilities, Independent power & renewable electricity producers)† | 16,377 | 257,862 | ||||
Asian Paints Limited (Materials, Chemicals) | 7,561 | 234,761 | ||||
Aurobindo Pharma Limited (Health care, Pharmaceuticals) | 16,348 | 190,006 | ||||
Avenue Supermarts Limited (Consumer staples, Food & staples retailing)† | 2,694 | 109,806 | ||||
Axis Bank Limited (Financials, Banks)† | 47,551 | 468,855 | ||||
Bajaj Auto Limited (Consumer discretionary, Automobiles) | 526 | 27,183 | ||||
Bandhan Bank Limited (Financials, Banks)144A† | 5,005 | 23,523 | ||||
Berger Paints India Limited (Materials, Chemicals) | 4,303 | 39,828 | ||||
Bharat Petroleum Corporation Limited (Energy, Oil, gas & consumable fuels) | 13,039 | 79,857 | ||||
Cipla India Limited (Health care, Pharmaceuticals) | 24,993 | 267,840 | ||||
Colgate-Palmolive Company India Limited (Consumer staples, Personal products) | 6,074 | 130,611 |
Shares | Value | |||||
India: (continued) | ||||||
Container Corporation of India Limited (Industrials, Transportation infrastructure) | 9,711 | $ 73,696 | ||||
Dabur India Limited (Consumer staples, Personal products) | 8,379 | 57,356 | ||||
Divi's Laboratories Limited (Health care, Life sciences tools & services) | 10,734 | 490,488 | ||||
Dr. Reddy's Laboratories Limited (Health care, Pharmaceuticals) | 5,406 | 326,979 | ||||
Gail India Limited (Utilities, Gas utilities) | 172,219 | 331,541 | ||||
Godrej Consumer Products Limited (Consumer staples, Personal products) | 6,662 | 62,151 | ||||
Havells India Limited (Industrials, Electrical equipment) | 5,577 | 83,898 | ||||
HCL Technologies Limited (Information technology, IT services) | 24,934 | 308,395 | ||||
Hero Motorcorp Limited (Consumer discretionary, Automobiles) | 2,320 | 101,850 | ||||
Hindalco Industries Limited (Materials, Metals & mining) | 69,841 | 322,090 | ||||
Hindustan Petroleum Corporation Limited (Energy, Oil, gas & consumable fuels) | 104,433 | 344,466 | ||||
Hindustan Unilever Limited (Consumer staples, Household products) | 17,211 | 498,807 | ||||
Housing Development Finance Corporation Limited (Financials, Thrifts & mortgage finance) | 35,284 | 1,221,079 | ||||
ICICI Bank Limited (Financials, Banks)† | 117,834 | 968,832 | ||||
Indus Towers Limited (Communication services, Diversified telecommunication services) | 24,848 | 87,213 | ||||
Info Edge India Limited (Communication services, Interactive media & services) | 5,050 | 337,171 | ||||
Infosys Limited (Information technology, IT services) | 100,239 | 1,718,802 | ||||
ITC Limited (Consumer staples, Tobacco) | 43,706 | 121,034 | ||||
Jubilant Foodworks Limited (Consumer discretionary, Hotels, restaurants & leisure) | 3,200 | 130,345 | ||||
Mahindra & Mahindra Limited (Consumer discretionary, Automobiles) | 1,258 | 13,790 | ||||
Maruti Suzuki India Limited (Consumer discretionary, Automobiles) | 1,395 | 130,259 | ||||
Nestle India Limited (Consumer staples, Food products) | 1,015 | 222,274 | ||||
NTPC Limited (Utilities, Independent power & renewable electricity producers) | 169,678 | 247,827 | ||||
Oil & Natural Gas Corporation Limited (Energy, Oil, gas & consumable fuels) | 59,094 | 89,194 | ||||
Page Industries Limited (Consumer discretionary, Textiles, apparel & luxury goods) | 25 | 9,547 | ||||
Petronet LNG Limited (Energy, Oil, gas & consumable fuels) | 49,788 | 172,883 | ||||
Power Grid Corporation of India Limited (Utilities, Electric utilities) | 84,853 | 247,676 | ||||
Reliance Industries Limited (Energy, Oil, gas & consumable fuels) | 60,298 | 1,709,234 | ||||
Shriram Transport Finance Company Limited (Financials, Consumer finance) | 16,473 | 287,980 | ||||
State Bank of India (Financials, Banks)† | 66,950 | 355,332 | ||||
Sun Pharmaceutical Industries Limited (Health care, Pharmaceuticals) | 27,326 | 220,875 | ||||
Tata Consultancy Services Limited (Information technology, IT services) | 24,262 | 955,661 | ||||
Tata Steel Limited (Materials, Metals & mining) | 28,344 | 274,412 | ||||
Tech Mahindra Limited (Information technology, IT services) | 21,496 | 268,505 |
Shares | Value | |||||
India: (continued) | ||||||
Torrent Pharmaceuticals Limited (Health care, Pharmaceuticals) | 7,923 | $ 261,582 | ||||
Wipro Limited (Information technology, IT services) | 65,534 | 366,151 | ||||
Yes Bank Limited (Financials, Banks)† | 163,898 | 34,951 | ||||
15,284,458 | ||||||
Indonesia: 1.24% | ||||||
PT Adaro Energy Tbk (Energy, Oil, gas & consumable fuels) | 3,490,700 | 288,317 | ||||
PT Bank Central Asia Tbk (Financials, Banks) | 209,600 | 493,135 | ||||
PT Bank Mandiri Persero Tbk (Financials, Banks) | 450,000 | 192,691 | ||||
PT Bank Negara Indonesia Persero Tbk (Financials, Banks) | 623,800 | 259,573 | ||||
PT Bank Rakyat Indonesia Tbk (Financials, Banks) | 1,296,900 | 427,205 | ||||
PT Gudang Garam Tbk (Consumer staples, Tobacco)† | 18,400 | 47,130 | ||||
PT Hanson International Tbk (Real estate, Real estate management & development)† | 10,045,000 | 0 | ||||
PT Indofood Sukses Makmur Tbk (Consumer staples, Food products) | 154,333 | 65,489 | ||||
PT United Tractors Tbk (Energy, Oil, gas & consumable fuels) | �� | 225,600 | 356,413 | |||
2,129,953 | ||||||
Luxembourg: 0.20% | ||||||
Globant SA (Information technology, IT services)† | 1,561 | 335,178 | ||||
Malaysia: 2.21% | ||||||
AMMB Holdings Bhd (Financials, Banks) | 91,133 | 70,994 | ||||
CIMB Group Holdings Bhd (Financials, Banks) | 84,800 | 90,552 | ||||
Dialog Group Bhd (Energy, Energy equipment & services) | 29,034 | 23,136 | ||||
Gamuda Bhd (Industrials, Construction & engineering)† | 165,700 | 136,095 | ||||
Genting Malaysia Bhd (Consumer discretionary, Hotels, restaurants & leisure) | 35,816 | 25,537 | ||||
Hartalega Holdings Bhd (Health care, Health care equipment & supplies) | 54,000 | 133,032 | ||||
Hong Leong Bank Bhd (Financials, Banks) | 74,300 | 329,949 | ||||
Hong Leong Financial Group Bhd (Financials, Banks) | 25,367 | 105,967 | ||||
Malayan Banking Bhd (Financials, Banks) | 150,500 | 298,300 | ||||
Nestle Malaysia Bhd (Consumer staples, Food products) | 2,300 | 78,270 | ||||
Petronas Dagangan Bhd (Energy, Oil, gas & consumable fuels) | 65,300 | 322,248 | ||||
Petronas Gas Bhd (Utilities, Gas utilities) | 26,900 | 108,862 | ||||
Public Bank Bhd (Financials, Banks) | 535,700 | 549,787 | ||||
RHB Bank Bhd (Financials, Banks) | 189,600 | 253,478 | ||||
Sime Darby Bhd (Industrials, Industrial conglomerates) | 392,500 | 219,648 | ||||
Supermax Corporation Bhd (Health care, Health care equipment & supplies) | 149,653 | 178,356 | ||||
Telecom Malaysia Bhd (Communication services, Diversified telecommunication services) | 289,900 | 439,154 | ||||
Top Glove Corporation Bhd (Health care, Health care equipment & supplies) | 221,150 | 285,646 | ||||
Westports Holdings Bhd (Industrials, Transportation infrastructure) | 131,700 | 132,493 | ||||
3,781,504 | ||||||
Mexico: 1.63% | ||||||
America Movil SAB de CV Series L (Communication services, Wireless telecommunication services) | 922,223 | 589,366 |
Shares | Value | |||||
Mexico: (continued) | ||||||
Gruma SAB de CV Class B (Consumer staples, Food products) | 17,630 | $ 192,134 | ||||
Grupo Aeroportuario del Pacifico SAB de CV Class B (Industrials, Transportation infrastructure)† | 18,915 | 191,211 | ||||
Grupo Aeroportuario del Sureste SAB de CV Class B (Industrials, Transportation infrastructure)† | 8,383 | 156,292 | ||||
Grupo Financiero Banorte SAB de CV (Financials, Banks)† | 125,700 | 631,234 | ||||
Grupo Financiero Inbursa SAB de CV (Financials, Banks)† | 358,500 | 322,155 | ||||
Grupo Mexico SAB de CV Series B (Materials, Metals & mining) | 101,000 | 478,810 | ||||
Walmart de Mexico SAB de CV (Consumer staples, Food & staples retailing) | 79,739 | 226,933 | ||||
2,788,135 | ||||||
Peru: 0.13% | ||||||
Credicorp Limited (Financials, Banks) | 1,339 | 214,253 | ||||
Philippines: 1.01% | ||||||
Bank of the Philippine Islands (Financials, Banks) | 83,300 | 152,905 | ||||
Energy Development Corporation (Utilities, Independent power & renewable electricity producers)♦† | 231,800 | 1,401 | ||||
Globe Telecom Incorporated (Communication services, Wireless telecommunication services) | 9,660 | 403,646 | ||||
GT Capital Holdings Incorporated (Industrials, Industrial conglomerates) | 19,093 | 220,223 | ||||
Megaworld Corporation (Real estate, Real estate management & development) | 166,467 | 12,437 | ||||
Metro Pacific Investments Corporation (Financials, Diversified financial services) | 1,181,100 | 98,830 | ||||
Metropolitan Bank & Trust Company (Financials, Banks) | 112,077 | 116,876 | ||||
PLDT Incorporated (Communication services, Wireless telecommunication services) | 17,980 | 476,426 | ||||
Puregold Price Club Incorporated (Consumer staples, Food & staples retailing) | 323,810 | 246,844 | ||||
1,729,588 | ||||||
Poland: 0.74% | ||||||
CD Projekt SA (Communication services, Entertainment)† | 473 | 29,735 | ||||
Cyfrowy Polsat SA (Communication services, Media) | 13,717 | 104,302 | ||||
Dino Polska SA (Consumer staples, Food & staples retailing)144A† | 4,414 | 289,558 | ||||
KGHM Polska Miedz SA (Materials, Metals & mining)† | 8,573 | 430,267 | ||||
Orange Polska SA (Communication services, Diversified telecommunication services)† | 48,034 | 80,646 | ||||
Polski Koncern Naftowy Orlen SA (Energy, Oil, gas & consumable fuels) | 2,114 | 33,162 | ||||
Polskie Gornictwo Naftowe i Gazownictwo SA (Energy, Oil, gas & consumable fuels) | 203,789 | 303,311 | ||||
1,270,981 | ||||||
Russia: 1.76% | ||||||
Gazprom PJSC (Energy, Oil, gas & consumable fuels) | 143,160 | 417,665 | ||||
Inter Rao Ues PJSC (Utilities, Electric utilities) | 862,002 | 59,236 | ||||
Lukoil PJSC (Energy, Oil, gas & consumable fuels) | 7,687 | 575,723 | ||||
MMC Norilsk Nickel PJSC (Materials, Metals & mining) | 1,302 | 407,383 |
Shares | Value | |||||
Russia: (continued) | ||||||
Mobile TeleSystems PJSC ADR (Communication services, Wireless telecommunication services) | 9,048 | $ 74,375 | ||||
Moscow Exchange MICEX-RTS PJSC (Financials, Capital markets) | 9,335 | 21,580 | ||||
Novolipetsk Steel PJSC (Materials, Metals & mining) | 28,410 | 84,910 | ||||
Polyus PJSC (Materials, Metals & mining) | 791 | 148,768 | ||||
Rosgosstrakh PJSC (Financials, Insurance) | 9,149,167 | 29,678 | ||||
Rosneft Oil Company PJSC (Energy, Oil, gas & consumable fuels) | 17,010 | 119,485 | ||||
Sberbank of Russia PJSC (Financials, Banks) | 212,850 | 771,721 | ||||
Severstal PJSC (Materials, Metals & mining) | 4,920 | 88,836 | ||||
Tatneft PJSC (Energy, Oil, gas & consumable fuels) | 28,052 | 197,130 | ||||
VTB Bank PJSC (Financials, Banks) | 17,390,000 | 8,675 | ||||
3,005,165 | ||||||
South Africa: 3.23% | ||||||
Absa Group Limited (Financials, Banks) | 17,295 | 138,407 | ||||
Anglogold Ashanti Limited (Materials, Metals & mining) | 704 | 14,079 | ||||
Aspen Pharmacare Holdings Limited (Health care, Pharmaceuticals)† | 29,760 | 279,823 | ||||
Bid Corporation Limited (Consumer staples, Food & staples retailing) | 1,926 | 36,002 | ||||
Exxaro Resources Limited (Energy, Oil, gas & consumable fuels) | 55,722 | 630,089 | ||||
Gold Fields Limited (Materials, Metals & mining) | 16,755 | 138,341 | ||||
Harmony Gold Mining Company Limited (Materials, Metals & mining)† | 35,557 | 133,513 | ||||
Impala Platinum Holdings Limited (Materials, Metals & mining) | 27,690 | 448,974 | ||||
Kumba Iron Ore Limited (Materials, Metals & mining) | 9,460 | 405,752 | ||||
Naspers Limited (Consumer discretionary, Internet & direct marketing retail) | 9,144 | 2,157,778 | ||||
Nedbank Group Limited (Financials, Banks) | 21,055 | 181,671 | ||||
Old Mutual Limited (Financials, Insurance) | 190,484 | 169,256 | ||||
Rand Merchant Investment Holdings Limited (Financials, Insurance) | 131,062 | 264,095 | ||||
Sibanye Stillwater Limited (Materials, Metals & mining) | 58,004 | 266,692 | ||||
Standard Bank Group Limited (Financials, Banks) | 16,908 | 148,279 | ||||
Vodacom Group Limited (Communication services, Wireless telecommunication services) | 13,507 | 111,207 | ||||
5,523,958 | ||||||
South Korea: 12.22% | ||||||
Alteogen Incorporated (Health care, Biotechnology)† | 1,248 | 144,235 | ||||
Celltrion Healthcare Company Limited (Health care, Health care providers & services)† | 1,870 | 208,706 | ||||
Celltrion Incorporated (Health care, Pharmaceuticals)† | 1,592 | 420,793 | ||||
CJ Cheiljedang Corporation (Consumer staples, Food products) | 452 | 163,198 | ||||
CJ Corporation (Industrials, Industrial conglomerates) | 1,192 | 98,177 | ||||
CJ Korea Express Corporation (Industrials, Road & rail)† | 1,141 | 166,300 | ||||
Daelim Industrial Company Limited (Industrials, Construction & engineering) | 1 | 77 | ||||
Dongbu Insurance Company Limited (Financials, Insurance) | 3,044 | 112,015 | ||||
E-MART Incorporated (Consumer staples, Food & staples retailing) | 774 | 116,219 |
Shares | Value | |||||
South Korea: (continued) | ||||||
GS Engineering & Construction Corporation (Industrials, Construction & engineering) | 4,165 | $ 134,532 | ||||
Hana Financial Group Incorporated (Financials, Banks) | 7,180 | 235,838 | ||||
Hankook Tire Company Limited (Consumer discretionary, Auto components) | 1,048 | 44,330 | ||||
Hanwha Chem Corporation (Materials, Chemicals) | 3,467 | 138,467 | ||||
Hanwha Corporation (Industrials, Industrial conglomerates) | 9,900 | 257,703 | ||||
Hyundai Glovis Company Limited (Industrials, Air freight & logistics) | 1,956 | 335,622 | ||||
Hyundai Marine & Fire Insurance Company Limited (Financials, Insurance) | 7,169 | 139,439 | ||||
Hyundai Mobis Company (Consumer discretionary, Auto components) | 591 | 159,001 | ||||
Hyundai Motor Company (Consumer discretionary, Automobiles) | 2,264 | 476,267 | ||||
Kakao Corporation (Communication services, Interactive media & services) | 1,251 | 542,612 | ||||
KB Financial Group Incorporated (Financials, Banks) | 14,060 | 544,202 | ||||
Kia Motors Corporation (Consumer discretionary, Automobiles) | 5,012 | 353,387 | ||||
Korea Investment Holdings Company Limited (Financials, Capital markets) | 840 | 65,141 | ||||
Kumho Petrochemical Company Limited (Materials, Chemicals) | 3,163 | 592,631 | ||||
LG Chem Limited (Materials, Chemicals) | 930 | 686,585 | ||||
LG Corporation (Industrials, Industrial conglomerates) | 4,838 | 403,284 | ||||
LG Electronics Incorporated (Consumer discretionary, Household durables) | 4,053 | 527,274 | ||||
LG Household & Health Care Limited (Consumer staples, Personal products) | 224 | 301,573 | ||||
LG Innotek Company Limited (Information technology, Electronic equipment, instruments & components) | 1,744 | 308,169 | ||||
Lotte Chemical Corporation (Materials, Chemicals) | 590 | 166,419 | ||||
Naver Corporation (Communication services, Interactive media & services) | 2,518 | 838,297 | ||||
NCsoft Corporation (Communication services, Entertainment) | 699 | 580,562 | ||||
Orion Corporation of Republic of Korea (Consumer staples, Food products) | 1,704 | 194,798 | ||||
Ottogi Corporation (Consumer staples, Food products) | 118 | 58,693 | ||||
POSCO (Materials, Metals & mining) | 1,477 | 366,750 | ||||
Samsung Biologics Company Limited (Health care, Life sciences tools & services)† | 360 | 239,858 | ||||
Samsung C&T Corporation (Industrials, Industrial conglomerates) | 3,292 | 355,043 | ||||
Samsung Electro-Mechanics Company Limited (Information technology, Electronic equipment, instruments & components) | 2,195 | 369,279 | ||||
Samsung Electronics Company Limited (Information technology, Technology hardware, storage & peripherals) | 95,020 | 6,963,600 | ||||
Samsung Engineering Company Limited (Industrials, Construction & engineering)† | 6,743 | 77,224 | ||||
Samsung SDI Company Limited (Information technology, Electronic equipment, instruments & components) | 1,357 | 811,932 | ||||
Seegene Incorporated (Health care, Biotechnology) | 1,806 | 199,124 | ||||
Shinpoong Pharmaceutical Company Limited (Health care, Pharmaceuticals) | 5,690 | 423,351 |
Shares | Value | |||||
South Korea: (continued) | ||||||
Sillajen Incorporated (Health care, Biotechnology)♦‡† | 2,972 | $ 32,008 | ||||
SK Company Limited (Industrials, Industrial conglomerates) | 254 | 59,278 | ||||
SK Hynix Incorporated (Information technology, Semiconductors & semiconductor equipment) | 8,127 | 1,020,791 | ||||
SK Telecom Company Limited (Communication services, Wireless telecommunication services) | 946 | 207,387 | ||||
Soulbrain Company Limited (Materials, Chemicals) | 1 | 39 | ||||
Woori Financial Group Incorporated (Financials, Banks) | 8,739 | 74,422 | ||||
Yuhan Corporation (Health care, Pharmaceuticals) | 3,792 | 208,961 | ||||
20,923,593 | ||||||
Taiwan: 13.66% | ||||||
Accton Technology Corporation (Information technology, Communications equipment) | 18,000 | 169,509 | ||||
Acer Incorporated (Information technology, Technology hardware, storage & peripherals) | 118,000 | 113,665 | ||||
Asia Cement Corporation (Materials, Construction materials) | 30,500 | 46,650 | ||||
ASMedia Technology Incorporated (Information technology, Semiconductors & semiconductor equipment) | 2,000 | 121,935 | ||||
Asustek Computer Incorporated (Information technology, Technology hardware, storage & peripherals) | 29,000 | 316,252 | ||||
Cathay Financial Holding Company (Financials, Insurance) | 182,000 | 273,905 | ||||
Chailease Holding Company Limited (Financials, Diversified financial services) | 5,585 | 34,494 | ||||
Chicony Electronics Company Limited (Information technology, Technology hardware, storage & peripherals) | 69,335 | 233,275 | ||||
Chunghwa Telecom Company Limited (Communication services, Diversified telecommunication services) | 86,000 | 337,874 | ||||
Compal Electronic Incorporated (Information technology, Technology hardware, storage & peripherals) | 492,000 | 391,871 | ||||
CTBC Financial Holding Company Limited (Financials, Banks) | 343,000 | 246,253 | ||||
Delta Electronics Incorporated (Information technology, Electronic equipment, instruments & components) | 47,000 | 473,065 | ||||
E.SUN Financial Holding Company Limited (Financials, Banks) | 133,093 | 120,713 | ||||
Eclat Textile Company Limited (Consumer discretionary, Textiles, apparel & luxury goods) | 1,667 | 25,684 | ||||
First Financial Holding Company Limited (Financials, Banks) | 96,898 | 72,477 | ||||
Formosa Chemicals & Fibre Corporation (Materials, Chemicals) | 27,500 | 84,857 | ||||
Formosa Plastics Corporation (Materials, Chemicals) | 34,000 | 118,913 | ||||
Fubon Financial Holding Company Limited (Financials, Insurance) | 168,000 | 300,864 | ||||
Giant Manufacturing Company Limited (Consumer discretionary, Leisure products) | 36,000 | 363,091 | ||||
GlobalWafers Company Limited (Information technology, Semiconductors & semiconductor equipment) | 4,000 | 106,205 | ||||
Highwealth Construction Corporation (Real estate, Real estate management & development) | 450 | 730 | ||||
Hon Hai Precision Industry Company Limited (Information technology, Electronic equipment, instruments & components) | 284,400 | 1,142,505 | ||||
Inventec Company Limited (Information technology, Technology hardware, storage & peripherals) | 46,834 | 41,682 |
Shares | Value | |||||
Taiwan: (continued) | ||||||
Lite-On Technology Corporation (Information technology, Technology hardware, storage & peripherals) | 77,000 | $ 164,108 | ||||
Mediatek Incorporated (Information technology, Semiconductors & semiconductor equipment) | 33,000 | 1,059,188 | ||||
Mega Financial Holding Company Limited (Financials, Banks) | 193,000 | 202,311 | ||||
Micro-Star International Company Limited (Information technology, Technology hardware, storage & peripherals) | 70,000 | 374,398 | ||||
Nan Ya Plastics Corporation (Materials, Chemicals) | 31,000 | 80,852 | ||||
Novatek Microelectronics Corporation Limited (Information technology, Semiconductors & semiconductor equipment) | 31,000 | 527,844 | ||||
Pegatron Corporation (Information technology, Technology hardware, storage & peripherals) | 94,000 | 251,586 | ||||
Pharmally International Holding Company Limited (Health care, Pharmaceuticals)♦‡† | 2,064 | 4,194 | ||||
Phison Electronics Corporation (Information technology, Semiconductors & semiconductor equipment) | 17,000 | 279,984 | ||||
Powertech Technology Incorporated (Information technology, Semiconductors & semiconductor equipment) | 41,000 | 147,009 | ||||
Quanta Computer Incorporated (Information technology, Technology hardware, storage & peripherals) | 181,000 | 552,087 | ||||
Realtek Semiconductor Corporation (Information technology, Semiconductors & semiconductor equipment) | 12,000 | 197,986 | ||||
Shin Kong Financial Holding Company Limited (Financials, Insurance) | 49,000 | 14,552 | ||||
Silergy Corporation (Information technology, Semiconductors & semiconductor equipment) | 3,000 | 287,997 | ||||
Sinopac Financial Holdings Company Limited (Financials, Banks) | 51,400 | 21,493 | ||||
Synnex Technology International Corporation (Information technology, Electronic equipment, instruments & components) | 464,000 | 821,309 | ||||
Taishin Financial Holdings Company Limited (Financials, Banks) | 311,381 | 144,632 | ||||
Taiwan Cement Corporation (Materials, Construction materials) | 175,843 | 264,969 | ||||
Taiwan Semiconductor Manufacturing Company Limited (Information technology, Semiconductors & semiconductor equipment) | 493,000 | 10,770,589 | ||||
United Microelectronics Corporation (Information technology, Semiconductors & semiconductor equipment) | 338,000 | 659,020 | ||||
Vanguard International Semiconductor Corporation (Information technology, Semiconductors & semiconductor equipment) | 29,000 | 120,629 | ||||
Walsin Technology Corporation (Information technology, Electronic equipment, instruments & components) | 12,000 | 109,233 | ||||
Win Semiconductors Corporation (Information technology, Semiconductors & semiconductor equipment) | 5,000 | 68,227 | ||||
Wistron Corporation (Information technology, Technology hardware, storage & peripherals) | 289,607 | 332,565 | ||||
WPG Holdings Company Limited (Information technology, Electronic equipment, instruments & components) | 290,440 | 472,645 | ||||
Yageo Corporation (Information technology, Electronic equipment, instruments & components) | 6,566 | 139,586 |
Shares | Value | |||||
Taiwan: (continued) | ||||||
Yuanta Financial Holding Company Limited (Financials, Diversified financial services) | 54,560 | $ 41,605 | ||||
Zhen Ding Technology Holding (Information technology, Electronic equipment, instruments & components) | 33,000 | 142,003 | ||||
23,389,070 | ||||||
Thailand: 2.23% | ||||||
Bumrungrad Hospital PCL (Health care, Health care providers & services) | �� | 32,134 | 133,798 | |||
Charoen Pokphand Foods PCL (Consumer staples, Food products) | 206,400 | 194,892 | ||||
CP All PCL (Consumer staples, Food & staples retailing) | 80,900 | 158,519 | ||||
Electricity Genera PCL (Utilities, Independent power & renewable electricity producers) | 5,100 | 28,171 | ||||
Home Product Center PCL (Consumer discretionary, Specialty retail) | 360,300 | 156,027 | ||||
Indorama Ventures PCL (Materials, Chemicals) | 122,400 | 157,754 | ||||
Intouch Holdings PCL (Communication services, Wireless telecommunication services) | 155,100 | 283,533 | ||||
Kasikornbank PCL - Non-voting (Financials, Banks) | 66,800 | 307,654 | ||||
Land & Houses PCL (Real estate, Real estate management & development) | 947,967 | 244,779 | ||||
PTT Exploration & Production PCL (Energy, Oil, gas & consumable fuels) | 73,900 | 275,800 | ||||
PTT Global Chemical PCL (Materials, Chemicals) | 143,400 | 292,912 | ||||
PTT PCL (Energy, Oil, gas & consumable fuels) | 371,000 | 484,033 | ||||
Ratchaburi Electricity Generating Holding PCL (Utilities, Independent power & renewable electricity producers) | 106,900 | 180,170 | ||||
Siam Commercial Bank PCL (Financials, Banks) | 141,000 | 473,081 | ||||
Srisawad Power 1979 PCL (Financials, Diversified financial services) | 59,940 | 123,523 | ||||
Thai Union Group PCL (Consumer staples, Food products) | 284,400 | 130,922 | ||||
The Siam Cement PCL (Materials, Construction materials) | 16,400 | 197,404 | ||||
3,822,972 | ||||||
Turkey: 0.82% | ||||||
Akbank TAS (Financials, Banks)† | 101,159 | 83,197 | ||||
Bim Birlesik Magazalar AS (Consumer staples, Food & staples retailing) | 11,656 | 104,379 | ||||
Eregli Demir ve Celik Fabrikalari TAS (Materials, Metals & mining) | 37,423 | 73,812 | ||||
Ford Otomotiv Sanayi AS (Consumer discretionary, Automobiles) | 3,442 | 81,159 | ||||
Haci Omer Sabanci Holding AS (Financials, Diversified financial services) | 60,258 | 85,359 | ||||
Turkcell Iletisim Hizmetleri AS (Communication services, Wireless telecommunication services) | 136,687 | 297,661 | ||||
Turkiye Garanti Bankasi AS (Financials, Banks)† | 145,683 | 175,723 | ||||
Turkiye Is Bankasi Class C AS (Financials, Banks)† | 278,048 | 214,813 | ||||
Yapi Ve Kredi Bankasi AS (Financials, Banks)† | 811,746 | 290,064 | ||||
1,406,167 | ||||||
Total Common stocks (Cost $119,582,517) | 158,732,425 |
Interest rate | Maturity date | Principal | Value | |||
Foreign corporate bonds and notes: 0.00% | ||||||
India: 0.00% | ||||||
Britannia Industries Limited (Consumer staples, Food products) | 8.00% | 8-28-2022 | INR | 229,650 | $ 3,269 | |
Total Foreign corporate bonds and notes (Cost $3,242) | 3,269 |
Dividend yield | Shares | |||||
Preferred stocks: 2.74% | ||||||
Brazil: 2.11% | ||||||
Banco Bradesco SA (Financials, Banks) | 3.07 | 143,056 | 587,111 | |||
Centrais Elétricas Brasileiras SA-Eletrobras Class B (Utilities, Electric utilities) | 4.84 | 53,600 | 313,421 | |||
Companhia Energetica de Minas Gerais SA (Utilities, Electric utilities) | 2.10 | 128,069 | 273,314 | |||
Companhia Paranaense de Energia-Copel Class B (Utilities, Electric utilities) | 5.70 | 41,900 | 437,975 | |||
Gerdau SA (Materials, Metals & mining) | 1.51 | 72,100 | 332,827 | |||
Itau Unibanco Holding SA (Financials, Banks) | 2.00 | 133,770 | 609,868 | |||
Itaúsa SA (Financials, Banks) | 3.73 | 349,261 | 620,097 | |||
Lojas Americanas SA (Consumer discretionary, Multiline retail) | 0.07 | 56,700 | 252,025 | |||
Petroleo Brasileiro SA (Energy, Oil, gas & consumable fuels) | 0.00 | 45,500 | 180,565 | |||
3,607,203 | ||||||
Chile: 0.03% | ||||||
Sociedad Quimica y Minera de Chile SA Class B (Materials, Chemicals) | 2.13 | 875 | 46,864 | |||
South Korea: 0.60% | ||||||
LG Chem Limited (Materials, Chemicals) | 2.63 | 139 | 48,112 | |||
Samsung Electronics Company Limited (Information technology, Technology hardware, storage & peripherals) | 3.93 | 15,221 | 984,522 | |||
1,032,634 | ||||||
Total Preferred stocks (Cost $4,759,171) | 4,686,701 |
Expiration date | ||||||
Rights: 0.00% | ||||||
Hong Kong: 0.00% | ||||||
Legend Holdings Corporation Class H (Financials, Diversified financial services)♦† | 5-9-2029 | 3,061 | 0 | |||
Total Rights (Cost $0) | 0 |
Yield | Shares | Value | ||||
Short-term investments: 3.13% | ||||||
Investment companies: 3.13% | ||||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 5,365,153 | $ 5,365,153 | |||
Total Short-term investments (Cost $5,365,153) | 5,365,153 | |||||
Total investments in securities (Cost $129,710,083) | 98.61% | 168,787,548 | ||||
Other assets and liabilities, net | 1.39 | 2,377,767 | ||||
Total net assets | 100.00% | $171,165,315 |
† | Non-income-earning security |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
♦ | The security is fair valued in accordance with procedures approved by the Board of Trustees. |
‡ | Security is valued using significant unobservable inputs. |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
ADR | American depositary receipt |
INR | Indian Rupee |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $6,720,374 | $110,616,761 | $(111,971,982) | $0 | $0 | $5,365,153 | 3.13% | 5,365,153 | $8,421 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
MSCI Emerging Markets Index | 117 | 3-19-2021 | $8,172,493 | $7,827,885 | $0 | $(344,608) |
Assets | |
Investments in unaffiliated securities, at value (cost $124,344,930) | $ 163,422,395 |
Investments in affiliated securites, at value (cost $5,365,153) | 5,365,153 |
Segregated cash for futures contracts | 2,108,340 |
Receivable for dividends and interest | 468,476 |
Foreign currency, at value (cost $202,352) | 199,777 |
Receivable for investments sold | 188,478 |
Receivable from adviser | 28,862 |
Prepaid expenses and other assets | 7,823 |
Total assets | 171,789,304 |
Liabilities | |
Custodian and accounting fee payable | 460,193 |
Payable for daily variation margin on open futures contracts | 118,669 |
Professional fees payable | 44,148 |
Trustees’ fees and expenses payable | 857 |
Accrued expenses and other liabilities | 122 |
Total liabilities | 623,989 |
Total net assets | $171,165,315 |
Investment income | |
Dividends (net of foreign withholdings taxes of $727,618) | $ 4,814,864 |
Income from affiliated securities | 8,421 |
Interest (net of foreign withholding taxes of $530) | 1,579 |
Total investment income | 4,824,864 |
Expenses | |
Advisory fee | 305,404 |
Custody and accounting fees | 650,248 |
Professional fees | 44,790 |
Interest holder report expenses | 11,685 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 38,122 |
Total expenses | 1,069,844 |
Less: Fee waivers and/or expense reimbursements | (627,406) |
Net expenses | 442,438 |
Net investment income | 4,382,426 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (8,457,368) |
Foreign currency and foreign currency translations | (360,659) |
Futures contracts | 2,976,772 |
Net realized losses on investments | (5,841,255) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 48,215,739 |
Foreign currency and foreign currency translations | 16,271 |
Futures contracts | 138,652 |
Net change in unrealized gains (losses) on investments | 48,370,662 |
Net realized and unrealized gains (losses) on investments | 42,529,407 |
Net increase in net assets resulting from operations | $46,911,833 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 4,382,426 | $ 6,263,029 |
Net realized losses on investments | (5,841,255) | (7,712,386) |
Net change in unrealized gains (losses) on investments | 48,370,662 | (11,714,226) |
Net increase (decrease) in net assets resulting from operations | 46,911,833 | (13,163,583) |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 52,744,158 | 33,085,504 |
Withdrawals | (145,512,035) | (59,525,153) |
Net decrease in net assets resulting from capital transactions | (92,767,877) | (26,439,649) |
Total decrease in net assets | (45,856,044) | (39,603,232) |
Net assets | ||
Beginning of period | 217,021,359 | 256,624,591 |
End of period | $ 171,165,315 | $217,021,359 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 23.70% | (6.15)% | (11.16)% | 13.43% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.53% | 0.52% | 0.58% | 0.49% | ||
Net expenses | 0.22% 3 | 0.39% | 0.45% | 0.49% | ||
Net investment income | 2.15% | 2.51% | 2.33% | 1.56% | ||
Supplemental data | ||||||
Portfolio turnover rate | 133% | 59% | 81% | 136% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.31% higher. |
Gross unrealized gains | $43,047,418 |
Gross unrealized losses | (9,230,611) |
Net unrealized gains | $33,816,807 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Common stocks | ||||
Brazil | $ 4,348,191 | $ 0 | $ 0 | $ 4,348,191 |
Chile | 261,436 | 484,313 | 0 | 745,749 |
China | 17,671,668 | 44,449,170 | 0 | 62,120,838 |
Colombia | 38,693 | 0 | 0 | 38,693 |
Czech Republic | 0 | 72,010 | 0 | 72,010 |
Greece | 0 | 268,285 | 0 | 268,285 |
Hong Kong | 0 | 4,803,922 | 0 | 4,803,922 |
Hungary | 0 | 729,762 | 0 | 729,762 |
India | 0 | 15,284,458 | 0 | 15,284,458 |
Indonesia | 0 | 2,129,953 | 0 | 2,129,953 |
Luxembourg | 335,178 | 0 | 0 | 335,178 |
Malaysia | 0 | 3,781,504 | 0 | 3,781,504 |
Mexico | 2,788,135 | 0 | 0 | 2,788,135 |
Peru | 214,253 | 0 | 0 | 214,253 |
Philippines | 0 | 1,729,588 | 0 | 1,729,588 |
Poland | 0 | 1,270,981 | 0 | 1,270,981 |
Russia | 104,053 | 2,901,112 | 0 | 3,005,165 |
South Africa | 1,411,143 | 4,112,815 | 0 | 5,523,958 |
South Korea | 0 | 20,891,585 | 32,008 | 20,923,593 |
Taiwan | 0 | 23,384,876 | 4,194 | 23,389,070 |
Thailand | 0 | 3,822,972 | 0 | 3,822,972 |
Turkey | 0 | 1,406,167 | 0 | 1,406,167 |
Foreign corporate bonds and notes | 0 | 3,269 | 0 | 3,269 |
Preferred stocks | ||||
Brazil | 3,607,203 | 0 | 0 | 3,607,203 |
Chile | 0 | 46,864 | 0 | 46,864 |
South Korea | 0 | 1,032,634 | 0 | 1,032,634 |
Short-term investments | ||||
Investment companies | 5,365,153 | 0 | 0 | 5,365,153 |
Total assets | $36,145,106 | $132,606,240 | $36,202 | $168,787,548 |
Liabilities | ||||
Futures contracts | $ 344,608 | $ 0 | $ 0 | $ 344,608 |
Total liabilities | $ 344,608 | $ 0 | $ 0 | $ 344,608 |
Average daily net assets | Advisory fee |
First $5 billion | 0.150% |
Next $5 billion | 0.130 |
Over $10 billion | 0.110 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Factor Enhanced International Equity Portfolio
Investment objective | The Portfolio seeks long-term capital appreciation. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Dennis Beinn, CFA®‡, Harindra de Silva, Ph.D., CFA®‡, Monisha Jayakumar |
Ten largest holdings (%) as of February 28, 20211 | |
Nestle SA | 1.78 |
Canadian Pacific Railway Limited | 1.48 |
ASML Holding NV | 1.36 |
Pandora AS | 1.31 |
Roche Holding AG | 1.22 |
Fortescue Metals Group Limited | 1.22 |
Prudential plc | 1.17 |
Rio Tinto plc | 1.15 |
Reckitt Benckiser Group plc | 1.12 |
Novartis AG | 1.12 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Sector allocation as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Country allocation as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Shares | Value | |||||
Common stocks: 95.43% | ||||||
Australia: 6.45% | ||||||
AGL Energy Limited (Utilities, Multi-utilities) | 22,902 | $ 164,682 | ||||
AMP Limited (Financials, Diversified financial services) | 15,886 | 18,377 | ||||
Ampol Limited (Energy, Oil, gas & consumable fuels) | 9,836 | 186,966 | ||||
Aristocrat Leisure Limited (Consumer discretionary, Hotels, restaurants & leisure) | 16,245 | 380,019 | ||||
ASX Limited (Financials, Capital markets) | 368 | 19,163 | ||||
Aurizon Holdings Limited (Industrials, Road & rail) | 329,599 | 970,576 | ||||
Australia & New Zealand Banking Group Limited (Financials, Banks) | 64,010 | 1,285,429 | ||||
BlueScope Steel Limited (Materials, Metals & mining) | 38,132 | 486,990 | ||||
Brambles Limited (Industrials, Commercial services & supplies) | 47,837 | 365,445 | ||||
Coles Group Liimited (Consumer staples, Food & staples retailing) | 61,017 | 722,392 | ||||
Commonwealth Bank of Australia (Financials, Banks) | 63,351 | 3,976,463 | ||||
Computershare Limited (Information technology, IT services) | 32,716 | 334,735 | ||||
CSL Limited (Health care, Biotechnology) | 19,767 | 4,028,490 | ||||
Dexus Property Group (Real estate, Equity REITs) | 22,824 | 156,569 | ||||
Evolution Mining Limited (Materials, Metals & mining) | 61,207 | 195,838 | ||||
Fortescue Metals Group Limited (Materials, Metals & mining) | 446,844 | 8,252,385 | ||||
Goodman Group (Real estate, Equity REITs) | 63,421 | 810,513 | ||||
Lendlease Corporation Limited (Real estate, Real estate management & development) | 97,380 | 1,000,952 | ||||
Macquarie Group Limited (Financials, Capital markets) | 6,612 | 723,771 | ||||
Magellan Financial Group Limited (Financials, Capital markets) | 4,836 | 161,584 | ||||
Medibank Private Limited (Financials, Insurance) | 187,449 | 400,073 | ||||
Mirvac Group (Real estate, Equity REITs) | 312,707 | 538,985 | ||||
National Australia Bank Limited (Financials, Banks) | 78,068 | 1,482,295 | ||||
Newcrest Mining Limited (Materials, Metals & mining) | 13,143 | 246,980 | ||||
Northern Star Resources Limited (Materials, Metals & mining)144A | 19,094 | 147,896 | ||||
Oil Search Limited (Energy, Oil, gas & consumable fuels) | 34,848 | 113,120 | ||||
Orica Limited (Materials, Chemicals) | 3,283 | 31,837 | ||||
Origin Energy Limited (Energy, Oil, gas & consumable fuels) | 65,886 | 228,050 | ||||
Qantas Airways Limited (Industrials, Airlines)† | 356,644 | 1,369,224 | ||||
QBE Insurance Group Limited (Financials, Insurance) | 5,319 | 38,090 | ||||
REA Group Limited (Communication services, Interactive media & services) | 1,437 | 151,857 | ||||
Rio Tinto Limited (Materials, Metals & mining) | 28,717 | 2,817,712 | ||||
Santos Limited (Energy, Oil, gas & consumable fuels) | 253,030 | 1,401,848 | ||||
Scentre Group (Real estate, Equity REITs) | 718,813 | 1,591,694 | ||||
Sonic Healthcare Limited (Health care, Health care providers & services) | 4,180 | 102,483 | ||||
Stockland Corporation Limited (Real estate, Equity REITs) | 682,499 | 2,180,712 | ||||
Suncorp Group Limited (Financials, Insurance) | 3,898 | 29,864 | ||||
Sydney Airport Holdings Limited (Industrials, Transportation infrastructure)† | 62,350 | 282,648 | ||||
Tabcorp Holdings Limited (Consumer discretionary, Hotels, restaurants & leisure) | 192,533 | 656,619 | ||||
Telstra Corporation Limited (Communication services, Diversified telecommunication services) | 133,495 | 317,641 | ||||
The GPT Group (Real estate, Equity REITs) | 184,720 | 606,726 | ||||
TPG Telecom Limited (Communication services, Diversified telecommunication services) | 5,682 | 30,060 | ||||
Transurban Group (Industrials, Transportation infrastructure) | 3,460 | 34,289 | ||||
Vicinity Centres (Real estate, Equity REITs) | 160,050 | 201,647 | ||||
Washington H. Soul Pattinson & Company Limited (Energy, Oil, gas & consumable fuels) | 4,376 | 100,706 | ||||
Wesfarmers Limited (Consumer discretionary, Multiline retail) | 43,682 | 1,661,454 | ||||
Westpac Banking Corporation (Financials, Banks) | 94,942 | 1,740,497 |
Shares | Value | |||||
Australia: (continued) | ||||||
Woodside Petroleum Limited (Energy, Oil, gas & consumable fuels) | 14,863 | $ 280,291 | ||||
Woolworths Group Limited (Consumer staples, Food & staples retailing) | 23,469 | 715,735 | ||||
43,742,372 | ||||||
Austria: 0.13% | ||||||
Erste Bank Der Oesterreichischen Sparkassen AG (Financials, Banks)† | 12,906 | 423,796 | ||||
OMV AG (Energy, Oil, gas & consumable fuels) | 5,895 | 284,016 | ||||
Raiffeisen Bank International AG (Financials, Banks)† | 5,459 | 110,357 | ||||
Voestalpine AG (Materials, Metals & mining) | 859 | 33,926 | ||||
852,095 | ||||||
Belgium: 0.81% | ||||||
Ageas NV (Financials, Insurance) | 2,512 | 140,802 | ||||
Anheuser-Busch InBev SA/NV (Consumer staples, Beverages) | 17,174 | 988,255 | ||||
Colruyt SA (Consumer staples, Food & staples retailing) | 5,158 | 308,991 | ||||
Elia System Operator SA/NV (Utilities, Electric utilities) | 6,869 | 740,619 | ||||
KBC Group NV (Financials, Banks)† | 12,092 | 867,820 | ||||
Sofina SA (Financials, Diversified financial services) | 698 | 230,709 | ||||
Solvay SA (Materials, Chemicals) | 84 | 10,224 | ||||
UCB SA (Health care, Pharmaceuticals) | 9,391 | 931,180 | ||||
Umicore SA (Materials, Chemicals) | 21,219 | 1,246,589 | ||||
5,465,189 | ||||||
Canada: 9.75% | ||||||
Agnico-Eagle Mines Limited (Materials, Metals & mining) | 2,495 | 139,278 | ||||
Air Canada (Industrials, Airlines)† | 6,233 | 122,936 | ||||
Algonquin Power & Utilities Corporation (Utilities, Multi-utilities) | 29,500 | 456,895 | ||||
Alimentation Couche-Tard Incorporated Class B (Consumer staples, Food & staples retailing) | 37,070 | 1,114,197 | ||||
Altagas Limited (Energy, Oil, gas & consumable fuels) | 68,000 | 1,030,740 | ||||
ATCO Limited Class I (Utilities, Multi-utilities) | 23,200 | 676,712 | ||||
B2Gold Corporation (Materials, Metals & mining) | 39,300 | 171,084 | ||||
Bank of Montreal (Financials, Banks) | 18,791 | 1,535,351 | ||||
Barrick Gold Corporation (Materials, Metals & mining) | 53,771 | 1,003,506 | ||||
Bausch Health Companies Incorporated (Health care, Pharmaceuticals)† | 29,400 | 925,248 | ||||
BCE Incorporated (Communication services, Diversified telecommunication services) | 286 | 12,232 | ||||
Brookfield Asset Management Incorporated Class A (Financials, Capital markets) | 12,428 | 501,964 | ||||
CAE Incorporated (Industrials, Aerospace & defense) | 12,600 | 333,465 | ||||
CAMECO Corporation (Energy, Oil, gas & consumable fuels) | 14,600 | 229,107 | ||||
Canadian Apartment Properties (Real estate, Equity REITs) | 9,100 | 364,973 | ||||
Canadian Imperial Bank of Commerce (Financials, Banks) | 17,674 | 1,629,491 | ||||
Canadian National Railway Company (Industrials, Road & rail) | 27,537 | 3,005,787 | ||||
Canadian Natural Resources Limited (Energy, Oil, gas & consumable fuels) | 27,900 | 760,969 | ||||
Canadian Pacific Railway Limited (Industrials, Road & rail) | 28,082 | 10,007,660 | ||||
Canadian Tire Corporation Limited Class A (Consumer discretionary, Multiline retail) | 5,300 | 684,844 | ||||
Canadian Utilities Limited Class A (Utilities, Multi-utilities) | 18,000 | 426,025 | ||||
Cenovus Energy Incorporated (Energy, Oil, gas & consumable fuels) | 41,600 | 307,930 | ||||
CGI Incorporated (Information technology, IT services)† | 10,465 | 781,216 | ||||
CI Financial Corporation (Financials, Capital markets) | 64,200 | 898,982 | ||||
Constellation Software Incorporated (Information technology, Software) | 928 | 1,201,543 | ||||
Dollarama Incorporated (Consumer discretionary, Multiline retail) | 866 | 32,956 | ||||
Emera Incorporated (Utilities, Electric utilities) | 2,300 | 90,619 |
Shares | Value | |||||
Canada: (continued) | ||||||
Empire Company Limited Class A (Consumer staples, Food & staples retailing) | 16,400 | $ 455,813 | ||||
Enbridge Incorporated (Energy, Oil, gas & consumable fuels) | 74,600 | 2,519,494 | ||||
Fairfax Financial Holdings Limited (Financials, Insurance) | 600 | 244,418 | ||||
Fortis Incorporated (Utilities, Electric utilities) | 11,144 | 429,087 | ||||
Franco-Nevada Corporation (Materials, Metals & mining) | 1,608 | 172,172 | ||||
Gildan Activewear Incorporated (Consumer discretionary, Textiles, apparel & luxury goods) | 25,900 | 787,013 | ||||
Great-West Lifeco Incorporated (Financials, Insurance) | 1,400 | 35,831 | ||||
Hydro One Limited (Utilities, Electric utilities)144A | 15,000 | 318,482 | ||||
iA Financial Corporation (Financials, Insurance) | 22,300 | 1,145,841 | ||||
IGM Financial Incorporated (Financials, Capital markets) | 36,500 | 995,820 | ||||
Imperial Oil Limited (Energy, Oil, gas & consumable fuels) | 5,100 | 111,770 | ||||
Intact Financial Corporation (Financials, Insurance) | 4,875 | 544,884 | ||||
Inter Pipeline Limited (Energy, Oil, gas & consumable fuels) | 30,800 | 433,465 | ||||
Keyera Corporation (Energy, Oil, gas & consumable fuels) | 35,500 | 688,186 | ||||
Kinross Gold Corporation (Materials, Metals & mining) | 46,200 | 287,162 | ||||
Kirkland Lake Gold Limited (Materials, Metals & mining) | 6,200 | 202,769 | ||||
Loblaw Companies Limited (Consumer staples, Food & staples retailing) | 2,885 | 139,036 | ||||
Lundin Mining Corporation (Materials, Metals & mining) | 55,200 | 631,985 | ||||
Magna International Incorporated (Consumer discretionary, Auto components) | 27,227 | 2,293,307 | ||||
Manulife Financial Corporation (Financials, Insurance) | 79,900 | 1,592,852 | ||||
Metro Incorporated (Consumer staples, Food & staples retailing) | 12,830 | 533,323 | ||||
National Bank of Canada (Financials, Banks) | 19,808 | 1,247,689 | ||||
Open Text Corporation (Information technology, Software) | 15,218 | 678,266 | ||||
Open Text Corporation (Information technology, Software) | 5,000 | 222,694 | ||||
Pan American Silver Corporation (Materials, Metals & mining) | 2,900 | 95,824 | ||||
Parkland Corporation (Energy, Oil, gas & consumable fuels) | 13,700 | 435,351 | ||||
Pembina Pipeline Corporation (Energy, Oil, gas & consumable fuels) | 21,552 | 548,030 | ||||
Power Corporation of Canada (Financials, Insurance) | 31,096 | 749,666 | ||||
Quebecor Incorporated Class B (Communication services, Media) | 26,600 | 687,679 | ||||
Restaurant Brands International Incorporated (Consumer discretionary, Hotels, restaurants & leisure) | 6,803 | 408,041 | ||||
RioCan REIT (Real estate, Equity REITs) | 42,700 | 636,172 | ||||
Ritchie Bros. Auctioneers Incorporated (Industrials, Commercial services & supplies) | 2,900 | 158,263 | ||||
Rogers Communications Incorporated Class B (Communication services, Wireless telecommunication services) | 137 | 5,935 | ||||
Royal Bank of Canada (Financials, Banks) | 50,531 | 4,302,640 | ||||
Shaw Communications Incorporated Class B (Communication services, Media) | 9,705 | 168,919 | ||||
Shopify Incorporated Class A (Information technology, IT services)† | 2,800 | 3,627,569 | ||||
