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: May 31
Registrant is making a filing for 12 of its series:
Wells Fargo C&B Large Cap Value Portfolio, Wells Fargo Core Bond Portfolio, Wells Fargo Disciplined International Developed Markets Portfolio, Wells Fargo Discipline Large Cap Portfolio, Wells Fargo Diversified Large Cap Growth Portfolio, Wells Fargo Emerging Growth Portfolio, Wells Fargo Index Portfolio, Wells Fargo Large Company Value Portfolio, Wells Fargo Managed Fixed Income Portfolio, Wells Fargo Real Return Portfolio, Wells Fargo Small Company Growth Portfolio, and Wells Fargo Small Company Value Portfolio.
Date of reporting period: May 31, 2021
ITEM 1. REPORT TO STOCKHOLDERS
C&B Large Cap Value Fund
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Wells Fargo C&B Large Cap Value Fund | |
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Financial statements | |
12 | |
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25 | |
Wells Fargo C&B Large Cap Value Portfolio | |
26 | |
Financial statements | |
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31 | |
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34 | |
39 | |
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Board considerations | |
45 | |
49 | |
55 |
1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Barclays Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved. |
“The passage of the massive domestic stimulus bill highlighted March activity, leading to increased forecasts for U.S. growth in 2021.” |
President
Wells Fargo Funds
Investment objective | The Fund seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal. |
Manager | Wells Fargo Funds Management, LLC |
Portfolio managers | Andrew B. Armstrong, CFA®‡, Wesley Lim, CFA®‡, Steve Lyons, CFA®‡, Michael M. Meyer, CFA®‡, Edward W. O'Connor, CFA®‡, R. James O'Neil, CFA®‡, Mehul Trivedi, CFA®‡, William Weber, CFA®‡ |
Average annual total returns (%) as of May 31, 2021 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (CBEAX) | 7-26-2004 | 47.97 | 12.74 | 11.08 | 56.98 | 14.09 | 11.74 | 1.28 | 1.08 | ||
Class C (CBECX) | 7-26-2004 | 54.94 | 13.24 | 10.91 | 55.94 | 13.24 | 10.91 | 2.03 | 1.83 | ||
Class R6 (CBEJX)3 | 10-31-2016 | – | – | – | 57.75 | 14.58 | 12.16 | 0.85 | 0.65 | ||
Administrator Class (CBLLX) | 7-26-2004 | – | – | – | 57.12 | 14.20 | 11.92 | 1.20 | 1.00 | ||
Institutional Class (CBLSX) | 7-26-2004 | – | – | – | 57.58 | 14.48 | 12.18 | 0.95 | 0.75 | ||
Russell 1000® Value Index4 | – | – | – | – | 44.38 | 12.33 | 11.51 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through September 30, 2021, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 1.08% for Class A, 1.83% for Class C, 0.65% for Class R6, 1.00% for Administrator Class, and 0.75% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had been included, returns for the Class R6 shares would be higher. |
4 | The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index. |
* | The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Russell 1000® Value Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%. |
■ | The Fund outperformed its benchmark, the Russell 1000® Value Index, for the 12-month period that ended May 31, 2021. |
■ | Stock selection in consumer discretionary, information technology, and health care, as well as an overweight position in financials were key contributors to relative performance. |
■ | Stock selection in financials and communication services, as well as an underweight in materials detracted from relative performance. |
Ten largest holdings (%) as of May 31, 20211 | |
Arrow Electronics Incorporated | 3.63 |
Brookfield Asset Management Incorporated Class A | 3.38 |
AerCap Holdings NV | 3.19 |
Leidos Holdings Incorporated | 3.08 |
State Street Corporation | 2.91 |
US Bancorp | 2.78 |
Arch Capital Group Limited | 2.78 |
Johnson & Johnson | 2.75 |
Fidelity National Financial Incorporated | 2.69 |
The Charles Schwab Corporation | 2.63 |
1 | Each holding represents the Fund’s allocable portion of the affiliated master portfolio security. Figures represent each holding as a percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Sector allocation as of May 31, 20211 |
1 | Figures represent the sector allocation of the affiliated master portfolio as a percentage of the long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 12-1-2020 | Ending account value 5-31-2021 | Expenses paid during the period1,2 | Annualized net expense ratio2 | |
Class A | ||||
Actual | $1,000.00 | $1,261.34 | $ 6.03 | 1.07% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.60 | $ 5.39 | 1.07% |
Class C | ||||
Actual | $1,000.00 | $1,257.29 | $10.30 | 1.83% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.81 | $ 9.20 | 1.83% |
Class R6 | ||||
Actual | $1,000.00 | $1,264.00 | $ 3.67 | 0.65% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.69 | $ 3.28 | 0.65% |
Administrator Class | ||||
Actual | $1,000.00 | $1,262.04 | $ 5.58 | 0.99% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.00 | $ 4.99 | 0.99% |
Institutional Class | ||||
Actual | $1,000.00 | $1,263.50 | $ 4.23 | 0.75% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.19 | $ 3.78 | 0.75% |
Value | |||||
Investment companies: 99.93% | |||||
Affiliated master portfolio: 99.93% | |||||
Wells Fargo C&B Large Cap Value Portfolio | $316,451,986 | ||||
Total Investment companies (Cost $203,999,902) | 316,451,986 | ||||
Total investments in securities (Cost $203,999,902) | 99.93% | 316,451,986 | |||
Other assets and liabilities, net | 0.07 | 210,336 | |||
Total net assets | 100.00% | $316,662,322 |
% of ownership, beginning of period | % of ownership, end of period | Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Dividends allocated from affiliated Master Portfolio | Affiliated income allocated from affiliated Master Portfolio | Value, end of period | % of net assets | |
Wells Fargo C&B Large Cap Value Portfolio | 74.98% | 76.92% | $25,510,777 | $89,716,793 | $4,625,966 | $4,821 | $316,451,986 | 99.93% |
Assets | |
Investments in affiliated Master Portfolio, at value (cost $203,999,902) | $ 316,451,986 |
Receivable for Fund shares sold | 987,420 |
Receivable from manager | 11,479 |
Total assets | 317,450,885 |
Liabilities | |
Payable for Fund shares redeemed | 668,181 |
Administration fees payable | 37,745 |
Distribution fee payable | 2,949 |
Accrued expenses and other liabilities | 79,688 |
Total liabilities | 788,563 |
Total net assets | $316,662,322 |
Net assets consist of | |
Paid-in capital | $ 186,225,688 |
Total distributable earnings | 130,436,634 |
Total net assets | $316,662,322 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 102,332,229 |
Shares outstanding – Class A1 | 5,961,813 |
Net asset value per share – Class A | $17.16 |
Maximum offering price per share – Class A2 | $18.21 |
Net assets – Class C | $ 4,718,979 |
Shares outstanding – Class C1 | 278,123 |
Net asset value per share – Class C | $16.97 |
Net assets – Class R6 | $ 47,300,613 |
Shares outstanding – Class R61 | 2,743,292 |
Net asset value per share – Class R6 | $17.24 |
Net assets – Administrator Class | $ 5,980,029 |
Shares outstanding – Administrator Class1 | 347,592 |
Net asset value per share – Administrator Class | $17.20 |
Net assets – Institutional Class | $ 156,330,472 |
Shares outstanding – Institutional Class1 | 9,067,223 |
Net asset value per share – Institutional Class | $17.24 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $97,616) | $ 4,625,966 |
Affiliated income allocated from affiliated Master Portfolio | 4,821 |
Expenses allocated from affiliated Master Portfolio | (1,760,936) |
Waivers allocated from affiliated Master Portfolio | 110,822 |
Total investment income | 2,980,673 |
Expenses | |
Management fee | 128,974 |
Administration fees | |
Class A | 174,406 |
Class C | 8,056 |
Class R6 | 12,257 |
Administrator Class | 7,877 |
Institutional Class | 161,386 |
Shareholder servicing fees | |
Class A | 207,493 |
Class C | 9,579 |
Administrator Class | 15,131 |
Distribution fee | |
Class C | 28,737 |
Custody and accounting fees | 12,006 |
Professional fees | 35,337 |
Registration fees | 110,527 |
Shareholder report expenses | 49,529 |
Trustees’ fees and expenses | 21,080 |
Other fees and expenses | 15,218 |
Total expenses | 997,593 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (418,340) |
Class A | (8,305) |
Class R6 | (4,086) |
Administrator Class | (1,212) |
Net expenses | 565,650 |
Net investment income | 2,415,023 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on securities transactions allocated from affiliated Master Portfolio | 25,510,777 |
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | 89,716,793 |
Net realized and unrealized gains (losses) on investments | 115,227,570 |
Net increase in net assets resulting from operations | $117,642,593 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |||
Operations | ||||
Net investment income | $ 2,415,023 | $ 3,041,679 | ||
Net realized gains on investments | 25,510,777 | 14,162,746 | ||
Net change in unrealized gains (losses) on investments | 89,716,793 | (23,968,868) | ||
Net increase (decrease) in net assets resulting from operations | 117,642,593 | (6,764,443) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (4,170,269) | (7,751,447) | ||
Class C | (154,865) | (388,806) | ||
Class R6 | (2,183,532) | (5,218,989) | ||
Administrator Class | (299,002) | (711,108) | ||
Institutional Class | (6,446,162) | (11,583,308) | ||
Total distributions to shareholders | (13,253,830) | (25,653,658) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 610,000 | 8,963,843 | 738,336 | 9,862,221 |
Class C | 68,098 | 996,267 | 84,359 | 1,159,805 |
Class R6 | 281,375 | 4,009,424 | 862,015 | 10,181,197 |
Administrator Class | 19,784 | 279,674 | 86,612 | 1,194,613 |
Institutional Class | 3,644,970 | 49,931,868 | 3,591,723 | 48,556,144 |
64,181,076 | 70,953,980 | |||
Reinvestment of distributions | ||||
Class A | 291,093 | 4,115,619 | 529,924 | 7,655,000 |
Class C | 11,107 | 154,614 | 26,971 | 383,791 |
Class R6 | 24,172 | 343,838 | 47,617 | 691,796 |
Administrator Class | 13,379 | 189,677 | 34,562 | 500,228 |
Institutional Class | 451,083 | 6,414,372 | 792,083 | 11,497,247 |
11,218,120 | 20,728,062 | |||
Payment for shares redeemed | ||||
Class A | (1,092,566) | (14,863,709) | (1,199,143) | (15,487,514) |
Class C | (115,785) | (1,529,367) | (192,765) | (2,559,135) |
Class R6 | (844,970) | (11,496,464) | (2,860,401) | (39,194,686) |
Administrator Class | (221,462) | (3,119,176) | (297,032) | (3,913,331) |
Institutional Class | (3,426,687) | (47,236,282) | (4,306,577) | (53,511,682) |
(78,244,998) | (114,666,348) | |||
Net decrease in net assets resulting from capital share transactions | (2,845,802) | (22,984,306) | ||
Total increase (decrease) in net assets | 101,542,961 | (55,402,407) | ||
Net assets | ||||
Beginning of period | 215,119,361 | 270,521,768 | ||
End of period | $316,662,322 | $ 215,119,361 |
Year ended May 31 | |||||
Class A | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $11.49 | $13.01 | $13.91 | $14.54 | $12.55 |
Net investment income | 0.10 | 0.12 | 0.11 | 0.09 1 | 0.08 |
Net realized and unrealized gains (losses) on investments | 6.29 | (0.33) | 0.02 | 0.87 | 2.23 |
Total from investment operations | 6.39 | (0.21) | 0.13 | 0.96 | 2.31 |
Distributions to shareholders from | |||||
Net investment income | (0.11) | (0.13) | (0.12) | (0.06) | (0.08) |
Net realized gains | (0.61) | (1.18) | (0.91) | (1.53) | (0.24) |
Total distributions to shareholders | (0.72) | (1.31) | (1.03) | (1.59) | (0.32) |
Net asset value, end of period | $17.16 | $11.49 | $13.01 | $13.91 | $14.54 |
Total return2 | 56.98% | (3.61)% | 1.33% | 6.29% | 18.62% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.24% | 1.27% | 1.23% | 1.21% | 1.24% |
Net expenses | 1.07% | 1.07% | 1.08% | 1.10% | 1.15% |
Net investment income | 0.73% | 0.92% | 0.83% | 0.58% | 0.62% |
Supplemental data | |||||
Portfolio turnover rate3 | 38% | 33% | 47% | 42% | 89% |
Net assets, end of period (000s omitted) | $102,332 | $70,680 | $79,172 | $85,707 | $83,016 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.64% |
Year ended May 31, 2020 | 0.64% |
Year ended May 31, 2019 | 0.65% |
Year ended May 31, 2018 | 0.66% |
Year ended May 31, 2017 | 0.68% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class C | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $11.36 | $12.87 | $13.75 | $14.44 | $12.48 |
Net investment income (loss) | (0.03) | 0.02 1 | 0.01 1 | (0.02) 1 | (0.02) |
Net realized and unrealized gains (losses) on investments | 6.25 | (0.35) | 0.03 | 0.86 | 2.22 |
Total from investment operations | 6.22 | (0.33) | 0.04 | 0.84 | 2.20 |
Distributions to shareholders from | |||||
Net investment income | 0.00 | 0.00 | (0.01) | 0.00 | 0.00 |
Net realized gains | (0.61) | (1.18) | (0.91) | (1.53) | (0.24) |
Total distributions to shareholders | (0.61) | (1.18) | (0.92) | (1.53) | (0.24) |
Net asset value, end of period | $16.97 | $11.36 | $12.87 | $13.75 | $14.44 |
Total return2 | 55.94% | (4.41)% | 0.61% | 5.46% | 17.73% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.99% | 2.02% | 1.97% | 1.96% | 1.99% |
Net expenses | 1.83% | 1.83% | 1.83% | 1.85% | 1.90% |
Net investment income (loss) | (0.04)% | 0.16% | 0.07% | (0.16)% | (0.13)% |
Supplemental data | |||||
Portfolio turnover rate3 | 38% | 33% | 47% | 42% | 89% |
Net assets, end of period (000s omitted) | $4,719 | $3,576 | $5,098 | $11,031 | $8,043 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.64% |
Year ended May 31, 2020 | 0.64% |
Year ended May 31, 2019 | 0.65% |
Year ended May 31, 2018 | 0.66% |
Year ended May 31, 2017 | 0.68% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class R6 | 2021 | 2020 | 2019 | 2018 | 2017 1 |
Net asset value, beginning of period | $11.53 | $13.06 | $13.97 | $14.59 | $12.73 |
Net investment income | 0.16 2 | 0.18 2 | 0.18 2 | 0.18 2 | 0.16 |
Net realized and unrealized gains (losses) on investments | 6.32 | (0.33) | 0.00 3 | 0.85 | 2.06 |
Total from investment operations | 6.48 | (0.15) | 0.18 | 1.03 | 2.22 |
Distributions to shareholders from | |||||
Net investment income | (0.16) | (0.20) | (0.18) | (0.12) | (0.12) |
Net realized gains | (0.61) | (1.18) | (0.91) | (1.53) | (0.24) |
Total distributions to shareholders | (0.77) | (1.38) | (1.09) | (1.65) | (0.36) |
Net asset value, end of period | $17.24 | $11.53 | $13.06 | $13.97 | $14.59 |
Total return4 | 57.75% | (3.25)% | 1.74% | 6.76% | 17.65% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.82% | 0.84% | 0.79% | 0.77% | 0.81% |
Net expenses | 0.65% | 0.65% | 0.65% | 0.65% | 0.70% |
Net investment income | 1.14% | 1.33% | 1.27% | 1.28% | 1.04% |
Supplemental data | |||||
Portfolio turnover rate5 | 38% | 33% | 47% | 42% | 89% |
Net assets, end of period (000s omitted) | $47,301 | $37,859 | $68,366 | $110,665 | $3,532 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.64% |
Year ended May 31, 2020 | 0.64% |
Year ended May 31, 2019 | 0.65% |
Year ended May 31, 2018 | 0.65% |
Year ended May 31, 20171 | 0.68% |
1 | For the period from October 31, 2016 (commencement of class operations) to May 31, 2017 |
2 | Calculated based upon average shares outstanding |
3 | Amount is less than $0.005. |
4 | Returns for periods of less than one year are not annualized. |
5 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Administrator Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $11.51 | $13.03 | $13.92 | $14.56 | $12.54 |
Net investment income | 0.11 1 | 0.13 1 | 0.12 1 | 0.10 1 | 0.10 1 |
Net realized and unrealized gains (losses) on investments | 6.30 | (0.33) | 0.02 | 0.87 | 2.24 |
Total from investment operations | 6.41 | (0.20) | 0.14 | 0.97 | 2.34 |
Distributions to shareholders from | |||||
Net investment income | (0.11) | (0.14) | (0.12) | (0.08) | (0.08) |
Net realized gains | (0.61) | (1.18) | (0.91) | (1.53) | (0.24) |
Total distributions to shareholders | (0.72) | (1.32) | (1.03) | (1.61) | (0.32) |
Net asset value, end of period | $17.20 | $11.51 | $13.03 | $13.92 | $14.56 |
Total return | 57.12% | (3.56)% | 1.44% | 6.36% | 18.82% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.17% | 1.19% | 1.15% | 1.13% | 1.16% |
Net expenses | 0.99% | 0.99% | 1.00% | 1.00% | 1.00% |
Net investment income | 0.81% | 1.00% | 0.90% | 0.69% | 0.77% |
Supplemental data | |||||
Portfolio turnover rate2 | 38% | 33% | 47% | 42% | 89% |
Net assets, end of period (000s omitted) | $5,980 | $6,167 | $9,274 | $12,742 | $11,467 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.64% |
Year ended May 31, 2020 | 0.64% |
Year ended May 31, 2019 | 0.65% |
Year ended May 31, 2018 | 0.66% |
Year ended May 31, 2017 | 0.68% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio���s portfolio turnover rate. |
Year ended May 31 | |||||
Institutional Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $11.53 | $13.05 | $13.96 | $14.58 | $12.58 |
Net investment income | 0.15 | 0.16 | 0.14 | 0.13 1 | 0.14 |
Net realized and unrealized gains (losses) on investments | 6.32 | (0.33) | 0.02 | 0.89 | 2.22 |
Total from investment operations | 6.47 | (0.17) | 0.16 | 1.02 | 2.36 |
Distributions to shareholders from | |||||
Net investment income | (0.15) | (0.17) | (0.16) | (0.11) | (0.12) |
Net realized gains | (0.61) | (1.18) | (0.91) | (1.53) | (0.24) |
Total distributions to shareholders | (0.76) | (1.35) | (1.07) | (1.64) | (0.36) |
Net asset value, end of period | $17.24 | $11.53 | $13.05 | $13.96 | $14.58 |
Total return | 57.58% | (3.33)% | 1.64% | 6.68% | 19.05% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.91% | 0.94% | 0.90% | 0.88% | 0.91% |
Net expenses | 0.75% | 0.75% | 0.75% | 0.77% | 0.80% |
Net investment income | 1.05% | 1.25% | 1.17% | 0.87% | 0.96% |
Supplemental data | |||||
Portfolio turnover rate2 | 38% | 33% | 47% | 42% | 89% |
Net assets, end of period (000s omitted) | $156,330 | $96,838 | $108,613 | $135,082 | $220,257 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.64% |
Year ended May 31, 2020 | 0.64% |
Year ended May 31, 2019 | 0.65% |
Year ended May 31, 2018 | 0.66% |
Year ended May 31, 2017 | 0.68% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Gross unrealized gains | $112,452,084 |
Gross unrealized losses | (2,181,480) |
Net unrealized gains | $110,270,604 |
Affiliated Master Portfolio | Investment objective | Fair value of affiliated Master Portfolio |
Wells Fargo C&B Large Cap Value Portfolio | Seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal | $316,451,986 |
Average daily net assets | Management fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Class-level administration fee | |
Class A | 0.21% |
Class C | 0.21 |
Class R6 | 0.03 |
Administrator Class | 0.13 |
Institutional Class | 0.13 |
Expense ratio caps | |
Class A | 1.08% |
Class C | 1.83 |
Class R6 | 0.65 |
Administrator Class | 1.00 |
Institutional Class | 0.75 |
Year ended May 31 | ||
2021 | 2020 | |
Ordinary income | $4,722,816 | $ 6,869,198 |
Long-term capital gain | 8,531,014 | 18,784,460 |
Undistributed ordinary income | Undistributed long-term gain | Unrealized gains |
$1,961,939 | $18,204,091 | $110,270,604 |
Wells Fargo Funds Trust:
Shares | Value | ||||
Common stocks: 95.09% | |||||
Communication services: 7.11% | |||||
Diversified telecommunication services: 2.54% | |||||
Verizon Communications Incorporated | 185,100 | $ 10,456,299 | |||
Entertainment: 2.62% | |||||
Activision Blizzard Incorporated | 110,900 | 10,785,023 | |||
Media: 1.95% | |||||
Omnicom Group Incorporated | 97,300 | 8,001,952 | |||
Consumer discretionary: 5.56% | |||||
Household durables: 1.90% | |||||
Whirlpool Corporation | 33,000 | 7,823,970 | |||
Textiles, apparel & luxury goods: 3.66% | |||||
Gildan Activewear Incorporated | 278,700 | 10,077,792 | |||
HanesBrands Incorporated | 255,000 | 4,982,700 | |||
15,060,492 | |||||
Consumer staples: 7.16% | |||||
Food products: 2.92% | |||||
General Mills Incorporated | 131,100 | 8,240,946 | |||
Ingredion Incorporated | 39,470 | 3,746,887 | |||
11,987,833 | |||||
Personal products: 2.27% | |||||
Unilever plc ADR | 155,900 | 9,349,323 | |||
Tobacco: 1.97% | |||||
Philip Morris International Incorporated | 84,100 | 8,109,763 | |||
Energy: 0.98% | |||||
Energy equipment & services: 0.98% | |||||
Schlumberger Limited | 129,100 | 4,044,703 | |||
Financials: 33.02% | |||||
Banks: 5.81% | |||||
JPMorgan Chase & Company | 43,800 | 7,193,712 | |||
PNC Financial Services Group Incorporated | 27,100 | 5,275,828 | |||
US Bancorp | 188,200 | 11,438,796 | |||
23,908,336 | |||||
Capital markets: 10.28% | |||||
Brookfield Asset Management Incorporated Class A | 276,100 | 13,898,874 | |||
Intercontinental Exchange Incorporated | 49,500 | 5,587,560 | |||
State Street Corporation | 137,800 | 11,985,844 | |||
The Charles Schwab Corporation | 146,500 | 10,819,025 | |||
42,291,303 | |||||
Consumer finance: 1.68% | |||||
Synchrony Financial | 145,800 | 6,912,378 |
Shares | Value | ||||
Diversified financial services: 2.42% | |||||
Berkshire Hathaway Incorporated Class B † | 34,350 | $ 9,942,264 | |||
Insurance: 12.83% | |||||
Alleghany Corporation † | 11,600 | 8,312,212 | |||
Arch Capital Group Limited † | 286,400 | 11,424,496 | |||
Chubb Limited | 62,900 | 10,692,371 | |||
Fidelity National Financial Incorporated | 236,000 | 11,089,640 | |||
Progressive Corporation | 70,197 | 6,955,119 | |||
The Allstate Corporation | 31,600 | 4,316,876 | |||
52,790,714 | |||||
Health care: 12.66% | |||||
Health care equipment & supplies: 4.33% | |||||
Becton Dickinson & Company | 41,140 | 9,951,355 | |||
Medtronic plc | 62,200 | 7,873,898 | |||
17,825,253 | |||||
Health care providers & services: 5.58% | |||||
HCA Healthcare Incorporated | 40,600 | 8,720,474 | |||
Laboratory Corporation of America Holdings † | 22,000 | 6,038,560 | |||
UnitedHealth Group Incorporated | 19,880 | 8,188,970 | |||
22,948,004 | |||||
Pharmaceuticals: 2.75% | |||||
Johnson & Johnson | 66,950 | 11,331,288 | |||
Industrials: 17.11% | |||||
Air freight & logistics: 1.45% | |||||
United Parcel Service Incorporated Class B | 27,700 | 5,944,420 | |||
Commercial services & supplies: 2.22% | |||||
IAA Incorporated † | 160,540 | 9,145,964 | |||
Electrical equipment: 1.38% | |||||
AMETEK Incorporated | 41,900 | 5,660,690 | |||
Industrial conglomerates: 1.18% | |||||
3M Company | 23,950 | 4,862,808 | |||
Machinery: 4.60% | |||||
Colfax Corporation † | 218,800 | 9,670,960 | |||
Stanley Black & Decker Incorporated | 17,960 | 3,893,728 | |||
Woodward Incorporated | 42,250 | 5,373,355 | |||
18,938,043 | |||||
Professional services: 3.09% | |||||
Leidos Holdings Incorporated | 123,570 | 12,696,818 | |||
Trading companies & distributors: 3.19% | |||||
AerCap Holdings NV † | 222,500 | 13,127,500 |
Shares | Value | ||||
Information technology: 7.25% | |||||
Electronic equipment, instruments & components: 5.34% | |||||
Arrow Electronics Incorporated † | 124,300 | $ 14,957,019 | |||
TE Connectivity Limited | 51,660 | 7,009,229 | |||
21,966,248 | |||||
IT services: 1.91% | |||||
Amdocs Limited | 100,700 | 7,864,670 | |||
Materials: 1.19% | |||||
Metals & mining: 1.19% | |||||
Reliance Steel & Aluminum Company | 29,090 | 4,889,156 | |||
Real estate: 1.07% | |||||
Real estate management & development: 1.07% | |||||
CBRE Group Incorporated Class A † | 50,300 | 4,415,334 | |||
Utilities: 1.98% | |||||
Gas utilities: 1.98% | |||||
Atmos Energy Corporation | 82,110 | 8,142,849 | |||
Total Common stocks (Cost $242,230,582) | 391,223,398 |
Yield | |||||
Short-term investments: 4.88% | |||||
Investment companies: 4.88% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 20,061,602 | 20,061,602 | ||
Total Short-term investments (Cost $20,061,602) | 20,061,602 | ||||
Total investments in securities (Cost $262,292,184) | 99.97% | 411,285,000 | |||
Other assets and liabilities, net | 0.03 | 113,870 | |||
Total net assets | 100.00% | $411,398,870 |
† | Non-income-earning security |
♠ | The issuer is an affiliate 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 |
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 | $6,370,055 | $124,207,109 | $(110,515,562) | $0 | $0 | $20,061,602 | 4.88% | 20,061,602 | $6,330 |
Assets | |
Investments in unaffiliated securities, at value (cost $242,230,582) | $ 391,223,398 |
Investments in affiliated securites, at value (cost $20,061,602) | 20,061,602 |
Receivable for dividends | 467,407 |
Receivable for investments sold | 387,510 |
Prepaid expenses and other assets | 47,162 |
Total assets | 412,187,079 |
Liabilities | |
Payable for investments purchased | 576,921 |
Advisory fee payable | 211,288 |
Total liabilities | 788,209 |
Total net assets | $411,398,870 |
Investment income | |
Dividends (net of foreign withholdings taxes of $127,991) | $ 6,054,864 |
Income from affiliated securities | 6,330 |
Total investment income | 6,061,194 |
Expenses | |
Advisory fee | 2,194,057 |
Custody and accounting fees | 20,544 |
Professional fees | 44,423 |
Interest holder report expenses | 9,173 |
Trustees’ fees and expenses | 19,199 |
Other fees and expenses | 18,002 |
Total expenses | 2,305,398 |
Less: Fee waivers and/or expense reimbursements | (145,096) |
Net expenses | 2,160,302 |
Net investment income | 3,900,892 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 33,139,971 |
Net change in unrealized gains (losses) on investments | 117,846,464 |
Net realized and unrealized gains (losses) on investments | 150,986,435 |
Net increase in net assets resulting from operations | $154,887,327 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 3,900,892 | $ 4,668,688 |
Net realized gains on investments | 33,139,971 | 14,608,307 |
Net change in unrealized gains (losses) on investments | 117,846,464 | (25,082,549) |
Net increase (decrease) in net assets resulting from operations | 154,887,327 | (5,805,554) |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 49,283,346 | 41,745,884 |
Withdrawals | (79,684,157) | (99,923,052) |
Net decrease in net assets resulting from capital transactions | (30,400,811) | (58,177,168) |