SSR Mining Incorporated (Materials, Metals & mining)† | 800 | 11,359 | ||||
Sun Life Financial Incorporated (Financials, Insurance) | 21,858 | 1,051,850 | ||||
TC Energy Corporation (Energy, Oil, gas & consumable fuels) | 34,200 | 1,432,390 | ||||
Telus Corporation (Communication services, Diversified telecommunication services) | 8,988 | 180,099 | ||||
The Bank of Nova Scotia (Financials, Banks) | 38,208 | 2,233,754 | ||||
The Toronto-Dominion Bank (Financials, Banks) | 56,718 | 3,438,022 | ||||
TMX Group Limited (Financials, Capital markets) | 2,200 | 210,025 | ||||
Topicus.com Incorporated (Information technology, Software)† | 1,725 | 89,544 | ||||
Wheaton Precious Metals Corporation (Materials, Metals & mining) | 7,476 | 267,411 |
Shares | Value | |||||
Canada: (continued) | ||||||
WSP Global Incorporated (Industrials, Construction & engineering) | 700 | $ 60,627 | ||||
Yamana Gold Incorporated (Materials, Metals & mining) | 34,300 | 136,381 | ||||
66,092,620 | ||||||
China: 0.06% | ||||||
Sands China Limited (Consumer discretionary, Hotels, restaurants & leisure) | 93,200 | 439,264 | ||||
Denmark: 3.04% | ||||||
A.P. Moller-Mærsk AS Class B (Industrials, Marine) | 122 | 260,922 | ||||
Ambu AS Class B (Health care, Health care equipment & supplies) | 6,637 | 305,859 | ||||
Carlsberg AS Class B (Consumer staples, Beverages) | 6,874 | 1,079,410 | ||||
Coloplast AS Class B (Health care, Health care equipment & supplies) | 7,368 | 1,122,319 | ||||
Danske Bank AS (Financials, Banks)† | 26,248 | 482,515 | ||||
Genmab AS (Health care, Biotechnology)† | 3,521 | 1,180,893 | ||||
GN Store Nord AS (Health care, Health care equipment & supplies) | 1,511 | 126,627 | ||||
Novo Nordisk AS Class B (Health care, Pharmaceuticals) | 77,503 | 5,528,836 | ||||
Novozymes AS Class B (Materials, Chemicals) | 7,994 | 492,125 | ||||
Orsted AS (Utilities, Electric utilities)144A | 871 | 140,385 | ||||
Pandora AS (Consumer discretionary, Textiles, apparel & luxury goods) | 91,242 | 8,858,262 | ||||
Vestas Wind Systems AS (Industrials, Electrical equipment) | 5,661 | 1,061,579 | ||||
20,639,732 | ||||||
Finland: 0.99% | ||||||
Elisa Oyj (Communication services, Diversified telecommunication services) | 15,346 | 917,598 | ||||
Fortum Oyj (Utilities, Electric utilities) | 6,295 | 156,839 | ||||
Kone Oyj Class B (Industrials, Machinery) | 8,321 | 664,130 | ||||
Neste Oil Oyj (Energy, Oil, gas & consumable fuels) | 17,053 | 1,126,352 | ||||
Nokia Oyj (Information technology, Communications equipment)† | 167,550 | 667,539 | ||||
Nordea Bank AB (Financials, Banks) | 121,135 | 1,097,099 | ||||
Orion Oyj Class B (Health care, Pharmaceuticals) | 27,894 | 1,144,304 | ||||
Sampo Oyj Class A (Financials, Insurance) | 12,760 | 567,971 | ||||
UPM-Kymmene Oyj (Materials, Paper & forest products) | 9,274 | 354,309 | ||||
6,696,141 | ||||||
France: 8.71% | ||||||
Air Liquide SA (Materials, Chemicals) | 17,882 | 2,692,939 | ||||
Alstom SA (Industrials, Machinery)† | 7,547 | 376,180 | ||||
Amundi SA (Financials, Capital markets)144A† | 6,174 | 469,164 | ||||
Arkema SA (Materials, Chemicals) | 2,545 | 280,555 | ||||
Atos Origin SA (Information technology, IT services)† | 15,370 | 1,201,310 | ||||
AXA SA (Financials, Insurance) | 108,324 | 2,724,159 | ||||
bioMerieux (Health care, Health care equipment & supplies) | 4,834 | 613,072 | ||||
BNP Paribas SA (Financials, Banks)† | 53,988 | 3,209,448 | ||||
Bolloré SA (Industrials, Air freight & logistics) | 9,436 | 45,231 | ||||
Bouygues SA (Industrials, Construction & engineering) | 7,459 | 301,971 | ||||
Capgemini SE (Information technology, IT services) | 8,067 | 1,295,560 | ||||
Carrefour SA (Consumer staples, Food & staples retailing) | 10,384 | 181,184 | ||||
CNP Assurances SA (Financials, Insurance)† | 32,106 | 577,753 | ||||
Compagnie de Saint-Gobain SA (Industrials, Building products)† | 28,507 | 1,533,002 | ||||
Compagnie Generale des Etablissements Michelin SCA (Consumer discretionary, Auto components) | 6,744 | 975,121 | ||||
Covivio (Real estate, Equity REITs) | 6,899 | 579,454 | ||||
Credit Agricole SA (Financials, Banks)† | 38,694 | 542,160 | ||||
Dassault Aviation SA (Industrials, Aerospace & defense)† | 858 | 922,509 | ||||
Dassault Systemes SA (Information technology, Software) | 3,016 | 626,416 |
Shares | Value | |||||
France: (continued) | ||||||
Eiffage SA (Industrials, Construction & engineering)† | 2,523 | $ 259,327 | ||||
Electricite de France SA (Utilities, Electric utilities)† | 5,877 | 70,121 | ||||
Engie SA (Utilities, Multi-utilities)† | 49,773 | 724,656 | ||||
Essilor International SA Cie Generale d'Optique (Consumer discretionary, Textiles, apparel & luxury goods) | 7,122 | 1,161,835 | ||||
Faurecia (Consumer discretionary, Auto components)† | 8,479 | 438,646 | ||||
Gecina SA (Real estate, Equity REITs) | 5,959 | 822,334 | ||||
Groupe Eurotunnel SE (Industrials, Transportation infrastructure)† | 15,823 | 259,302 | ||||
Hermes International SA (Consumer discretionary, Textiles, apparel & luxury goods) | 1,317 | 1,467,189 | ||||
Iliad SA (Communication services, Diversified telecommunication services) | 3,145 | 558,166 | ||||
Klepierre SA (Real estate, Equity REITs) | 51,113 | 1,201,947 | ||||
La Francaise Des Jeux SA (Consumer discretionary, Hotels, restaurants & leisure)144A | 1,710 | 77,189 | ||||
Legrand SA (Industrials, Electrical equipment) | 8,640 | 751,156 | ||||
L'Oréal SA (Consumer staples, Personal products) | 10,588 | 3,864,087 | ||||
LVMH Moët Hennessy Louis Vuitton SE (Consumer discretionary, Textiles, apparel & luxury goods) | 10,131 | 6,419,194 | ||||
Natixis SA (Financials, Capital markets)† | 37,234 | 181,012 | ||||
Orange SA (Communication services, Diversified telecommunication services) | 41,270 | 475,505 | ||||
Pernod-Ricard SA (Consumer staples, Beverages) | 7,312 | 1,388,048 | ||||
Publicis Groupe SA (Communication services, Media) | 5,927 | 348,515 | ||||
Remy Cointreau SA (Consumer staples, Beverages) | 1,089 | 207,484 | ||||
Safran SA (Industrials, Aerospace & defense)† | 11,815 | 1,610,533 | ||||
Sanofi SA (Health care, Pharmaceuticals) | 49,135 | 4,509,153 | ||||
Sartorius Stedim Biotech SA (Health care, Life sciences tools & services) | 1,504 | 656,904 | ||||
Schneider Electric SE (Industrials, Electrical equipment) | 24,834 | 3,672,311 | ||||
SCOR SE (Financials, Insurance)† | 18,976 | 629,547 | ||||
Societe Generale SA (Financials, Banks)† | 31,618 | 782,430 | ||||
Sodexho Alliance SA (Consumer discretionary, Hotels, restaurants & leisure)† | 3,496 | 334,895 | ||||
Teleperformance SE (Industrials, Professional services) | 2,710 | 960,032 | ||||
Thales SA (Industrials, Aerospace & defense) | 1,188 | 112,515 | ||||
Total SA (Energy, Oil, gas & consumable fuels) | 88,220 | 4,113,709 | ||||
Valeo SA (Consumer discretionary, Auto components) | 9,809 | 346,670 | ||||
Veolia Environnement SA (Utilities, Multi-utilities) | 7,573 | 203,080 | ||||
Vinci SA (Industrials, Construction & engineering) | 3,081 | 320,424 | ||||
Vivendi SE (Communication services, Entertainment) | 22,812 | 789,574 | ||||
Worldline SA (Information technology, IT services)144A† | 1,823 | 162,615 | ||||
59,027,293 | ||||||
Germany: 6.79% | ||||||
adidas AG (Consumer discretionary, Textiles, apparel & luxury goods)† | 6,274 | 2,187,020 | ||||
Allianz AG (Financials, Insurance) | 11,562 | 2,790,596 | ||||
BASF SE (Materials, Chemicals) | 26,802 | 2,192,695 | ||||
Bayer AG (Health care, Pharmaceuticals) | 43,141 | 2,620,435 | ||||
Bayerische Motoren Werke AG (Consumer discretionary, Automobiles) | 13,909 | 1,201,861 | ||||
Beiersdorf AG (Consumer staples, Personal products) | 2,577 | 254,626 | ||||
Brenntag AG (Industrials, Trading companies & distributors) | 10,867 | 842,050 | ||||
Continental AG (Consumer discretionary, Auto components) | 58 | 8,338 | ||||
Covestro AG (Materials, Chemicals)144A | 883 | 63,935 | ||||
Daimler AG (Consumer discretionary, Automobiles) | 30,152 | 2,417,144 | ||||
Delivery Hero SE (Consumer discretionary, Internet & direct marketing retail)144A† | 4,073 | 520,446 | ||||
Deutsche Boerse AG (Financials, Capital markets) | 7,419 | 1,215,587 |
Shares | Value | |||||
Germany: (continued) | ||||||
Deutsche Lufthansa AG (Industrials, Airlines)† | 11,430 | $ 170,561 | ||||
Deutsche Post AG (Industrials, Air freight & logistics) | 45,271 | 2,248,502 | ||||
Deutsche Telekom AG (Communication services, Diversified telecommunication services) | 116,595 | 2,120,914 | ||||
Deutsche Wohnen AG (Real estate, Real estate management & development) | 19,918 | 936,204 | ||||
E.ON SE (Utilities, Multi-utilities) | 30,997 | 316,060 | ||||
Evonik Industries AG (Materials, Chemicals) | 7,082 | 238,497 | ||||
Fresenius Medical Care AG & Company KGaA (Health care, Health care providers & services) | 8,016 | 554,968 | ||||
Fresenius SE & Company KGaA (Health care, Health care providers & services) | 15,725 | 673,707 | ||||
GEA Group AG (Industrials, Machinery) | 9,468 | 327,810 | ||||
Hannover Rueck SE (Financials, Insurance) | 3,073 | 520,306 | ||||
Heidelbergcement AG (Materials, Construction materials) | 2,409 | 190,535 | ||||
Hochtief AG (Industrials, Construction & engineering) | 889 | 79,447 | ||||
Infineon Technologies AG (Information technology, Semiconductors & semiconductor equipment) | 32,245 | 1,403,035 | ||||
Kion Group AG (Industrials, Machinery)† | 2,646 | 223,576 | ||||
Knorr Bremse AG (Industrials, Machinery) | 266 | 33,876 | ||||
LANXESS AG (Materials, Chemicals) | 13,426 | 996,541 | ||||
LEG Immobilien AG (Real estate, Real estate management & development) | 3,923 | 535,242 | ||||
Merck KGaA (Health care, Pharmaceuticals) | 7,440 | 1,209,507 | ||||
MTU Aero Engines AG (Industrials, Aerospace & defense) | 3,105 | 739,118 | ||||
Muenchener Rueckversicherungs Gesellschaft AG (Financials, Insurance) | 5,578 | 1,640,804 | ||||
Nemetschek SE (Information technology, Software) | 3,012 | 189,771 | ||||
Puma AG Rudolf Dassler Sport (Consumer discretionary, Textiles, apparel & luxury goods)† | 3,555 | 378,550 | ||||
RWE AG (Utilities, Multi-utilities) | 20,602 | 778,134 | ||||
SAP SE (Information technology, Software) | 16,114 | 1,993,087 | ||||
Scout24 AG (Communication services, Interactive media & services)144A | 9,210 | 694,704 | ||||
Siemens AG (Industrials, Industrial conglomerates) | 29,488 | 4,563,602 | ||||
Siemens Energy AG (Industrials, Electrical equipment)† | 12,329 | 464,861 | ||||
Siemens Healthineers AG (Health care, Health care equipment & supplies)144A | 4,472 | 247,820 | ||||
Symrise AG (Materials, Chemicals) | 1,588 | 185,513 | ||||
TeamViewer AG (Information technology, Software)† | 904 | 48,474 | ||||
Uniper SE (Utilities, Independent power & renewable electricity producers) | 37,778 | 1,320,442 | ||||
United Internet AG (Communication services, Diversified telecommunication services) | 23,915 | 1,053,494 | ||||
Vonovia SE (Real estate, Real estate management & development) | 14,670 | 934,320 | ||||
Zalando SE (Consumer discretionary, Internet & direct marketing retail)144A† | 16,234 | 1,668,971 | ||||
45,995,686 | ||||||
Hong Kong: 2.50% | ||||||
AIA Group Limited (Financials, Insurance) | 370,800 | 4,676,317 | ||||
ASM Pacific Technology (Information technology, Semiconductors & semiconductor equipment) | 12,044 | 167,193 | ||||
Bank of East Asia Limited (Financials, Banks) | 39,800 | 93,867 | ||||
BOC Hong Kong (Holdings) Limited (Financials, Banks) | 139,500 | 463,489 | ||||
Budweiser Brewing Company APAC Limited (Consumer staples, Beverages)144A | 61,166 | 186,601 | ||||
CK Asset Holdings Limited (Real estate, Real estate management & development) | 97,190 | 571,241 | ||||
CK Hutchison Holdings Limited (Industrials, Industrial conglomerates) | 237,070 | 1,789,017 |
Shares | Value | |||||
Hong Kong: (continued) | ||||||
CLP Holdings Limited (Utilities, Electric utilities) | 65,500 | $ 639,472 | ||||
Galaxy Entertainment Group Limited (Consumer discretionary, Hotels, restaurants & leisure) | 83,000 | 757,180 | ||||
Hang Lung Properties Limited (Real estate, Real estate management & development) | 138,332 | 358,372 | ||||
Hang Seng Bank Limited (Financials, Banks) | 927 | 17,903 | ||||
Henderson Land Development Company Limited (Real estate, Real estate management & development) | 68,198 | 297,072 | ||||
HK Electric Investments Limited (Utilities, Electric utilities)144A | 117,500 | 115,080 | ||||
Hong Kong Exchanges & Clearing Limited (Financials, Capital markets) | 43,900 | 2,699,097 | ||||
Hong Kong Land Holdings Limited (Real estate, Real estate management & development) | 23,500 | 112,899 | ||||
Hong Kong Telecommunications Trust & Hong Kong Trust Limited (Communication services, Diversified telecommunication services) | 199,574 | 271,263 | ||||
New World Development Company Limited (Real estate, Real estate management & development) | 57,493 | 292,409 | ||||
PCCW Limited (Communication services, Diversified telecommunication services) | 173,000 | 99,218 | ||||
Sino Land Company (Real estate, Real estate management & development) | 365,899 | 553,436 | ||||
SJM Holdings Limited (Consumer discretionary, Hotels, restaurants & leisure) | 82,000 | 114,054 | ||||
Sun Hung Kai Properties Limited (Real estate, Real estate management & development) | 47,000 | 762,878 | ||||
Swire Pacific Limited Class A (Real estate, Real estate management & development) | 20,478 | 150,087 | ||||
Techtronic Industries Company Limited (Industrials, Machinery) | 74,743 | 1,137,583 | ||||
WH Group Limited (Consumer staples, Food products)144A | 356,500 | 319,748 | ||||
Wharf Real Estate Investment Company Limited (Real estate, Real estate management & development) | 51,296 | 306,720 | ||||
16,952,196 | ||||||
Ireland: 0.64% | ||||||
CRH plc (Materials, Construction materials) | 18,358 | 796,943 | ||||
DCC plc (Industrials, Industrial conglomerates) | 9,168 | 740,582 | ||||
Flutter Entertainment plc (Consumer discretionary, Hotels, restaurants & leisure)† | 3,328 | 637,486 | ||||
Kerry Group plc Class A (Consumer staples, Food products) | 3,495 | 420,524 | ||||
Kingspan Group plc (Industrials, Building products)† | 9,026 | 656,142 | ||||
Smurfit Kappa Group plc (Materials, Containers & packaging) | 23,090 | 1,090,968 | ||||
4,342,645 | ||||||
Israel: 0.47% | ||||||
Bank Hapoalim BM (Financials, Banks) | 45,234 | 318,693 | ||||
Check Point Software Technologies Limited (Information technology, Software)† | 11,359 | 1,252,216 | ||||
CyberArk Software Limited (Information technology, Software)† | 40 | 5,873 | ||||
ICL Group Limited (Materials, Chemicals) | 61,692 | 354,895 | ||||
Israel Discount Bank Limited Class A (Financials, Banks) | 46,460 | 171,323 | ||||
Mizrahi Tefahot Bank Limited (Financials, Banks) | 5,652 | 134,476 | ||||
Nice Systems Limited ADR (Information technology, Software)† | 4,199 | 969,895 | ||||
3,207,371 | ||||||
Italy: 1.64% | ||||||
Assicurazioni Generali SpA (Financials, Insurance) | 49,024 | 919,340 | ||||
Atlantia SpA (Industrials, Transportation infrastructure)† | 14,773 | 276,576 |
Shares | Value | |||||
Italy: (continued) | ||||||
DiaSorin SpA (Health care, Health care equipment & supplies) | 2,350 | $ 460,708 | ||||
Enel SpA (Utilities, Electric utilities) | 290,448 | 2,738,605 | ||||
FinecoBank SpA (Financials, Banks)† | 10,092 | 177,005 | ||||
Intesa Sanpaolo SpA (Financials, Banks)† | 692,893 | 1,781,451 | ||||
Mediobanca SpA (Financials, Banks)† | 62,463 | 648,612 | ||||
Moncler SpA (Consumer discretionary, Textiles, apparel & luxury goods)† | 5,610 | 346,908 | ||||
Nexi SpA (Information technology, IT services)144A† | 7,403 | 132,481 | ||||
Poste Italiane SpA (Financials, Insurance)144A | 3,901 | 44,196 | ||||
Prysmian SpA (Industrials, Electrical equipment) | 30,646 | 984,383 | ||||
Recordati SpA (Health care, Pharmaceuticals) | 10,837 | 550,866 | ||||
Snam SpA (Utilities, Gas utilities) | 46,912 | 242,842 | ||||
Telecom Italia SpA (Communication services, Diversified telecommunication services) | 569,365 | 270,342 | ||||
Terna SpA (Utilities, Electric utilities) | 93,525 | 648,792 | ||||
UniCredit SpA (Financials, Banks)† | 84,091 | 865,349 | ||||
11,088,456 | ||||||
Japan: 21.61% | ||||||
Advantest Corporation (Information technology, Semiconductors & semiconductor equipment) | 9,700 | 801,289 | ||||
Air Water Incorporated (Materials, Chemicals) | 4,666 | 77,006 | ||||
Aisin Seiki Company Limited (Consumer discretionary, Auto components) | 4,000 | 137,470 | ||||
Ajinomoto Company Incorporated (Consumer staples, Food products) | 150 | 2,989 | ||||
Alfresa Holdings Corporation (Health care, Health care providers & services) | 20,600 | 398,306 | ||||
Amada Holdings Company Limited (Industrials, Machinery) | 5,900 | 72,086 | ||||
Asahi Breweries Limited (Consumer staples, Beverages) | 18,000 | 785,828 | ||||
Asahi Glass Company Limited (Industrials, Building products) | 4,000 | 147,403 | ||||
Asahi Kasei Corporation (Materials, Chemicals) | 500 | 5,424 | ||||
Bandai Namco Holdings Incorporated (Consumer discretionary, Leisure products) | 5,900 | 451,304 | ||||
Brother Industries Limited (Information technology, Technology hardware, storage & peripherals) | 8,900 | 176,352 | ||||
Calbee Incorporated (Consumer staples, Food products) | 12,800 | 337,061 | ||||
Casio Computer Company Limited (Consumer discretionary, Household durables) | 8,000 | 155,052 | ||||
Chiba Bank Limited (Financials, Banks) | 153,600 | 983,719 | ||||
Chubu Electric Power Company Incorporated (Utilities, Electric utilities) | 21,000 | 257,853 | ||||
Chugai Pharmaceutical Company Limited (Health care, Pharmaceuticals) | 26,600 | 1,194,210 | ||||
Concordia Financial Group Limited (Financials, Banks) | 72,600 | 281,200 | ||||
Cosmos Pharmaceutical Corporation (Consumer staples, Food & staples retailing) | 4,000 | 572,487 | ||||
CyberAgent Incorporated (Communication services, Media) | 46,500 | 2,808,215 | ||||
Daifuku Company Limited (Industrials, Machinery) | 41,500 | 3,985,652 | ||||
Dai-ichi Life Holdings Incorporated (Financials, Insurance) | 20,500 | 364,350 | ||||
Daiichi Sankyo Company Limited (Health care, Pharmaceuticals) | 29,700 | 843,372 | ||||
Daikin Industries Limited (Industrials, Building products) | 8,466 | 1,649,929 | ||||
Daito Trust Construction Company Limited (Real estate, Real estate management & development) | 6,100 | 680,701 | ||||
Daiwa House Industry Company Limited (Real estate, Real estate management & development) | 19,600 | 555,974 | ||||
Daiwa Securities Group Incorporated (Financials, Capital markets) | 86,500 | 423,316 | ||||
DENSO Corporation (Consumer discretionary, Auto components) | 5,500 | 332,279 | ||||
Disco Corporation (Information technology, Semiconductors & semiconductor equipment) | 2,000 | 630,588 | ||||
Eisai Company Limited (Health care, Pharmaceuticals) | 9,000 | 620,653 | ||||
ENEOS Holdings Incorporated (Energy, Oil, gas & consumable fuels) | 226,500 | 1,001,580 |
Shares | Value | |||||
Japan: (continued) | ||||||
FANUC Corporation (Industrials, Machinery) | 3,500 | $ 874,674 | ||||
Fast Retailing Company Limited (Consumer discretionary, Specialty retail) | 400 | 396,591 | ||||
Fuji Electric Holdings Company Limited (Industrials, Electrical equipment) | 14,400 | 602,243 | ||||
FUJIFILM Holdings Incorporated (Information technology, Technology hardware, storage & peripherals) | 8,100 | 463,160 | ||||
Fujitsu Limited (Information technology, IT services) | 42,900 | 6,223,857 | ||||
Fukuoka Financial Group Incorporated (Financials, Banks) | 62,100 | 1,121,906 | ||||
Hakuhodo DY Holdings Incorporated (Communication services, Media) | 8,300 | 137,843 | ||||
Hamamatsu Photonics (Information technology, Electronic equipment, instruments & components) | 200 | 11,810 | ||||
Hino Motors Limited (Industrials, Machinery) | 11,200 | 105,896 | ||||
Hirose Electric Company Limited (Information technology, Electronic equipment, instruments & components) | 1,400 | 205,224 | ||||
Hisamitsu Pharmaceutical Company Incorporated (Health care, Pharmaceuticals) | 1,900 | 119,072 | ||||
Hitachi Construction Machinery Company Limited (Industrials, Machinery) | 4,200 | 130,162 | ||||
Hitachi Limited (Information technology, Electronic equipment, instruments & components) | 45,000 | 2,075,522 | ||||
Honda Motor Company Limited (Consumer discretionary, Automobiles) | 62,000 | 1,713,760 | ||||
Hoshizaki Electric Company Limited (Industrials, Machinery) | 566 | 49,959 | ||||
Hoya Corporation (Health care, Health care equipment & supplies) | 13,600 | 1,546,685 | ||||
Hulic Company Limited (Real estate, Real estate management & development) | 21,066 | 235,376 | ||||
Idemitsu Kosan Company Limited (Energy, Oil, gas & consumable fuels) | 7,400 | 194,644 | ||||
Iida Group Holdings Company Limited (Consumer discretionary, Household durables) | 10,900 | 247,975 | ||||
Inpex Holdings Incorporated (Energy, Oil, gas & consumable fuels) | 56,100 | 417,137 | ||||
Isuzu Motors Limited (Consumer discretionary, Automobiles) | 24,100 | 253,636 | ||||
ITO EN Limited (Consumer staples, Beverages) | 2,100 | 116,170 | ||||
Itochu Corporation (Industrials, Trading companies & distributors) | 70,100 | 2,093,747 | ||||
Itochu Techno-Solutions Corporation (Information technology, IT services) | 25,000 | 768,409 | ||||
Japan Post Hoding Company Limited (Financials, Insurance) | 16,600 | 341,332 | ||||
Japan Retail Fund Investment Corporation (Real estate, Equity REITs) | 52 | 51,884 | ||||
JSR Corporation (Materials, Chemicals) | 14,500 | 434,617 | ||||
Kajima Corporation (Industrials, Construction & engineering) | 42,700 | 548,000 | ||||
Kakaku.com Incorporated (Communication services, Interactive media & services) | 8,900 | 283,542 | ||||
Kansai Paint Company Limited (Materials, Chemicals) | 783 | 20,487 | ||||
Kao Corporation (Consumer staples, Personal products) | 20,300 | 1,365,764 | ||||
KDDI Corporation (Communication services, Wireless telecommunication services) | 93,900 | 2,927,189 | ||||
Keihan Electric Railway Company Limited (Industrials, Industrial conglomerates) | 2,800 | 126,232 | ||||
Keikyu Corporation (Industrials, Road & rail) | 8,600 | 136,800 | ||||
Keio Corporation (Industrials, Road & rail) | 1,100 | 82,530 | ||||
Keyence Corporation (Information technology, Electronic equipment, instruments & components) | 5,200 | 2,479,677 | ||||
Kikkoman Corporation (Consumer staples, Food products) | 3,400 | 225,543 | ||||
Kirin Holdings Company Limited (Consumer staples, Beverages) | 34,000 | 669,828 | ||||
Kobayashi Pharmaceutical Company Limited (Consumer staples, Personal products) | 7,700 | 728,994 | ||||
Kobe Bussan Company Limited (Consumer staples, Food & staples retailing) | 5,800 | 149,038 | ||||
Komatsu Limited (Industrials, Machinery) | 15,500 | 465,318 | ||||
Kubota Corporation (Industrials, Machinery) | 3,400 | 77,130 | ||||
Kurita Water Industries Limited (Industrials, Machinery) | 13,900 | 564,694 | ||||
Kyowa Hakko Kogyo Company Limited (Health care, Pharmaceuticals) | 12,000 | 335,675 |
Shares | Value | |||||
Japan: (continued) | ||||||
Kyushu Electric Power Company Incorporated (Utilities, Electric utilities) | 8,900 | $ 76,473 | ||||
Lasertec Corporation (Information technology, Semiconductors & semiconductor equipment) | 4,400 | 538,732 | ||||
Lion Corporation (Consumer staples, Household products) | 14,300 | 274,477 | ||||
LIXIL Corporation (Industrials, Building products) | 4,600 | 129,711 | ||||
M3 Incorporated (Health care, Health care technology) | 14,000 | 1,112,690 | ||||
Makita Corporation (Industrials, Machinery) | 3,600 | 153,904 | ||||
Marubeni Corporation (Industrials, Trading companies & distributors) | 105,400 | 789,650 | ||||
McDonald's Holdings Company Japan Limited (Consumer discretionary, Hotels, restaurants & leisure) | 8,800 | 437,249 | ||||
MediPal Holdings Corporation (Health care, Health care providers & services) | 6,700 | 133,106 | ||||
Meiji Holdings Company Limited (Consumer staples, Food products) | 5,300 | 337,168 | ||||
Minebea Company Limited (Industrials, Machinery) | 33,300 | 824,522 | ||||
Misumi Group Incorporated (Industrials, Machinery) | 4,600 | 141,034 | ||||
Mitsubishi Corporation (Industrials, Trading companies & distributors) | 35,100 | 995,023 | ||||
Mitsubishi Electric Corporation (Industrials, Electrical equipment) | 77,700 | 1,150,642 | ||||
Mitsubishi Gas Chemical Company Incorporated (Materials, Chemicals) | 39,000 | 913,489 | ||||
Mitsubishi UFJ Financial Group Incorporated (Financials, Banks) | 419,800 | 2,208,020 | ||||
Mitsubishi UFJ Lease & Finance Company Limited (Financials, Diversified financial services) | 15,000 | 80,935 | ||||
Mitsui & Company Limited (Industrials, Trading companies & distributors) | 38,700 | 828,730 | ||||
Mitsui Chemicals Incorporated (Materials, Chemicals) | 12,500 | 387,223 | ||||
Miura Company Limited (Industrials, Machinery) | 6,800 | 353,772 | ||||
Mizuho Financial Group Incorporated (Financials, Banks) | 4,370 | 64,319 | ||||
MS&AD Insurance Group Holdings Incorporated (Financials, Insurance) | 7,950 | 225,659 | ||||
Murata Manufacturing Company Limited (Information technology, Electronic equipment, instruments & components) | 21,100 | 1,808,792 | ||||
Nabtesco Corporation (Industrials, Machinery) | 9,100 | 388,309 | ||||
Nagoya Railroad Company Limited (Industrials, Road & rail) | 600 | 15,318 | ||||
NEC Corporation (Information technology, IT services) | 14,600 | 798,608 | ||||
Nexon Company Limited (Communication services, Entertainment) | 18,200 | 573,060 | ||||
NGK Insulators Limited (Industrials, Machinery) | 11,400 | 203,276 | ||||
NGK Spark Plug Company Limited (Consumer discretionary, Auto components) | 14,567 | 249,117 | ||||
NH Foods Limited (Consumer staples, Food products) | 15,600 | 660,005 | ||||
Nidec Corporation (Industrials, Electrical equipment) | 2,800 | 357,042 | ||||
Nihon M&A Center Incorporated (Industrials, Professional services) | 5,400 | 294,706 | ||||
Nintendo Company Limited (Communication services, Entertainment) | 4,600 | 2,813,233 | ||||
Nippon Express Company Limited (Industrials, Road & rail) | 27,300 | 2,041,710 | ||||
Nippon Prologis REIT Incorporated (Real estate, Equity REITs) | 19 | 57,950 | ||||
Nippon Shinyaku Company Limited (Health care, Pharmaceuticals) | 2,700 | 183,873 | ||||
Nippon Telegraph & Telephone Corporation (Communication services, Diversified telecommunication services) | 10,900 | 282,365 | ||||
Nippon Yusen Kabushiki Kaisha (Industrials, Marine) | 15,500 | 448,332 | ||||
Nissan Chemical Industries Limited (Materials, Chemicals) | 8,200 | 448,485 | ||||
Nissin Food Products Company Limited (Consumer staples, Food products) | 7,700 | 581,867 | ||||
Nitori Holdings Company Limited (Consumer discretionary, Specialty retail) | 3,400 | 634,811 | ||||
Nitto Denko Corporation (Materials, Chemicals) | 15,300 | 1,313,309 | ||||
Nomura Holdings Incorporated (Financials, Capital markets) | 154,400 | 901,877 | ||||
Nomura Real Estate Holding Incorporated (Real estate, Real estate management & development) | 23,700 | 537,352 | ||||
Nomura Research Institute Limited (Information technology, IT services) | 37,500 | 1,163,474 | ||||
NSK Limited (Industrials, Machinery) | 14,000 | 138,219 | ||||
NTT Data Corporation (Information technology, IT services) | 467 | 7,169 | ||||
Obayashi Corporation (Industrials, Construction & engineering) | 85,900 | 741,556 |
Shares | Value | |||||
Japan: (continued) | ||||||
OBIC Company Limited (Information technology, IT services) | 2,600 | $ 437,991 | ||||
Odakyu Electric Railway Company Limited (Industrials, Road & rail) | 2,700 | 79,355 | ||||
Oji Holdings Corporation (Materials, Paper & forest products) | 32,000 | 202,508 | ||||
Olympus Corporation (Health care, Health care equipment & supplies) | 52,200 | 1,099,837 | ||||
Omron Corporation (Information technology, Electronic equipment, instruments & components) | 12,500 | 1,014,180 | ||||
Ono Pharmaceutical Company Limited (Health care, Pharmaceuticals) | 29,500 | 795,727 | ||||
Oracle Corporation (Japan) (Information technology, Software) | 1,600 | 162,384 | ||||
Oriental Land Company Limited (Consumer discretionary, Hotels, restaurants & leisure) | 400 | 67,353 | ||||
ORIX Corporation (Financials, Diversified financial services) | 38,200 | 651,796 | ||||
Osaka Gas Company Limited (Utilities, Gas utilities) | 17,400 | 311,638 | ||||
Otsuka Corporation (Information technology, IT services) | 4,100 | 190,460 | ||||
Otsuka Holdings Company Limited (Health care, Pharmaceuticals) | 16,700 | 666,097 | ||||
Pan Pacific International Holdings (Consumer discretionary, Multiline retail) | 7,250 | 170,024 | ||||
Panasonic Corporation (Consumer discretionary, Household durables) | 86,300 | 1,115,698 | ||||
Persol Holdings Company Limited (Industrials, Professional services) | 36,700 | 733,144 | ||||
Pigeon Corporation (Consumer staples, Household products) | 1,600 | 57,940 | ||||
Pola Orbis Holdings Incorporated (Consumer staples, Personal products) | 3,400 | 77,914 | ||||
Recruit Holdings Company Limited (Industrials, Professional services) | 8,900 | 444,727 | ||||
Resona Holdings Incorporated (Financials, Banks) | 75,900 | 306,691 | ||||
Ricoh Company Limited (Information technology, Technology hardware, storage & peripherals) | 4,600 | 40,223 | ||||
Rinnai Corporation (Consumer discretionary, Household durables) | 4,500 | 456,360 | ||||
Ryohin Keikaku Company Limited (Consumer discretionary, Multiline retail) | 22,000 | 498,466 | ||||
Santen Pharmaceutical Company Limited (Health care, Pharmaceuticals) | 13,500 | 185,862 | ||||
SBI Holdings Incorporated (Financials, Capital markets) | 6,250 | 174,868 | ||||
SCSK Corporation (Information technology, IT services) | 14,500 | 856,372 | ||||
Secom Company Limited (Industrials, Commercial services & supplies) | 2,300 | 200,273 | ||||
Sega Sammy Holdings Incorporated (Consumer discretionary, Leisure products) | 3,050 | 51,429 | ||||
Seiko Epson Corporation (Information technology, Technology hardware, storage & peripherals) | 9,900 | 164,066 | ||||
Sekisui Chemical Company Limited (Consumer discretionary, Household durables) | 11,900 | 213,261 | ||||
SG Holdings Company Limited (Industrials, Air freight & logistics) | 14,400 | 330,637 | ||||
Sharp Corporation (Consumer discretionary, Household durables) | 6,600 | 125,450 | ||||
Shimadzu Corporation (Information technology, Electronic equipment, instruments & components) | 5,000 | 181,425 | ||||
Shimamura Company Limited (Consumer discretionary, Specialty retail) | 32,800 | 3,277,589 | ||||
Shimano Incorporated (Consumer discretionary, Leisure products) | 1,100 | 245,655 | ||||
Shimizu Corporation (Industrials, Construction & engineering) | 98,600 | 749,023 | ||||
Shin-Etsu Chemical Company Limited (Materials, Chemicals) | 14,200 | 2,327,298 | ||||
Shinsei Bank Limited (Financials, Banks) | 5,700 | 81,548 | ||||
Shionogi & Company Limited (Health care, Pharmaceuticals) | 13,300 | 679,581 | ||||
Shizuoka Bank Limited (Financials, Banks) | 34,600 | 253,942 | ||||
SMC Corporation (Industrials, Machinery) | 2,200 | 1,304,717 | ||||
SoftBank Corporation (Communication services, Wireless telecommunication services) | 81,700 | 1,104,771 | ||||
SoftBank Group Corporation (Communication services, Wireless telecommunication services) | 55,300 | 5,161,119 | ||||
Sohgo Security Services Company Limited (Industrials, Commercial services & supplies) | 4,300 | 194,321 | ||||
Sompo Holdings Incorporated (Financials, Insurance) | 11,600 | 446,438 | ||||
Sony Corporation (Consumer discretionary, Household durables) | 37,500 | 3,960,043 | ||||
Square Enix Company Limited (Communication services, Entertainment) | 14,900 | 845,864 |
Shares | Value | |||||
Japan: (continued) | ||||||
Stanley Electric Company Limited (Consumer discretionary, Auto components) | 15,600 | $ 465,408 | ||||
Subaru Corporation (Consumer discretionary, Automobiles) | 38,200 | 720,102 | ||||
Sumco Corporation (Information technology, Semiconductors & semiconductor equipment) | 10,233 | 235,459 | ||||
Sumitomo Corporation (Industrials, Trading companies & distributors) | 9,350 | 136,254 | ||||
Sumitomo Metal Mining Company Limited (Materials, Metals & mining) | 800 | 38,802 | ||||
Sumitomo Mitsui Financial Group Incorporated (Financials, Banks) | 51,000 | 1,800,575 | ||||
Sumitomo Mitsui Trust Holdings Incorporated (Financials, Banks) | 9,200 | 303,761 | ||||
Sumitomo Realty & Development Company Limited (Real estate, Real estate management & development) | 900 | 31,227 | ||||
Sundrug Company Limited (Consumer staples, Food & staples retailing) | 14,100 | 530,206 | ||||
Suntory Beverage & Food Limited (Consumer staples, Beverages) | 6,900 | 236,865 | ||||
Suzuken Company Limited (Health care, Health care providers & services) | 2,500 | 95,627 | ||||
Suzuki Motor Corporation (Consumer discretionary, Automobiles) | 19,233 | 838,944 | ||||
Sysmex Corporation (Health care, Health care equipment & supplies) | 3,200 | 333,175 | ||||
T&D Holdings Incorporated (Financials, Insurance) | 40,800 | 555,724 | ||||
Taiheiyo Cement Corporation (Materials, Construction materials) | 39,200 | 983,621 | ||||
Taisei Corporation (Industrials, Construction & engineering) | 22,900 | 812,055 | ||||
TDK Corporation (Information technology, Electronic equipment, instruments & components) | 6,400 | 921,688 | ||||
Teijin Limited (Materials, Chemicals) | 28,000 | 483,059 | ||||
Terumo Corporation (Health care, Health care equipment & supplies) | 22,300 | 829,567 | ||||
The Bank of Kyoto Limited (Financials, Banks) | 2,100 | 126,538 | ||||
The Chugoku Electric Power Company Incorporated (Utilities, Electric utilities) | 10,800 | 128,807 | ||||
TIS Incorporated (Information technology, Software) | 55,300 | 1,151,204 | ||||
Toho Company Limited Tokyo (Communication services, Entertainment) | 1,566 | 59,114 | ||||
Toho Gas Company Limited (Utilities, Gas utilities) | 3,400 | 199,451 | ||||
Tohoku Electric Power Company Incorporated (Utilities, Electric utilities) | 28,300 | 249,285 | ||||
Tokio Marine Holdings Incorporated (Financials, Insurance) | 11,500 | 571,304 | ||||
Tokyo Century Corporation (Financials, Diversified financial services) | 1,484 | 97,621 | ||||
Tokyo Electron Limited (Information technology, Semiconductors & semiconductor equipment) | 7,400 | 3,085,925 | ||||
Tokyo Gas Company Limited (Utilities, Gas utilities) | 6,667 | 137,763 | ||||
Tokyu Fudosan Holdings Corporation (Real estate, Real estate management & development) | 25,700 | 162,319 | ||||
Toppan Printing Company Limited (Industrials, Commercial services & supplies) | 27,200 | 429,749 | ||||
Toshiba Corporation (Industrials, Industrial conglomerates) | 19,800 | 627,075 | ||||
Tosoh Corporation (Materials, Chemicals) | 71,500 | 1,314,375 | ||||
TOTO Limited (Industrials, Building products) | 5,300 | 321,433 | ||||
Toyo Suisan Kaisha Limited (Consumer staples, Food products) | 11,800 | 502,340 | ||||
Toyoda Gosei Company Limited (Consumer discretionary, Auto components) | 2,100 | 54,915 | ||||
Toyota Industries Corporation (Consumer discretionary, Auto components) | 400 | 34,367 | ||||
Toyota Motor Corporation (Consumer discretionary, Automobiles) | 52,100 | 3,849,862 | ||||
Toyota Tsusho Corporation (Industrials, Trading companies & distributors) | 18,500 | 780,357 | ||||
Trend Micro Incorporated (Information technology, Software) | 15,900 | 768,652 | ||||
Tsuruha Holdings Incorporated (Consumer staples, Food & staples retailing) | 4,400 | 566,515 | ||||
Unicharm Corporation (Consumer staples, Household products) | 13,800 | 546,731 | ||||
Welcia Holdings Company Limiited (Consumer staples, Food & staples retailing) | 6,200 | 197,570 | ||||
Yahoo! Japan Corporation (Communication services, Interactive media & services) | 103,366 | 631,079 | ||||
Yakult Honsha Company Limited (Consumer staples, Food products) | 900 | 44,633 |
Shares | Value | |||||
Japan: (continued) | ||||||
Yamada Denki Company Limited (Consumer discretionary, Specialty retail) | 184,800 | $ 886,761 | ||||
Yamaha Corporation (Consumer discretionary, Leisure products) | 5,433 | 304,572 | ||||
Yamaha Motor Company Limited (Consumer discretionary, Automobiles) | 29,600 | 651,050 | ||||
Yamato Holdings Company Limited (Industrials, Air freight & logistics) | 18,500 | 488,193 | ||||
Yamazaki Baking Company Limited (Consumer staples, Food products) | 5,000 | 84,314 | ||||
Yokogawa Electric Corporation (Information technology, Electronic equipment, instruments & components) | 3,500 | 66,938 | ||||
ZOZO Incorporated (Consumer discretionary, Internet & direct marketing retail) | 51,400 | 1,612,998 | ||||
146,435,717 | ||||||
Luxembourg: 0.24% | ||||||
ArcelorMittal (Materials, Metals & mining)† | 7,342 | 171,445 | ||||
Eurofins Scientific SE (Health care, Life sciences tools & services)† | 6,920 | 614,262 | ||||
SES SA FDR Class A (Communication services, Media) | 60,274 | 481,691 | ||||
Tenaris SA (Energy, Energy equipment & services) | 31,502 | 328,966 | ||||
1,596,364 | ||||||
Netherlands: 4.21% | ||||||
Adyen NV (Information technology, IT services)144A† | 451 | 1,052,356 | ||||
Aegon NV (Financials, Insurance) | 68,129 | 326,524 | ||||
Airbus SE (Industrials, Aerospace & defense)† | 15,487 | 1,799,198 | ||||
Akzo Nobel NV (Materials, Chemicals) | 8,948 | 925,311 | ||||
argenx SE (Health care, Biotechnology)† | 555 | 184,600 | ||||
ASML Holding NV (Information technology, Semiconductors & semiconductor equipment) | 16,240 | 9,210,048 | ||||
Davide Campari-Milano NV (Consumer staples, Beverages) | 7,973 | 90,111 | ||||
Exor NV (Financials, Diversified financial services) | 7,510 | 601,993 | ||||
Heineken Holding NV (Consumer staples, Beverages) | 1,479 | 127,056 | ||||
Heineken NV (Consumer staples, Beverages) | 4,481 | 442,773 | ||||
ING Groep NV (Financials, Banks) | 141,326 | 1,547,903 | ||||
Koninklijke Ahold Delhaize NV (Consumer staples, Food & staples retailing) | 54,962 | 1,451,257 | ||||
Koninklijke DSM NV (Materials, Chemicals) | 6,335 | 1,044,550 | ||||
Koninklijke KPN NV (Communication services, Diversified telecommunication services) | 103,230 | 338,334 | ||||
Koninklijke Philips NV (Health care, Health care equipment & supplies)† | 32,899 | 1,796,189 | ||||
NN Group NV (Financials, Insurance) | 20,075 | 926,937 | ||||
Prosus NV (Consumer discretionary, Internet & direct marketing retail) | 21,406 | 2,551,948 | ||||
Randstad Holdings NV (Industrials, Professional services)† | 20,774 | 1,389,327 | ||||
Stellantis NV (Consumer discretionary, Automobiles) | 15,470 | 250,564 | ||||
Stellantis NV (Consumer discretionary, Automobiles) | 45,930 | 744,470 | ||||
STMicroelectronics NV (Information technology, Semiconductors & semiconductor equipment) | 22,738 | 883,082 | ||||
Wolters Kluwer NV (Communication services, Media) | 10,359 | 821,151 | ||||
28,505,682 | ||||||
New Zealand: 0.29% | ||||||
A2 Milk Company Limited (Consumer staples, Food products)† | 25,966 | 182,626 | ||||
Auckland International Airport Limited (Industrials, Transportation infrastructure)† | 25,452 | 138,920 |
Shares | Value | |||||
New Zealand: (continued) | ||||||
Fisher & Paykel Healthcare Corporation (Health care, Health care equipment & supplies) | 45,552 | $ 968,646 | ||||
Spark New Zealand Limited (Communication services, Diversified telecommunication services) | 209,196 | 693,770 | ||||
1,983,962 | ||||||
Norway: 0.62% | ||||||
Adevinta ASA (Communication services, Interactive media & services)† | 2,756 | 38,355 | ||||
Den Norske Bank ASA (Financials, Banks) | 52,855 | 1,026,835 | ||||
Equinor ASA (Energy, Oil, gas & consumable fuels) | 43,254 | 820,285 | ||||
Gjensidige Forsikring ASA (Financials, Insurance) | 45,358 | 1,040,335 | ||||
Mowi ASA (Consumer staples, Food products) | 4,234 | 102,254 | ||||
Norsk Hydro ASA (Materials, Metals & mining) | 75,122 | 415,894 | ||||
Orkla ASA (Consumer staples, Food products) | 52,161 | 480,426 | ||||
Yara International ASA (Materials, Chemicals) | 6,331 | 304,158 | ||||
4,228,542 | ||||||
Portugal: 0.13% | ||||||
Energias de Portugal SA (Utilities, Electric utilities) | 116,550 | 668,030 | ||||
Galp Energia SGPS SA (Energy, Oil, gas & consumable fuels) | 20,167 | 225,436 | ||||
893,466 | ||||||
Singapore: 0.78% | ||||||
Ascendas REIT (Real estate, Equity REITs) | 78,100 | 170,821 | ||||
CapitaLand Mall Trust (Real estate, Equity REITs) | 8,850 | 13,851 | ||||
DBS Group Holdings Limited (Financials, Banks) | 49,113 | 973,154 | ||||
Genting Singapore Limited (Consumer discretionary, Hotels, restaurants & leisure) | 243,824 | 155,341 | ||||
Keppel Corporation Limited (Industrials, Industrial conglomerates) | 29,600 | 111,931 | ||||
Mapletree Commercial Trust (Real estate, Equity REITs) | 72,733 | 110,411 | ||||
Mapletree Logistics Trust (Real estate, Equity REITs) | 438,900 | 605,548 | ||||
Oversea-Chinese Banking Corporation Limited (Financials, Banks) | 52,796 | 431,917 | ||||
Singapore Exchange Limited (Financials, Capital markets) | 53,374 | 397,382 | ||||
Singapore Technologies Engineering Limited (Industrials, Aerospace & defense) | 50,069 | 140,225 | ||||
Suntec REIT (Real estate, Equity REITs) | 63,233 | 68,282 | ||||
United Overseas Bank Limited (Financials, Banks) | 28,386 | 521,281 | ||||
UOL Group Limited (Real estate, Real estate management & development) | 29,273 | 161,210 | ||||
Venture Corporation Limited (Information technology, Electronic equipment, instruments & components) | 62,400 | 890,441 | ||||
Wilmar International Limited (Consumer staples, Food products) | 131,785 | 518,852 | ||||
5,270,647 | ||||||
Spain: 1.72% | ||||||
Actividades de Construccion y Servicios SA (Industrials, Construction & engineering) | 9,753 | 297,997 | ||||
Aena SA (Industrials, Transportation infrastructure)144A† | 2,409 | 408,578 | ||||
Banco Bilbao Vizcaya Argentaria SA (Financials, Banks) | 436,191 | 2,425,605 | ||||
Banco Santander Central Hispano SA (Financials, Banks)† | 320,487 | 1,114,364 | ||||
CaixaBank SA (Financials, Banks) | 142,221 | 411,905 | ||||
Enagás SA (Utilities, Gas utilities) | 47,555 | 996,071 | ||||
Endesa SA (Utilities, Electric utilities) | 8,330 | 205,837 | ||||
Gas Natural SDG SA (Utilities, Gas utilities) | 1,148 | 28,592 | ||||
Grifols SA (Health care, Biotechnology) | 30,037 | 752,547 | ||||
Iberdrola SA (Utilities, Electric utilities) | 232,137 | 2,909,121 |
Shares | Value | |||||
Spain: (continued) | ||||||
Red Eléctrica Corporacion SA (Utilities, Electric utilities) | 19,867 | $ 331,904 | ||||
Repsol SA (Energy, Oil, gas & consumable fuels) | 57,087 | 718,600 | ||||
Siemens Gamesa Renewable Energy SA (Industrials, Electrical equipment) | 9,326 | 345,933 | ||||
Telefónica SA (Communication services, Diversified telecommunication services) | 170,705 | 728,775 | ||||
11,675,829 | ||||||
Sweden: 3.37% | ||||||
Alfa Laval AB (Industrials, Machinery)† | 7,108 | 219,566 | ||||
Atlas Copco AB Class A (Industrials, Machinery) | 28,203 | 1,609,569 | ||||
Atlas Copco AB Class B (Industrials, Machinery) | 17,014 | 824,409 | ||||
Boliden AB (Materials, Metals & mining) | 29,413 | 1,164,857 | ||||
Epiroc AB Class A (Industrials, Machinery) | 29,832 | 632,247 | ||||
Epiroc AB Class B (Industrials, Machinery) | 22,944 | 450,958 | ||||
Ericsson LM Class B (Information technology, Communications equipment) | 110,283 | 1,378,090 | ||||
Evolution Gaming Group (Consumer discretionary, Hotels, restaurants & leisure)144A | 16,734 | 2,086,640 | ||||
Hennes & Mauritz AB Class B (Consumer discretionary, Specialty retail)† | 19,910 | 468,327 | ||||
Hexagon AB Class B (Information technology, Electronic equipment, instruments & components) | 2,822 | 234,722 | ||||
Industrivarden AB Class C (Financials, Diversified financial services)† | 8,272 | 273,022 | ||||
Investor AB Class B (Financials, Diversified financial services) | 16,824 | 1,242,935 | ||||
Kinnevik AB Class B (Financials, Diversified financial services) | 34,936 | 1,621,147 | ||||
Lundbergforetagen AB Class B (Financials, Diversified financial services)† | 1,720 | 85,545 | ||||
Lundin Energy AB (Energy, Oil, gas & consumable fuels) | 13,840 | 449,133 | ||||
Nibe Industrier AB Class B (Industrials, Building products) | 983 | 30,893 | ||||
Sandvik AB (Industrials, Machinery)† | 45,523 | 1,222,557 | ||||
Securitas AB Class B (Industrials, Commercial services & supplies) | 15,611 | 239,332 | ||||
Skandinaviska Enskilda Banken AB Class A (Financials, Banks)† | 64,807 | 744,526 | ||||
Skanska AB Class B (Industrials, Construction & engineering) | 16,326 | 395,047 | ||||
SKF AB Class B (Industrials, Machinery) | 32,784 | 893,251 | ||||
Svenska Cellulosa AB Class B (Materials, Paper & forest products)† | 19,869 | 341,734 | ||||
Svenska Handelsbanken AB Class A (Financials, Banks)† | 80,060 | 844,059 | ||||
Swedbank AB Class A (Financials, Banks) | 49,302 | 863,486 | ||||
Swedish Match AB (Consumer staples, Tobacco) | 41,089 | 2,949,110 | ||||
Tele2 AB Class B (Communication services, Wireless telecommunication services) | 18,577 | 234,802 | ||||
Volvo AB Class B (Industrials, Machinery)† | 51,929 | 1,329,403 | ||||
22,829,367 | ||||||
Switzerland: 8.06% | ||||||
ABB Limited (Industrials, Electrical equipment) | 64,589 | 1,859,484 | ||||
Adecco SA (Industrials, Professional services) | 21,347 | 1,343,511 | ||||
Alcon Incorporated (Health care, Health care equipment & supplies)† | 1,803 | 124,176 | ||||
Baloise Holding AG (Financials, Insurance) | 1,895 | 331,440 | ||||
Banque Cantonale Vaudoise (Financials, Banks) | 7,719 | 808,974 | ||||
Barry Callebaut AG (Consumer staples, Food products) | 15 | 32,449 | ||||
Chocoladefabriken Lindt & Spruengli AG (Consumer staples, Food products) | 13 | 109,088 | ||||
Clariant AG (Materials, Chemicals) | 1,126 | 23,557 | ||||
Coca-Cola HBC AG (Consumer staples, Beverages) | 15,878 | 497,910 | ||||
Compagnie Financière Richemont SA (Consumer discretionary, Textiles, apparel & luxury goods) | 8,759 | 844,030 | ||||
Credit Suisse Group AG (Financials, Capital markets) | 113,876 | 1,647,394 | ||||
EMS-Chemie Holdings AG (Materials, Chemicals) | 706 | 625,612 | ||||
Geberit AG (Industrials, Building products) | 1,411 | 831,893 |
Shares | Value | |||||
Switzerland: (continued) | ||||||
Givaudan SA (Materials, Chemicals) | 348 | $ 1,310,663 | ||||
Julius Bär Gruppe AG (Financials, Capital markets) | 15,967 | 982,822 | ||||
Kuehne & Nagel International AG (Industrials, Marine) | 167 | 39,627 | ||||
LafargeHolcim Limited (Materials, Construction materials) | 24,962 | 1,377,072 | ||||
Logitech International SA (Information technology, Technology hardware, storage & peripherals) | 13,861 | 1,473,628 | ||||
Lonza Group AG (Health care, Life sciences tools & services) | 2,852 | 1,798,886 | ||||
Nestle SA (Consumer staples, Food products) | 115,768 | 12,082,553 | ||||
Novartis AG (Health care, Pharmaceuticals) | 87,850 | 7,566,206 | ||||
Partners Group Holding AG (Financials, Capital markets) | 520 | 622,580 | ||||
Roche Holding AG (Health care, Pharmaceuticals) | 25,257 | 8,285,781 | ||||
Schindler Holding AG (Industrials, Machinery) | 3,141 | 857,774 | ||||
Schindler Holding AG (Industrials, Machinery) | 420 | 111,831 | ||||
SGS SA (Industrials, Professional services) | 206 | 588,700 | ||||
Sika AG (Materials, Chemicals) | 3,391 | 896,714 | ||||
Sonova Holding AG (Health care, Health care equipment & supplies)† | 1,190 | 304,540 | ||||
Straumann Holding AG (Health care, Health care equipment & supplies) | 76 | 91,782 | ||||
Swiss Life Holding AG (Financials, Insurance) | 559 | 277,844 | ||||
Swiss Reinsurance AG (Financials, Insurance) | 1,975 | 185,547 | ||||
Swisscom AG (Communication services, Diversified telecommunication services) | 2,279 | 1,144,802 | ||||
The Swatch Group AG (Consumer discretionary, Textiles, apparel & luxury goods) | 1,081 | 62,106 | ||||
The Swatch Group AG Class B (Consumer discretionary, Textiles, apparel & luxury goods) | 974 | 290,711 | ||||
UBS Group AG (Financials, Capital markets) | 166,676 | 2,593,203 | ||||
Vifor Pharma AG (Health care, Pharmaceuticals) | 641 | 79,753 | ||||
Zurich Insurance Group AG (Financials, Insurance) | 6,215 | 2,537,029 | ||||
54,641,672 | ||||||
United Kingdom: 12.42% | ||||||
3i Group plc (Financials, Capital markets) | 68,414 | 1,062,058 | ||||
Admiral Group plc (Financials, Insurance) | 14,029 | 607,095 | ||||
Anglo American plc (Materials, Metals & mining) | 57,747 | 2,240,641 | ||||
Antofagasta plc (Materials, Metals & mining) | 8,815 | 220,004 | ||||
Ashtead Group plc (Industrials, Trading companies & distributors) | 4,102 | 222,868 | ||||
AstraZeneca plc (Health care, Pharmaceuticals) | 48,307 | 4,692,254 | ||||
Auto Trader Group plc (Communication services, Interactive media & services)144A† | 67,134 | 516,164 | ||||
AVEVA Group plc (Information technology, Software) | 242 | 11,496 | ||||
Aviva plc (Financials, Insurance) | 195,395 | 989,949 | ||||
BAE Systems plc (Industrials, Aerospace & defense) | 245,298 | 1,660,437 | ||||
Barclays plc (Financials, Banks) | 837,392 | 1,868,833 | ||||
Barratt Developments plc (Consumer discretionary, Household durables)† | 80,497 | 748,086 | ||||
BHP Group plc (Materials, Metals & mining) | 114,184 | 3,626,543 | ||||
BP plc (Energy, Oil, gas & consumable fuels) | 83,688 | 342,746 | ||||
British American Tobacco plc (Consumer staples, Tobacco) | 94,471 | 3,280,520 | ||||
BT Group plc (Communication services, Diversified telecommunication services)† | 630,833 | 1,091,921 | ||||
Bunzl plc (Industrials, Trading companies & distributors) | 6,960 | 217,296 | ||||
Burberry Group plc (Consumer discretionary, Textiles, apparel & luxury goods)† | 7,347 | 187,036 | ||||
Coca-Cola European Partners plc (Consumer staples, Beverages) | 6,033 | 307,381 | ||||
Compass Group plc (Consumer discretionary, Hotels, restaurants & leisure)† | 24,564 | 498,820 | ||||
Croda International plc (Materials, Chemicals) | 5,353 | 462,156 | ||||
Diageo plc (Consumer staples, Beverages) | 76,116 | 2,994,306 |
Shares | Value | |||||
United Kingdom: (continued) | ||||||
Direct Line Insurance Group plc (Financials, Insurance) | 220,470 | $ 985,633 | ||||
EVRAZ plc (Materials, Metals & mining) | 60,183 | 483,149 | ||||
Experian Group Limited plc (Industrials, Professional services) | 19,111 | 606,656 | ||||
Ferguson plc (Industrials, Trading companies & distributors) | 8,332 | 985,768 | ||||
GlaxoSmithKline plc (Health care, Pharmaceuticals) | 92,455 | 1,542,683 | ||||
Glencore plc (Materials, Metals & mining)† | 497,018 | 2,022,663 | ||||
Halma plc (Information technology, Electronic equipment, instruments & components) | 9,503 | 300,838 | ||||
Hikma Pharmaceuticals plc (Health care, Pharmaceuticals) | 24,054 | 752,459 | ||||
Imperial Tobacco Group plc (Consumer staples, Tobacco) | 19,540 | 364,082 | ||||
Intertek Group plc (Industrials, Professional services) | 4,077 | 305,606 | ||||
J Sainsbury plc (Consumer staples, Food & staples retailing) | 116,069 | 367,359 | ||||
Johnson Matthey plc (Materials, Chemicals) | 9,679 | 413,590 | ||||
Kingfisher plc (Consumer discretionary, Specialty retail)† | 270,375 | 1,002,131 | ||||
Land Securities Group plc (Real estate, Equity REITs) | 21,649 | 200,765 | ||||
Legal & General Group plc (Financials, Insurance) | 260,883 | 948,621 | ||||
Lloyds Banking Group plc (Financials, Banks)† | 2,001,431 | 1,090,524 | ||||
London Stock Exchange Group plc (Financials, Capital markets) | 6,337 | 851,558 | ||||
M&G plc (Financials, Diversified financial services) | 215,062 | 553,921 | ||||
Melrose Industries plc (Industrials, Electrical equipment)† | 176,449 | 410,062 | ||||
Mondi plc (Materials, Paper & forest products) | 17,073 | 411,999 | ||||
National Grid plc (Utilities, Multi-utilities) | 106,226 | 1,194,452 | ||||
NatWest Group plc (Financials, Banks)† | 125,578 | 324,379 | ||||
Next plc (Consumer discretionary, Multiline retail)† | 4,130 | 437,469 | ||||
NMC Health plc (Health care, Health care providers & services)♦† | 7,509 | 3,754 | ||||
Ocado Group plc (Consumer discretionary, Internet & direct marketing retail)† | 18,290 | 561,931 | ||||
Pearson plc (Communication services, Media) | 2,061 | 21,714 | ||||
Persimmon plc (Consumer discretionary, Household durables) | 33,792 | 1,224,465 | ||||
Prudential plc (Financials, Insurance) | 399,774 | 7,963,609 | ||||
Reckitt Benckiser Group plc (Consumer staples, Household products) | 90,259 | 7,571,014 | ||||
RELX plc (Industrials, Professional services) | 59,176 | 1,400,225 | ||||
Rentokil Initial plc (Industrials, Commercial services & supplies)† | 9,573 | 62,374 | ||||
Rio Tinto plc (Materials, Metals & mining) | 89,619 | 7,767,000 | ||||
Royal Dutch Shell plc (Energy, Oil, gas & consumable fuels) | 19,367 | 396,142 | ||||
Royal Dutch Shell plc Class B (Energy, Oil, gas & consumable fuels) | 68,489 | 1,342,612 | ||||
Schroders plc (Financials, Capital markets) | 8,716 | 426,573 | ||||
Segro plc (Real estate, Equity REITs) | 62,800 | 797,215 | ||||
Severn Trent plc (Utilities, Water utilities) | 7,124 | 218,180 | ||||
Smith & Nephew plc (Health care, Health care equipment & supplies) | 11,010 | 213,827 | ||||
Spirax-Sarco Engineering plc (Industrials, Machinery) | 730 | 109,404 | ||||
SSE plc (Utilities, Electric utilities) | 63,172 | 1,170,827 | ||||
Standard Chartered plc (Financials, Banks)† | 40,821 | 264,179 | ||||
Standard Life Aberdeen plc (Financials, Capital markets) | 254,200 | 1,110,235 | ||||
Taylor Wimpey plc (Consumer discretionary, Household durables)† | 144,965 | 319,850 | ||||
Tesco plc (Consumer staples, Food & staples retailing) | 324,997 | 1,021,501 | ||||
The Berkeley Group Holdings plc (Consumer discretionary, Household durables) | 5,025 | 284,702 | ||||
The British Land Company plc (Real estate, Equity REITs) | 32,579 | 222,696 | ||||
The Sage Group plc (Information technology, Software) | 41,844 | 326,967 | ||||
Unilever plc (Consumer staples, Personal products) | 51,897 | 2,705,254 | ||||
United Utilities Group plc (Utilities, Water utilities) | 9,732 | 116,491 | ||||
Vodafone Group plc (Communication services, Wireless telecommunication services) | 595,809 | 1,019,931 |
Shares | Value | |||||
United Kingdom: (continued) | ||||||
William Morrison Supermarkets plc (Consumer staples, Food & staples retailing) | 90,977 | $ 217,263 | ||||
WPP plc (Communication services, Media) | 78,778 | 942,140 | ||||
84,207,052 | ||||||
Total Common stocks (Cost $522,044,845) | 646,809,360 |
Dividend yield | ||||||
Preferred stocks: 0.67% | ||||||
Germany: 0.66% | ||||||
Bayerische Motoren Werke AG (Consumer discretionary, Automobiles) | 3.99% | 9,591 | 649,505 | |||
Fuchs Petrolub SE (Materials, Chemicals) | 1.82 | 25,258 | 1,385,419 | |||
Henkel AG & Company KGaA (Consumer staples, Household products) | 1.82 | 10,477 | 1,031,807 | |||
Porsche Automobil Holding SE (Consumer discretionary, Automobiles) | 3.25 | 6,057 | 485,166 | |||
Sartorius AG Vorzug (Health care, Health care equipment & supplies) | 0.10 | 1,763 | 905,519 | |||
4,457,416 | ||||||
Italy: 0.01% | ||||||
Telecom Italia RSP (Communication services, Diversified telecommunication services) | 5.88 | 135,438 | 72,608 | |||
Total Preferred stocks (Cost $3,487,099) | 4,530,024 |
Yield | ||||||
Short-term investments: 2.06% | ||||||
Investment companies: 2.06% | ||||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 13,944,761 | 13,944,761 | |||
Total Short-term investments (Cost $13,944,761) | 13,944,761 | |||||
Total investments in securities (Cost $539,476,705) | 98.16% | 665,284,145 | ||||
Other assets and liabilities, net | 1.84 | 12,479,243 | ||||
Total net assets | 100.00% | $677,763,388 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
† | Non-income-earning security |
♦ | The security is fair valued in accordance with procedures approved by the Board of Trustees. |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
ADR | American depositary receipt |
REIT | Real estate investment trust |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $24,301,039 | $403,456,270 | $(413,812,548) | $0 | $0 | $13,944,761 | 2.06% | 13,944,761 | $27,367 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
MSCI EAFE Index | 223 | 3-19-2021 | $23,779,146 | $24,128,600 | $349,454 | $0 |
Assets | |
Investments in unaffiliated securities, at value (cost $525,531,944) | $ 651,339,384 |
Investments in affiliated securites, at value (cost $13,944,761) | 13,944,761 |
Segregated cash for futures contracts | 6,410,220 |
Foreign currency, at value (cost $4,199,497) | 4,178,872 |
Receivable for dividends | 2,930,331 |
Receivable for investments sold | 2,520 |
Prepaid expenses and other assets | 38,434 |
Total assets | 678,844,522 |
Liabilities | |
Advisory fee payable | 567,721 |
Payable for daily variation margin on open futures contracts | 333,385 |
Custodian and accounting fee payable | 132,786 |
Trustees’ fees and expenses payable | 857 |
Accrued expenses and other liabilities | 46,385 |
Total liabilities | 1,081,134 |
Total net assets | $677,763,388 |
Investment income | |
Dividends (net of foreign withholdings taxes of $1,361,467) | $ 14,783,820 |
Income from affiliated securities | 27,367 |
Total investment income | 14,811,187 |
Expenses | |
Advisory fee | 923,064 |
Custody and accounting fees | 295,064 |
Professional fees | 44,846 |
Interest holder report expenses | 11,402 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 41,879 |
Total expenses | 1,335,850 |
Less: Fee waivers and/or expense reimbursements | (340,333) |
Net expenses | 995,517 |
Net investment income | 13,815,670 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 2,586,435 |
Foreign currency and foreign currency translations | 270,986 |
Futures contracts | 5,057,749 |
Net realized gains on investments | 7,915,170 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 111,692,652 |
Foreign currency and foreign currency translations | (18,229) |
Futures contracts | 3,295,728 |
Net change in unrealized gains (losses) on investments | 114,970,151 |
Net realized and unrealized gains (losses) on investments | 122,885,321 |
Net increase in net assets resulting from operations | $136,700,991 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 13,815,670 | $ 17,563,924 |
Net realized gains on investments | 7,915,170 | 147,794 |
Net change in unrealized gains (losses) on investments | 114,970,151 | (3,240,452) |
Net increase in net assets resulting from operations | 136,700,991 | 14,471,266 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 220,263,714 | 33,306,923 |
Withdrawals | (265,046,603) | (159,917,517) |
Net decrease in net assets resulting from capital transactions | (44,782,889) | (126,610,594) |
Total increase (decrease) in net assets | 91,918,102 | (112,139,328) |
Net assets | ||
Beginning of period | 585,845,286 | 697,984,614 |
End of period | $ 677,763,388 | $ 585,845,286 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 22.14% | 1.23% | (2.91)% | 8.99% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.22% | 0.24% | 0.23% | 0.21% | ||
Net expenses | 0.16% 3 | 0.19% | 0.20% | 0.21% | ||
Net investment income | 2.25% | 2.58% | 3.03% | 1.74% | ||
Supplemental data | ||||||
Portfolio turnover rate | 92% | 44% | 47% | 106% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.06% higher. |
Gross unrealized gains | $123,544,971 |
Gross unrealized losses | (12,633,924) |
Net unrealized gains | $110,911,047 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Common stocks | ||||
Australia | $ 0 | $ 43,742,372 | $0 | $ 43,742,372 |
Austria | 0 | 852,095 | 0 | 852,095 |
Belgium | 0 | 5,465,189 | 0 | 5,465,189 |
Canada | 65,912,521 | 180,099 | 0 | 66,092,620 |
China | 0 | 439,264 | 0 | 439,264 |
Denmark | 1,122,319 | 19,517,413 | 0 | 20,639,732 |
Finland | 0 | 6,696,141 | 0 | 6,696,141 |
France | 656,904 | 58,370,389 | 0 | 59,027,293 |
Germany | 464,861 | 45,530,825 | 0 | 45,995,686 |
Hong Kong | 0 | 16,952,196 | 0 | 16,952,196 |
Ireland | 1,747,110 | 2,595,535 | 0 | 4,342,645 |
Israel | 1,258,089 | 1,949,282 | 0 | 3,207,371 |
Italy | 0 | 11,088,456 | 0 | 11,088,456 |
Japan | 0 | 146,435,717 | 0 | 146,435,717 |
Luxembourg | 0 | 1,596,364 | 0 | 1,596,364 |
Netherlands | 1,122,090 | 27,383,592 | 0 | 28,505,682 |
New Zealand | 0 | 1,983,962 | 0 | 1,983,962 |
Norway | 582,680 | 3,645,862 | 0 | 4,228,542 |
Portugal | 0 | 893,466 | 0 | 893,466 |
Singapore | 0 | 5,270,647 | 0 | 5,270,647 |
Spain | 0 | 11,675,829 | 0 | 11,675,829 |
Sweden | 0 | 22,829,367 | 0 | 22,829,367 |
Switzerland | 0 | 54,641,672 | 0 | 54,641,672 |
United Kingdom | 307,381 | 83,899,671 | 0 | 84,207,052 |
Preferred stocks | ||||
Germany | 0 | 4,457,416 | 0 | 4,457,416 |
Italy | 0 | 72,608 | 0 | 72,608 |
Short-term investments | ||||
Investment companies | 13,944,761 | 0 | 0 | 13,944,761 |
87,118,716 | 578,165,429 | 0 | 665,284,145 | |
Futures contracts | 349,454 | 0 | 0 | 349,454 |
Total assets | $87,468,170 | $578,165,429 | $0 | $665,633,599 |
Average daily net assets | Advisory fee |
First $5 billion | 0.150% |
Next $5 billion | 0.130 |
Over $10 billion | 0.110 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Factor Enhanced U.S. Large Cap Equity Portfolio
Investment objective | The Portfolio seeks long-term capital appreciation. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Dennis Beinn, CFA®‡, Harindra de Silva, Ph.D., CFA®‡, Monisha Jayakumar |
Ten largest holdings (%) as of February 28, 20211 | |
Apple Incorporated | 5.60 |
Microsoft Corporation | 4.66 |
Amazon.com Incorporated | 3.39 |
Facebook Incorporated Class A | 1.72 |
Alphabet Incorporated Class A | 1.51 |
Alphabet Incorporated Class C | 1.40 |
Johnson & Johnson | 1.16 |
JPMorgan Chase & Company | 1.13 |
Berkshire Hathaway Incorporated Class B | 1.10 |
NVIDIA Corporation | 1.05 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Sector allocation as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Shares | Value | ||||
Common stocks: 96.38% | |||||
Communication services: 10.98% | |||||
Diversified telecommunication services: 1.10% | |||||
AT&T Incorporated | 138,398 | $ 3,859,920 | |||
Verizon Communications Incorporated | 90,074 | 4,981,092 | |||
8,841,012 | |||||
Entertainment: 2.65% | |||||
Activision Blizzard Incorporated | 31,775 | 3,038,008 | |||
Electronic Arts Incorporated | 7,420 | 994,057 | |||
Lions Gate Entertainment Class A † | 115,572 | 1,678,105 | |||
Lions Gate Entertainment Class B † | 100,610 | 1,261,649 | |||
Netflix Incorporated † | 12,426 | 6,695,750 | |||
Spotify Technology SA † | 2,101 | 645,805 | |||
Take-Two Interactive Software Incorporated † | 3,992 | 736,364 | |||
The Walt Disney Company † | 29,079 | 5,497,094 | |||
Zynga Incorporated Class A † | 68,402 | 762,682 | |||
21,309,514 | |||||
Interactive media & services: 5.13% | |||||
Alphabet Incorporated Class A † | 5,986 | 12,103,153 | |||
Alphabet Incorporated Class C † | 5,532 | 11,267,910 | |||
Facebook Incorporated Class A † | 53,547 | 13,794,778 | |||
IAC/InterActiveCorp † | 1,699 | 415,966 | |||
Match Group Incorporated † | 4,455 | 680,947 | |||
Zillow Group Incorporated Class A † | 9,590 | 1,628,574 | |||
Zillow Group Incorporated Class C † | 8,454 | 1,363,884 | |||
41,255,212 | |||||
Media: 2.00% | |||||
Cable One Incorporated | 46 | 88,083 | |||
Charter Communications Incorporated Class A † | 4,857 | 2,979,381 | |||
Comcast Corporation Class A | 103,192 | 5,440,282 | |||
Discovery Incorporated Class A † | 12,697 | 673,322 | |||
DISH Network Corporation Class A † | 31,116 | 980,465 | |||
Interpublic Group of Companies Incorporated | 25,609 | 668,907 | |||
News Corporation Class A | 62,845 | 1,473,715 | |||
News Corporation Class B | 57,920 | 1,327,526 | |||
The New York Times Company Class A | 42,274 | 2,163,161 | |||
ViacomCBS Incorporated Class B | 4,050 | 261,185 | |||
16,056,027 | |||||
Wireless telecommunication services: 0.10% | |||||
T-Mobile US Incorporated † | 6,865 | 823,594 | |||
Consumer discretionary: 11.13% | |||||
Auto components: 0.23% | |||||
BorgWarner Incorporated | 15,958 | 718,110 | |||
Lear Corporation | 6,856 | 1,138,713 | |||
1,856,823 | |||||
Automobiles: 1.07% | |||||
Ford Motor Company † | 34,413 | 402,632 | |||
General Motors Company | 78,272 | 4,017,702 |
Shares | Value | ||||
Automobiles (continued) | |||||
Harley-Davidson Incorporated | 12,433 | $ 443,485 | |||
Thor Industries Incorporated | 31,946 | 3,739,599 | |||
8,603,418 | |||||
Distributors: 0.07% | |||||
Pool Corporation | 1,659 | 555,383 | |||
Diversified consumer services: 0.02% | |||||
Chegg Incorporated † | 1,424 | 137,459 | |||
Hotels, restaurants & leisure: 1.84% | |||||
Aramark | 5,207 | 193,284 | |||
Chipotle Mexican Grill Incorporated † | 1,007 | 1,452,094 | |||
Choice Hotels International Incorporated | 3,969 | 416,229 | |||
Domino's Pizza Incorporated | 5,997 | 2,078,020 | |||
Extended Stay America Incorporated | 3,703 | 59,581 | |||
Hilton Worldwide Holdings Incorporated | 2,178 | 269,375 | |||
Las Vegas Sands Corporation | 4,332 | 271,183 | |||
Marriott International Incorporated Class A | 6,772 | 1,002,730 | |||
McDonald's Corporation | 14,124 | 2,911,521 | |||
Starbucks Corporation | 25,683 | 2,774,534 | |||
The Wendy's Company | 16,837 | 343,980 | |||
Travel Leisure Company | 22,902 | 1,383,968 | |||
Wyndham Hotels & Resorts Incorporated | 22,039 | 1,438,706 | |||
Yum China Holdings Incorporated | 1,885 | 112,798 | |||
Yum! Brands Incorporated | 1,244 | 128,791 | |||
14,836,794 | |||||
Household durables: 0.16% | |||||
D.R. Horton Incorporated | 1,087 | 83,558 | |||
Lennar Corporation Class A | 5,822 | 483,051 | |||
PulteGroup Incorporated | 1,583 | 71,409 | |||
Whirlpool Corporation | 3,410 | 648,173 | |||
1,286,191 | |||||
Internet & direct marketing retail: 3.57% | |||||
Amazon.com Incorporated † | 8,819 | 27,276,550 | |||
eBay Incorporated | 14,816 | 835,919 | |||
Wayfair Incorporated Class A † | 1,936 | 559,465 | |||
28,671,934 | |||||
Leisure products: 0.33% | |||||
Polaris Industries Incorporated | 5,275 | 621,184 | |||
The Brunswick Corporation | 23,376 | 2,065,737 | |||
2,686,921 | |||||
Multiline retail: 0.54% | |||||
Dollar General Corporation | 7,584 | 1,433,300 | |||
Ollie's Bargain Outlet Holdings Incorporated † | 689 | 56,967 | |||
Target Corporation | 15,452 | 2,834,515 | |||
4,324,782 | |||||
Specialty retail: 2.60% | |||||
AutoNation Incorporated † | 33,638 | 2,523,523 | |||
Best Buy Company Incorporated | 17,592 | 1,765,357 |
Shares | Value | ||||
Specialty retail (continued) | |||||
CarMax Incorporated † | 1,980 | $ 236,630 | |||
Carvana Company † | 4,168 | 1,181,628 | |||
Dick's Sporting Goods Incorporated | 7,678 | 547,979 | |||
L Brands Incorporated | 14,610 | 798,583 | |||
Lowe's Companies Incorporated | 23,344 | 3,729,204 | |||
Penske Auto Group Incorporated | 19,297 | 1,311,810 | |||
The Home Depot Incorporated | 27,473 | 7,097,375 | |||
Tractor Supply Company | 8,368 | 1,330,177 | |||
Williams-Sonoma Incorporated | 2,682 | 352,120 | |||
20,874,386 | |||||
Textiles, apparel & luxury goods: 0.70% | |||||
HanesBrands Incorporated | 7,794 | 137,876 | |||
lululemon athletica Incorporated † | 4,082 | 1,272,278 | |||
Nike Incorporated Class B | 31,531 | 4,249,748 | |||
5,659,902 | |||||
Consumer staples: 5.49% | |||||
Beverages: 1.00% | |||||
Boston Beer Company Incorporated Class A † | 1,188 | 1,222,107 | |||
Brown-Forman Corporation Class B | 2,445 | 175,013 | |||
Monster Beverage Corporation † | 19,854 | 1,741,990 | |||
PepsiCo Incorporated | 24,655 | 3,185,179 | |||
The Coca-Cola Company | 35,627 | 1,745,367 | |||
8,069,656 | |||||
Food & staples retailing: 1.43% | |||||
Albertsons Companies LLC | 30,501 | 493,201 | |||
Casey's General Stores Incorporated | 68 | 13,733 | |||
Costco Wholesale Corporation | 11,911 | 3,942,541 | |||
Sprouts Farmers Market Incorporated † | 22,828 | 481,899 | |||
The Kroger Company | 62,921 | 2,026,685 | |||
Walmart Incorporated | 35,195 | 4,572,534 | |||
11,530,593 | |||||
Food products: 1.09% | |||||
Archer Daniels Midland Company | 31,828 | 1,800,828 | |||
Bunge Limited | 19,741 | 1,511,766 | |||
Campbell Soup Company | 401 | 18,237 | |||
ConAgra Foods Incorporated | 3,226 | 109,458 | |||
Flowers Foods Incorporated | 6,714 | 146,030 | |||
General Mills Incorporated | 11,951 | 657,425 | |||
Hain Celestial Group Incorporated † | 42,340 | 1,785,901 | |||
Hormel Foods Corporation | 5,430 | 251,789 | |||
Mondelez International Incorporated Class A | 20,026 | 1,064,582 | |||
The J.M. Smucker Company | 2,615 | 292,880 | |||
The Kraft Heinz Company | 27,597 | 1,003,979 | |||
TreeHouse Foods Incorporated † | 2,037 | 101,891 | |||
8,744,766 | |||||
Household products: 1.07% | |||||
Colgate-Palmolive Company | 5,296 | 398,259 | |||
Spectrum Brands Holdings Incorporated | 14,879 | 1,153,866 |
Shares | Value | ||||
Household products (continued) | |||||
The Clorox Company | 4,733 | $ 856,910 | |||
The Procter & Gamble Company | 49,841 | 6,156,859 | |||
8,565,894 | |||||
Personal products: 0.29% | |||||
Herbalife Nutrition Limited † | 30,970 | 1,393,031 | |||
NU Skin Enterprises Incorporated Class A | 17,969 | 919,653 | |||
2,312,684 | |||||
Tobacco: 0.61% | |||||
Altria Group Incorporated | 43,815 | 1,910,334 | |||
Philip Morris International Incorporated | 35,662 | 2,996,321 | |||
4,906,655 | |||||
Energy: 1.82% | |||||
Energy equipment & services: 0.35% | |||||
Baker Hughes Incorporated | 21,974 | 537,924 | |||
Halliburton Company | 59,166 | 1,291,594 | |||
Schlumberger Limited | 35,030 | 977,687 | |||
2,807,205 | |||||
Oil, gas & consumable fuels: 1.47% | |||||
Antero Midstream Corporation | 5,037 | 44,426 | |||
Cabot Oil & Gas Corporation | 8,791 | 162,721 | |||
Chevron Corporation | 42,077 | 4,207,700 | |||
Cimarex Energy Company | 47,694 | 2,765,775 | |||
ConocoPhillips | 8,619 | 448,274 | |||
Devon Energy Corporation | 8,691 | 187,204 | |||
EQT Corporation | 6,042 | 107,487 | |||
Equitrans Midstream Corporation | 23,042 | 166,594 | |||
Exxon Mobil Corporation | 25,178 | 1,368,928 | |||
HollyFrontier Corporation | 3,359 | 127,239 | |||
Murphy Oil Corporation | 3,363 | 54,918 | |||
Phillips 66 | 9,477 | 787,065 | |||
Pioneer Natural Resources Company | 3,703 | 550,155 | |||
The Williams Companies Incorporated | 6,252 | 142,796 | |||
Valero Energy Corporation | 9,201 | 708,293 | |||
11,829,575 | |||||
Financials: 11.49% | |||||
Banks: 3.95% | |||||
Associated Banc Corporation | 8,122 | 163,658 | |||
Bank of America Corporation | 144,423 | 5,012,922 | |||
Bank OZK | 53,467 | 2,203,910 | |||
BOK Financial Corporation | 5,031 | 432,968 | |||
Citigroup Incorporated | 46,777 | 3,081,669 | |||
Citizens Financial Group Incorporated | 19,903 | 864,586 | |||
Commerce Bancshares Incorporated | 12,067 | 893,320 | |||
Cullen/Frost Bankers Incorporated | 1,004 | 104,818 | |||
East West Bancorp Incorporated | 21,478 | 1,549,852 | |||
Fifth Third Bancorp | 10,342 | 358,764 | |||
First Republic Bank | 726 | 119,609 | |||
JPMorgan Chase & Company | 61,447 | 9,043,155 |
Shares | Value | ||||
Banks (continued) | |||||
KeyCorp | 13,556 | $ 273,018 | |||
PacWest Bancorp | 2,638 | 95,601 | |||
PNC Financial Services Group Incorporated | 5,804 | 977,161 | |||
Regions Financial Corporation | 38,963 | 803,807 | |||
Signature Bank | 1,184 | 258,515 | |||
Sterling Bancorp | 61,803 | 1,349,159 | |||
SVB Financial Group † | 3,066 | 1,549,434 | |||
Truist Financial Corporation | 4,753 | 270,731 | |||
Webster Financial Corporation | 903 | 49,945 | |||
Western Alliance Bancorp | 14,399 | 1,317,652 | |||
Wintrust Financial Corporation | 5,400 | 397,764 | |||
Zions Bancorporation | 10,752 | 571,684 | |||
31,743,702 | |||||
Capital markets: 2.79% | |||||
Affiliated Managers Group Incorporated | 1,200 | 167,964 | |||
Ameriprise Financial Incorporated | 3,240 | 716,818 | |||
Ares Management Corporation Class A | 17,593 | 914,484 | |||
BlackRock Incorporated | 4,748 | 3,297,486 | |||
Evercore Partners Incorporated Class A | 3,322 | 397,876 | |||
FactSet Research Systems Incorporated | 4,425 | 1,344,802 | |||
LPL Financial Holdings Incorporated | 15,263 | 2,007,695 | |||
MarketAxess Holdings Incorporated | 12 | 6,671 | |||
Moody's Corporation | 5,461 | 1,501,174 | |||
Morgan Stanley | 35,974 | 2,765,321 | |||
MSCI Incorporated | 4,881 | 2,023,272 | |||
S&P Global Incorporated | 5,018 | 1,652,728 | |||
T. Rowe Price Group Incorporated | 10,688 | 1,732,952 | |||
The Goldman Sachs Group Incorporated | 4,834 | 1,544,366 | |||
The NASDAQ Incorporated | 14,107 | 1,950,857 | |||
Tradeweb Markets Incorporated Class A | 4,880 | 355,215 | |||
VIRTU Financial Incorporated Class A | 1,629 | 44,423 | |||
22,424,104 | |||||
Consumer finance: 0.54% | |||||
American Express Company | 12,309 | 1,664,915 | |||
Capital One Financial Corporation | 653 | 78,484 | |||
LendingTree Incorporated † | 200 | 53,774 | |||
OneMain Holdings Incorporated | 20,359 | 955,041 | |||
SLM Corporation | 38,957 | 615,131 | |||
Synchrony Financial | 26,181 | 1,012,681 | |||
4,380,026 | |||||
Diversified financial services: 1.26% | |||||
Berkshire Hathaway Incorporated Class B † | 36,645 | 8,813,489 | |||
Equitable Holdings Incorporated | 37,183 | 1,099,501 | |||
Jefferies Financial Group Incorporated | 6,339 | 184,085 | |||
Voya Financial Incorporated | 113 | 6,812 | |||
10,103,887 | |||||
Insurance: 2.14% | |||||
Aon plc Class A | 4,912 | 1,118,512 | |||
Arthur J. Gallagher & Company | 6,955 | 833,209 | |||
Assurant Incorporated | 1,359 | 167,456 | |||
Athene Holding Limited Class A † | 3,070 | 139,961 |
Shares | Value | ||||
Insurance (continued) | |||||
Axis Capital Holdings Limited | 2,227 | $ 112,530 | |||
Brown & Brown Incorporated | 14,099 | 647,144 | |||
Chubb Limited | 3,998 | 649,995 | |||
Erie Indemnity Company Class A | 4,420 | 1,070,082 | |||
Everest Reinsurance Group Limited | 1,052 | 254,384 | |||
First American Financial Corporation | 15,888 | 834,756 | |||
Globe Life Incorporated | 865 | 80,791 | |||
Kemper Corporation | 13,657 | 1,032,742 | |||
Lincoln National Corporation | 4,026 | 228,959 | |||
Marsh & McLennan Companies Incorporated | 14,617 | 1,684,171 | |||
Mercury General Corporation | 10,664 | 622,778 | |||
MetLife Incorporated | 29,627 | 1,706,515 | |||
Primerica Incorporated | 6,686 | 944,264 | |||
Principal Financial Group Incorporated | 10,413 | 589,168 | |||
Progressive Corporation | 13,265 | 1,140,127 | |||
Prudential Financial Incorporated | 13,526 | 1,172,975 | |||
The Allstate Corporation | 8,939 | 952,897 | |||
The Hanover Insurance Group Incorporated | 1,002 | 115,581 | |||
UnumProvident Corporation | 4,453 | 117,915 | |||
Willis Towers Watson plc | 4,585 | 1,011,634 | |||
17,228,546 | |||||
Mortgage REITs: 0.64% | |||||
AGNC Investment Corporation | 127,061 | 2,036,788 | |||
Annaly Capital Management Incorporated | 222,776 | 1,851,269 | |||
New Residential Investment Corporation | 104,860 | 1,077,961 | |||
Starwood Property Trust Incorporated | 6,038 | 137,848 | |||
5,103,866 | |||||
Thrifts & mortgage finance: 0.17% | |||||
MGIC Investment Corporation | 113,001 | 1,376,352 | |||
Health care: 11.42% | |||||
Biotechnology: 2.16% | |||||
AbbVie Incorporated | 42,078 | 4,533,484 | |||
Alkermes plc † | 28,567 | 543,916 | |||
Amgen Incorporated | 13,131 | 2,953,425 | |||
Gilead Sciences Incorporated | 33,101 | 2,032,401 | |||
Incyte Corporation † | 5,814 | 457,329 | |||
Moderna Incorporated † | 9,375 | 1,451,344 | |||
Regeneron Pharmaceuticals Incorporated † | 4,466 | 2,012,246 | |||
Seagen Incorporated † | 2,188 | 330,629 | |||
United Therapeutics Corporation † | 17,319 | 2,895,390 | |||
Vertex Pharmaceuticals Incorporated † | 875 | 185,981 | |||
17,396,145 | |||||
Health care equipment & supplies: 2.73% | |||||
Abbott Laboratories | 45,846 | 5,491,434 | |||
ABIOMED Incorporated † | 484 | 157,082 | |||
Align Technology Incorporated † | 771 | 437,242 | |||
Danaher Corporation | 12,430 | 2,730,498 | |||
DexCom Incorporated † | 1,942 | 772,489 | |||
Edwards Lifesciences Corporation † | 2,631 | 218,636 | |||
Hologic Incorporated † | 12,752 | 919,292 | |||
IDEXX Laboratories Incorporated † | 3,113 | 1,619,289 |
Shares | Value | ||||
Health care equipment & supplies (continued) | |||||
Intuitive Surgical Incorporated † | 2,039 | $ 1,502,335 | |||
Masimo Corporation † | 1,600 | 401,168 | |||
Medtronic plc | 24,547 | 2,871,263 | |||
Penumbra Incorporated † | 729 | 207,349 | |||
Quidel Corporation † | 5,374 | 882,733 | |||
ResMed Incorporated | 4,430 | 854,015 | |||
STERIS plc | 1,716 | 299,957 | |||
Stryker Corporation | 1,027 | 249,243 | |||
Tandem Diabetes Care Incorporated † | 2,514 | 241,319 | |||
West Pharmaceutical Services Incorporated | 5,981 | 1,678,568 | |||
Zimmer Biomet Holdings Incorporated | 2,565 | 418,249 | |||
21,952,161 | |||||
Health care providers & services: 1.74% | |||||
Amedisys Incorporated † | 167 | 42,358 | |||
Anthem Incorporated | 5,886 | 1,784,576 | |||
DaVita HealthCare Partners Incorporated † | 15,941 | 1,628,054 | |||
Henry Schein Incorporated † | 2,410 | 149,059 | |||
Humana Incorporated | 2,428 | 921,790 | |||
Molina Healthcare Incorporated † | 11,914 | 2,582,479 | |||
UnitedHealth Group Incorporated | 20,805 | 6,911,837 | |||
14,020,153 | |||||
Health care technology: 0.08% | |||||
Cerner Corporation | 3,490 | 241,299 | |||
Veeva Systems Incorporated Class A † | 1,349 | 377,868 | |||
619,167 | |||||
Life sciences tools & services: 1.49% | |||||
Agilent Technologies Incorporated | 9,761 | 1,191,525 | |||
Avantor Incorporated † | 41,091 | 1,145,206 | |||
Charles River Laboratories International Incorporated † | 1,889 | 540,518 | |||
IQVIA Holdings Incorporated † | 2,936 | 566,031 | |||
Mettler-Toledo International Incorporated † | 1,318 | 1,470,954 | |||
PerkinElmer Incorporated | 2,688 | 338,930 | |||
Syneos Health Incorporated † | 14,610 | 1,130,084 | |||
Thermo Fisher Scientific Incorporated | 10,461 | 4,708,287 | |||
Waters Corporation † | 3,161 | 865,735 | |||
11,957,270 | |||||
Pharmaceuticals: 3.22% | |||||
Bristol-Myers Squibb Company | 26,125 | 1,602,246 | |||
Catalent Incorporated † | 5,965 | 678,280 | |||
Eli Lilly & Company | 24,260 | 4,970,631 | |||
Horizon Therapeutics plc † | 4,193 | 381,186 | |||
Jazz Pharmaceuticals plc † | 4,046 | 679,890 | |||
Johnson & Johnson | 58,941 | 9,339,791 | |||
Merck & Company Incorporated | 21,444 | 1,557,263 | |||
Perrigo Company plc | 2,993 | 120,797 | |||
Pfizer Incorporated | 117,305 | 3,928,544 | |||
Viatris Incorporated † | 69,583 | 1,033,308 | |||
Zoetis Incorporated | 9,965 | 1,546,967 | |||
25,838,903 |
Shares | Value | ||||
Industrials: 9.43% | |||||
Aerospace & defense: 1.72% | |||||
Axon Enterprise Incorporated † | 6,394 | $ 1,058,143 | |||
BWX Technologies Incorporated | 18,657 | 1,082,293 | |||
Curtiss-Wright Corporation | 3,659 | 404,283 | |||
General Dynamics Corporation | 4,831 | 789,724 | |||
HEICO Corporation | 1,336 | 168,042 | |||
Howmet Aerospace Incorporated | 78,495 | 2,206,494 | |||
Lockheed Martin Corporation | 10,086 | 3,330,902 | |||
Northrop Grumman Corporation | 5,528 | 1,612,296 | |||
Raytheon Technologies Corporation | 31,580 | 2,273,444 | |||
Teledyne Technologies Incorporated † | 1,367 | 507,157 | |||
Textron Incorporated | 8,180 | 411,781 | |||
13,844,559 | |||||
Air freight & logistics: 0.53% | |||||
C.H. Robinson Worldwide Incorporated | 6,755 | 613,692 | |||
Expeditors International of Washington Incorporated | 6,228 | 571,980 | |||
FedEx Corporation | 4,157 | 1,057,957 | |||
United Parcel Service Incorporated Class B | 12,785 | 2,017,857 | |||
4,261,486 | |||||
Airlines: 0.20% | |||||
Alaska Air Group Incorporated | 3,147 | 204,618 | |||
Copa Holdings SA Class A | 822 | 75,353 | |||
JetBlue Airways Corporation † | 38,019 | 700,690 | |||
Southwest Airlines Company | 11,200 | 651,056 | |||
1,631,717 | |||||
Building products: 0.25% | |||||
Fortune Brands Home & Security Incorporated | 9,293 | 772,620 | |||
Johnson Controls International plc | 1,013 | 56,515 | |||
Lennox International Incorporated | 684 | 191,363 | |||
Masco Corporation | 5,637 | 300,001 | |||
Owens Corning Incorporated | 5,364 | 434,591 | |||
Trane Technologies plc | 1,297 | 198,752 | |||
Trex Company Incorporated † | 82 | 7,514 | |||
1,961,356 | |||||
Commercial services & supplies: 0.27% | |||||
ADT Incorporated | 131,038 | 997,193 | |||
Cintas Corporation | 674 | 218,605 | |||
MSA Safety Incorporated | 802 | 129,114 | |||
Rollins Incorporated | 430 | 14,263 | |||
Stericycle Incorporated † | 12,700 | 823,849 | |||
2,183,024 | |||||
Construction & engineering: 0.07% | |||||
AECOM Technology Corporation † | 3,180 | 184,090 | |||
Quanta Services Incorporated | 4,189 | 351,248 | |||
535,338 | |||||
Electrical equipment: 0.85% | |||||
Eaton Corporation plc | 12,296 | 1,600,816 | |||
Emerson Electric Company | 1,582 | 135,894 |
Shares | Value | ||||
Electrical equipment (continued) | |||||
Generac Holdings Incorporated † | 6,474 | $ 2,133,571 | |||
Hubbell Incorporated | 4,208 | 746,962 | |||
Regal-Beloit Corporation | 12,961 | 1,771,380 | |||
Rockwell Automation Incorporated | 1,851 | 450,311 | |||
6,838,934 | |||||
Industrial conglomerates: 0.86% | |||||
3M Company | 14,085 | 2,465,720 | |||
Honeywell International Incorporated | 19,263 | 3,897,868 | |||
Roper Technologies Incorporated | 1,514 | 571,717 | |||
6,935,305 | |||||
Machinery: 2.07% | |||||
AGCO Corporation | 8,634 | 1,117,930 | |||
Caterpillar Incorporated | 14,547 | 3,140,406 | |||
Colfax Corporation † | 20,726 | 919,198 | |||
Cummins Incorporated | 7,241 | 1,833,421 | |||
Deere & Company | 5,799 | 2,024,547 | |||
Dover Corporation | 4,257 | 524,718 | |||
Gates Industrial Corporation plc † | 511 | 7,665 | |||
Graco Incorporated | 1,688 | 117,063 | |||
Illinois Tool Works Incorporated | 10,760 | 2,175,457 | |||
Lincoln Electric Holdings Incorporated | 10,712 | 1,265,194 | |||
Nordson Corporation | 1,010 | 194,334 | |||
Otis Worldwide Corporation | 2,850 | 181,574 | |||
PACCAR Incorporated | 13,284 | 1,208,711 | |||
Pentair plc | 5,656 | 316,340 | |||
Stanley Black & Decker Incorporated | 2,150 | 375,906 | |||
The Timken Company | 15,982 | 1,252,190 | |||
16,654,654 | |||||
Marine: 0.00% | |||||
Kirby Corporation † | 344 | 21,521 | |||
Professional services: 0.91% | |||||
Booz Allen Hamilton Holding Corporation | 18,569 | 1,432,413 | |||
CACI International Incorporated Class A † | 3,770 | 834,452 | |||
CoreLogic Incorporated | 8,652 | 732,478 | |||
IHS Markit Limited | 3,176 | 286,348 | |||
Leidos Holdings Incorporated | 9,668 | 855,135 | |||
Manpower Incorporated | 20,217 | 1,909,293 | |||
Robert Half International Incorporated | 15,856 | 1,233,438 | |||
7,283,557 | |||||
Road & rail: 1.52% | |||||
CSX Corporation | 7,238 | 662,639 | |||
J.B. Hunt Transport Services Incorporated | 9,986 | 1,466,644 | |||
Kansas City Southern | 947 | 201,086 | |||
Knight-Swift Transportation Holdings Incorporated | 18,174 | 785,117 | |||
Landstar System Incorporated | 17,319 | 2,773,465 | |||
Old Dominion Freight Line Incorporated | 10,652 | 2,287,730 | |||
Schneider National Incorporated Class B | 76,372 | 1,766,484 | |||
Union Pacific Corporation | 11,084 | 2,282,861 | |||
12,226,026 |
Shares | Value | ||||
Trading companies & distributors: 0.18% | |||||
Fastenal Company | 8,164 | $ 378,565 | |||
MSC Industrial Direct Company Class A | 1,123 | 96,724 | |||
United Rentals Incorporated † | 1,132 | 336,634 | |||
W.W. Grainger Incorporated | 932 | 347,366 | |||
Watsco Incorporated | 1,207 | 293,422 | |||
1,452,711 | |||||
Information technology: 26.05% | |||||
Communications equipment: 0.85% | |||||
Ciena Corporation † | 3,465 | 180,769 | |||
Cisco Systems Incorporated | 95,721 | 4,295,001 | |||
CommScope Holdings Incorporated † | 80,029 | 1,167,623 | |||
Juniper Networks Incorporated | 41,295 | 961,348 | |||
Lumentum Holdings Incorporated † | 1,681 | 151,290 | |||
Ubiquiti Incorporated | 187 | 59,638 | |||
6,815,669 | |||||
Electronic equipment, instruments & components: 0.68% | |||||
Arrow Electronics Incorporated † | 24,828 | 2,489,255 | |||
Avnet Incorporated | 7,547 | 287,314 | |||
Corning Incorporated | 2,778 | 106,231 | |||
Jabil Circuit Incorporated | 22,304 | 962,864 | |||
SYNNEX Corporation | 913 | 81,403 | |||
Zebra Technologies Corporation Class A † | 3,167 | 1,581,695 | |||
5,508,762 | |||||
IT services: 4.72% | |||||
Accenture plc Class A | 18,778 | 4,711,400 | |||
Akamai Technologies Incorporated † | 439 | 41,486 | |||
Automatic Data Processing Incorporated | 241 | 41,939 | |||
Black Knight Incorporated † | 1,949 | 149,469 | |||
Broadridge Financial Solutions Incorporated | 2,242 | 319,463 | |||
Cognizant Technology Solutions Corporation Class A | 21,547 | 1,583,274 | |||
Concentrix Corporation † | 6,725 | 830,605 | |||
DXC Technology Company | 5,413 | 136,516 | |||
EPAM Systems Incorporated † | 3,671 | 1,371,522 | |||
GoDaddy Incorporated Class A † | 8,045 | 652,610 | |||
International Business Machines Corporation | 16,236 | 1,930,947 | |||
Jack Henry & Associates Incorporated | 291 | 43,196 | |||
MasterCard Incorporated Class A | 19,161 | 6,780,120 | |||
PayPal Holdings Incorporated † | 28,953 | 7,523,437 | |||
Science Applications International Corporation | 1,514 | 130,401 | |||
Square Incorporated Class A † | 11,376 | 2,616,821 | |||
StoneCo Limited Class A † | 1,589 | 136,352 | |||
The Western Union Company | 22,179 | 514,996 | |||
VeriSign Incorporated † | 2,643 | 512,821 | |||
Visa Incorporated Class A | 37,246 | 7,910,678 | |||
37,938,053 | |||||
Semiconductors & semiconductor equipment: 4.67% | |||||
Advanced Micro Devices Incorporated † | 26,350 | 2,226,839 | |||
Analog Devices Incorporated | 391 | 60,926 | |||
Applied Materials Incorporated | 20,799 | 2,458,234 | |||
Broadcom Incorporated | 7,328 | 3,443,207 |
Shares | Value | ||||
Semiconductors & semiconductor equipment (continued) | |||||
Enphase Energy Incorporated † | 1,771 | $ 311,802 | |||
Entegris Incorporated | 200 | 21,042 | |||
First Solar Incorporated † | 1,979 | 160,339 | |||
KLA Corporation | 3,491 | 1,086,504 | |||
Lam Research Corporation | 4,717 | 2,675,435 | |||
Maxim Integrated Products Incorporated | 11,540 | 1,075,182 | |||
Microchip Technology Incorporated | 4,706 | 718,277 | |||
Micron Technology Incorporated † | 13,403 | 1,226,777 | |||
MKS Instruments Incorporated | 685 | 112,957 | |||
Monolithic Power Systems Incorporated | 1,851 | 693,237 | |||
NVIDIA Corporation | 15,339 | 8,414,669 | |||
Qorvo Incorporated † | 2,815 | 491,865 | |||
QUALCOMM Incorporated | 33,755 | 4,597,093 | |||
Skyworks Solutions Incorporated | 10,484 | 1,864,265 | |||
Solaredge Technologies Incorporated † | 1,003 | 299,205 | |||
Teradyne Incorporated | 13,533 | 1,740,479 | |||
Texas Instruments Incorporated | 20,751 | 3,574,775 | |||
Xilinx Incorporated | 1,933 | 251,870 | |||
37,504,979 | |||||
Software: 9.15% | |||||
Adobe Incorporated † | 12,457 | 5,726,109 | |||
ANSYS Incorporated † | 220 | 75,018 | |||
Atlassian Corporation plc Class A † | 2,076 | 493,465 | |||
Autodesk Incorporated † | 4,558 | 1,258,008 | |||
Avalara Incorporated † | 517 | 81,138 | |||
Cadence Design Systems Incorporated † | 10,888 | 1,536,188 | |||
CDK Global Incorporated | 491 | 24,619 | |||
Ceridian HCM Holding Incorporated † | 2,211 | 198,238 | |||
Citrix Systems Incorporated | 1,986 | 265,290 | |||
DocuSign Incorporated † | 8,281 | 1,876,971 | |||
Dynatrace Incorporated † | 4,676 | 232,678 | |||
Fair Isaac Corporation † | 1,348 | 616,777 | |||
Five9 Incorporated † | 8,217 | 1,522,117 | |||
Intuit Incorporated | 6,017 | 2,347,472 | |||
Manhattan Associates Incorporated † | 1,458 | 179,261 | |||
Microsoft Corporation | 161,042 | 37,422,940 | |||
NortonLifeLock Incorporated | 118,397 | 2,309,925 | |||
Nuance Communications Incorporated † | 67,756 | 3,021,918 | |||
Oracle Corporation | 50,123 | 3,233,435 | |||
Pegasystems Incorporated | 868 | 114,880 | |||
RingCentral Incorporated Class A † | 928 | 350,932 | |||
Salesforce.com Incorporated † | 13,267 | 2,872,306 | |||
ServiceNow Incorporated † | 4,855 | 2,589,948 | |||
Solarwinds Corporation † | 1,068 | 17,291 | |||
SS&C Technologies Holdings Incorporated | 11,613 | 769,710 | |||
Synopsys Incorporated † | 6,042 | 1,481,559 | |||
Teradata Corporation † | 12,235 | 490,624 | |||
The Trade Desk Incorporated † | 263 | 211,818 | |||
Tyler Technologies Incorporated † | 434 | 201,124 | |||
Workday Incorporated Class A † | 534 | 130,926 | |||
Zoom Video Communications Incorporated † | 3,815 | 1,425,322 | |||
Zscaler Incorporated † | 2,293 | 470,134 | |||
73,548,141 |
Shares | Value | ||||
Technology hardware, storage & peripherals: 5.98% | |||||
Apple Incorporated | 371,284 | $ 45,021,898 | |||
HP Incorporated | 105,005 | 3,041,995 | |||
48,063,893 | |||||
Materials: 3.14% | |||||
Chemicals: 2.25% | |||||
Air Products & Chemicals Incorporated | 3,375 | 862,718 | |||
Ashland Global Holdings Incorporated | 282 | 23,722 | |||
Cabot Corporation | 25,965 | 1,278,257 | |||
Corteva Incorporated | 29,650 | 1,338,698 | |||
Dow Incorporated | 20,050 | 1,189,166 | |||
DuPont de Nemours Incorporated | 11,583 | 814,517 | |||
Eastman Chemical Company | 5,834 | 637,423 | |||
Ecolab Incorporated | 1,074 | 224,853 | |||
Element Solutions Incorporated | 109,282 | 1,972,540 | |||
FMC Corporation | 2,788 | 283,512 | |||