Total increase (decrease) in net assets | 124,486,516 | (63,982,722) |
Net assets | ||
Beginning of period | 286,912,354 | 350,895,076 |
End of period | $411,398,870 | $286,912,354 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 57.96% | (3.40)% | 1.80% | 6.65% | 19.17% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.68% | 0.68% | 0.67% | 0.67% | 0.68% |
Net expenses1 | 0.64% | 0.64% | 0.65% | 0.66% | 0.68% |
Net investment income | 1.16% | 1.36% | 1.27% | 1.02% | 1.09% |
Supplemental data | |||||
Portfolio turnover rate | 38% | 33% | 47% | 42% | 89% |
1 | Net expense ratios reflect voluntary waivers. |
Gross unrealized gains | $149,220,053 |
Gross unrealized losses | (4,954,424) |
Net unrealized gains | $144,265,629 |
■ | 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 | $ 29,243,274 | $0 | $0 | $ 29,243,274 |
Consumer discretionary | 22,884,462 | 0 | 0 | 22,884,462 |
Consumer staples | 29,446,919 | 0 | 0 | 29,446,919 |
Energy | 4,044,703 | 0 | 0 | 4,044,703 |
Financials | 135,844,995 | 0 | 0 | 135,844,995 |
Health care | 52,104,545 | 0 | 0 | 52,104,545 |
Industrials | 70,376,243 | 0 | 0 | 70,376,243 |
Information technology | 29,830,918 | 0 | 0 | 29,830,918 |
Materials | 4,889,156 | 0 | 0 | 4,889,156 |
Real estate | 4,415,334 | 0 | 0 | 4,415,334 |
Utilities | 8,142,849 | 0 | 0 | 8,142,849 |
Short-term investments | ||||
Investment companies | 20,061,602 | 0 | 0 | 20,061,602 |
Total assets | $411,285,000 | $0 | $0 | $411,285,000 |
Average daily net assets | Advisory fee |
First $500 million | 0.650% |
Next $500 million | 0.625 |
Next $1 billion | 0.600 |
Next $2 billion | 0.575 |
Next $4 billion | 0.550 |
Next $4 billion | 0.525 |
Next $4 billion | 0.500 |
Over $16 billion | 0.475 |
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. |
Funds Trust | Master Trust |
Wells Fargo C&B Large Cap Value Fund | Wells Fargo C&B Large Cap Value Portfolio |
Wells Fargo Core Bond Fund | Wells Fargo Core Bond Portfolio |
Wells Fargo Emerging Growth Fund | Wells Fargo Emerging Growth Portfolio |
Wells Fargo Index Fund | Wells Fargo Index Portfolio |
Wells Fargo Real Return Fund | Wells Fargo Real Return Portfolio |
Wells Fargo Small Company Growth Fund | Wells Fargo Small Company Growth Portfolio |
Wells Fargo Small Company Value Fund | Wells Fargo Small Company Value Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC, as the distributor of Fund shares. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Funds and Master Portfolios. |
■ | Impact of the Transaction on the Funds and their Shareholders and the Master Portfolios and their Interest Holders: (i) information regarding anticipated benefits to the Funds and the Master Portfolios as a result of the Transaction; (ii) a commitment that the Funds and Master Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers and the Unaffiliated Sub-Advisers intend to continue to manage the Funds in a manner consistent with each Fund’s or Master Portfolio’s current investment objectives and principal investments strategies, as applicable; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds or the Master Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
A280/AR280 05-21
Emerging Growth Fund
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Wells Fargo Emerging Growth Portfolio | |
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Financial statements | |
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Board considerations | |
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Barclays Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved. |
“The passage of the massive domestic stimulus bill highlighted March activity, leading to increased forecasts for U.S. growth in 2021.” |
President
Wells Fargo Funds
Investment objective | The Fund seeks long-term capital appreciation. |
Manager | Wells Fargo Funds Management, LLC |
Portfolio managers | Robert Gruendyke, CFA®‡†, David Nazaret, CFA®‡†, Thomas C. Ognar, CFA®‡ |
Average annual total returns (%) as of May 31, 2021 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (WEMAX) | 3-31-2008 | 44.41 | 21.97 | 13.61 | 53.22 | 23.43 | 14.29 | 1.35 | 1.28 | ||
Class C (WEMCX) | 3-31-2008 | 51.19 | 22.54 | 13.45 | 52.19 | 22.54 | 13.45 | 2.10 | 2.03 | ||
Class R6 (WEGRX)3 | 7-31-2018 | – | – | – | 53.85 | 24.03 | 14.83 | 0.92 | 0.85 | ||
Administrator Class (WFGDX) | 1-31-2007 | – | – | – | 53.31 | 23.56 | 14.44 | 1.27 | 1.20 | ||
Institutional Class (WEMIX) | 3-31-2008 | – | – | – | 53.75 | 23.95 | 14.79 | 1.02 | 0.90 | ||
Russell 2000® Growth Index4 | – | – | – | – | 50.14 | 17.57 | 12.76 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through September 30, 2021, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 1.28% for Class A, 2.03% for Class C, 0.85% for Class R6, 1.20% for Administrator Class, and 0.90% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had been included, returns for the Class R6 shares would be higher. |
4 | The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index. |
* | The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
† | Mr. Gruendyke and Mr. Nazaret became portfolio managers of the Fund on July 28, 2020. |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Russell 2000® Growth Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%. |
■ | The Fund outperformed the Russell 2000® Growth Index for the 12-month period that ended May 31, 2021. |
■ | Relative performance contributions came from select medical device and biotech stocks within health care as well as select stocks within consumer discretionary. |
■ | Detractors from the Fund mainly stemmed from specialty insurance stocks within financials and stocks within industrials. |
Ten largest holdings (%) as of May 31, 20211 | |
Shockwave Medical Incorporated | 3.24 |
ASGN Incorporated | 3.12 |
Rapid7 Incorporated | 2.70 |
Vericel Corporation | 2.64 |
Crocs Incorporated | 2.52 |
Rexnord Corporation | 2.40 |
Q2 Holdings Incorporated | 2.33 |
Boot Barn Holdings Incorporated | 2.25 |
Novanta Incorporated | 2.10 |
Freshpet Incorporated | 2.05 |
1 | Each holding represents the Fund’s allocable portion of the affiliated master portfolio security. Figures represent each holding as a percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
* | This security was no longer held at the end of the reporting period. |
Sector allocation as of May 31, 20211 |
1 | Figures represent the sector allocation of the affiliated master portfolio as a percentage of the long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 12-1-2020 | Ending account value 5-31-2021 | Expenses paid during the period1,2 | Annualized net expense ratio2 | |
Class A | ||||
Actual | $1,000.00 | $1,108.10 | $ 6.67 | 1.27% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.60 | $ 6.39 | 1.27% |
Class C | ||||
Actual | $1,000.00 | $1,104.21 | $10.65 | 2.03% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.81 | $10.20 | 2.03% |
Class R6 | ||||
Actual | $1,000.00 | $1,110.87 | $ 4.47 | 0.85% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.69 | $ 4.28 | 0.85% |
Administrator Class | ||||
Actual | $1,000.00 | $1,108.70 | $ 6.31 | 1.20% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.95 | $ 6.04 | 1.20% |
Institutional Class | ||||
Actual | $1,000.00 | $1,110.69 | $ 4.74 | 0.90% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.44 | $ 4.53 | 0.90% |
Value | |||||
Investment companies: 99.93% | |||||
Affiliated master portfolio: 99.93% | |||||
Wells Fargo Emerging Growth Portfolio | $911,598,606 | ||||
Total Investment companies (Cost $517,077,569) | 911,598,606 | ||||
Total investments in securities (Cost $517,077,569) | 99.93% | 911,598,606 | |||
Other assets and liabilities, net | 0.07 | 605,670 | |||
Total net assets | 100.00% | $912,204,276 |
% of ownership, beginning of period | % of ownership, end of period | Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Dividends allocated from affiliated Master Portfolio | Affiliated income allocated from affiliated Master Portfolio | Value, end of period | % of net assets | |
Wells Fargo Emerging Growth Portfolio | 91.59% | 95.20% | $164,596,232 | $172,105,999 | $983,917 | $247,659 | $911,598,606 | 99.93% |
Assets | |
Investments in affiliated Master Portfolio, at value (cost $517,077,569) | $ 911,598,606 |
Receivable for Fund shares sold | 1,150,251 |
Receivable from manager | 28,462 |
Prepaid expenses and other assets | 18,902 |
Total assets | 912,796,221 |
Liabilities | |
Payable for Fund shares redeemed | 345,225 |
Administration fees payable | 111,521 |
Shareholder report expenses payable | 56,783 |
Shareholder servicing fees payable | 50,596 |
Distribution fee payable | 1,463 |
Accrued expenses and other liabilities | 26,357 |
Total liabilities | 591,945 |
Total net assets | $912,204,276 |
Net assets consist of | |
Paid-in capital | $ 446,780,259 |
Total distributable earnings | 465,424,017 |
Total net assets | $912,204,276 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 210,837,646 |
Shares outstanding – Class A1 | 11,679,940 |
Net asset value per share – Class A | $18.05 |
Maximum offering price per share – Class A2 | $19.15 |
Net assets – Class C | $ 2,337,546 |
Shares outstanding – Class C1 | 162,269 |
Net asset value per share – Class C | $14.41 |
Net assets – Class R6 | $ 21,729,307 |
Shares outstanding – Class R61 | 1,052,948 |
Net asset value per share – Class R6 | $20.64 |
Net assets – Administrator Class | $ 28,730,324 |
Shares outstanding – Administrator Class1 | 1,513,677 |
Net asset value per share – Administrator Class | $18.98 |
Net assets – Institutional Class | $ 648,569,453 |
Shares outstanding – Institutional Class1 | 31,558,046 |
Net asset value per share – Institutional Class | $20.55 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Dividends allocated from affiliated Master Portfolio | $ 983,917 |
Affiliated income allocated from affiliated Master Portfolio | 247,659 |
Expenses allocated from affiliated Master Portfolio | (6,652,008) |
Total investment income | (5,420,432) |
Expenses | |
Management fee | 411,876 |
Administration fees | |
Class A | 407,505 |
Class C | 4,279 |
Class R6 | 6,700 |
Administrator Class | 34,539 |
Institutional Class | 752,391 |
Shareholder servicing fees | |
Class A | 484,730 |
Class C | 5,090 |
Administrator Class | 66,300 |
Distribution fee | |
Class C | 15,270 |
Custody and accounting fees | 24,760 |
Professional fees | 33,973 |
Registration fees | 73,287 |
Shareholder report expenses | 69,204 |
Trustees’ fees and expenses | 21,080 |
Other fees and expenses | 14,512 |
Total expenses | 2,425,496 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (545,475) |
Class A | (23,158) |
Administrator Class | (8) |
Institutional Class | (289,381) |
Net expenses | 1,567,474 |
Net investment loss | (6,987,906) |
Realized and unrealized gains (losses) on investments | |
Net realized gains on securities transactions allocated from affiliated Master Portfolio | 164,596,232 |
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | 172,105,999 |
Net realized and unrealized gains (losses) on investments | 336,702,231 |
Net increase in net assets resulting from operations | $329,714,325 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |||
Operations | ||||
Net investment loss | $ (6,987,906) | $ (5,696,248) | ||
Net realized gains on investments | 164,596,232 | 87,082,930 | ||
Net change in unrealized gains (losses) on investments | 172,105,999 | 4,916,772 | ||
Net increase in net assets resulting from operations | 329,714,325 | 86,303,454 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (40,824,693) | (7,796,239) | ||
Class C | (488,552) | (97,557) | ||
Class R6 | (4,264,478) | (245,756) | ||
Administrator Class | (5,278,969) | (1,143,908) | ||
Institutional Class | (104,301,425) | (28,466,003) | ||
Total distributions to shareholders | (155,158,117) | (37,749,463) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 594,602 | 10,958,344 | 270,025 | 3,503,910 |
Class C | 67,936 | 1,035,606 | 14,056 | 158,468 |
Class R6 | 203,245 | 4,206,281 | 1,351,041 | 21,252,448 |
Administrator Class | 354,817 | 6,842,617 | 185,559 | 2,546,018 |
Institutional Class | 8,415,847 | 166,124,291 | 7,701,460 | 113,827,845 |
189,167,139 | 141,288,689 | |||
Reinvestment of distributions | ||||
Class A | 2,332,324 | 38,903,166 | 556,631 | 7,609,147 |
Class C | 36,568 | 488,552 | 8,439 | 97,557 |
Class R6 | 68,148 | 1,296,851 | 16,154 | 244,735 |
Administrator Class | 299,668 | 5,253,185 | 80,016 | 1,137,821 |
Institutional Class | 5,494,647 | 104,178,513 | 1,832,144 | 27,683,692 |
150,120,267 | 36,772,952 | |||
Payment for shares redeemed | ||||
Class A | (1,365,780) | (24,392,486) | (1,506,830) | (19,951,780) |
Class C | (71,196) | (1,109,781) | (45,564) | (513,234) |
Class R6 | (409,558) | (8,565,269) | (177,590) | 2,654,701 |
Administrator Class | (528,979) | (9,983,853) | (557,050) | (7,634,612) |
Institutional Class | (11,301,966) | (220,272,610) | (19,569,429) | (282,480,504) |
(264,323,999) | (313,234,831) | |||
Net increase (decrease) in net assets resulting from capital share transactions | 74,963,407 | (135,173,190) | ||
Total increase (decrease) in net assets | 249,519,615 | (86,619,199) | ||
Net assets | ||||
Beginning of period | 662,684,661 | 749,303,860 | ||
End of period | $ 912,204,276 | $ 662,684,661 |
Year ended May 31 | |||||
Class A | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $14.71 | $13.51 | $17.04 | $14.57 | $12.55 |
Net investment loss | (0.20) 1 | (0.17) | (0.16) 1 | (0.15) | (0.10) 1 |
Net realized and unrealized gains (losses) on investments | 7.69 | 2.13 | (0.19) | 4.57 | 2.96 |
Total from investment operations | 7.49 | 1.96 | (0.35) | 4.42 | 2.86 |
Distributions to shareholders from | |||||
Net realized gains | (4.15) | (0.76) | (3.18) | (1.95) | (0.84) |
Net asset value, end of period | $18.05 | $14.71 | $13.51 | $17.04 | $14.57 |
Total return2 | 53.22% | 14.97% | (0.84)% | 32.91% | 23.39% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.35% | 1.36% | 1.35% | 1.36% | 1.36% |
Net expenses | 1.27% | 1.27% | 1.29% | 1.35% | 1.35% |
Net investment loss | (1.12)% | (1.08)% | (1.06)% | (1.01)% | (0.72)% |
Supplemental data | |||||
Portfolio turnover rate3 | 48% | 55% | 71% | 47% | 115% |
Net assets, end of period (000s omitted) | $210,838 | $148,866 | $145,898 | $153,526 | $129,724 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.81% |
Year ended May 31, 2020 | 0.81% |
Year ended May 31, 2019 | 0.81% |
Year ended May 31, 2018 | 0.81% |
Year ended May 31, 2017 | 0.81% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class C | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $12.40 | $11.58 | $15.19 | $13.28 | $11.58 |
Net investment loss | (0.28) 1 | (0.21) 1 | (0.25) 1 | (0.25) 1 | (0.19) 1 |
Net realized and unrealized gains (losses) on investments | 6.44 | 1.79 | (0.18) | 4.11 | 2.73 |
Total from investment operations | 6.16 | 1.58 | (0.43) | 3.86 | 2.54 |
Distributions to shareholders from | |||||
Net realized gains | (4.15) | (0.76) | (3.18) | (1.95) | (0.84) |
Net asset value, end of period | $14.41 | $12.40 | $11.58 | $15.19 | $13.28 |
Total return2 | 52.19% | 14.16% | (1.55)% | 31.82% | 22.56% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 2.10% | 2.11% | 2.10% | 2.11% | 2.11% |
Net expenses | 2.03% | 2.03% | 2.04% | 2.10% | 2.10% |
Net investment loss | (1.89)% | (1.84)% | (1.78)% | (1.76)% | (1.46)% |
Supplemental data | |||||
Portfolio turnover rate3 | 48% | 55% | 71% | 47% | 115% |
Net assets, end of period (000s omitted) | $2,338 | $1,599 | $1,761 | $4,190 | $3,328 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.81% |
Year ended May 31, 2020 | 0.81% |
Year ended May 31, 2019 | 0.81% |
Year ended May 31, 2018 | 0.81% |
Year ended May 31, 2017 | 0.81% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||
Class R6 | 2021 | 2020 | 2019 1 |
Net asset value, beginning of period | $16.34 | $14.86 | $18.70 |
Net investment loss | (0.14) | (0.10) 2 | (0.07) 2 |
Net realized and unrealized gains (losses) on investments | 8.59 | 2.34 | (0.59) |
Total from investment operations | 8.45 | 2.24 | (0.66) |
Distributions to shareholders from | |||
Net realized gains | (4.15) | (0.76) | (3.18) |
Net asset value, end of period | $20.64 | $16.34 | $14.86 |
Total return3 | 53.85% | 15.51% | (2.35)% |
Ratios to average net assets (annualized)* | |||
Gross expenses | 0.92% | 0.93% | 0.92% |
Net expenses | 0.85% | 0.85% | 0.85% |
Net investment loss | (0.68)% | (0.67)% | (0.51)% |
Supplemental data | |||
Portfolio turnover rate4 | 48% | 55% | 71% |
Net assets, end of period (000s omitted) | $21,729 | $19,458 | $22 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.81% |
Year ended May 31, 2020 | 0.81% |
Year ended May 31, 20191 | 0.81% |
1 | For the period from July 31, 2018 (commencement of class operations) to May 31, 2019 |
2 | Calculated based upon average shares outstanding |
3 | Returns for periods of less than one year are not annualized. |
4 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Administrator Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $15.31 | $14.02 | $17.54 | $14.93 | $12.82 |
Net investment loss | (0.20) 1 | (0.14) 1 | (0.15) 1 | (0.14) 1 | (0.07) 1 |
Net realized and unrealized gains (losses) on investments | 8.02 | 2.19 | (0.19) | 4.70 | 3.02 |
Total from investment operations | 7.82 | 2.05 | (0.34) | 4.56 | 2.95 |
Distributions to shareholders from | |||||
Net realized gains | (4.15) | (0.76) | (3.18) | (1.95) | (0.84) |
Net asset value, end of period | $18.98 | $15.31 | $14.02 | $17.54 | $14.93 |
Total return | 53.31% | 15.07% | (0.75)% | 33.06% | 23.60% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.27% | 1.28% | 1.27% | 1.28% | 1.26% |
Net expenses | 1.20% | 1.20% | 1.20% | 1.20% | 1.20% |
Net investment loss | (1.05)% | (1.01)% | (0.94)% | (0.86)% | (0.48)% |
Supplemental data | |||||
Portfolio turnover rate2 | 48% | 55% | 71% | 47% | 115% |
Net assets, end of period (000s omitted) | $28,730 | $21,250 | $23,549 | $52,335 | $50,865 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.81% |
Year ended May 31, 2020 | 0.81% |
Year ended May 31, 2019 | 0.81% |
Year ended May 31, 2018 | 0.81% |
Year ended May 31, 2017 | 0.81% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Institutional Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $16.29 | $14.83 | $18.30 | $15.46 | $13.20 |
Net investment loss | (0.15) | (0.11) 1 | (0.13) | (0.09) | (0.04) 1 |
Net realized and unrealized gains (losses) on investments | 8.56 | 2.33 | (0.16) | 4.88 | 3.14 |
Total from investment operations | 8.41 | 2.22 | (0.29) | 4.79 | 3.10 |
Distributions to shareholders from | |||||
Net realized gains | (4.15) | (0.76) | (3.18) | (1.95) | (0.84) |
Net asset value, end of period | $20.55 | $16.29 | $14.83 | $18.30 | $15.46 |
Total return | 53.75% | 15.40% | (0.42)% | 33.44% | 24.08% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.02% | 1.03% | 1.02% | 1.03% | 1.03% |
Net expenses | 0.90% | 0.90% | 0.90% | 0.90% | 0.90% |
Net investment loss | (0.75)% | (0.71)% | (0.67)% | (0.56)% | (0.24)% |
Supplemental data | |||||
Portfolio turnover rate2 | 48% | 55% | 71% | 47% | 115% |
Net assets, end of period (000s omitted) | $648,569 | $471,512 | $578,073 | $606,729 | $534,846 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.81% |
Year ended May 31, 2020 | 0.81% |
Year ended May 31, 2019 | 0.81% |
Year ended May 31, 2018 | 0.81% |
Year ended May 31, 2017 | 0.81% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Gross unrealized gains | $394,521,037 |
Gross unrealized losses | (749,454) |
Net unrealized gains | $393,771,583 |
Paid-in capital | Total distributable earnings |
$(6,802,370) | $6,802,370 |
Affiliated Master Portfolio | Investment objective | Fair value of affiliated Master Portfolio |
Wells Fargo Emerging Growth Portfolio | Seek long-term capital appreciation | $911,598,606 |
Average daily net assets | Management fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Class-level administration fee | |
Class A | 0.21% |
Class C | 0.21 |
Class R6 | 0.03 |
Administrator Class | 0.13 |
Institutional Class | 0.13 |
Expense ratio caps | |
Class A | 1.28% |
Class C | 2.03 |
Class R6 | 0.85 |
Administrator Class | 1.20 |
Institutional Class | 0.90 |
Year ended May 31 | ||
2021 | 2020 | |
Ordinary income | $ 11,568,904 | $ 0 |
Long-term capital gain | 143,589,213 | 37,749,463 |
Undistributed long-term gain | Unrealized gains | Late-year ordinary losses deferred |
$74,223,851 | $393,771,583 | $(2,571,417) |
Wells Fargo Funds Trust:
Shares | Value | ||||
Common stocks: 98.93% | |||||
Communication services: 3.18% | |||||
Diversified telecommunication services: 1.28% | |||||
Bandwidth Incorporated Class A † | 103,200 | $ 12,207,528 | |||
Interactive media & services: 0.63% | |||||
EverQuote Incorporated Class A † | 192,487 | 6,069,115 | |||
Media: 1.27% | |||||
Cardlytics Incorporated † | 114,165 | 12,164,281 | |||
Consumer discretionary: 18.15% | |||||
Auto components: 1.49% | |||||
Fox Factory Holding Corporation † | 91,753 | 14,265,756 | |||
Hotels, restaurants & leisure: 3.03% | |||||
Bally's Corporation † | 47,121 | 2,734,432 | |||
Papa John's International Incorporated | 117,025 | 10,994,499 | |||
Wingstop Incorporated | 107,038 | 15,272,182 | |||
29,001,113 | |||||
Household durables: 1.09% | |||||
Purple Innovation Incorporated † | 366,242 | 10,445,222 | |||
Internet & direct marketing retail: 2.17% | |||||
CarParts.com Incorporated † | 263,015 | 4,297,665 | |||
Fiverr International Limited † | 48,936 | 10,047,050 | |||
The RealReal Incorporated † | 367,500 | 6,420,225 | |||
20,764,940 | |||||
Leisure products: 1.71% | |||||
YETI Holdings Incorporated † | 186,970 | 16,378,572 | |||
Specialty retail: 5.36% | |||||
Boot Barn Holdings Incorporated † | 282,055 | 21,546,181 | |||
Cricut Incorporated Class A † | 163,216 | 5,511,804 | |||
Figs Incorporated Class A † | 95,573 | 3,263,818 | |||
Leslie's Incorporated † | 254,309 | 7,415,650 | |||
Lithia Motors Incorporated Class A | 34,762 | 12,235,876 | |||
Petco Health & Wellness Company †« | 58,570 | 1,326,611 | |||
51,299,940 | |||||
Textiles, apparel & luxury goods: 3.30% | |||||
Crocs Incorporated † | 238,355 | 24,131,060 | |||
Deckers Outdoor Corporation † | 22,418 | 7,519,894 | |||
31,650,954 | |||||
Consumer staples: 4.86% | |||||
Beverages: 1.40% | |||||
Celsius Holdings Incorporated † | 204,000 | 13,370,160 | |||
Food & staples retailing: 0.53% | |||||
The Chef's Warehouse Incorporated † | 165,465 | 5,089,703 |
Shares | Value | ||||
Food products: 2.63% | |||||
Freshpet Incorporated † | 111,333 | $ 19,685,901 | |||
Vital Farms Incorporated † | 259,556 | 5,525,947 | |||
25,211,848 | |||||
Personal products: 0.30% | |||||
Honest Company † | 181,806 | 2,868,899 | |||
Financials: 5.01% | |||||
Capital markets: 1.74% | |||||
Assetmark Financial Holdings † | 36,309 | 946,213 | |||
Stifel Financial Corporation | 225,971 | 15,655,271 | |||
16,601,484 | |||||
Diversified financial services: 0.50% | |||||
Hudson Executive Investment Corporation Class A † | 266,500 | 2,643,680 | |||
VPC Impact Acquisition Holdings †« | 211,900 | 2,161,380 | |||
4,805,060 | |||||
Insurance: 2.77% | |||||
Goosehead Insurance Incorporated Class A | 92,351 | 8,299,584 | |||
Kinsale Capital Group Incorporated | 109,578 | 18,240,354 | |||
26,539,938 | |||||
Health care: 28.78% | |||||
Biotechnology: 8.46% | |||||
Arcutis Biotherapeutics Incorporated † | 421,886 | 11,116,696 | |||
Arena Pharmaceuticals Incorporated † | 56,502 | 3,452,837 | |||
Biohaven Pharmaceutical Holding Company † | 41,371 | 3,599,277 | |||
CareDx Incorporated † | 132,083 | 10,619,473 | |||
Fate Therapeutics Incorporated † | 42,597 | 3,262,930 | |||
Halozyme Therapeutics Incorporated † | 288,945 | 11,965,212 | |||
Natera Incorporated † | 124,188 | 11,691,058 | |||
Vericel Corporation † | 448,173 | 25,321,775 | |||
81,029,258 | |||||
Health care equipment & supplies: 9.00% | |||||
iRhythm Technologies Incorporated † | 73,283 | 5,529,935 | |||
Neuronetics Incorporated † | 210,071 | 2,850,663 | |||
Orthopediatrics Corporation † | 186,666 | 10,544,762 | |||
Outset Medical Incorporated † | 124,626 | 6,015,697 | |||
Pulmonx Corporation † | 103,464 | 4,440,675 | |||
Shockwave Medical Incorporated † | 172,310 | 30,998,569 | |||
SI-BONE Incorporated † | 398,553 | 12,024,344 | |||
Silk Road Medical Incorporated † | 70,399 | 3,419,983 | |||
Tandem Diabetes Care Incorporated † | 59,235 | 5,058,077 | |||
Vapotherm Incorporated † | 266,322 | 5,267,849 | |||
86,150,554 | |||||
Health care providers & services: 3.49% | |||||
Accolade Incorporated † | 115,800 | 5,846,742 | |||
Addus Homecare Corporation † | 109,886 | 10,567,737 |
Shares | Value | ||||
Health care providers & services (continued) | |||||
Castle Biosciences Incorporated † | 243,276 | $ 14,579,531 | |||
Privia Health Group Incorporated † | 73,587 | 2,408,503 | |||
33,402,513 | |||||
Health care technology: 2.88% | |||||
Inspire Medical Systems Incorporated † | 73,509 | 14,282,799 | |||
Phreesia Incorporated † | 268,273 | 13,279,514 | |||
27,562,313 | |||||
Life sciences tools & services: 3.10% | |||||
Akoya Biosciences Incorporated † | 105,361 | 2,193,616 | |||
Codexis Incorporated † | 729,237 | 14,949,359 | |||
Neogenomics Incorporated † | 306,344 | 12,569,294 | |||
29,712,269 | |||||
Pharmaceuticals: 1.85% | |||||
Pacira Pharmaceuticals Incorporated † | 207,280 | 12,575,678 | |||
Revance Therapeutics Incorporated † | 173,620 | 5,140,888 | |||
17,716,566 | |||||
Industrials: 12.73% | |||||
Aerospace & defense: 1.02% | |||||
Kratos Defense & Security Solutions Incorporated † | 341,670 | 8,545,167 | |||
Mercury Systems Incorporated † | 18,956 | 1,240,670 | |||
9,785,837 | |||||
Building products: 0.39% | |||||
The AZEK Company Incorporated † | 84,937 | 3,697,308 | |||
Commercial services & supplies: 1.88% | |||||
Casella Waste Systems Incorporated Class A † | 266,991 | 18,003,203 | |||
Construction & engineering: 0.69% | |||||