Huntsman Corporation | 30,809 | 841,086 | |||
Linde plc | 7,406 | 1,809,064 | |||
LyondellBasell Industries NV Class A | 1,215 | 125,254 | |||
PPG Industries Incorporated | 2,260 | 304,693 | |||
RPM International Incorporated | 11,129 | 886,314 | |||
Scotts Miracle-Gro Company Class A | 9,409 | 2,005,528 | |||
The Chemours Company | 80,853 | 1,902,471 | |||
The Mosaic Company | 1,797 | 52,832 | |||
The Sherwin-Williams Company | 2,184 | 1,485,863 | |||
18,038,511 | |||||
Construction materials: 0.10% | |||||
Eagle Materials Incorporated | 6,611 | 828,887 | |||
Containers & packaging: 0.29% | |||||
Avery Dennison Corporation | 356 | 62,375 | |||
Ball Corporation | 2,895 | 247,204 | |||
Crown Holdings Incorporated † | 12,085 | 1,154,843 | |||
Silgan Holdings Incorporated | 22,975 | 862,941 | |||
2,327,363 | |||||
Metals & mining: 0.50% | |||||
Freeport-McMoRan Incorporated † | 54,448 | 1,846,332 | |||
Newmont Corporation | 6,633 | 360,703 | |||
Nucor Corporation | 2,264 | 135,432 | |||
Reliance Steel & Aluminum Company | 6,920 | 914,824 | |||
Steel Dynamics Incorporated | 17,852 | 742,286 | |||
3,999,577 | |||||
Real estate: 3.46% | |||||
Equity REITs: 3.16% | |||||
Alexandria Real Estate Equities Incorporated | 1,935 | 309,000 | |||
American Homes 4 Rent Class A | 36,822 | 1,146,637 | |||
American Tower Corporation | 12,728 | 2,750,903 | |||
Americold Realty Trust | 4,634 | 162,375 | |||
Brandywine Realty Trust | 28,660 | 350,512 | |||
Brixmor Property Group Incorporated | 6,647 | 130,813 | |||
Brookfield Property REIT Class A | 38,992 | 682,360 |
Shares | Value | ||||
Equity REITs (continued) | |||||
CoreSite Realty Corporation | 4,266 | $ 519,215 | |||
Corporate Office Properties Trust | 14,767 | 383,942 | |||
Crown Castle International Corporation | 9,607 | 1,496,290 | |||
CubeSmart | 1,314 | 48,565 | |||
CyrusOne Incorporated | 2,616 | 171,688 | |||
Digital Realty Trust Incorporated | 6,821 | 918,993 | |||
Duke Realty Corporation | 25,738 | 1,010,217 | |||
Equinix Incorporated | 4,069 | 2,638,095 | |||
Extra Space Storage Incorporated | 329 | 41,355 | |||
First Industrial Realty Trust Incorporated | 13,804 | 589,569 | |||
Gaming and Leisure Properties Incorporated | 32,061 | 1,423,508 | |||
Invitation Homes Incorporated | 18,916 | 551,212 | |||
Iron Mountain Incorporated | 38,418 | 1,336,562 | |||
Kimco Realty Corporation | 20,838 | 381,961 | |||
Lamar Advertising Company Class A | 2,295 | 198,724 | |||
Life Storage Incorporated | 8,632 | 724,225 | |||
Mid-America Apartment Communities Incorporated | 3,475 | 468,187 | |||
Outfront Media Incorporated | 2,961 | 60,049 | |||
Prologis Incorporated | 18,141 | 1,797,229 | |||
SBA Communications Corporation | 5,987 | 1,527,463 | |||
Simon Property Group Incorporated | 4,504 | 508,592 | |||
Sun Communities Incorporated | 72 | 10,940 | |||
VICI Properties Incorporated | 13,819 | 393,842 | |||
Weingarten Realty Investors | 3,283 | 83,355 | |||
Weyerhaeuser Company | 77,294 | 2,617,948 | |||
25,434,326 | |||||
Real estate management & development: 0.30% | |||||
CBRE Group Incorporated Class A † | 28,302 | 2,144,443 | |||
Jones Lang LaSalle Incorporated † | 1,343 | 233,655 | |||
2,378,098 | |||||
Utilities: 1.97% | |||||
Electric utilities: 1.09% | |||||
Alliant Energy Corporation | 5,649 | 260,758 | |||
American Electric Power Company Incorporated | 4,405 | 329,714 | |||
Avangrid Incorporated | 285 | 13,042 | |||
Entergy Corporation | 4,828 | 419,119 | |||
Evergy Incorporated | 6,035 | 323,657 | |||
Eversource Energy | 11,584 | 920,696 | |||
Exelon Corporation | 5,145 | 198,597 | |||
NextEra Energy Incorporated | 51,992 | 3,820,372 | |||
NRG Energy Incorporated | 5,454 | 199,126 | |||
PG&E Corporation † | 27,295 | 286,870 | |||
The Southern Company | 20,077 | 1,138,767 | |||
Xcel Energy Incorporated | 13,908 | 814,870 | |||
8,725,588 | |||||
Gas utilities: 0.10% | |||||
National Fuel Gas Company | 17,972 | 816,648 | |||
Independent power & renewable electricity producers: 0.09% | |||||
AES Corporation | 27,214 | 722,804 |
Shares | Value | ||||
Multi-utilities: 0.55% | |||||
Ameren Corporation | 6,643 | $ 466,804 | |||
CMS Energy Corporation | 8,078 | 437,101 | |||
Dominion Energy Incorporated | 7,721 | 527,499 | |||
DTE Energy Company | 4,902 | 577,063 | |||
MDU Resources Group Incorporated | 29,772 | 836,593 | |||
Public Service Enterprise Group Incorporated | 11,551 | 621,790 | |||
WEC Energy Group Incorporated | 12,085 | 974,534 | |||
4,441,384 | |||||
Water utilities: 0.14% | |||||
American Water Works Company Incorporated | 7,807 | 1,107,657 | |||
Total Common stocks (Cost $571,149,016) | 774,721,190 |
Yield | |||||
Short-term investments: 2.35% | |||||
Investment companies: 2.35% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 18,864,948 | 18,864,948 | ||
Total Short-term investments (Cost $18,864,948) | 18,864,948 | ||||
Total investments in securities (Cost $590,013,964) | 98.73% | 793,586,138 | |||
Other assets and liabilities, net | 1.27 | 10,229,555 | |||
Total net assets | 100.00% | $803,815,693 |
† | Non-income-earning security |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
REIT | Real estate investment trust |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $37,548,710 | $321,291,115 | $(339,974,877) | $0 | $0 | $18,864,948 | 2.35% | 18,864,948 | $47,520 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
E-Mini S&P 500 Index | 157 | 3-19-2021 | $29,658,528 | $29,902,220 | $243,692 | $0 |
Assets | |
Investments in unaffiliated securities, at value (cost $571,149,016) | $ 774,721,190 |
Investments in affiliated securites, at value (cost $18,864,948) | 18,864,948 |
Segregated cash for futures contracts | 9,795,600 |
Receivable for dividends | 983,453 |
Prepaid expenses and other assets | 13,210 |
Total assets | 804,378,401 |
Liabilities | |
Advisory fee payable | 359,495 |
Payable for daily variation margin on open futures contracts | 147,580 |
Professional fees payable | 32,765 |
Trustees’ fees and expenses payable | 857 |
Accrued expenses and other liabilities | 22,011 |
Total liabilities | 562,708 |
Total net assets | $803,815,693 |
Investment income | |
Dividends (net of foreign withholdings taxes of $128,477) | $ 15,920,821 |
Income from affiliated securities | 47,520 |
Total investment income | 15,968,341 |
Expenses | |
Advisory fee | 875,769 |
Custody and accounting fees | 66,474 |
Professional fees | 44,591 |
Interest holder report expenses | 7,519 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 23,988 |
Total expenses | 1,037,936 |
Less: Fee waivers and/or expense reimbursements | (131,818) |
Net expenses | 906,118 |
Net investment income | 15,062,223 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 107,221,713 |
Futures contracts | 2,145,339 |
Net realized gains on investments | 109,367,052 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 62,883,015 |
Futures contracts | 6,051,095 |
Net change in unrealized gains (losses) on investments | 68,934,110 |
Net realized and unrealized gains (losses) on investments | 178,301,162 |
Net increase in net assets resulting from operations | $193,363,385 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 15,062,223 | $ 23,966,798 |
Net realized gains on investments | 109,367,052 | 81,060,499 |
Net change in unrealized gains (losses) on investments | 68,934,110 | (45,841,488) |
Net increase in net assets resulting from operations | 193,363,385 | 59,185,809 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 187,853,147 | 30,265,251 |
Withdrawals | (538,830,448) | (301,569,041) |
Net decrease in net assets resulting from capital transactions | (350,977,301) | (271,303,790) |
Total decrease in net assets | (157,613,916) | (212,117,981) |
Net assets | ||
Beginning of period | 961,429,609 | 1,173,547,590 |
End of period | $ 803,815,693 | $ 961,429,609 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 24.03% | 4.00% | 7.60% | 11.92% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.12% | 0.12% | 0.12% | 0.12% | ||
Net expenses | 0.10% 3 | 0.11% | 0.11% | 0.12% | ||
Net investment income | 1.72% | 2.10% | 2.09% | 1.94% | ||
Supplemental data | ||||||
Portfolio turnover rate | 71% | 25% | 23% | 75% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.02% higher. |
Gross unrealized gains | $203,572,174 |
Gross unrealized losses | (7,672,411) |
Net unrealized gains | $195,899,763 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Common stocks | ||||
Communication services | $ 88,285,359 | $0 | $0 | $ 88,285,359 |
Consumer discretionary | 89,493,993 | 0 | 0 | 89,493,993 |
Consumer staples | 44,130,248 | 0 | 0 | 44,130,248 |
Energy | 14,636,780 | 0 | 0 | 14,636,780 |
Financials | 92,360,483 | 0 | 0 | 92,360,483 |
Health care | 91,783,799 | 0 | 0 | 91,783,799 |
Industrials | 75,830,188 | 0 | 0 | 75,830,188 |
Information technology | 209,379,497 | 0 | 0 | 209,379,497 |
Materials | 25,194,338 | 0 | 0 | 25,194,338 |
Real estate | 27,812,424 | 0 | 0 | 27,812,424 |
Utilities | 15,814,081 | 0 | 0 | 15,814,081 |
Short-term investments | ||||
Investment companies | 18,864,948 | 0 | 0 | 18,864,948 |
Total assets | $793,586,138 | $0 | $0 | $793,586,138 |
Liabilities | ||||
Futures contracts | $ 243,692 | $0 | $0 | $ 243,692 |
Total liabilities | $ 243,692 | $0 | $0 | $ 243,692 |
Average daily net assets | Advisory fee |
First $5 billion | 0.100% |
Next $5 billion | 0.080 |
Over $10 billion | 0.060 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Factor Enhanced U.S. Low Volatility Equity Portfolio
Investment objective | The Portfolio seeks long-term capital appreciation. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Dennis Beinn, CFA®‡, Harindra de Silva, Ph.D., CFA®‡, Monisha Jayakumar |
Ten largest holdings (%) as of February 28, 20211 | |
Accenture plc Class A | 1.67 |
Johnson & Johnson | 1.65 |
Microsoft Corporation | 1.62 |
NextEra Energy Incorporated | 1.51 |
Eli Lilly & Company | 1.48 |
Vertex Pharmaceuticals Incorporated | 1.45 |
Gilead Sciences Incorporated | 1.45 |
Verizon Communications Incorporated | 1.43 |
T-Mobile US Incorporated | 1.43 |
McDonald's Corporation | 1.41 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Sector allocation as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Shares | Value | ||||
Common stocks: 98.29% | |||||
Communication services: 9.24% | |||||
Diversified telecommunication services: 2.14% | |||||
AT&T Incorporated | 6,531 | $ 182,151 | |||
Verizon Communications Incorporated | 6,597 | 364,814 | |||
546,965 | |||||
Entertainment: 3.89% | |||||
Activision Blizzard Incorporated | 2,521 | 241,033 | |||
Electronic Arts Incorporated | 1,801 | 241,280 | |||
Netflix Incorporated † | 74 | 39,875 | |||
Take-Two Interactive Software Incorporated † | 1,134 | 209,178 | |||
The Walt Disney Company † | 1,378 | 260,497 | |||
991,863 | |||||
Interactive media & services: 0.12% | |||||
Alphabet Incorporated Class A † | 1 | 2,022 | |||
Alphabet Incorporated Class C † | 14 | 28,516 | |||
30,538 | |||||
Media: 1.66% | |||||
Charter Communications Incorporated Class A † | 170 | 104,281 | |||
Comcast Corporation Class A | 2,844 | 149,936 | |||
Discovery Incorporated Class A † | 346 | 18,348 | |||
DISH Network Corporation Class A † | 232 | 7,310 | |||
Fox Corporation Class A | 220 | 7,328 | |||
Fox Corporation Class B | 344 | 10,984 | |||
Interpublic Group of Companies Incorporated | 608 | 15,881 | |||
Liberty Global plc Class A † | 537 | 13,224 | |||
News Corporation Class A | 553 | 12,968 | |||
Omnicom Group Incorporated | 795 | 54,640 | |||
Sirius XM Holdings Incorporated | 4,892 | 28,618 | |||
423,518 | |||||
Wireless telecommunication services: 1.43% | |||||
T-Mobile US Incorporated † | 3,030 | 363,509 | |||
Consumer discretionary: 6.11% | |||||
Hotels, restaurants & leisure: 2.45% | |||||
Domino's Pizza Incorporated | 180 | 62,372 | |||
Draftkings Incorporated Class A † | 15 | 923 | |||
McDonald's Corporation | 1,739 | 358,477 | |||
Starbucks Corporation | 1,879 | 202,988 | |||
624,760 | |||||
Household durables: 0.21% | |||||
Garmin Limited | 437 | 54,197 | |||
Internet & direct marketing retail: 0.21% | |||||
Amazon.com Incorporated † | 10 | 30,929 | |||
Chewy Incorporated Class A † | 11 | 1,117 | |||
eBay Incorporated | 360 | 20,311 | |||
52,357 |
Shares | Value | ||||
Multiline retail: 1.20% | |||||
Dollar General Corporation | 866 | $ 163,665 | |||
Dollar Tree Incorporated † | 677 | 66,481 | |||
Target Corporation | 415 | 76,128 | |||
306,274 | |||||
Specialty retail: 1.55% | |||||
Advance Auto Parts Incorporated | 8 | 1,283 | |||
AutoZone Incorporated † | 94 | 109,032 | |||
Best Buy Company Incorporated | 35 | 3,512 | |||
O'Reilly Automotive Incorporated † | 159 | 71,125 | |||
The Home Depot Incorporated | 798 | 206,155 | |||
The TJX Companies Incorporated | 66 | 4,355 | |||
395,462 | |||||
Textiles, apparel & luxury goods: 0.49% | |||||
Nike Incorporated Class B | 924 | 124,537 | |||
Consumer staples: 10.82% | |||||
Beverages: 1.64% | |||||
Brown-Forman Corporation Class B | 346 | 24,767 | |||
Monster Beverage Corporation † | 124 | 10,880 | |||
PepsiCo Incorporated | 2,603 | 336,282 | |||
The Coca-Cola Company | 951 | 46,589 | |||
418,518 | |||||
Food & staples retailing: 2.28% | |||||
Costco Wholesale Corporation | 77 | 25,487 | |||
The Kroger Company | 8,587 | 276,587 | |||
Walmart Incorporated | 2,150 | 279,328 | |||
581,402 | |||||
Food products: 3.99% | |||||
Archer Daniels Midland Company | 455 | 25,744 | |||
Bunge Limited | 223 | 17,077 | |||
Campbell Soup Company | 1,093 | 49,710 | |||
General Mills Incorporated | 1,027 | 56,495 | |||
Hormel Foods Corporation | 4,712 | 218,495 | |||
Kellogg Company | 1,714 | 98,915 | |||
McCormick & Company Incorporated | 1,118 | 94,225 | |||
Mondelez International Incorporated Class A | 1,767 | 93,934 | |||
The Hershey Company | 1,999 | 291,154 | |||
The J.M. Smucker Company | 608 | 68,096 | |||
Tyson Foods Incorporated Class A | 72 | 4,872 | |||
1,018,717 | |||||
Household products: 2.69% | |||||
Church & Dwight Company Incorporated | 971 | 76,466 | |||
Colgate-Palmolive Company | 1,244 | 93,549 | |||
Kimberly-Clark Corporation | 571 | 73,276 | |||
The Clorox Company | 698 | 126,373 | |||
The Procter & Gamble Company | 2,569 | 317,349 | |||
687,013 | |||||
Personal products: 0.03% | |||||
The Estee Lauder Companies Incorporated Class A | 23 | 6,575 |
Shares | Value | ||||
Tobacco: 0.19% | |||||
Altria Group Incorporated | 188 | $ 8,197 | |||
Philip Morris International Incorporated | 468 | 39,321 | |||
47,518 | |||||
Energy: 0.26% | |||||
Oil, gas & consumable fuels: 0.26% | |||||
Cabot Oil & Gas Corporation | 1,008 | 18,658 | |||
Cheniere Energy Incorporated † | 544 | 36,660 | |||
Chevron Corporation | 33 | 3,300 | |||
Exxon Mobil Corporation | 150 | 8,156 | |||
66,774 | |||||
Financials: 8.85% | |||||
Banks: 0.04% | |||||
US Bancorp | 214 | 10,700 | |||
Capital markets: 1.71% | |||||
Ameriprise Financial Incorporated | 4 | 885 | |||
BlackRock Incorporated | 17 | 11,807 | |||
Cboe Global Markets Incorporated | 720 | 71,251 | |||
CME Group Incorporated | 642 | 128,207 | |||
FactSet Research Systems Incorporated | 64 | 19,450 | |||
Intercontinental Exchange Incorporated | 1,310 | 144,506 | |||
MarketAxess Holdings Incorporated | 33 | 18,346 | |||
Moody's Corporation | 22 | 6,048 | |||
Morgan Stanley | 27 | 2,075 | |||
T. Rowe Price Group Incorporated | 79 | 12,809 | |||
The NASDAQ Incorporated | 115 | 15,903 | |||
Tradeweb Markets Incorporated Class A | 54 | 3,931 | |||
435,218 | |||||
Diversified financial services: 0.54% | |||||
Berkshire Hathaway Incorporated Class B † | 577 | 138,774 | |||
Insurance: 6.54% | |||||
Alleghany Corporation | 13 | 8,404 | |||
Aon plc Class A | 909 | 206,988 | |||
Arch Capital Group Limited † | 77 | 2,758 | |||
Arthur J. Gallagher & Company | 1,337 | 160,173 | |||
Assurant Incorporated | 65 | 8,009 | |||
Brown & Brown Incorporated | 2,428 | 111,445 | |||
Chubb Limited | 589 | 95,760 | |||
Erie Indemnity Company Class A | 140 | 33,894 | |||
Everest Reinsurance Group Limited | 542 | 131,061 | |||
Markel Corporation † | 88 | 95,814 | |||
Marsh & McLennan Companies Incorporated | 1,663 | 191,611 | |||
Progressive Corporation | 1,233 | 105,976 | |||
RenaissanceRe Holdings Limited | 711 | 118,723 | |||
The Allstate Corporation | 1,601 | 170,667 | |||
The Travelers Companies Incorporated | 1,025 | 149,138 | |||
W.R. Berkley Corporation | 131 | 9,082 | |||
Willis Towers Watson plc | 311 | 68,619 | |||
1,668,122 |
Shares | Value | ||||
Mortgage REITs: 0.02% | |||||
AGNC Investment Corporation | 300 | $ 4,809 | |||
Health care: 18.94% | |||||
Biotechnology: 5.79% | |||||
AbbVie Incorporated | 110 | 11,851 | |||
Amgen Incorporated | 457 | 102,788 | |||
Biogen Incorporated † | 105 | 28,652 | |||
BioMarin Pharmaceutical Incorporated † | 640 | 49,555 | |||
Gilead Sciences Incorporated | 6,001 | 368,461 | |||
Incyte Corporation † | 1,394 | 109,652 | |||
Ionis Pharmaceuticals Incorporated † | 519 | 27,196 | |||
Neurocrine Biosciences Incorporated † | 400 | 43,804 | |||
Regeneron Pharmaceuticals Incorporated † | 710 | 319,905 | |||
Seagen Incorporated † | 296 | 44,729 | |||
Vertex Pharmaceuticals Incorporated † | 1,737 | 369,199 | |||
1,475,792 | |||||
Health care equipment & supplies: 4.93% | |||||
Abbott Laboratories | 921 | 110,317 | |||
Baxter International Incorporated | 1,694 | 131,607 | |||
Becton Dickinson & Company | 261 | 62,940 | |||
Danaher Corporation | 1,168 | 256,575 | |||
Dentsply Sirona Incorporated | 271 | 14,382 | |||
Hologic Incorporated † | 24 | 1,730 | |||
IDEXX Laboratories Incorporated † | 22 | 11,444 | |||
Masimo Corporation † | 331 | 82,992 | |||
Medtronic plc | 2,683 | 313,831 | |||
ResMed Incorporated | 14 | 2,699 | |||
Stryker Corporation | 716 | 173,766 | |||
The Cooper Companies Incorporated | 201 | 77,612 | |||
West Pharmaceutical Services Incorporated | 40 | 11,226 | |||
Zimmer Biomet Holdings Incorporated | 36 | 5,870 | |||
1,256,991 | |||||
Health care providers & services: 1.56% | |||||
Anthem Incorporated | 377 | 114,303 | |||
Henry Schein Incorporated † | 73 | 4,515 | |||
Humana Incorporated | 245 | 93,014 | |||
UnitedHealth Group Incorporated | 557 | 185,047 | |||
Universal Health Services Incorporated Class B | 13 | 1,629 | |||
398,508 | |||||
Health care technology: 0.21% | |||||
Cerner Corporation | 196 | 13,551 | |||
Teladoc Incorporated † | 97 | 21,446 | |||
Veeva Systems Incorporated Class A † | 68 | 19,047 | |||
54,044 | |||||
Life sciences tools & services: 0.33% | |||||
Bio-Rad Laboratories Incorporated Class A † | 138 | 80,661 | |||
Mettler-Toledo International Incorporated † | 4 | 4,464 | |||
Thermo Fisher Scientific Incorporated | 1 | 450 | |||
85,575 |
Shares | Value | ||||
Pharmaceuticals: 6.12% | |||||
Bristol-Myers Squibb Company | 1,303 | $ 79,913 | |||
Eli Lilly & Company | 1,840 | 376,998 | |||
Johnson & Johnson | 2,661 | 421,662 | |||
Merck & Company Incorporated | 4,817 | 349,811 | |||
Perrigo Company plc | 35 | 1,413 | |||
Pfizer Incorporated | 6,127 | 205,193 | |||
Viatris Incorporated † | 932 | 13,840 | |||
Zoetis Incorporated | 720 | 111,773 | |||
1,560,603 | |||||
Industrials: 7.53% | |||||
Aerospace & defense: 1.20% | |||||
Huntington Ingalls Industries Incorporated | 8 | 1,407 | |||
L3Harris Technologies Incorporated | 529 | 96,230 | |||
Lockheed Martin Corporation | 568 | 187,582 | |||
Northrop Grumman Corporation | 70 | 20,416 | |||
305,635 | |||||
Air freight & logistics: 0.82% | |||||
C.H. Robinson Worldwide Incorporated | 2,194 | 199,325 | |||
Expeditors International of Washington Incorporated | 99 | 9,092 | |||
208,417 | |||||
Airlines: 0.01% | |||||
Southwest Airlines Company | 56 | 3,255 | |||
Building products: 0.05% | |||||
Carrier Global Corporation | 319 | 11,653 | |||
Masco Corporation | 37 | 1,969 | |||
13,622 | |||||
Commercial services & supplies: 3.90% | |||||
Republic Services Incorporated | 3,539 | 315,290 | |||
Rollins Incorporated | 1,276 | 42,325 | |||
Waste Connections Incorporated | 2,897 | 283,008 | |||
Waste Management Incorporated | 3,202 | 355,070 | |||
995,693 | |||||
Industrial conglomerates: 0.34% | |||||
3M Company | 44 | 7,703 | |||
Honeywell International Incorporated | 385 | 77,905 | |||
85,608 | |||||
Machinery: 0.21% | |||||
Cummins Incorporated | 29 | 7,343 | |||
Dover Corporation | 21 | 2,588 | |||
Illinois Tool Works Incorporated | 85 | 17,185 | |||
Otis Worldwide Corporation | 243 | 15,482 | |||
PACCAR Incorporated | 92 | 8,371 | |||
Pentair plc | 21 | 1,175 | |||
Snap-on Incorporated | 5 | 1,016 | |||
53,160 |
Shares | Value | ||||
Professional services: 0.69% | |||||
Booz Allen Hamilton Holding Corporation | 940 | $ 72,512 | |||
Leidos Holdings Incorporated | 177 | 15,656 | |||
Robert Half International Incorporated | 212 | 16,491 | |||
Verisk Analytics Incorporated | 443 | 72,586 | |||
177,245 | |||||
Road & rail: 0.31% | |||||
AMERCO | 83 | 47,702 | |||
J.B. Hunt Transport Services Incorporated | 115 | 16,890 | |||
Knight-Swift Transportation Holdings Incorporated | 96 | 4,147 | |||
Old Dominion Freight Line Incorporated | 49 | 10,524 | |||
79,263 | |||||
Information technology: 23.58% | |||||
Communications equipment: 1.86% | |||||
Arista Networks Incorporated † | 89 | 24,906 | |||
Cisco Systems Incorporated | 4,136 | 185,582 | |||
Juniper Networks Incorporated | 1,438 | 33,477 | |||
Motorola Solutions Incorporated | 1,317 | 231,107 | |||
475,072 | |||||
Electronic equipment, instruments & components: 1.72% | |||||
Amphenol Corporation Class A | 1,300 | 163,384 | |||
Arrow Electronics Incorporated † | 227 | 22,759 | |||
CDW Corporation of Delaware | 64 | 10,041 | |||
Keysight Technologies Incorporated † | 1,618 | 228,979 | |||
TE Connectivity Limited | 104 | 13,523 | |||
438,686 | |||||
IT services: 11.97% | |||||
Accenture plc Class A | 1,701 | 426,781 | |||
Akamai Technologies Incorporated † | 1,480 | 139,860 | |||
Automatic Data Processing Incorporated | 855 | 148,787 | |||
Black Knight Incorporated † | 2,517 | 193,029 | |||
Broadridge Financial Solutions Incorporated | 771 | 109,860 | |||
Cognizant Technology Solutions Corporation Class A | 1,874 | 137,702 | |||
EPAM Systems Incorporated † | 14 | 5,231 | |||
Fidelity National Information Services Incorporated | 1,808 | 249,504 | |||
Fiserv Incorporated † | 1,730 | 199,590 | |||
FleetCor Technologies Incorporated † | 193 | 53,521 | |||
International Business Machines Corporation | 680 | 80,872 | |||
Jack Henry & Associates Incorporated | 1,299 | 192,824 | |||
MasterCard Incorporated Class A | 612 | 216,556 | |||
Paychex Incorporated | 3,346 | 304,720 | |||
The Western Union Company | 6,745 | 156,619 | |||
VeriSign Incorporated † | 449 | 87,119 | |||
Visa Incorporated Class A | 1,643 | 348,957 | |||
3,051,532 | |||||
Semiconductors & semiconductor equipment: 0.77% | |||||
Broadcom Incorporated | 150 | 70,481 | |||
Intel Corporation | 314 | 19,085 |
Shares | Value | ||||
Semiconductors & semiconductor equipment (continued) | |||||
QUALCOMM Incorporated | 35 | $ 4,767 | |||
Texas Instruments Incorporated | 585 | 100,778 | |||
195,111 | |||||
Software: 7.06% | |||||
Adobe Incorporated † | 742 | 341,075 | |||
Citrix Systems Incorporated | 1,864 | 248,993 | |||
Dropbox Incorporated Class A † | 42 | 947 | |||
Intuit Incorporated | 174 | 67,884 | |||
Microsoft Corporation | 1,780 | 413,636 | |||
NortonLifeLock Incorporated | 2,112 | 41,205 | |||
Oracle Corporation | 4,497 | 290,101 | |||
Palo Alto Networks Incorporated † | 136 | 48,730 | |||
SS&C Technologies Holdings Incorporated | 63 | 4,176 | |||
Tyler Technologies Incorporated † | 602 | 278,979 | |||
Zoom Video Communications Incorporated † | 176 | 65,755 | |||
1,801,481 | |||||
Technology hardware, storage & peripherals: 0.20% | |||||
Apple Incorporated | 398 | 48,261 | |||
HP Incorporated | 119 | 3,447 | |||
51,708 | |||||
Materials: 2.60% | |||||
Chemicals: 1.01% | |||||
Air Products & Chemicals Incorporated | 253 | 64,672 | |||
Celanese Corporation Series A | 61 | 8,474 | |||
Corteva Incorporated | 24 | 1,084 | |||
Eastman Chemical Company | 25 | 2,732 | |||
Ecolab Incorporated | 783 | 163,929 | |||
Linde plc | 11 | 2,687 | |||
RPM International Incorporated | 85 | 6,769 | |||
The Sherwin-Williams Company | 12 | 8,164 | |||
258,511 | |||||
Containers & packaging: 0.28% | |||||
Amcor plc | 3,698 | 40,456 | |||
Ball Corporation | 185 | 15,797 | |||
Crown Holdings Incorporated † | 143 | 13,665 | |||
69,918 | |||||
Metals & mining: 1.31% | |||||
Newmont Corporation | 6,144 | 334,111 | |||
Real estate: 3.31% | |||||
Equity REITs: 3.31% | |||||
American Tower Corporation | 856 | 185,007 | |||
Crown Castle International Corporation | 1,000 | 155,750 | |||
Duke Realty Corporation | 196 | 7,693 | |||
Equinix Incorporated | 38 | 24,637 | |||
Equity Lifestyle Properties Incorporated | 30 | 1,850 | |||
Equity Residential | 1,569 | 102,628 | |||
Extra Space Storage Incorporated | 721 | 90,630 | |||
Mid-America Apartment Communities Incorporated | 9 | 1,213 |
Shares | Value | ||||
Equity REITs (continued) | |||||
Public Storage Incorporated | 1,046 | $ 244,701 | |||
SBA Communications Corporation | 120 | 30,616 | |||
844,725 | |||||
Utilities: 7.05% | |||||
Electric utilities: 4.69% | |||||
Alliant Energy Corporation | 983 | 45,375 | |||
American Electric Power Company Incorporated | 1,416 | 105,988 | |||
Entergy Corporation | 94 | 8,160 | |||
Evergy Incorporated | 781 | 41,885 | |||
Eversource Energy | 1,056 | 83,931 | |||
Exelon Corporation | 335 | 12,931 | |||
NextEra Energy Incorporated | 5,254 | 386,064 | |||
NRG Energy Incorporated | 309 | 11,282 | |||
PPL Corporation | 155 | 4,059 | |||
The Southern Company | 4,674 | 265,109 | |||
Xcel Energy Incorporated | 3,946 | 231,196 | |||
1,195,980 | |||||
Multi-utilities: 2.21% | |||||
Ameren Corporation | 266 | 18,692 | |||
CenterPoint Energy Incorporated | 211 | 4,102 | |||
CMS Energy Corporation | 1,274 | 68,936 | |||
Consolidated Edison Incorporated | 3,012 | 197,738 | |||
Dominion Energy Incorporated | 1,313 | 89,704 | |||
DTE Energy Company | 136 | 16,010 | |||
Public Service Enterprise Group Incorporated | 65 | 3,499 | |||
WEC Energy Group Incorporated | 2,044 | 164,828 | |||
563,509 | |||||
Water utilities: 0.15% | |||||
American Water Works Company Incorporated | 274 | 38,875 | |||
Total Common stocks (Cost $23,678,279) | 25,070,750 |
Yield | |||||
Short-term investments: 1.19% | |||||
Investment companies: 1.19% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 302,669 | 302,669 | ||
Total Short-term investments (Cost $302,669) | 302,669 | ||||
Total investments in securities (Cost $23,980,948) | 99.48% | 25,373,419 | |||
Other assets and liabilities, net | 0.52 | 131,958 | |||
Total net assets | 100.00% | $25,505,377 |
† | Non-income-earning security |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
REIT | Real estate investment trust |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $0 | $30,344,665 | $(30,041,996) | $0 | $0 | $302,669 | 1.19% | 302,669 | $438 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
E-Mini S&P 500 Index | 2 | 3-19-2021 | $384,817 | $380,920 | $0 | $(3,897) |
Assets | |
Investments in unaffiliated securities, at value (cost $23,678,279) | $ 25,070,750 |
Investments in affiliated securites, at value (cost $302,669) | 302,669 |
Segregated cash for futures contracts | 140,000 |
Receivable for dividends | 33,603 |
Receivable from adviser | 7,135 |
Total assets | 25,554,157 |
Liabilities | |
Professional fees payable | 35,062 |
Custodian and accounting fee payable | 4,907 |
Trustees’ fees and expenses payable | 1,971 |
Payable for daily variation margin on open futures contracts | 1,880 |
Accrued expenses and other liabilities | 4,960 |
Total liabilities | 48,780 |
Total net assets | $25,505,377 |
Investment income | |
Dividends (net of foreign withholdings taxes of $1,939) | $ 287,004 |
Income from affiliated securities | 438 |
Total investment income | 287,442 |
Expenses | |
Advisory fee | 16,163 |
Custody and accounting fees | 11,272 |
Professional fees | 47,468 |
Interest holder report expenses | 5,927 |
Trustees’ fees and expenses | 12,778 |
Other fees and expenses | 8,952 |
Total expenses | 102,560 |
Less: Fee waivers and/or expense reimbursements | (79,931) |
Net expenses | 22,629 |
Net investment income | 264,813 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 474,903 |
Futures contracts | 105,932 |
Net realized gains on investments | 580,835 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 1,392,471 |
Futures contracts | (3,897) |
Net change in unrealized gains (losses) on investments | 1,388,574 |
Net realized and unrealized gains (losses) on investments | 1,969,409 |
Net increase in net assets resulting from operations | $2,234,222 |
1 | For the period from July 1, 2020 (commencement of operations) to February 28, 2021 |
Year ended February 28, 20211 | |
Operations | |
Net investment income | $ 264,813 |
Net realized gains on investments | 580,835 |
Net change in unrealized gains (losses) on investments | 1,388,574 |
Net increase in net assets resulting from operations | 2,234,222 |
Capital transactions | |
Transactions in investors’ beneficial interests | |
Contributions | 27,817,254 |
Withdrawals | (4,546,099) |
Net increase in net assets resulting from capital transactions | 23,271,155 |
Total increase in net assets | 25,505,377 |
Net assets | |
Beginning of period | 0 |
End of period | $25,505,377 |
1 | For the period from July 1, 2020 (commencement of operations) to February 28, 2021 |
Year ended February 28 | |
2021 1 | |
Total return2 | 9.42% |
Ratios to average net assets (annualized) | |
Gross expenses | 0.63% |
Net expenses | 0.14% 3 |
Net investment income | 1.64% |
Supplemental data | |
Portfolio turnover rate | 18% |
1 | For the period from July 1, 2020 (commencement of operations) to February 28, 2021 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.49% higher. |
Gross unrealized gains | $1,392,471 |
Gross unrealized losses | (14,200) |
Net unrealized gains | $1,378,271 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Common stocks | ||||
Communication services | $ 2,356,393 | $0 | $0 | $ 2,356,393 |
Consumer discretionary | 1,557,587 | 0 | 0 | 1,557,587 |
Consumer staples | 2,759,743 | 0 | 0 | 2,759,743 |
Energy | 66,774 | 0 | 0 | 66,774 |
Financials | 2,257,623 | 0 | 0 | 2,257,623 |
Health care | 4,831,513 | 0 | 0 | 4,831,513 |
Industrials | 1,921,898 | 0 | 0 | 1,921,898 |
Information technology | 6,013,590 | 0 | 0 | 6,013,590 |
Materials | 662,540 | 0 | 0 | 662,540 |
Real estate | 844,725 | 0 | 0 | 844,725 |
Utilities | 1,798,364 | 0 | 0 | 1,798,364 |
Short-term investments | ||||
Investment companies | 302,669 | 0 | 0 | 302,669 |
Total assets | $25,373,419 | $0 | $0 | $25,373,419 |
Liabilities | ||||
Futures contracts | $ 3,897 | $0 | $0 | $ 3,897 |
Total liabilities | $ 3,897 | $0 | $0 | $ 3,897 |
Average daily net assets | Advisory fee |
First $5 billion | 0.100% |
Next $5 billion | 0.080 |
Over $10 billion | 0.060 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Factor Enhanced U.S. Small Cap Equity Portfolio
Investment objective | The Portfolio seeks long-term capital appreciation. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Dennis Beinn, CFA®‡, Harindra de Silva, Ph.D., CFA®‡, Monisha Jayakumar |
Holdings (%) as of February 28, 20211 | |
Penn National Gaming Incorporated | 0.63 |
Novavax Incorporated | 0.56 |
Plug Power Incorporated | 0.51 |
Digital Turbine Incorporated | 0.43 |
Halozyme Therapeutics Incorporated | 0.42 |
Darling Ingredients Incorporated | 0.39 |
Emergent BioSolutions Incorporated | 0.37 |
Natera Incorporated | 0.36 |
Lithia Motors Incorporated Class A | 0.36 |
MicroStrategy Incorporated Class A | 0.36 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Sector allocation as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Shares | Value | ||||
Common stocks: 96.41% | |||||
Communication services: 1.90% | |||||
Diversified telecommunication services: 0.44% | |||||
Cogent Communications Group Incorporated | 1,241 | $ 74,274 | |||
Consolidated Communications Holdings Incorporated † | 11,181 | 58,812 | |||
IDT Corporation Class B † | 9,694 | 174,007 | |||
Intelsat SA † | 4,485 | 1,973 | |||
Iridium Communications Incorporated † | 7,651 | 293,110 | |||
Ooma Incorporated † | 5,269 | 83,250 | |||
Orbcomm Incorporated † | 3,909 | 29,826 | |||
Vonage Holdings Corporation † | 15,397 | 203,548 | |||
918,800 | |||||
Entertainment: 0.14% | |||||
Akazoo SA ♦† | 5,400 | 0 | |||
Gaia Incorporated † | 15,183 | 144,542 | |||
IMAX Corporation † | 3,618 | 74,784 | |||
Livexlive Media Incorporated † | 17,118 | 67,958 | |||
287,284 | |||||
Interactive media & services: 0.33% | |||||
Actua Corporation ♦† | 9,483 | 0 | |||
Cars.com Incorporated † | 14,583 | 170,184 | |||
DHI Group Incorporated † | 3,423 | 10,646 | |||
EverQuote Incorporated Class A † | 2,209 | 108,197 | |||
QuinStreet Incorporated † | 6,487 | 154,974 | |||
TrueCar Incorporated † | 8,811 | 47,756 | |||
Yelp Incorporated † | 5,222 | 196,922 | |||
688,679 | |||||
Media: 0.89% | |||||
AMC Networks Incorporated Class A † | 2,530 | 165,943 | |||
Cardlytics Incorporated † | 779 | 103,163 | |||
Fluent Incorporated † | 14,892 | 94,266 | |||
Gray Television Incorporated † | 6,260 | 113,619 | |||
Meredith Corporation | 4,046 | 100,260 | |||
MSG Networks Incorporated Class A † | 31,814 | 539,565 | |||
TechTarget Incorporated † | 4,295 | 359,191 | |||
Tegna Incorporated | 17,530 | 319,572 | |||
WideOpenWest Incorporated † | 5,552 | 78,006 | |||
1,873,585 | |||||
Wireless telecommunication services: 0.10% | |||||
Boingo Wireless Incorporated † | 396 | 4,514 | |||
Gogo Incorporated † | 491 | 5,818 | |||
NII Holdings Incorporated ♦‡† | 14,979 | 23,068 | |||
Shenandoah Telecommunications Company | 3,968 | 175,981 | |||
209,381 | |||||
Consumer discretionary: 13.03% | |||||
Auto components: 1.65% | |||||
Adient plc † | 11,678 | 433,020 | |||
Cooper Tire & Rubber Company | 9,110 | 521,456 | |||
Dana Incorporated | 20,670 | 492,153 |
Shares | Value | ||||
Auto components (continued) | |||||
Dorman Products Incorporated † | 2,179 | $ 217,268 | |||
Fox Factory Holding Corporation † | 2,003 | 254,681 | |||
Gentherm Incorporated † | 2,800 | 198,212 | |||
LCI Industries | 1,904 | 268,350 | |||
Modine Manufacturing Company † | 4,975 | 69,003 | |||
Motorcar Parts of America Incorporated † | 1,258 | 26,770 | |||
Patrick Industries Incorporated | 3,943 | 311,221 | |||
The Goodyear Tire & Rubber Company † | 15,233 | 256,067 | |||
Visteon Corporation † | 1,635 | 207,923 | |||
Xpel Incorporated † | 3,986 | 192,723 | |||
3,448,847 | |||||
Automobiles: 0.11% | |||||
Winnebago Industries Incorporated | 3,323 | 231,281 | |||
Distributors: 0.09% | |||||
Core Mark Holding Company Incorporated | 5,909 | 192,515 | |||
Diversified consumer services: 0.29% | |||||
Adtalem Global Education Incorporated † | 3,755 | 147,572 | |||
American Public Education Incorporated † | 1,054 | 31,030 | |||
Contra Technologies ♦† | 1,776 | 22,378 | |||
Stride Incorporated † | 4,209 | 101,226 | |||
Universal Technical Institute Incorporated † | 2,900 | 17,777 | |||
Ww International Incorporated † | 9,496 | 280,037 | |||
600,020 | |||||
Hotels, restaurants & leisure: 4.31% | |||||
Bally's Corporation | 1,731 | 103,029 | |||
Biglari Holdings Incorporated A † | 64 | 37,475 | |||
Biglari Holdings Incorporated Class B † | 455 | 53,299 | |||
BJ's Restaurants Incorporated † | 2,130 | 118,279 | |||
Bloomin' Brands Incorporated | 7,406 | 183,965 | |||
Bluegreen Vacations Corporation | 3,557 | 28,456 | |||
Boyd Gaming Corporation † | 6,646 | 390,120 | |||
Brinker International Incorporated | 6,625 | 454,409 | |||
Caesars Entertainment Incorporated † | 3,252 | 303,867 | |||
Carrols Restaurant Group Incorporated † | 6,943 | 42,908 | |||
Churchill Downs Incorporated | 2,338 | 539,213 | |||
Chuy's Holding Incorporated † | 2,068 | 84,788 | |||
Cracker Barrel Old Country Store Incorporated | 2,371 | 367,197 | |||
Denny's Corporation † | 4,508 | 79,115 | |||
Dine Brands Global Incorporated | 3,371 | 266,680 | |||
El Pollo Loco Holdings Incorporated † | 1,367 | 25,057 | |||
Fiesta Restaurant Group Incorporated † | 4,060 | 61,956 | |||
GAN Limited † | 3,625 | 92,583 | |||
Golden Entertainment Incorporated † | 624 | 14,745 | |||
Hilton Grand Vacations Incorporated † | 8,882 | 350,928 | |||
International Game Technology | 15,716 | 287,446 | |||
Jack In The Box Incorporated | 2,804 | 286,989 | |||
Marriott Vacations Worldwide Corporation | 3,434 | 582,784 | |||
Monarch Casino & Resort Incorporated † | 2,329 | 157,580 | |||
Noodles & Company † | 6,173 | 58,273 | |||
Papa John's International Incorporated | 5,520 | 497,849 | |||
Penn National Gaming Incorporated † | 11,392 | 1,318,966 | |||
RCI Hospitality Holdings Incorporated | 611 | 39,257 |
Shares | Value | ||||
Hotels, restaurants & leisure (continued) | |||||
Red Rock Resorts Incorporated Class A | 9,626 | $ 290,416 | |||
Ruth's Chris Steak House Incorporated | 4,338 | 98,928 | |||
Scientific Games Corporation † | 7,431 | 347,994 | |||
SeaWorld Entertainment Incorporated † | 4,036 | 200,428 | |||
Shake Shack Incorporated Class A † | 1,706 | 202,127 | |||
Texas Roadhouse Incorporated | 6,757 | 614,076 | |||
The Cheesecake Factory Incorporated | 2,372 | 130,341 | |||
Wingstop Incorporated | 2,215 | 301,572 | |||
9,013,095 | |||||
Household durables: 1.85% | |||||
Beazer Homes Incorporated † | 8,392 | 148,287 | |||
Century Communities Incorporated † | 4,533 | 250,811 | |||
GoPro Incorporated Class A † | 13,564 | 102,001 | |||
Green Brick Partners Incorporated † | 6,869 | 135,525 | |||
Hamilton Beach Brand Class A | 7,945 | 139,594 | |||
Helen of Troy Limited † | 1,015 | 220,052 | |||
Installed Building Products † | 847 | 92,628 | |||
iRobot Corporation † | 1,965 | 243,876 | |||
KB Home Incorporated | 6,232 | 251,648 | |||
La-Z-Boy Incorporated | 1,363 | 58,077 | |||
LGI Homes Incorporated † | 2,312 | 252,586 | |||
M/I Homes Incorporated † | 4,994 | 249,201 | |||
MDC Holdings Incorporated | 4,101 | 231,994 | |||
Meritage Corporation † | 2,673 | 225,361 | |||
Skyline Champion Corporation † | 1,822 | 80,624 | |||
Taylor Morrison Home Corporation † | 6,359 | 174,936 | |||
TopBuild Corporation † | 2,406 | 458,126 | |||
TRI Pointe Homes Incorporated † | 11,504 | 218,576 | |||
Tupperware Brands Corporation † | 7,018 | 214,540 | |||
Turtle Beach Corporation † | 1,608 | 48,079 | |||
Universal Electronics Incorporated † | 1,306 | 75,996 | |||
3,872,518 | |||||
Internet & direct marketing retail: 0.58% | |||||
1-800-Flowers.com Incorporated Class A † | 7,767 | 219,651 | |||
CarParts.com Incorporated † | 2,591 | 45,938 | |||
Lands End Incorporated † | 4,258 | 140,684 | |||
Overstock.com Incorporated | 4,329 | 290,779 | |||
PetMed Express Incorporated | 1,435 | 49,809 | |||
Shutterstock Incorporated | 1,637 | 144,433 | |||
Stitch Fix Incorporated Class A † | 4,353 | 332,177 | |||
1,223,471 | |||||
Leisure products: 0.53% | |||||
Escalade Incorporated | 2,015 | 39,816 | |||
Johnson Outdoors Incorporated Class A | 293 | 35,359 | |||
Malibu Boats Incorporated Class A † | 2,174 | 162,050 | |||
Mastercraft Boat Holdings Incorporated † | 1,221 | 31,294 | |||
Nautilus Incorporated † | 9,630 | 177,288 | |||
Smith & Wesson Brands Incorporated | 4,812 | 82,815 | |||
Sturm, Ruger & Company Incorporated | 1,690 | 115,258 | |||
Vista Outdoor Incorporated † | 10,202 | 322,485 | |||
YETI Holdings Incorporated † | 2,021 | 138,984 | |||
1,105,349 |
Shares | Value | ||||
Multiline retail: 0.13% | |||||
Big Lots Stores Incorporated | 2,797 | $ 177,721 | |||
Macy's Incorporated | 6,352 | 96,614 | |||
274,335 | |||||
Specialty retail: 2.55% | |||||
Aaron's Incorporated † | 1,802 | 39,572 | |||
America's Car-Mart Incorporated † | 597 | 80,595 | |||
Asbury Automotive Group Incorporated † | 2,715 | 460,057 | |||
Bed Bath & Beyond Incorporated | 8,935 | 239,994 | |||
Boot Barn Holdings Incorporated † | 1,585 | 95,766 | |||
Camping World Holdings Incorporated Class A | 6,412 | 200,696 | |||
Envela Corporation † | 23,288 | 122,262 | |||
Group 1 Automotive Incorporated | 1,479 | 225,459 | |||
Haverty Furniture Companies Incorporated | 1,207 | 43,657 | |||
Hibbett Sports Incorporated † | 1,504 | 96,647 | |||
Lithia Motors Incorporated Class A | 2,034 | 760,614 | |||
Lumber Liquidators Holdings Incorporated † | 2,124 | 52,611 | |||
MarineMax Incorporated † | 8,487 | 378,945 | |||
Murphy USA Incorporated | 3,570 | 445,001 | |||
National Vision Holdings Incorporated † | 2,467 | 117,158 | |||
ODP Corporation | 3,742 | 143,206 | |||
Onewater Marine Incorporated Class A † | 4,807 | 171,177 | |||
Rent-A-Center Incorporated | 3,473 | 200,600 | |||
Restoration Hardware Holdings Incorporated † | 816 | 400,142 | |||
Shoe Carnival Incorporated | 579 | 28,348 | |||
Sleep Number Corporation † | 2,095 | 287,287 | |||
Sonic Automotive Incorporated Class A | 5,101 | 235,207 | |||
The Buckle Incorporated | 3,745 | 143,958 | |||
The Michaels Companies Incorporated † | 18,992 | 284,880 | |||
Urban Outfitters Incorporated † | 1,279 | 43,358 | |||
Winmark Corporation | 81 | 14,296 | |||
Zumiez Incorporated † | 811 | 36,560 | |||
5,348,053 | |||||
Textiles, apparel & luxury goods: 0.94% | |||||
Crocs Incorporated † | 7,345 | 563,508 | |||
Deckers Outdoor Corporation † | 1,911 | 623,196 | |||
G-III Apparel Group Limited † | 3,266 | 94,028 | |||
Kontoor Brands Incorporated | 3,706 | 156,579 | |||
Lakeland Industries Incorporated † | 3,193 | 100,228 | |||
Rocky Brands Incorporated | 506 | 22,057 | |||
Steven Madden Limited | 2,379 | 87,999 | |||
Superior Uniform Group Incorporated | 7,358 | 175,268 | |||
Wolverine World Wide Incorporated | 4,271 | 149,271 | |||
1,972,134 | |||||
Consumer staples: 2.69% | |||||
Beverages: 0.21% | |||||
Celsius Holdings Incorporated † | 3,191 | 189,960 | |||
Coca Cola Bottling Corporation | 646 | 165,802 | |||
MGP Ingredients Incorporated | 84 | 5,366 | |||
Newage Incorporated † | 8,908 | 23,428 | |||
Primo Water Corporation | 4,495 | 64,234 | |||
448,790 |
Shares | Value | ||||
Food & staples retailing: 0.48% | |||||
Ingles Markets Incorporated Class A | 2,397 | $ 124,548 | |||
Performance Food Group Company † | 8,116 | 440,212 | |||
Pricesmart Incorporated | 915 | 88,252 | |||
SpartanNash Company | 3,465 | 63,167 | |||
The Andersons Incorporated | 1,514 | 39,576 | |||
United Natural Foods Incorporated † | 7,555 | 199,830 | |||
Weis Markets Incorporated | 1,064 | 56,871 | |||
1,012,456 | |||||
Food products: 1.32% | |||||
B&G Foods Incorporated | 11,666 | 353,830 | |||
Cal-Maine Foods Incorporated † | 2,649 | 100,927 | |||
Darling Ingredients Incorporated † | 12,951 | 816,431 | |||
Dean Foods Company † | 6,152 | 327 | |||
Freshpet Incorporated † | 3,216 | 501,310 | |||
Hostess Brands Incorporated † | 7,568 | 108,904 | |||
John B. Sanfilippo & Son Incorporated | 3,145 | 271,917 | |||
Lancaster Colony Corporation | 1,894 | 330,825 | |||
Seneca Foods Corporation Class A † | 5,012 | 272,954 | |||
2,757,425 | |||||
Household products: 0.14% | |||||
Central Garden & Pet Company † | 698 | 31,829 | |||
Central Garden & Pet Company Class A † | 1,654 | 68,658 | |||
WD-40 Company | 611 | 190,479 | |||
290,966 | |||||
Personal products: 0.46% | |||||
Bellring Brands Incorporated Class A † | 3,127 | 71,045 | |||
Edgewell Personal Care Company | 3,957 | 121,045 | |||
Elf Beauty Incorporated † | 1,643 | 42,143 | |||
Medifast Incorporated | 1,619 | 409,591 | |||
USANA Health Sciences Incorporated † | 3,314 | 321,657 | |||
965,481 | |||||
Tobacco: 0.08% | |||||
Turning Point Brands Incorporated | 296 | 14,563 | |||
Universal Corporation | 109 | 5,539 | |||
Vector Group Limited | 10,635 | 145,168 | |||
165,270 | |||||
Energy: 2.56% | |||||
Energy equipment & services: 1.09% | |||||
Archrock Incorporated | 9,631 | 99,296 | |||
Aspen Aerogels Incorporated † | 1,571 | 34,955 | |||
Bristow Group Incorporated † | 574 | 15,280 | |||
Cactus Incorporated Class A | 13,036 | 415,457 | |||
ChampionX Corporation † | 4,270 | 90,823 | |||
DMC Global Incorporated | 2,489 | 156,782 | |||
Helix Energy Solutions Group Incorporated † | 64,421 | 315,663 | |||
Liberty Oilfield Services Class A | 6,935 | 81,070 | |||
National Energy Services Reunited Corporation † | 25,711 | 340,671 | |||
Newpark Resources Incorporated † | 8,789 | 30,410 |
Shares | Value | ||||
Energy equipment & services (continued) | |||||
ProPetro Holding Corporation † | 52,181 | $ 598,516 | |||
Solaris Oilfield Infrastructure Incorporated Class A | 8,219 | 97,066 | |||
2,275,989 | |||||