Construction Partners Incorporated Class A † | 205,200 | 6,609,492 | |||
Electrical equipment: 0.42% | |||||
Bloom Energy Corporation Class A † | 164,635 | 3,979,228 | |||
Machinery: 2.41% | |||||
Rexnord Corporation | 460,994 | 23,035,870 | |||
Professional services: 3.12% | |||||
ASGN Incorporated † | 290,096 | 29,905,997 | |||
Road & rail: 1.59% | |||||
Saia Incorporated † | 66,166 | 15,228,767 | |||
Trading companies & distributors: 1.21% | |||||
SiteOne Landscape Supply Incorporated † | 67,447 | 11,603,582 | |||
Information technology: 25.03% | |||||
Electronic equipment, instruments & components: 2.52% | |||||
Novanta Incorporated † | 145,122 | 20,167,604 | |||
Par Technology Corporation † | 59,300 | 3,970,728 | |||
24,138,332 |
Shares | Value | ||||
IT services: 3.83% | |||||
Endava plc Sponsored ADR † | 139,219 | $ 14,281,085 | |||
EVO Payments Incorporated Class A † | 589,212 | 16,875,032 | |||
Flywire Corporation † | 98,105 | 3,368,926 | |||
Paymentus Holdings Incorporated A † | 71,034 | 2,166,537 | |||
36,691,580 | |||||
Semiconductors & semiconductor equipment: 4.53% | |||||
Allegro MicroSystems Incorporated † | 332,757 | 8,721,561 | |||
Diodes Incorporated † | 165,936 | 12,556,377 | |||
Semtech Corporation † | 199,151 | 12,546,513 | |||
Silicon Laboratories Incorporated † | 28,759 | 3,927,329 | |||
Skywater Technology Incorporated † | 214,258 | 5,579,278 | |||
43,331,058 | |||||
Software: 14.15% | |||||
8x8 Incorporated † | 364,400 | 8,581,620 | |||
ACV Auctions Incorporated Class A † | 108,350 | 2,808,432 | |||
Alkami Technology Incorporated † | 18,927 | 629,701 | |||
Envestnet Incorporated † | 67,672 | 4,870,354 | |||
Everbridge Incorporated † | 57,526 | 6,759,305 | |||
Jamf Holding Corporation † | 170,593 | 5,916,165 | |||
Olo Incorporated Class A † | 23,547 | 797,066 | |||
ON24 Incorporated † | 59,270 | 1,907,309 | |||
Q2 Holdings Incorporated † | 234,685 | 22,278,647 | |||
Rapid7 Incorporated † | 309,455 | 25,885,911 | |||
Sprout Social Incorporated Class A † | 251,981 | 17,492,521 | |||
SPS Commerce Incorporated † | 205,276 | 19,267,205 | |||
Talend SA ADR † | 57,358 | 3,726,549 | |||
Viant Technology †« | 57,526 | 1,679,184 | |||
Workiva Incorporated † | 136,105 | 12,916,365 | |||
135,516,334 | |||||
Real estate: 0.69% | |||||
Equity REITs: 0.69% | |||||
QTS Realty Trust Incorporated Class A | 104,650 | 6,632,717 | |||
Utilities: 0.50% | |||||
Independent power & renewable electricity producers: 0.50% | |||||
Sunnova Energy International Incorporated † | 163,257 | 4,767,104 | |||
Total Common stocks (Cost $511,858,727) | 947,234,395 |
Yield | |||||
Short-term investments: 1.39% | |||||
Investment companies: 1.39% | |||||
Securities Lending Cash Investments LLC ♠∩∞ | 0.03% | 3,883,200 | 3,883,200 | ||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 9,477,635 | 9,477,635 | ||
Total Short-term investments (Cost $13,360,835) | 13,360,835 | ||||
Total investments in securities (Cost $525,219,562) | 100.32% | 960,595,230 | |||
Other assets and liabilities, net | (0.32) | (3,073,067) | |||
Total net assets | 100.00% | $957,522,163 |
† | Non-income-earning security |
« | All or a portion of this security is on loan. |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | 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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $187,539,904 | $(183,656,704) | $0 | $0 | $ 3,883,200 | 3,883,200 | $ 14,813# | ||||
Wells Fargo Government Money Market Fund Select Class | 10,065,569 | 252,271,839 | (252,859,773) | 0 | 0 | 9,477,635 | 9,477,635 | 3,477 | ||||
$0 | $0 | $13,360,835 | 1.39% | $18,290 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $3,779,040 of securities loaned), at value (cost $511,858,727) | $ 947,234,395 |
Investments in affiliated securites, at value (cost $13,360,835) | 13,360,835 |
Cash | 1,468,432 |
Receivable for investments sold | 3,659,405 |
Receivable for dividends | 103,124 |
Receivable for securities lending income, net | 3,134 |
Prepaid expenses and other assets | 5,752 |
Total assets | 965,835,077 |
Liabilities | |
Payable upon receipt of securities loaned | 3,883,200 |
Payable for investments purchased | 3,788,097 |
Advisory fee payable | 630,498 |
Accrued expenses and other liabilities | 11,119 |
Total liabilities | 8,312,914 |
Total net assets | $957,522,163 |
Investment income | |
Dividends | $ 1,043,411 |
Securities lending income from affiliates, net | 258,746 |
Income from affiliated securities | 3,477 |
Total investment income | 1,305,634 |
Expenses | |
Advisory fee | 6,904,496 |
Custody and accounting fees | 58,388 |
Professional fees | 45,612 |
Interest holder report expenses | 7,237 |
Trustees’ fees and expenses | 19,195 |
Other fees and expenses | 31,885 |
Total expenses | 7,066,813 |
Net investment loss | (5,761,179) |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 181,278,904 |
Net change in unrealized gains (losses) on investments | 176,777,300 |
Net realized and unrealized gains (losses) on investments | 358,056,204 |
Net increase in net assets resulting from operations | $352,295,025 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment loss | $ (5,761,179) | $ (4,861,375) |
Net realized gains on investments | 181,278,904 | 95,687,152 |
Net change in unrealized gains (losses) on investments | 176,777,300 | 7,683,217 |
Net increase in net assets resulting from operations | 352,295,025 | 98,508,994 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 97,803,647 | 65,548,053 |
Withdrawals | (215,997,204) | (260,126,766) |
Net decrease in net assets resulting from capital transactions | (118,193,557) | (194,578,713) |
Total increase (decrease) in net assets | 234,101,468 | (96,069,719) |
Net assets | ||
Beginning of period | 723,420,695 | 819,490,414 |
End of period | $ 957,522,163 | $ 723,420,695 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 53.94% | 15.49% | (0.28)% | 33.60% | 23.97% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.81% | 0.81% | 0.81% | 0.81% | 0.81% |
Net expenses | 0.81% | 0.81% | 0.81% | 0.81% | 0.81% |
Net investment loss | (0.66)% | (0.62)% | (0.57)% | (0.47)% | (0.15)% |
Supplemental data | |||||
Portfolio turnover rate | 48% | 55% | 71% | 47% | 115% |
Gross unrealized gains | $453,686,146 |
Gross unrealized losses | (21,747,130) |
Net unrealized gains | $431,939,016 |
■ | 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 | $ 30,440,924 | $0 | $0 | $ 30,440,924 |
Consumer discretionary | 173,806,497 | 0 | 0 | 173,806,497 |
Consumer staples | 46,540,610 | 0 | 0 | 46,540,610 |
Financials | 47,946,482 | 0 | 0 | 47,946,482 |
Health care | 275,573,473 | 0 | 0 | 275,573,473 |
Industrials | 121,849,284 | 0 | 0 | 121,849,284 |
Information technology | 239,677,304 | 0 | 0 | 239,677,304 |
Real estate | 6,632,717 | 0 | 0 | 6,632,717 |
Utilities | 4,767,104 | 0 | 0 | 4,767,104 |
Short-term investments | ||||
Investment companies | 13,360,835 | 0 | 0 | 13,360,835 |
Total assets | $960,595,230 | $0 | $0 | $960,595,230 |
Average daily net assets | Advisory fee |
First $500 million | 0.800% |
Next $500 million | 0.775 |
Next $1 billion | 0.750 |
Next $1 billion | 0.725 |
Next $1 billion | 0.700 |
Over $4 billion | 0.680 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
JPMorgan Securities LLC | $1,270,665 | $(1,270,665) | $0 |
Morgan Stanley & Company LLC | 867,195 | (867,195) | 0 |
UBS Securities LLC | 1,641,180 | (1,641,180) | 0 |
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. |
Funds Trust | Master Trust |
Wells Fargo C&B Large Cap Value Fund | Wells Fargo C&B Large Cap Value Portfolio |
Wells Fargo Core Bond Fund | Wells Fargo Core Bond Portfolio |
Wells Fargo Emerging Growth Fund | Wells Fargo Emerging Growth Portfolio |
Wells Fargo Index Fund | Wells Fargo Index Portfolio |
Wells Fargo Real Return Fund | Wells Fargo Real Return Portfolio |
Wells Fargo Small Company Growth Fund | Wells Fargo Small Company Growth Portfolio |
Wells Fargo Small Company Value Fund | Wells Fargo Small Company Value Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC, as the distributor of Fund shares. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on the Funds and their Shareholders and the Master Portfolios and their Interest Holders: (i) information regarding anticipated benefits to the Funds and the Master Portfolios as a result of the Transaction; (ii) a commitment that the Funds and Master Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers and the Unaffiliated Sub-Advisers intend to continue to manage the Funds in a manner consistent with each Fund’s or Master Portfolio’s current investment objectives and principal investments strategies, as applicable; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds or the Master Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
A282/AR282 05-21
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Wells Fargo Index Portfolio | |
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Barclays Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved. |
“The passage of the massive domestic stimulus bill highlighted March activity, leading to increased forecasts for U.S. growth in 2021.” |
President
Wells Fargo Funds
Investment objective | The Fund seeks to replicate the total returns of the S&P 500 Index, before fees and expenses. |
Manager | Wells Fargo Funds Management, LLC |
Portfolio managers | John R. Campbell, CFA®‡, David Neal, CFA®‡, Robert M. Wicentowski, CFA®‡ |
Average annual total returns (%) as of May 31, 2021 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (WFILX) | 11-4-1998 | 31.67 | 15.21 | 13.13 | 39.71 | 16.58 | 13.80 | 0.67 | 0.45 | ||
Class C (WFINX) | 4-30-1999 | 37.83 | 15.73 | 12.96 | 38.83 | 15.73 | 12.96 | 1.42 | 1.20 | ||
Administrator Class (WFIOX) | 2-14-1985 | – | – | – | 39.97 | 16.81 | 14.08 | 0.44 | 0.25 | ||
S&P 500 Index3 | – | – | – | – | 40.32 | 17.16 | 14.38 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through September 30, 2021, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.45% for Class A, 1.20% for Class C, 0.25% for Administrator Class, Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index. |
* | The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
1 | The chart compares the performance of Class A shares for the most recent ten years with the S&P 500 Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%. |
■ | The Fund underperformed its benchmark, the S&P 500 Index, for the 12-month period that ended May 31, 2021. |
■ | During the period, the Fund benefited from positive returns in all 11 Global Industry Classification Standard (GICS) economic sectors, led by financials, materials, and industrials. |
■ | The utilities sector was the Fund’s lowest-performing sector, followed by health care and consumer staples. |
Ten largest holdings (%) as of May 31, 20211 | |
Apple Incorporated | 5.45 |
Microsoft Corporation | 5.22 |
Amazon.com Incorporated | 3.82 |
Facebook Incorporated Class A | 2.19 |
Alphabet Incorporated Class A | 1.96 |
Alphabet Incorporated Class C | 1.93 |
Berkshire Hathaway Incorporated Class B | 1.53 |
JPMorgan Chase & Company | 1.39 |
Tesla Motors Incorporated | 1.33 |
Johnson & Johnson | 1.23 |
1 | Each holding represents the Fund’s allocable portion of the affiliated master portfolio security. Figures represent each holding as a percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Sector allocation as of May 31, 20211 |
1 | Figures represent the sector allocation of the affiliated master portfolio as a percentage of the long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 12-1-2020 | Ending account value 5-31-2021 | Expenses paid during the period1,2 | Annualized net expense ratio2 | |
Class A | ||||
Actual | $1,000.00 | $1,166.91 | $2.38 | 0.44% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.74 | $2.22 | 0.44% |
Class C | ||||
Actual | $1,000.00 | $1,162.43 | $6.47 | 1.20% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.95 | $6.04 | 1.20% |
Administrator Class | ||||
Actual | $1,000.00 | $1,168.00 | $1.35 | 0.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.68 | $1.26 | 0.25% |
Value | |||||
Investment companies: 100.02% | |||||
Affiliated master portfolio: 100.02% | |||||
Wells Fargo Index Portfolio | $1,262,895,519 | ||||
Total Investment companies (Cost $113,093,548) | 1,262,895,519 | ||||
Total investments in securities (Cost $113,093,548) | 100.02% | 1,262,895,519 | |||
Other assets and liabilities, net | (0.02) | (308,784) | |||
Total net assets | 100.00% | $1,262,586,735 |
% of ownership, beginning of period | % of ownership, end of period | Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Interest allocated from affiliated Master Portfolio | Dividends allocated from affiliated Master Portfolio | Affiliated income allocated from affiliated Master Portfolio | Value, end of period | % of net assets | |
Wells Fargo Index Portfolio | 96.61% | 96.64% | $101,189,274 | $267,094,800 | $975 | $17,362,268 | $76,003 | $1,262,895,519 | 100.02% |
Assets | |
Investments in affiliated Master Portfolio, at value (cost $113,093,548) | $ 1,262,895,519 |
Receivable for Fund shares sold | 608,876 |
Receivable from manager | 115,581 |
Total assets | 1,263,619,976 |
Liabilities | |
Payable for Fund shares redeemed | 431,233 |
Shareholder servicing fees payable | 210,591 |
Administration fees payable | 196,145 |
Distribution fee payable | 7,954 |
Accrued expenses and other liabilities | 187,318 |
Total liabilities | 1,033,241 |
Total net assets | $1,262,586,735 |
Net assets consist of | |
Paid-in capital | $ 48,356,059 |
Total distributable earnings | 1,214,230,676 |
Total net assets | $1,262,586,735 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 835,780,801 |
Shares outstanding – Class A1 | 16,660,328 |
Net asset value per share – Class A | $50.17 |
Maximum offering price per share – Class A2 | $53.23 |
Net assets – Class C | $ 12,530,203 |
Shares outstanding – Class C1 | 244,770 |
Net asset value per share – Class C | $51.19 |
Net assets – Administrator Class | $ 414,275,731 |
Shares outstanding – Administrator Class1 | 8,058,709 |
Net asset value per share – Administrator Class | $51.41 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $89,256) | $ 17,362,268 |
Affiliated income allocated from affiliated Master Portfolio | 76,003 |
Interest allocated from affiliated Master Portfolio | 975 |
Expenses allocated from affiliated Master Portfolio | (1,277,256) |
Total investment income | 16,161,990 |
Expenses | |
Management fee | 572,125 |
Administration fees | |
Class A | 1,572,960 |
Class C | 29,821 |
Administrator Class | 495,327 |
Shareholder servicing fees | |
Class A | 1,872,572 |
Class C | 35,436 |
Administrator Class | 354,247 |
Distribution fee | |
Class C | 106,120 |
Custody and accounting fees | 50,221 |
Professional fees | 33,414 |
Registration fees | 66,425 |
Shareholder report expenses | 62,483 |
Trustees’ fees and expenses | 21,079 |
Other fees and expenses | 141,773 |
Total expenses | 5,414,003 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (1,962,363) |
Class A | (299,611) |
Class C | (4,260) |
Administrator Class | (1,920) |
Net expenses | 3,145,849 |
Net investment income | 13,016,141 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on securities transactions allocated from affiliated Master Portfolio | 101,189,274 |
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | 267,094,800 |
Net realized and unrealized gains (losses) on investments | 368,284,074 |
Net increase in net assets resulting from operations | $381,300,215 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |||
Operations | ||||
Net investment income | $ 13,016,141 | $ 17,076,939 | ||
Net realized gains on investments | 101,189,274 | 181,564,933 | ||
Net change in unrealized gains (losses) on investments | 267,094,800 | (64,676,797) | ||
Net increase in net assets resulting from operations | 381,300,215 | 133,965,075 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (99,506,178) | (189,301,116) | ||
Class C | (1,661,488) | (4,981,676) | ||
Administrator Class | (50,898,614) | (116,506,789) | ||
Total distributions to shareholders | (152,066,280) | (310,789,581) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 543,966 | 25,097,626 | 732,292 | 32,317,931 |
Class C | 12,993 | 609,026 | 57,399 | 2,669,398 |
Administrator Class | 1,009,053 | 47,555,074 | 1,814,601 | 90,665,958 |
73,261,726 | 125,653,287 | |||
Reinvestment of distributions | ||||
Class A | 2,188,868 | 96,461,288 | 4,215,720 | 183,009,568 |
Class C | 31,396 | 1,403,441 | 89,742 | 3,933,010 |
Administrator Class | 1,056,266 | 47,713,951 | 2,338,163 | 103,711,408 |
145,578,680 | 290,653,986 | |||
Payment for shares redeemed | ||||
Class A | (2,068,334) | (95,239,910) | (2,625,376) | (122,456,063) |
Class C | (183,902) | (8,615,422) | (145,585) | (6,654,277) |
Administrator Class | (2,159,572) | (101,444,640) | (5,173,988) | (247,150,828) |
(205,299,972) | (376,261,168) | |||
Net increase in net assets resulting from capital share transactions | 13,540,434 | 40,046,105 | ||
Total increase (decrease) in net assets | 242,774,369 | (136,778,401) | ||
Net assets | ||||
Beginning of period | 1,019,812,366 | 1,156,590,767 | ||
End of period | $1,262,586,735 | $1,019,812,366 |
Year ended May 31 | |||||
Class A | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $41.27 | $49.48 | $63.35 | $66.85 | $62.85 |
Net investment income | 0.48 | 0.65 | 0.82 | 0.99 1 | 1.05 |
Net realized and unrealized gains on investments | 14.92 | 5.82 | 0.54 | 7.99 | 9.09 |
Total from investment operations | 15.40 | 6.47 | 1.36 | 8.98 | 10.14 |
Distributions to shareholders from | |||||
Net investment income | (0.57) | (0.67) | (0.90) | (1.02) | (1.16) |
Net realized gains | (5.93) | (14.01) | (14.33) | (11.46) | (4.98) |
Total distributions to shareholders | (6.50) | (14.68) | (15.23) | (12.48) | (6.14) |
Net asset value, end of period | $50.17 | $41.27 | $49.48 | $63.35 | $66.85 |
Total return2 | 39.71% | 12.02% | 3.32% | 13.87% | 16.94% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.65% | 0.67% | 0.65% | 0.63% | 0.62% |
Net expenses | 0.44% | 0.44% | 0.45% | 0.45% | 0.45% |
Net investment income | 1.08% | 1.47% | 1.51% | 1.49% | 1.68% |
Supplemental data | |||||
Portfolio turnover rate3 | 4% | 3% | 4% | 3% | 9% |
Net assets, end of period (000s omitted) | $835,781 | $660,101 | $676,511 | $702,866 | $684,004 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.11% |
Year ended May 31, 2020 | 0.12% |
Year ended May 31, 2019 | 0.11% |
Year ended May 31, 2018 | 0.10% |
Year ended May 31, 2017 | 0.10% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class C | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $41.90 | $50.02 | $63.67 | $67.11 | $63.12 |
Net investment income | 0.16 1 | 0.30 | 0.46 1 | 0.50 1 | 0.66 |
Net realized and unrealized gains on investments | 15.21 | 5.84 | 0.52 | 8.00 | 9.02 |
Total from investment operations | 15.37 | 6.14 | 0.98 | 8.50 | 9.68 |
Distributions to shareholders from | |||||
Net investment income | (0.15) | (0.25) | (0.30) | (0.48) | (0.71) |
Net realized gains | (5.93) | (14.01) | (14.33) | (11.46) | (4.98) |
Total distributions to shareholders | (6.08) | (14.26) | (14.63) | (11.94) | (5.69) |
Net asset value, end of period | $51.19 | $41.90 | $50.02 | $63.67 | $67.11 |
Total return2 | 38.83% | 11.17% | 2.54% | 13.02% | 16.07% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.40% | 1.42% | 1.39% | 1.38% | 1.37% |
Net expenses | 1.20% | 1.20% | 1.20% | 1.20% | 1.20% |
Net investment income | 0.34% | 0.72% | 0.77% | 0.72% | 0.93% |
Supplemental data | |||||
Portfolio turnover rate3 | 4% | 3% | 4% | 3% | 9% |
Net assets, end of period (000s omitted) | $12,530 | $16,103 | $19,146 | $66,117 | $67,691 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.11% |
Year ended May 31, 2020 | 0.12% |
Year ended May 31, 2019 | 0.11% |
Year ended May 31, 2018 | 0.10% |
Year ended May 31, 2017 | 0.10% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Administrator Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $42.15 | $50.24 | $64.04 | $67.43 | $63.33 |
Net investment income | 0.58 | 0.81 | 1.02 1 | 1.26 | 1.41 |
Net realized and unrealized gains on investments | 15.26 | 5.85 | 0.48 | 7.94 | 8.94 |
Total from investment operations | 15.84 | 6.66 | 1.50 | 9.20 | 10.35 |
Distributions to shareholders from | |||||
Net investment income | (0.65) | (0.74) | (0.97) | (1.13) | (1.27) |
Net realized gains | (5.93) | (14.01) | (14.33) | (11.46) | (4.98) |
Total distributions to shareholders | (6.58) | (14.75) | (15.30) | (12.59) | (6.25) |
Net asset value, end of period | $51.41 | $42.15 | $50.24 | $64.04 | $67.43 |
Total return | 39.97% | 12.25% | 3.52% | 14.10% | 17.18% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.42% | 0.44% | 0.41% | 0.40% | 0.39% |
Net expenses | 0.25% | 0.25% | 0.25% | 0.25% | 0.25% |
Net investment income | 1.28% | 1.67% | 1.72% | 1.70% | 1.88% |
Supplemental data | |||||
Portfolio turnover rate2 | 4% | 3% | 4% | 3% | 9% |
Net assets, end of period (000s omitted) | $414,276 | $343,609 | $460,934 | $829,004 | $1,151,522 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.11% |
Year ended May 31, 2020 | 0.12% |
Year ended May 31, 2019 | 0.11% |
Year ended May 31, 2018 | 0.10% |
Year ended May 31, 2017 | 0.10% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Gross unrealized gains | $1,149,801,971 |
Gross unrealized losses | (4,934,540) |
Net unrealized gains | $1,144,867,431 |
Affiliated Master Portfolio | Investment objective | Fair value of affiliated Master Portfolio |
Wells Fargo Index Portfolio | Seeks to replicate the total return of the S&P 500 Index, before fees and expenses | $1,262,895,519 |
Average daily net assets | Management fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Class-level administration fee | |
Class A | 0.21% |
Class C | 0.21 |
Administrator Class | 0.13 |
Expense ratio caps | |
Class A | 0.45% |
Class C | 1.20 |
Administrator Class | 0.25 |
Year ended May 31 | ||
2021 | 2020 | |
Ordinary income | $ 16,705,769 | $ 19,604,325 |
Long-term capital gain | 135,360,511 | 291,185,256 |
Undistributed ordinary income | Undistributed long-term gain | Unrealized gains |
$9,437,246 | $59,939,047 | $1,144,867,431 |
Wells Fargo Funds Trust:
Shares | Value | ||||
Common stocks: 98.56% | |||||
Communication services: 10.94% | |||||
Diversified telecommunication services: 1.27% | |||||
AT&T Incorporated | 258,045 | $ 7,594,264 | |||
Lumen Technologies Incorporated | 35,718 | 494,337 | |||
Verizon Communications Incorporated | 149,729 | 8,458,191 | |||
16,546,792 | |||||
Entertainment: 1.93% | |||||
Activision Blizzard Incorporated | 28,033 | 2,726,209 | |||
Electronic Arts Incorporated | 10,407 | 1,487,473 | |||
Live Nation Entertainment Incorporated † | 5,193 | 467,941 | |||
Netflix Incorporated † | 16,025 | 8,057,530 | |||
Take-Two Interactive Software Incorporated † | 4,167 | 773,229 | |||
The Walt Disney Company † | 65,681 | 11,733,911 | |||
25,246,293 | |||||
Interactive media & services: 6.20% | |||||
Alphabet Incorporated Class A † | 10,881 | 25,644,885 | |||
Alphabet Incorporated Class C † | 10,430 | 25,152,571 | |||
Facebook Incorporated Class A † | 87,035 | 28,611,016 | |||
Twitter Incorporated † | 28,879 | 1,674,982 | |||
81,083,454 | |||||
Media: 1.31% | |||||
Charter Communications Incorporated Class A † | 5,117 | 3,553,910 | |||
Comcast Corporation Class A | 165,398 | 9,483,921 | |||
Discovery Incorporated Class A †« | 5,879 | 188,775 | |||
Discovery Incorporated Class C † | 10,481 | 314,954 | |||
DISH Network Corporation Class A † | 8,953 | 389,635 | |||
Fox Corporation Class A | 12,098 | 451,860 | |||
Fox Corporation Class B | 5,562 | 201,789 | |||
Interpublic Group of Companies Incorporated | 14,136 | 476,242 | |||
News Corporation Class A | 14,151 | 381,935 | |||
News Corporation Class B | 4,406 | 113,190 | |||
Omnicom Group Incorporated | 7,780 | 639,827 | |||
ViacomCBS Incorporated Class B | 21,259 | 901,807 | |||
17,097,845 | |||||
Wireless telecommunication services: 0.23% | |||||
T-Mobile US Incorporated † | 21,135 | 2,989,546 | |||
Consumer discretionary: 11.93% | |||||
Auto components: 0.15% | |||||
Aptiv plc † | 9,770 | 1,469,603 | |||
BorgWarner Incorporated | 8,648 | 443,556 | |||
1,913,159 | |||||
Automobiles: 1.69% | |||||
Ford Motor Company † | 141,396 | 2,054,484 | |||
General Motors Company † | 45,880 | 2,721,143 | |||
Tesla Motors Incorporated † | 27,784 | 17,371,112 | |||
22,146,739 |
Shares | Value | ||||
Distributors: 0.14% | |||||
Genuine Parts Company | 5,225 | $ 685,102 | |||
LKQ Corporation † | 10,097 | 514,543 | |||
Pool Corporation | 1,456 | 635,617 | |||
1,835,262 | |||||
Hotels, restaurants & leisure: 2.08% | |||||
Booking Holdings Incorporated † | 1,482 | 3,499,817 | |||
Caesars Entertainment Incorporated † | 7,536 | 809,743 | |||
Carnival Corporation † | 28,867 | 853,309 | |||
Chipotle Mexican Grill Incorporated † | 1,018 | 1,396,676 | |||
Darden Restaurants Incorporated | 4,716 | 675,473 | |||
Domino's Pizza Incorporated | 1,404 | 599,325 | |||
Expedia Group Incorporated † | 5,006 | 885,812 | |||
Hilton Worldwide Holdings Incorporated † | 10,045 | 1,258,337 | |||
Las Vegas Sands Corporation † | 11,884 | 686,301 | |||
Marriott International Incorporated Class A † | 9,625 | 1,381,958 | |||
McDonald's Corporation | 26,977 | 6,309,651 | |||
MGM Resorts International | 14,861 | 637,091 | |||
Norwegian Cruise Line Holdings Limited † | 13,142 | 419,230 | |||
Penn National Gaming Incorporated † | 5,379 | 440,917 | |||
Royal Caribbean Cruises Limited † | 7,921 | 738,792 | |||
Starbucks Corporation | 42,598 | 4,851,060 | |||
Wynn Resorts Limited † | 3,807 | 502,029 | |||
Yum! Brands Incorporated | 10,857 | 1,302,514 | |||
27,248,035 | |||||
Household durables: 0.44% | |||||
D.R. Horton Incorporated | 11,975 | 1,141,098 | |||
Garmin Limited | 5,407 | 769,092 | |||
Leggett & Platt Incorporated | 4,812 | 264,804 | |||
Lennar Corporation Class A | 9,932 | 983,367 | |||
Mohawk Industries Incorporated † | 2,134 | 449,591 | |||