Oil, gas & consumable fuels: 1.47% | |||||
Adams Resources & Energy Incorporated | 5,276 | 153,532 | |||
Antero Resources Corporation † | 7,395 | 66,555 | |||
Arch Resources Incorporated | 1,648 | 78,972 | |||
Bonanza Creek Energy Incorporated † | 1,402 | 44,766 | |||
Clean Energy Fuels Corporation † | 26,952 | 351,454 | |||
CNX Resources Corporation † | 13,609 | 171,609 | |||
Dorian LPG Limited † | 21,204 | 263,990 | |||
Earthstone Energy Incorporated Class A † | 41,823 | 296,107 | |||
Evolution Petroleum Corporation | 7,370 | 26,164 | |||
Falcon Minerals Corporation | 27,935 | 110,343 | |||
Goodrich Petroleum Corporation † | 8,234 | 79,952 | |||
Green Plains Renewable Energy Incorporated † | 2,609 | 66,060 | |||
Gulfport Energy Corporation † | 633,043 | 55,581 | |||
International Seaways Incorporated | 2,453 | 42,535 | |||
Matador Resources Company † | 2,954 | 61,709 | |||
Nordic American Tankers Limited | 10,912 | 32,409 | |||
Range Resources Corporation † | 22,992 | 221,643 | |||
Renewable Energy Group Incorporated † | 6,827 | 530,936 | |||
Southwestern Energy Company † | 49,860 | 201,933 | |||
Talos Energy Incorporated † | 1,149 | 12,168 | |||
W&T Offshore Incorporated † | 9,670 | 31,814 | |||
Whiting Petroleum Corporation † | 27 | 926 | |||
World Fuel Services Corporation | 5,912 | 183,745 | |||
3,084,903 | |||||
Financials: 14.26% | |||||
Banks: 6.72% | |||||
1st Source Corporation | 1,733 | 76,893 | |||
Altabancorp | 2,579 | 88,769 | |||
Ameris Bancorp | 2,347 | 111,811 | |||
Atlantic Capital Bancshares † | 500 | 10,175 | |||
Atlantic Union Bankshares Corporation | 1,777 | 65,269 | |||
Banc of California Incorporated | 3,368 | 62,510 | |||
BancFirst Corporation | 987 | 63,050 | |||
BancorpSouth Bank | 7,048 | 211,863 | |||
Bank of N.T. Butterfield & Son Limited | 4,557 | 166,285 | |||
Bank7 Corporation | 8,592 | 140,307 | |||
BankUnited Incorporated | 11,107 | 446,390 | |||
Bankwell Financial Group Incorporated | 661 | 16,393 | |||
Banner Corporation | 2,524 | 130,693 | |||
Baycom Corporation † | 791 | 13,518 | |||
Byline Bancorp Incorporated | 1,135 | 22,609 | |||
Capital Bancorp Incorporated † | 1,760 | 28,072 | |||
Capital City Bank Group Incorporated | 570 | 14,073 | |||
Cathay General Bancorp | 6,279 | 236,342 | |||
Central Valley Community Bancorp | 2,720 | 48,062 | |||
Chemung Financial Corporation | 853 | 30,034 | |||
City Holding Company | 1,371 | 103,113 | |||
Civista Bancshares Incorporated | 2,573 | 49,479 | |||
Coastal Financial Corporation † | 2,644 | 74,032 |
Shares | Value | ||||
Banks (continued) | |||||
Columbia Banking System Incorporated | 3,355 | $ 148,593 | |||
Community Bank System Incorporated | 2,085 | 148,431 | |||
Community Bankers Trust Corporation | 8,736 | 67,791 | |||
Community Trust Bancorp | 1,686 | 68,890 | |||
ConnectOne Bancorp Incorporated | 6,243 | 145,025 | |||
County Bancorp Incorporated | 903 | 20,417 | |||
Customers Bancorp Incorporated † | 7,937 | 212,553 | |||
CVB Financial Corporation | 8,134 | 174,149 | |||
Eagle Bancorp Incorporated | 4,934 | 241,223 | |||
Eagle Bancorp Montana Incorporated | 9,343 | 203,397 | |||
Enterprise Financial Service | 1,011 | 43,473 | |||
Esquire Financial Holdings Class I † | 490 | 10,937 | |||
Farmers National Banc Corporation | 3,018 | 41,769 | |||
FB Financial Corporation | 362 | 15,352 | |||
Financial Institutions Incorporated | 4,313 | 118,090 | |||
First Bancorp of North Carolina | 3,032 | 122,099 | |||
First Bancorp of Puerto Rico | 20,450 | 214,521 | |||
First Bancshares Incorporated | 509 | 16,324 | |||
First Busey Corporation | 2,403 | 55,005 | |||
First Business Financial Service | 4,891 | 108,580 | |||
First Choice Bancorp | 928 | 18,365 | |||
First Commonwealth Financial Corporation | 2,914 | 39,077 | |||
First Financial Bancorp | 6,727 | 150,887 | |||
First Financial Bankshares Incorporated | 4,015 | 179,310 | |||
First Foundation Incorporated | 10,349 | 236,475 | |||
First Guaranty Bancshares Incorporated | 347 | 5,746 | |||
First Internet Bancorp | 5,068 | 165,977 | |||
First Interstate BancSystem Class A | 5,811 | 263,936 | |||
First Merchants Corporation | 2,493 | 104,831 | |||
First Mid-Illinois Bancshares | 1,047 | 38,100 | |||
First Midwest Bancorp Incorporated | 4,783 | 94,608 | |||
First Savings Financial Group Incorporated | 1,382 | 86,389 | |||
First Western Financial Incorporated † | 432 | 7,884 | |||
Flushing Financial Corporation | 668 | 13,861 | |||
German American Bancorp | 720 | 28,368 | |||
Glacier Bancorp Incorporated | 5,456 | 295,715 | |||
Great Southern Bancorp Incorporated | 221 | 11,667 | |||
Guaranty Bancshares Incorporated | 202 | 6,161 | |||
Hancock Holding Company | 159 | 6,002 | |||
Hanmi Financial Corporation | 2,462 | 42,149 | |||
HBT Financial Incorporated | 2,952 | 47,645 | |||
Heartland Financial USA Incorporated | 1,757 | 82,122 | |||
Hilltop Holdings Incorporated | 11,552 | 381,678 | |||
Home BancShares Incorporated | 12,540 | 306,478 | |||
Hope Bancorp Incorporated | 14,080 | 185,293 | |||
Horizon Bancorp Indiana | 7,349 | 131,253 | |||
Independent Bank Corporation | 9,668 | 199,838 | |||
Independent Bank Corporation | 1,872 | 160,075 | |||
Independent Bank Group Incorporated | 3,460 | 241,127 | |||
International Bancshares Corporation | 1,401 | 61,056 | |||
Investors Bancorp Incorporated | 20,688 | 275,978 | |||
Lakeland Bancorp Incorporated | 141 | 2,211 | |||
Lakeland Financial Corporation | 2,985 | 205,816 | |||
Landmark Bancorp Incorporated | 3,343 | 81,837 | |||
LCNB Corporation | 7,339 | 124,543 | |||
Limestone Bancorp Incorporated † | 4,240 | 63,854 |
Shares | Value | ||||
Banks (continued) | |||||
Live Oak Bancshares Incorporated | 3,042 | $ 167,645 | |||
Mackinac Financial Corporation | 626 | 8,075 | |||
Mercantile Bank Corporation | 1,117 | 32,661 | |||
Meridian Corporation | 7,811 | 190,901 | |||
Metrocity Bankshares Incorporated | 9,684 | 138,384 | |||
Metropolitan Bank Holding Corporation † | 1,938 | 100,253 | |||
Mid Penn Bancorp Incorporated | 487 | 11,454 | |||
Middlefield Banc Corporation | 3,377 | 75,543 | |||
MVB Financial Corporation | 867 | 28,264 | |||
National Bank Holdings Corporation Class A | 3,915 | 151,706 | |||
Nicolet Bankshares Incorporated † | 311 | 23,030 | |||
Northeast Bank | 7,578 | 196,801 | |||
Northrim BanCorp Incorporated | 518 | 19,938 | |||
Old National Bancorp | 10,035 | 181,935 | |||
Old Second Bancorp Incorporated | 10,530 | 126,044 | |||
Orrstown Financial Services Incorporated | 2,590 | 50,453 | |||
Park National Corporation | 1,657 | 205,468 | |||
Preferred Bank | 2,902 | 168,171 | |||
QCR Holdings Incorporated | 4,934 | 204,268 | |||
RBB Bancorp | 2,465 | 46,342 | |||
Red River BancShares Incorporated | 85 | 4,412 | |||
Renasant Corporation | 4,089 | 160,616 | |||
Salisbury Bancorp Incorporated | 2,243 | 91,537 | |||
Sandy Spring Bancorp Incorporated | 1,503 | 56,483 | |||
SB Financial Group Incorporated | 494 | 8,541 | |||
Seacoast Banking Corporation † | 3,718 | 133,662 | |||
ServisFirst Bancshares Incorporated | 4,968 | 246,214 | |||
Shore Bancshares Incorporated | 2,306 | 35,282 | |||
Sierra Bancorp | 3,534 | 84,286 | |||
Silvergate Capital Corporation Class A † | 2,341 | 298,618 | |||
Simmons First National Corporation Class A | 2,339 | 68,486 | |||
South Plains Financial Incorporated | 3,055 | 58,962 | |||
Stock Yards Bancorp Incorporated | 1,471 | 72,476 | |||
Texas Capital Bancshares Incorporated † | 2,595 | 197,739 | |||
The Bancorp Incorporated † | 18,959 | 384,299 | |||
Towne Bank | 576 | 16,612 | |||
TriCo Bancshares | 1,319 | 56,809 | |||
TriState Capital Holdings Incorporated † | 651 | 14,940 | |||
Triumph Bancorp Incorporated † | 2,483 | 190,446 | |||
Trustmark Corporation | 3,427 | 103,358 | |||
UMB Financial Corporation | 2,510 | 211,769 | |||
United Bankshares Incorporated | 4,556 | 168,344 | |||
United Community Bank | 6,148 | 203,253 | |||
Unity Bancorp Incorporated | 9,287 | 184,347 | |||
Veritex Holdings Incorporated | 3,387 | 98,494 | |||
Washington Trust Bancorp | 395 | 18,782 | |||
West Bancorporation | 1,752 | 39,998 | |||
14,068,774 | |||||
Capital markets: 1.83% | |||||
Artisan Partners Asset Management Incorporated Class A | 7,925 | 376,438 | |||
BGC Partners Incorporated Class A | 31,457 | 140,927 | |||
BrightSphere Investment Group Incorporated | 20,814 | 376,733 | |||
Cohen & Steers Incorporated | 2,217 | 142,730 | |||
Cowen Incorporated Class A | 8,083 | 273,610 | |||
Diamond Hill Investment Group | 295 | 41,846 |
Shares | Value | ||||
Capital markets (continued) | |||||
Donnelley Financial Solutions † | 6,190 | $ 160,878 | |||
Federated Investors Incorporated Class B | 8,615 | 230,193 | |||
Focus Financial Partners Class A † | 1,977 | 92,939 | |||
Gamco Investors Incorporated Class A | 9,392 | 178,448 | |||
Hamilton Lane Incorporated Class A | 1,955 | 174,777 | |||
Houlihan Lokey Incorporated | 4,419 | 280,872 | |||
Moelis Company Class A | 2,527 | 130,494 | |||
Piper Jaffray Companies Incorporated | 530 | 56,350 | |||
PJT Partners Incorporated Class A | 3,497 | 243,811 | |||
Pzena Investment Management Class A | 11,177 | 103,052 | |||
Silvercrest Asset Management Group Incorporated Class A | 13,229 | 185,735 | |||
Stifel Financial Corporation | 5,283 | 322,686 | |||
Stonex Group Incorporated † | 1,186 | 68,420 | |||
Virtus Investment Partners Incorporated | 1,002 | 251,402 | |||
3,832,341 | |||||
Consumer finance: 0.51% | |||||
Curo Group Holdings Corporation | 1,552 | 22,457 | |||
Encore Capital Group Incorporated † | 2,263 | 75,629 | |||
Enova International Incorporated † | 9,423 | 289,286 | |||
Green Dot Corporation Class A † | 4,144 | 195,845 | |||
Nelnet Incorporated Class A | 1,182 | 85,813 | |||
PRA Group Incorporated † | 3,868 | 142,574 | |||
PROG Holdings Incorporated | 3,606 | 180,300 | |||
Regional Management Corporation | 2,147 | 69,498 | |||
1,061,402 | |||||
Diversified financial services: 0.01% | |||||
A-Mark Precious Metals Incorporated | 364 | 10,352 | |||
Equity REITs: 0.04% | |||||
New York REIT Liquidating LLC ♦‡† | 4,209 | 72,313 | |||
Insurance: 1.92% | |||||
American Equity Investment Life Holding Company | 12,906 | 356,593 | |||
Amerisafe Incorporated | 2,033 | 118,971 | |||
CNO Financial Group Incorporated | 21,896 | 526,818 | |||
Crawford & Company Class A | 1,713 | 16,102 | |||
Donegal Group Incorporated Class A | 12,376 | 169,551 | |||
eHealth Incorporated † | 1,925 | 114,384 | |||
Enstar Group Limited † | 430 | 91,414 | |||
Genworth Financial Incorporated Class A † | 56,098 | 175,026 | |||
Goosehead Insurance Incorporated Class A | 1,852 | 239,908 | |||
Greenlight Capital Limited † | 11,898 | 92,685 | |||
HCI Group Incorporated | 2,978 | 172,337 | |||
Heritage Insurance Holdings Incorporated | 14,402 | 139,843 | |||
Horace Mann Educators Corporation | 2,143 | 82,591 | |||
Investors Title Company | 480 | 72,850 | |||
James River Group Holdings Limited | 1,635 | 75,063 | |||
Kinsale Capital Group Incorporated | 1,399 | 246,308 | |||
Palomar Holdings Incorporated † | 896 | 76,276 | |||
RLI Corporation | 2,168 | 226,209 | |||
Selective Insurance Group Incorporated | 4,242 | 287,735 | |||
Stewart Information Services Corporation | 8,280 | 390,816 |
Shares | Value | ||||
Insurance (continued) | |||||
Third Point Reinsurance Limited † | 7,034 | $ 71,817 | |||
Trupanion Incorporated † | 2,950 | 285,442 | |||
4,028,739 | |||||
Mortgage REITs: 1.49% | |||||
Apollo Commercial Real Estate Finance Incorporated | 2,536 | 33,703 | |||
Arbor Realty Trust Incorporated | 18,674 | 311,296 | |||
Ares Commercial Real Estate | 1,498 | 20,687 | |||
Arlington Asset Investment Class A † | 2,431 | 9,748 | |||
Armour Residential REIT Incorporated | 4,640 | 56,005 | |||
Blackstone Mortgage Trust Incorporated Class A | 12,099 | 353,291 | |||
Broadmark Realty Capital Incorporated REIT | 12,497 | 128,219 | |||
Capstead Mortgage Corporation | 6,826 | 39,113 | |||
Cherry Hill Mortgage Investment REIT | 1,098 | 10,782 | |||
Chimera Investment Corporation | 17,430 | 201,142 | |||
Colony Credit Real Estate Incorporated REIT | 454 | 3,746 | |||
Dynex Capital Incorporated REIT | 24,089 | 453,355 | |||
Ellington Financial Incorporated | 1,997 | 31,393 | |||
Ellington Residential Mortgage REIT | 26,397 | 323,363 | |||
Great Ajax Corporation REIT | 1,984 | 22,320 | |||
Hannon Armstrong Sustainable Infrastructure Capital Incorporated | 7,898 | 444,105 | |||
KKR Real Estate Finance Trust | 12,876 | 237,305 | |||
New York Mortgage Trust Incorporated | 2,634 | 10,984 | |||
Orchid Island Capital Incorporated REIT | 6,658 | 38,150 | |||
PennyMac Mortgage Investment Trust | 9,613 | 182,359 | |||
Ready Capital Corporation | 3,068 | 40,252 | |||
Two Harbors Investment Corporation | 24,013 | 173,374 | |||
3,124,692 | |||||
Thrifts & mortgage finance: 1.74% | |||||
Axos Financial Incorporated † | 6,680 | 309,084 | |||
Essent Group Limited | 8,009 | 330,211 | |||
Federal Agricultural Mortgage Corporation Class C | 644 | 55,545 | |||
Flagstar Bancorp Incorporated | 6,927 | 300,563 | |||
FS Bancorp Incorporated | 828 | 50,202 | |||
Homestreet Incorporated | 5,097 | 218,967 | |||
Merchants Bancorp Incorporated | 7,668 | 260,942 | |||
Meta Financial Group Incorporated | 4,119 | 182,431 | |||
Mr. Cooper Group Incorporated † | 23,559 | 740,931 | |||
NMI Holdings Incorporated Class A † | 8,145 | 186,195 | |||
PennyMac Financial Services Incorporated | 4,770 | 282,432 | |||
Radian Group Incorporated | 17,561 | 358,244 | |||
Riverview Bancorp Incorporated | 267 | 1,762 | |||
Security National Financial Corporation Class A † | 1,059 | 9,542 | |||
Walker & Dunlop Incorporated | 3,259 | 324,792 | |||
Waterstone Financial Incorporated | 1,897 | 36,859 | |||
3,648,702 | |||||
Health care: 21.66% | |||||
Biotechnology: 11.58% | |||||
Abeona Therapeutics Incorporated † | 2,199 | 5,322 | |||
Aduro Biotech Incorporated ♦† | 9,490 | 0 | |||
Adverum Biotechnologies Incorporated † | 1,183 | 15,178 |
Shares | Value | ||||
Biotechnology (continued) | |||||
Affimed NV † | 6,488 | $ 36,787 | |||
Agenus Incorporated † | 35,884 | 143,536 | |||
Albireo Pharma Incorporated † | 1,475 | 51,419 | |||
Allogene Therapeutics Incorporated † | 274 | 9,511 | |||
Amicus Therapeutics Incorporated † | 18,697 | 229,599 | |||
Anaptysbio Incorporated † | 1,311 | 37,626 | |||
Apellis Pharmaceuticals Incorporated † | 516 | 24,856 | |||
Applied Genetic Technologies Corporation † | 1,213 | 6,162 | |||
Aravive Incorporated † | 17,890 | 121,831 | |||
Arcus Biosciences Incorporated † | 4,479 | 157,930 | |||
Arena Pharmaceuticals Incorporated † | 3,744 | 300,830 | |||
Arrowhead Pharmaceuticals Incorporated † | 4,385 | 349,309 | |||
Atara Biotherapeutics Incorporated † | 2,499 | 41,933 | |||
Athenex Incorporated † | 7,650 | 92,565 | |||
Atreca Incorporated Class A † | 772 | 13,394 | |||
Aveo Pharmaceuticals Incorporated † | 1,571 | 12,976 | |||
Avid Bioservices Incorporated † | 16,402 | 337,553 | |||
BeyondSpring Incorporated † | 108 | 1,402 | |||
Biocryst Pharmaceuticals Incorporated † | 15,728 | 169,548 | |||
Biohaven Pharmaceutical Holding Company † | 1,312 | 111,494 | |||
Bioxcel Therapeutics Incorporated † | 1,156 | 61,973 | |||
Blueprint Medicines Corporation † | 3,838 | 376,968 | |||
Bridgebio Pharma Incorporated † | 3,539 | 250,137 | |||
Calyxt Incorporated † | 20,314 | 193,796 | |||
CareDx Incorporated † | 7,118 | 562,891 | |||
Casi Pharmaceuticals Incorporated † | 17,004 | 41,830 | |||
Catalyst Biosciences Incorporated † | 26,113 | 157,461 | |||
Catalyst Pharmaceuticals Incorporated † | 7,440 | 28,942 | |||
Centogene NV † | 2,487 | 28,750 | |||
Checkpoint Therapeutics Incorporated † | 4,304 | 13,816 | |||
Chemocentryx Incorporated † | 3,682 | 249,787 | |||
Chimerix Incorporated † | 44,574 | 437,271 | |||
Chinook Therapeutics Incorporated † | 994 | 16,441 | |||
Cohbar Incorporated † | 116,342 | 178,003 | |||
Coherus Biosciences Incorporated † | 5,353 | 86,933 | |||
Concert Pharmaceuticals Incorporated † | 2,227 | 14,899 | |||
Cue Biopharma Incorporated † | 139 | 1,892 | |||
Cytokinetics Incorporated † | 4,793 | 89,773 | |||
CytomX Therapeutics Incorporated † | 4,522 | 35,498 | |||
Denali Therapeutics Incorporated † | 5,847 | 419,815 | |||
Dicerna Pharmaceuticals Incorporated † | 4,843 | 130,664 | |||
Dyadic International Incorporated † | 2,003 | 10,636 | |||
Dynavax Technologies Corporation † | 14,160 | 123,900 | |||
Editas Medicine Incorporated † | 5,434 | 238,335 | |||
Emergent BioSolutions Incorporated † | 8,046 | 772,416 | |||
Fate Therapeutics Incorporated † | 6,905 | 619,517 | |||
Fennec Pharmaceuticals Incorporated † | 42,785 | 313,186 | |||
Fibrogen Incorporated † | 7,369 | 368,671 | |||
Five Prime Therapeutics Incorporated † | 13,734 | 305,307 | |||
Flexion Therapeutics Incorporated † | 4,207 | 46,361 | |||
Fortress Biotech Incorporated † | 30,287 | 112,668 | |||
Genprex Incorporated † | 1,527 | 7,879 | |||
Geron Corporation † | 100 | 179 | |||
GlycoMimetics Incorporated † | 9,623 | 31,948 | |||
Halozyme Therapeutics Incorporated † | 19,423 | 878,891 | |||
Heron Therapeutics Incorporated † | 9,766 | 176,569 |
Shares | Value | ||||
Biotechnology (continued) | |||||
Hookipa Pharma Incorporated † | 1,461 | $ 17,298 | |||
Immunic Incorporated † | 3,585 | 57,181 | |||
Immunogen Incorporated † | 53,246 | 465,903 | |||
Insmed Incorporated † | 7,705 | 275,608 | |||
Intellia Therapeutics Incorporated † | 9,543 | 576,970 | |||
Invitae Corporation † | 8,799 | 353,104 | |||
Ironwood Pharmaceuticals Incorporated † | 64,117 | 591,800 | |||
Iveric Bio Incorporated † | 9,317 | 57,206 | |||
Jounce Therapeutics Incorporated † | 33,074 | 363,153 | |||
Kadmon Holdings Incorporated † | 12,470 | 57,237 | |||
KalVista Pharmaceuticals Incorporated † | 1,298 | 42,665 | |||
Karyopharm Therapeutics Incorporated † | 5,203 | 71,905 | |||
Kezar Life Sciences Incorporated † | 2,057 | 11,272 | |||
Kindred Biosciences Incorporated † | 11,014 | 49,673 | |||
Kiniksa Pharmaceuticals Limited Class A † | 15,206 | 312,787 | |||
Krystal Biotech Incorporated † | 43 | 3,392 | |||
Kura Oncology Incorporated † | 2,370 | 66,360 | |||
Ligand Pharmaceuticals Incorporated † | 3,743 | 554,787 | |||
Macrogenics Incorporated † | 16,068 | 401,861 | |||
Madrigal Pharmaceuticals Incorporated † | 1,103 | 133,673 | |||
Mannkind Corporation † | 21,668 | 123,724 | |||
Medicinova Incorporated † | 7,532 | 42,029 | |||
Mei Pharma Incorporated † | 10,353 | 38,824 | |||
Mersana Therapeutics Incorporated † | 3,937 | 71,575 | |||
Minerva Neurosciences Incorporated † | 22,214 | 68,863 | |||
Mirati Therapeutics Incorporated † | 2,355 | 473,167 | |||
Morphic Holding Incorporated † | 706 | 25,529 | |||
Myriad Genetics Incorporated † | 6,985 | 212,973 | |||
Nantkwest Incorporated † | 7,080 | 230,171 | |||
Natera Incorporated † | 6,571 | 762,827 | |||
Neubase Therapeutics Incorporated † | 743 | 7,044 | |||
Novavax Incorporated † | 5,039 | 1,165,168 | |||
OPKO Health Incorporated † | 29,701 | 133,655 | |||
Organogenesis Holdings Incorporated Class A † | 7,384 | 112,311 | |||
Orgenesis Incorporated † | 14,766 | 98,785 | |||
PDL BioPharma Incorporated ♦‡ | 91,928 | 227,062 | |||
Pfenex Incorporated ♦† | 2,991 | 0 | |||
Pieris Pharmaceuticals Incorporated † | 4,255 | 11,574 | |||
Precigen Incorporated † | 4,728 | 39,904 | |||
Protagonist Therapeutics Incorporated † | 2,349 | 55,366 | |||
ProTara Therapeutic Incorporated † | 203 | 3,492 | |||
Prothema Corporation plc † | 6,420 | 143,294 | |||
PTC Therapeutics Incorporated † | 4,505 | 257,236 | |||
Puma Biotechnology Incorporated † | 3,160 | 31,474 | |||
Radius Health Incorporated † | 16,787 | 312,406 | |||
Regenxbio Incorporated † | 3,340 | 136,639 | |||
Relay Therapeutics Incorporated † | 1,240 | 51,175 | |||
Revolution Medicines Incorporated † | 896 | 40,929 | |||
Rhythm Pharmaceuticals Incorporated † | 2,933 | 76,023 | |||
Rigel Pharmaceuticals Incorporated † | 16,142 | 66,989 | |||
Rocket Pharmaceuticals Incorporated † | 2,532 | 140,729 | |||
Sangamo Therapeutics Incorporated † | 8,597 | 98,780 | |||
Seres Therapeutics Incorporated † | 4,108 | 78,216 | |||
Sorrento Therapeutics Incorporated † | 20,685 | 200,024 | |||
Spectrum Pharmaceuticals Incorporated † | 8,657 | 29,694 | |||
Spero Therapeutics Incorporated † | 1,553 | 28,218 |
Shares | Value | ||||
Biotechnology (continued) | |||||
Springworks Therapeutics Incorporated † | 251 | $ 21,599 | |||
Sutro Biopharma Incorporated † | 12,599 | 279,698 | |||
TCR2 Therapeutics Incorporated † | 3,662 | 96,897 | |||
TG Therapeutics Incorporated † | 5,768 | 252,465 | |||
Translate Bio Incorporated † | 6,019 | 140,483 | |||
Travere Therapeutics Incorporated † | 18,623 | 573,961 | |||
Turning Point Therapeutics Incorporated † | 2,087 | 246,078 | |||
Twist Bioscience Corporation † | 4,605 | 633,832 | |||
Ultragenyx Pharmaceutical Incorporated † | 4,755 | 673,023 | |||
Vaxcyte Incorporated † | 3,582 | 84,392 | |||
VBI Vaccines Incorporated † | 20,617 | 69,479 | |||
Veracyte Incorporated † | 5,552 | 322,349 | |||
Verastem Incorporated † | 14,314 | 33,638 | |||
Vericel Corporation † | 8,037 | 388,026 | |||
Viking Therapeutics Incorporated † | 13,141 | 88,570 | |||
VTV Therapeutics Incorporated Class A † | 891 | 2,370 | |||
XBiotech Incorporated † | 14,786 | 280,934 | |||
Xencor Incorporated † | 5,691 | 280,396 | |||
Y-mAbs Therapeutics Incorporated † | 2,008 | 70,621 | |||
24,253,279 | |||||
Health care equipment & supplies: 3.46% | |||||
Accuray Incorporated † | 36,414 | 181,342 | |||
Alphatec Holdings Incorporated † | 2,527 | 40,558 | |||
Apyx Medical Corporation † | 5,639 | 58,928 | |||
Aspira Women’s Health Incorporated † | 13,456 | 93,250 | |||
Atricure Incorporated † | 3,821 | 249,397 | |||
Avanos Medical Incorporated † | 6,105 | 280,708 | |||
Axogen Incorporated † | 6,790 | 150,059 | |||
Axonics Modulation Technologies Incorporated † | 1,639 | 82,458 | |||
BioLife Solutions Incorporated † | 1,366 | 53,588 | |||
Cerus Corporation † | 12,968 | 79,624 | |||
Co-Diagnostics Incorporated † | 2,314 | 31,841 | |||
Conmed Corporation | 3,040 | 374,102 | |||
CryoLife Incorporated † | 3,427 | 86,532 | |||
Cryoport Incorporated † | 2,865 | 170,296 | |||
Cutera Incorporated † | 1,307 | 46,163 | |||
Cytosorbents Corporation † | 5,110 | 48,136 | |||
Electromed Incorporated † | 41,835 | 441,778 | |||
Fonar Corporation † | 5,789 | 112,249 | |||
Genmark Diagnostics Incorporated † | 3,343 | 65,356 | |||
Heska Corporation † | 320 | 60,288 | |||
Integer Holdings Corporation † | 2,376 | 209,539 | |||
Intersect ENT Incorporated † | 2,733 | 62,340 | |||
Intricon Corporation † | 7,285 | 167,264 | |||
Invacare Corporation | 15,647 | 142,388 | |||
iRhythm Technologies Incorporated † | 2,120 | 341,108 | |||
LeMaitre Vascular Incorporated | 3,829 | 196,772 | |||
Lensar Incorporated † | 2,280 | 20,611 | |||
LivaNova plc † | 3,675 | 284,960 | |||
Meridian Bioscience Incorporated † | 9,593 | 202,220 | |||
Merit Medical Systems Incorporated † | 8,846 | 492,899 | |||
Mesa Laboratories Incorporated | 34 | 9,245 | |||
Milestone Scientific Incorporated † | 3,846 | 15,076 | |||
Nemaura Medical Incorporated † | 3,652 | 22,679 | |||
Neogen Corporation † | 5,841 | 478,495 |
Shares | Value | ||||
Health care equipment & supplies (continued) | |||||
Nevro Corporation † | 2,545 | $ 420,383 | |||
Orthopediatrics Corporation † | 80 | 4,357 | |||
Pavmed Incorporated † | 3,135 | 13,167 | |||
Repro-Med Systems Incorporated † | 2,075 | 8,051 | |||
Retractable Technologies Incorporated † | 27,959 | 438,956 | |||
Seaspine Holdings Corporation † | 1,357 | 25,674 | |||
Shockwave Medical Incorporated † | 2,183 | 254,887 | |||
Silk Road Medical Incorporated † | 1,555 | 85,167 | |||
STAAR Surgical Company † | 3,983 | 414,272 | |||
Surmodics Incorporated † | 1,276 | 66,543 | |||
Utah Medical Products Incorporated | 1,688 | 142,467 | |||
Zynex Incorporated † | 1,813 | 26,325 | |||
7,252,498 | |||||
Health care providers & services: 2.60% | |||||
Addus Homecare Corporation † | 906 | 97,458 | |||
AMN Healthcare Services Incorporated † | 3,442 | 250,819 | |||
Apollo Medical Holdings Incorporated † | 445 | 11,014 | |||
Castle Biosciences Incorporated † | 872 | 66,342 | |||
Community Health Systems Incorporated † | 7,191 | 61,555 | |||
CorVel Corporation † | 492 | 49,938 | |||
Covetrus Incorporated † | 9,486 | 352,500 | |||
Five Star Senior Living Incorporated † | 51,295 | 342,651 | |||
Fulgent Genetics Incorporated † | 1,830 | 185,306 | |||
Hanger Incorporated † | 3,325 | 73,084 | |||
InfuSystem Holdings Incorporated † | 8,615 | 146,972 | |||
LHC Group Incorporated † | 2,109 | 383,226 | |||
Mednax Incorporated † | 5,250 | 128,258 | |||
Modivcare Incorporated † | 1,181 | 151,475 | |||
Owens & Minor Incorporated | 14,134 | 480,697 | |||
Patterson Companies Incorporated | 11,169 | 346,909 | |||
PetIQ Incorporated † | 1,457 | 50,223 | |||
R1 RCM Incorporated † | 7,746 | 214,099 | |||
Select Medical Holdings Corporation † | 13,226 | 418,603 | |||
Sharps Compliance Corporation † | 1,380 | 17,554 | |||
Surgery Partners Incorporated † | 2,687 | 106,056 | |||
Tenet Healthcare Corporation † | 13,718 | 699,892 | |||
The Ensign Group Incorporated | 5,165 | 423,633 | |||
The Pennant Group Incorporated † | 2,325 | 122,714 | |||
Triple-S Management Corporation Class B † | 8,268 | 209,180 | |||
Viemed Healthcare Incorporated † | 4,995 | 47,103 | |||
5,437,261 | |||||
Health care technology: 1.08% | |||||
Allscripts Healthcare Solutions Incorporated † | 30,368 | 468,578 | |||
Computer Programs & Systems Incorporated | 1,110 | 34,910 | |||
Evolent Health Incorporated Class A † | 10,240 | 206,336 | |||
Inovalon Holdings Incorporated Class A † | 7,369 | 180,983 | |||
Inspire Medical Systems Incorporated † | 1,894 | 440,904 | |||
Nanthealth Incorporated † | 2,083 | 7,957 | |||
NextGen Healthcare Incorporated † | 9,229 | 172,582 | |||
Omnicell Incorporated † | 4,101 | 520,417 | |||
Simulations Plus Incorporated | 978 | 70,142 | |||
Vocera Communications Incorporated † | 3,476 | 148,912 | |||
2,251,721 |
Shares | Value | ||||
Life sciences tools & services: 0.76% | |||||
Champions Oncology Incorporated † | 566 | $ 6,611 | |||
Chromadex Corporation † | 12,591 | 175,393 | |||
Harvard Bioscience Incorporated † | 3,803 | 16,695 | |||
Medpace Holdings Incorporated † | 3,284 | 533,420 | |||
Nanostring Technologies Incorporated † | 1,804 | 125,901 | |||
Neogenomics Incorporated † | 6,936 | 353,528 | |||
Pacific Biosciences of California † | 12,541 | 383,378 | |||
1,594,926 | |||||
Pharmaceuticals: 2.18% | |||||
Acelrx Pharmaceuticals Incorporated † | 6,286 | 11,818 | |||
Amneal Pharmaceuticals Incorporated † | 86,623 | 466,898 | |||
Amphastar Pharmaceuticals Incorporated † | 3,261 | 57,165 | |||
Aquestive Therapeutics Incorporated † | 2,071 | 9,485 | |||
Avenue Therapeutics Incorporated † | 1,661 | 7,807 | |||
Cerecor Incorporated † | 13,411 | 45,195 | |||
Collegium Pharmaceutical Incorporated † | 13,811 | 325,801 | |||
Corcept Therapeutics Incorporated † | 20,656 | 519,498 | |||
Cymabay Therapeutics Incorporated † | 5,309 | 25,483 | |||
Dova Pharmaceuticals Incorporated ♦† | 2,458 | 0 | |||
Harrow Health Incorporated † | 19,199 | 147,256 | |||
Intra-Cellular Therapies Incorporated † | 3,214 | 113,872 | |||
Lannett Company Incorporated † | 2,400 | 14,544 | |||
Liquidia Technologies Incorporated † | 612 | 1,714 | |||
Ocular Therapeutix Incorporated † | 22,549 | 413,549 | |||
Omeros Corporation † | 168 | 3,350 | |||
Osmotica Pharmaceuticals plc † | 1,312 | 4,986 | |||
Pacira Pharmaceuticals Incorporated † | 5,851 | 430,049 | |||
Paratek Pharmaceuticals Incorporated † | 23,040 | 172,339 | |||
Phibro Animal Health Corporation Class A | 22,650 | 488,561 | |||
Pliant Therapeutics Incorporated † | 2,960 | 97,946 | |||
Prestige Consumer Healthcare Incorporated † | 6,954 | 290,051 | |||
Siga Technologies Incorporated † | 45,256 | 286,018 | |||
Strongbridge Biopharma plc † | 67,339 | 211,444 | |||
Supernus Pharmaceuticals Incorporated † | 15,758 | 423,417 | |||
4,568,246 | |||||
Industrials: 14.55% | |||||
Aerospace & defense: 0.92% | |||||
AAR Corporation | 5,796 | 230,565 | |||
Aerovironment Incorporated † | 1,925 | 211,904 | |||
Ducommun Incorporated † | 3,828 | 208,243 | |||
Kaman Corporation | 2,636 | 128,268 | |||
Kratos Defense & Security Solutions Incorporated † | 7,880 | 216,700 | |||
Maxar Technologies Incorporated | 8,292 | 396,772 | |||
Moog Incorporated Class A | 2,737 | 212,555 | |||
National Presto Industries Incorporated | 1,391 | 142,341 | |||
PAE Incorporated † | 2,560 | 20,915 | |||
Vectrus Incorporated † | 2,957 | 161,452 | |||
1,929,715 | |||||
Air freight & logistics: 0.27% | |||||
Air Transport Services Group † | 2,532 | 67,199 | |||
Atlas Air Worldwide Holdings Incorporated † | 4,126 | 227,466 | |||
Echo Global Logistics Incorporated † | 4,114 | 114,616 |
Shares | Value | ||||
Air freight & logistics (continued) | |||||
Hub Group Incorporated Class A † | 2,212 | $ 127,367 | |||
Radiant Logistics Incorporated † | 3,846 | 26,037 | |||
562,685 | |||||
Airlines: 0.51% | |||||
Allegiant Travel Company | 308 | 77,675 | |||
Mesa Air Group Incorporated † | 31,438 | 383,544 | |||
SkyWest Incorporated | 9,931 | 559,810 | |||
Spirit Airlines Incorporated † | 1,522 | 54,609 | |||
1,075,638 | |||||
Building products: 1.29% | |||||
AAON Incorporated | 1,534 | 118,242 | |||
Advanced Drainage Systems Incorporated | 2,591 | 285,062 | |||
Alpha Pro Tech Limited † | 931 | 13,015 | |||
American Woodmark Corporation † | 1,421 | 132,736 | |||
Apogee Enterprises Incorporated | 1,869 | 69,901 | |||
Builders FirstSource Incorporated † | 11,423 | 494,216 | |||
CSW Industrials Incorporated | 1,015 | 127,454 | |||
Gibraltar Industries Incorporated † | 2,108 | 184,134 | |||
Griffon Corporation | 4,018 | 98,843 | |||
Insteel Industries Incorporated | 1,764 | 54,472 | |||
JELD-WEN Holding Incorporated † | 4,052 | 120,142 | |||
Masonite International Corporation † | 2,407 | 264,096 | |||
PGT Incorporated † | 2,037 | 48,053 | |||
Quanex Building Products Corporation | 1,531 | 37,249 | |||
Resideo Technologies Incorporated † | 3,902 | 93,726 | |||
Simpson Manufacturing Company Incorporated | 1,996 | 194,530 | |||
UFP Industries Incorporated | 5,860 | 357,460 | |||
2,693,331 | |||||
Commercial services & supplies: 1.31% | |||||
ABM Industries Incorporated | 7,213 | 311,457 | |||
ACCO Brands Corporation | 8,820 | 71,442 | |||
Brady Corporation Class A | 4,655 | 243,969 | |||
BrightView Holdings Incorporated † | 223 | 3,548 | |||
Casella Waste Systems Incorporated Class A † | 2,558 | 148,159 | |||
Ceco Environmental Corporation † | 2,773 | 22,739 | |||
Cimpress plc † | 1,247 | 123,553 | |||
Deluxe Corporation | 2,581 | 102,027 | |||
Harsco Corporation † | 4,546 | 74,373 | |||
Healthcare Services Group Incorporated | 5,446 | 154,939 | |||
Herman Miller Incorporated | 438 | 16,799 | |||
HNI Corporation | 5,318 | 189,268 | |||
Interface Incorporated | 5,246 | 65,155 | |||
KAR Auction Services Incorporated | 9,418 | 131,004 | |||
Knoll Incorporated | 1,823 | 29,733 | |||
NL Industries | 7,953 | 44,616 | |||
Tetra Tech Incorporated | 3,761 | 520,410 | |||
The Brink's Company | 3,054 | 234,639 | |||
UniFirst Corporation | 1,011 | 244,955 | |||
VSE Corporation | 102 | 3,933 | |||
2,736,718 |
Shares | Value | ||||
Construction & engineering: 1.48% | |||||
Ameresco Incorporated Class A † | 3,705 | $ 211,630 | |||
APi Group Corporation 144A† | 3,993 | 73,871 | |||
Arcosa Incorporated | 3,230 | 183,238 | |||
Comfort Systems Incorporated | 3,693 | 228,744 | |||
Construction Partners Incorporated Class A † | 6,971 | 201,741 | |||
Dycom Industries Incorporated † | 3,165 | 242,376 | |||
EMCOR Group Incorporated | 1,502 | 146,250 | |||
Fluor Corporation | 10,294 | 176,645 | |||
Granite Construction Incorporated | 3,362 | 115,586 | |||
Great Lakes Dredge & Dock Company † | 6,320 | 96,001 | |||
IES Holdings Incorporated † | 2,223 | 101,902 | |||
MasTec Incorporated † | 4,252 | 368,861 | |||
MYR Group Incorporated † | 4,603 | 271,347 | |||
Primoris Services Corporation | 11,666 | 390,461 | |||
Sterling Construction Company Incorporated † | 6,405 | 145,906 | |||
Tutor Perini Corporation † | 9,331 | 137,166 | |||
3,091,725 | |||||
Electrical equipment: 1.65% | |||||
Allied Motion Technologies | 1,255 | 60,918 | |||
Atkore International Incorporated † | 7,201 | 487,148 | |||
AZZ Incorporated | 1,864 | 95,232 | |||
Bloom Energy Corporation Class A † | 6,772 | 193,205 | |||
Encore Wire Corporation | 1,812 | 118,740 | |||
EnerSys | 4,088 | 369,065 | |||
LSI Industries Incorporated | 26,910 | 242,728 | |||
Orion Energy Systems Incorporated † | 2,021 | 16,976 | |||
Plug Power Incorporated † | 22,049 | 1,066,731 | |||
SunRun Incorporated † | 7,789 | 487,436 | |||
TPI Composites Incorporated † | 3,504 | 167,001 | |||
Vicor Corporation † | 1,610 | 158,569 | |||
3,463,749 | |||||
Industrial conglomerates: 0.05% | |||||
Raven Industries Incorporated | 2,596 | 101,763 | |||
Machinery: 3.40% | |||||
Alamo Group Incorporated | 102 | 15,568 | |||
Albany International Corporation Class A | 2,181 | 172,408 | |||
Altra Industrial Motion Corporation | 2,857 | 165,477 | |||
Astec Industries Incorporated | 3,136 | 212,997 | |||
Blue Bird Corporation † | 679 | 16,506 | |||
Chart Industries Incorporated † | 2,064 | 295,338 | |||
Circor International Incorporated † | 1,853 | 65,985 | |||
Columbus McKinnon Corporation | 2,099 | 105,664 | |||
Enerpac Tool Group Corporation | 4,008 | 98,998 | |||
ESC Briggs & Stratton ♦† | 1,723 | 0 | |||
ESCO Technologies Incorporated | 620 | 65,515 | |||
Evoqua Water Technologies Company † | 7,300 | 179,215 | |||
Federal Signal Corporation | 5,238 | 190,716 | |||
Foster Company Class A † | 7,022 | 119,023 | |||
Franklin Electric Company Incorporated | 4,247 | 318,780 | |||
Helios Technologies Incorporated | 2,458 | 160,753 | |||
Hyster Yale Materials Handeling Incorporated | 998 | 85,379 | |||
John Bean Technologies Corporation | 2,574 | 379,845 | |||
Kadant Incorporated | 1,177 | 204,798 |
Shares | Value | ||||
Machinery (continued) | |||||
Kennametal Incorporated | 3,572 | $ 133,450 | |||
Lindsay Manufacturing Company | 1,094 | 175,314 | |||
Manitowoc Company Incorporated † | 2,514 | 40,953 | |||
Meritor Incorporated † | 14,542 | 441,641 | |||
Miller Industries Incorporated | 231 | 9,118 | |||
Mueller Industries Incorporated | 10,634 | 432,166 | |||
Mueller Water Products Incorporated Class A | 12,177 | 156,962 | |||
Omega Flex Incorporated | 1,176 | 202,860 | |||
Park Ohio Holdings Corporation | 811 | 26,220 | |||
Proto Labs Incorporated † | 1,560 | 227,261 | |||
RBC Bearings Incorporated † | 1,095 | 217,971 | |||
REV Group Incorporated | 1,729 | 21,474 | |||
Rexnord Corporation | 8,110 | 364,545 | |||
SPX Corporation † | 4,720 | 262,385 | |||
SPX FLOW Incorporated † | 4,072 | 250,672 | |||
Standex International Corporation | 1,124 | 110,219 | |||
Tennant Company | 728 | 55,474 | |||
Terex Corporation | 8,488 | 349,536 | |||
The ExOne Company † | 556 | 18,960 | |||
The Greenbrier Companies Incorporated | 2,316 | 108,968 | |||
The Shyft Group Incorporated | 9,741 | 320,381 | |||
Wabash National Corporation | 2,528 | 41,914 | |||
Watts Water Technologies Incorporated | 2,402 | 274,044 | |||
Welbilt Incorporated † | 1,452 | 23,203 | |||
7,118,656 | |||||
Marine: 0.22% | |||||
Costamare Incorporated | 15,655 | 151,071 | |||
Matson Incorporated | 3,975 | 275,348 | |||
Pangaea Logistics Solutions | 770 | 2,314 | |||
Safe Bulkers Incorporated † | 13,498 | 37,120 | |||
465,853 | |||||
Professional services: 1.42% | |||||
ASGN Incorporated † | 3,539 | 329,021 | |||
Barrett Business Services Incorporated | 665 | 47,348 | |||
BGSF Incorporated | 12,632 | 176,090 | |||
CBIZ Incorporated † | 2,407 | 72,571 | |||
CRA International Incorporated | 127 | 7,007 | |||
Exponent Incorporated | 3,182 | 306,968 | |||
GP Strategies Corporation † | 5,191 | 68,158 | |||
Insperity Incorporated | 3,129 | 277,542 | |||
KBR Incorporated | 14,355 | 445,005 | |||
Kelly Services Incorporated Class A | 2,349 | 48,906 | |||
Kforce Incorporated | 6,028 | 309,538 | |||
Korn Ferry International | 1,917 | 117,991 | |||
ManTech International Corporation Class A | 3,657 | 285,831 | |||
Mastech Digital Incorporated † | 13,396 | 214,336 | |||
TriNet Group Incorporated † | 3,183 | 255,499 | |||
2,961,811 | |||||
Road & rail: 0.49% | |||||
Arcbest Corporation | 3,385 | 199,681 | |||
Avis Budget Group Incorporated † | 4,115 | 228,588 | |||
Covenant Transport Incorporated Class A † | 554 | 10,072 |
Shares | Value | ||||
Road & rail (continued) | |||||
Daseke Incorporated † | 2,987 | $ 16,488 | |||
Marten Transport Limited | 5,795 | 93,763 | |||
Saia Incorporated † | 1,456 | 291,972 | |||
US Xpress Enterprises Incorporated Class A † | 1,678 | 15,522 | |||
Werner Enterprises Incorporated | 4,177 | 179,277 | |||
1,035,363 | |||||
Trading companies & distributors: 1.54% | |||||
Applied Industrial Technologies Incorporated | 2,545 | 217,267 | |||
Beacon Roofing Supply Incorporated † | 2,699 | 129,093 | |||
Boise Cascade Company | 6,020 | 300,639 | |||
CAI International Incorporated | 3,092 | 136,048 | |||
DXP Enterprises Incorporated † | 875 | 26,285 | |||
GATX Corporation | 1,334 | 127,304 | |||
GMS Incorporated † | 3,018 | 110,459 | |||
H&E Equipment Services Incorporated | 948 | 29,322 | |||
Herc Holdings Incorporated † | 2,848 | 249,940 | |||
McGrath RentCorp | 3,443 | 267,383 | |||
Rush Enterprises Incorporated Class A | 7,170 | 304,223 | |||
Rush Enterprises Incorporated Class B | 5,931 | 225,081 | |||
SiteOne Landscape Supply Incorporated † | 2,217 | 351,417 | |||
Systemax Incorporated | 7,535 | 272,014 | |||
Textainer Group Holdings Limited † | 3,413 | 88,875 | |||
Triton International Limited | 6,391 | 369,272 | |||
Veritiv Corporation † | 1,087 | 25,849 | |||
3,230,471 | |||||
Information technology: 13.76% | |||||
Communications equipment: 0.66% | |||||
Adtran Incorporated | 3,839 | 64,649 | |||
Calix Networks Incorporated † | 11,998 | 474,041 | |||
Clearfield Incorporated † | 4,265 | 138,229 | |||
Infinera Corporation † | 9,645 | 94,762 | |||
Inseego Corporation † | 5,468 | 79,778 | |||
NETGEAR Incorporated † | 8,447 | 337,880 | |||
NetScout Systems Incorporated † | 6,903 | 194,803 | |||
1,384,142 | |||||
Electronic equipment, instruments & components: 2.54% | |||||
Badger Meter Incorporated | 2,161 | 234,663 | |||
Bel Fuse Incorporated Class B | 10,176 | 180,624 | |||
Belden Incorporated | 1,917 | 84,751 | |||
Benchmark Electronics Incorporated | 1,940 | 55,096 | |||
ePlus Incorporated † | 2,864 | 270,820 | |||
Fabrinet † | 4,293 | 379,201 | |||
FARO Technologies Incorporated † | 1,732 | 161,873 | |||
II-VI Incorporated † | 4,041 | 340,656 | |||
Insight Enterprises Incorporated † | 5,156 | 430,990 | |||
Itron Incorporated † | 2,360 | 276,686 | |||
Kimball Electronics Incorporated † | 14,515 | 340,812 | |||
Knowles Corporation † | 282 | 5,863 | |||
Luna Innovations Incorporated † | 6,813 | 79,985 | |||
Methode Electronics Incorporated | 7,168 | 279,050 | |||
Nlight Incorporated † | 2,675 | 101,971 | |||
Novanta Incorporated † | 2,078 | 274,982 |
Shares | Value | ||||
Electronic equipment, instruments & components (continued) | |||||
OSI Systems Incorporated † | 1,337 | $ 126,507 | |||
PC Connection Incorporated | 1,090 | 50,151 | |||
Plexus Corporation † | 4,749 | 398,821 | |||
Rogers Corporation † | 1,135 | 205,980 | |||
Sanmina Corporation † | 14,130 | 503,311 | |||
ScanSource Incorporated † | 2,557 | 72,721 | |||
TTM Technologies Incorporated † | 7,270 | 102,652 | |||
Vishay Intertechnology Incorporated | 15,237 | 363,707 | |||
5,321,873 | |||||
IT services: 1.39% | |||||
Conduent Incorporated † | 39,832 | 214,296 | |||
CSG Systems International Incorporated | 1,141 | 52,657 | |||
ESC Incorporated ♦† | 6,981 | 0 | |||
Evertec Incorporated | 7,759 | 301,825 | |||
EVO Payments Incorporated Class A † | 3,366 | 85,698 | |||
ExlService Holdings Incorporated † | 2,832 | 239,644 | |||
Hackett Group Incorporated | 2,520 | 39,362 | |||
I3 Verticals Incorporated Class A † | 97 | 3,220 | |||
Information Services Group Incorporated † | 55,019 | 200,269 | |||
International Money Express Incorporated † | 2,300 | 33,879 | |||
LiveRamp Holdings Incorporated † | 3,764 | 237,734 | |||
Maximus Incorporated | 5,331 | 433,304 | |||
Moneygram International Incorporated † | 16,417 | 109,501 | |||
Perficient Incorporated † | 2,239 | 124,690 | |||
PFSweb Incorporated † | 29,847 | 209,526 | |||
ServiceSource International Incorporated † | 17,615 | 28,272 | |||
Sykes Enterprises Incorporated † | 7,098 | 290,024 | |||
TTEC Holdings Incorporated | 1,193 | 100,379 | |||
Tucows Incorporated Class A † | 59 | 4,662 | |||
Unisys Corporation † | 6,785 | 166,572 | |||
Verra Mobility Corporation † | 2,449 | 34,898 | |||
2,910,412 | |||||
Semiconductors & semiconductor equipment: 3.10% | |||||
Advanced Energy Industries Incorporated | 3,293 | 343,954 | |||
Alpha & Omega Semiconductor † | 3,803 | 133,828 | |||
Amkor Technology Incorporated | 20,452 | 488,598 | |||
Axcelis Technologies Incorporated † | 8,076 | 297,762 | |||
Brooks Automation Incorporated | 6,008 | 499,625 | |||
Ceva Incorporated † | 1,592 | 97,478 | |||
CMC Materials Incorporated | 2,367 | 403,574 | |||
Cohu Incorporated | 1,202 | 52,227 | |||
Cyberoptics Corporation † | 2,213 | 59,198 | |||
Diodes Incorporated † | 4,282 | 336,223 | |||
FormFactor Incorporated † | 8,413 | 381,698 | |||
Ichor Holdings Limited † | 2,114 | 90,395 | |||
Lattice Semiconductor Corporation † | 13,498 | 649,524 | |||
Macom Technology Solutions † | 4,431 | 285,135 | |||
Maxeon Solar Technologies † | 822 | 27,677 | |||
Maxlinear Incorporated † | 4,692 | 186,601 | |||
Neophotonics Corporation † | 3,694 | 35,499 | |||
Power Integrations Incorporated | 5,985 | 528,894 | |||
Rambus Incorporated † | 4,757 | 99,802 | |||
Semtech Corporation † | 5,689 | 417,061 | |||
Silicon Laboratories Incorporated † | 86 | 13,394 |
Shares | Value | ||||
Semiconductors & semiconductor equipment (continued) | |||||
SunPower Corporation | 5,354 | $ 186,159 | |||
Synaptics Incorporated † | 4,346 | 582,494 | |||
Ultra Clean Holdings Incorporated † | 3,032 | 140,624 | |||
Veeco Instruments Incorporated † | 7,643 | 164,325 | |||
6,501,749 | |||||
Software: 5.96% | |||||
A10 Networks Incorporated † | 30,220 | 282,255 | |||
Agilysys Incorporated † | 1,662 | 99,039 | |||
Alarm.com Holdings Incorporated † | 5,699 | 500,828 | |||
Altair Engineering Incorporated Class A † | 3,539 | 217,967 | |||
American Software Incorporated Class A | 2,204 | 44,521 | |||
AppFolio Incorporated Class A † | 1,480 | 242,750 | |||
Appian Corporation † | 2,361 | 405,856 | |||
Arlo Technologies Incorporated † | 12,165 | 84,668 | |||
Asure Software Incorporated † | 3,586 | 27,935 | |||
Avaya Holdings Corporation † | 6,060 | 179,800 | |||
BlackLine Incorporated † | 406 | 50,352 | |||
Bottomline Technologies (DE) Incorporated † | 3,917 | 175,795 | |||
Box Incorporated Class A † | 9,053 | 166,123 | |||
Cerence Incorporated † | 4,433 | 493,038 | |||
ChannelAdvisor Corporation † | 17,742 | 400,969 | |||
Cloudera Incorporated † | 10,903 | 175,974 | |||
Cognyte Software Limited † | 5,731 | 165,454 | |||
CommVault Systems Incorporated † | 4,918 | 313,424 | |||
Digital Turbine Incorporated † | 10,791 | 891,013 | |||
Domo Incorporated Class B † | 6,297 | 401,308 | |||
Ebix Incorporated | 2,740 | 66,801 | |||
eGain Corporation † | 1,569 | 18,232 | |||
Envestnet Incorporated † | 3,818 | 244,428 | |||
Intelligent Systems Corporation † | 554 | 21,983 | |||
InterDigital Incorporated | 2,248 | 142,456 | |||
J2 Global Incorporated † | 4,724 | 526,159 | |||
MicroStrategy Incorporated Class A † | 1,007 | 755,663 | |||
Mimecast Limited † | 4,615 | 197,891 | |||
Mitek Systems Incorporated † | 11,220 | 171,442 | |||
Model N Incorporated † | 2,782 | 117,818 | |||
OneSpan Incorporated † | 3,287 | 76,784 | |||
Park City Group Incorporated † | 23,631 | 143,676 | |||
Ping Identity Holding Corporation † | 3,715 | 87,042 | |||
Progress Software Corporation | 6,716 | 285,699 | |||
PROS Holdings Incorporated † | 1,547 | 73,328 | |||
Q2 Holdings Incorporated † | 2,147 | 261,676 | |||
Qad Incorporated Class A | 2,802 | 179,888 | |||
Qualys Incorporated † | 2,480 | 240,957 | |||
Rapid7 Incorporated † | 3,511 | 267,679 | |||
Rimini Street Incorporated † | 12,612 | 97,995 | |||
SailPoint Technologies Holdings Incorporated † | 6,959 | 392,348 | |||
Sapiens International Corporation | 7,338 | 230,266 | |||
Secureworks Corporation Class A † | 14,693 | 212,020 | |||
Shotspotter Incorporated † | 2,902 | 121,826 | |||
Smith Micro Software Incorporated † | 3,337 | 22,024 | |||
SPS Commerce Incorporated † | 5,232 | 527,019 | |||
SVMK Incorporated † | 8,813 | 164,098 | |||
Synchronoss Technologies Incorporated † | 4,088 | 18,110 | |||
Tenable Holdings Incorporated † | 5,401 | 220,955 |
Shares | Value | ||||
Software (continued) | |||||
Upland Software Incorporated † | 419 | $ 20,711 | |||
Varonis Systems Incorporated † | 2,449 | 449,489 | |||
Verint Systems Incorporated | 4,742 | 233,733 | |||
Veritone Incorporated † | 5,215 | 188,001 | |||
Workiva Incorporated † | 1,310 | 132,507 | |||
Xperi Holding Corporation | 8,750 | 184,625 | |||
Yext Incorporated † | 736 | 12,453 | |||
Zix Corporation † | 6,566 | 48,457 | |||
12,475,308 | |||||
Technology hardware, storage & peripherals: 0.11% | |||||
Avid Technology Incorporated † | 6,476 | 125,570 | |||
Diebold Nixdorf Incorporated † | 6,751 | 98,025 | |||
223,595 | |||||
Materials: 3.92% | |||||
Chemicals: 2.07% | |||||
Advansix Incorporated † | 2,021 | 56,184 | |||
Avient Corporation | 5,696 | 246,181 | |||
Balchem Corporation | 1,425 | 170,088 | |||
Chase Corporation | 173 | 18,629 | |||
Ferro Corporation † | 10,911 | 173,158 | |||
Futurefuel Corporation | 7,179 | 105,388 | |||
GCP Applied Technologies Incorporated † | 3,600 | 89,244 | |||
Hawkins Incorporated | 4,065 | 254,469 | |||
HB Fuller Company | 6,331 | 354,979 | |||
Ingevity Corporation † | 3,994 | 277,503 | |||
Innospec Incorporated | 1,459 | 146,557 | |||
Kooper Holdings Incorporated † | 9,956 | 332,630 | |||
Kraton Performance Polymers Incorporated † | 5,592 | 207,966 | |||
Kronos Worldwide Incorporated | 1,628 | 23,525 | |||
Livent Corporation † | 7,094 | 132,090 | |||
Minerals Technologies Incorporated | 4,016 | 286,060 | |||
Orion Engineered Carbons SA | 17,759 | 314,334 | |||
Rayonier Advanced Materials † | 4,039 | 37,361 | |||
Sensient Technologies Corporation | 3,616 | 281,506 | |||
Stepan Company | 3,136 | 378,484 | |||
Trinseo SA | 2,782 | 180,023 | |||
Tronox Holdings plc Class A | 14,937 | 273,945 | |||
4,340,304 | |||||
Construction materials: 0.03% | |||||
Forterra Incorporated † | 2,084 | 48,495 | |||
Containers & packaging: 0.19% | |||||
Greif Incorporated Class A | 1,862 | 89,935 | |||
Myers Industries Incorporated | 6,994 | 154,847 | |||
O-I Glass Incorporated | 13,492 | 157,587 | |||
402,369 | |||||
Metals & mining: 1.32% | |||||
Alcoa Corporation † | 10,659 | 261,678 | |||
Arconic Corporation † | 8,648 | 189,564 | |||
Caledonia Mining Corporation plc | 3,633 | 51,443 | |||
Century Aluminum Company † | 4,807 | 66,000 |
Shares | Value | ||||
Metals & mining (continued) | |||||
Coeur d'Alene Mines Corporation † | 20,580 | $ 185,426 | |||
Commercial Metals Company | 11,651 | 293,023 | |||
Compass Minerals International Incorporated | 2,528 | 159,492 | |||
Hecla Mining Company | 38,914 | 254,108 | |||
Materion Corporation | 1,896 | 129,838 | |||
Olympic Steel Incorporated | 8,152 | 145,432 | |||
Ryerson Holding Corporation † | 24,512 | 312,038 | |||
Schnitzer Steel Industries Incorporated Class A | 2,852 | 98,508 | |||
Warrior Met Coal Incorporated | 3,615 | 69,300 | |||
Worthington Industries Incorporated | 8,566 | 547,282 | |||
2,763,132 | |||||
Paper & forest products: 0.31% | |||||
Clearwater Paper Corporation † | 1,548 | 54,195 | |||
Domtar Corporation | 1,176 | 43,571 | |||
Louisiana-Pacific Corporation | 9,392 | 447,153 | |||
Schweitzer-Mauduit International Incorporated | 1,309 | 61,130 | |||
Verso Corporation Class A | 3,163 | 39,538 | |||
645,587 | |||||
Real estate: 5.93% | |||||
Equity REITs: 5.09% | |||||
Agree Realty Corporation | 2,074 | 133,897 | |||
Alexander & Baldwin Incorporated | 1,732 | 30,258 | |||
Alexander's Incorporated | 131 | 35,515 | |||
Alpine Income Property Trust REIT | 1,374 | 25,172 | |||
American Assets Trust Incorporated | 588 | 18,275 | |||
American Finance Trust Incorporated | 4,479 | 39,684 | |||
Bluerock Residential Growth REIT Incorporated | 1,642 | 17,602 | |||
BRT Apartments Corporation REIT | 6,894 | 109,201 | |||
CareTrust REIT Incorporated | 13,516 | 299,785 | |||
Catchmark Timber Trust Incorporated Class A | 2,323 | 23,718 | |||
Centerspace REIT | 3,415 | 234,371 | |||
CIM Commercial Trust Corporation REIT | 4,989 | 60,616 | |||
Clipper Realty Incorporated | 1,432 | 12,501 | |||
Community Healthcare Trust Incorporated | 2,317 | 101,554 | |||
DiamondRock Hospitality † | 22,497 | 227,670 | |||
Easterly Government Properties Incorporated | 3,245 | 71,325 | |||
EastGroup Properties Incorporated | 2,733 | 371,989 | |||
Essential Properties Realty | 6,998 | 162,354 | |||
Farmland Partners REIT Incorporated | 2,616 | 31,287 | |||
Four Corners Property Trust Incorporated | 11,662 | 315,924 | |||
Getty Realty Corporation | 8,022 | 224,456 | |||
Gladstone Land REIT Corporation | 1,545 | 27,640 | |||
Global Net Lease Incorporated | 7,427 | 137,994 | |||
Healthcare Realty Trust Incorporated | 5,426 | 156,594 | |||
Hersha Hospitality Trust † | 8,490 | 94,409 | |||
Independence Realty Trust Incorporated | 11,005 | 154,510 | |||
Industrial Logistics Properties Trust | 4,636 | 98,608 | |||
Innovative Industrial Properties Incorporated | 1,618 | 315,510 | |||
iStar Financial Incorporated | 174 | 3,083 | |||
Kite Realty Group Trust | 12,043 | 230,864 | |||
Lexington Corporate Properties Trust | 48,636 | 521,378 | |||
LTC Properties Incorporated | 7,611 | 311,366 | |||
Monmouth Real Estate Investment Corporation | 8,322 | 144,137 |
Shares | Value | ||||
Equity REITs (continued) | |||||
National Health Investors Incorporated | ���6,041 | $ 412,419 | |||
National Storage Affiliates Trust | 5,818 | 224,284 | |||
New Senior Investment Group Incorporated | 27,522 | 168,159 | |||
NexPoint Residential Trust Incorporated | 958 | 39,316 | |||
One Liberty Properties Incorporated | 4,708 | 100,798 | |||
Pebblebrook Hotel Trust | 7,680 | 174,029 | |||
Physicians Realty Trust | 16,808 | 285,736 | |||
Piedmont Office Realty Trust Incorporated Class A | 20,382 | 347,717 | |||
PotlatchDeltic Corporation | 8,917 | 452,538 | |||
QTS Realty Trust Incorporated Class A | 4,445 | 276,123 | |||
Retail Opportunity Investment Corporation | 15,565 | 246,083 | |||
Retail Properties of America Incorporated Class A | 15,517 | 163,394 | |||
RLJ Lodging Trust | 14,709 | 230,931 | |||
RPT Realty | 31,608 | 346,740 | |||
Ryman Hospitality Properties Incorporated | 2,246 | 173,593 | |||
Sabra Health Care REIT Incorporated | 26,735 | 460,377 | |||
Safehold Incorporated REIT | 1,602 | 122,153 | |||
Seritage Growth Property Class A † | 2,478 | 50,031 | |||
SITE Centers Corporation | 29,417 | 392,423 | |||
STAG Industrial Incorporated | 5,012 | 158,129 | |||
Terreno Realty Corporation | 5,766 | 323,127 | |||
The Macerich Company | 10,996 | 142,068 | |||
Uniti Group Incorporated | 16,921 | 201,529 | |||
Urban Edge Properties | 10,864 | 179,256 | |||
Urstadt Biddle Properties Incorporated | 2,877 | 46,377 | |||
Washington REIT | 2,118 | 47,697 | |||
Whitestone REIT | 15,039 | 140,615 | |||
10,648,889 | |||||
Real estate management & development: 0.84% | |||||
Cushman & Wakefield plc † | 7,642 | 118,298 | |||
eXp World Holdings Incorporated † | 6,245 | 377,136 | |||
Fathom Holdings Incorporated † | 260 | 11,331 | |||
Kennedy Wilson Holdings Incorporated | 275 | 5,159 | |||
Newmark Group Incorporated Class A | 10,405 | 104,258 | |||
RE/MAX Holdings Incorporated Class A | 2,564 | 106,970 | |||
Realogy Holdings Corporation † | 14,836 | 223,727 | |||
Redfin Corporation † | 7,539 | 571,004 | |||
The RMR Group Incorporated Class A | 2,145 | 86,208 | |||
The St. Joe Company | 3,226 | 162,365 | |||
1,766,456 | |||||
Utilities: 2.15% | |||||
Electric utilities: 0.25% | |||||
Genie Energy Limited Class B | 17,929 | 135,364 | |||
MGE Energy Incorporated | 1,109 | 70,643 | |||
Spark Energy Incorporated Class A | 31,869 | 317,734 | |||
523,741 | |||||
Gas utilities: 0.71% | |||||
Brookfield Infrastructure Corporation Class A | 4,142 | 274,283 | |||
Chesapeake Utilities Corporation | 1,550 | 163,882 | |||
New Jersey Resources Corporation | 2,949 | 115,866 | |||
ONE Gas Incorporated | 4,077 | 273,037 | |||
RGC Resources Incorporated | 544 | 12,354 |
Shares | Value | ||||
Gas utilities (continued) | |||||
South Jersey Industries Incorporated | 9,630 | $ 241,809 | |||
Southwest Gas Holdings Incorporated | 3,984 | 248,402 | |||
Spire Incorporated | 2,337 | 155,224 | |||
1,484,857 | |||||
Independent power & renewable electricity producers: 0.57% | |||||
Brookfield Renewable Corporation Class A | 3,310 | 152,856 | |||
Clearway Energy Incorporated Class A | 10,717 | 280,250 | |||
Clearway Energy Incorporated Class C | 15,377 | 422,252 | |||
Ormat Technologies Incorporated | 2,985 | 255,725 | |||
Sunnova Energy International Incorporated † | 1,904 | 85,375 | |||
1,196,458 | |||||
Multi-utilities: 0.36% | |||||
Avista Corporation | 5,998 | 241,180 | |||
Black Hills Corporation | 4,429 | 262,020 | |||
Northwestern Corporation | 4,323 | 252,809 | |||
756,009 | |||||
Water utilities: 0.26% | |||||
Artesian Resources Corporation Class A | 2,320 | 85,840 | |||
California Water Service Group | 2,858 | 157,047 | |||
Middlesex Water Company | 1,898 | 130,336 | |||
SJW Corporation | 427 | 26,764 | |||
York Water Company | 3,300 | 137,313 | |||
537,300 | |||||
Total Common stocks (Cost $126,119,323) | 201,864,027 | ||||
Rights: 0.00% | |||||
Financials: 0.00% | |||||
Thrifts & mortgage finance: 0.00% | |||||
NewStar Financial Incorporated ♦† | 12-26-2027 | 9,129 | 0 | ||
Health care: 0.00% | |||||
Pharmaceuticals: 0.00% | |||||
Elanco Animal Health Incorporated ♦† | 12-31-2021 | 8,956 | 0 | ||
Total Rights (Cost $225) | 0 |
Warrants: 0.00% | |||||
Energy: 0.00% | |||||
Oil, gas & consumable fuels: 0.00% | |||||
Battalion Oil Corporation ♦† | 10-8-2022 | 375 | 0 | ||
Battalion Oil Corporation ♦† | 10-8-2022 | 300 | 0 | ||
Battalion Oil Corporation ♦† | 10-8-2022 | 482 | 0 | ||
0 |
Energy equipment & services: 0.00% | |||||
Parker Drilling Company ♦† | 9-16-2024 | 373 | $ 0 | ||
Total Warrants (Cost $0) | 0 |
Yield | Shares | ||||
Short-term investments: 1.40% | |||||
Investment companies: 1.40% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 2,925,181 | 2,925,181 | ||
Total Short-term investments (Cost $2,925,181) | 2,925,181 | ||||
Total investments in securities (Cost $129,044,729) | 97.81% | 204,789,208 | |||
Other assets and liabilities, net | 2.19 | 4,578,415 | |||
Total net assets | 100.00% | $209,367,623 |
† | Non-income-earning security |
♦ | The security is fair valued in accordance with procedures approved by the Board of Trustees. |
‡ | Security is valued using significant unobservable inputs. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
REIT | Real estate investment trust |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $6,867,519 | $149,414,246 | $(153,356,584) | $0 | $0 | $2,925,181 | 1.40% | 2,925,181 | $13,853 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
E-Mini Russell 2000 Index | 67 | 3-19-2021 | $7,477,268 | $7,367,320 | $0 | $(109,948) |
Assets | |
Investments in unaffiliated securities, at value (cost $126,119,548) | $ 201,864,027 |
Investments in affiliated securites, at value (cost $2,925,181) | 2,925,181 |
Segregated cash for futures contracts | 4,543,440 |
Receivable for dividends | 135,916 |
Prepaid expenses and other assets | 74 |
Total assets | 209,468,638 |
Liabilities | |
Custodian and accounting fee payable | 38,434 |
Professional fees payable | 38,033 |
Advisory fee payable | 19,140 |
Payable for daily variation margin on open futures contracts | 3,034 |
Trustees’ fees and expenses payable | 857 |
Accrued expenses and other liabilities | 1,517 |
Total liabilities | 101,015 |
Total net assets | $209,367,623 |
Investment income | |
Dividends (net of foreign withholdings taxes of $4,448) | $ 2,662,866 |
Income from affiliated securities | 13,853 |
Total investment income | 2,676,719 |
Expenses | |
Advisory fee | 340,964 |
Custody and accounting fees | 50,635 |
Professional fees | 44,577 |
Interest holder report expenses | 7,803 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 21,697 |
Total expenses | 485,271 |
Less: Fee waivers and/or expense reimbursements | (123,793) |
Net expenses | 361,478 |
Net investment income | 2,315,241 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 11,192,021 |
Futures contracts | 2,070,298 |
Net realized gains on investments | 13,262,319 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 79,461,870 |
Futures contracts | 920,303 |
Net change in unrealized gains (losses) on investments | 80,382,173 |
Net realized and unrealized gains (losses) on investments | 93,644,492 |
Net increase in net assets resulting from operations | $95,959,733 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 2,315,241 | $ 3,637,096 |
Net realized gains on investments | 13,262,319 | 7,452,037 |
Net change in unrealized gains (losses) on investments | 80,382,173 | (23,775,422) |
Net increase (decrease) in net assets resulting from operations | 95,959,733 | (12,686,289) |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 90,575,424 | 31,716,956 |
Withdrawals | (206,734,779) | (67,498,202) |
Net decrease in net assets resulting from capital transactions | (116,159,355) | (35,781,246) |
Total decrease in net assets | (20,199,622) | (48,467,535) |
Net assets | ||
Beginning of period | 229,567,245 | 278,034,780 |
End of period | $ 209,367,623 | $229,567,245 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 43.18% | (5.94)% | 7.05% | 8.75% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.22% | 0.23% | 0.21% | 0.19% | ||
Net expenses | 0.16% 3 | 0.18% | 0.19% | 0.19% | ||
Net investment income | 1.02% | 1.35% | 1.29% | 1.23% | ||
Supplemental data | ||||||
Portfolio turnover rate | 98% | 40% | 37% | 85% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.06% higher. |
Gross unrealized gains | $75,742,518 |
Gross unrealized losses | (3,850,643) |
Net unrealized gains | $71,891,875 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Common stocks | ||||
Communication services | $ 3,954,661 | $ 0 | $ 23,068 | $ 3,977,729 |
Consumer discretionary | 27,259,240 | 22,378 | 0 | 27,281,618 |
Consumer staples | 5,640,388 | 0 | 0 | 5,640,388 |
Energy | 5,360,892 | 0 | 0 | 5,360,892 |
Financials | 29,775,002 | 0 | 72,313 | 29,847,315 |
Health care | 45,130,869 | 0 | 227,062 | 45,357,931 |
Industrials | 30,467,478 | 0 | 0 | 30,467,478 |
Information technology | 28,817,079 | 0 | 0 | 28,817,079 |
Materials | 8,199,887 | 0 | 0 | 8,199,887 |
Real estate | 12,415,345 | 0 | 0 | 12,415,345 |
Utilities | 4,498,365 | 0 | 0 | 4,498,365 |
Rights | 0 | 0 | 0 | 0 |
Warrants | ||||
Energy | 0 | 0 | 0 | 0 |
Short-term investments | ||||
Investment companies | 2,925,181 | 0 | 0 | 2,925,181 |
Total assets | $204,444,387 | $22,378 | $322,443 | $204,789,208 |
Liabilities | ||||
Futures contracts | $ 109,948 | $ 0 | $ 0 | $ 109,948 |
Total liabilities | $ 109,948 | $ 0 | $ 0 | $ 109,948 |
Average daily net assets | Advisory fee |
First $5 billion | 0.150% |
Next $5 billion | 0.130 |
Over $10 billion | 0.110 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Corporate Bond Portfolio
Investment objective | The Portfolio seeks to replicate the total return of the Wells Fargo U.S. High Yield Bond Index, before fees and expenses. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Manjunath Boraiah†, Janet S. Rilling, CFA®‡, CPA, Michael J. Schueller, CFA®‡ |
Ten largest holdings (%) as of February 28, 20211 | |
Calpine Corporation, 5.00%, 2-1-2031 | 0.77 |
Ford Motor Company, 9.00%, 4-22-2025 | 0.72 |
iHeartCommunications Incorporated, 6.38%, 5-1-2026 | 0.72 |
Bausch Health Companies Incorporated, 8.50%, 1-31-2027 | 0.66 |
MGM Growth Properties Operating Partnership LP, 4.50%, 9-1-2026 | 0.63 |
United Rentals North America Incorporated, 5.50%, 5-15-2027 | 0.63 |
L Brands Incorporated, 6.88%, 11-1-2035 | 0.63 |
SFR Group SA, 7.38%, 5-1-2026 | 0.63 |
Sirius XM Radio Incorporated, 5.00%, 8-1-2027 | 0.62 |
CCO Holdings LLC, 5.88%, 5-1-2027 | 0.62 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of February 28, 20211 |
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/ or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Portfolio itself. The percentages of the Portfolio’s portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Portfolio. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
† | Mr. Boraiah became a portfolio manager of the Portfolio on August 28, 2020. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Interest rate | Maturity date | Principal | Value | ||
Corporate bonds and notes: 80.43% | |||||
Communication services: 13.54% | |||||
Diversified telecommunication services: 1.46% | |||||
Century Telephone Enterprises Incorporated | 6.88% | 1-15-2028 | $200,000 | $ 225,576 | |
CenturyLink Incorporated | 5.80 | 3-15-2022 | 240,000 | 248,791 | |
Zayo Group LLC 144A | 4.00 | 3-1-2027 | 260,000 | 258,929 | |
733,296 | |||||
Entertainment: 1.80% | |||||
Caesars Resort Collection LLC 144A | 5.25 | 10-15-2025 | 200,000 | 198,760 | |
Caesars Resort Collection LLC 144A | 5.75 | 7-1-2025 | 240,000 | 252,000 | |
Live Nation Entertainment Incorporated 144A | 4.88 | 11-1-2024 | 200,000 | 202,276 | |
Netflix Incorporated | 4.88 | 4-15-2028 | 220,000 | 250,459 | |
903,495 | |||||
Interactive media & services: 0.42% | |||||
Match Group Incorporated 144A | 5.00 | 12-15-2027 | 200,000 | 209,576 | |
Media: 8.95% | |||||
CCO Holdings LLC 144A | 5.88 | 5-1-2027 | 300,000 | 310,500 | |
Clear Channel Worldwide Holdings Incorporated | 9.25 | 2-15-2024 | 147,000 | 153,064 | |
CSC Holdings LLC 144A | 5.50 | 4-15-2027 | 200,000 | 210,440 | |
CSC Holdings LLC 144A | 5.75 | 1-15-2030 | 200,000 | 213,440 | |
Diamond Sports Group LLC 144A | 5.38 | 8-15-2026 | 270,000 | 190,944 | |
DISH DBS Corporation | 5.88 | 7-15-2022 | 200,000 | 208,536 | |
DISH DBS Corporation | 5.88 | 11-15-2024 | 200,000 | 209,281 | |
Gray Television Incorporated 144A | 5.88 | 7-15-2026 | 200,000 | 207,000 | |
iHeartCommunications Incorporated | 6.38 | 5-1-2026 | 340,000 | 359,754 | |
Lamar Media Corporation | 3.75 | 2-15-2028 | 200,000 | 202,500 | |
Meredith Corporation | 6.88 | 2-1-2026 | 200,000 | 204,068 | |
Nexstar Broadcasting Incorporated 144A | 5.63 | 7-15-2027 | 200,000 | 211,250 | |
Nielsen Finance LLC 144A | 5.63 | 10-1-2028 | 200,000 | 210,720 | |
Outfront Media Capital Corporation 144A | 4.63 | 3-15-2030 | 200,000 | 197,940 | |
QVC Incorporated | 4.75 | 2-15-2027 | 210,000 | 221,420 | |
Radiate Holdco LLC 144A | 4.50 | 9-15-2026 | 210,000 | 212,625 | |
Sinclair Television Group Incorporated 144A | 5.50 | 3-1-2030 | 200,000 | 200,792 | |
Sirius XM Radio Incorporated 144A | 5.00 | 8-1-2027 | 300,000 | 312,381 | |
TEGNA Incorporated 144A | 4.75 | 3-15-2026 | 230,000 | 244,950 | |
Univision Communications Incorporated 144A | 5.13 | 2-15-2025 | 200,000 | 200,190 | |
4,481,795 | |||||
Wireless telecommunication services: 0.91% | |||||
Sprint Capital Corporation | 6.88 | 11-15-2028 | 200,000 | 253,000 | |
T-Mobile USA Incorporated | 4.50 | 2-1-2026 | 200,000 | 204,476 | |
457,476 | |||||
Consumer discretionary: 13.52% | |||||
Auto components: 1.68% | |||||
Allison Transmission Incorporated 144A | 5.88 | 6-1-2029 | 200,000 | 216,000 | |
Clarios Global LP 144A | 6.25 | 5-15-2026 | 200,000 | 213,000 |
Interest rate | Maturity date | Principal | Value | ||
Auto components (continued) | |||||
Dana Incorporated | 5.63% | 6-15-2028 | $200,000 | $ 212,250 | |
Goodyear Tire & Rubber Company | 5.13 | 11-15-2023 | 200,000 | 201,250 | |
842,500 | |||||
Automobiles: 1.14% | |||||
Ford Motor Company | 9.00 | 4-22-2025 | 300,000 | 362,933 | |
Tesla Incorporated 144A | 5.30 | 8-15-2025 | 200,000 | 208,140 | |
571,073 | |||||
Commercial services & supplies: 0.41% | |||||
Aramark Services Incorporated 144A | 5.00 | 2-1-2028 | 200,000 | 205,000 | |
Diversified consumer services: 0.58% | |||||
Prime Security Services Borrower LLC 144A | 5.75 | 4-15-2026 | 270,000 | 290,925 | |
Hotels, restaurants & leisure: 5.48% | |||||
Boyd Gaming Company | 6.00 | 8-15-2026 | 200,000 | 207,126 | |
Carnival Corporation 144A | 9.88 | 8-1-2027 | 230,000 | 264,518 | |
Hilton Domestic Operating Company | 4.88 | 1-15-2030 | 200,000 | 215,504 | |
MGM Resorts International | 4.63 | 9-1-2026 | 154,000 | 161,508 | |
NCL Corporation Limited 144A | 3.63 | 12-15-2024 | 210,000 | 196,287 | |
Royal Caribbean Group | 5.25 | 11-15-2022 | 210,000 | 214,003 | |
Scientific Games International Incorporated 144A | 5.00 | 10-15-2025 | 210,000 | 215,975 | |
Six Flags Entertainment Company 144A | 4.88 | 7-31-2024 | 200,000 | 200,164 | |
Station Casinos LLC 144A | 5.00 | 10-1-2025 | 220,000 | 221,805 | |
Travel + Leisure Company 144A | 4.63 | 3-1-2030 | 200,000 | 207,312 | |
Wynn Las Vegas LLC 144A | 5.50 | 3-1-2025 | 200,000 | 212,000 | |
Wynn Resorts Finance LLC 144A | 5.13 | 10-1-2029 | 200,000 | 210,500 | |
Yum! Brands Incorporated 144A | 7.75 | 4-1-2025 | 200,000 | 219,460 | |
2,746,162 | |||||
Household durables: 1.12% | |||||
Newell Brands Incorporated | 4.20 | 4-1-2026 | 210,000 | 232,875 | |
Newell Brands Incorporated | 4.35 | 4-1-2023 | 101,000 | 106,176 | |
Taylor Morrison Communities Incorporated 144A | 5.13 | 8-1-2030 | 210,000 | 224,805 | |
563,856 | |||||
Leisure products: 0.42% | |||||
Mattel Incorporated 144A | 6.75 | 12-31-2025 | 200,000 | 210,160 | |
Specialty retail: 1.88% | |||||
ABC Supply Company Incorporated 144A | 4.00 | 1-15-2028 | 200,000 | 202,000 | |
L Brands Incorporated | 6.88 | 11-1-2035 | 260,000 | 315,427 | |
PetSmart Incorporated 144A | 7.13 | 3-15-2023 | 200,000 | 200,360 | |
The Gap Incorporated 144A | 8.63 | 5-15-2025 | 200,000 | 222,992 | |
940,779 | |||||
Textiles, apparel & luxury goods: 0.81% | |||||
HanesBrands Incorporated 144A | 4.63 | 5-15-2024 | 200,000 | 209,500 | |
Wolverine World Wide Incorporated 144A | 8.50 | 11-15-2024 | 200,000 | 195,500 | |
405,000 |
Interest rate | Maturity date | Principal | Value | ||
Consumer staples: 3.25% | |||||
Food & staples retailing: 1.02% | |||||
Albertsons Companies Incorporated 144A | 4.63% | 1-15-2027 | $290,000 | $ 300,211 | |
Performance Food Group Company 144A | 5.50 | 10-15-2027 | 200,000 | 210,018 | |
510,229 | |||||
Food products: 2.23% | |||||
Kraft Heinz Foods Company | 4.38 | 6-1-2046 | 200,000 | 217,895 | |
Kraft Heinz Foods Company | 4.63 | 10-1-2039 | 200,000 | 229,703 | |
Lamb Weston Holdings Incorporated 144A | 4.88 | 11-1-2026 | 200,000 | 207,250 | |
Pilgrim's Pride Corporation 144A | 5.88 | 9-30-2027 | 200,000 | 214,570 | |
Post Holdings Incorporated 144A | 5.50 | 12-15-2029 | 230,000 | 247,540 | |
1,116,958 | |||||
Energy: 12.69% | |||||
Energy equipment & services: 0.82% | |||||
Hilcorp Energy Company 144A | 5.75 | 10-1-2025 | 200,000 | 203,500 | |
USA Compression Partners LP | 6.88 | 4-1-2026 | 200,000 | 206,500 | |
410,000 | |||||
Oil, gas & consumable fuels: 11.87% | |||||
Antero Midstream Partners LP 144A | 5.75 | 1-15-2028 | 200,000 | 201,625 | |
Apache Corporation | 5.10 | 9-1-2040 | 260,000 | 265,286 | |
Archrock Partners LP 144A | 6.25 | 4-1-2028 | 230,000 | 239,631 | |
Buckeye Partners LP | 5.85 | 11-15-2043 | 200,000 | 200,622 | |
Cheniere Energy Incorporated 144A | 4.63 | 10-15-2028 | 200,000 | 207,940 | |
Cheniere Energy Partners LP | 4.50 | 10-1-2029 | 210,000 | 221,025 | |
Continental Resources Incorporated 144A | 5.75 | 1-15-2031 | 200,000 | 225,442 | |
Crestwood Midstream Partners LP | 5.75 | 4-1-2025 | 200,000 | 201,110 | |
CrownRock LP 144A | 5.63 | 10-15-2025 | 200,000 | 202,000 | |
DCP Midstream Operating LP | 5.38 | 7-15-2025 | 280,000 | 298,491 | |
Endeavor Energy Resources LP 144A | 5.50 | 1-30-2026 | 200,000 | 204,000 | |
EnLink Midstream Partners LP | 5.45 | 6-1-2047 | 350,000 | 289,625 | |
EQM Midstream Partners LP | 5.50 | 7-15-2028 | 200,000 | 206,000 | |
Genesis Energy Company | 6.25 | 5-15-2026 | 210,000 | 198,975 | |
Moss Creek Resources Holdings Incorporated 144A | 10.50 | 5-15-2027 | 200,000 | 176,940 | |
Murphy Oil Corporation | 6.88 | 8-15-2024 | 200,000 | 203,000 | |
Occidental Petroleum Corporation | 2.70 | 8-15-2022 | 200,000 | 197,763 | |
Occidental Petroleum Corporation | 2.70 | 2-15-2023 | 200,000 | 195,501 | |
PDC Energy Incorporated | 6.13 | 9-15-2024 | 210,000 | 214,559 | |
Peabody Energy Corporation 144A | 6.38 | 3-31-2025 | 200,000 | 96,000 | |
Range Resources Corporation | 4.88 | 5-15-2025 | 200,000 | 197,900 | |
SM Energy Company | 6.75 | 9-15-2026 | 200,000 | 189,600 | |
Southwestern Energy Company | 7.75 | 10-1-2027 | 200,000 | 214,000 | |
Sunoco LP 144A | 4.50 | 5-15-2029 | 200,000 | 200,000 | |
Tallgrass Energy Partners LP 144A | 5.50 | 1-15-2028 | 200,000 | 196,500 | |
Targa Resources Partners LP | 5.88 | 4-15-2026 | 260,000 | 270,738 | |
Weatherford International Limited 144A | 11.00 | 12-1-2024 | 200,000 | 196,440 | |
Western Midstream Operating LP | 5.30 | 2-1-2030 | 220,000 | 238,429 | |
5,949,142 |
Interest rate | Maturity date | Principal | Value | ||
Financials: 5.21% | |||||
Banks: 0.44% | |||||
CIT Group Incorporated | 5.00% | 8-1-2023 | $200,000 | $ 218,250 | |
Capital markets: 0.54% | |||||
MSCI Incorporated 144A | 4.75 | 8-1-2026 | 260,000 | 267,800 | |
Consumer finance: 2.17% | |||||
Curo Group Holdings Corporation 144A | 8.25 | 9-1-2025 | 200,000 | 201,500 | |
Navient Corporation | 7.25 | 9-25-2023 | 200,000 | 217,000 | |
SLM Corporation | 5.50 | 1-25-2023 | 220,000 | 227,700 | |
Springleaf Finance Corporation | 5.38 | 11-15-2029 | 210,000 | 221,550 | |
Springleaf Finance Corporation | 8.88 | 6-1-2025 | 200,000 | 219,720 | |
1,087,470 | |||||
Insurance: 1.20% | |||||
Acrisure LLC 144A | 7.00 | 11-15-2025 | 200,000 | 205,000 | |
Genworth Holdings Incorporated | 4.90 | 8-15-2023 | 200,000 | 190,000 | |
HUB International Limited 144A | 7.00 | 5-1-2026 | 200,000 | 208,408 | |
603,408 | |||||
Thrifts & mortgage finance: 0.86% | |||||
Nationstar Mortgage Holdings Incorporated 144A | 6.00 | 1-15-2027 | 210,000 | 220,500 | |
Quicken Loans Incorporated 144A | 5.25 | 1-15-2028 | 200,000 | 211,010 | |
431,510 | |||||
Health care: 4.92% | |||||
Health care equipment & supplies: 0.43% | |||||
Teleflex Incorporated 144A | 4.25 | 6-1-2028 | 210,000 | 217,088 | |
Health care providers & services: 4.49% | |||||
Centene Corporation | 3.00 | 10-15-2030 | 210,000 | 213,297 | |
DaVita Incorporated 144A | 3.75 | 2-15-2031 | 260,000 | 247,766 | |
Encompass Health Corporation | 4.63 | 4-1-2031 | 220,000 | 233,695 | |
Envision Healthcare Corporation 144A | 8.75 | 10-15-2026 | 200,000 | 143,000 | |
HCA Incorporated | 5.88 | 5-1-2023 | 220,000 | 240,075 | |
Molina Healthcare Incorporated 144A | 4.38 | 6-15-2028 | 200,000 | 208,000 | |
MPT Operating Partnership LP | 5.00 | 10-15-2027 | 200,000 | 212,250 | |
RegionalCare Hospital Partners 144A | 9.75 | 12-1-2026 | 200,000 | 215,544 | |
Tenet Healthcare Corporation | 5.13 | 5-1-2025 | 300,000 | 301,500 | |
Tenet Healthcare Corporation 144A | 6.25 | 2-1-2027 | 220,000 | 232,210 | |
2,247,337 | |||||
Industrials: 6.48% | |||||
Aerospace & defense: 1.30% | |||||
Signature Aviation US Holdings Incorporated 144A | 4.00 | 3-1-2028 | 200,000 | 202,500 | |
Spirit AeroSystems Holdings Incorporated | 4.60 | 6-15-2028 | 250,000 | 241,660 | |
TransDigm Group Incorporated | 6.38 | 6-15-2026 | 200,000 | 206,036 | |
650,196 | |||||
Air freight & logistics: 0.43% | |||||
XPO Logistics Incorporated 144A | 6.25 | 5-1-2025 | 200,000 | 214,810 |
Interest rate | Maturity date | Principal | Value | ||
Airlines: 0.38% | |||||
American Airlines Group Company 144A | 5.00% | 6-1-2022 | $200,000 | $ 192,750 | |
Building products: 0.42% | |||||
Builders FirstSource Incorporated 144A | 6.75 | 6-1-2027 | 197,000 | 211,283 | |
Commercial services & supplies: 2.03% | |||||
ADT Corporation | 4.13 | 6-15-2023 | 200,000 | 208,390 | |
Allied Universal Security Services 144A | 9.75 | 7-15-2027 | 200,000 | 220,708 | |
APTIM Corporation 144A | 7.75 | 6-15-2025 | 200,000 | 171,500 | |
Avis Budget Car Rental LLC 144A | 5.75 | 7-15-2027 | 210,000 | 217,088 | |
West Corporation Company 144A | 8.50 | 10-15-2025 | 200,000 | 198,500 | |
1,016,186 | |||||
Construction & engineering: 0.63% | |||||
United Rentals North America Incorporated | 5.50 | 5-15-2027 | 300,000 | 317,250 | |
Electronic equipment, instruments & components: 0.47% | |||||
WESCO Distribution Incorporated 144A | 7.25 | 6-15-2028 | 210,000 | 233,363 | |
Trading companies & distributors: 0.82% | |||||
Beacon Escrow Corporation 144A | 4.88 | 11-1-2025 | 200,000 | 201,774 | |
Herc Holdings Incorporated 144A | 5.50 | 7-15-2027 | 200,000 | 210,500 | |
412,274 | |||||
Information technology: 5.51% | |||||
Communications equipment: 1.23% | |||||
CommScope Incorporated 144A | 6.00 | 3-1-2026 | 200,000 | 210,250 | |
CommScope Technologies LLC 144A | 5.00 | 3-15-2027 | 200,000 | 195,916 | |
Viasat Incorporated 144A | 5.63 | 4-15-2027 | 200,000 | 209,500 | |
615,666 | |||||
Electronic equipment, instruments & components: 0.44% | |||||
CDW LLC | 5.50 | 12-1-2024 | 200,000 | 220,750 | |
IT services: 0.47% | |||||
Sabre GLBL Incorporated 144A | 9.25 | 4-15-2025 | 200,000 | 237,250 | |
Software: 2.10% | |||||
CDK Global Incorporated 144A | 5.25 | 5-15-2029 | 200,000 | 215,274 | |
IQVIA Incorporated 144A | 5.00 | 5-15-2027 | 200,000 | 209,250 | |
J2 Global Incorporated 144A | 4.63 | 10-15-2030 | 200,000 | 207,520 | |
Solera Finance Incorporated 144A | 10.50 | 3-1-2024 | 200,000 | 207,376 | |
SS&C Technologies Incorporated 144A | 5.50 | 9-30-2027 | 200,000 | 211,274 | |
1,050,694 | |||||
Technology hardware, storage & peripherals: 1.27% | |||||
EMC Corporation | 3.38 | 6-1-2023 | 200,000 | 207,260 | |
NCR Corporation 144A | 5.75 | 9-1-2027 | 200,000 | 208,806 | |
Western Digital Corporation | 4.75 | 2-15-2026 | 200,000 | 221,192 | |
637,258 |
Interest rate | Maturity date | Principal | Value | ||
Materials: 5.82% | |||||
Chemicals: 1.33% | |||||
CF Industries Incorporated | 5.38% | 3-15-2044 | $200,000 | $ 249,750 | |
Olin Corporation | 5.00 | 2-1-2030 | 200,000 | 209,440 | |
Tronox Incorporated 144A | 6.50 | 4-15-2026 | 200,000 | 206,754 | |
665,944 | |||||
Construction materials: 0.62% | |||||
Standard Industries Incorporated 144A | 5.00 | 2-15-2027 | 300,000 | 309,750 | |
Containers & packaging: 2.16% | |||||
Ball Corporation | 5.25 | 7-1-2025 | 200,000 | 225,000 | |
Berry Global Incorporated 144A | 5.63 | 7-15-2027 | 200,000 | 212,750 | |
BWAY Holding Company Incorporated 144A | 5.50 | 4-15-2024 | 210,000 | 211,050 | |
Labl Escrow Issuer LLC 144A | 6.75 | 7-15-2026 | 200,000 | 214,500 | |
Sealed Air Corporation 144A | 5.50 | 9-15-2025 | 200,000 | 222,000 | |
1,085,300 | |||||
Metals & mining: 1.71% | |||||
Cleveland-Cliffs Incorporated | 5.75 | 3-1-2025 | 200,000 | 204,740 | |
Freeport-McMoRan Incorporated | 5.40 | 11-14-2034 | 200,000 | 247,750 | |
Novelis Corporation 144A | 4.75 | 1-30-2030 | 200,000 | 208,440 | |
United States Steel Corporation | 6.88 | 8-15-2025 | 200,000 | 197,125 | |
858,055 | |||||
Real estate: 5.74% | |||||
Equity REITs: 4.44% | |||||
EPR Properties | 4.95 | 4-15-2028 | 200,000 | 205,925 | |
ESH Hospitality Incorporated 144A | 5.25 | 5-1-2025 | 200,000 | 203,876 | |
Iron Mountain Incorporated 144A | 4.88 | 9-15-2027 | 220,000 | 229,350 | |
Iron Mountain Incorporated 144A | 5.00 | 7-15-2028 | 220,000 | 228,250 | |
iStar Incorporated | 4.25 | 8-1-2025 | 200,000 | 200,750 | |
MGM Growth Properties Operating Partnership LP | 4.50 | 9-1-2026 | 300,000 | 318,000 | |
SBA Communications Corporation | 4.88 | 9-1-2024 | 200,000 | 205,140 | |
Service Properties Trust Company | 4.38 | 2-15-2030 | 210,000 | 195,300 | |
Uniti Group Incorporated 144A | 6.00 | 4-15-2023 | 200,000 | 203,000 | |
VICI Properties Incorporated 144A | 4.25 | 12-1-2026 | 230,000 | 237,222 | |
2,226,813 | |||||
Real estate management & development: 1.30% | |||||
Howard Hughes Corporation 144A | 4.13 | 2-1-2029 | 200,000 | 198,530 | |
Icahn Enterprises Finance Corporation | 6.25 | 5-15-2026 | 220,000 | 231,211 | |
Realogy Group LLC 144A | 9.38 | 4-1-2027 | 200,000 | 220,000 | |
649,741 | |||||
Utilities: 3.75% | |||||
Electric utilities: 1.68% | |||||
FirstEnergy Transmission LLC 144A | 5.45 | 7-15-2044 | 200,000 | 244,593 | |
NRG Energy Incorporated | 5.75 | 1-15-2028 | 200,000 | 212,500 | |
PG&E Corporation | 5.00 | 7-1-2028 | 200,000 | 210,250 | |
Talen Energy Supply LLC | 6.50 | 6-1-2025 | 200,000 | 174,750 | |
842,093 |
Interest rate | Maturity date | Principal | Value | ||
Gas utilities: 0.42% | |||||
Global Partners LP | 7.00% | 8-1-2027 | $200,000 | $ 212,000 | |
Independent power & renewable electricity producers: 1.65% | |||||
Calpine Corporation 144A | 5.00 | 2-1-2031 | 390,000 | 385,988 | |
TerraForm Power Operating LLC 144A | 4.75 | 1-15-2030 | 220,000 | 231,642 | |
Vistra Operations Company LLC 144A | 5.63 | 2-15-2027 | 200,000 | 209,000 | |
826,630 | |||||
Total Corporate bonds and notes (Cost $39,089,306) | 40,306,341 | ||||
Yankee corporate bonds and notes: 17.22% | |||||
Communication services: 4.75% | |||||
Diversified telecommunication services: 2.11% | |||||
Altice France Holding SA 144A | 6.00 | 2-15-2028 | 210,000 | 205,538 | |
SFR Group SA 144A | 7.38 | 5-1-2026 | 300,000 | 312,810 | |
Telecom Italia Capital SpA | 6.00 | 9-30-2034 | 200,000 | 230,020 | |
Virgin Media Secured Finance plc 144A | 4.50 | 8-15-2030 | 300,000 | 306,750 | |
1,055,118 | |||||
Media: 1.29% | |||||
Altice Finco SA 144A | 5.00 | 1-15-2028 | 230,000 | 230,025 | |
Videotron Limited 144A | 5.13 | 4-15-2027 | 200,000 | 208,750 | |
Ziggo BV 144A | 4.88 | 1-15-2030 | 200,000 | 208,750 | |
647,525 | |||||
Wireless telecommunication services: 1.35% | |||||
C&W Senior Financing Designated Activity 144A | 6.88 | 9-15-2027 | 200,000 | 214,250 | |
VEON Holdings BV 144A | 4.00 | 4-9-2025 | 210,000 | 221,823 | |
Vodafone Group plc (USD Swap Semi Annual (vs. 3 Month LIBOR) 5 Year+4.87%)± | 7.00 | 4-4-2079 | 200,000 | 239,708 | |
675,781 | |||||
Consumer discretionary: 3.35% | |||||
Auto components: 0.40% | |||||
Adient Global Holdings Limited 144A | 4.88 | 8-15-2026 | 200,000 | 202,000 | |
Automobiles: 0.83% | |||||
IHO Verwaltungs GmbH (PIK at 6.75%) 144A¥ | 6.00 | 5-15-2027 | 210,000 | 221,025 | |
Jaguar Land Rover Automotive plc 144A | 4.50 | 10-1-2027 | 200,000 | 192,500 | |
413,525 | |||||
Hotels, restaurants & leisure: 1.73% | |||||
International Game Technology plc 144A | 6.25 | 1-15-2027 | 200,000 | 226,500 | |
Melco Resorts Finance Limited 144A | 5.38 | 12-4-2029 | 200,000 | 211,656 | |
MGM China Holdings Limited 144A | 5.38 | 5-15-2024 | 200,000 | 205,000 | |
Wynn Macau Limited 144A | 5.13 | 12-15-2029 | 220,000 | 224,400 | |
867,556 | |||||
Leisure products: 0.39% | |||||
VOC Escrow Limited 144A | 5.00 | 2-15-2028 | 200,000 | 197,620 |
Interest rate | Maturity date | Principal | Value | ||
Consumer staples: 0.44% | |||||
Food products: 0.44% | |||||
JBS USA LLC 144A | 6.75% | 2-15-2028 | $200,000 | $ 219,492 | |
Energy: 0.18% | |||||
Oil, gas & consumable fuels: 0.18% | |||||
Transocean Incorporated 144A | 11.50 | 1-30-2027 | 112,000 | 91,806 | |
Financials: 1.74% | |||||
Banks: 0.91% | |||||
Deutsche Bank AG (USD ICE Swap Rate 11:00am NY 5 Year+2.55%)± | 4.88 | 12-1-2032 | 220,000 | 234,080 | |
UniCredit SpA (USD ICE Swap Rate 11:00am NY 5 Year+3.70%)144A± | 5.86 | 6-19-2032 | 200,000 | 221,817 | |
455,897 | |||||
Diversified financial services: 0.83% | |||||
New Red Finance Incorporated 144A | 3.88 | 1-15-2028 | 200,000 | 203,020 | |
Trivium Packaging Finance BV 144A | 8.50 | 8-15-2027 | 200,000 | 214,500 | |
417,520 | |||||
Health care: 1.87% | |||||
Pharmaceuticals: 1.87% | |||||
Bausch Health Companies Incorporated 144A | 5.25 | 1-30-2030 | 200,000 | 203,340 | |
Bausch Health Companies Incorporated 144A | 8.50 | 1-31-2027 | 300,000 | 331,875 | |
Endo Limited 144A | 6.00 | 7-15-2023 | 200,000 | 178,000 | |
Endo Limited 144A | 9.50 | 7-31-2027 | 200,000 | 225,250 | |
938,465 | |||||
Industrials: 1.44% | |||||
Commercial services & supplies: 0.41% | |||||
GFL Environmental Incorporated 144A | 4.00 | 8-1-2028 | 210,000 | 204,750 | |
Electrical equipment: 0.44% | |||||
Sensata Technologies BV 144A | 5.00 | 10-1-2025 | 200,000 | 219,440 | |
Metals & mining: 0.59% | |||||
FMG Resources Proprietary Limited 144A | 5.13 | 3-15-2023 | 280,000 | 294,700 | |
Information technology: 1.28% | |||||
Communications equipment: 0.43% | |||||
Nokia OYJ | 4.38 | 6-12-2027 | 200,000 | 216,000 | |
Software: 0.42% | |||||
Open Text Corporation 144A | 5.88 | 6-1-2026 | 200,000 | 207,036 | |
Technology hardware, storage & peripherals: 0.43% | |||||
Seagate HDD Cayman 144A | 4.13 | 1-15-2031 | 210,000 | 216,452 | |
Materials: 1.77% | |||||
Chemicals: 0.43% | |||||
Methanex Corporation | 5.25 | 12-15-2029 | 210,000 | 215,381 |
Interest rate | Maturity date | Principal | Value | ||
Containers & packaging: 0.42% | |||||
Ardagh Packaging Finance plc 144A | 5.25% | 8-15-2027 | $200,000 | $ 207,190 | |
Metals & mining: 0.92% | |||||
Alcoa Europe Holding BV 144A | 6.13 | 5-15-2028 | 220,000 | 238,700 | |
ArcelorMittal SA | 4.55 | 3-11-2026 | 200,000 | 223,430 | |
462,130 | |||||
Real estate: 0.40% | |||||
Real estate management & development: 0.40% | |||||
Brookfield Property Partners LP 144A | 4.88 | 2-15-2030 | 200,000 | 202,388 | |
Total Yankee corporate bonds and notes (Cost $8,413,702) | 8,627,772 |
Yield | Shares | ||||
Short-term investments: 0.67% | |||||
Investment companies: 0.67% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 333,484 | 333,484 | ||
Total Short-term investments (Cost $333,484) | 333,484 | ||||
Total investments in securities (Cost $47,836,492) | 98.32% | 49,267,597 | |||
Other assets and liabilities, net | 1.68 | 844,170 | |||
Total net assets | 100.00% | $50,111,767 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
¥ | A payment-in-kind (PIK) security is a security in which the issuer may make interest or dividend payments in cash or additional securities or a combination of both. The rate shown is the rate in effect at period end. |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $1,339,300 | $155,635,812 | $(156,641,628) | $0 | $0 | $333,484 | 0.67% | 333,484 | $3,391 |
Assets | |
Investments in unaffiliated securities, at value (cost $47,503,008) | $ 48,934,113 |
Investments in affiliated securites, at value (cost $333,484) | 333,484 |
Receivable for interest | 690,960 |
Receivable for investments sold | 174,399 |
Prepaid expenses and other assets | 26,605 |
Total assets | 50,159,561 |
Liabilities | |
Professional fees payable | 42,702 |
Advisory fee payable | 2,784 |
Trustees’ fees and expenses payable | 857 |
Accrued expenses and other liabilities | 1,451 |
Total liabilities | 47,794 |
Total net assets | $50,111,767 |
Investment income | |
Interest | $ 6,150,391 |
Income from affiliated securities | 3,391 |
Total investment income | 6,153,782 |
Expenses | |
Advisory fee | 264,796 |
Custody and accounting fees | 9,597 |
Professional fees | 54,692 |
Interest holder report expenses | 8,504 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 9,276 |
Total expenses | 366,460 |
Less: Fee waivers and/or expense reimbursements | (78,577) |
Net expenses | 287,883 |
Net investment income | 5,865,899 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 2,256,834 |
Net change in unrealized gains (losses) on investments | 3,105,325 |
Net realized and unrealized gains (losses) on investments | 5,362,159 |
Net increase in net assets resulting from operations | $11,228,058 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 5,865,899 | $ 3,528,771 |
Net realized gains (losses) on investments | 2,256,834 | (1,300,689) |
Net change in unrealized gains (losses) on investments | 3,105,325 | 811,481 |
Net increase in net assets resulting from operations | 11,228,058 | 3,039,563 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 145,893,143 | 8,823,305 |
Withdrawals | (160,998,466) | (45,182,920) |
Net decrease in net assets resulting from capital transactions | (15,105,323) | (36,359,615) |
Total decrease in net assets | (3,877,265) | (33,320,052) |
Net assets | ||
Beginning of period | 53,989,032 | 87,309,084 |
End of period | $ 50,111,767 | $ 53,989,032 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 6.34% | 3.97% | 3.70% | 0.49% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.35% | 0.42% | 0.34% | 0.37% | ||
Net expenses | 0.27% 3 | 0.30% | 0.32% | 0.37% | ||
Net investment income | 5.54% | 5.54% | 6.06% | 5.36% | ||
Supplemental data | ||||||
Portfolio turnover rate | 169% | 52% | 47% | 122% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.08% higher. |
Gross unrealized gains | $1,377,381 |
Gross unrealized losses | (15,624) |
Net unrealized gains | $1,361,757 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Corporate bonds and notes | $ 0 | $ 40,306,341 | $0 | $ 40,306,341 |
Yankee corporate bonds and notes | 0 | 8,627,772 | 0 | 8,627,772 |
Short-term investments | ||||
Investment companies | 333,484 | 0 | 0 | 333,484 |
Total assets | $333,484 | $48,934,113 | $0 | $49,267,597 |
Average daily net assets | Advisory fee |
First $5 billion | 0.250% |
Next $5 billion | 0.230 |
Over $10 billion | 0.210 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Investment objective | The Portfolio seeks to replicate the total return of the Wells Fargo U.S. Investment Grade Corporate Bond Index, before fees and expenses. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Manjunath Boraiah†, Mark Clegg, CFA®‡, Janet S. Rilling, CFA®‡, Michael J. Schueller, CFA®‡, Noah M. Wise, CFA®‡ |
Ten largest holdings (%) as of February 28, 20211 | |
Baker Hughes LLC, 3.34%, 12-15-2027 | 0.72 |
Barclays plc, 4.97%, 5-16-2029 | 0.72 |
CVS Health Corporation, 5.05%, 3-25-2048 | 0.71 |
Southern Copper Corporation, 5.25%, 11-8-2042 | 0.66 |
McDonald's Corporation, 3.50%, 7-1-2027 | 0.63 |
Home Depot Incorporated, 2.70%, 4-15-2030 | 0.60 |
Cenovus Energy Incorporated, 5.38%, 7-15-2025 | 0.59 |
Mitsubishi UFJ Financial Group Incorporated, 3.22%, 3-7-2022 | 0.58 |
Pacific Gas & Electric Company, 2.50%, 2-1-2031 | 0.55 |
Alphabet Incorporated, 3.38%, 2-25-2024 | 0.51 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Sector allocation as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
† | Mr. Boraiah became a portfolio manager of the Portfolio on August 28, 2020. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Interest rate | Maturity date | Principal | Value | ||
Corporate bonds and notes: 81.17% | |||||
Communication services: 4.43% | |||||
Diversified telecommunication services: 1.13% | |||||
AT&T Incorporated | 4.30% | 12-15-2042 | $ 350,000 | $ 384,403 | |
AT&T Incorporated | 4.50 | 5-15-2035 | 230,000 | 264,880 | |
AT&T Incorporated | 4.90 | 6-15-2042 | 36,000 | 42,427 | |
T Mobile USA Incorporated 144A | 4.50 | 4-15-2050 | 800,000 | 889,088 | |
Verizon Communications Incorporated | 4.13 | 3-16-2027 | 200,000 | 230,606 | |
Verizon Communications Incorporated | 4.67 | 3-15-2055 | 655,000 | 794,846 | |
2,606,250 | |||||
Entertainment: 0.83% | |||||
Activision Blizzard | 1.35 | 9-15-2030 | 700,000 | 654,786 | |
Walt Disney Company | 2.20 | 1-13-2028 | 300,000 | 311,061 | |
Walt Disney Company | 2.65 | 1-13-2031 | 700,000 | 733,628 | |
Walt Disney Company | 4.13 | 12-1-2041 | 175,000 | 207,133 | |
1,906,608 | |||||
Interactive media & services: 0.51% | |||||
Alphabet Incorporated | 3.38 | 2-25-2024 | 1,087,000 | 1,182,117 | |
Media: 1.96% | |||||
CBS Corporation | 3.70 | 8-15-2024 | 350,000 | 381,855 | |
CBS Corporation | 4.85 | 7-1-2042 | 140,000 | 168,126 | |
CBS Corporation | 4.90 | 8-15-2044 | 350,000 | 416,683 | |
Charter Communications Operating LLC | 4.46 | 7-23-2022 | 400,000 | 418,551 | |
Charter Communications Operating LLC | 4.91 | 7-23-2025 | 400,000 | 456,629 | |
Comcast Corporation | 1.50 | 2-15-2031 | 400,000 | 378,463 | |
Comcast Corporation | 2.35 | 1-15-2027 | 210,000 | 220,797 | |
Comcast Corporation | 4.00 | 11-1-2049 | 200,000 | 230,066 | |
Discovery Communications LLC | 3.95 | 3-20-2028 | 400,000 | 446,614 | |
Discovery Communications LLC 144A | 4.00 | 9-15-2055 | 241,000 | 246,840 | |
Omnicom Group Incorporated | 3.63 | 5-1-2022 | 175,000 | 181,410 | |
Time Warner Cable Incorporated | 5.50 | 9-1-2041 | 210,000 | 257,027 | |
Time Warner Cable Incorporated | 8.38 | 3-15-2023 | 175,000 | 202,729 | |
Time Warner Entertainment Company LP | 8.38 | 7-15-2033 | 210,000 | 313,455 | |
Viacom Incorporated | 5.50 | 5-15-2033 | 140,000 | 173,906 | |
4,493,151 | |||||
Consumer discretionary: 4.83% | |||||