Newell Rubbermaid Incorporated | 13,673 | 392,278 | |||
NVR Incorporated † | 125 | 610,904 | |||
PulteGroup Incorporated | 9,621 | 555,998 | |||
Whirlpool Corporation | 2,271 | 538,431 | |||
5,705,563 | |||||
Internet & direct marketing retail: 3.99% | |||||
Amazon.com Incorporated † | 15,487 | 49,915,685 | |||
eBay Incorporated | 23,389 | 1,423,922 | |||
Etsy Incorporated † | 4,561 | 751,334 | |||
52,090,941 | |||||
Leisure products: 0.03% | |||||
Hasbro Incorporated | 4,622 | 443,573 | |||
Multiline retail: 0.52% | |||||
Dollar General Corporation | 8,865 | 1,799,240 | |||
Dollar Tree Incorporated † | 8,510 | 829,725 | |||
Target Corporation | 18,123 | 4,112,471 | |||
6,741,436 | |||||
Specialty retail: 2.22% | |||||
Advance Auto Parts Incorporated | 2,371 | 449,850 |
Shares | Value | ||||
Specialty retail (continued) | |||||
AutoZone Incorporated † | 803 | $ 1,129,500 | |||
Best Buy Company Incorporated | 8,339 | 969,325 | |||
CarMax Incorporated † | 5,881 | 677,432 | |||
L Brands Incorporated | 8,453 | 590,611 | |||
Lowe's Companies Incorporated | 26,449 | 5,153,059 | |||
O'Reilly Automotive Incorporated † | 2,540 | 1,359,205 | |||
Ross Stores Incorporated | 12,881 | 1,628,030 | |||
The Gap Incorporated | 7,443 | 248,968 | |||
The Home Depot Incorporated | 38,954 | 12,422,820 | |||
The TJX Companies Incorporated | 43,442 | 2,934,073 | |||
Tractor Supply Company | 4,208 | 764,594 | |||
Ulta Beauty Incorporated † | 2,038 | 703,844 | |||
29,031,311 | |||||
Textiles, apparel & luxury goods: 0.67% | |||||
HanesBrands Incorporated | 12,621 | 246,614 | |||
Nike Incorporated Class B | 46,005 | 6,277,842 | |||
PVH Corporation † | 2,573 | 295,432 | |||
Ralph Lauren Corporation † | 1,745 | 216,520 | |||
Tapestry Incorporated † | 10,053 | 451,279 | |||
Under Armour Incorporated Class A † | 6,825 | 154,109 | |||
Under Armour Incorporated Class C † | 7,051 | 134,392 | |||
VF Corporation | 11,622 | 926,506 | |||
8,702,694 | |||||
Consumer staples: 5.94% | |||||
Beverages: 1.44% | |||||
Brown-Forman Corporation Class B | 6,609 | 531,099 | |||
Constellation Brands Incorporated Class A | 6,152 | 1,474,757 | |||
Molson Coors Brewing Company Class B † | 6,811 | 397,218 | |||
Monster Beverage Corporation † | 13,377 | 1,261,050 | |||
PepsiCo Incorporated | 49,918 | 7,384,869 | |||
The Coca-Cola Company | 140,330 | 7,758,846 | |||
18,807,839 | |||||
Food & staples retailing: 1.31% | |||||
Costco Wholesale Corporation | 16,016 | 6,058,372 | |||
Sysco Corporation | 18,468 | 1,495,908 | |||
The Kroger Company | 27,547 | 1,018,688 | |||
Walgreens Boots Alliance Incorporated | 25,948 | 1,366,422 | |||
Walmart Incorporated | 50,162 | 7,124,509 | |||
17,063,899 | |||||
Food products: 0.97% | |||||
Archer Daniels Midland Company | 20,205 | 1,344,239 | |||
Campbell Soup Company | 7,344 | 357,432 | |||
ConAgra Foods Incorporated | 17,678 | 673,532 | |||
General Mills Incorporated | 22,123 | 1,390,652 | |||
Hormel Foods Corporation | 10,163 | 493,312 | |||
Kellogg Company | 9,209 | 603,097 | |||
Lamb Weston Holdings Incorporated | 5,295 | 436,785 | |||
McCormick & Company Incorporated | 9,007 | 802,163 | |||
Mondelez International Incorporated Class A | 51,094 | 3,246,002 | |||
The Hershey Company | 5,303 | 917,684 |
Shares | Value | ||||
Food products (continued) | |||||
The J.M. Smucker Company | 3,965 | $ 528,495 | |||
The Kraft Heinz Company | 23,457 | 1,022,491 | |||
Tyson Foods Incorporated Class A | 10,664 | 847,788 | |||
12,663,672 | |||||
Household products: 1.36% | |||||
Church & Dwight Company Incorporated | 8,868 | 760,254 | |||
Colgate-Palmolive Company | 30,703 | 2,572,297 | |||
Kimberly-Clark Corporation | 12,230 | 1,597,605 | |||
The Clorox Company | 4,551 | 804,298 | |||
The Procter & Gamble Company | 89,099 | 12,015,000 | |||
17,749,454 | |||||
Personal products: 0.19% | |||||
The Estee Lauder Companies Incorporated Class A | 8,312 | 2,547,794 | |||
Tobacco: 0.67% | |||||
Altria Group Incorporated | 67,252 | 3,310,143 | |||
Philip Morris International Incorporated | 56,348 | 5,433,638 | |||
8,743,781 | |||||
Energy: 2.75% | |||||
Energy equipment & services: 0.24% | |||||
Baker Hughes Incorporated | 26,376 | 643,574 | |||
Halliburton Company | 32,153 | 721,835 | |||
NOV Incorporated † | 14,046 | 226,422 | |||
Schlumberger Limited | 50,593 | 1,585,079 | |||
3,176,910 | |||||
Oil, gas & consumable fuels: 2.51% | |||||
APA Corporation | 13,672 | 284,378 | |||
Cabot Oil & Gas Corporation | 14,452 | 237,013 | |||
Chevron Corporation | 69,870 | 7,251,807 | |||
ConocoPhillips | 49,018 | 2,732,263 | |||
Devon Energy Corporation | 21,431 | 569,207 | |||
Diamondback Energy Incorporated | 6,542 | 523,818 | |||
EOG Resources Incorporated | 21,115 | 1,696,379 | |||
Exxon Mobil Corporation | 153,178 | 8,941,000 | |||
Hess Corporation | 9,886 | 828,645 | |||
HollyFrontier Corporation | 5,406 | 175,533 | |||
Kinder Morgan Incorporated | 70,442 | 1,291,906 | |||
Marathon Oil Corporation | 28,562 | 345,886 | |||
Marathon Petroleum Corporation | 23,565 | 1,456,317 | |||
Occidental Petroleum Corporation | 30,335 | 787,497 | |||
ONEOK Incorporated | 16,101 | 849,167 | |||
Phillips 66 | 15,805 | 1,331,097 | |||
Pioneer Natural Resources Company | 7,445 | 1,133,055 | |||
The Williams Companies Incorporated | 43,918 | 1,156,800 | |||
Valero Energy Corporation | 14,783 | 1,188,553 | |||
32,780,321 | |||||
Financials: 11.75% | |||||
Banks: 4.59% | |||||
Bank of America Corporation | 274,886 | 11,652,418 |
Shares | Value | ||||
Banks (continued) | |||||
Citigroup Incorporated | 75,524 | $ 5,944,494 | |||
Citizens Financial Group Incorporated | 15,381 | 767,512 | |||
Comerica Incorporated | 5,035 | 395,197 | |||
Fifth Third Bancorp | 25,727 | 1,084,136 | |||
First Republic Bank | 6,367 | 1,218,898 | |||
Huntington Bancshares Incorporated | 36,807 | 583,759 | |||
JPMorgan Chase & Company | 110,411 | 18,133,903 | |||
KeyCorp | 35,054 | 807,644 | |||
M&T Bank Corporation | 4,654 | 747,851 | |||
People's United Financial Incorporated | 15,397 | 291,157 | |||
PNC Financial Services Group Incorporated | 15,342 | 2,986,781 | |||
Regions Financial Corporation | 34,760 | 813,732 | |||
SVB Financial Group † | 1,953 | 1,138,384 | |||
Truist Financial Corporation | 48,745 | 3,011,466 | |||
US Bancorp | 49,460 | 3,006,179 | |||
Wells Fargo & Company ♠ | 149,583 | 6,988,518 | |||
Zions Bancorporation | 5,942 | 343,923 | |||
59,915,952 | |||||
Capital markets: 3.00% | |||||
Ameriprise Financial Incorporated | 4,224 | 1,097,564 | |||
Bank of New York Mellon Corporation | 29,192 | 1,520,319 | |||
BlackRock Incorporated | 5,136 | 4,504,477 | |||
Cboe Global Markets Incorporated | 3,879 | 431,733 | |||
CME Group Incorporated | 12,990 | 2,841,692 | |||
Franklin Resources Incorporated | 9,875 | 337,824 | |||
Intercontinental Exchange Incorporated | 20,324 | 2,294,173 | |||
Invesco Limited | 13,621 | 388,607 | |||
MarketAxess Holdings Incorporated | 1,375 | 641,493 | |||
Moody's Corporation | 5,822 | 1,952,408 | |||
Morgan Stanley | 54,297 | 4,938,312 | |||
MSCI Incorporated | 2,988 | 1,398,772 | |||
Northern Trust Corporation | 7,537 | 913,409 | |||
Raymond James Financial Incorporated | 4,435 | 588,037 | |||
S&P Global Incorporated | 8,709 | 3,304,804 | |||
State Street Corporation | 12,729 | 1,107,168 | |||
T. Rowe Price Group Incorporated | 8,248 | 1,578,255 | |||
The Charles Schwab Corporation | 54,148 | 3,998,830 | |||
The Goldman Sachs Group Incorporated | 12,449 | 4,631,277 | |||
The NASDAQ Incorporated | 4,174 | 698,978 | |||
39,168,132 | |||||
Consumer finance: 0.66% | |||||
American Express Company | 23,610 | 3,780,669 | |||
Capital One Financial Corporation | 16,616 | 2,671,520 | |||
Discover Financial Services | 11,097 | 1,301,234 | |||
Synchrony Financial | 19,651 | 931,654 | |||
8,685,077 | |||||
Diversified financial services: 1.53% | |||||
Berkshire Hathaway Incorporated Class B † | 68,989 | 19,968,176 | |||
Insurance: 1.97% | |||||
AFLAC Incorporated | 23,171 | 1,313,332 | |||
American International Group Incorporated | 31,290 | 1,653,364 | |||
Aon plc Class A | 8,177 | 2,071,806 |
Shares | Value | ||||
Insurance (continued) | |||||
Arthur J. Gallagher & Company | 7,413 | $ 1,086,820 | |||
Assurant Incorporated | 2,095 | 337,609 | |||
Chubb Limited | 16,290 | 2,769,137 | |||
Cincinnati Financial Corporation | 5,424 | 660,155 | |||
Everest Reinsurance Group Limited | 1,447 | 376,162 | |||
Globe Life Incorporated | 3,438 | 362,434 | |||
Lincoln National Corporation | 6,529 | 455,659 | |||
Loews Corporation | 8,213 | 479,475 | |||
Marsh & McLennan Companies Incorporated | 18,388 | 2,543,980 | |||
MetLife Incorporated | 27,200 | 1,777,792 | |||
Principal Financial Group Incorporated | 9,173 | 599,822 | |||
Progressive Corporation | 21,194 | 2,099,902 | |||
Prudential Financial Incorporated | 14,364 | 1,536,517 | |||
The Allstate Corporation | 10,959 | 1,497,109 | |||
The Hartford Financial Services Group Incorporated | 12,936 | 845,368 | |||
The Travelers Companies Incorporated | 9,126 | 1,457,422 | |||
UnumProvident Corporation | 7,372 | 228,311 | |||
W.R. Berkley Corporation | 5,070 | 395,409 | |||
Willis Towers Watson plc | 4,667 | 1,219,767 | |||
25,767,352 | |||||
Health care: 12.78% | |||||
Biotechnology: 1.72% | |||||
AbbVie Incorporated | 63,894 | 7,232,801 | |||
Alexion Pharmaceuticals Incorporated † | 7,955 | 1,404,455 | |||
Amgen Incorporated | 20,898 | 4,972,470 | |||
Biogen Incorporated † | 5,512 | 1,474,350 | |||
Gilead Sciences Incorporated | 45,467 | 3,005,823 | |||
Incyte Corporation † | 6,761 | 566,437 | |||
Regeneron Pharmaceuticals Incorporated † | 3,809 | 1,913,756 | |||
Vertex Pharmaceuticals Incorporated † | 9,406 | 1,962,374 | |||
22,532,466 | |||||
Health care equipment & supplies: 3.51% | |||||
Abbott Laboratories | 64,098 | 7,477,032 | |||
ABIOMED Incorporated † | 1,637 | 465,857 | |||
Align Technology Incorporated † | 2,606 | 1,537,931 | |||
Baxter International Incorporated | 18,276 | 1,500,825 | |||
Becton Dickinson & Company | 10,513 | 2,542,990 | |||
Boston Scientific Corporation † | 51,277 | 2,181,836 | |||
Danaher Corporation | 22,935 | 5,874,571 | |||
Dentsply Sirona Incorporated | 7,926 | 530,408 | |||
DexCom Incorporated † | 3,480 | 1,285,477 | |||
Edwards Lifesciences Corporation † | 22,597 | 2,167,052 | |||
Hologic Incorporated † | 9,323 | 587,908 | |||
IDEXX Laboratories Incorporated † | 3,091 | 1,725,118 | |||
Intuitive Surgical Incorporated † | 4,259 | 3,586,845 | |||
Medtronic plc | 48,777 | 6,174,680 | |||
ResMed Incorporated | 5,265 | 1,083,800 | |||
STERIS plc | 3,088 | 589,376 | |||
Stryker Corporation | 11,842 | 3,022,907 | |||
Teleflex Incorporated | 1,689 | 679,299 | |||
The Cooper Companies Incorporated | 1,778 | 699,554 |
Shares | Value | ||||
Health care equipment & supplies (continued) | |||||
West Pharmaceutical Services Incorporated | 2,681 | $ 931,674 | |||
Zimmer Biomet Holdings Incorporated | 7,521 | 1,266,010 | |||
45,911,150 | |||||
Health care providers & services: 2.73% | |||||
AmerisourceBergen Corporation | 5,333 | 611,908 | |||
Anthem Incorporated | 8,861 | 3,528,627 | |||
Cardinal Health Incorporated | 10,626 | 595,800 | |||
Centene Corporation † | 21,044 | 1,548,838 | |||
Cigna Corporation | 12,731 | 3,295,419 | |||
CVS Health Corporation | 47,448 | 4,101,405 | |||
DaVita HealthCare Partners Incorporated † | 2,613 | 313,743 | |||
HCA Healthcare Incorporated | 9,593 | 2,060,480 | |||
Henry Schein Incorporated † | 5,155 | 391,986 | |||
Humana Incorporated | 4,663 | 2,040,995 | |||
Laboratory Corporation of America Holdings † | 3,531 | 969,189 | |||
McKesson Corporation | 5,753 | 1,106,820 | |||
Quest Diagnostics Incorporated | 4,829 | 635,834 | |||
UnitedHealth Group Incorporated | 34,204 | 14,089,312 | |||
Universal Health Services Incorporated Class B | 2,816 | 449,518 | |||
35,739,874 | |||||
Health care technology: 0.07% | |||||
Cerner Corporation | 11,082 | 867,167 | |||
Life sciences tools & services: 1.19% | |||||
Agilent Technologies Incorporated | 11,025 | 1,522,883 | |||
Bio-Rad Laboratories Incorporated Class A † | 780 | 469,849 | |||
Charles River Laboratories International Incorporated † | 1,801 | 608,720 | |||
Illumina Incorporated † | 5,279 | 2,141,374 | |||
IQVIA Holdings Incorporated † | 6,921 | 1,662,147 | |||
Mettler-Toledo International Incorporated † | 847 | 1,101,905 | |||
PerkinElmer Incorporated | 4,055 | 588,259 | |||
Thermo Fisher Scientific Incorporated | 14,248 | 6,689,436 | |||
Waters Corporation † | 2,250 | 725,063 | |||
15,509,636 | |||||
Pharmaceuticals: 3.56% | |||||
Bristol-Myers Squibb Company | 81,066 | 5,327,658 | |||
Catalent Incorporated † | 6,159 | 645,648 | |||
Eli Lilly & Company | 28,783 | 5,749,116 | |||
Johnson & Johnson | 95,112 | 16,097,706 | |||
Merck & Company Incorporated | 91,553 | 6,947,957 | |||
Perrigo Company plc | 4,816 | 222,210 | |||
Pfizer Incorporated | 201,813 | 7,816,217 | |||
Viatris Incorporated | 43,675 | 665,607 | |||
Zoetis Incorporated | 17,193 | 3,037,659 | |||
46,509,778 | |||||
Industrials: 8.81% | |||||
Aerospace & defense: 1.67% | |||||
General Dynamics Corporation | 8,390 | 1,593,345 | |||
Howmet Aerospace Incorporated † | 14,120 | 500,978 | |||
Huntington Ingalls Industries Incorporated | 1,457 | 315,018 | |||
L3Harris Technologies Incorporated | 7,438 | 1,621,930 |
Shares | Value | ||||
Aerospace & defense (continued) | |||||
Lockheed Martin Corporation | 8,919 | $ 3,408,842 | |||
Northrop Grumman Corporation | 5,610 | 2,052,531 | |||
Raytheon Technologies Corporation | 54,979 | 4,877,187 | |||
Teledyne Technologies Incorporated † | 1,679 | 704,290 | |||
Textron Incorporated | 8,211 | 562,207 | |||
The Boeing Company † | 19,851 | 4,903,594 | |||
TransDigm Group Incorporated † | 1,979 | 1,284,054 | |||
21,823,976 | |||||
Air freight & logistics: 0.73% | |||||
C.H. Robinson Worldwide Incorporated | 4,842 | 469,771 | |||
Expeditors International of Washington Incorporated | 6,128 | 770,228 | |||
FedEx Corporation | 8,824 | 2,777,883 | |||
United Parcel Service Incorporated Class B | 26,034 | 5,586,896 | |||
9,604,778 | |||||
Airlines: 0.30% | |||||
Alaska Air Group Incorporated † | 4,495 | 311,054 | |||
American Airlines Group Incorporated † | 23,145 | 561,035 | |||
Delta Air Lines Incorporated † | 23,090 | 1,100,931 | |||
Southwest Airlines Company † | 21,372 | 1,313,523 | |||
United Airlines Holdings Incorporated † | 11,523 | 672,367 | |||
3,958,910 | |||||
Building products: 0.50% | |||||
A.O. Smith Corporation | 4,900 | 348,243 | |||
Allegion plc | 3,283 | 461,196 | |||
Carrier Global Corporation | 29,566 | 1,357,966 | |||
Fortune Brands Home & Security Incorporated | 5,017 | 517,554 | |||
Johnson Controls International plc | 26,061 | 1,734,099 | |||
Masco Corporation | 9,304 | 561,124 | |||
Trane Technologies plc | 8,627 | 1,608,073 | |||
6,588,255 | |||||
Commercial services & supplies: 0.40% | |||||
Cintas Corporation | 3,192 | 1,128,500 | |||
Copart Incorporated † | 7,524 | 970,671 | |||
Republic Services Incorporated | 7,615 | 831,406 | |||
Rollins Incorporated | 8,013 | 273,163 | |||
Waste Management Incorporated | 14,086 | 1,981,618 | |||
5,185,358 | |||||
Construction & engineering: 0.04% | |||||
Quanta Services Incorporated | 5,006 | 477,322 | |||
Electrical equipment: 0.55% | |||||
AMETEK Incorporated | 8,342 | 1,127,004 | |||
Eaton Corporation plc | 14,404 | 2,092,181 | |||
Emerson Electric Company | 21,711 | 2,077,526 | |||
Generac Holdings Incorporated † | 2,274 | 747,509 | |||
Rockwell Automation Incorporated | 4,203 | 1,108,415 | |||
7,152,635 | |||||
Industrial conglomerates: 1.24% | |||||
3M Company | 20,953 | 4,254,297 |
Shares | Value | ||||
Industrial conglomerates (continued) | |||||
General Electric Company | 317,247 | $ 4,460,493 | |||
Honeywell International Incorporated | 25,165 | 5,810,850 | |||
Roper Technologies Incorporated | 3,797 | 1,708,688 | |||
16,234,328 | |||||
Machinery: 1.75% | |||||
Caterpillar Incorporated | 19,730 | 4,756,508 | |||
Cummins Incorporated | 5,355 | 1,377,734 | |||
Deere & Company | 11,341 | 4,095,235 | |||
Dover Corporation | 5,198 | 782,299 | |||
Fortive Corporation | 12,232 | 887,065 | |||
IDEX Corporation | 2,746 | 611,424 | |||
Illinois Tool Works Incorporated | 10,426 | 2,416,330 | |||
Ingersoll Rand Incorporated † | 13,485 | 669,395 | |||
Otis Worldwide Corporation | 14,750 | 1,155,368 | |||
PACCAR Incorporated | 12,553 | 1,149,353 | |||
Parker-Hannifin Corporation | 4,670 | 1,439,061 | |||
Pentair plc | 6,009 | 414,441 | |||
Snap-on Incorporated | 1,961 | 499,310 | |||
Stanley Black & Decker Incorporated | 5,822 | 1,262,210 | |||
Wabtec Corporation | 6,425 | 531,733 | |||
Xylem Incorporated | 6,526 | 770,851 | |||
22,818,317 | |||||
Professional services: 0.41% | |||||
Equifax Incorporated | 4,407 | 1,035,821 | |||
IHS Markit Limited | 13,489 | 1,420,527 | |||
Jacobs Engineering Group Incorporated | 4,707 | 668,771 | |||
Leidos Holdings Incorporated | 4,826 | 495,872 | |||
Nielsen Holdings plc | 12,946 | 352,261 | |||
Robert Half International Incorporated | 4,093 | 363,417 | |||
Verisk Analytics Incorporated | 5,890 | 1,017,969 | |||
5,354,638 | |||||
Road & rail: 1.01% | |||||
CSX Corporation | 27,589 | 2,762,211 | |||
J.B. Hunt Transport Services Incorporated | 3,021 | 518,222 | |||
Kansas City Southern | 3,287 | 978,474 | |||
Norfolk Southern Corporation | 9,115 | 2,560,404 | |||
Old Dominion Freight Line Incorporated | 3,469 | 920,846 | |||
Union Pacific Corporation | 24,236 | 5,446,556 | |||
13,186,713 | |||||
Trading companies & distributors: 0.21% | |||||
Fastenal Company | 20,781 | 1,102,224 | |||
United Rentals Incorporated † | 2,612 | 872,304 | |||
W.W. Grainger Incorporated | 1,592 | 735,759 | |||
2,710,287 | |||||
Information technology: 25.85% | |||||
Communications equipment: 0.82% | |||||
Arista Networks Incorporated † | 1,989 | 675,027 | |||
Cisco Systems Incorporated | 152,755 | 8,080,740 | |||
F5 Networks Incorporated † | 2,231 | 413,694 |
Shares | Value | ||||
Communications equipment (continued) | |||||
Juniper Networks Incorporated | 11,874 | $ 312,642 | |||
Motorola Solutions Incorporated | 6,116 | 1,255,676 | |||
10,737,779 | |||||
Electronic equipment, instruments & components: 0.61% | |||||
Amphenol Corporation Class A | 21,679 | 1,458,130 | |||
CDW Corporation of Delaware | 5,101 | 843,807 | |||
Corning Incorporated | 27,802 | 1,213,001 | |||
IPG Photonics Corporation † | 1,298 | 271,619 | |||
Keysight Technologies Incorporated † | 6,733 | 958,645 | |||
TE Connectivity Limited | 11,972 | 1,624,361 | |||
Trimble Incorporated † | 9,081 | 706,411 | |||
Zebra Technologies Corporation Class A † | 1,935 | 961,792 | |||
8,037,766 | |||||
IT services: 5.04% | |||||
Accenture plc Class A | 22,949 | 6,475,290 | |||
Akamai Technologies Incorporated † | 5,906 | 674,524 | |||
Automatic Data Processing Incorporated | 15,484 | 3,035,174 | |||
Broadridge Financial Solutions Incorporated | 4,190 | 668,221 | |||
Cognizant Technology Solutions Corporation Class A | 19,199 | 1,373,880 | |||
DXC Technology Company † | 9,212 | 349,319 | |||
Fidelity National Information Services Incorporated | 22,474 | 3,348,177 | |||
Fiserv Incorporated † | 21,550 | 2,482,560 | |||
FleetCor Technologies Incorporated † | 3,018 | 828,260 | |||
Gartner Incorporated † | 3,210 | 744,206 | |||
Global Payments Incorporated | 10,683 | 2,069,404 | |||
International Business Machines Corporation | 32,333 | 4,647,545 | |||
Jack Henry & Associates Incorporated | 2,753 | 424,375 | |||
MasterCard Incorporated Class A | 31,724 | 11,439,040 | |||
Paychex Incorporated | 11,613 | 1,174,539 | |||
PayPal Holdings Incorporated † | 42,376 | 11,018,608 | |||
The Western Union Company | 14,868 | 363,820 | |||
VeriSign Incorporated † | 3,601 | 791,932 | |||
Visa Incorporated Class A | 61,370 | 13,949,401 | |||
65,858,275 | |||||
Semiconductors & semiconductor equipment: 5.37% | |||||
Advanced Micro Devices Incorporated † | 43,846 | 3,511,188 | |||
Analog Devices Incorporated | 13,348 | 2,197,081 | |||
Applied Materials Incorporated | 33,203 | 4,586,330 | |||
Broadcom Incorporated | 14,771 | 6,976,786 | |||
Enphase Energy Incorporated † | 4,668 | 667,757 | |||
Intel Corporation | 147,010 | 8,397,211 | |||
KLA Corporation | 5,575 | 1,766,662 | |||
Lam Research Corporation | 5,171 | 3,360,374 | |||
Maxim Integrated Products Incorporated | 9,698 | 989,293 | |||
Microchip Technology Incorporated | 9,743 | 1,529,164 | |||
Micron Technology Incorporated † | 40,476 | 3,405,651 | |||
Monolithic Power Systems Incorporated | 1,552 | 532,522 | |||
NVIDIA Corporation | 22,433 | 14,576,515 | |||
NXP Semiconductors NV | 10,023 | 2,119,063 | |||
Qorvo Incorporated † | 4,098 | 748,787 | |||
QUALCOMM Incorporated | 41,103 | 5,529,998 | |||
Skyworks Solutions Incorporated | 5,967 | 1,014,390 |
Shares | Value | ||||
Semiconductors & semiconductor equipment (continued) | |||||
Teradyne Incorporated | 6,031 | $ 798,203 | |||
Texas Instruments Incorporated | 33,297 | 6,320,437 | |||
Xilinx Incorporated | 8,892 | 1,129,284 | |||
70,156,696 | |||||
Software: 8.24% | |||||
Adobe Incorporated † | 17,343 | 8,750,931 | |||
ANSYS Incorporated † | 3,139 | 1,060,794 | |||
Autodesk Incorporated † | 7,956 | 2,274,302 | |||
Cadence Design Systems Incorporated † | 10,094 | 1,281,837 | |||
Citrix Systems Incorporated | 4,449 | 511,457 | |||
Fortinet Incorporated † | 4,901 | 1,071,065 | |||
Intuit Incorporated | 9,908 | 4,350,504 | |||
Microsoft Corporation | 272,897 | 68,136,923 | |||
NortonLifeLock Incorporated | 21,055 | 582,381 | |||
Oracle Corporation | 67,109 | 5,284,163 | |||
Paycom Software Incorporated † | 1,776 | 585,370 | |||
PTC Incorporated † | 3,804 | 510,269 | |||
Salesforce.com Incorporated † | 33,206 | 7,906,349 | |||
ServiceNow Incorporated † | 7,095 | 3,362,179 | |||
Synopsys Incorporated † | 5,513 | 1,402,176 | |||
Tyler Technologies Incorporated † | 1,468 | 591,839 | |||
107,662,539 | |||||
Technology hardware, storage & peripherals: 5.77% | |||||
Apple Incorporated | 570,990 | 71,151,064 | |||
Hewlett Packard Enterprise Company | 47,079 | 751,381 | |||
HP Incorporated | 45,320 | 1,324,704 | |||
NetApp Incorporated | 8,054 | 623,138 | |||
Seagate Technology Holdings plc | 7,268 | 695,911 | |||
Western Digital Corporation † | 11,075 | 833,172 | |||
75,379,370 | |||||
Materials: 2.78% | |||||
Chemicals: 1.88% | |||||
Air Products & Chemicals Incorporated | 8,006 | 2,399,078 | |||
Albemarle Corporation | 4,220 | 705,078 | |||
Celanese Corporation Series A | 4,131 | 683,474 | |||
CF Industries Holdings Incorporated | 7,743 | 411,695 | |||
Corteva Incorporated | 26,922 | 1,224,951 | |||
Dow Incorporated | 26,964 | 1,844,877 | |||
DuPont de Nemours Incorporated | 19,480 | 1,647,813 | |||
Eastman Chemical Company | 4,916 | 616,466 | |||
Ecolab Incorporated | 8,998 | 1,935,290 | |||
FMC Corporation | 4,680 | 546,109 | |||
International Flavors & Fragrances Incorporated | 9,000 | 1,275,030 | |||
Linde plc | 18,918 | 5,686,746 | |||
LyondellBasell Industries NV Class A | 9,309 | 1,048,380 | |||
PPG Industries Incorporated | 8,573 | 1,540,740 | |||
The Mosaic Company | 12,482 | 451,099 | |||
The Sherwin-Williams Company | 8,754 | 2,482,022 | |||
24,498,848 |
Shares | Value | ||||
Construction materials: 0.13% | |||||
Martin Marietta Materials Incorporated | 2,254 | $ 819,667 | |||
Vulcan Materials Company | 4,796 | 879,203 | |||
1,698,870 | |||||
Containers & packaging: 0.35% | |||||
Amcor plc | 56,516 | 666,889 | |||
Avery Dennison Corporation | 3,004 | 662,472 | |||
Ball Corporation | 11,865 | 974,828 | |||
International Paper Company | 14,223 | 897,471 | |||
Packaging Corporation of America | 3,431 | 510,018 | |||
Sealed Air Corporation | 5,605 | 318,700 | |||
WestRock Company | 9,535 | 556,081 | |||
4,586,459 | |||||
Metals & mining: 0.42% | |||||
Freeport-McMoRan Incorporated | 52,772 | 2,254,420 | |||
Newmont Corporation | 28,957 | 2,127,760 | |||
Nucor Corporation | 10,784 | 1,105,791 | |||
5,487,971 | |||||
Real estate: 2.51% | |||||
Equity REITs: 2.43% | |||||
Alexandria Real Estate Equities Incorporated | 4,600 | 819,996 | |||
American Tower Corporation | 16,419 | 4,194,398 | |||
AvalonBay Communities Incorporated | 5,048 | 1,044,633 | |||
Boston Properties Incorporated | 5,130 | 603,083 | |||
Crown Castle International Corporation | 15,606 | 2,957,337 | |||
Digital Realty Trust Incorporated | 10,172 | 1,541,668 | |||
Duke Realty Corporation | 13,524 | 628,325 | |||
Equinix Incorporated | 3,231 | 2,380,342 | |||
Equity Residential | 12,405 | 960,767 | |||
Essex Property Trust Incorporated | 2,352 | 694,522 | |||
Extra Space Storage Incorporated | 4,777 | 715,642 | |||
Federal Realty Investment Trust | 2,527 | 288,937 | |||
Healthpeak Properties Incorporated | 19,491 | 650,610 | |||
Host Hotels & Resorts Incorporated † | 25,522 | 438,213 | |||
Iron Mountain Incorporated | 10,436 | 454,383 | |||
Kimco Realty Corporation | 15,647 | 333,438 | |||
Mid-America Apartment Communities Incorporated | 4,139 | 665,137 | |||
Prologis Incorporated | 26,757 | 3,153,045 | |||
Public Storage Incorporated | 5,502 | 1,554,205 | |||
Realty Income Corporation | 13,510 | 924,084 | |||
Regency Centers Corporation | 5,715 | 369,189 | |||
SBA Communications Corporation | 3,956 | 1,179,363 | |||
Simon Property Group Incorporated | 11,886 | 1,527,232 | |||
UDR Incorporated | 10,740 | 511,546 | |||
Ventas Incorporated | 13,556 | 751,680 | |||
Vornado Realty Trust | 5,677 | 268,409 | |||
Welltower Incorporated | 15,102 | 1,129,177 | |||
Weyerhaeuser Company | 27,056 | 1,027,046 | |||
31,766,407 | |||||
Real estate management & development: 0.08% | |||||
CBRE Group Incorporated Class A † | 12,143 | 1,065,913 |
Shares | Value | ||||
Utilities: 2.52% | |||||
Electric utilities: 1.58% | |||||
Alliant Energy Corporation | 9,041 | $ 516,693 | |||
American Electric Power Company Incorporated | 17,968 | 1,545,248 | |||
Duke Energy Corporation | 27,812 | 2,787,319 | |||
Edison International | 13,723 | 766,704 | |||
Entergy Corporation | 7,254 | 763,556 | |||
Evergy Incorporated | 8,211 | 509,000 | |||