Automobiles: 0.10% | |||||
General Motors Company | 6.25 | 10-2-2043 | 175,000 | 235,192 | |
Hotels, restaurants & leisure: 1.49% | |||||
GLP Capital LP | 5.30 | 1-15-2029 | 400,000 | 457,052 | |
Marriott International Incorporated | 4.63 | 6-15-2030 | 400,000 | 455,552 | |
McDonald's Corporation | 3.38 | 5-26-2025 | 245,000 | 267,763 | |
McDonald's Corporation | 3.50 | 7-1-2027 | 1,300,000 | 1,452,302 | |
McDonald's Corporation | 4.60 | 5-26-2045 | 175,000 | 215,524 | |
Starbucks Corporation | 4.00 | 11-15-2028 | 500,000 | 580,279 | |
3,428,472 |
Interest rate | Maturity date | Principal | Value | ||
Household durables: 0.11% | |||||
Whirlpool Corporation | 4.00% | 3-1-2024 | $ 87,000 | $ 95,513 | |
Whirlpool Corporation | 4.70 | 6-1-2022 | 140,000 | 147,245 | |
242,758 | |||||
Internet & direct marketing retail: 0.72% | |||||
Amazon.com Incorporated | 4.05 | 8-22-2047 | 400,000 | 477,087 | |
Amazon.com Incorporated | 4.25 | 8-22-2057 | 400,000 | 499,267 | |
Amazon.com Incorporated | 4.95 | 12-5-2044 | 300,000 | 402,607 | |
eBay Incorporated | 4.00 | 7-15-2042 | 175,000 | 195,234 | |
Expedia Incorporated | 4.50 | 8-15-2024 | 70,000 | 76,965 | |
1,651,160 | |||||
Leisure products: 0.06% | |||||
Hasbro Incorporated | 6.35 | 3-15-2040 | 108,000 | 141,604 | |
Multiline retail: 0.62% | |||||
Dollar General Corporation | 3.25 | 4-15-2023 | 245,000 | 258,089 | |
Kohl's Corporation | 3.25 | 2-1-2023 | 105,000 | 109,109 | |
Target Corporation | 3.63 | 4-15-2046 | 910,000 | 1,052,325 | |
1,419,523 | |||||
Specialty retail: 1.66% | |||||
AutoZone Incorporated | 2.88 | 1-15-2023 | 175,000 | 181,940 | |
AutoZone Incorporated | 3.13 | 7-15-2023 | 105,000 | 110,932 | |
Home Depot Incorporated | 2.70 | 4-15-2030 | 1,300,000 | 1,387,718 | |
Home Depot Incorporated | 3.50 | 9-15-2056 | 260,000 | 284,236 | |
Lowe's Companies Incorporated | 2.50 | 4-15-2026 | 350,000 | 371,738 | |
Lowe's Companies Incorporated | 3.12 | 4-15-2022 | 140,000 | 143,424 | |
Lowe's Companies Incorporated | 3.88 | 9-15-2023 | 175,000 | 188,400 | |
Lowe's Companies Incorporated | 4.50 | 4-15-2030 | 300,000 | 356,885 | |
O'Reilly Automotive Incorporated | 3.80 | 9-1-2022 | 105,000 | 108,914 | |
TJX Companies Incorporated | 3.88 | 4-15-2030 | 600,000 | 687,455 | |
3,821,642 | |||||
Textiles, apparel & luxury goods: 0.07% | |||||
Nike Incorporated | 2.25 | 5-1-2023 | 70,000 | 72,663 | |
Nike Incorporated | 3.63 | 5-1-2043 | 70,000 | 79,565 | |
152,228 | |||||
Consumer staples: 7.28% | |||||
Beverages: 2.43% | |||||
Anheuser-Busch InBev Finance Company | 4.00 | 1-17-2043 | 210,000 | 228,696 | |
Anheuser-Busch InBev Finance Company | 4.63 | 2-1-2044 | 245,000 | 282,788 | |
Anheuser-Busch InBev Worldwide Incorporated | 4.75 | 4-15-2058 | 400,000 | 475,525 | |
Constellation Brands Incorporated | 3.15 | 8-1-2029 | 300,000 | 321,721 | |
Constellation Brands Incorporated | 4.25 | 5-1-2023 | 360,000 | 387,998 | |
Keurig Dr Pepper Incorporated | 4.60 | 5-25-2028 | 700,000 | 826,622 | |
Molson Coors Beverage Company | 4.20 | 7-15-2046 | 1,000,000 | 1,070,895 | |
PepsiCo Incorporated | 2.75 | 3-5-2022 | 259,000 | 265,510 | |
PepsiCo Incorporated | 3.60 | 8-13-2042 | 285,000 | 321,769 | |
PepsiCo Incorporated | 4.00 | 3-5-2042 | 175,000 | 207,144 | |
PepsiCo Incorporated | 4.25 | 10-22-2044 | 140,000 | 172,196 | |
The Coca-Cola Company | 2.88 | 10-27-2025 | 200,000 | 217,902 |
Interest rate | Maturity date | Principal | Value | ||
Beverages (continued) | |||||
The Coca-Cola Company | 3.20% | 11-1-2023 | $ 280,000 | $ 301,725 | |
The Coca-Cola Company | 4.20 | 3-25-2050 | 400,000 | 493,407 | |
5,573,898 | |||||
Food & staples retailing: 1.85% | |||||
Costco Wholesale Corporation | 1.60 | 4-20-2030 | 1,000,000 | 977,658 | |
Sysco Corporation | 3.30 | 7-15-2026 | 200,000 | 218,868 | |
Sysco Corporation | 5.38 | 9-21-2035 | 200,000 | 258,509 | |
The Kroger Company | 3.40 | 4-15-2022 | 175,000 | 179,667 | |
The Kroger Company | 3.85 | 8-1-2023 | 175,000 | 187,792 | |
The Kroger Company | 5.00 | 4-15-2042 | 175,000 | 221,053 | |
The Kroger Company | 5.15 | 8-1-2043 | 105,000 | 134,805 | |
Walgreens Boots Alliance Incorporated | 3.45 | 6-1-2026 | 200,000 | 220,199 | |
Walgreens Boots Alliance Incorporated | 3.80 | 11-18-2024 | 200,000 | 220,085 | |
Walgreens Boots Alliance Incorporated | 4.80 | 11-18-2044 | 300,000 | 341,824 | |
Wal-Mart Stores Incorporated | 3.40 | 6-26-2023 | 900,000 | 962,152 | |
Wal-Mart Stores Incorporated | 4.88 | 7-8-2040 | 175,000 | 232,746 | |
Wal-Mart Stores Incorporated | 5.88 | 4-5-2027 | 70,000 | 88,499 | |
4,243,857 | |||||
Food products: 1.38% | |||||
Archer Daniels Midland | 3.75 | 9-15-2047 | 400,000 | 462,326 | |
Campbell Soup Company | 2.50 | 8-2-2022 | 85,000 | 87,552 | |
Conagra Brands Incorporated | 4.60 | 11-1-2025 | 200,000 | 229,911 | |
Conagra Brands Incorporated | 8.25 | 9-15-2030 | 84,000 | 122,868 | |
General Mills Incorporated | 3.65 | 2-15-2024 | 175,000 | 190,793 | |
Mead Johnson Nutrition Company | 5.90 | 11-1-2039 | 70,000 | 99,037 | |
Mondelez Iternational | 2.75 | 4-13-2030 | 1,000,000 | 1,047,056 | |
Tyson Foods Incorporated | 4.35 | 3-1-2029 | 300,000 | 349,313 | |
Tyson Foods Incorporated | 4.50 | 6-15-2022 | 350,000 | 364,698 | |
Tyson Foods Incorporated | 4.88 | 8-15-2034 | 175,000 | 221,019 | |
3,174,573 | |||||
Household products: 0.26% | |||||
Clorox Company | 3.05 | 9-15-2022 | 113,000 | 116,959 | |
Clorox Company | 3.50 | 12-15-2024 | 140,000 | 154,244 | |
Kimberly-Clark Corporation | 2.40 | 6-1-2023 | 105,000 | 109,383 | |
Kimberly-Clark Corporation | 6.63 | 8-1-2037 | 140,000 | 216,795 | |
597,381 | |||||
Personal products: 0.09% | |||||
Estee Lauder Companies Incorporated | 6.00 | 5-15-2037 | 140,000 | 196,562 | |
Tobacco: 1.27% | |||||
Altria Group Incorporated | 3.88 | 9-16-2046 | 1,000,000 | 975,569 | |
Altria Group Incorporated | 4.00 | 1-31-2024 | 62,000 | 67,804 | |
Altria Group Incorporated | 4.50 | 5-2-2043 | 175,000 | 188,055 | |
Philip Morris International Incorporated | 2.50 | 8-22-2022 | 175,000 | 180,597 | |
Philip Morris International Incorporated | 2.63 | 3-6-2023 | 122,000 | 127,203 | |
Philip Morris International Incorporated | 3.25 | 11-10-2024 | 210,000 | 228,984 | |
Philip Morris International Incorporated | 4.25 | 11-10-2044 | 210,000 | 241,700 | |
Philip Morris International Incorporated | 4.50 | 3-20-2042 | 140,000 | 165,721 | |
Reynolds American Incorporated | 4.45 | 6-12-2025 | 350,000 | 390,775 |
Interest rate | Maturity date | Principal | Value | ||
Tobacco (continued) | |||||
Reynolds American Incorporated | 5.70% | 8-15-2035 | $ 210,000 | $ 253,017 | |
Reynolds American Incorporated | 6.15 | 9-15-2043 | 87,000 | 108,490 | |
2,927,915 | |||||
Energy: 7.49% | |||||
Energy equipment & services: 1.22% | |||||
Baker Hughes LLC | 3.34 | 12-15-2027 | 1,500,000 | 1,656,490 | |
Halliburton Company | 3.50 | 8-1-2023 | 350,000 | 371,508 | |
Halliburton Company | 3.80 | 11-15-2025 | 350,000 | 389,893 | |
Halliburton Company | 4.50 | 11-15-2041 | 175,000 | 188,381 | |
Halliburton Company | 4.75 | 8-1-2043 | 175,000 | 195,297 | |
2,801,569 | |||||
Oil, gas & consumable fuels: 6.27% | |||||
Boardwalk Pipelines LP | 3.38 | 2-1-2023 | 70,000 | 72,799 | |
BP Capital Markets America Incorporated | 3.00 | 2-24-2050 | 200,000 | 185,888 | |
BP Capital Markets America Incorporated | 3.94 | 9-21-2028 | 200,000 | 227,410 | |
Chevron Corporation | 3.08 | 5-11-2050 | 700,000 | 698,165 | |
Columbia Pipeline Group Incorporated | 5.80 | 6-1-2045 | 140,000 | 178,123 | |
ConocoPhillips Company 144A | 2.40 | 2-15-2031 | 800,000 | 813,047 | |
ConocoPhillips Company | 4.30 | 11-15-2044 | 210,000 | 250,639 | |
ConocoPhillips Company | 5.90 | 10-15-2032 | 175,000 | 238,707 | |
ConocoPhillips Company | 6.95 | 4-15-2029 | 210,000 | 287,395 | |
Devon Energy Corporation | 7.95 | 4-15-2032 | 150,000 | 211,462 | |
Diamondback Energy Incorporated | 3.50 | 12-1-2029 | 900,000 | 945,822 | |
Enbridge Energy Partners LP | 5.50 | 9-15-2040 | 140,000 | 171,822 | |
Energy Transfer Partners LP | 4.90 | 2-1-2024 | 210,000 | 229,895 | |
Energy Transfer Partners LP | 5.95 | 10-1-2043 | 140,000 | 159,076 | |
Energy Transfer Partners LP | 7.50 | 7-1-2038 | 70,000 | 94,589 | |
Enterprise Products Operating LLC | 4.85 | 3-15-2044 | 280,000 | 328,735 | |
Enterprise Products Operating LLC | 5.70 | 2-15-2042 | 140,000 | 183,677 | |
Enterprise Products Operating LLC | 5.95 | 2-1-2041 | 70,000 | 93,027 | |
Enterprise Products Operating LLC | 7.55 | 4-15-2038 | 70,000 | 104,159 | |
Exxon Mobil Corporation | 2.71 | 3-6-2025 | 350,000 | 372,308 | |
Exxon Mobil Corporation | 3.04 | 3-1-2026 | 500,000 | 542,459 | |
Hess Corporation | 7.30 | 8-15-2031 | 269,000 | 354,586 | |
Kinder Morgan Energy Partners LP | 3.45 | 2-15-2023 | 175,000 | 183,608 | |
Kinder Morgan Energy Partners LP | 5.00 | 8-15-2042 | 175,000 | 201,449 | |
Kinder Morgan Energy Partners LP | 5.00 | 3-1-2043 | 157,000 | 181,272 | |
Kinder Morgan Energy Partners LP | 5.50 | 3-1-2044 | 210,000 | 253,152 | |
Kinder Morgan Energy Partners LP | 5.80 | 3-15-2035 | 70,000 | 88,565 | |
Magellan Midstream Partners LP | 5.15 | 10-15-2043 | 140,000 | 168,870 | |
Marathon Oil Corporation | 3.85 | 6-1-2025 | 245,000 | 264,996 | |
Marathon Oil Corporation | 5.20 | 6-1-2045 | 140,000 | 162,519 | |
Marathon Petroleum Corporation | 3.63 | 9-15-2024 | 350,000 | 380,844 | |
Marathon Petroleum Corporation | 3.80 | 4-1-2028 | 385,000 | 424,105 | |
MPLX LP | 4.13 | 3-1-2027 | 200,000 | 223,938 | |
MPLX LP | 4.88 | 6-1-2025 | 200,000 | 226,665 | |
MPLX LP | 5.20 | 3-1-2047 | 220,000 | 256,166 | |
ONEOK Incorporated | 4.00 | 7-13-2027 | 200,000 | 219,556 | |
ONEOK Incorporated | 4.55 | 7-15-2028 | 500,000 | 561,198 | |
Phillips 66 | 4.65 | 11-15-2034 | 140,000 | 165,598 | |
Plains All American Pipeline LP | 3.60 | 11-1-2024 | 210,000 | 224,762 |
Interest rate | Maturity date | Principal | Value | ||
Oil, gas & consumable fuels (continued) | |||||
Plains All American Pipeline LP | 3.85% | 10-15-2023 | $ 350,000 | $ 372,469 | |
Plains All American Pipeline LP | 4.90 | 2-15-2045 | 175,000 | 175,916 | |
Sabine Pass Liquefaction LLC | 5.00 | 3-15-2027 | 400,000 | 465,056 | |
Sabine Pass Liquefaction LLC | 5.63 | 3-1-2025 | 200,000 | 230,573 | |
Sabine Pass Liquefaction LLC | 5.88 | 6-30-2026 | 200,000 | 238,510 | |
Spectra Energy Partners LP | 3.38 | 10-15-2026 | 300,000 | 328,355 | |
Spectra Energy Partners LP | 4.75 | 3-15-2024 | 245,000 | 271,458 | |
Sunoco Logistics Partner LP | 3.45 | 1-15-2023 | 140,000 | 145,729 | |
Sunoco Logistics Partner LP | 4.95 | 1-15-2043 | 105,000 | 107,855 | |
Sunoco Logistics Partner LP | 5.35 | 5-15-2045 | 140,000 | 150,536 | |
Tennessee Gas Pipeline Company | 7.00 | 10-15-2028 | 175,000 | 226,642 | |
Williams Companies Incorporated | 4.85 | 3-1-2048 | 200,000 | 232,165 | |
Williams Partners LP | 3.35 | 8-15-2022 | 175,000 | 180,941 | |
Williams Partners LP | 6.30 | 4-15-2040 | 273,000 | 357,786 | |
14,415,044 | |||||
Financials: 16.11% | |||||
Banks: 5.64% | |||||
ABB Finance (USA) Incorporated | 4.38 | 5-8-2042 | 26,000 | 32,571 | |
Bank of America Corporation | 3.25 | 10-21-2027 | 525,000 | 575,582 | |
Bank of America Corporation (3 Month LIBOR+1.19%)± | 3.95 | 1-23-2049 | 200,000 | 231,505 | |
Bank of America Corporation | 4.18 | 11-25-2027 | 560,000 | 634,375 | |
Bank of America Corporation | 4.25 | 10-22-2026 | 280,000 | 320,781 | |
Bank One Corporation | 7.63 | 10-15-2026 | 168,000 | 223,504 | |
BB&T Corporation | 2.85 | 10-26-2024 | 500,000 | 538,348 | |
Citigroup Incorporated | 2.75 | 4-25-2022 | 200,000 | 205,141 | |
Citigroup Incorporated | 4.60 | 3-9-2026 | 200,000 | 229,517 | |
Citigroup Incorporated | 4.65 | 7-30-2045 | 300,000 | 375,661 | |
Citigroup Incorporated | 4.75 | 5-18-2046 | 300,000 | 371,064 | |
Citizens Financial Group Incorporated 144A | 4.30 | 2-11-2031 | 200,000 | 221,500 | |
Compass Bank | 3.88 | 4-10-2025 | 250,000 | 276,928 | |
Deutsche Bank | 3.95 | 2-27-2023 | 300,000 | 318,101 | |
Discover Bank | 4.20 | 8-8-2023 | 310,000 | 336,906 | |
Discover Bank | 4.25 | 3-13-2026 | 250,000 | 283,952 | |
Discover Bank | 4.65 | 9-13-2028 | 250,000 | 292,854 | |
Fifth Third Bancorp | 3.95 | 3-14-2028 | 400,000 | 466,158 | |
JPMorgan Chase & Company | 2.95 | 10-1-2026 | 325,000 | 353,582 | |
JPMorgan Chase & Company | 3.20 | 1-25-2023 | 200,000 | 210,966 | |
JPMorgan Chase & Company | 4.13 | 12-15-2026 | 500,000 | 573,078 | |
JPMorgan Chase & Company (3 Month LIBOR+1.58%)± | 4.26 | 2-22-2048 | 240,000 | 292,794 | |
Key Bank NA | 3.18 | 10-15-2027 | 250,000 | 258,939 | |
Key Bank NA | 3.30 | 6-1-2025 | 250,000 | 274,647 | |
KeyCorp Incorporated | 4.10 | 4-30-2028 | 400,000 | 466,162 | |
PNC Bank NA | 2.95 | 1-30-2023 | 300,000 | 314,019 | |
PNC Bank NA | 3.25 | 1-22-2028 | 1,050,000 | 1,162,380 | |
PNC Bank NA | 4.20 | 11-1-2025 | 250,000 | 285,159 | |
Santander Holdings USA Incorporated | 4.50 | 7-17-2025 | 350,000 | 390,937 | |
Truist Bank | 2.20 | 3-16-2023 | 1,100,000 | 1,138,957 | |
Truist Bank | 3.30 | 5-15-2026 | 200,000 | 219,117 | |
UnionBank Corporation | 3.50 | 6-18-2022 | 140,000 | 145,673 | |
US Bancorp | 2.38 | 7-22-2026 | 190,000 | 201,324 |
Interest rate | Maturity date | Principal | Value | ||
Banks (continued) | |||||
US Bancorp | 3.00% | 3-15-2022 | $ 350,000 | $ 359,202 | |
US Bancorp | 3.60 | 9-11-2024 | 350,000 | 385,504 | |
12,966,888 | |||||
Capital markets: 3.65% | |||||
Bank of New York Mellon Corporation | 2.95 | 1-29-2023 | 300,000 | 314,408 | |
Bank of New York Mellon Corporation | 3.00 | 10-30-2028 | 700,000 | 758,399 | |
Bank of New York Mellon Corporation | 3.40 | 1-29-2028 | 300,000 | 335,504 | |
BlackRock Incorporated | 3.25 | 4-30-2029 | 900,000 | 1,009,024 | |
CME Group Incorporated | 4.15 | 6-15-2048 | 200,000 | 250,521 | |
Goldman Sachs Group Incorporated | 3.75 | 5-22-2025 | 350,000 | 386,656 | |
Goldman Sachs Group Incorporated | 4.75 | 10-21-2045 | 400,000 | 517,150 | |
Goldman Sachs Group Incorporated | 6.13 | 2-15-2033 | 200,000 | 275,777 | |
Jefferies Group Incorporated | 5.13 | 1-20-2023 | 175,000 | 189,721 | |
Jefferies Group Incorporated | 6.45 | 6-8-2027 | 105,000 | 133,822 | |
Legg Mason Incorporated | 4.75 | 3-15-2026 | 190,000 | 222,008 | |
Moody's Corporation | 4.50 | 9-1-2022 | 175,000 | 183,548 | |
Moody's Corporation | 5.25 | 7-15-2044 | 210,000 | 277,260 | |
Morgan Stanley | 4.30 | 1-27-2045 | 350,000 | 429,503 | |
Morgan Stanley | 5.00 | 11-24-2025 | 200,000 | 233,471 | |
Morgan Stanley | 6.25 | 8-9-2026 | 300,000 | 376,470 | |
Morgan Stanley | 7.25 | 4-1-2032 | 329,000 | 483,197 | |
Northern Trust Corporation | 3.95 | 10-30-2025 | 175,000 | 198,028 | |
PPL Capital Funding Incorporated | 3.10 | 5-15-2026 | 100,000 | 108,448 | |
PPL Capital Funding Incorporated | 4.20 | 6-15-2022 | 140,000 | 145,530 | |
PPL Capital Funding Incorporated | 4.70 | 6-1-2043 | 87,000 | 102,617 | |
S&P Global Incorporated | 4.00 | 6-15-2025 | 227,000 | 254,681 | |
State Street Corporation | 2.65 | 5-19-2026 | 400,000 | 433,607 | |
TD Ameritrade Holding Corporation | 3.63 | 4-1-2025 | 140,000 | 154,045 | |
The Charles Schwab Corporation | 4.63 | 3-22-2030 | 500,000 | 606,139 | |
8,379,534 | |||||
Consumer finance: 2.07% | |||||
American Express Company | 2.50 | 8-1-2022 | 400,000 | 411,743 | |
American Express Company | 2.65 | 12-2-2022 | 402,000 | 418,279 | |
American Express Company | 4.20 | 11-6-2025 | 200,000 | 228,676 | |
American Honda Finance Corporation | 2.90 | 2-16-2024 | 200,000 | 213,963 | |
American Honda Finance Corporation | 3.45 | 7-14-2023 | 200,000 | 214,006 | |
Capital One Financial Corporation | 3.75 | 7-28-2026 | 525,000 | 578,572 | |
Caterpillar Financial Services Corporation | 2.63 | 3-1-2023 | 260,000 | 272,081 | |
Caterpillar Financial Services Corporation | 3.25 | 12-1-2024 | 200,000 | 219,283 | |
Caterpillar Financial Services Corporation | 3.75 | 11-24-2023 | 175,000 | 190,994 | |
Discover Financial Services | 3.95 | 11-6-2024 | 200,000 | 219,816 | |
General Motors Financial Company Incorporated | 3.70 | 5-9-2023 | 380,000 | 402,556 | |
Synchrony Financial | 5.15 | 3-19-2029 | 900,000 | 1,068,596 | |
Toyota Motor Credit Corporation | 2.63 | 1-10-2023 | 310,000 | 322,948 | |
4,761,513 | |||||
Diversified financial services: 0.07% | |||||
National Rural Utilities Cooperative Finance Corporation | 4.02 | 11-1-2032 | 140,000 | 167,065 | |
Insurance: 3.83% | |||||
Allstate Corporation (3 Month LIBOR+2.12%)± | 6.50 | 5-15-2057 | 140,000 | 184,100 | |
American International Group Incorporated | 4.50 | 7-16-2044 | 900,000 | 1,079,335 |
Interest rate | Maturity date | Principal | Value | ||
Insurance (continued) | |||||
American International Group Incorporated (3 Month LIBOR+2.87%)± | 5.75% | 4-1-2048 | $ 200,000 | $ 226,950 | |
Aon Corporation | 6.25 | 9-30-2040 | 70,000 | 99,835 | |
Arch Capital Group Limited | 5.14 | 11-1-2043 | 147,000 | 185,760 | |
Berkshire Hathaway Incorporated | 3.00 | 2-11-2023 | 75,000 | 78,875 | |
Berkshire Hathaway Incorporated | 3.13 | 3-15-2026 | 525,000 | 576,631 | |
Berkshire Hathaway Incorporated | 4.50 | 2-11-2043 | 275,000 | 348,349 | |
Chubb Corporation | 6.00 | 5-11-2037 | 196,000 | 283,922 | |
Hartford Financial Services Group Incorporated | 4.30 | 4-15-2043 | 30,000 | 35,616 | |
Lincoln National Corporation | 4.00 | 9-1-2023 | 175,000 | 189,968 | |
Loews Corporation | 2.63 | 5-15-2023 | 105,000 | 109,517 | |
Loews Corporation | 4.13 | 5-15-2043 | 140,000 | 159,547 | |
Marsh & Mclennan Compnay Incorporated | 3.50 | 6-3-2024 | 200,000 | 216,764 | |
Marsh & Mclennan Compnay Incorporated | 3.88 | 3-15-2024 | 200,000 | 219,375 | |
Marsh & Mclennan Compnay Incorporated | 4.90 | 3-15-2049 | 200,000 | 266,777 | |
MetLife Incorporated | 3.05 | 12-15-2022 | 190,000 | 199,249 | |
MetLife Incorporated | 4.13 | 8-13-2042 | 210,000 | 251,801 | |
MetLife Incorporated | 4.72 | 12-15-2044 | 175,000 | 224,121 | |
MetLife Incorporated | 6.38 | 6-15-2034 | 196,000 | 287,963 | |
MetLife Incorporated | 6.40 | 12-15-2066 | 200,000 | 254,819 | |
MetLife Incorporated | 6.50 | 12-15-2032 | 140,000 | 204,217 | |
Principal Financial Group Incorporated | 3.30 | 9-15-2022 | 175,000 | 182,543 | |
Principal Financial Group Incorporated | 3.40 | 5-15-2025 | 140,000 | 152,730 | |
Progressive Corporation | 6.25 | 12-1-2032 | 252,000 | 352,063 | |
Prudential Financial Incorporated | 3.91 | 12-7-2047 | 155,000 | 176,680 | |
Prudential Financial Incorporated | 3.94 | 12-7-2049 | 200,000 | 228,804 | |
Prudential Financial Incorporated | 4.60 | 5-15-2044 | 350,000 | 433,530 | |
Prudential Financial Incorporated (3 Month LIBOR+3.04%)± | 5.20 | 3-15-2044 | 175,000 | 186,803 | |
Prudential Financial Incorporated | 5.75 | 7-15-2033 | 350,000 | 463,859 | |
Prudential Financial Incorporated | 6.63 | 12-1-2037 | 45,000 | 64,908 | |
Transatlantic Holdings Incorporated | 8.00 | 11-30-2039 | 70,000 | 107,226 | |
Travelers Companies Incorporated | 4.60 | 8-1-2043 | 600,000 | 767,578 | |
8,800,215 | |||||
Mortgage REITs: 0.85% | |||||
CC Holdings GS V LLC | 3.85 | 4-15-2023 | 350,000 | 373,973 | |
ERP Operating LP | 4.00 | 8-1-2047 | 400,000 | 454,195 | |
Ventas Realty LP | 3.50 | 2-1-2025 | 400,000 | 434,313 | |
Ventas Realty LP | 4.40 | 1-15-2029 | 600,000 | 685,411 | |
1,947,892 | |||||
Health care: 9.75% | |||||
Biotechnology: 1.80% | |||||
AbbVie Incorporated | 3.20 | 5-14-2026 | 420,000 | 458,225 | |
AbbVie Incorporated | 4.45 | 5-14-2046 | 200,000 | 235,465 | |
AbbVie Incorporated 144A | 4.85 | 6-15-2044 | 350,000 | 432,961 | |
Amgen Incorporated 144A | 2.77 | 9-1-2053 | 319,000 | 289,729 | |
Amgen Incorporated | 3.63 | 5-15-2022 | 200,000 | 205,673 | |
Amgen Incorporated | 3.63 | 5-22-2024 | 350,000 | 381,022 | |
Baxalta Incorporated | 5.25 | 6-23-2045 | 280,000 | 373,095 | |
Biogen Incorporated | 2.25 | 5-1-2030 | 700,000 | 700,669 | |
Gilead Sciences Incorporated | 3.65 | 3-1-2026 | 350,000 | 388,684 |
Interest rate | Maturity date | Principal | Value | ||
Biotechnology (continued) | |||||
Gilead Sciences Incorporated | 4.50% | 2-1-2045 | $ 200,000 | $ 238,147 | |
Gilead Sciences Incorporated | 4.75 | 3-1-2046 | 350,000 | 431,610 | |
4,135,280 | |||||
Health care equipment & supplies: 1.29% | |||||
Abbott Laboratories | 6.00 | 4-1-2039 | 105,000 | 153,467 | |
Abbott Laboratories | 6.15 | 11-30-2037 | 166,000 | 246,783 | |
Becton Dickinson & Company | 2.89 | 6-6-2022 | 426,000 | 438,277 | |
Boston Scientific Corporation | 3.85 | 5-15-2025 | 200,000 | 222,088 | |
Catholic Health Initiatives | 4.35 | 11-1-2042 | 175,000 | 199,659 | |
Medtronic Incorporated | 3.50 | 3-15-2025 | 140,000 | 154,232 | |
Stryker Corporation | 4.63 | 3-15-2046 | 350,000 | 441,919 | |
Zimmer Biomet Holdings | 3.55 | 3-20-2030 | 1,000,000 | 1,099,064 | |
2,955,489 | |||||
Health care providers & services: 3.34% | |||||
Aetna Incorporated | 4.13 | 11-15-2042 | 175,000 | 195,742 | |
Aetna Incorporated | 4.50 | 5-15-2042 | 200,000 | 234,230 | |
AmerisourceBergen Corporation | 4.25 | 3-1-2045 | 175,000 | 198,322 | |
Anthem Incorporated | 4.38 | 12-1-2047 | 200,000 | 238,328 | |
Cardinal Health Incorporated | 2.62 | 6-15-2022 | 400,000 | 410,148 | |
CIGNA Corporation Company 144A | 3.00 | 7-15-2023 | 300,000 | 316,741 | |
CIGNA Corporation Company 144A | 4.80 | 7-15-2046 | 210,000 | 260,694 | |
CIGNA Corporation Company 144A | 6.13 | 11-15-2041 | 175,000 | 245,857 | |
CVS Health Corporation | 5.05 | 3-25-2048 | 1,300,000 | 1,641,878 | |
HCA Incorporated | 5.50 | 6-15-2047 | 500,000 | 638,903 | |
Humana Incorporated | 3.15 | 12-1-2022 | 210,000 | 218,375 | |
Kaiser Foundation Hospitals | 4.88 | 4-1-2042 | 175,000 | 233,180 | |
Laboratory Corporation of America Holdings | 3.75 | 8-23-2022 | 39,000 | 40,572 | |
Laboratory Corporation of America Holdings | 4.00 | 11-1-2023 | 105,000 | 113,452 | |
McKesson Corporation | 2.85 | 3-15-2023 | 140,000 | 145,909 | |
Quest Diagnostics Incorporated | 2.95 | 6-30-2030 | 300,000 | 319,961 | |
UnitedHealth Group Incorporated | 4.20 | 1-15-2047 | 200,000 | 237,566 | |
UnitedHealth Group Incorporated | 4.25 | 3-15-2043 | 175,000 | 210,117 | |
UnitedHealth Group Incorporated | 4.25 | 4-15-2047 | 300,000 | 359,478 | |
UnitedHealth Group Incorporated | 4.25 | 6-15-2048 | 300,000 | 362,634 | |
UnitedHealth Group Incorporated | 6.63 | 11-15-2037 | 105,000 | 158,949 | |
WellPoint Incorporated | 3.13 | 5-15-2022 | 350,000 | 361,629 | |
WellPoint Incorporated | 3.30 | 1-15-2023 | 200,000 | 210,232 | |
WellPoint Incorporated | 4.65 | 8-15-2044 | 50,000 | 61,559 | |
WellPoint Incorporated | 5.85 | 1-15-2036 | 200,000 | 270,856 | |
7,685,312 | |||||
Life sciences tools & services: 0.13% | |||||
Agilent Technologies Incorporated | 3.88 | 7-15-2023 | 105,000 | 112,522 | |
Thermo Fisher Scientific Incorporated | 5.30 | 2-1-2044 | 140,000 | 195,086 | |
307,608 | |||||
Pharmaceuticals: 3.19% | |||||
Bristol-Myers Squibb Company | 3.25 | 11-1-2023 | 109,000 | 116,979 | |
Bristol-Myers Squibb Company 144A | 3.88 | 8-15-2025 | 175,000 | 196,340 | |
Bristol-Myers Squibb Company | 4.50 | 3-1-2044 | 200,000 | 258,625 | |
Bristol-Myers Squibb Company | 4.63 | 5-15-2044 | 240,000 | 305,332 | |
Eli Lilly & Company | 2.75 | 6-1-2025 | 70,000 | 75,072 |
Interest rate | Maturity date | Principal | Value | ||
Pharmaceuticals (continued) | |||||
Eli Lilly & Company | 3.95% | 3-15-2049 | $ 600,000 | $ 709,540 | |
GlaxoSmithKline Capital Incorporated | 2.80 | 3-18-2023 | 140,000 | 146,766 | |
GlaxoSmithKline Capital Incorporated | 5.38 | 4-15-2034 | 210,000 | 287,344 | |
Johnson & Johnson | 3.70 | 3-1-2046 | 175,000 | 202,215 | |
Johnson & Johnson | 4.38 | 12-5-2033 | 200,000 | 249,334 | |
Johnson & Johnson | 4.95 | 5-15-2033 | 126,000 | 165,535 | |
Merck & Company Incorporated | 2.75 | 2-10-2025 | 270,000 | 288,961 | |
Merck & Company Incorporated | 3.70 | 2-10-2045 | 200,000 | 228,620 | |
Mylan Incorporated | 4.20 | 11-29-2023 | 200,000 | 217,193 | |
Novartis Capital Corporation | 2.40 | 9-21-2022 | 350,000 | 361,379 | |
Novartis Capital Corporation | 2.75 | 8-14-2050 | 600,000 | 592,800 | |
Novartis Capital Corporation | 3.70 | 9-21-2042 | 175,000 | 200,852 | |
Pfizer Incorporated | 3.00 | 12-15-2026 | 400,000 | 442,408 | |
Pfizer Incorporated | 3.90 | 3-15-2039 | 200,000 | 235,491 | |
Pfizer Incorporated | 4.30 | 6-15-2043 | 210,000 | 255,431 | |
Royalty Pharma Company 144A | 2.20 | 9-2-2030 | 1,100,000 | 1,082,260 | |
Schering-Plough Corporation | 6.50 | 12-1-2033 | 175,000 | 260,810 | |
Zoetis Incorporated | 4.70 | 2-1-2043 | 350,000 | 445,508 | |
7,324,795 | |||||
Industrials: 8.77% | |||||
Aerospace & defense: 2.36% | |||||
General Dynamics Corporation | 2.25 | 11-15-2022 | 350,000 | 359,777 | |
L3Harris Technologies Incorporated | 2.90 | 12-15-2029 | 900,000 | 961,970 | |
Lockheed Martin Corporation | 4.07 | 12-15-2042 | 229,000 | 272,494 | |
Lockheed Martin Corporation | 4.70 | 5-15-2046 | 350,000 | 447,531 | |
Lockheed Martin Corporation | 6.15 | 9-1-2036 | 122,000 | 175,971 | |
Northrop Grumman Corporation | 4.03 | 10-15-2047 | 400,000 | 456,131 | |
Northrop Grumman Corporation | 5.05 | 11-15-2040 | 70,000 | 90,915 | |
Northrop Grumman Corporation | 7.75 | 2-15-2031 | 210,000 | 308,284 | |
Precision Castparts Corporation | 2.50 | 1-15-2023 | 175,000 | 181,068 | |
Precision Castparts Corporation | 3.90 | 1-15-2043 | 140,000 | 154,262 | |
Raytheon Technologies Corporation 144A | 4.80 | 12-15-2043 | 175,000 | 212,950 | |
Raytheon Technologies Corporation 144A | 7.20 | 8-15-2027 | 84,000 | 111,598 | |
Textron Incorporated | 4.30 | 3-1-2024 | 140,000 | 152,634 | |
The Boeing Company | 2.60 | 10-30-2025 | 300,000 | 306,522 | |
The Boeing Company | 2.80 | 3-1-2023 | 200,000 | 207,376 | |
The Boeing Company | 3.20 | 3-1-2029 | 200,000 | 205,555 | |
The Boeing Company | 5.88 | 2-15-2040 | 21,000 | 25,701 | |
United Technologies Corporation | 3.75 | 11-1-2046 | 200,000 | 218,967 | |
United Technologies Corporation | 7.50 | 9-15-2029 | 400,000 | 563,545 | |
5,413,251 | |||||
Air freight & logistics: 0.94% | |||||
FedEx Corporation | 3.88 | 8-1-2042 | 140,000 | 151,413 | |
FedEx Corporation | 4.00 | 1-15-2024 | 203,000 | 223,076 | |
FedEx Corporation | 4.55 | 4-1-2046 | 350,000 | 409,486 | |
FedEx Corporation | 4.90 | 1-15-2034 | 175,000 | 217,893 | |
FedEx Corporation | 5.10 | 1-15-2044 | 210,000 | 262,818 | |
United Parcel Service Incorporated | 2.35 | 5-16-2022 | 300,000 | 307,185 | |
United Parcel Service Incorporated | 2.45 | 10-1-2022 | 280,000 | 289,728 | |
United Parcel Service Incorporated | 6.20 | 1-15-2038 | 206,000 | 299,269 | |
2,160,868 |
Interest rate | Maturity date | Principal | Value | ||
Airlines: 0.10% | |||||
American Airlines Incorporated | 3.20% | 12-15-2029 | $ 50,189 | $ 50,175 | |
Delta Air Lines Incorporated | 6.82 | 2-10-2024 | 26,957 | 28,128 | |
United Airlines Incorporated | 4.30 | 2-15-2027 | 155,913 | 162,755 | |
241,058 | |||||
Building products: 0.43% | |||||
Johnson Control International plc | 1.75 | 9-15-2030 | 800,000 | 779,507 | |
Masco Corporation | 4.38 | 4-1-2026 | 190,000 | 218,690 | |
998,197 | |||||
Commercial services & supplies: 0.61% | |||||
Cintas Corporation No. 2 | 3.25 | 6-1-2022 | 70,000 | 71,976 | |
Republic Services Incorporated | 2.90 | 7-1-2026 | 260,000 | 280,468 | |
Waste Management Incorporated | 4.10 | 3-1-2045 | 900,000 | 1,052,128 | |
1,404,572 | |||||
Industrial conglomerates: 1.00% | |||||
3M Company | 5.70 | 3-15-2037 | 227,000 | 309,684 | |
General Electric Company | 3.10 | 1-9-2023 | 300,000 | 315,210 | |
General Electric Company | 4.13 | 10-9-2042 | 400,000 | 441,412 | |
General Electric Company | 4.50 | 3-11-2044 | 200,000 | 229,048 | |
General Electric Company | 5.88 | 1-14-2038 | 200,000 | 262,549 | |
Honeywell International Incorporated | 3.35 | 12-1-2023 | 140,000 | 151,538 | |
Honeywell International Incorporated | 3.81 | 11-21-2047 | 500,000 | 584,890 | |
2,294,331 | |||||
Machinery: 1.12% | |||||
Caterpillar Incorporated | 3.80 | 8-15-2042 | 105,000 | 122,330 | |
Caterpillar Incorporated | 4.75 | 5-15-2064 | 300,000 | 413,758 | |
Deere & Company | 2.60 | 6-8-2022 | 350,000 | 358,364 | |
Deere & Company | 5.38 | 10-16-2029 | 210,000 | 268,787 | |
Dover Corporation | 5.38 | 10-15-2035 | 140,000 | 180,894 | |
Illinois Tool Works Incorporated | 3.90 | 9-1-2042 | 214,000 | 257,001 | |
Otis Worldwide Corporation | 3.36 | 2-15-2050 | 800,000 | 832,055 | |
Parker Hannifin Corporation | 3.50 | 9-15-2022 | 70,000 | 73,285 | |
Parker Hannifin Corporation | 6.25 | 5-15-2038 | 42,000 | 58,860 | |
2,565,334 | |||||
Professional services: 0.08% | |||||
Verisk Analytics Incorporated | 4.13 | 9-12-2022 | 175,000 | 184,532 | |
Road & rail: 1.88% | |||||
Burlington Northern Santa Fe LLC | 3.00 | 3-15-2023 | 210,000 | 219,839 | |
Burlington Northern Santa Fe LLC | 3.40 | 9-1-2024 | 210,000 | 228,692 | |
Burlington Northern Santa Fe LLC | 4.55 | 9-1-2044 | 210,000 | 263,146 | |
CSX Corporation | 3.40 | 8-1-2024 | 278,000 | 303,153 | |
CSX Corporation | 4.50 | 8-1-2054 | 350,000 | 435,235 | |
CSX Corporation | 6.22 | 4-30-2040 | 140,000 | 201,857 | |
Kansas City Southern | 3.00 | 5-15-2023 | 51,000 | 53,250 | |
Kansas City Southern | 3.15 | 3-15-2023 | 140,000 | 146,877 | |
Kansas City Southern | 4.30 | 5-15-2043 | 140,000 | 157,630 | |
Norfolk Southern Corporation | 2.90 | 2-15-2023 | 400,000 | 417,341 | |
Norfolk Southern Corporation | 2.90 | 6-15-2026 | 250,000 | 270,885 | |
Norfolk Southern Corporation | 3.15 | 6-1-2027 | 300,000 | 332,438 |
Interest rate | Maturity date | Principal | Value | ||
Road & rail (continued) | |||||
Norfolk Southern Corporation | 3.85% | 1-15-2024 | $ 140,000 | $ 151,081 | |
Union Pacific Corporation | 2.75 | 4-15-2023 | 200,000 | 208,450 | |
Union Pacific Corporation 144A | 2.97 | 9-16-2062 | 175,000 | 162,821 | |
Union Pacific Corporation | 3.25 | 1-15-2025 | 175,000 | 188,522 | |
Union Pacific Corporation | 3.75 | 3-15-2024 | 140,000 | 152,232 | |
Union Pacific Corporation | 3.80 | 10-1-2051 | 200,000 | 224,112 | |
Union Pacific Corporation | 4.15 | 1-15-2045 | 175,000 | 202,187 | |
4,319,748 | |||||
Trading companies & distributors: 0.25% | |||||
Air Lease Corporation | 3.25 | 3-1-2025 | 200,000 | 211,697 | |
W.W. Grainger Incorporated | 4.60 | 6-15-2045 | 280,000 | 351,250 | |
562,947 | |||||
Information technology: 6.39% | |||||
Communications equipment: 0.45% | |||||
Cisco Systems Incorporated | 2.20 | 9-20-2023 | 300,000 | 314,086 | |
Cisco Systems Incorporated | 2.95 | 2-28-2026 | 340,000 | 369,906 | |
Cisco Systems Incorporated | 3.00 | 6-15-2022 | 340,000 | 351,601 | |
1,035,593 | |||||
Electronic equipment, instruments & components: 0.15% | |||||
Corning Incorporated | 5.75 | 8-15-2040 | 105,000 | 137,694 | |
Keysight Technologies Incorporated | 4.55 | 10-30-2024 | 175,000 | 196,986 | |
334,680 | |||||
IT services: 1.68% | |||||
Fidelity National Information Services Incorporated | 3.00 | 8-15-2026 | 400,000 | 438,552 | |
Fidelity National Information Services Incorporated | 3.50 | 4-15-2023 | 49,000 | 51,797 | |
Fiserv Incorporated | 3.85 | 6-1-2025 | 210,000 | 231,787 | |
IBM Corporation | 1.88 | 8-1-2022 | 280,000 | 287,410 | |
IBM Corporation | 3.38 | 8-1-2023 | 210,000 | 226,040 | |
IBM Corporation | 5.88 | 11-29-2032 | 175,000 | 239,807 | |
IBM Corporation | 7.00 | 10-30-2025 | 210,000 | 266,350 | |
Mastercard Incorporated | 3.50 | 2-26-2028 | 400,000 | 451,061 | |
Total System Services Incorporated | 3.75 | 6-1-2023 | 105,000 | 111,761 | |
Visa Incorporated | 2.75 | 9-15-2027 | 300,000 | 326,330 | |
Visa Incorporated | 2.00 | 8-15-2050 | 300,000 | 255,085 | |
Visa Incorporated | 2.05 | 4-15-2030 | 800,000 | 817,056 | |
Western Union Company | 6.20 | 11-17-2036 | 122,000 | 153,680 | |
3,856,716 | |||||
Semiconductors & semiconductor equipment: 1.64% | |||||
Analog Devices Incorporated | 2.88 | 6-1-2023 | 105,000 | 110,033 | |
Applied Materials Incorporated | 5.85 | 6-15-2041 | 140,000 | 205,586 | |
Broadcom Incorporated | 3.13 | 1-15-2025 | 600,000 | 642,229 | |
Broadcom Incorporated | 3.88 | 1-15-2027 | 300,000 | 328,913 | |
Intel Corporation | 2.60 | 5-19-2026 | 220,000 | 235,685 | |
Intel Corporation | 4.10 | 5-19-2046 | 300,000 | 353,088 | |
Intel Corporation | 4.25 | 12-15-2042 | 175,000 | 211,324 | |
Intel Corporation | 4.90 | 7-29-2045 | 230,000 | 301,367 | |
NVIDIA Corporation | 2.85 | 4-1-2030 | 900,000 | 968,052 |
Interest rate | Maturity date | Principal | Value | ||
Semiconductors & semiconductor equipment (continued) | |||||
Qualcomm Incorporated | 3.25% | 5-20-2027 | $ 200,000 | $ 221,628 | |
Texas Instruments Incorporated | 2.25 | 5-1-2023 | 175,000 | 181,372 | |
3,759,277 | |||||
Software: 1.62% | |||||
Autodesk Incorporated | 3.60 | 12-15-2022 | 175,000 | 182,218 | |
Microsoft Corporation | 4.50 | 2-6-2057 | 750,000 | 1,012,331 | |
Microsoft Corporation | 5.20 | 6-1-2039 | 77,000 | 109,623 | |
Oracle Corporation | 3.40 | 7-8-2024 | 200,000 | 217,161 | |
Oracle Corporation | 4.00 | 7-15-2046 | 350,000 | 392,640 | |
Oracle Corporation | 4.30 | 7-8-2034 | 175,000 | 208,781 | |
Oracle Corporation | 4.38 | 5-15-2055 | 200,000 | 236,983 | |
Salesforce.com Incorporated | 3.70 | 4-11-2028 | 200,000 | 227,843 | |
Vmware Incorporated | 4.65 | 5-15-2027 | 1,000,000 | 1,143,885 | |
3,731,465 | |||||
Technology hardware, storage & peripherals: 0.85% | |||||
Apple Incorporated | 3.35 | 2-9-2027 | 200,000 | 222,511 | |
Apple Incorporated | 3.75 | 11-13-2047 | 400,000 | 454,770 | |
Apple Incorporated | 4.38 | 5-13-2045 | 350,000 | 434,597 | |
Apple Incorporated | 4.65 | 2-23-2046 | 200,000 | 256,457 | |
Dell International LLC 144A | 8.10 | 7-15-2036 | 400,000 | 594,303 | |
1,962,638 | |||||
Materials: 2.25% | |||||
Chemicals: 1.70% | |||||
Dow Chemical Company | 3.50 | 10-1-2024 | 200,000 | 217,467 | |
Dow Chemical Company | 4.25 | 10-1-2034 | 175,000 | 201,791 | |
Dow Chemical Company | 5.25 | 11-15-2041 | 175,000 | 221,769 | |
DuPont de Nemours Incorporated | 4.73 | 11-15-2028 | 800,000 | 951,488 | |
Eastman Chemical Company | 4.80 | 9-1-2042 | 140,000 | 173,164 | |
Ecolab Incorporated | 2.70 | 11-1-2026 | 1,000,000 | 1,080,381 | |
Mosaic Company | 5.63 | 11-15-2043 | 175,000 | 225,782 | |
Praxair Incorporated | 2.70 | 2-21-2023 | 105,000 | 109,167 | |
The Sherwin-Williams Company | 4.50 | 6-1-2047 | 600,000 | 725,634 | |
3,906,643 | |||||
Containers & packaging: 0.32% | |||||
International Paper Company | 3.00 | 2-15-2027 | 200,000 | 217,578 | |
International Paper Company | 7.30 | 11-15-2039 | 175,000 | 271,635 | |
MeadWestvaco Corporation | 7.95 | 2-15-2031 | 35,000 | 49,193 | |
Packaging Corporation of America | 3.65 | 9-15-2024 | 175,000 | 191,331 | |
729,737 | |||||
Metals & mining: 0.16% | |||||
Newmont Goldcorp Corporation | 3.70 | 3-15-2023 | 210,000 | 221,015 | |
Nucor Corporation | 4.00 | 8-1-2023 | 132,000 | 142,106 | |
363,121 | |||||
Paper & forest products: 0.07% | |||||
Georgia-Pacific LLC | 8.00 | 1-15-2024 | 140,000 | 169,632 |
Interest rate | Maturity date | Principal | Value | ||
Real estate: 4.67% | |||||
Equity REITs: 4.67% | |||||
ACE INA Holdings Incorporated | 2.70% | 3-13-2023 | $ 280,000 | $ 293,393 | |
ACE INA Holdings Incorporated | 3.15 | 3-15-2025 | 200,000 | 217,304 | |
ACE INA Holdings Incorporated | 3.35 | 5-15-2024 | 350,000 | 380,169 | |
Alexandria Real Estate Equities Incorporated | 4.70 | 7-1-2030 | 400,000 | 480,750 | |
American Campus Communities Incorporated | 3.75 | 4-15-2023 | 70,000 | 74,364 | |
American Tower Corporation | 3.50 | 1-31-2023 | 295,000 | 311,918 | |
American Tower Corporation | 4.00 | 6-1-2025 | 350,000 | 387,864 | |
American Tower Corporation | 5.00 | 2-15-2024 | 245,000 | 274,922 | |
AvalonBay Communities Incorporated | 3.45 | 6-1-2025 | 140,000 | 153,247 | |
AvalonBay Communities Incorporated | 4.20 | 12-15-2023 | 175,000 | 191,371 | |
Boston Properties LP | 2.75 | 10-1-2026 | 500,000 | 535,410 | |
Boston Properties LP | 3.13 | 9-1-2023 | 105,000 | 111,013 | |
Boston Properties LP | 3.80 | 2-1-2024 | 300,000 | 324,658 | |
Boston Properties LP | 3.85 | 2-1-2023 | 200,000 | 211,203 | |
Crown Castle International Corporation | 5.25 | 1-15-2023 | 350,000 | 379,669 | |
Equinix Incorporated | 1.55 | 3-15-2028 | 1,100,000 | 1,079,152 | |
Essex Portfolio LP | 3.25 | 5-1-2023 | 70,000 | 73,608 | |
Federal Realty Investment Trust | 4.50 | 12-1-2044 | 175,000 | 202,323 | |
HCP Incorporated | 6.75 | 2-1-2041 | 95,000 | 133,394 | |
Health Care REIT Incorporated | 4.00 | 6-1-2025 | 210,000 | 233,713 | |
Health Care REIT Incorporated | 4.50 | 1-15-2024 | 140,000 | 153,753 | |
Host Hotels & Resorts Company | 3.75 | 10-15-2023 | 70,000 | 74,307 | |
Kilroy Realty Corporation | 3.80 | 1-15-2023 | 175,000 | 183,193 | |
Kimco Realty Corporation | 2.80 | 10-1-2026 | 350,000 | 376,034 | |
Mid-America Apartments LP | 4.30 | 10-15-2023 | 35,000 | 37,964 | |
National Retail Properties Incorporated | 3.30 | 4-15-2023 | 70,000 | 73,670 | |
Prologis LP | 1.25 | 10-15-2030 | 1,100,000 | 1,036,854 | |
Realty Income Corporation | 4.65 | 8-1-2023 | 810,000 | 883,180 | |
Simon Property Group LP | 3.30 | 1-15-2026 | 410,000 | 445,071 | |
Simon Property Group LP | 3.75 | 2-1-2024 | 175,000 | 189,083 | |
Simon Property Group LP | 4.75 | 3-15-2042 | 175,000 | 207,729 | |
VEREIT Operating Partnership LP | 4.60 | 2-6-2024 | 98,000 | 107,741 | |
VEREIT Operating Partnership LP | 4.88 | 6-1-2026 | 119,000 | 138,199 | |
Welltower Incorporated | 4.95 | 9-1-2048 | 400,000 | 492,742 | |
Weyerhaeuser Company | 7.38 | 3-15-2032 | 200,000 | 289,880 | |
10,738,845 | |||||
Utilities: 9.20% | |||||
Electric utilities: 7.60% | |||||
AGL Capital Corporation | 4.40 | 6-1-2043 | 140,000 | 159,411 | |
Alabama Power Company | 3.55 | 12-1-2023 | 175,000 | 189,652 | |
Alabama Power Company | 3.85 | 12-1-2042 | 140,000 | 158,660 | |
Alabama Power Company | 4.15 | 8-15-2044 | 105,000 | 122,991 | |
American Electric Power Company Incorporated | 2.95 | 12-15-2022 | 300,000 | 311,726 | |
Appalachian Power Company | 3.40 | 6-1-2025 | 175,000 | 190,022 | |
Appalachian Power Company | 4.45 | 6-1-2045 | 175,000 | 208,183 | |
Appalachian Power Company | 7.00 | 4-1-2038 | 70,000 | 103,119 | |
Arizona Public Service Company | 3.15 | 5-15-2025 | 105,000 | 113,584 | |
Arizona Public Service Company | 4.50 | 4-1-2042 | 70,000 | 84,705 | |
Baltimore Gas & Electric Company | 3.50 | 8-15-2046 | 50,000 | 53,474 | |
Berkshire Hathaway Energy | 3.65 | 4-15-2029 | 800,000 | 919,340 | |
Berkshire Hathaway Energy | 6.75 | 12-30-2031 | 105,000 | 150,753 |
Interest rate | Maturity date | Principal | Value | ||
Electric utilities (continued) | |||||
Berkshire Hathaway Finance Corporation | 4.40% | 5-15-2042 | $ 180,000 | $ 223,110 | |
Berkshire Hathaway Finance Corporation | 5.75 | 1-15-2040 | 175,000 | 252,405 | |
Carolina Power & Light Company | 2.80 | 5-15-2022 | 175,000 | 179,161 | |
CenterPoint Energy Houston | 4.50 | 4-1-2044 | 175,000 | 219,111 | |
Commonwealth Edison Company | 3.80 | 10-1-2042 | 70,000 | 78,977 | |
Connecticut Light & Power Company | 4.15 | 6-1-2045 | 87,000 | 105,084 | |
Consolidated Edison Company of New York Incorporated Series 07-A | 6.30 | 8-15-2037 | 175,000 | 245,651 | |
Consolidated Edison Company of New York Incorporated Series 14-C | 4.63 | 12-1-2054 | 300,000 | 370,919 | |
Consolidated Edison Company of New York Incorporated Series 16-C | 4.30 | 12-1-2056 | 245,000 | 284,439 | |
DTE Electric Company | 3.65 | 3-15-2024 | 105,000 | 113,552 | |
Duke Energy Corporation | 3.05 | 8-15-2022 | 70,000 | 72,293 | |
Duke Energy Corporation | 3.95 | 10-15-2023 | 140,000 | 151,288 | |
Duke Energy Florida Incorporated | 3.85 | 11-15-2042 | 70,000 | 79,452 | |
Duke Energy Indiana Incorporated | 4.90 | 7-15-2043 | 105,000 | 134,257 | |
Duke Energy Indiana Incorporated | 6.45 | 4-1-2039 | 45,000 | 66,602 | |
Duke Energy Progress Incorporated | 4.10 | 3-15-2043 | 105,000 | 122,141 | |
Eaton Corporation | 2.75 | 11-2-2022 | 1,000,000 | 1,039,683 | |
Emera US Finance LP | 3.55 | 6-15-2026 | 200,000 | 220,028 | |
Entergy Arkansas Incorporated | 3.70 | 6-1-2024 | 175,000 | 191,198 | |
Entergy Gulf States Louisiana LLC | 4.20 | 4-1-2050 | 500,000 | 598,515 | |
Entergy Gulf States Louisiana LLC | 5.59 | 10-1-2024 | 84,000 | 98,482 | |
Exelon Corporation | 4.70 | 4-15-2050 | 900,000 | 1,121,204 | |
Exelon Corporation | 4.95 | 6-15-2035 | 140,000 | 171,946 | |
Exelon Generation Company LLC | 4.25 | 6-15-2022 | 157,000 | 162,568 | |
Florida Power & Light Company | 4.05 | 6-1-2042 | 175,000 | 207,491 | |
Florida Power & Light Company | 5.95 | 2-1-2038 | 224,000 | 320,110 | |
Florida Power & Light Company | 5.96 | 4-1-2039 | 175,000 | 249,646 | |
Florida Power Corporation | 5.65 | 4-1-2040 | 87,000 | 121,390 | |
Interstate Power & Light Company | 6.25 | 7-15-2039 | 21,000 | 29,659 | |
Northeast Utilities | 2.80 | 5-1-2023 | 122,000 | 127,438 | |
Northern States Power Company of Minnesota | 2.15 | 8-15-2022 | 175,000 | 177,762 | |
Northern States Power Company of Minnesota | 2.60 | 5-15-2023 | 105,000 | 109,087 | |
Northern States Power Company of Minnesota | 3.40 | 8-15-2042 | 175,000 | 191,227 | |
Northern States Power Company of Minnesota | 5.35 | 11-1-2039 | 28,000 | 37,752 | |
NSTAR Electric Company | 2.38 | 10-15-2022 | 140,000 | 143,803 | |
NSTAR Electric Company | 5.50 | 3-15-2040 | 70,000 | 95,484 | |
Oglethorpe Power Corporation | 5.95 | 11-1-2039 | 105,000 | 133,829 | |
Ohio Edison Company | 6.88 | 7-15-2036 | 175,000 | 234,310 | |
Oncor Electric Delivery Company LLC | 4.55 | 12-1-2041 | 140,000 | 173,952 | |
Oncor Electric Delivery Company LLC | 7.00 | 5-1-2032 | 122,000 | 179,148 | |
Pacific Gas & Electric Company | 2.50 | 2-1-2031 | 1,300,000 | 1,264,089 | |
PacifiCorp | 3.60 | 4-1-2024 | 175,000 | 189,850 | |
PacifiCorp | 4.10 | 2-1-2042 | 70,000 | 80,243 | |
Potomac Electric Power Company | 3.60 | 3-15-2024 | 175,000 | 188,901 | |
PPL Electric Utilities | 4.75 | 7-15-2043 | 105,000 | 132,389 | |
PPL Electric Utilities | 6.25 | 5-15-2039 | 31,000 | 44,323 | |
PSEG Power LLC | 8.63 | 4-15-2031 | 75,000 | 114,065 | |
Public Service Company of Colorado | 2.25 | 9-15-2022 | 70,000 | 71,465 | |
Public Service Electric & Gas Company | 2.38 | 5-15-2023 | 140,000 | 145,645 | |
Public Service Electric & Gas Company | 3.65 | 9-1-2042 | 175,000 | 196,375 | |
Public Service Electric & Gas Company | 3.80 | 1-1-2043 | 140,000 | 160,185 | |
Public Service Electric & Gas Company | 3.95 | 5-1-2042 | 70,000 | 81,361 |
Interest rate | Maturity date | Principal | Value | ||
Electric utilities (continued) | |||||
Public Service Electric & Gas Company | 5.80% | 5-1-2037 | $ 70,000 | $ 96,698 | |
South Carolina Electric & Gas Company | 5.10 | 6-1-2065 | 100,000 | 141,790 | |
Southern California Edison Company | 3.90 | 3-15-2043 | 105,000 | 111,142 | |
Southern California Edison Company | 5.35 | 7-15-2035 | 126,000 | 160,519 | |
Southern California Edison Company | 5.50 | 3-15-2040 | 140,000 | 177,288 | |
Southern California Edison Company | 6.00 | 1-15-2034 | 70,000 | 93,908 | |
Southern Company | 2.95 | 7-1-2023 | 200,000 | 210,578 | |
Southwestern Electric Power Company | 6.20 | 3-15-2040 | 35,000 | 48,051 | |
TXU Electric Delivery Company | 7.25 | 1-15-2033 | 52,000 | 78,715 | |
Union Electric Company | 3.90 | 9-15-2042 | 175,000 | 199,689 | |
Union Electric Company | 8.45 | 3-15-2039 | 56,000 | 96,521 | |
Virginia Electric & Power Company | 3.10 | 5-15-2025 | 70,000 | 75,312 | |
Virginia Electric & Power Company | 3.45 | 2-15-2024 | 105,000 | 112,987 | |
Virginia Electric & Power Company | 4.20 | 5-15-2045 | 105,000 | 124,911 | |
Virginia Electric & Power Company | 4.45 | 2-15-2044 | 105,000 | 128,767 | |
Virginia Electric & Power Company | 6.00 | 1-15-2036 | 70,000 | 97,713 | |
Westar Energy Incorporated | 4.10 | 4-1-2043 | 210,000 | 241,308 | |
Wisconsin Electric Power Company | 5.63 | 5-15-2033 | 70,000 | 93,847 | |
Wisconsin Electric Power Company | 5.70 | 12-1-2036 | 105,000 | 143,725 | |
XCEL Energy Incorporated | 3.40 | 6-1-2030 | 700,000 | 767,898 | |
17,470,032 | |||||
Gas utilities: 0.40% | |||||
Atmos Energy Corporation | 4.13 | 10-15-2044 | 245,000 | 284,886 | |
Atmos Energy Corporation | 5.50 | 6-15-2041 | 42,000 | 56,476 | |
CenterPoint Energy Resources Corporation | 5.85 | 1-15-2041 | 77,000 | 102,497 | |
National Fuel Gas Company | 3.75 | 3-1-2023 | 218,000 | 229,028 | |
One Gas Incorporated | 3.61 | 2-1-2024 | 70,000 | 75,360 | |
One Gas Incorporated | 4.66 | 2-1-2044 | 35,000 | 41,961 | |
Piedmont Natural Gas Company | 4.65 | 8-1-2043 | 35,000 | 42,338 | |
Southern California Gas Company | 5.13 | 11-15-2040 | 70,000 | 90,713 | |
923,259 | |||||