Eversource Energy | 12,411 | 1,007,649 | |||
Exelon Corporation | 35,326 | 1,593,909 | |||
FirstEnergy Corporation | 19,655 | 745,121 | |||
NextEra Energy Incorporated | 70,913 | 5,192,250 | |||
NRG Energy Incorporated | 8,853 | 284,624 | |||
Pinnacle West Capital Corporation | 4,077 | 344,833 | |||
PPL Corporation | 27,824 | 809,957 | |||
The Southern Company | 38,231 | 2,443,726 | |||
Xcel Energy Incorporated | 19,454 | 1,378,900 | |||
20,689,489 | |||||
Gas utilities: 0.03% | |||||
Atmos Energy Corporation | 4,637 | 459,851 | |||
Independent power & renewable electricity producers: 0.05% | |||||
AES Corporation | 24,174 | 614,261 | |||
Multi-utilities: 0.78% | |||||
Ameren Corporation | 9,167 | 771,861 | |||
CenterPoint Energy Incorporated | 19,958 | 504,937 | |||
CMS Energy Corporation | 10,455 | 655,947 | |||
Consolidated Edison Incorporated | 12,390 | 957,004 | |||
Dominion Energy Incorporated | 29,150 | 2,219,481 | |||
DTE Energy Company | 7,011 | 967,448 | |||
NiSource Incorporated | 14,178 | 361,539 | |||
Public Service Enterprise Group Incorporated | 18,276 | 1,135,305 | |||
Sempra Energy | 11,394 | 1,543,773 | |||
WEC Energy Group Incorporated | 11,413 | 1,071,795 | |||
10,189,090 | |||||
Water utilities: 0.08% | |||||
American Water Works Company Incorporated | 6,565 | 1,017,706 | |||
Total Common stocks (Cost $297,667,405) | 1,287,933,880 |
Yield | |||||
Short-term investments: 1.14% | |||||
Investment companies: 1.14% | |||||
Securities Lending Cash Investments LLC ♠∩∞ | 0.03% | 182,600 | 182,600 | ||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 14,730,757 | 14,730,757 | ||
Total Short-term investments (Cost $14,913,357) | 14,913,357 | ||||
Total investments in securities (Cost $312,580,762) | 99.70% | 1,302,847,237 | |||
Other assets and liabilities, net | 0.30 | 3,948,487 | |||
Total net assets | 100.00% | $1,306,795,724 |
† | Non-income-earning security |
« | All or a portion of this security is on loan. |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | 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 | ||||
Common stocks | ||||||||||||
Financials | ||||||||||||
Banks | ||||||||||||
Wells Fargo & Company | $ 4,100,362 | $ 374,345 | $ (576,645) | $ 54,959 | $ 3,035,497 | $ 6,988,518 | 0.54% | 149,583 | $ 61,288 | |||
Short-term investments | ||||||||||||
Investment companies | ||||||||||||
Securities Lending Cash Investments LLC | 0 | 12,799,719 | (12,617,119) | 0 | 0 | 182,600 | 182,600 | 490 # | ||||
Wells Fargo Government Money Market Fund Select Class | 30,205,942 | 131,504,451 | (146,979,636) | 0 | 0 | 14,730,757 | 14,730,757 | 11,920 | ||||
14,913,357 | 1.14 | |||||||||||
$54,959 | $3,035,497 | $21,901,875 | 1.68% | $73,698 |
# | Amount shown represents income before fees and rebates. |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
E-Mini S&P 500 Index | 89 | 6-18-2021 | $17,508,915 | $18,700,680 | $1,191,765 | $0 |
Assets | |
Investments in unaffiliated securities (including $176,605 of securities loaned), at value (cost $294,318,910) | $ 1,280,945,362 |
Investments in affiliated securites, at value (cost $18,261,852) | 21,901,875 |
Cash | 8,210 |
Cash due from broker | 2,475,001 |
Receivable for dividends | 1,664,137 |
Receivable for daily variation margin on open futures contracts | 15,124 |
Receivable for securities lending income, net | 61 |
Prepaid expenses and other assets | 132,901 |
Total assets | 1,307,142,671 |
Liabilities | |
Payable upon receipt of securities loaned | 182,600 |
Advisory fee payable | 104,137 |
Payable for investments purchased | 60,210 |
Total liabilities | 346,947 |
Total net assets | $1,306,795,724 |
Investment income | |
Dividends (net of foreign withholdings taxes of $92,365) | $ 17,966,139 |
Income from affiliated securities | 78,419 |
Interest | 1,009 |
Total investment income | 18,045,567 |
Expenses | |
Advisory fee | 1,138,374 |
Custody and accounting fees | 71,073 |
Professional fees | 52,135 |
Interest holder report expenses | 7,451 |
Trustees’ fees and expenses | 19,165 |
Other fees and expenses | 33,487 |
Total expenses | 1,321,685 |
Net investment income | 16,723,882 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 94,343,110 |
Affiliated securities | 54,959 |
Futures contracts | 10,037,956 |
Net realized gains on investments | 104,436,025 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 273,073,751 |
Affiliated securities | 3,035,497 |
Futures contracts | 526,094 |
Net change in unrealized gains (losses) on investments | 276,635,342 |
Net realized and unrealized gains (losses) on investments | 381,071,367 |
Net increase in net assets resulting from operations | $397,795,249 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 16,723,882 | $ 20,718,704 |
Net realized gains on investments | 104,436,025 | 187,218,582 |
Net change in unrealized gains (losses) on investments | 276,635,342 | (66,539,266) |
Net increase in net assets resulting from operations | 397,795,249 | 141,398,020 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 13,277,558 | 47,457,547 |
Withdrawals | (159,782,351) | (328,736,831) |
Net decrease in net assets resulting from capital transactions | (146,504,793) | (281,279,284) |
Total increase (decrease) in net assets | 251,290,456 | (139,881,264) |
Net assets | ||
Beginning of period | 1,055,505,268 | 1,195,386,532 |
End of period | $1,306,795,724 | $1,055,505,268 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 40.16% | 12.74% | 3.67% | 14.27% | 17.36% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.11% | 0.12% | 0.11% | 0.10% | 0.10% |
Net expenses | 0.11% | 0.12% | 0.11% | 0.10% | 0.10% |
Net investment income | 1.41% | 1.80% | 1.86% | 1.84% | 2.03% |
Supplemental data | |||||
Portfolio turnover rate | 4% | 3% | 4% | 3% | 9% |
Gross unrealized gains | $996,362,565 |
Gross unrealized losses | (25,101,500) |
Net unrealized gains | $971,261,065 |
■ | 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 | $ 142,963,930 | $0 | $0 | $ 142,963,930 |
Consumer discretionary | 155,858,713 | 0 | 0 | 155,858,713 |
Consumer staples | 77,576,439 | 0 | 0 | 77,576,439 |
Energy | 35,957,231 | 0 | 0 | 35,957,231 |
Financials | 153,504,689 | 0 | 0 | 153,504,689 |
Health care | 167,070,071 | 0 | 0 | 167,070,071 |
Industrials | 115,095,517 | 0 | 0 | 115,095,517 |
Information technology | 337,832,425 | 0 | 0 | 337,832,425 |
Materials | 36,272,148 | 0 | 0 | 36,272,148 |
Real estate | 32,832,320 | 0 | 0 | 32,832,320 |
Utilities | 32,970,397 | 0 | 0 | 32,970,397 |
Short-term investments | ||||
Investment companies | 14,913,357 | 0 | 0 | 14,913,357 |
1,302,847,237 | 0 | 0 | 1,302,847,237 | |
Futures contracts | 1,191,765 | 0 | 0 | 1,191,765 |
Total assets | $1,304,039,002 | $0 | $0 | $1,304,039,002 |
Average daily net assets | Advisory fee |
First $500 million | 0.100% |
Next $500 million | 0.100 |
Next $2 billion | 0.075 |
Next $2 billion | 0.075 |
Over $5 billion | 0.050 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Citigroup Global Markets Inc. | $176,605 | $(176,605) | $0 |
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. |
Funds Trust | Master Trust |
Wells Fargo C&B Large Cap Value Fund | Wells Fargo C&B Large Cap Value Portfolio |
Wells Fargo Core Bond Fund | Wells Fargo Core Bond Portfolio |
Wells Fargo Emerging Growth Fund | Wells Fargo Emerging Growth Portfolio |
Wells Fargo Index Fund | Wells Fargo Index Portfolio |
Wells Fargo Real Return Fund | Wells Fargo Real Return Portfolio |
Wells Fargo Small Company Growth Fund | Wells Fargo Small Company Growth Portfolio |
Wells Fargo Small Company Value Fund | Wells Fargo Small Company Value Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC, as the distributor of Fund shares. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Funds and Master Portfolios. |
■ | Impact of the Transaction on the Funds and their Shareholders and the Master Portfolios and their Interest Holders: (i) information regarding anticipated benefits to the Funds and the Master Portfolios as a result of the Transaction; (ii) a commitment that the Funds and Master Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers and the Unaffiliated Sub-Advisers intend to continue to manage the Funds in a manner consistent with each Fund’s or Master Portfolio’s current investment objectives and principal investments strategies, as applicable; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds or the Master Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
A283/AR283 05-21
Small Company Growth Fund
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Wells Fargo Small Company Growth Portfolio | |
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Barclays Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved. |
“The passage of the massive domestic stimulus bill highlighted March activity, leading to increased forecasts for U.S. growth in 2021.” |
President
Wells Fargo Funds
Investment objective | The Fund seeks long-term capital appreciation. |
Manager | Wells Fargo Funds Management, LLC |
Portfolio managers | William A. Grierson, CFA®‡, Daniel J. Hagen, CFA®‡, Paul E. von Kuster, CFA®‡, Ryan H. Smith, CFA®‡†, Samuel D. Smith, CFA®‡† |
Average annual total returns (%) as of May 31, 2021 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (WFSAX) | 1-30-2004 | 45.00 | 16.24 | 11.77 | 53.84 | 17.62 | 12.43 | 1.33 | 1.29 | ||
Class C (WSMCX) | 1-30-2004 | 51.86 | 16.77 | 11.60 | 52.86 | 16.77 | 11.60 | 2.08 | 2.04 | ||
Class R6 (WSCRX)3 | 10-31-2014 | – | – | – | 54.53 | 18.13 | 12.94 | 0.90 | 0.86 | ||
Administrator Class (NVSCX) | 11-11-1994 | – | – | – | 54.02 | 17.76 | 12.62 | 1.25 | 1.19 | ||
Institutional Class (WSCGX) | 3-31-2008 | – | – | – | 54.39 | 18.05 | 12.90 | 1.00 | 0.94 | ||
Russell 2000® Growth Index4 | – | – | – | – | 50.14 | 17.57 | 12.76 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through September 30, 2021, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 1.29% for Class A, 2.04% for Class C, 0.86% for Class R6, 1.19% for Administrator Class, and 0.94% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had been included, returns for the Class R6 shares would be higher. |
4 | The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index. |
* | The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
† | Ryan Smith and Samuel Smith became portfolio managers of the Fund on January 12, 2021. |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Russell 2000® Growth Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%. |
■ | The Fund outperformed the Russell 2000® Growth Index for the 12-month period that ended May 31, 2021. |
■ | Stock selection in financials and health care were the largest contributors to performance in the period. |
■ | Stock selection within information technology (IT) and consumer discretionary were the largest detractors from performance in the period. |
Ten largest holdings (%) as of May 31, 20211 | |
PTC Incorporated | 1.71 |
Syneos Health Incorporated | 1.70 |
Nuance Communications Incorporated | 1.48 |
ASGN Incorporated | 1.45 |
Element Solutions Incorporated | 1.37 |
Avantor Incorporated | 1.33 |
SS&C Technologies Holdings Incorporated | 1.32 |
International Game Technology | 1.29 |
Ciena Corporation | 1.25 |
Omnicell Incorporated | 1.23 |
1 | Each holding represents the Fund’s allocable portion of the affiliated master portfolio security. Figures represent each holding as a percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
* | This security was no longer held at the end of the reporting period. |
Sector allocation as of May 31, 20211 |
1 | Figures represent the sector allocation of the affiliated master portfolio as a percentage of the long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 12-1-2020 | Ending account value 5-31-2021 | Expenses paid during the period1,2 | Annualized net expense ratio2 | |
Class A | ||||
Actual | $1,000.00 | $1,197.17 | $ 7.07 | 1.29% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.50 | $ 6.49 | 1.29% |
Class C | ||||
Actual | $1,000.00 | $1,192.91 | $11.15 | 2.04% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.76 | $10.25 | 2.04% |
Class R6 | ||||
Actual | $1,000.00 | $1,199.84 | $ 4.72 | 0.86% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | $ 4.33 | 0.86% |
Administrator Class | ||||
Actual | $1,000.00 | $1,197.96 | $ 6.52 | 1.19% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.00 | $ 5.99 | 1.19% |
Institutional Class | ||||
Actual | $1,000.00 | $1,199.31 | $ 5.15 | 0.94% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.24 | $ 4.73 | 0.94% |
Value | |||||
Investment companies: 100.47% | |||||
Affiliated master portfolio: 100.47% | |||||
Wells Fargo Small Company Growth Portfolio | $1,349,006,660 | ||||
Total Investment companies (Cost $818,273,541) | 1,349,006,660 | ||||
Total investments in securities (Cost $818,273,541) | 100.47% | 1,349,006,660 | |||
Other assets and liabilities, net | (0.47) | (6,360,836) | |||
Total net assets | 100.00% | $1,342,645,824 |
% of ownership, beginning of period | % of ownership, end of period | Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Dividends allocated from affiliated Master Portfolio | Affiliated income allocated from affiliated Master Portfolio | Value, end of period | % of net assets | |
Wells Fargo Small Company Growth Portfolio | 98.08% | 97.88% | $376,204,644 | $243,393,279 | $6,157,985 | $124,625 | $1,349,006,660 | 100.47% |
Assets | |
Investments in affiliated Master Portfolio, at value (cost $818,273,541) | $ 1,349,006,660 |
Receivable for Fund shares sold | 2,318,075 |
Total assets | 1,351,324,735 |
Liabilities | |
Payable for Fund shares redeemed | 8,373,060 |
Administration fees payable | 118,002 |
Management fee payable | 15,397 |
Distribution fee payable | 5,898 |
Accrued expenses and other liabilities | 166,554 |
Total liabilities | 8,678,911 |
Total net assets | $1,342,645,824 |
Net assets consist of | |
Paid-in capital | $ 609,726,171 |
Total distributable earnings | 732,919,653 |
Total net assets | $1,342,645,824 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 44,249,166 |
Shares outstanding – Class A1 | 720,145 |
Net asset value per share – Class A | $61.44 |
Maximum offering price per share – Class A2 | $65.19 |
Net assets – Class C | $ 9,234,649 |
Shares outstanding – Class C1 | 182,318 |
Net asset value per share – Class C | $50.65 |
Net assets – Class R6 | $ 407,310,572 |
Shares outstanding – Class R61 | 5,994,196 |
Net asset value per share – Class R6 | $67.95 |
Net assets – Administrator Class | $ 62,091,833 |
Shares outstanding – Administrator Class1 | 955,522 |
Net asset value per share – Administrator Class | $64.98 |
Net assets – Institutional Class | $ 819,759,604 |
Shares outstanding – Institutional Class1 | 12,122,447 |
Net asset value per share – Institutional Class | $67.62 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Dividends allocated from affiliated Master Portfolio | $ 6,157,985 |
Affiliated income allocated from affiliated Master Portfolio | 124,625 |
Expenses allocated from affiliated Master Portfolio | (11,105,410) |
Total investment income | (4,822,800) |
Expenses | |
Management fee | 701,620 |
Administration fees | |
Class A | 84,736 |
Class C | 20,023 |
Class R6 | 132,697 |
Administrator Class | 78,366 |
Institutional Class | 1,105,975 |
Shareholder servicing fees | |
Class A | 100,587 |
Class C | 23,786 |
Administrator Class | 150,391 |
Distribution fee | |
Class C | 71,226 |
Custody and accounting fees | 50,193 |
Professional fees | 34,680 |
Registration fees | 102,737 |
Shareholder report expenses | 139,025 |
Trustees’ fees and expenses | 21,080 |
Other fees and expenses | 46,075 |
Total expenses | 2,863,197 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (644,241) |
Class A | (436) |
Class C | (8) |
Administrator Class | (6,028) |
Institutional Class | (85,075) |
Net expenses | 2,127,409 |
Net investment loss | (6,950,209) |
Realized and unrealized gains (losses) on investments | |
Net realized gains on securities transactions allocated from affiliated Master Portfolio | 376,204,644 |
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | 243,393,279 |
Net realized and unrealized gains (losses) on investments | 619,597,923 |
Net increase in net assets resulting from operations | $612,647,714 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |||
Operations | ||||
Net investment loss | $ (6,950,209) | $ (5,409,448) | ||
Net realized gains on investments | 376,204,644 | 107,501,645 | ||
Net change in unrealized gains (losses) on investments | 243,393,279 | (28,564,804) | ||
Net increase in net assets resulting from operations | 612,647,714 | 73,527,393 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (5,976,918) | (4,577,702) | ||
Class C | (1,628,455) | (1,219,067) | ||
Class R6 | (56,097,914) | (43,043,975) | ||
Administrator Class | (8,234,181) | (6,401,809) | ||
Institutional Class | (121,915,798) | (80,415,302) | ||
Total distributions to shareholders | (193,853,266) | (135,657,855) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 191,250 | 10,831,002 | 188,284 | 8,973,220 |
Class C | 11,378 | 530,387 | 5,111 | 206,315 |
Class R6 | 1,135,839 | 70,387,361 | 1,859,972 | 92,450,593 |
Administrator Class | 140,592 | 8,368,325 | 170,705 | 8,517,203 |
Institutional Class | 2,938,525 | 180,832,983 | 4,127,985 | 204,967,976 |
270,950,058 | 315,115,307 | |||
Reinvestment of distributions | ||||
Class A | 99,100 | 5,314,718 | 79,105 | 3,985,289 |
Class C | 34,708 | 1,539,630 | 24,921 | 1,076,603 |
Class R6 | 860,364 | 50,924,923 | 698,418 | 38,147,601 |
Administrator Class | 144,949 | 8,217,170 | 121,124 | 6,394,121 |
Institutional Class | 1,402,732 | 82,663,012 | 1,085,956 | 59,130,286 |
148,659,453 | 108,733,900 | |||
Payment for shares redeemed | ||||
Class A | (353,897) | (19,407,294) | (793,982) | (38,317,325) |
Class C | (98,121) | (4,589,705) | (122,441) | (5,026,553) |
Class R6 | (5,125,700) | (309,662,461) | (4,156,884) | (211,307,944) |
Administrator Class | (474,181) | (27,971,851) | (866,918) | (42,999,639) |
Institutional Class | (7,943,243) | (491,545,106) | (9,445,990) | (485,047,988) |
(853,176,417) | (782,699,449) | |||
Net decrease in net assets resulting from capital share transactions | (433,566,906) | (358,850,242) | ||
Total decrease in net assets | (14,772,458) | (420,980,704) | ||
Net assets | ||||
Beginning of period | 1,357,418,282 | 1,778,398,986 | ||
End of period | $1,342,645,824 | $1,357,418,282 |
Year ended May 31 | |||||
Class A | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $46.62 | $48.98 | $56.66 | $44.26 | $37.69 |
Net investment loss | (0.47) 1 | (0.34) 1 | (0.36) | (0.35) 1 | (0.28) 1 |
Net realized and unrealized gains (losses) on investments | 24.27 | 2.49 | (3.22) | 12.75 | 6.85 |
Total from investment operations | 23.80 | 2.15 | (3.58) | 12.40 | 6.57 |
Distributions to shareholders from | |||||
Net realized gains | (8.98) | (4.51) | (4.10) | 0.00 | 0.00 |
Net asset value, end of period | $61.44 | $46.62 | $48.98 | $56.66 | $44.26 |
Total return2 | 53.84% | 3.70% | (6.13)% | 28.02% | 17.43% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.33% | 1.32% | 1.31% | 1.32% | 1.33% |
Net expenses | 1.29% | 1.32% | 1.31% | 1.32% | 1.33% |
Net investment loss | (0.85)% | (0.69)% | (0.63)% | (0.71)% | (0.68)% |
Supplemental data | |||||
Portfolio turnover rate3 | 44% | 41% | 54% | 37% | 82% |
Net assets, end of period (000s omitted) | $44,249 | $36,534 | $64,182 | $76,065 | $76,087 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.79% |
Year ended May 31, 2020 | 0.78% |
Year ended May 31, 2019 | 0.78% |
Year ended May 31, 2018 | 0.78% |
Year ended May 31, 2017 | 0.78% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class C | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $39.84 | $42.75 | $50.38 | $39.65 | $34.02 |
Net investment loss | (0.75) 1 | (0.61) 1 | (0.66) 1 | (0.64) 1 | (0.54) 1 |
Net realized and unrealized gains (losses) on investments | 20.54 | 2.21 | (2.87) | 11.37 | 6.17 |
Total from investment operations | 19.79 | 1.60 | (3.53) | 10.73 | 5.63 |
Distributions to shareholders from | |||||
Net realized gains | (8.98) | (4.51) | (4.10) | 0.00 | 0.00 |
Net asset value, end of period | $50.65 | $39.84 | $42.75 | $50.38 | $39.65 |
Total return2 | 52.86% | 2.92% | (6.82)% | 27.06% | 16.55% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 2.08% | 2.07% | 2.06% | 2.07% | 2.08% |
Net expenses | 2.04% | 2.07% | 2.06% | 2.07% | 2.08% |
Net investment loss | (1.60)% | (1.44)% | (1.38)% | (1.47)% | (1.43)% |
Supplemental data | |||||
Portfolio turnover rate3 | 44% | 41% | 54% | 37% | 82% |
Net assets, end of period (000s omitted) | $9,235 | $9,336 | $13,968 | $19,979 | $22,410 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.79% |
Year ended May 31, 2020 | 0.78% |
Year ended May 31, 2019 | 0.78% |
Year ended May 31, 2018 | 0.78% |
Year ended May 31, 2017 | 0.78% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class R6 | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $50.64 | $52.65 | $60.31 | $46.91 | $39.77 |
Net investment loss | (0.17) | (0.14) 1 | (0.12) | (0.14) | (0.11) |
Net realized and unrealized gains (losses) on investments | 26.46 | 2.64 | (3.44) | 13.54 | 7.25 |
Total from investment operations | 26.29 | 2.50 | (3.56) | 13.40 | 7.14 |
Distributions to shareholders from | |||||
Net realized gains | (8.98) | (4.51) | (4.10) | 0.00 | 0.00 |
Net asset value, end of period | $67.95 | $50.64 | $52.65 | $60.31 | $46.91 |
Total return | 54.53% | 4.12% | (5.73)% | 28.59% | 17.95% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.90% | 0.90% | 0.88% | 0.89% | 0.90% |
Net expenses | 0.86% | 0.89% | 0.88% | 0.89% | 0.90% |
Net investment loss | (0.41)% | (0.27)% | (0.20)% | (0.29)% | (0.25)% |
Supplemental data | |||||
Portfolio turnover rate2 | 44% | 41% | 54% | 37% | 82% |
Net assets, end of period (000s omitted) | $407,311 | $462,050 | $564,516 | $618,523 | $418,111 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.79% |
Year ended May 31, 2020 | 0.78% |
Year ended May 31, 2019 | 0.78% |
Year ended May 31, 2018 | 0.78% |
Year ended May 31, 2017 | 0.78% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Administrator Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $48.87 | $51.10 | $58.85 | $45.91 | $39.05 |
Net investment loss | (0.44) 1 | (0.29) 1 | (0.29) 1 | (0.30) 1 | (0.24) 1 |
Net realized and unrealized gains (losses) on investments | 25.53 | 2.57 | (3.36) | 13.24 | 7.10 |
Total from investment operations | 25.09 | 2.28 | (3.65) | 12.94 | 6.86 |
Distributions to shareholders from | |||||
Net realized gains | (8.98) | (4.51) | (4.10) | 0.00 | 0.00 |
Net asset value, end of period | $64.98 | $48.87 | $51.10 | $58.85 | $45.91 |
Total return | 54.02% | 3.80% | (6.02)% | 28.19% | 17.57% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.25% | 1.24% | 1.23% | 1.24% | 1.25% |
Net expenses | 1.19% | 1.20% | 1.20% | 1.20% | 1.20% |
Net investment loss | (0.74)% | (0.57)% | (0.51)% | (0.60)% | (0.55)% |
Supplemental data | |||||
Portfolio turnover rate2 | 44% | 41% | 54% | 37% | 82% |
Net assets, end of period (000s omitted) | $62,092 | $55,917 | $87,850 | $114,429 | $130,311 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.79% |
Year ended May 31, 2020 | 0.78% |
Year ended May 31, 2019 | 0.78% |
Year ended May 31, 2018 | 0.78% |
Year ended May 31, 2017 | 0.78% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Institutional Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $50.47 | $52.51 | $60.20 | $46.85 | $39.75 |
Net investment loss | (0.29) | (0.17) 1 | (0.15) | (0.19) | (0.15) |
Net realized and unrealized gains (losses) on investments | 26.42 | 2.64 | (3.44) | 13.54 | 7.25 |
Total from investment operations | 26.13 | 2.47 | (3.59) | 13.35 | 7.10 |
Distributions to shareholders from | |||||
Net realized gains | (8.98) | (4.51) | (4.10) | 0.00 | 0.00 |
Net asset value, end of period | $67.62 | $50.47 | $52.51 | $60.20 | $46.85 |
Total return | 54.39% | 4.07% | (5.77)% | 28.50% | 17.86% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.00% | 1.00% | 0.98% | 0.99% | 1.00% |
Net expenses | 0.94% | 0.95% | 0.95% | 0.95% | 0.95% |
Net investment loss | (0.49)% | (0.32)% | (0.26)% | (0.35)% | (0.31)% |
Supplemental data | |||||
Portfolio turnover rate2 | 44% | 41% | 54% | 37% | 82% |
Net assets, end of period (000s omitted) | $819,760 | $793,581 | $1,047,883 | $1,169,555 | $1,014,847 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.79% |
Year ended May 31, 2020 | 0.78% |
Year ended May 31, 2019 | 0.78% |
Year ended May 31, 2018 | 0.78% |
Year ended May 31, 2017 | 0.78% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Gross unrealized gains | $530,733,119 |
Gross unrealized losses | (11,400,291) |
Net unrealized gains | $519,332,828 |
Affiliated Master Portfolio | Investment objective | Fair value of affiliated Master Portfolio |
Wells Fargo Small Company Growth Portfolio | Seek long-term capital appreciation | $1,349,006,660 |
Average daily net assets | Management fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Class-level administration fee | |
Class A | 0.21% |
Class C | 0.21 |
Class R6 | 0.03 |
Administrator Class | 0.13 |
Institutional Class | 0.13 |
Expense ratio caps | |
Class A | 1.29% |
Class C | 2.04 |
Class R6 | 0.86 |
Administrator Class | 1.19 |
Institutional Class | 0.94 |
Year ended May 31 | ||
2021 | 2020 | |
Ordinary income | $ 46,221,198 | $ 12,251,811 |
Long-term capital gain | 147,632,068 | 123,406,044 |
Undistributed ordinary income | Undistributed long-term gain | Unrealized gains |
$34,542,800 | $179,044,025 | $519,332,828 |
Wells Fargo Funds Trust:
Shares | Value | ||||
Common stocks: 96.91% | |||||
Communication services: 1.54% | |||||
Entertainment: 1.54% | |||||
Lions Gate Entertainment Class B † | 466,678 | $ 8,110,864 | |||
Zynga Incorporated Class A † | 1,206,308 | 13,076,379 | |||
21,187,243 | |||||
Consumer discretionary: 9.32% | |||||
Auto components: 0.77% | |||||