Multi-utilities: 1.10% | |||||
Black Hills Corporation | 4.25 | 11-30-2023 | 210,000 | 229,162 | |
Consumers Energy Company | 3.95 | 5-15-2043 | 140,000 | 161,416 | |
Dominion Resources Incorporated | 2.75 | 9-15-2022 | 210,000 | 216,518 | |
Dominion Resources Incorporated | 4.90 | 8-1-2041 | 42,000 | 52,524 | |
Dominion Resources Incorporated | 5.95 | 6-15-2035 | 157,000 | 215,382 | |
DTE Energy Company | 3.30 | 6-15-2022 | 70,000 | 72,257 | |
DTE Energy Company | 3.85 | 12-1-2023 | 170,000 | 183,772 | |
NiSource Finance Corporation | 5.65 | 2-1-2045 | 140,000 | 185,596 | |
Puget Energy Incorporated | 3.65 | 5-15-2025 | 140,000 | 152,654 | |
Sempra Energy | 2.88 | 10-1-2022 | 140,000 | 144,443 | |
Sempra Energy | 3.25 | 6-15-2027 | 300,000 | 330,092 | |
Sempra Energy | 4.00 | 2-1-2048 | 400,000 | 442,108 | |
WEC Energy Group Incorporated | 3.55 | 6-15-2025 | 118,000 | 129,402 | |
2,515,326 | |||||
Water utilities: 0.10% | |||||
American Water Capital Corporation | 3.40 | 3-1-2025 | 210,000 | 228,823 | |
Total Corporate bonds and notes (Cost $171,611,417) | 186,513,720 |
Interest rate | Maturity date | Principal | Value | ||
Yankee corporate bonds and notes: 17.81% | |||||
Communication services: 1.74% | |||||
Diversified telecommunication services: 0.48% | |||||
British Telecommunications plc | 9.63% | 12-15-2030 | $ 200,000 | $ 316,563 | |
Telefonica Emisiones SA | 4.90 | 3-6-2048 | 300,000 | 348,947 | |
Telefonica Europe BV | 8.25 | 9-15-2030 | 294,000 | 430,229 | |
1,095,739 | |||||
Media: 0.10% | |||||
WPP Finance Limited 2010 | 3.75 | 9-19-2024 | 200,000 | 219,904 | |
Wireless telecommunication services: 1.16% | |||||
America Movil SAB de CV | 4.38 | 4-22-2049 | 500,000 | 588,500 | |
Rogers Communications Incorporated | 4.35 | 5-1-2049 | 800,000 | 945,102 | |
Vodafone Group plc | 2.95 | 2-19-2023 | 190,000 | 199,147 | |
Vodafone Group plc | 4.38 | 2-19-2043 | 350,000 | 404,462 | |
Vodafone Group plc | 6.25 | 11-30-2032 | 210,000 | 279,384 | |
Vodafone Group plc | 7.88 | 2-15-2030 | 175,000 | 251,271 | |
2,667,866 | |||||
Consumer discretionary: 0.37% | |||||
Auto components: 0.08% | |||||
Magna International Incorporated | 4.15 | 10-1-2025 | 175,000 | 197,198 | |
Internet & direct marketing retail: 0.29% | |||||
Alibaba Group Holding Limited | 3.40 | 12-6-2027 | 400,000 | 437,924 | |
Alibaba Group Holding Limited | 3.60 | 11-28-2024 | 200,000 | 219,091 | |
657,015 | |||||
Consumer staples: 0.17% | |||||
Beverages: 0.17% | |||||
Diageo Capital plc | 2.63 | 4-29-2023 | 210,000 | 219,033 | |
Diageo Capital plc | 5.88 | 9-30-2036 | 122,000 | 174,218 | |
393,251 | |||||
Energy: 2.35% | |||||
Oil, gas & consumable fuels: 2.35% | |||||
BP Capital Markets plc | 3.81 | 2-10-2024 | 350,000 | 382,003 | |
Canadian Natural Resources Limited | 3.85 | 6-1-2027 | 200,000 | 220,776 | |
Canadian Natural Resources Limited | 3.90 | 2-1-2025 | 210,000 | 228,499 | |
Canadian Natural Resources Limited | 4.95 | 6-1-2047 | 200,000 | 241,299 | |
Canadian Natural Resources Limited | 6.75 | 2-1-2039 | 110,000 | 149,015 | |
Cenovus Energy Incorporated | 5.38 | 7-15-2025 | 1,200,000 | 1,358,697 | |
Husky Energy Incorporated | 6.80 | 9-15-2037 | 70,000 | 87,720 | |
Petro-Canada | 5.95 | 5-15-2035 | 140,000 | 178,729 | |
Shell International Finance BV | 2.25 | 1-6-2023 | 175,000 | 181,294 | |
Shell International Finance BV | 2.38 | 8-21-2022 | 175,000 | 180,353 | |
Shell International Finance BV | 2.88 | 5-10-2026 | 230,000 | 248,381 | |
Shell International Finance BV | 3.25 | 5-11-2025 | 350,000 | 381,509 | |
Shell International Finance BV | 3.40 | 8-12-2023 | 175,000 | 187,615 | |
Shell International Finance BV | 3.63 | 8-21-2042 | 175,000 | 189,647 | |
Suncor Energy Incorporated | 5.95 | 12-1-2034 | 52,000 | 66,201 |
Interest rate | Maturity date | Principal | Value | ||
Oil, gas & consumable fuels (continued) | |||||
Total Capital Canada Limited | 2.75% | 7-15-2023 | $ 245,000 | $ 258,960 | |
Total Capital International SA | 3.75 | 4-10-2024 | 350,000 | 384,553 | |
TransCanada PipeLines Limited | 3.75 | 10-16-2023 | 175,000 | 188,145 | |
TransCanada PipeLines Limited | 6.10 | 6-1-2040 | 210,000 | 276,225 | |
5,389,621 | |||||
Financials: 9.74% | |||||
Banks: 8.08% | |||||
Australia & New Zealand Banking Group Limited | 2.63 | 5-19-2022 | 300,000 | 308,654 | |
Bank of Montreal | 2.35 | 9-11-2022 | 200,000 | 206,479 | |
Bank of Montreal (USD Swap Semi Annual (vs. 3 Month LIBOR) 5 Year+1.43%)± | 3.80 | 12-15-2032 | 600,000 | 673,235 | |
Bank of Nova Scotia | 2.45 | 9-19-2022 | 300,000 | 310,077 | |
Bank of Nova Scotia | 4.50 | 12-16-2025 | 500,000 | 574,108 | |
Barclays plc | 4.38 | 1-12-2026 | 200,000 | 226,296 | |
Barclays plc (3 Month LIBOR+1.90%)± | 4.97 | 5-16-2029 | 1,400,000 | 1,649,740 | |
Barclays plc | 5.25 | 8-17-2045 | 400,000 | 520,859 | |
BNP Paribas | 4.25 | 10-15-2024 | 400,000 | 448,822 | |
Cooperatieve Rabobank UA | 3.75 | 7-21-2026 | 780,000 | 867,068 | |
Credit Suisse Group Funding Limited | 4.55 | 4-17-2026 | 950,000 | 1,095,071 | |
HSBC Holdings plc | 4.00 | 3-30-2022 | 200,000 | 208,063 | |
HSBC Holdings plc (3 Month LIBOR+1.53%)± | 4.58 | 6-19-2029 | 400,000 | 461,076 | |
HSBC Holdings plc | 4.95 | 3-31-2030 | 400,000 | 480,900 | |
ING Banking Group plc | 4.55 | 10-2-2028 | 900,000 | 1,062,233 | |
Lloyds Banking Group plc | 4.55 | 8-16-2028 | 900,000 | 1,056,704 | |
Lloyds Banking Group plc | 4.58 | 12-10-2025 | 250,000 | 282,974 | |
Lloyds Banking Group plc | 5.30 | 12-1-2045 | 300,000 | 393,622 | |
Mitsubishi UFJ Financial Group Incorporated | 3.22 | 3-7-2022 | 1,300,000 | 1,337,903 | |
Mitsubishi UFJ Financial Group Incorporated | 3.68 | 2-22-2027 | 200,000 | 225,490 | |
Mizuho Financial Group | 3.17 | 9-11-2027 | 600,000 | 663,498 | |
National Australia Bank Limited | 2.50 | 7-12-2026 | 800,000 | 856,235 | |
Royal Bank of Canada | 4.65 | 1-27-2026 | 700,000 | 811,911 | |
Royal Bank of Scotland Group plc | 3.88 | 9-12-2023 | 300,000 | 323,781 | |
Royal Bank of Scotland Group plc | 4.80 | 4-5-2026 | 400,000 | 460,530 | |
Santander UK plc | 4.00 | 3-13-2024 | 200,000 | 219,832 | |
Sumitomo Mitsui Banking Corporation | 3.95 | 7-19-2023 | 250,000 | 271,210 | |
Sumitomo Mitsui Financial Group | 3.01 | 10-19-2026 | 655,000 | 711,466 | |
Toronto Dominion Bank | 3.50 | 7-19-2023 | 300,000 | 322,816 | |
Toronto Dominion Bank (USD Swap Semi Annual (vs. 3 Month LIBOR) 5 Year+2.21%)± | 3.63 | 9-15-2031 | 525,000 | 583,708 | |
Westpac Banking Corporation | 2.50 | 6-28-2022 | 200,000 | 205,917 | |
Westpac Banking Corporation | 2.85 | 5-13-2026 | 700,000 | 759,399 | |
18,579,677 | |||||
Capital markets: 0.33% | |||||
Intercontinental Exchange | 3.75 | 9-21-2028 | 500,000 | 560,180 | |
Invesco Finance plc | 4.00 | 1-30-2024 | 175,000 | 192,362 | |
752,542 | |||||
Diversified financial services: 1.10% | |||||
AerCap Capital Corporation | 3.65 | 7-21-2027 | 300,000 | 319,014 | |
AerCap Capital Corporation | 4.63 | 10-15-2027 | 600,000 | 672,354 | |
Brookfield Finance Incorporated | 4.25 | 6-2-2026 | 200,000 | 228,188 | |
GE Capital International Funding Company | 3.37 | 11-15-2025 | 550,000 | 600,087 |
Interest rate | Maturity date | Principal | Value | ||
Diversified financial services (continued) | |||||
Ingersoll-Rand Finance SA | 4.50% | 3-21-2049 | $ 300,000 | $ 370,886 | |
Medtronic Global Holdings Company | 3.35 | 4-1-2027 | 300,000 | 336,671 | |
2,527,200 | |||||
Insurance: 0.23% | |||||
Aon plc | 3.88 | 12-15-2025 | 200,000 | 223,569 | |
Aon plc | 4.00 | 11-27-2023 | 105,000 | 113,764 | |
XLIT Limited | 5.25 | 12-15-2043 | 140,000 | 188,794 | |
526,127 | |||||
Health care: 1.14% | |||||
Health care equipment & supplies: 0.53% | |||||
DH Europe Finance II | 3.40 | 11-15-2049 | 900,000 | 956,513 | |
Koninklijke Philips Electronics NV | 6.88 | 3-11-2038 | 175,000 | 263,141 | |
1,219,654 | |||||
Pharmaceuticals: 0.61% | |||||
AstraZeneca plc | 3.38 | 11-16-2025 | 500,000 | 549,532 | |
AstraZeneca plc | 4.38 | 11-16-2045 | 200,000 | 243,562 | |
Shire plc | 3.20 | 9-23-2026 | 560,000 | 612,869 | |
1,405,963 | |||||
Industrials: 0.34% | |||||
Professional services: 0.16% | |||||
Thomson Reuters Corporation | 4.30 | 11-23-2023 | 210,000 | 229,435 | |
Thomson Reuters Corporation | 5.85 | 4-15-2040 | 94,000 | 124,129 | |
353,564 | |||||
Road & rail: 0.18% | |||||
Canadian National Railway Company | 6.20 | 6-1-2036 | 140,000 | 203,548 | |
Canadian Pacific Railway Company | 4.45 | 3-15-2023 | 140,000 | 149,653 | |
Canadian Pacific Railway Company | 5.95 | 5-15-2037 | 45,000 | 62,880 | |
416,081 | |||||
Information technology: 0.45% | |||||
Technology hardware, storage & peripherals: 0.45% | |||||
NXP BV 144A | 4.30 | 6-18-2029 | 900,000 | 1,033,786 | |
Materials: 1.51% | |||||
Chemicals: 0.53% | |||||
LyondellBasell Industries NV | 4.63 | 2-26-2055 | 350,000 | 405,705 | |
Nutrien Limited | 3.63 | 3-15-2024 | 200,000 | 216,654 | |
Nutrien Limited | 5.00 | 4-1-2049 | 200,000 | 259,093 | |
Nutrien Limited | 5.63 | 12-1-2040 | 140,000 | 186,097 | |
Nutrien Limited | 6.13 | 1-15-2041 | 115,000 | 161,201 | |
1,228,750 | |||||
Metals & mining: 0.98% | |||||
Barrick Australian Finance Proprietary Limited | 5.95 | 10-15-2039 | 135,000 | 185,988 | |
BHP Billiton Finance USA Limited | 3.85 | 9-30-2023 | 200,000 | 217,948 | |
Rio Tinto Finance (USA) Limited | 4.13 | 8-21-2042 | 175,000 | 211,582 |
Interest rate | Maturity date | Principal | Value | ||
Metals & mining (continued) | |||||
Southern Copper Corporation | 5.25% | 11-8-2042 | $1,200,000 | $ 1,507,026 | |
Vale Overseas Limited | 6.88 | 11-10-2039 | 91,000 | 125,012 | |
2,247,556 | |||||
Total Yankee corporate bonds and notes (Cost $37,750,908) | 40,911,494 |
Yield | Shares | ||||
Short-term investments: 0.38% | |||||
Investment companies: 0.38% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 877,655 | 877,655 | ||
Total Short-term investments (Cost $877,655) | 877,655 | ||||
Total investments in securities (Cost $210,239,980) | 99.36% | 228,302,869 | |||
Other assets and liabilities, net | 0.64 | 1,480,109 | |||
Total net assets | 100.00% | $229,782,978 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $289,733 | $75,168,324 | $(74,580,402) | $0 | $0 | $877,655 | 0.38% | 877,655 | $2,072 |
Assets | |
Investments in unaffiliated securities, at value (cost $209,362,325) | $ 227,425,214 |
Investments in affiliated securites, at value (cost $877,655) | 877,655 |
Receivable for interest | 2,170,844 |
Receivable for investments sold | 1,015,195 |
Prepaid expenses and other assets | 1,419 |
Total assets | 231,490,327 |
Liabilities | |
Payable for investments purchased | 1,575,112 |
Advisory fee payable | 55,900 |
Trustees’ fees and expenses payable | 947 |
Accrued expenses and other liabilities | 75,390 |
Total liabilities | 1,707,349 |
Total net assets | $229,782,978 |
Investment income | |
Interest | $ 7,222,568 |
Income from affiliated securities | 2,072 |
Total investment income | 7,224,640 |
Expenses | |
Advisory fee | 109,665 |
Custody and accounting fees | 20,444 |
Professional fees | 44,462 |
Interest holder report expenses | 8,700 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 16,917 |
Total expenses | 219,783 |
Less: Fee waivers and/or expense reimbursements | (93,453) |
Net expenses | 126,330 |
Net investment income | 7,098,310 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 5,454,647 |
Net change in unrealized gains (losses) on investments | (8,090,410) |
Net realized and unrealized gains (losses) on investments | (2,635,763) |
Net increase in net assets resulting from operations | $ 4,462,547 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 7,098,310 | $ 9,435,352 |
Net realized gains on investments | 5,454,647 | 3,167,122 |
Net change in unrealized gains (losses) on investments | (8,090,410) | 25,957,585 |
Net increase in net assets resulting from operations | 4,462,547 | 38,560,059 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 58,677,235 | 29,912,651 |
Withdrawals | (95,272,661) | (70,686,869) |
Net decrease in net assets resulting from capital transactions | (36,595,426) | (40,774,218) |
Total decrease in net assets | (32,132,879) | (2,214,159) |
Net assets | ||
Beginning of period | 261,915,857 | 264,130,016 |
End of period | $229,782,978 | $261,915,857 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 2.46% | 15.72% | 2.29% | (0.12)% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.10% | 0.10% | 0.09% | 0.08% | ||
Net expenses | 0.06% 3 | 0.07% | 0.08% | 0.08% | ||
Net investment income | 3.24% | 3.59% | 3.74% | 3.48% | ||
Supplemental data | ||||||
Portfolio turnover rate | 37% | 18% | 25% | 61% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.04% higher. |
Gross unrealized gains | $18,062,889 |
Gross unrealized losses | (405,439) |
Net unrealized gains | $17,657,450 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Corporate bonds and notes | $ 0 | $ 186,513,720 | $0 | $ 186,513,720 |
Yankee corporate bonds and notes | 0 | 40,911,494 | 0 | 40,911,494 |
Short-term investments | ||||
Investment companies | 877,655 | 0 | 0 | 877,655 |
Total assets | $877,655 | $227,425,214 | $0 | $228,302,869 |
Average daily net assets | Advisory fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Bond Portfolio
Investment objective | The Portfolio seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg Barclays U.S. Treasury Inflation-Linked 1-10 Year Bond Index and 50% to the Bloomberg Barclays U.S. Intermediate Government Bond Index, before fees and expenses. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Jay N. Mueller, CFA®‡, Janet S. Rilling, CFA®‡, CPA, Michal Stanczyk |
Ten largest holdings (%) as of February 28, 20211 | |
TIPS, 0.38%, 7-15-2023 | 2.80 |
TIPS, 3.63%, 4-15-2028 | 2.72 |
TIPS, 0.63%, 1-15-2024 | 2.68 |
TIPS, 0.25%, 1-15-2025 | 2.64 |
TIPS, 0.13%, 1-15-2023 | 2.61 |
TIPS, 0.13%, 7-15-2024 | 2.51 |
TIPS, 0.38%, 7-15-2025 | 2.44 |
TIPS, 3.88%, 4-15-2029 | 2.29 |
TIPS, 0.63%, 4-15-2023 | 2.20 |
TIPS, 0.63%, 1-15-2026 | 2.20 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20211 |
1 | Figures represent the percentage of the Portfolio's long-term investments. These amounts are subject to change and may have changed since the date specified. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 1.86% | |||||
FHLB | 2.00% | 9-9-2022 | $ 200,000 | $ 205,663 | |
FHLB | 2.13 | 6-9-2023 | 35,000 | 36,591 | |
FHLB | 2.50 | 2-13-2024 | 295,000 | 314,184 | |
FHLB | 2.75 | 12-13-2024 | 20,000 | 21,729 | |
FHLB | 3.25 | 6-9-2023 | 50,000 | 53,444 | |
FNMA | 0.38 | 7-21-2025 | 95,000 | 94,020 | |
FNMA | 0.38 | 8-25-2025 | 775,000 | 765,464 | |
FNMA | 0.45 | 4-7-2025 | 545,000 | 536,660 | |
FNMA | 1.75 | 7-2-2024 | 375,000 | 392,224 | |
FNMA | 1.88 | 9-24-2026 | 135,000 | 142,247 | |
FNMA | 2.13 | 4-24-2026 | 28,000 | 29,899 | |
FNMA | 2.63 | 9-6-2024 | 100,000 | 107,821 | |
FNMA | 2.88 | 9-12-2023 | 175,000 | 186,497 | |
Total Agency securities (Cost $2,869,066) | 2,886,443 | ||||
U.S. Treasury securities: 97.74% | |||||
TIPS | 0.13 | 4-15-2022 | 1,047,448 | 1,076,907 | |
TIPS | 0.13 | 7-15-2022 | 1,028,437 | 1,069,133 | |
TIPS | 0.13 | 1-15-2023 | 3,869,352 | 4,049,594 | |
TIPS | 0.13 | 7-15-2024 | 3,601,287 | 3,888,264 | |
TIPS | 0.13 | 10-15-2024 | 1,162,404 | 1,255,669 | |
TIPS | 0.13 | 4-15-2025 | 2,667,165 | 2,884,654 | |
TIPS | 0.13 | 10-15-2025 | 1,455,568 | 1,588,445 | |
TIPS | 0.13 | 7-15-2026 | 2,925,181 | 3,210,215 | |
TIPS | 0.13 | 1-15-2030 | 1,331,240 | 1,453,600 | |
TIPS | 0.13 | 7-15-2030 | 2,910,525 | 3,188,048 | |
TIPS | 0.13 | 1-15-2031 | 1,120,638 | 1,221,386 | |
TIPS | 0.25 | 1-15-2025 | 3,766,438 | 4,087,910 | |
TIPS | 0.25 | 7-15-2029 | 605,865 | 671,161 | |
TIPS | 0.38 | 7-15-2023 | 4,057,209 | 4,335,746 | |
TIPS | 0.38 | 7-15-2025 | 3,432,313 | 3,781,644 | |
TIPS | 0.38 | 1-15-2027 | 1,482,621 | 1,643,625 | |
TIPS | 0.38 | 7-15-2027 | 2,890,878 | 3,226,942 | |
TIPS | 0.50 | 4-15-2024 | 2,457,921 | 2,657,195 | |
TIPS | 0.50 | 1-15-2028 | 1,399,121 | 1,569,529 | |
TIPS | 0.63 | 4-15-2023 | 3,219,233 | 3,418,674 | |
TIPS | 0.63 | 1-15-2024 | 3,846,735 | 4,161,687 | |
TIPS | 0.63 | 1-15-2026 | 3,063,823 | 3,417,719 | |
TIPS | 0.75 | 7-15-2028 | 2,345,066 | 2,693,025 | |
TIPS | 0.88 | 1-15-2029 | 1,583,432 | 1,832,420 | |
TIPS | 1.75 | 1-15-2028 | 733,541 | 889,304 | |
TIPS | 2.00 | 1-15-2026 | 2,270,314 | 2,691,386 | |
TIPS | 2.38 | 1-15-2025 | 1,207,693 | 1,414,982 | |
TIPS | 2.38 | 1-15-2027 | 1,508,565 | 1,858,777 | |
TIPS | 2.50 | 1-15-2029 | 1,000,857 | 1,292,924 | |
TIPS | 3.63 | 4-15-2028 | 3,116,105 | 4,219,035 | |
TIPS | 3.88 | 4-15-2029 | 2,511,274 | 3,554,287 | |
U.S. Treasury Bond | 1.50 | 2-15-2030 | 475,000 | 482,199 | |
U.S. Treasury Bond | 2.88 | 5-15-2028 | 645,000 | 723,030 | |
U.S. Treasury Bond | 6.13 | 11-15-2027 | 215,000 | 286,278 | |
U.S. Treasury Bond | 6.13 | 8-15-2029 | 115,000 | 160,578 | |
U.S. Treasury Bond | 6.38 | 8-15-2027 | 125,000 | 167,397 | |
U.S. Treasury Bond | 6.88 | 8-15-2025 | 20,000 | 25,531 | |
U.S. Treasury Note | 0.13 | 4-30-2022 | 1,135,000 | 1,135,177 |
Interest rate | Maturity date | Principal | Value | ||
U.S. Treasury securities (continued) | |||||
U.S. Treasury Note | 0.13% | 5-31-2022 | $1,115,000 | $ 1,115,174 | |
U.S. Treasury Note | 0.13 | 6-30-2022 | 1,155,000 | 1,155,406 | |
U.S. Treasury Note | 0.13 | 7-31-2022 | 1,170,000 | 1,170,137 | |
U.S. Treasury Note | 0.13 | 8-31-2022 | 1,205,000 | 1,205,047 | |
U.S. Treasury Note | 0.13 | 9-30-2022 | 1,230,000 | 1,230,096 | |
U.S. Treasury Note | 0.13 | 10-31-2022 | 1,250,000 | 1,250,000 | |
U.S. Treasury Note | 0.13 | 7-15-2023 | 1,135,000 | 1,133,448 | |
U.S. Treasury Note | 0.13 | 9-15-2023 | 1,210,000 | 1,207,448 | |
U.S. Treasury Note | 0.13 | 10-15-2023 | 1,230,000 | 1,226,925 | |
U.S. Treasury Note | 0.13 | 12-15-2023 | 1,335,000 | 1,330,307 | |
U.S. Treasury Note | 0.13 | 1-15-2024 | 1,180,000 | 1,175,206 | |
U.S. Treasury Note | 0.25 | 6-15-2023 | 1,110,000 | 1,111,864 | |
U.S. Treasury Note | 0.25 | 11-15-2023 | 1,275,000 | 1,275,398 | |
U.S. Treasury Note | 0.25 | 6-30-2025 | 1,180,000 | 1,162,853 | |
U.S. Treasury Note | 0.25 | 7-31-2025 | 1,200,000 | 1,181,484 | |
U.S. Treasury Note | 0.25 | 8-31-2025 | 1,225,000 | 1,204,376 | |
U.S. Treasury Note | 0.25 | 9-30-2025 | 1,245,000 | 1,222,823 | |
U.S. Treasury Note | 0.25 | 10-31-2025 | 1,250,000 | 1,226,514 | |
U.S. Treasury Note | 0.38 | 3-31-2022 | 1,120,000 | 1,123,063 | |
U.S. Treasury Note | 0.38 | 7-31-2027 | 1,160,000 | 1,113,645 | |
U.S. Treasury Note | 0.38 | 9-30-2027 | 1,280,000 | 1,224,650 | |
U.S. Treasury Note | 0.50 | 6-30-2027 | 320,000 | 310,113 | |
U.S. Treasury Note | 0.50 | 8-31-2027 | 700,000 | 676,156 | |
U.S. Treasury Note | 0.50 | 10-31-2027 | 1,245,000 | 1,199,431 | |
U.S. Treasury Note | 0.63 | 11-30-2027 | 1,295,000 | 1,256,352 | |
U.S. Treasury Note | 0.63 | 5-15-2030 | 1,575,000 | 1,475,271 | |
U.S. Treasury Note | 0.63 | 8-15-2030 | 1,780,000 | 1,661,797 | |
U.S. Treasury Note | 1.13 | 2-28-2025 | 1,125,000 | 1,152,334 | |
U.S. Treasury Note | 1.13 | 2-15-2031 | 915,000 | 892,554 | |
U.S. Treasury Note | 1.25 | 7-31-2023 | 488,000 | 500,467 | |
U.S. Treasury Note | 1.38 | 6-30-2023 | 489,000 | 502,486 | |
U.S. Treasury Note | 1.38 | 8-31-2023 | 490,000 | 504,336 | |
U.S. Treasury Note | 1.38 | 9-30-2023 | 339,000 | 349,183 | |
U.S. Treasury Note | 1.38 | 8-31-2026 | 380,000 | 391,044 | |
U.S. Treasury Note | 1.50 | 3-31-2023 | 40,000 | 41,120 | |
U.S. Treasury Note | 1.50 | 8-15-2026 | 325,000 | 336,591 | |
U.S. Treasury Note | 1.63 | 8-15-2022 | 365,000 | 372,984 | |
U.S. Treasury Note | 1.63 | 11-15-2022 | 1,240,000 | 1,271,630 | |
U.S. Treasury Note | 1.63 | 4-30-2023 | 483,000 | 498,226 | |
U.S. Treasury Note | 1.63 | 5-31-2023 | 435,000 | 449,104 | |
U.S. Treasury Note | 1.63 | 10-31-2023 | 486,000 | 504,073 | |
U.S. Treasury Note | 1.63 | 2-15-2026 | 663,000 | 692,602 | |
U.S. Treasury Note | 1.63 | 5-15-2026 | 1,144,000 | 1,194,050 | |
U.S. Treasury Note | 1.63 | 11-30-2026 | 410,000 | 426,896 | |
U.S. Treasury Note | 1.75 | 3-31-2022 | 484,000 | 492,602 | |
U.S. Treasury Note | 1.75 | 5-31-2022 | 507,000 | 517,437 | |
U.S. Treasury Note | 1.75 | 6-30-2022 | 305,000 | 311,684 | |
U.S. Treasury Note | 1.75 | 9-30-2022 | 420,000 | 430,763 | |
U.S. Treasury Note | 1.75 | 1-31-2023 | 10,000 | 10,309 | |
U.S. Treasury Note | 1.75 | 5-15-2023 | 130,000 | 134,504 | |
U.S. Treasury Note | 1.75 | 6-30-2024 | 1,015,000 | 1,061,983 | |
U.S. Treasury Note | 1.75 | 11-15-2029 | 85,000 | 88,267 | |
U.S. Treasury Note | 1.88 | 4-30-2022 | 505,000 | 515,435 | |
U.S. Treasury Note | 1.88 | 8-31-2022 | 417,000 | 427,897 | |
U.S. Treasury Note | 1.88 | 8-31-2024 | 160,000 | 168,288 |
Interest rate | Maturity date | Principal | Value | ||
U.S. Treasury securities (continued) | |||||
U.S. Treasury Note | 1.88% | 7-31-2026 | $ 20,000 | $ 21,127 | |
U.S. Treasury Note | 2.00 | 7-31-2022 | 190,000 | 195,039 | |
U.S. Treasury Note | 2.00 | 11-30-2022 | 1,220,000 | 1,259,745 | |
U.S. Treasury Note | 2.00 | 2-15-2023 | 285,000 | 295,331 | |
U.S. Treasury Note | 2.00 | 4-30-2024 | 10,000 | 10,532 | |
U.S. Treasury Note | 2.00 | 5-31-2024 | 269,000 | 283,490 | |
U.S. Treasury Note | 2.00 | 6-30-2024 | 185,000 | 195,124 | |
U.S. Treasury Note | 2.00 | 2-15-2025 | 597,000 | 632,120 | |
U.S. Treasury Note | 2.00 | 8-15-2025 | 645,000 | 684,708 | |
U.S. Treasury Note | 2.00 | 11-15-2026 | 520,000 | 552,358 | |
U.S. Treasury Note | 2.13 | 12-31-2022 | 510,000 | 528,547 | |
U.S. Treasury Note | 2.13 | 2-29-2024 | 378,000 | 398,731 | |
U.S. Treasury Note | 2.13 | 3-31-2024 | 500,000 | 527,988 | |
U.S. Treasury Note | 2.13 | 5-15-2025 | 1,190,000 | 1,268,419 | |
U.S. Treasury Note | 2.25 | 12-31-2023 | 472,000 | 498,550 | |
U.S. Treasury Note | 2.25 | 1-31-2024 | 474,000 | 501,292 | |
U.S. Treasury Note | 2.25 | 4-30-2024 | 235,000 | 249,302 | |
U.S. Treasury Note | 2.25 | 10-31-2024 | 490,000 | 522,711 | |
U.S. Treasury Note | 2.25 | 11-15-2024 | 1,245,000 | 1,328,113 | |
U.S. Treasury Note | 2.25 | 11-15-2025 | 1,230,000 | 1,320,472 | |
U.S. Treasury Note | 2.25 | 2-15-2027 | 485,000 | 522,379 | |
U.S. Treasury Note | 2.25 | 8-15-2027 | 480,000 | 517,050 | |
U.S. Treasury Note | 2.25 | 11-15-2027 | 650,000 | 699,918 | |
U.S. Treasury Note | 2.38 | 8-15-2024 | 1,280,000 | 1,368,000 | |
U.S. Treasury Note | 2.38 | 5-15-2027 | 1,118,000 | 1,213,292 | |
U.S. Treasury Note | 2.50 | 5-15-2024 | 455,000 | 486,903 | |
U.S. Treasury Note | 2.63 | 12-31-2023 | 375,000 | 400,078 | |
U.S. Treasury Note | 2.63 | 3-31-2025 | 345,000 | 374,298 | |
U.S. Treasury Note | 2.63 | 1-31-2026 | 445,000 | 486,510 | |
U.S. Treasury Note | 2.63 | 2-15-2029 | 1,235,000 | 1,367,087 | |
U.S. Treasury Note | 2.75 | 8-31-2023 | 15,000 | 15,952 | |
U.S. Treasury Note | 2.75 | 11-15-2023 | 1,206,000 | 1,287,876 | |
U.S. Treasury Note | 2.75 | 2-15-2024 | 585,000 | 627,664 | |
U.S. Treasury Note | 2.75 | 8-31-2025 | 325,000 | 355,799 | |
U.S. Treasury Note | 2.75 | 2-15-2028 | 520,000 | 577,566 | |
U.S. Treasury Note | 2.88 | 4-30-2025 | 470,000 | 515,146 | |
U.S. Treasury Note | 2.88 | 5-31-2025 | 490,000 | 537,737 | |
U.S. Treasury Note | 2.88 | 11-30-2025 | 125,000 | 137,930 | |
U.S. Treasury Note | 2.88 | 8-15-2028 | 390,000 | 437,821 | |
U.S. Treasury Note | 3.13 | 11-15-2028 | 370,000 | 422,638 | |
U.S. Treasury Note | 6.00 | 2-15-2026 | 146,000 | 183,760 | |
U.S. Treasury Note | 6.50 | 11-15-2026 | 30,000 | 39,435 | |
U.S. Treasury Note | 6.63 | 2-15-2027 | 235,000 | 313,514 | |
U.S. Treasury Note | 6.75 | 8-15-2026 | 220,000 | 290,048 | |
Total U.S. Treasury securities (Cost $148,067,944) | 151,600,010 |
Yield | Shares | Value | |||
Short-term investments: 0.43% | |||||
Investment companies: 0.43% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 671,302 | $ 671,302 | ||
Total Short-term investments (Cost $671,302) | 671,302 | ||||
Total investments in securities (Cost $151,608,312) | 100.03% | 155,157,755 | |||
Other assets and liabilities, net | (0.03) | (42,171) | |||
Total net assets | 100.00% | $155,115,584 |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
FHLB | Federal Home Loan Bank |
FNMA | Federal National Mortgage Association |
TIPS | Treasury inflation-protected securities |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $281,311 | $106,319,673 | $(105,929,682) | $0 | $0 | $671,302 | 0.43% | 671,302 | $473 |
Assets | |
Investments in unaffiliated securities, at value (cost $150,937,010) | $ 154,486,453 |
Investments in affiliated securites, at value (cost $671,302) | 671,302 |
Receivable for investments sold | 1,250,947 |
Receivable for interest | 348,878 |
Prepaid expenses and other assets | 592 |
Total assets | 156,758,172 |
Liabilities | |
Payable for investments purchased | 1,590,741 |
Trustees’ fees and expenses payable | 857 |
Advisory fee payable | 683 |
Accrued expenses and other liabilities | 50,307 |
Total liabilities | 1,642,588 |
Total net assets | $155,115,584 |
Investment income | |
Interest | $ 996,071 |
Income from affiliated securities | 473 |
Total investment income | 996,544 |
Expenses | |
Advisory fee | 46,207 |
Custody and accounting fees | 8,873 |
Professional fees | 44,462 |
Interest holder report expenses | 8,387 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 8,276 |
Total expenses | 135,800 |
Less: Fee waivers and/or expense reimbursements | (72,681) |
Net expenses | 63,119 |
Net investment income | 933,425 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 1,078,112 |
Net change in unrealized gains (losses) on investments | 620,830 |
Net realized and unrealized gains (losses) on investments | 1,698,942 |
Net increase in net assets resulting from operations | $2,632,367 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 933,425 | $ 1,640,300 |
Net realized gains on investments | 1,078,112 | 168,387 |
Net change in unrealized gains (losses) on investments | 620,830 | 3,638,073 |
Net increase in net assets resulting from operations | 2,632,367 | 5,446,760 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 110,512,241 | 11,312,659 |
Withdrawals | (33,932,360) | (13,995,099) |
Net increase (decrease) in net assets resulting from capital transactions | 76,579,881 | (2,682,440) |
Total increase in net assets | 79,212,248 | 2,764,320 |
Net assets | ||
Beginning of period | 75,903,336 | 73,139,016 |
End of period | $155,115,584 | $ 75,903,336 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 3.73% | 7.75% | 2.47% | (1.40)% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.15% | 0.18% | 0.16% | 0.17% | ||
Net expenses | 0.07% 3 | 0.11% | 0.14% | 0.17% | ||
Net investment income | 1.01% | 2.27% | 2.23% | 1.45% | ||
Supplemental data | ||||||
Portfolio turnover rate | 44% | 41% | 23% | 193% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.08% higher. |
Gross unrealized gains | $3,549,443 |
Gross unrealized losses | (19,049) |
Net unrealized gains | $3,530,394 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 2,886,443 | $0 | $ 2,886,443 |
U.S. Treasury securities | 151,600,010 | 0 | 0 | 151,600,010 |
Short-term investments | ||||
Investment companies | 671,302 | 0 | 0 | 671,302 |
Total assets | $152,271,312 | $2,886,443 | $0 | $155,157,755 |
Average daily net assets | Advisory fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$116,659,048 | $885,181 | $39,485,079 | $786,432 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
Investment objective | The Portfolio seeks to replicate the total return of the Wells Fargo US REIT Index before fees and expenses. |
Adviser | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Petros N. Bocray, CFA®‡ |
Ten largest holdings (%) as of February 28, 20211 | |
Prologis Incorporated | 9.59 |
Digital Realty Trust Incorporated | 4.89 |
Simon Property Group Incorporated | 4.75 |
Public Storage Incorporated | 4.52 |
Welltower Incorporated | 3.74 |
AvalonBay Communities Incorporated | 3.19 |
Equity Residential | 3.12 |
Alexandria Real Estate Equities Incorporated | 3.01 |
Ventas Incorporated | 2.67 |
Essex Property Trust Incorporated | 2.19 |
1 | Figures represent the percentage of the Portfolio's net assets. Holdings are subject to change and may have changed since the date specified. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Shares | Value | ||||
Common stocks: 99.43% | |||||
Real estate: 99.43% | |||||
Equity REITs: 99.43% | |||||
Acadia Realty Trust | 2,860 | $ 54,080 | |||
Alexander & Baldwin Incorporated | 2,276 | 39,762 | |||
Alexandria Real Estate Equities Incorporated | 4,820 | 769,706 | |||
American Assets Trust Incorporated | 1,574 | 48,920 | |||
American Campus Communities Incorporated | 4,590 | 188,006 | |||
American Homes 4 Rent Class A | 9,242 | 287,796 | |||
Americold Realty Trust | 8,316 | 291,393 | |||
Apartment Investment & Management Company Class A | 4,908 | 23,362 | |||
Apple Hospitality REIT Incorporated | 6,381 | 90,929 | |||
AvalonBay Communities Incorporated | 4,646 | 816,535 | |||
Boston Properties Incorporated | 4,789 | 474,734 | |||
Brandywine Realty Trust | 5,559 | 67,987 | |||
Brixmor Property Group Incorporated | 9,954 | 195,895 | |||
Brookfield Property REIT Class A | 1,229 | 21,508 | |||
Camden Property Trust | 3,222 | 335,571 | |||
Colony Capital Incorporated | 15,756 | 93,276 | |||
Columbia Property Trust Incorporated | 3,779 | 53,359 | |||
Community Healthcare Trust Incorporated | 747 | 32,741 | |||
Corporate Office Properties Trust | 3,722 | 96,772 | |||
Cousins Properties Incorporated | 5,037 | 168,941 | |||
CubeSmart | 6,497 | 240,129 | |||
DiamondRock Hospitality † | 6,568 | 66,468 | |||
Digital Realty Trust Incorporated | 9,283 | 1,250,699 | |||
Diversified Healthcare Trust | 8,103 | 36,464 | |||
Douglas Emmett Incorporated | 5,592 | 183,138 | |||
Duke Realty Corporation | 12,570 | 493,373 | |||
Easterly Government Properties Incorporated | 2,697 | 59,280 | |||
EastGroup Properties Incorporated | 1,299 | 176,807 | |||
Empire State Realty Trust Incorporated Class A | 5,691 | 62,658 | |||
Equity Commonwealth | 3,894 | 109,850 | |||
Equity Lifestyle Properties Incorporated | 5,552 | 342,281 | |||
Equity Residential | 12,206 | 798,394 | |||
Essential Properties Realty | 3,556 | 82,499 | |||
Essex Property Trust Incorporated | 2,195 | 559,264 | |||
Extra Space Storage Incorporated | 4,271 | 536,865 | |||
Federal Realty Investment Trust | 2,504 | 253,330 | |||
First Industrial Realty Trust Incorporated | 4,344 | 185,532 | |||
Gaming and Leisure Properties Incorporated | 7,299 | 324,076 | |||
Gladstone Land REIT Corporation | 707 | 12,648 | |||
Healthcare Realty Trust Incorporated | 4,555 | 131,457 | |||
Healthcare Trust of America Incorporated Class A | 7,367 | 200,088 | |||
Healthpeak Properties Incorporated | 18,154 | 528,100 | |||
Highwoods Properties Incorporated | 3,450 | 137,862 | |||
Host Hotels & Resorts Incorporated | 23,929 | 396,982 | |||
Hudson Pacific Properties Incorporated | 5,072 | 129,792 | |||
Independence Realty Trust Incorporated | 3,162 | 44,394 | |||
Industrial Logistics Properties Trust | 2,111 | 44,901 | |||
Innovative Industrial Properties Incorporated | 815 | 158,925 | |||
Invitation Homes Incorporated | 18,867 | 549,784 | |||
Iron Mountain Incorporated | 9,439 | 328,383 | |||
JBG Smith Properties | 4,187 | 132,937 | |||
Kilroy Realty Corporation | 3,921 | 248,827 |
Shares | Value | ||||
Equity REITs (continued) | |||||
Kimco Realty Corporation | 14,070 | $ 257,903 | |||
Kite Realty Group Trust | 2,767 | 53,043 | |||
Lamar Advertising Company Class A | 2,882 | 249,552 | |||
Life Storage Incorporated | 2,390 | 200,521 | |||
LTC Properties Incorporated | 1,294 | 52,938 | |||
Mack-Cali Realty Corporation | 2,593 | 36,224 | |||
Mid-America Apartment Communities Incorporated | 3,822 | 514,938 | |||
National Health Investors Incorporated | 1,456 | 99,401 | |||
National Storage Affiliates Trust | 1,774 | 68,388 | |||
NexPoint Residential Trust Incorporated | 719 | 29,508 | |||
Office Properties Income Trust | 1,592 | 40,262 | |||
Outfront Media Incorporated | 4,693 | 95,174 | |||
Paramount Group Incorporated | 6,142 | 56,936 | |||
Park Hotels & Resorts Incorporated | 7,720 | 167,910 | |||
Pebblebrook Hotel Trust | 4,323 | 97,959 | |||
Piedmont Office Realty Trust Incorporated Class A | 4,058 | 69,229 | |||
Prologis Incorporated | 24,762 | 2,453,171 | |||
PS Business Parks Incorporated | 663 | 96,042 | |||
Public Storage Incorporated | 4,943 | 1,156,365 | |||
Regency Centers Corporation | 5,603 | 306,932 | |||
Retail Opportunity Investment Corporation | 3,820 | 60,394 | |||
Rexford Industrial Realty Incorporated | 4,417 | 210,779 | |||
RLJ Lodging Trust | 5,416 | 85,031 | |||
Ryman Hospitality Properties Incorporated | 1,666 | 128,765 | |||
Safehold Incorporated REIT | 544 | 41,480 | |||
Seritage Growth Property Class A † | 1,183 | 23,885 | |||
Service Properties Trust | 5,756 | 73,907 | |||
Simon Property Group Incorporated | 10,756 | 1,214,568 | |||
SITE Centers Corporation | 5,136 | 68,515 | |||
SL Green Realty Corporation | 2,339 | 161,555 | |||
STAG Industrial Incorporated | 5,343 | 168,572 | |||
Summit Hotel Properties Incorporated | 3,522 | 36,453 | |||
Sun Communities Incorporated | 3,532 | 536,687 | |||
Sunstone Hotel Investors Incorporated | 7,222 | 95,403 | |||
Tanger Factory Outlet Centers Incorporated | 3,491 | 54,948 | |||
Terreno Realty Corporation | 2,238 | 125,418 | |||
The Geo Group Incorporated | 3,979 | 28,649 | |||
The Macerich Company | 4,472 | 57,778 | |||
UDR Incorporated | 9,788 | 402,972 | |||
Uniti Group Incorporated | 7,658 | 91,207 | |||
Urban Edge Properties | 3,740 | 61,710 | |||
Ventas Incorporated | 12,931 | 684,050 | |||
VICI Properties Incorporated | 18,140 | 516,990 | |||
Vornado Realty Trust | 5,900 | 253,346 | |||
Washington REIT | 2,683 | 60,421 | |||
Weingarten Realty Investors | 4,120 | 104,607 | |||
Welltower Incorporated | 14,111 | 958,137 | |||
Xenia Hotels & Resorts Incorporated | 3,849 | 76,865 | |||
Total Common stocks (Cost $20,345,383) | 25,442,948 |
Yield | Shares | Value | |||
Short-term investments: 0.52% | |||||
Investment companies: 0.52% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 133,673 | $ 133,673 | ||
Total Short-term investments (Cost $133,673) | 133,673 | ||||
Total investments in securities (Cost $20,479,056) | 99.95% | 25,576,621 | |||
Other assets and liabilities, net | 0.05 | 12,082 | |||
Total net assets | 100.00% | $25,588,703 |
† | Non-income-earning security |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
REIT | Real estate investment trust |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | % of net assets | Shares, end of period | Income from affiliated securities | |
Short-term investments | |||||||||
Investment companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | $239,974 | $16,400,677 | $(16,506,978) | $0 | $0 | $133,673 | 0.52% | 133,673 | $342 |
Assets | |
Investments in unaffiliated securities, at value (cost $20,345,383) | $ 25,442,948 |
Investments in affiliated securites, at value (cost $133,673) | 133,673 |
Receivable for dividends | 13,530 |
Receivable from adviser | 4,094 |
Prepaid expenses and other assets | 21,307 |
Total assets | 25,615,552 |
Liabilities | |
Professional fees payable | 18,846 |
Payable for investments purchased | 7,146 |
Trustees’ fees and expenses payable | 857 |
Total liabilities | 26,849 |
Total net assets | $25,588,703 |
Investment income | |
Dividends | $ 503,113 |
Income from affiliated securities | 342 |
Total investment income | 503,455 |
Expenses | |
Advisory fee | 24,315 |
Custody and accounting fees | 26,537 |
Professional fees | 32,294 |
Interest holder report expenses | 7,299 |
Trustees’ fees and expenses | 19,595 |
Other fees and expenses | 5,582 |
Total expenses | 115,622 |
Less: Fee waivers and/or expense reimbursements | (80,526) |
Net expenses | 35,096 |
Net investment income | 468,359 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (1,599,946) |
Net change in unrealized gains (losses) on investments | 2,960,497 |
Net realized and unrealized gains (losses) on investments | 1,360,551 |
Net increase in net assets resulting from operations | $ 1,828,910 |
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Operations | ||
Net investment income | $ 468,359 | $ 908,484 |
Net realized gains (losses) on investments | (1,599,946) | 3,095,201 |
Net change in unrealized gains (losses) on investments | 2,960,497 | (2,169,132) |
Net increase in net assets resulting from operations | 1,828,910 | 1,834,553 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 11,785,224 | 5,390,330 |
Withdrawals | (13,636,052) | (25,181,044) |
Net decrease in net assets resulting from capital transactions | (1,850,828) | (19,790,714) |
Total decrease in net assets | (21,918) | (17,956,161) |
Net assets | ||
Beginning of period | 25,610,621 | 43,566,782 |
End of period | $ 25,588,703 | $ 25,610,621 |
Year ended February 28 | Year ended February 29 | Year ended February 28 | ||||
2021 | 2020 | 2019 | 2018 1 | |||
Total return2 | 3.45% | 2.65% | 19.52% | (8.74)% | ||
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.48% | 0.43% | 0.26% | 0.33% | ||
Net expenses | 0.14% 3 | 0.19% | 0.23% | 0.32% | ||
Net investment income | 1.93% | 2.73% | 2.91% | 2.53% | ||
Supplemental data | ||||||
Portfolio turnover rate | 71% | 26% | 20% | 51% |
1 | For the period from May 23, 2017 (commencement of operations) to February 28, 2018 |
2 | Returns for periods of less than one year are not annualized. |
3 | During the year ended February 28, 2021, expenses were voluntarily waived by the adviser. Without the voluntary expense waiver, the net expense ratio would have been 0.34% higher. |
Gross unrealized gains | $ 5,011,877 |
Gross unrealized losses | (4,122,460) |
Net unrealized gains | $ 889,417 |
■ | Level 1 – quoted prices in active markets for identical securities |
■ | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
■ | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Common stocks | ||||
Real estate | $ 25,442,948 | $0 | $0 | $ 25,442,948 |
Short-term investments | ||||
Investment companies | 133,673 | 0 | 0 | 133,673 |
Total assets | $25,576,621 | $0 | $0 | $25,576,621 |
Average daily net assets | Advisory fee |
First $5 billion | 0.100% |
Next $5 billion | 0.080 |
Over $10 billion | 0.060 |
Wells Fargo Master Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation since 2009, and Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Mr. Harris is a certified public accountant (inactive status). | CIGNA Corporation |
Judith M. Johnson (Born 1949) | Trustee, since 2008 | Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer of Minneapolis Employees Retirement Fund from 1996 to 2008. Ms. Johnson is an attorney, certified public accountant and a certified managerial accountant. | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor, Wharton School of the University of Pennsylvania since 1993. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously, Cornell University Professor from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Human Services Manager (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | Executive Vice President of Wells Fargo & Company and Head of Affiliated Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen is currently President, Chief Executive Officer and Director of Wells Fargo Funds Management, LLC since 2017. Prior thereto, Executive Vice President responsible for marketing, investments and product development for Wells Fargo Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Wells Fargo Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Michelle Rhee (Born 1966) | Chief Legal Officer, since 2019 | Secretary of Wells Fargo Funds Management, LLC and Chief Legal Counsel of Wells Fargo Asset Management since 2018. Deputy General Counsel of Wells Fargo Bank, N.A. since 2020 and Assistant General Counsel of Wells Fargo Bank, N.A. from 2018 to 2020. Associate General Counsel and Managing Director of Bank of America Corporation from 2004 to 2018. |
Catherine Kennedy (Born 1969) | Secretary, since 2019 | Vice President of Wells Fargo Funds Management, LLC and Senior Counsel of the Wells Fargo Legal Department since 2010. Vice President and Senior Counsel of Evergreen Investment Management Company, LLC from 1998 to 2010. |
Michael H. Whitaker (Born 1967) | Chief Compliance Officer, since 2016 | Chief Compliance Officer of Wells Fargo Asset Management since 2016. Senior Vice President and Chief Compliance Officer for Fidelity Investments from 2007 to 2016. |
P.O. Box 219967
Kansas City, MO 64121-9967
ITEM 2. CODE OF ETHICS
(a) As of the end of the period covered by the report, Wells Fargo Master Trust has adopted a code of ethics that applies to its President and Treasurer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
(c) During the period covered by this report, there were no amendments to the provisions of the code of ethics adopted in Item 2(a) above.
(d) During the period covered by this report, there were no implicit or explicit waivers to the provisions of the code of ethics adopted in Item 2(a) above.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The Board of Trustees of Wells Fargo Master Trust has determined that Judith Johnson is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mrs. Johnson is independent for purposes of Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
(a), (b), (c), (d) The following table presents aggregate fees billed in each of the last two fiscal years for services rendered to the Registrant by the Registrant’s principal accountant. These fees were billed to the registrant and were approved by the Registrant’s audit committee.
Fiscal year ended February 28, 2021 | Fiscal year ended February 29, 2020 | |||||||
Audit fees | $ | 438,160 | $ | 326,720 | ||||
Audit-related fees | — | — | ||||||
Tax fees (1) | 79,540 | 65,530 | ||||||
All other fees | — | — | ||||||
|
|
|
| |||||
$ 517,700 | $ 392,250 | |||||||
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|
|
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(1) | Tax fees consist of fees for tax compliance, tax advice, tax planning and excise tax. |
(e) The Chair of the Audit Committees is authorized to pre-approve: (1) audit services for the mutual funds of Wells Fargo Master Trust; (2) non-audit tax or compliance consulting or training services provided to the Funds by the independent auditors (“Auditors”) if the fees for any particular engagement are not anticipated to exceed $50,000; and (3) non-audit tax or compliance consulting or training services provided by the Auditors to a Fund’s investment adviser and its controlling entities (where pre-approval is required because the engagement relates directly to the operations and financial reporting of the Fund) if the fee to the Auditors for any particular engagement is not anticipated to exceed $50,000. For any such pre-approval sought from the Chair, Management shall prepare a brief description of the proposed services. If the Chair approves of such service, he or she shall sign the statement prepared by Management. Such written statement shall be presented to the full Committees at their next regularly scheduled meetings.
(f) Not applicable
(g) Not applicable
(h) Not applicable
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. INVESTMENTS
A Portfolio of Investments for each series of Wells Fargo Master Trust is included as part of the report to shareholders filed under Item 1 of this Form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that have been implemented since the registrant’s last provided disclosure in response to the requirements of this Item.
ITEM 11. CONTROLS AND PROCEDURES
(a) The President and Treasurer have concluded that the Wells Fargo Master Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.
(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the most recent fiscal half-year of the period covered by this report that materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURES OF SECURITIES LENDING ACTIVITES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 13. EXHIBITS
(a)(1) Code of Ethics.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
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.
Wells Fargo Master Trust | ||
By: | ||
/s/ Andrew Owen | ||
Andrew Owen | ||
President | ||
Date: April 27, 2021 |
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 date indicated.
Wells Fargo Master Trust | ||
By: | ||
/s/ Andrew Owen | ||
Andrew Owen | ||
President | ||
Date: April 27, 2021 |
By: | ||
/s/ Jeremy DePalma | ||
Jeremy DePalma | ||
Treasurer | ||
Date: April 27, 2021 |