Fox Factory Holding Corporation † | 68,249 | 10,611,355 | |||
Hotels, restaurants & leisure: 1.93% | |||||
International Game Technology † | 730,126 | 17,712,857 | |||
Papa John's International Incorporated | 94,893 | 8,915,197 | |||
26,628,054 | |||||
Household durables: 0.87% | |||||
Skyline Champion Corporation † | 236,816 | 11,994,730 | |||
Leisure products: 1.64% | |||||
Callaway Golf Company | 254,320 | 9,389,494 | |||
Hayward Holdings Incorporated †« | 519,010 | 13,219,185 | |||
22,608,679 | |||||
Multiline retail: 0.75% | |||||
Ollie's Bargain Outlet Holdings Incorporated † | 119,490 | 10,328,716 | |||
Specialty retail: 3.36% | |||||
American Eagle Outfitters Incorporated | 297,960 | 10,556,723 | |||
Burlington Stores Incorporated † | 34,760 | 11,240,341 | |||
Five Below Incorporated † | 45,724 | 8,418,703 | |||
Monro Muffler Brake Incorporated | 102,714 | 6,403,191 | |||
Sleep Number Corporation † | 86,918 | 9,690,488 | |||
46,309,446 | |||||
Consumer staples: 1.99% | |||||
Food & staples retailing: 1.03% | |||||
Performance Food Group Company † | 282,477 | 14,160,572 | |||
Personal products: 0.96% | |||||
e.l.f. Beauty Incorporated † | 471,947 | 13,214,516 | |||
Financials: 9.55% | |||||
Banks: 0.89% | |||||
Triumph Bancorp Incorporated † | 146,923 | 12,304,801 | |||
Capital markets: 4.29% | |||||
Evercore Partners Incorporated Class A | 93,543 | 13,644,182 | |||
Focus Financial Partners Class A † | 272,118 | 13,793,661 | |||
Open Lending Corporation Class A † | 173,769 | 6,704,008 | |||
Stifel Financial Corporation | 216,559 | 15,003,208 | |||
VIRTU Financial Incorporated Class A | 326,619 | 9,945,549 | |||
59,090,608 |
Shares | Value | ||||
Insurance: 3.41% | |||||
Argo Group International Holdings Limited | 154,642 | $ 8,294,997 | |||
BRP Group Incorporated Class A † | 413,921 | 10,174,178 | |||
Goosehead Insurance Incorporated Class A | 155,647 | 13,987,996 | |||
Palomar Holdings Incorporated † | 199,144 | 14,537,512 | |||
46,994,683 | |||||
Thrifts & mortgage finance: 0.96% | |||||
Essent Group Limited | 275,543 | 13,181,977 | |||
Health care: 26.97% | |||||
Biotechnology: 4.48% | |||||
Achilles Therapeutics PL ADR †« | 214,873 | 2,713,846 | |||
Amicus Therapeutics Incorporated † | 485,974 | 4,500,119 | |||
Arena Pharmaceuticals Incorporated † | 93,667 | 5,723,990 | |||
Black Diamond Therapeutics Incorporated † | 117,490 | 1,541,469 | |||
Blueprint Medicines Corporation † | 96,554 | 8,820,208 | |||
Constellation Pharmaceutical † | 177,575 | 3,517,761 | |||
Cytokinetics Incorporated † | 284,827 | 6,217,773 | |||
Emergent BioSolutions Incorporated † | 99,545 | 6,037,404 | |||
Immunovant Incorporated † | 196,743 | 2,982,624 | |||
Ionis Pharmaceuticals Incorporated † | 109,355 | 4,073,474 | |||
Iovance Biotherapeutics Incorporated † | 166,691 | 3,095,452 | |||
Mirati Therapeutics Incorporated † | 43,932 | 6,947,846 | |||
Turning Point Therapeutics Incorporated † | 83,176 | 5,504,588 | |||
61,676,554 | |||||
Health care equipment & supplies: 6.55% | |||||
Atricure Incorporated † | 198,559 | 14,838,314 | |||
Axonics Modulation Technologies Incorporated † | 265,526 | 15,318,195 | |||
Cardiovascular Systems Incorporated † | 240,584 | 9,428,487 | |||
Cerus Corporation † | 1,031,634 | 5,973,161 | |||
Conmed Corporation | 103,637 | 14,269,779 | |||
Novocure Limited † | 37,291 | 7,607,364 | |||
Silk Road Medical Incorporated † | 260,178 | 12,639,447 | |||
Tactile Systems Technology Class I † | 190,007 | 10,216,676 | |||
90,291,423 | |||||
Health care providers & services: 4.70% | |||||
AMN Healthcare Services Incorporated † | 145,664 | 12,920,397 | |||
HealthEquity Incorporated † | 127,876 | 10,629,053 | |||
Oak Street Health Incorporated † | 190,065 | 11,478,025 | |||
PetIQ Incorporated † | 277,739 | 11,415,073 | |||
Privia Health Group Incorporated † | 287,129 | 9,397,732 | |||
U.S. Physical Therapy Incorporated | 76,513 | 8,903,049 | |||
64,743,329 | |||||
Health care technology: 4.17% | |||||
Allscripts Healthcare Solutions Incorporated † | 621,449 | 10,806,998 | |||
Evolent Health Incorporated Class A † | 474,778 | 9,224,937 | |||
Omnicell Incorporated † | 121,054 | 16,826,506 | |||
OptimizeRx Corporation † | 150,575 | 7,396,244 | |||
Phreesia Incorporated † | 169,689 | 8,399,606 | |||
Tabula Rasa Healthcare Incorporated †« | 110,655 | 4,781,403 | |||
57,435,694 |
Shares | Value | ||||
Life sciences tools & services: 5.72% | |||||
Adaptive Biotechnologies Corporation † | 198,705 | $ 7,513,036 | |||
Avantor Incorporated † | 567,676 | 18,250,783 | |||
ICON plc ADR † | 72,526 | 16,228,418 | |||
PRA Health Sciences Incorporated † | 79,001 | 13,502,851 | |||
Syneos Health Incorporated † | 265,989 | 23,380,433 | |||
78,875,521 | |||||
Pharmaceuticals: 1.35% | |||||
Axsome Therapeutics Incorporated † | 93,992 | 5,706,254 | |||
Pacira Pharmaceuticals Incorporated † | 124,456 | 7,550,746 | |||
Theravance Biopharma Incorporated † | 310,369 | 5,363,176 | |||
18,620,176 | |||||
Industrials: 19.70% | |||||
Aerospace & defense: 1.40% | |||||
Kratos Defense & Security Solutions Incorporated † | 308,262 | 7,709,633 | |||
Mercury Systems Incorporated † | 177,218 | 11,598,918 | |||
19,308,551 | |||||
Airlines: 0.79% | |||||
Sun Country Airlines Holding † | 291,569 | 10,846,367 | |||
Building products: 3.85% | |||||
A.O. Smith Corporation | 72,768 | 5,171,622 | |||
Advanced Drainage Systems Incorporated | 109,623 | 12,433,441 | |||
Masonite International Corporation † | 119,205 | 14,250,958 | |||
PGT Incorporated † | 344,148 | 8,314,616 | |||
The AZEK Company Incorporated † | 295,742 | 12,873,649 | |||
53,044,286 | |||||
Commercial services & supplies: 1.07% | |||||
IAA Incorporated † | 148,974 | 8,487,049 | |||
KAR Auction Services Incorporated † | 352,566 | 6,325,034 | |||
14,812,083 | |||||
Construction & engineering: 0.47% | |||||
Dycom Industries Incorporated † | 86,726 | 6,497,512 | |||
Electrical equipment: 1.63% | |||||
Atkore International Incorporated † | 125,382 | 9,679,490 | |||
Generac Holdings Incorporated † | 39,054 | 12,837,831 | |||
22,517,321 | |||||
Machinery: 3.31% | |||||
Chart Industries Incorporated † | 94,723 | 13,823,875 | |||
SPX Corporation † | 258,752 | 16,205,638 | |||
Wabash National Corporation | 446,225 | 7,117,289 | |||
Woodward Incorporated | 66,406 | 8,445,515 | |||
45,592,317 | |||||
Professional services: 5.14% | |||||
ASGN Incorporated † | 193,448 | 19,942,554 | |||
Clarivate plc † | 436,329 | 13,107,323 | |||
FTI Consulting Incorporated † | 68,506 | 9,423,000 |
Shares | Value | ||||
Professional services (continued) | |||||
ICF International Incorporated | 166,083 | $ 14,598,696 | |||
KBR Incorporated | 336,561 | 13,711,495 | |||
70,783,068 | |||||
Road & rail: 1.30% | |||||
Knight-Swift Transportation Holdings Incorporated | 189,720 | 9,055,336 | |||
Schneider National Incorporated Class B | 362,058 | 8,866,800 | |||
17,922,136 | |||||
Trading companies & distributors: 0.74% | |||||
Boise Cascade Company | 154,931 | 10,223,897 | |||
Information technology: 23.16% | |||||
Communications equipment: 2.03% | |||||
Ciena Corporation † | 323,075 | 17,080,975 | |||
Lumentum Holdings Incorporated † | 133,963 | 10,900,569 | |||
27,981,544 | |||||
Electronic equipment, instruments & components: 1.50% | |||||
Itron Incorporated † | 114,609 | 10,927,968 | |||
Par Technology Corporation † | 146,041 | 9,778,905 | |||
20,706,873 | |||||
IT services: 3.52% | |||||
Black Knight Incorporated † | 188,276 | 13,817,576 | |||
EVO Payments Incorporated Class A † | 334,493 | 9,579,880 | |||
LiveRamp Holdings Incorporated † | 227,581 | 11,433,669 | |||
Verra Mobility Corporation † | 385,066 | 5,487,191 | |||
WEX Incorporated † | 41,652 | 8,160,043 | |||
48,478,359 | |||||
Semiconductors & semiconductor equipment: 3.59% | |||||
CMC Materials Incorporated | 55,618 | 8,583,526 | |||
FormFactor Incorporated † | 178,261 | 6,283,700 | |||
Onto Innovation Incorporated † | 150,251 | 10,783,514 | |||
Silicon Motion Technology Corporation ADR | 171,573 | 11,318,671 | |||
Teradyne Incorporated | 94,453 | 12,500,855 | |||
49,470,266 | |||||
Software: 12.52% | |||||
Box Incorporated Class A † | 610,887 | 14,239,776 | |||
Cloudera Incorporated † | 639,378 | 8,222,401 | |||
Cornerstone OnDemand Incorporated † | 216,265 | 9,509,172 | |||
CyberArk Software Limited † | 97,850 | 12,381,939 | |||
Doubleverify Holdings Incorporated † | 145,938 | 5,383,653 | |||
Mimecast Limited † | 220,612 | 11,028,394 | |||
Nuance Communications Incorporated † | 383,323 | 20,277,787 | |||
Pagerduty Incorporated † | 341,711 | 13,890,552 | |||
PTC Incorporated † | 174,503 | 23,407,832 | |||
Sprout Social Incorporated Class A † | 142,177 | 9,869,927 | |||
SS&C Technologies Holdings Incorporated | 245,646 | 18,145,870 | |||
Telos Corporation † | 188,448 | 6,196,170 |
Shares | Value | ||||
Software (continued) | |||||
Zendesk Incorporated † | 74,283 | $ 10,151,515 | |||
Zuora Incorporated † | 639,370 | 9,891,054 | |||
172,596,042 | |||||
Materials: 2.90% | |||||
Chemicals: 2.16% | |||||
Element Solutions Incorporated | 804,038 | 18,806,449 | |||
Orion Engineered Carbons SA † | 546,041 | 11,051,870 | |||
29,858,319 | |||||
Metals & mining: 0.74% | |||||
Steel Dynamics Incorporated | 162,730 | 10,159,234 | |||
Real estate: 1.78% | |||||
Equity REITs: 1.34% | |||||
QTS Realty Trust Incorporated Class A | 140,721 | 8,918,897 | |||
Ryman Hospitality Properties Incorporated † | 127,133 | 9,523,533 | |||
18,442,430 | |||||
Real estate management & development: 0.44% | |||||
Compass Incorporated Class A †« | 456,486 | 6,135,172 | |||
Total Common stocks (Cost $746,109,202) | 1,335,633,854 |
Expiration date | |||||
Rights: 0.00% | |||||
Communication services: 0.00% | |||||
Media: 0.00% | |||||
Media General Incorporated ♦† | 12-31-2021 | 347,897 | 0 | ||
Total Rights (Cost $0) | 0 |
Yield | |||||
Short-term investments: 4.51% | |||||
Investment companies: 4.51% | |||||
Securities Lending Cash Investments LLC ♠∩∞ | 0.03% | 21,935,055 | 21,935,055 | ||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 40,275,255 | 40,275,255 | ||
Total Short-term investments (Cost $62,210,310) | 62,210,310 | ||||
Total investments in securities (Cost $808,319,512) | 101.42% | 1,397,844,164 | |||
Other assets and liabilities, net | (1.42) | (19,553,244) | |||
Total net assets | 100.00% | $1,378,290,920 |
† | Non-income-earning security |
♦ | The security is fair valued in accordance with procedures approved by the Board of Trustees. |
« | All or a portion of this security is on loan. |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | 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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $168,640,715 | $(146,705,660) | $0 | $0 | $ 21,935,055 | 21,935,055 | $ 7,586# | ||||
Wells Fargo Government Money Market Fund Select Class | 39,427,080 | 679,360,500 | (678,512,325) | 0 | 0 | 40,275,255 | 40,275,255 | 17,281 | ||||
$0 | $0 | $62,210,310 | 4.51% | $24,867 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $21,640,172 of securities loaned), at value (cost $746,109,202) | $ 1,335,633,854 |
Investments in affiliated securites, at value (cost $62,210,310) | 62,210,310 |
Receivable for investments sold | 3,252,803 |
Receivable for dividends | 435,628 |
Receivable for securities lending income, net | 21,431 |
Prepaid expenses and other assets | 53,797 |
Total assets | 1,401,607,823 |
Liabilities | |
Payable upon receipt of securities loaned | 21,935,055 |
Advisory fee payable | 912,918 |
Payable for investments purchased | 468,930 |
Total liabilities | 23,316,903 |
Total net assets | $1,378,290,920 |
Investment income | |
Dividends | $ 6,282,433 |
Income from affiliated securities | 127,217 |
Total investment income | 6,409,650 |
Expenses | |
Advisory fee | 11,109,597 |
Custody and accounting fees | 94,523 |
Professional fees | 46,381 |
Interest holder report expenses | 10,910 |
Trustees’ fees and expenses | 19,191 |
Other fees and expenses | 49,510 |
Total expenses | 11,330,112 |
Net investment loss | (4,920,462) |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 383,642,418 |
Net change in unrealized gains (losses) on investments | 248,333,561 |
Net realized and unrealized gains (losses) on investments | 631,975,979 |
Net increase in net assets resulting from operations | $627,055,517 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment loss | $ (4,920,462) | $ (2,562,794) |
Net realized gains on investments | 383,642,418 | 108,634,846 |
Net change in unrealized gains (losses) on investments | 248,333,561 | (27,501,699) |
Net increase in net assets resulting from operations | 627,055,517 | 78,570,353 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 27,183,074 | 51,028,631 |
Withdrawals | (661,328,291) | (551,302,982) |
Net decrease in net assets resulting from capital transactions | (634,145,217) | (500,274,351) |
Total decrease in net assets | (7,089,700) | (421,703,998) |
Net assets | ||
Beginning of period | 1,385,380,620 | 1,807,084,618 |
End of period | $1,378,290,920 | $1,385,380,620 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 54.64% | 4.08% | (5.64)% | 28.74% | 18.15% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.79% | 0.78% | 0.78% | 0.78% | 0.79% |
Net expenses | 0.79% | 0.78% | 0.78% | 0.78% | 0.79% |
Net investment loss | (0.34)% | (0.16)% | (0.09)% | (0.18)% | (0.14)% |
Supplemental data | |||||
Portfolio turnover rate | 44% | 41% | 54% | 37% | 82% |
Gross unrealized gains | $609,113,977 |
Gross unrealized losses | (38,369,181) |
Net unrealized gains | $570,744,796 |
■ | 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 | $ 21,187,243 | $0 | $0 | $ 21,187,243 |
Consumer discretionary | 128,480,980 | 0 | 0 | 128,480,980 |
Consumer staples | 27,375,088 | 0 | 0 | 27,375,088 |
Financials | 131,572,069 | 0 | 0 | 131,572,069 |
Health care | 371,642,697 | 0 | 0 | 371,642,697 |
Industrials | 271,547,538 | 0 | 0 | 271,547,538 |
Information technology | 319,233,084 | 0 | 0 | 319,233,084 |
Materials | 40,017,553 | 0 | 0 | 40,017,553 |
Real estate | 24,577,602 | 0 | 0 | 24,577,602 |
Rights | ||||
Communication services | 0 | 0 | 0 | 0 |
Short-term investments | ||||
Investment companies | 62,210,310 | 0 | 0 | 62,210,310 |
Total assets | $1,397,844,164 | $0 | $0 | $1,397,844,164 |
Average daily net assets | Advisory fee |
First $500 million | 0.800% |
Next $500 million | 0.775 |
Next $1 billion | 0.750 |
Next $1 billion | 0.725 |
Next $1 billion | 0.700 |
Over $4 billion | 0.680 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Barclays Capital Incorporated | $13,079,583 | $(13,079,583) | $ 0 |
BNP Paribas Securities Corporation | 3,551,862 | (3,514,050) | 37,812 |
Citigroup Global Markets Incorporated | 4,020,786 | (4,020,786) | 0 |
Credit Suisse Securities (USA) LLC | 966,336 | (966,336) | 0 |
Nomura Securities International Incorporated | 21,605 | (21,375) | 230 |
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. |
Funds Trust | Master Trust |
Wells Fargo C&B Large Cap Value Fund | Wells Fargo C&B Large Cap Value Portfolio |
Wells Fargo Core Bond Fund | Wells Fargo Core Bond Portfolio |
Wells Fargo Emerging Growth Fund | Wells Fargo Emerging Growth Portfolio |
Wells Fargo Index Fund | Wells Fargo Index Portfolio |
Wells Fargo Real Return Fund | Wells Fargo Real Return Portfolio |
Wells Fargo Small Company Growth Fund | Wells Fargo Small Company Growth Portfolio |
Wells Fargo Small Company Value Fund | Wells Fargo Small Company Value Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC, as the distributor of Fund shares. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Funds and Master Portfolios. |
■ | Impact of the Transaction on the Funds and their Shareholders and the Master Portfolios and their Interest Holders: (i) information regarding anticipated benefits to the Funds and the Master Portfolios as a result of the Transaction; (ii) a commitment that the Funds and Master Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers and the Unaffiliated Sub-Advisers intend to continue to manage the Funds in a manner consistent with each Fund’s or Master Portfolio’s current investment objectives and principal investments strategies, as applicable; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds or the Master Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
A285/AR285 05-21
Small Company Value Fund
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Wells Fargo Small Company Value Portfolio | |
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Financial statements | |
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Barclays Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved. |
“The passage of the massive domestic stimulus bill highlighted March activity, leading to increased forecasts for U.S. growth in 2021.” |
President
Wells Fargo Funds
Investment objective | The Fund seeks long-term capital appreciation. |
Manager | Wells Fargo Funds Management, LLC |
Portfolio managers | Jeff Goverman, Garth R. Nisbet, CFA®‡, Craig Pieringer, CFA®‡ |
Average annual total returns (%) as of May 31, 2021 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (SCVAX) | 1-31-2002 | 67.58 | 12.03 | 9.64 | 77.80 | 13.36 | 10.29 | 1.33 | 1.15 | ||
Class C (SCVFX) | 8-30-2002 | 75.80 | 12.56 | 9.48 | 76.80 | 12.56 | 9.48 | 2.08 | 1.90 | ||
Class R6 (SCVJX)3 | 10-31-2016 | – | – | – | 78.63 | 13.82 | 10.65 | 0.90 | 0.75 | ||
Administrator Class (SCVIX) | 1-31-2002 | – | – | – | 77.91 | 13.49 | 10.46 | 1.25 | 1.05 | ||
Institutional Class (SCVNX) | 7-30-2010 | – | – | – | 78.39 | 13.72 | 10.69 | 1.00 | 0.85 | ||
Russell 2000® Value Index4 | – | – | – | – | 79.38 | 13.83 | 10.64 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through September 30, 2021, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 1.15% for Class A, 1.90% for Class C, 0.75% for Class R6, 1.05% for Administrator Class, and 0.85% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had been included, returns for the Class R6 shares would be higher. |
4 | The Russell 2000® Value Index measures the performance of those Russell 2000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index. |
* | The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Russell 2000® Value Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 5.75%. |
■ | The Fund underperformed its benchmark, the Russell 2000® Value Index, for the 12-month period that ended May 31, 2021. |
■ | The consumer discretionary and materials sectors detracted from relative performance. Within consumer discretionary, underperformance in hotels, restaurants, and leisure stocks were the main detractors from performance, while investments in paper and forest products detracted from performance in the materials sector. |
■ | The financials and utilities sectors were the primary contributors to relative performance. Within the financials sector, the Fund’s bank stocks contributed to relative performance, while an underweight position in the underperforming utilities sector also contributed to performance. |
Ten largest holdings (%) as of May 31, 20211 | |
Schnitzer Steel Industries Incorporated Class A | 1.38 |
Synovus Financial Corporation | 1.36 |
Atlantic Union Bankshares Corporation | 1.33 |
Ameris Bancorp | 1.31 |
American Eagle Outfitters Incorporated | 1.19 |
Minerals Technologies Incorporated | 1.18 |
MYR Group Incorporated | 1.16 |
Herman Miller Incorporated | 1.16 |
Customers Bancorp Incorporated | 1.14 |
Piper Jaffray Companies Incorporated | 1.12 |
1 | Each holding represents the Fund’s allocable portion of the affiliated master portfolio security. Figures represent each holding as a percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
* | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
** | This security was no longer held at the end of the reporting period. |
Sector allocation as of May 31, 20211 |
1 | Figures represent the sector allocation of the affiliated master portfolio as a percentage of the long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 12-1-2020 | Ending account value 5-31-2021 | Expenses paid during the period1,2 | Annualized net expense ratio2 | |
Class A | ||||
Actual | $1,000.00 | $1,399.96 | $ 6.82 | 1.14% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.25 | $ 5.74 | 1.14% |
Class C | ||||
Actual | $1,000.00 | $1,394.62 | $11.34 | 1.90% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.46 | $ 9.55 | 1.90% |
Class R6 | ||||
Actual | $1,000.00 | $1,402.21 | $ 4.49 | 0.75% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.19 | $ 3.78 | 0.75% |
Administrator Class | ||||
Actual | $1,000.00 | $1,399.88 | $ 6.28 | 1.05% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.70 | $ 5.29 | 1.05% |
Institutional Class | ||||
Actual | $1,000.00 | $1,401.45 | $ 5.09 | 0.85% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.69 | $ 4.28 | 0.85% |
Value | |||||
Investment companies: 99.68% | |||||
Affiliated master portfolio: 99.68% | |||||
Wells Fargo Small Company Value Portfolio | $529,548,192 | ||||
Total Investment companies (Cost $357,102,515) | 529,548,192 | ||||
Total investments in securities (Cost $357,102,515) | 99.68% | 529,548,192 | |||
Other assets and liabilities, net | 0.32 | 1,704,556 | |||
Total net assets | 100.00% | $531,252,748 |
% of ownership, beginning of period | % of ownership, end of period | Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Dividends allocated from affiliated Master Portfolio | Affiliated income allocated from affiliated Master Portfolio | Value, end of period | % of net assets | |
Wells Fargo Small Company Value Portfolio | 80.34% | 85.41% | $29,216,420 | $204,433,580 | $5,852,151 | $36,076 | $529,548,192 | 99.68% |
Assets | |
Investments in affiliated Master Portfolio, at value (cost $357,102,515) | $ 529,548,192 |
Receivable for Fund shares sold | 1,923,615 |
Receivable from manager | 49,093 |
Prepaid expenses and other assets | 205,161 |
Total assets | 531,726,061 |
Liabilities | |
Payable for Fund shares redeemed | 256,541 |
Shareholder servicing fees payable | 94,726 |
Administration fees payable | 85,430 |
Distribution fee payable | 2,110 |
Trustees’ fees and expenses payable | 269 |
Accrued expenses and other liabilities | 34,237 |
Total liabilities | 473,313 |
Total net assets | $531,252,748 |
Net assets consist of | |
Paid-in capital | $ 378,799,454 |
Total distributable earnings | 152,453,294 |
Total net assets | $531,252,748 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 414,012,855 |
Shares outstanding – Class A1 | 11,155,001 |
Net asset value per share – Class A | $37.11 |
Maximum offering price per share – Class A2 | $39.37 |
Net assets – Class C | $ 3,387,845 |
Shares outstanding – Class C1 | 103,648 |
Net asset value per share – Class C | $32.69 |
Net assets – Class R6 | $ 9,007,412 |
Shares outstanding – Class R61 | 235,025 |
Net asset value per share – Class R6 | $38.33 |
Net assets – Administrator Class | $ 32,721,453 |
Shares outstanding – Administrator Class1 | 861,465 |
Net asset value per share – Administrator Class | $37.98 |
Net assets – Institutional Class | $ 72,123,183 |
Shares outstanding – Institutional Class1 | 1,891,732 |
Net asset value per share – Institutional Class | $38.13 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $5,681) | $ 5,852,151 |
Affiliated income allocated from affiliated Master Portfolio | 36,076 |
Expenses allocated from affiliated Master Portfolio | (3,347,515) |
Waivers allocated from affiliated Master Portfolio | 346,045 |
Total investment income | 2,886,757 |
Expenses | |
Management fee | 202,923 |
Administration fees | |
Class A | 683,755 |
Class C | 7,265 |
Class R6 | 2,211 |
Administrator Class | 29,222 |
Institutional Class | 61,022 |
Shareholder servicing fees | |
Class A | 812,810 |
Class C | 8,600 |
Administrator Class | 56,091 |
Distribution fee | |
Class C | 25,766 |
Custody and accounting fees | 10,977 |
Professional fees | 37,877 |
Registration fees | 108,936 |
Shareholder report expenses | 57,777 |
Trustees’ fees and expenses | 21,080 |
Other fees and expenses | 46,498 |
Total expenses | 2,172,810 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (579,503) |
Class A | (130,239) |
Class C | (1,038) |
Administrator Class | (11,239) |
Net expenses | 1,450,791 |
Net investment income | 1,435,966 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on securities transactions allocated from affiliated Master Portfolio | 29,216,420 |
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | 204,433,580 |
Net realized and unrealized gains (losses) on investments | 233,650,000 |
Net increase in net assets resulting from operations | $235,085,966 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |||
Operations | ||||
Net investment income | $ 1,435,966 | $ 2,260,170 | ||
Net realized gains (losses) on investments | 29,216,420 | (36,100,494) | ||
Net change in unrealized gains (losses) on investments | 204,433,580 | (40,806,657) | ||
Net increase (decrease) in net assets resulting from operations | 235,085,966 | (74,646,981) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (1,293,657) | (1,775,108) | ||
Class C | 0 | (20,482) | ||
Class R6 | (57,563) | (57,654) | ||
Administrator Class | (111,552) | (132,559) | ||
Institutional Class | (291,793) | (389,037) | ||
Total distributions to shareholders | (1,754,565) | (2,374,840) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 941,668 | 26,856,731 | 660,800 | 16,227,538 |
Class C | 13,195 | 384,992 | 9,961 | 227,898 |
Class R6 | 191,063 | 5,140,970 | 64,570 | 1,642,037 |
Administrator Class | 324,601 | 9,607,503 | 106,132 | 2,470,380 |
Institutional Class | 788,867 | 24,838,642 | 309,975 | 7,352,769 |
66,828,838 | 27,920,622 | |||
Reinvestment of distributions | ||||
Class A | 44,468 | 1,263,434 | 61,791 | 1,738,175 |
Class C | 0 | 0 | 745 | 18,543 |
Class R6 | 1,957 | 57,318 | 1,984 | 57,454 |
Administrator Class | 3,678 | 106,887 | 4,358 | 125,424 |
Institutional Class | 9,851 | 287,148 | 13,253 | 382,205 |
1,714,787 | 2,321,801 | |||
Payment for shares redeemed | ||||
Class A | (2,387,672) | (63,689,654) | (1,647,283) | (40,312,932) |
Class C | (149,932) | (3,213,714) | (150,237) | (3,268,340) |
Class R6 | (258,998) | (7,165,322) | (949,988) | (24,922,236) |
Administrator Class | (194,898) | (5,830,131) | (185,643) | (4,423,218) |
Institutional Class | (472,719) | (13,399,558) | (876,293) | (21,210,870) |
(93,298,379) | (94,137,596) | |||
Net asset value of shares issued in acquisition | ||||
Class A | 0 | 0 | 12,989,900 | 337,017,442 |
Class C | 0 | 0 | 328,733 | 7,545,278 |
Class R6 | 0 | 0 | 1,155,117 | 30,863,882 |
Administrator Class | 0 | 0 | 242,559 | 6,444,855 |
Institutional Class | 0 | 0 | 786,790 | 20,969,975 |
0 | 402,841,432 | |||
Net increase (decrease) in net assets resulting from capital share transactions | (24,754,754) | 338,946,259 | ||
Total increase in net assets | 208,576,647 | 261,924,438 | ||
Net assets | ||||
Beginning of period | 322,676,101 | 60,751,663 | ||
End of period | $531,252,748 | $322,676,101 |
Year ended May 31 | |||||
Class A | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $20.91 | $24.22 | $28.60 | $24.01 | $20.22 |
Net investment income | 0.09 | 0.18 1 | 0.09 | 0.09 | 0.05 |
Net realized and unrealized gains (losses) on investments | 16.22 | (3.35) | (4.31) | 4.58 | 3.75 |
Total from investment operations | 16.31 | (3.17) | (4.22) | 4.67 | 3.80 |
Distributions to shareholders from | |||||
Net investment income | (0.11) | (0.14) | (0.16) | (0.08) | (0.01) |
Net asset value, end of period | $37.11 | $20.91 | $24.22 | $28.60 | $24.01 |
Total return2 | 77.80% | (13.25)% | (14.72)% | 19.48% | 18.86% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.32% | 1.32% | 1.49% | 1.47% | 1.47% |
Net expenses | 1.14% | 1.13% | 1.15% | 1.33% | 1.35% |
Net investment income | 0.33% | 0.74% | 0.38% | 0.46% | 0.20% |
Supplemental data | |||||
Portfolio turnover rate3 | 62% | 78% | 168% | 144% | 110% |
Net assets, end of period (000s omitted) | $414,013 | $262,574 | $11,902 | $15,665 | $16,280 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.74% |
Year ended May 31, 2020 | 0.74% |
Year ended May 31, 2019 | 0.75% |
Year ended May 31, 2018 | 0.84% |
Year ended May 31, 2017 | 0.84% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class C | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $18.43 | $21.48 | $25.38 | $21.40 | $18.15 |
Net investment income (loss) | (0.07) 1 | 0.01 1 | (0.08) 1 | (0.07) 1 | (0.11) 1 |
Net realized and unrealized gains (losses) on investments | 14.33 | (3.00) | (3.82) | 4.05 | 3.36 |
Total from investment operations | 14.26 | (2.99) | (3.90) | 3.98 | 3.25 |
Distributions to shareholders from | |||||
Net investment income | 0.00 | (0.06) | 0.00 | 0.00 | 0.00 |
Net asset value, end of period | $32.69 | $18.43 | $21.48 | $25.38 | $21.40 |
Total return2 | 76.80% | (13.98)% | (15.37)% | 18.60% | 17.97% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 2.06% | 2.08% | 2.22% | 2.21% | 2.22% |
Net expenses | 1.90% | 1.90% | 1.90% | 2.08% | 2.10% |
Net investment income (loss) | (0.29)% | 0.02% | (0.35)% | (0.29)% | (0.54)% |
Supplemental data | |||||
Portfolio turnover rate3 | 62% | 78% | 168% | 144% | 110% |
Net assets, end of period (000s omitted) | $3,388 | $4,431 | $1,099 | $1,980 | $1,962 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.74% |
Year ended May 31, 2020 | 0.74% |
Year ended May 31, 2019 | 0.75% |
Year ended May 31, 2018 | 0.84% |
Year ended May 31, 2017 | 0.84% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class R6 | 2021 | 2020 | 2019 | 2018 | 2017 1 |
Net asset value, beginning of period | $21.56 | $24.92 | $29.44 | $24.69 | $21.37 |
Net investment income | 0.20 | 0.31 | 0.21 2 | 0.29 2 | 0.08 |
Net realized and unrealized gains (losses) on investments | 16.78 | (3.50) | (4.45) | 4.65 | 3.33 |
Total from investment operations | 16.98 | (3.19) | (4.24) | 4.94 | 3.41 |
Distributions to shareholders from | |||||
Net investment income | (0.21) | (0.17) | (0.28) | (0.19) | (0.09) |
Net asset value, end of period | $38.33 | $21.56 | $24.92 | $29.44 | $24.69 |
Total return3 | 78.63% | (12.97)% | (14.38)% | 20.03% | 15.95% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.89% | 0.90% | 1.09% | 1.03% | 1.02% |
Net expenses | 0.75% | 0.75% | 0.75% | 0.88% | 0.90% |
Net investment income | 0.73% | 1.22% | 0.77% | 1.04% | 0.58% |
Supplemental data | |||||
Portfolio turnover rate4 | 62% | 78% | 168% | 144% | 110% |
Net assets, end of period (000s omitted) | $9,007 | $6,491 | $731 | $322 | $29 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.74% |
Year ended May 31, 2020 | 0.74% |
Year ended May 31, 2019 | 0.75% |
Year ended May 31, 2018 | 0.84% |
Year ended May 31, 2017 | 0.83% |
1 | For the period from October 31, 2016 (commencement of class operations) to May 31, 2017 |
2 | Calculated based upon average shares outstanding |
3 | Returns for periods of less than one year are not annualized. |
4 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Administrator Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $21.40 | $24.80 | $29.23 | $24.53 | $20.66 |
Net investment income | 0.10 1 | 0.21 1 | 0.14 1 | 0.20 | 0.08 1 |
Net realized and unrealized gains (losses) on investments | 16.62 | (3.43) | (4.43) | 4.63 | 3.83 |
Total from investment operations | 16.72 | (3.22) | (4.29) | 4.83 | 3.91 |
Distributions to shareholders from | |||||
Net investment income | (0.14) | (0.18) | (0.14) | (0.13) | (0.04) |
Net asset value, end of period | $37.98 | $21.40 | $24.80 | $29.23 | $24.53 |
Total return | 77.91% | (13.18)% | (14.65)% | 19.71% | 19.00% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.24% | 1.32% | 1.35% | 1.38% | 1.39% |
Net expenses | 1.05% | 1.05% | 1.05% | 1.19% | 1.20% |
Net investment income | 0.35% | 0.82% | 0.49% | 0.59% | 0.36% |
Supplemental data | |||||
Portfolio turnover rate2 | 62% | 78% | 168% | 144% | 110% |
Net assets, end of period (000s omitted) | $32,721 | $15,581 | $13,905 | $60,379 | $57,591 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.74% |
Year ended May 31, 2020 | 0.74% |
Year ended May 31, 2019 | 0.75% |
Year ended May 31, 2018 | 0.84% |
Year ended May 31, 2017 | 0.84% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Institutional Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $21.46 | $24.86 | $29.40 | $24.68 | $20.77 |
Net investment income | 0.15 1 | 0.25 | 0.19 1 | 0.21 | 0.11 |
Net realized and unrealized gains (losses) on investments | 16.70 | (3.43) | (4.45) | 4.69 | 3.89 |
Total from investment operations | 16.85 | (3.18) | (4.26) | 4.90 | 4.00 |
Distributions to shareholders from | |||||
Net investment income | (0.18) | (0.22) | (0.28) | (0.18) | (0.09) |
Net asset value, end of period | $38.13 | $21.46 | $24.86 | $29.40 | $24.68 |
Total return | 78.39% | (13.03)% | (14.46)% | 19.90% | 13.70% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.99% | 1.07% | 1.14% | 1.14% | 1.14% |
Net expenses | 0.85% | 0.85% | 0.85% | 0.99% | 1.00% |
Net investment income | 0.52% | 1.04% | 0.68% | 0.78% | 0.55% |
Supplemental data | |||||
Portfolio turnover rate2 | 62% | 78% | 168% | 144% | 110% |
Net assets, end of period (000s omitted) | $72,123 | $33,600 | $33,116 | $60,973 | $52,072 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.74% |
Year ended May 31, 2020 | 0.74% |
Year ended May 31, 2019 | 0.75% |
Year ended May 31, 2018 | 0.84% |
Year ended May 31, 2017 | 0.84% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Gross unrealized gains | $172,445,677 |
Gross unrealized losses | (13,731,085) |
Net unrealized gains | $158,714,592 |
Affiliated Master Portfolio | Investment objective | Fair value of affiliated Master Portfolio |
Wells Fargo Small Company Value Portfolio | Seek long-term capital appreciation | $529,548,192 |
Average daily net assets | Management fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Class-level administration fee | |
Class A | 0.21% |
Class C | 0.21 |
Class R6 | 0.03 |
Administrator Class | 0.13 |
Institutional Class | 0.13 |
Expense ratio caps | |
Class A | 1.15% |
Class C | 1.90 |
Class R6 | 0.75 |
Administrator Class | 1.05 |
Institutional Class | 0.85 |
Unrealized gains | Late-year ordinary losses deferred | Capital loss carryforward |
$158,714,592 | $(475,078) | $(5,786,220) |
Wells Fargo Funds Trust:
Shares | Value | ||||
Common stocks: 99.00% | |||||
Communication services: 0.72% | |||||
Entertainment: 0.72% | |||||
Cinemark Holdings Incorporated † | 198,557 | $ 4,499,302 | |||
Consumer discretionary: 18.88% | |||||
Auto components: 1.81% | |||||
Dana Incorporated | 219,467 | 5,954,140 | |||
Patrick Industries Incorporated | 61,782 | 5,294,717 | |||
11,248,857 | |||||
Diversified consumer services: 0.68% | |||||
H&R Block Incorporated | 168,833 | 4,190,435 | |||
Hotels, restaurants & leisure: 3.81% | |||||
Dave & Buster's Entertainment Incorporated † | 115,610 | 4,887,991 | |||
Del Taco Restaurants Incorporated | 246,119 | 2,500,569 | |||
Denny’s Corporation † | 254,676 | 4,477,204 | |||
Dine Brands Global Incorporated † | 60,902 | 5,782,645 | |||
Wyndham Hotels & Resorts Incorporated | 79,787 | 5,988,812 | |||
23,637,221 | |||||
Household durables: 3.39% | |||||
Beazer Homes Incorporated † | 211,655 | 5,039,506 | |||
GoPro Incorporated Class A † | 330,032 | 3,702,959 | |||
Green Brick Partners Incorporated † | 126,658 | 2,956,198 | |||
Hamilton Beach Brand Class A | 65,132 | 1,641,326 | |||
Hooker Furniture Corporation | 145,826 | 5,227,862 | |||
iRobot Corporation †« | 25,192 | 2,461,258 | |||
21,029,109 | |||||
Internet & direct marketing retail: 0.49% | |||||
Stamps.com Incorporated † | 16,020 | 3,006,634 | |||
Leisure products: 1.34% | |||||
Johnson Outdoors Incorporated Class A | 37,935 | 4,635,278 | |||
Malibu Boats Incorporated Class A † | 46,843 | 3,673,428 | |||
8,308,706 | |||||
Multiline retail: 1.49% | |||||
Big Lots Stores Incorporated | 78,147 | 4,762,278 | |||
Nordstrom Incorporated † | 133,883 | 4,490,436 | |||
9,252,714 | |||||
Specialty retail: 4.25% | |||||
American Eagle Outfitters Incorporated | 208,088 | 7,372,558 | |||
Dick's Sporting Goods Incorporated | 71,190 | 6,943,161 | |||
Shoe Carnival Incorporated | 96,420 | 6,509,314 | |||
Urban Outfitters Incorporated † | 140,805 | 5,513,924 | |||
26,338,957 |
Shares | Value | ||||
Textiles, apparel & luxury goods: 1.62% | |||||
Lakeland Industries Incorporated †« | 128,624 | $ 3,243,897 | |||
Rocky Brands Incorporated | 116,484 | 6,793,347 | |||
10,037,244 | |||||
Energy: 4.73% | |||||
Energy equipment & services: 2.02% | |||||
Helmerich & Payne Incorporated | 214,472 | 6,058,834 | |||
Patterson-UTI Energy Incorporated | 772,661 | 6,467,173 | |||
12,526,007 | |||||
Oil, gas & consumable fuels: 2.71% | |||||
Diamondback Energy Incorporated | 85,684 | 6,860,718 | |||
Southwestern Energy Company † | 1,148,156 | 5,935,967 | |||
W&T Offshore Incorporated † | 1,071,392 | 4,007,006 | |||
16,803,691 | |||||
Financials: 23.19% | |||||
Banks: 17.13% | |||||
Ameris Bancorp | 148,524 | 8,159,909 | |||
Atlantic Union Bankshares Corporation | 200,959 | 8,243,338 | |||
Banc of California Incorporated | 231,526 | 4,054,020 | |||
Banner Corporation | 110,877 | 6,489,631 | |||
Customers Bancorp Incorporated † | 187,980 | 7,115,043 | |||
FB Financial Corporation | 135,250 | 5,660,213 | |||
First Foundation Incorporated | 228,393 | 5,732,664 | |||
First Interstate BancSystem Class A | 133,672 | 6,291,941 | |||
Great Southern Bancorp Incorporated | 81,413 | 4,599,020 | |||
Heritage Financial Corporation | 197,505 | 5,729,620 | |||
Independent Bank Corporation | 152,412 | 3,551,200 | |||
Midland States Bancorp Incorporated | 159,609 | 4,446,707 | |||
OceanFirst Financial Corporation | 233,270 | 5,157,600 | |||
OFG Bancorp | 241,527 | 5,820,801 | |||
Synovus Financial Corporation | 172,249 | 8,460,871 | |||
Umpqua Holdings Corporation | 337,423 | 6,438,031 | |||
Univest Corporation of Pennsylvania | 177,699 | 5,181,703 | |||
Western Alliance Bancorp | 50,972 | 5,097,710 | |||
106,230,022 | |||||
Capital markets: 1.13% | |||||
Piper Jaffray Companies Incorporated | 54,676 | 6,969,003 | |||
Insurance: 1.91% | |||||
American Equity Investment Life Holding Company | 141,040 | 4,301,720 | |||
Horace Mann Educators Corporation | 59,191 | 2,359,945 | |||
State Auto Financial Corporation | 128,809 | 2,434,490 | |||
United Fire Group Incorporated | 89,335 | 2,738,118 | |||
11,834,273 | |||||
Mortgage REITs: 0.32% | |||||
Capstead Mortgage Corporation | 307,499 | 1,983,369 | |||
Thrifts & mortgage finance: 2.70% | |||||
Axos Financial Incorporated † | 124,229 | 5,889,697 |
Shares | Value | ||||
Thrifts & mortgage finance (continued) | |||||
Homestreet Incorporated | 124,655 | $ 5,611,968 | |||
Walker & Dunlop Incorporated | 51,680 | 5,247,587 | |||
16,749,252 | |||||
Health care: 6.04% | |||||
Biotechnology: 0.08% | |||||
Eagle Pharmaceuticals Incorporated † | 12,575 | 498,222 | |||
Health care equipment & supplies: 2.58% | |||||
AngioDynamics Incorporated † | 215,204 | 4,975,516 | |||
ICU Medical Incorporated † | 19,198 | 3,994,336 | |||
Integer Holdings Corporation † | 27,691 | 2,505,205 | |||
Merit Medical Systems Incorporated † | 75,094 | 4,531,172 | |||
16,006,229 | |||||
Health care providers & services: 2.66% | |||||
AMN Healthcare Services Incorporated † | 52,324 | 4,641,139 | |||
Brookdale Senior Living Incorporated † | 620,593 | 4,182,797 | |||
Five Star Senior Living Incorporated † | 46,765 | 281,058 | |||
Option Care Health Incorporated † | 171,943 | 3,153,435 | |||
The Ensign Group Incorporated | 50,343 | 4,188,538 | |||
16,446,967 | |||||
Health care technology: 0.43% | |||||
Computer Programs & Systems Incorporated | 82,858 | 2,682,113 | |||
Pharmaceuticals: 0.29% | |||||
Phibro Animal Health Corporation Class A | 63,750 | 1,797,113 | |||
Industrials: 19.77% | |||||
Air freight & logistics: 0.50% | |||||
Radiant Logistics Incorporated † | 402,994 | 3,099,024 | |||
Airlines: 1.31% | |||||
Alaska Air Group Incorporated † | 63,970 | 4,426,724 | |||
SkyWest Incorporated † | 74,984 | 3,676,466 | |||
8,103,190 | |||||
Building products: 1.20% | |||||
American Woodmark Corporation † | 50,304 | 4,372,424 | |||
CSW Industrials Incorporated | 25,088 | 3,056,220 | |||
7,428,644 | |||||
Commercial services & supplies: 2.89% | |||||
ABM Industries Incorporated | 111,173 | 5,546,421 | |||
BrightView Holdings Incorporated † | 50,789 | 881,189 | |||
Healthcare Services Group Incorporated | 143,008 | 4,288,810 | |||
Herman Miller Incorporated | 150,510 | 7,194,378 | |||
17,910,798 | |||||
Construction & engineering: 3.71% | |||||
Comfort Systems Incorporated | 70,836 | 5,872,304 | |||
Great Lakes Dredge & Dock Company † | 270,395 | 3,950,471 |
Shares | Value | ||||
Construction & engineering (continued) | |||||
MYR Group Incorporated † | 83,061 | $ 7,229,629 | |||
Northwest Pipe Company † | 75,766 | 2,398,752 | |||
Sterling Construction Company Incorporated † | 157,556 | 3,545,010 | |||
22,996,166 | |||||
Electrical equipment: 1.40% | |||||
Atkore International Incorporated † | 43,144 | 3,330,717 | |||
Encore Wire Corporation | 16,835 | 1,383,837 | |||
Regal-Beloit Corporation | 28,011 | 3,984,005 | |||
8,698,559 | |||||
Machinery: 5.70% | |||||
Columbus McKinnon Corporation | 78,794 | 3,994,856 | |||
Federal Signal Corporation | 106,861 | 4,539,455 | |||
Hillenbrand Incorporated | 109,332 | 4,985,539 | |||
Kadant Incorporated | 27,881 | 4,684,566 | |||
Lydall Incorporated † | 93,130 | 3,388,069 | |||
Miller Industries Incorporated | 99,750 | 4,174,538 | |||
Rexnord Corporation | 78,682 | 3,931,740 | |||
The Shyft Group Incorporated | 145,100 | 5,655,998 | |||
35,354,761 | |||||
Professional services: 1.36% | |||||
CBIZ Incorporated † | 112,449 | 3,734,431 | |||
Kelly Services Incorporated Class A † | 173,162 | 4,445,069 | |||
Mastech Digital Incorporated † | 17,061 | 268,881 | |||
8,448,381 | |||||
Road & rail: 1.03% | |||||
Arcbest Corporation | 81,864 | 6,372,294 | |||
Trading companies & distributors: 0.67% | |||||
CAI International Incorporated | 97,550 | 4,186,846 | |||
Information technology: 9.47% | |||||
Communications equipment: 0.39% | |||||
Netgear Incorporated † | 62,543 | 2,431,672 | |||
Electronic equipment, instruments & components: 3.41% | |||||
ePlus Incorporated † | 30,648 | 2,898,381 | |||
Insight Enterprises Incorporated † | 60,566 | 6,327,936 | |||
Methode Electronics Incorporated | 126,990 | 6,143,776 | |||
PC Connection Incorporated | 56,578 | 2,760,441 | |||
Sanmina Corporation † | 71,854 | 3,025,772 | |||
21,156,306 | |||||
IT services: 2.43% | |||||
BM Technologies Incorporated †« | 14,700 | 188,895 | |||
BM Technologies Incorporated (Acquired 1-14-2021, cost $363,151) ♦†£ | 29,106 | 374,012 | |||
Conduent Incorporated † | 752,034 | 5,700,418 | |||
TTEC Holdings Incorporated | 31,605 | 3,426,298 | |||
Unisys Corporation † | 208,379 | 5,357,424 | |||
15,047,047 |
Shares | Value | ||||
Semiconductors & semiconductor equipment: 2.60% | |||||
Cirrus Logic Incorporated † | 38,630 | $ 3,015,844 | |||
Diodes Incorporated † | 35,980 | 2,722,607 | |||
FormFactor Incorporated † | 61,413 | 2,164,808 | |||
Ichor Holdings Limited † | 75,304 | 4,236,603 | |||
Onto Innovation Incorporated † | 54,950 | 3,943,762 | |||
16,083,624 | |||||
Technology hardware, storage & peripherals: 0.64% | |||||
NCR Corporation † | 82,829 | 3,992,358 | |||
Materials: 8.46% | |||||
Chemicals: 3.84% | |||||
Advansix Incorporated † | 71,421 | 2,261,189 | |||
American Vanguard Corporation | 39,190 | 720,704 | |||
Hawkins Incorporated | 130,332 | 4,433,895 | |||
Ingevity Corporation † | 57,519 | 4,734,389 | |||
Minerals Technologies Incorporated | 84,186 | 7,324,182 | |||
Stepan Company | 32,463 | 4,371,468 | |||
23,845,827 | |||||
Construction materials: 0.95% | |||||
Eagle Materials Incorporated † | 40,194 | 5,898,871 | |||
Containers & packaging: 0.45% | |||||
UFP Technologies Incorporated † | 50,838 | 2,767,621 | |||
Metals & mining: 3.22% | |||||
Kaiser Aluminum Corporation | 47,801 | 6,184,971 | |||
Schnitzer Steel Industries Incorporated Class A | 157,293 | 8,569,312 | |||
United States Steel Corporation | 200,401 | 5,196,398 | |||
19,950,681 | |||||
Real estate: 7.74% | |||||
Equity REITs: 7.74% | |||||
Agree Realty Corporation | 45,564 | 3,202,238 | |||
American Campus Communities Incorporated | 72,079 | 3,399,246 | |||
Armada Hoffler Properties Incorporated | 256,900 | 3,409,063 | |||
Centerspace REIT | 41,457 | 2,951,324 | |||
Global Medical REIT Incorporated | 202,565 | 2,916,936 | |||
Independence Realty Trust Incorporated | 203,501 | 3,475,797 | |||
Lexington Corporate Properties Trust | 255,087 | 3,157,977 | |||
Monmouth Real Estate Investment Corporation | 150,876 | 2,842,504 | |||
One Liberty Properties Incorporated | 126,303 | 3,227,042 | |||
Outfront Media Incorporated † | 151,214 | 3,620,063 | |||
PotlatchDeltic Corporation | 56,199 | 3,383,180 | |||
Retail Opportunity Investment Corporation | 161,224 | 2,879,461 | |||
RLJ Lodging Trust | 211,436 | 3,249,771 | |||
STAG Industrial Incorporated | 91,334 | 3,261,537 | |||
Summit Hotel Properties Incorporated † | 314,354 | 3,020,942 | |||
47,997,081 | |||||
Total Common stocks (Cost $393,582,107) | 613,845,191 |
Expiration date | Shares | Value | |||
Warrants: 0.00% | |||||
Energy: 0.00% | |||||
Energy equipment & services: 0.00% | |||||
Parker Drilling Company ♦† | 9-16-2024 | 8,457 | $ 0 | ||
Total Warrants (Cost $0) | 0 |
Yield | |||||
Short-term investments: 1.21% | |||||
Investment companies: 1.21% | |||||
Securities Lending Cash Investments LLC ♠∩∞ | 0.03% | 1,657,815 | 1,657,815 | ||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 5,823,369 | 5,823,369 | ||
Total Short-term investments (Cost $7,481,184) | 7,481,184 | ||||
Total investments in securities (Cost $401,063,291) | 100.21% | 621,326,375 | |||
Other assets and liabilities, net | (0.21) | (1,303,709) | |||
Total net assets | 100.00% | $620,022,666 |
† | Non-income-earning security |
♦ | The security is fair valued in accordance with procedures approved by the Board of Trustees. |
£ | Restricted security as to resale, excluding Rule 144A securities. The Fund held restricted securities with an aggregate current value of $374,012 (original aggregate cost of $363,151), representing 0.06% of its net assets as of period end. |
« | All or a portion of this security is on loan. |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | 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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $88,812,100 | $(87,154,285) | $0 | $0 | $ 1,657,815 | 1,657,815 | $ 5,302# | ||||
Wells Fargo Government Money Market Fund Select Class | 2,323,207 | 91,273,174 | (87,773,012) | 0 | 0 | 5,823,369 | 5,823,369 | 1,860 | ||||
$0 | $0 | $7,481,184 | 1.21% | $7,162 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $1,618,471 of securities loaned), at value (cost $393,582,107) | $ 613,845,191 |
Investments in affiliated securites, at value (cost $7,481,184) | 7,481,184 |
Receivable for investments sold | 2,758,234 |
Receivable for dividends | 336,351 |
Receivable for securities lending income, net | 864 |
Prepaid expenses and other assets | 96,703 |
Total assets | 624,518,527 |
Liabilities | |
Payable for investments purchased | 2,461,770 |
Payable upon receipt of securities loaned | 1,657,815 |
Advisory fee payable | 373,249 |
Accrued expenses and other liabilities | 3,027 |
Total liabilities | 4,495,861 |
Total net assets | $620,022,666 |
Investment income | |
Dividends (net of foreign withholdings taxes of $6,904) | $ 7,052,712 |
Income from affiliated securities | 44,047 |
Total investment income | 7,096,759 |
Expenses | |
Advisory fee | 3,905,881 |
Custody and accounting fees | 32,965 |
Professional fees | 48,336 |
Interest holder report expenses | 19,327 |
Trustees’ fees and expenses | 19,192 |
Other fees and expenses | 12,018 |
Total expenses | 4,037,719 |
Less: Fee waivers and/or expense reimbursements | (417,661) |
Net expenses | 3,620,058 |
Net investment income | 3,476,701 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 37,164,709 |
Net change in unrealized gains (losses) on investments | 242,793,164 |
Net realized and unrealized gains (losses) on investments | 279,957,873 |
Net increase in net assets resulting from operations | $283,434,574 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 3,476,701 | $ 4,223,447 |
Net realized gains (losses) on investments | 37,164,709 | (50,607,316) |
Net change in unrealized gains (losses) on investments | 242,793,164 | (40,450,997) |
Net increase (decrease) in net assets resulting from operations | 283,434,574 | (86,834,866) |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 44,706,834 | 464,639,096 |
Withdrawals | (109,788,132) | (103,765,259) |
Net increase (decrease) in net assets resulting from capital transactions | (65,081,298) | 360,873,837 |
Total increase in net assets | 218,353,276 | 274,038,971 |
Net assets | ||
Beginning of period | 401,669,390 | 127,630,419 |
End of period | $ 620,022,666 | $ 401,669,390 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 78.76% | (13.74)% | (14.51)% | 20.10% | 19.44% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.83% | 0.82% | 0.86% | 0.85% | 0.84% |
Net expenses1 | 0.74% | 0.74% | 0.75% | 0.84% | 0.84% |
Net investment income | 0.71% | 1.15% | 0.80% | 0.87% | 0.72% |
Supplemental data | |||||
Portfolio turnover rate | 62% | 78% | 168% | 144% | 110% |
1 | Net expense ratios reflect voluntary waivers. |
Gross unrealized gains | $222,171,137 |
Gross unrealized losses | (13,751,659) |
Net unrealized gains | $208,419,478 |
■ | 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 | $ 4,499,302 | $ 0 | $0 | $ 4,499,302 |
Consumer discretionary | 117,049,877 | 0 | 0 | 117,049,877 |
Energy | 29,329,698 | 0 | 0 | 29,329,698 |
Financials | 143,765,919 | 0 | 0 | 143,765,919 |
Health care | 37,430,644 | 0 | 0 | 37,430,644 |
Industrials | 122,598,663 | 0 | 0 | 122,598,663 |
Information technology | 58,336,995 | 374,012 | 0 | 58,711,007 |
Materials | 52,463,000 | 0 | 0 | 52,463,000 |
Real estate | 47,997,081 | 0 | 0 | 47,997,081 |
Warrants | ||||
Energy | 0 | 0 | 0 | 0 |
Short-term investments | ||||
Investment companies | 7,481,184 | 0 | 0 | 7,481,184 |
Total assets | $620,952,363 | $374,012 | $0 | $621,326,375 |
Average daily net assets | Advisory fee |
First $500 million | 0.800% |
Next $500 million | 0.775 |
Next $1 billion | 0.750 |
Next $1 billion | 0.725 |
Next $1 billion | 0.700 |
Over $4 billion | 0.680 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
JPMorgan Securities LLC | 989,704 | (989,704) | 0 |
Bank of America Securities Incorporated | 32,058 | (32,058) | 0 |
Morgan Stanley & Company LLC | 139,329 | (139,329) | 0 |
Citigroup Global Markets Incorporated | 223,068 | (223,068) | 0 |
UBS Securities LLC | 234,312 | (234,312) | 0 |
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. |
Funds Trust | Master Trust |
Wells Fargo C&B Large Cap Value Fund | Wells Fargo C&B Large Cap Value Portfolio |
Wells Fargo Core Bond Fund | Wells Fargo Core Bond Portfolio |
Wells Fargo Emerging Growth Fund | Wells Fargo Emerging Growth Portfolio |
Wells Fargo Index Fund | Wells Fargo Index Portfolio |
Wells Fargo Real Return Fund | Wells Fargo Real Return Portfolio |
Wells Fargo Small Company Growth Fund | Wells Fargo Small Company Growth Portfolio |
Wells Fargo Small Company Value Fund | Wells Fargo Small Company Value Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC, as the distributor of Fund shares. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Funds and Master Portfolios. |
■ | Impact of the Transaction on the Funds and their Shareholders and the Master Portfolios and their Interest Holders: (i) information regarding anticipated benefits to the Funds and the Master Portfolios as a result of the Transaction; (ii) a commitment that the Funds and Master Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers and the Unaffiliated Sub-Advisers intend to continue to manage the Funds in a manner consistent with each Fund’s or Master Portfolio’s current investment objectives and principal investments strategies, as applicable; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds or the Master Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
A286/AR286 05-21
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Wells Fargo Core Bond Portfolio | |
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Barclays Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved. |
“The passage of the massive domestic stimulus bill highlighted March activity, leading to increased forecasts for U.S. growth in 2021.” |
President
Wells Fargo Funds
Investment objective | The Fund seeks total return, consisting of income and capital appreciation. |
Manager | Wells Fargo Funds Management, LLC |
Portfolio managers | Maulik Bhansali, CFA®‡, Jarad Vasquez |
Average annual total returns (%) as of May 31, 2021 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (MBFAX) | 10-31-2001 | -4.28 | 2.12 | 2.80 | 0.24 3 | 3.07 | 3.27 | 0.82 | 0.78 | ||
Class C (MBFCX) | 10-31-2001 | -1.52 | 2.30 | 2.50 | -0.52 3 | 2.30 | 2.50 | 1.57 | 1.53 | ||
Class R (WTRRX) | 7-9-2010 | – | – | – | 0.15 3 | 2.84 | 3.03 | 1.07 | 1.03 | ||
Class R4 (MBFRX)4 | 11-30-2012 | – | – | – | 0.55 | 3.35 | 3.55 | 0.59 | 0.52 | ||
Class R6 (WTRIX)5 | 11-30-2012 | – | – | – | 0.70 | 3.49 | 3.69 | 0.44 | 0.37 | ||
Administrator Class (MNTRX) | 6-30-1997 | – | – | – | 0.30 3 | 3.13 | 3.36 | 0.76 | 0.70 | ||
Institutional Class (MBFIX) | 10-31-2001 | – | – | – | 0.58 | 3.42 | 3.64 | 0.49 | 0.42 | ||
Bloomberg Barclays U.S. Aggregate Bond Index6 | – | – | – | – | -0.40 3 | 3.25 | 3.29 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through September 30, 2021, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.78% for Class A, 1.53% for Class C, 1.03% for Class R, 0.52% for Class R4, 0.37% for Class R6, 0.70% for Administrator Class, and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the NAV at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles. |
4 | Historical performance shown for the Class R4 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R4 shares would be higher. |
5 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
* | The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg Barclays U.S. Aggregate Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%. |
6 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar– denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
■ | The Fund (Class A, excluding sales charges) outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, for the 12-month period that ended May 31, 2021. |
■ | Security selection in credit and mortgage-backed securities (MBS), as well as overweights to these sectors, were the primary drivers of excess returns during the 12-month period. |
■ | A sector underweight to commercial mortgage-backed securities (CMBS), driven by our concerns around the fundamentals in the sector and the lack of security selection opportunities, detracted from performance versus the benchmark. |
Ten largest holdings (%) as of May 31, 20211 | |
U.S. Treasury Note, 0.25%, 5-15-2024 | 2.65 |
FNMA, 2.50%, 8-12-2051 | 2.55 |
FNMA, 2.50%, 6-14-2051 | 1.71 |
U.S. Treasury Bond, 1.38%, 11-15-2040 | 1.51 |
U.S. Treasury Bond, 1.13%, 8-15-2040 | 1.43 |
U.S. Treasury Note, 0.13%, 1-15-2024 | 1.34 |
U.S. Treasury Note, 0.13%, 12-31-2022 | 1.31 |
U.S. Treasury Note, 0.50%, 2-28-2026 | 1.29 |
U.S. Treasury Bond, 1.13%, 5-15-2040 | 1.29 |
U.S. Treasury Note, 0.13%, 1-31-2023 | 1.27 |
1 | Each holding represents the Fund’s allocable portion of the affiliated master portfolio security. Figures represent each holding as a percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of May 31, 20211 |
1 | Figures represent the portfolio composition of the affiliated master portfolio as a percentage of the long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 12-1-2020 | Ending account value 5-31-2021 | Expenses paid during the period1,2 | Annualized net expense ratio2 | |
Class A | ||||
Actual | $1,000.00 | $ 976.85 | $3.84 | 0.78% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.04 | $3.93 | 0.78% |
Class C | ||||
Actual | $1,000.00 | $ 972.93 | $7.53 | 1.53% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.30 | $7.70 | 1.53% |
Class R | ||||
Actual | $1,000.00 | $ 976.82 | $3.99 | 0.81% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.89 | $4.08 | 0.81% |
Class R4 | ||||
Actual | $1,000.00 | $ 978.18 | $2.56 | 0.52% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.34 | $2.62 | 0.52% |
Class R6 | ||||
Actual | $1,000.00 | $ 978.85 | $1.83 | 0.37% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.09 | $1.87 | 0.37% |
Administrator Class | ||||
Actual | $1,000.00 | $ 977.25 | $3.45 | 0.70% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.44 | $3.53 | 0.70% |
Institutional Class | ||||
Actual | $1,000.00 | $ 977.90 | $2.07 | 0.42% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.84 | $2.12 | 0.42% |
Value | |||||
Investment companies: 100.02% | |||||
Affiliated master portfolio: 100.02% | |||||
Wells Fargo Core Bond Portfolio | $5,331,353,094 | ||||
Total Investment companies (Cost $5,321,216,119) | 5,331,353,094 | ||||
Total investments in securities (Cost $5,321,216,119) | 100.02% | 5,331,353,094 | |||
Other assets and liabilities, net | (0.02) | (969,956) | |||
Total net assets | 100.00% | $5,330,383,138 |
% of ownership, beginning of period | % of ownership, end of period | Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Interest allocated from affiliated Master Portfolio | Affiliated income allocated from affiliated Master Portfolio | Value, end of period | % of net assets | |
Wells Fargo Core Bond Portfolio | 94.84% | 94.49% | $124,275,417 | $(163,776,116) | $93,220,696 | $173,474 | $5,331,353,094 | 100.02% |
Assets | |
Investments in affiliated Master Portfolio, at value (cost $5,321,216,119) | $ 5,331,353,094 |
Receivable for Fund shares sold | 7,316,204 |
Receivable from manager | 69,380 |
Prepaid expenses and other assets | 16,954 |
Total assets | 5,338,755,632 |
Liabilities | |
Payable for Fund shares redeemed | 6,989,608 |
Dividends payable | 696,813 |
Administration fees payable | 310,070 |
Distribution fees payable | 8,728 |
Accrued expenses and other liabilities | 367,275 |
Total liabilities | 8,372,494 |
Total net assets | $5,330,383,138 |
Net assets consist of | |
Paid-in capital | $ 5,311,862,299 |
Total distributable earnings | 18,520,839 |
Total net assets | $5,330,383,138 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 370,881,746 |
Shares outstanding – Class A1 | 27,620,111 |
Net asset value per share – Class A | $13.43 |
Maximum offering price per share – Class A2 | $14.06 |
Net assets – Class C | $ 13,398,588 |
Shares outstanding – Class C1 | 1,008,016 |
Net asset value per share – Class C | $13.29 |
Net assets – Class R | $ 1,715,529 |
Shares outstanding – Class R1 | 131,062 |
Net asset value per share – Class R | $13.09 |
Net assets – Class R4 | $ 1,780,289 |
Shares outstanding – Class R41 | 135,980 |
Net asset value per share – Class R4 | $13.09 |
Net assets – Class R6 | $ 1,978,164,096 |
Shares outstanding – Class R61 | 151,247,500 |
Net asset value per share – Class R6 | $13.08 |
Net assets – Administrator Class | $ 214,796,136 |
Shares outstanding – Administrator Class1 | 16,406,572 |
Net asset value per share – Administrator Class | $13.09 |
Net assets – Institutional Class | $ 2,749,646,754 |
Shares outstanding – Institutional Class1 | 210,320,017 |
Net asset value per share – Institutional Class | $13.07 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/95.50 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Interest allocated from affiliated Master Portfolio (net of foreign withholding taxes of $2,091) | $ 93,220,696 |
Affiliated income allocated from affiliated Master Portfolio | 173,474 |
Expenses allocated from affiliated Master Portfolio | (19,735,188) |
Total investment income | 73,658,982 |
Expenses | |
Management fee | 2,763,146 |
Administration fees | |
Class A | 538,805 |
Class C | 31,113 |
Class R | 3,445 |
Class R4 | 2,750 |
Class R6 | 717,379 |
Administrator Class | 230,844 |
Institutional Class | 2,139,946 |
Shareholder servicing fees | |
Class A | 839,615 |
Class C | 48,454 |
Class R | 2,964 |
Class R4 | 3,430 |
Administrator Class | 565,875 |
Distribution fees | |
Class C | 145,226 |
Class R | 3,535 |
Custody and accounting fees | 170,996 |
Professional fees | 33,780 |
Registration fees | 166,928 |
Shareholder report expenses | 284,769 |
Trustees’ fees and expenses | 21,080 |
Other fees and expenses | 100,644 |
Total expenses | 8,814,724 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (2,290,291) |
Class A | (16,030) |
Class C | (3) |
Class R4 | (1,084) |
Class R6 | (717,379) |
Administrator Class | (40,789) |
Institutional Class | (845,258) |
Net expenses | 4,903,890 |
Net investment income | 68,755,092 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on securities transactions allocated from affiliated Master Portfolio | 124,275,417 |
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | (163,776,116) |
Net realized and unrealized gains (losses) on investments | (39,500,699) |
Net increase in net assets resulting from operations | $ 29,254,393 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |||
Operations | ||||
Net investment income | $ 68,755,092 | $ 120,113,953 | ||
Net realized gains on investments | 124,275,417 | 306,742,964 | ||
Net change in unrealized gains (losses) on investments | (163,776,116) | 56,934,677 | ||
Net increase in net assets resulting from operations | 29,254,393 | 483,791,594 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (18,390,567) | (6,294,414) | ||
Class C | (826,028) | (417,858) | ||
Class R | (109,006) | (97,982) | ||
Class R4 | (255,450) | (161,109) | ||
Class R6 | (147,643,160) | (63,508,068) | ||
Administrator Class | (13,932,917) | (4,506,235) | ||
Institutional Class | (162,044,711) | (59,496,339) | ||
Total distributions to shareholders | (343,201,839) | (134,482,005) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 12,273,258 | 169,431,477 | 5,035,376 | 68,831,957 |
Class C | 429,511 | 6,062,121 | 737,031 | 9,984,279 |
Class R | 42,683 | 585,880 | 91,423 | 1,215,599 |
Class R4 | 73,596 | 1,019,265 | 183,129 | 2,446,252 |
Class R6 | 41,373,976 | 564,946,588 | 46,956,601 | 627,133,874 |
Administrator Class | 7,772,437 | 107,461,106 | 5,387,937 | 72,239,222 |
Institutional Class | 91,169,096 | 1,242,662,922 | 67,880,909 | 903,670,274 |
2,092,169,359 | 1,685,521,457 | |||
Reinvestment of distributions | ||||
Class A | 1,173,633 | 16,238,069 | 399,765 | 5,475,932 |
Class C | 58,078 | 794,241 | 14,131 | 191,525 |
Class R | 5,020 | 67,665 | 1,589 | 21,221 |
Class R4 | 18,865 | 254,704 | 12,039 | 160,382 |
Class R6 | 8,211,303 | 110,794,663 | 3,578,858 | 47,809,034 |
Administrator Class | 991,907 | 13,386,686 | 324,731 | 4,342,589 |
Institutional Class | 11,300,587 | 152,228,735 | 3,940,416 | 52,636,436 |
293,764,763 | 110,637,119 | |||
Payment for shares redeemed | ||||
Class A | (6,969,911) | (96,545,555) | (7,058,184) | (96,112,855) |
Class C | (1,472,599) | (20,765,992) | (1,381,669) | (18,673,889) |
Class R | (150,925) | (2,094,716) | (519,677) | (6,891,248) |
Class R4 | (285,459) | (3,858,168) | (700,264) | (9,317,864) |
Class R6 | (82,522,155) | (1,114,913,998) | (60,509,001) | (803,022,923) |
Administrator Class | (8,154,991) | (111,662,175) | (5,797,513) | (77,110,768) |
Institutional Class | (63,368,919) | (856,440,756) | (81,653,483) | (1,088,476,808) |
(2,206,281,360) | (2,099,606,355) | |||
Net increase (decrease) in net assets resulting from capital share transactions | 179,652,762 | (303,447,779) | ||
Total increase (decrease) in net assets | (134,294,684) | 45,861,810 | ||
Net assets | ||||
Beginning of period | 5,464,677,822 | 5,418,816,012 | ||
End of period | $ 5,330,383,138 | $ 5,464,677,822 |
Year ended May 31 | |||||
Class A | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $14.17 | $13.28 | $12.86 | $13.22 | $13.28 |
Net investment income | 0.12 1 | 0.25 | 0.32 | 0.24 | 0.19 1 |
Net realized and unrealized gains (losses) on investments | (0.06) | 0.93 | 0.42 | (0.36) | 0.00 |
Total from investment operations | 0.06 | 1.18 | 0.74 | (0.12) | 0.19 |
Distributions to shareholders from | |||||
Net investment income | (0.15) | (0.26) | (0.32) | (0.24) | (0.19) |
Net realized gains | (0.65) | (0.03) | 0.00 | 0.00 | (0.06) |
Total distributions to shareholders | (0.80) | (0.29) | (0.32) | (0.24) | (0.25) |
Net asset value, end of period | $13.43 | $14.17 | $13.28 | $12.86 | $13.22 |
Total return2 | 0.31% | 9.03% | 5.87% | (0.96)% | 1.48% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.82% | 0.82% | 0.83% | 0.83% | 0.83% |
Net expenses | 0.78% | 0.78% | 0.78% | 0.78% | 0.78% |
Net investment income | 0.87% | 1.85% | 2.50% | 1.79% | 1.40% |
Supplemental data | |||||
Portfolio turnover rate3 | 457% | 603% | 577% | 542% | 614% |
Net assets, end of period (000s omitted) | $370,882 | $299,642 | $302,246 | $320,208 | $360,276 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.35% |
Year ended May 31, 2020 | 0.35% |
Year ended May 31, 2019 | 0.35% |
Year ended May 31, 2018 | 0.35% |
Year ended May 31, 2017 | 0.35% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class C | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $14.03 | $13.15 | $12.74 | $13.09 | $13.15 |
Net investment income | 0.03 | 0.15 | 0.23 | 0.14 | 0.09 |
Net realized and unrealized gains (losses) on investments | (0.07) | 0.92 | 0.40 | (0.35) | 0.00 |
Total from investment operations | (0.04) | 1.07 | 0.63 | (0.21) | 0.09 |
Distributions to shareholders from | |||||
Net investment income | (0.05) | (0.16) | (0.22) | (0.14) | (0.09) |
Net realized gains | (0.65) | (0.03) | 0.00 | 0.00 | (0.06) |
Total distributions to shareholders | (0.70) | (0.19) | (0.22) | (0.14) | (0.15) |
Net asset value, end of period | $13.29 | $14.03 | $13.15 | $12.74 | $13.09 |
Total return1 | (0.45)% | 8.22% | 5.04% | (1.65)% | 0.72% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.57% | 1.57% | 1.58% | 1.58% | 1.58% |
Net expenses | 1.53% | 1.53% | 1.53% | 1.53% | 1.53% |
Net investment income | 0.16% | 1.11% | 1.75% | 1.04% | 0.68% |
Supplemental data | |||||
Portfolio turnover rate2 | 457% | 603% | 577% | 542% | 614% |
Net assets, end of period (000s omitted) | $13,399 | $27,971 | $34,494 | $47,843 | $59,049 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.35% |
Year ended May 31, 2020 | 0.35% |
Year ended May 31, 2019 | 0.35% |
Year ended May 31, 2018 | 0.35% |
Year ended May 31, 2017 | 0.35% |
1 | Total return calculations do not include any sales charges. |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class R | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.83 | $12.96 | $12.55 | $12.90 | $12.97 |
Net investment income | 0.11 1 | 0.22 1 | 0.28 1 | 0.20 1 | 0.15 1 |
Net realized and unrealized gains (losses) on investments | (0.06) | 0.90 | 0.41 | (0.35) | (0.01) |
Total from investment operations | 0.05 | 1.12 | 0.69 | (0.15) | 0.14 |
Distributions to shareholders from | |||||
Net investment income | (0.14) | (0.22) | (0.28) | (0.20) | (0.15) |
Net realized gains | (0.65) | (0.03) | 0.00 | 0.00 | (0.06) |
Total distributions to shareholders | (0.79) | (0.25) | (0.28) | (0.20) | (0.21) |
Net asset value, end of period | $13.09 | $13.83 | $12.96 | $12.55 | $12.90 |
Total return | 0.22% | 8.80% | 5.61% | (1.19)% | 1.15% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.87% | 1.05% | 1.07% | 1.08% | 1.08% |
Net expenses | 0.86% | 1.02% | 1.03% | 1.03% | 1.03% |
Net investment income | 0.81% | 1.66% | 2.25% | 1.54% | 1.18% |
Supplemental data | |||||
Portfolio turnover rate2 | 457% | 603% | 577% | 542% | 614% |
Net assets, end of period (000s omitted) | $1,716 | $3,241 | $8,565 | $12,230 | $13,826 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.35% |
Year ended May 31, 2020 | 0.35% |
Year ended May 31, 2019 | 0.35% |
Year ended May 31, 2018 | 0.35% |
Year ended May 31, 2017 | 0.35% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class R4 | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.83 | $12.95 | $12.55 | $12.89 | $12.95 |
Net investment income | 0.16 1 | 0.29 1 | 0.35 | 0.26 1 | 0.22 |
Net realized and unrealized gains (losses) on investments | (0.06) | 0.91 | 0.40 | (0.34) | 0.00 |
Total from investment operations | 0.10 | 1.20 | 0.75 | (0.08) | 0.22 |
Distributions to shareholders from | |||||
Net investment income | (0.19) | (0.29) | (0.35) | (0.26) | (0.22) |
Net realized gains | (0.65) | (0.03) | 0.00 | 0.00 | (0.06) |
Total distributions to shareholders | (0.84) | (0.32) | (0.35) | (0.26) | (0.28) |
Net asset value, end of period | $13.09 | $13.83 | $12.95 | $12.55 | $12.89 |
Total return | 0.55% | 9.34% | 6.07% | (0.61)% | 1.74% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.59% | 0.59% | 0.60% | 0.60% | 0.60% |
Net expenses | 0.52% | 0.52% | 0.52% | 0.52% | 0.52% |
Net investment income | 1.16% | 2.19% | 2.76% | 2.01% | 1.70% |
Supplemental data | |||||
Portfolio turnover rate2 | 457% | 603% | 577% | 542% | 614% |
Net assets, end of period (000s omitted) | $1,780 | $4,549 | $10,805 | $11,680 | $43,205 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.35% |
Year ended May 31, 2020 | 0.35% |
Year ended May 31, 2019 | 0.35% |
Year ended May 31, 2018 | 0.35% |
Year ended May 31, 2017 | 0.35% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class R6 | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.82 | $12.95 | $12.54 | $12.89 | $12.95 |
Net investment income | 0.18 1 | 0.30 | 0.37 | 0.28 | 0.24 |
Net realized and unrealized gains (losses) on investments | (0.06) | 0.91 | 0.41 | (0.35) | 0.00 |
Total from investment operations | 0.12 | 1.21 | 0.78 | 0.00 | 0.24 |
Distributions to shareholders from | |||||
Net investment income | (0.21) | (0.31) | (0.37) | (0.28) | (0.24) |
Net realized gains | (0.65) | (0.03) | 0.00 | 0.00 | (0.06) |
Total distributions to shareholders | (0.86) | (0.34) | (0.37) | (0.28) | (0.30) |
Net asset value, end of period | $13.08 | $13.82 | $12.95 | $12.54 | $12.89 |
Total return | 0.70% | 9.42% | 6.31% | (0.54)% | 1.90% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.44% | 0.44% | 0.45% | 0.45% | 0.45% |
Net expenses | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% |
Net investment income | 1.29% | 2.26% | 2.92% | 2.24% | 1.87% |
Supplemental data | |||||
Portfolio turnover rate2 | 457% | 603% | 577% | 542% | 614% |
Net assets, end of period (000s omitted) | $1,978,164 | $2,545,332 | $2,513,644 | $1,360,847 | $797,896 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.35% |
Year ended May 31, 2020 | 0.35% |
Year ended May 31, 2019 | 0.35% |
Year ended May 31, 2018 | 0.35% |
Year ended May 31, 2017 | 0.35% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Administrator Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.83 | $12.96 | $12.56 | $12.90 | $12.97 |
Net investment income | 0.13 | 0.26 | 0.33 1 | 0.24 1 | 0.21 |
Net realized and unrealized gains (losses) on investments | (0.06) | 0.90 | 0.40 | (0.34) | (0.02) |
Total from investment operations | 0.07 | 1.16 | 0.73 | (0.10) | 0.19 |
Distributions to shareholders from | |||||
Net investment income | (0.16) | (0.26) | (0.33) | (0.24) | (0.20) |
Net realized gains | (0.65) | (0.03) | 0.00 | 0.00 | (0.06) |
Total distributions to shareholders | (0.81) | (0.29) | (0.33) | (0.24) | (0.26) |
Net asset value, end of period | $13.09 | $13.83 | $12.96 | $12.56 | $12.90 |
Total return | 0.37% | 9.14% | 5.87% | (0.79)% | 1.48% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.76% | 0.76% | 0.76% | 0.77% | 0.77% |
Net expenses | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% |
Net investment income | 0.95% | 1.92% | 2.58% | 1.86% | 1.50% |
Supplemental data | |||||
Portfolio turnover rate2 | 457% | 603% | 577% | 542% | 614% |
Net assets, end of period (000s omitted) | $214,796 | $218,522 | $205,825 | $269,057 | $373,042 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.35% |
Year ended May 31, 2020 | 0.35% |
Year ended May 31, 2019 | 0.35% |
Year ended May 31, 2018 | 0.35% |
Year ended May 31, 2017 | 0.35% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Institutional Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.82 | $12.94 | $12.54 | $12.88 | $12.95 |
Net investment income | 0.17 | 0.29 | 0.36 | 0.28 | 0.23 |
Net realized and unrealized gains (losses) on investments | (0.07) | 0.92 | 0.40 | (0.34) | (0.01) |
Total from investment operations | 0.10 | 1.21 | 0.76 | (0.06) | 0.22 |
Distributions to shareholders from | |||||
Net investment income | (0.20) | (0.30) | (0.36) | (0.28) | (0.23) |
Net realized gains | (0.65) | (0.03) | 0.00 | 0.00 | (0.06) |
Total distributions to shareholders | (0.85) | (0.33) | (0.36) | (0.28) | (0.29) |
Net asset value, end of period | $13.07 | $13.82 | $12.94 | $12.54 | $12.88 |
Total return | 0.58% | 9.45% | 6.18% | (0.51)% | 1.77% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.49% | 0.49% | 0.50% | 0.50% | 0.50% |
Net expenses | 0.42% | 0.42% | 0.42% | 0.42% | 0.42% |
Net investment income | 1.22% | 2.21% | 2.86% | 2.16% | 1.82% |
Supplemental data | |||||
Portfolio turnover rate1 | 457% | 603% | 577% | 542% | 614% |
Net assets, end of period (000s omitted) | $2,749,647 | $2,365,421 | $2,343,238 | $3,318,290 | $3,166,348 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.35% |
Year ended May 31, 2020 | 0.35% |
Year ended May 31, 2019 | 0.35% |
Year ended May 31, 2018 | 0.35% |
Year ended May 31, 2017 | 0.35% |
1 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Gross unrealized gains | $ 10,137,192 |
Gross unrealized losses | (13,567,422) |
Net unrealized losses | $ (3,430,230) |
Affiliated Master Portfolio | Investment objective | Fair value of affiliated Master Portfolio |
Wells Fargo Core Bond Portfolio | Seeks total return, consisting of income and capital appreciation | $5,331,353,094 |
Average daily net assets | Management fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Class R | 0.16 |
Class R4 | 0.08 |
Class R6 | 0.03 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.78% |
Class C | 1.53 |
Class R | 1.03 |
Class R4 | 0.52 |
Class R6 | 0.37 |
Administrator Class | 0.70 |
Institutional Class | 0.42 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$24,128,962,774 | $3,853,196,281 | $23,265,402,446 | $3,987,508,043 |
Year ended May 31 | ||
2021 | 2020 | |
Ordinary income | $291,084,924 | $134,482,005 |
Long-term capital gain | 52,116,915 | 0 |
Undistributed ordinary income | Undistributed long-term gain | Unrealized losses |
$9,052,659 | $13,678,678 | $(3,430,230) |
Wells Fargo Funds Trust:
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 31.41% | ||||||
FHLMC (1 Month LIBOR +0.35%) ± | 0.45% | 12-15-2048 | $ | 848,963 | $ 854,599 | |
FHLMC | 1.75 | 5-15-2043 | 2,571,675 | 2,638,820 | ||
FHLMC | 2.00 | 12-1-2050 | 5,812,356 | 5,892,506 | ||
FHLMC | 2.50 | 1-1-2036 | 16,586,615 | 17,494,665 | ||
FHLMC (12 Month LIBOR +1.64%) ± | 2.83 | 5-1-2049 | 3,796,313 | 3,964,222 | ||
FHLMC | 3.00 | 10-15-2047 | 8,158,533 | 8,492,501 | ||
FHLMC | 3.00 | 5-15-2050 | 5,310,761 | 5,694,732 | ||
FHLMC | 3.50 | 4-1-2049 | 3,766,913 | 4,079,179 | ||
FHLMC | 4.00 | 1-1-2035 | 133,130 | 145,999 | ||
FHLMC | 4.00 | 1-1-2036 | 248,778 | 271,950 | ||
FHLMC | 4.00 | 10-1-2036 | 1,498,157 | 1,637,399 | ||
FHLMC | 4.00 | 3-1-2037 | 187,970 | 206,184 | ||
FHLMC | 4.00 | 3-1-2037 | 231,880 | 255,815 | ||
FHLMC | 4.00 | 3-1-2037 | 321,372 | 350,168 | ||
FHLMC | 4.00 | 4-1-2037 | 1,977,405 | 2,166,752 | ||
FHLMC | 4.00 | 4-1-2037 | 1,571,068 | 1,720,114 | ||
FHLMC | 4.00 | 8-1-2038 | 9,484,077 | 10,190,772 | ||
FHLMC | 4.00 | 11-1-2048 | 9,119,394 | 9,997,463 | ||
FHLMC | 4.00 | 7-1-2049 | 12,092,343 | 13,501,820 | ||
FHLMC | 4.50 | 6-1-2039 | 201,664 | 225,210 | ||
FHLMC | 4.50 | 7-1-2039 | 260,600 | 295,913 | ||
FHLMC | 4.50 | 11-1-2048 | 5,316,182 | 5,869,263 | ||
FHLMC | 4.50 | 3-1-2049 | 2,267,710 | 2,522,153 | ||
FHLMC | 4.50 | 8-1-2049 | 18,980,319 | 20,886,427 | ||
FHLMC | 5.00 | 5-1-2048 | 6,567,728 | 7,416,650 | ||
FHLMC | 5.00 | 3-1-2049 | 12,265,366 | 13,664,675 | ||
FHLMC Series 1897 Class K | 7.00 | 9-15-2026 | 241 | 267 | ||
FHLMC Series 264 Class 30 | 3.00 | 7-15-2042 | 9,215,999 | 9,584,959 | ||
FHLMC Series 4426 Class QC | 1.75 | 7-15-2037 | 4,534,816 | 4,668,092 | ||
FHLMC Series 4705 Class A | 4.50 | 9-15-2042 | 882,956 | 909,283 | ||
FHLMC Series 4763 Class CA | 3.00 | 9-15-2038 | 1,217,843 | 1,305,258 | ||
FHLMC Series 4767 Class KA | 3.00 | 3-15-2048 | 3,291,224 | 3,528,550 | ||
FHLMC Series 5091 Class AB | 1.50 | 3-25-2051 | 12,100,402 | 12,177,557 | ||
FHLMC Series 5092 Class DT | 1.50 | 11-25-2049 | 12,764,107 | 12,908,723 | ||
FHLMC Series 5119 Class AB | 1.50 | 8-25-2049 | 6,162,562 | 6,185,912 | ||
FNMA | 1.50 | 1-25-2043 | 3,357,498 | 3,404,166 | ||
FNMA | 1.50 | 1-25-2043 | 9,509,457 | 9,685,012 | ||
FNMA | 1.50 | 4-25-2043 | 982,698 | 996,798 | ||
FNMA | 1.70 | 8-25-2033 | 11,544,356 | 11,971,145 | ||
FNMA | 1.75 | 5-25-2043 | 3,600,071 | 3,726,705 | ||
FNMA | 1.75 | 6-25-2046 | 22,538,318 | 22,909,413 | ||
FNMA | 2.00 | 5-1-2031 | 2,949,175 | 3,066,742 | ||
FNMA | 2.00 | 5-1-2031 | 2,943,186 | 3,060,522 | ||
FNMA | 2.00 | 5-1-2036 | 48,437,657 | 50,076,432 | ||
FNMA %% | 2.00 | 6-17-2036 | 36,300,000 | 37,501,035 | ||
FNMA | 2.00 | 6-25-2038 | 11,689,424 | 12,218,357 | ||
FNMA | 2.00 | 4-1-2051 | 11,343,217 | 11,486,123 | ||
FNMA | 2.00 | 4-1-2051 | 24,463,905 | 24,801,202 | ||
FNMA %% | 2.00 | 6-14-2051 | 5,400,000 | 5,453,685 | ||
FNMA %% | 2.00 | 8-12-2051 | 65,300,000 | 65,663,500 | ||
FNMA | 2.50 | 2-1-2036 | 11,842,855 | 12,539,131 | ||
FNMA | 2.50 | 3-1-2036 | 9,504,510 | 10,075,587 | ||
FNMA | 2.50 | 3-1-2036 | 15,392,661 | 16,297,811 | ||
FNMA | 2.50 | 4-1-2036 | 3,398,623 | 3,602,792 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 2.50% | 5-1-2036 | $ | 18,069,848 | $ 19,132,589 | |
FNMA | 2.50 | 5-1-2036 | 11,378,768 | 12,062,518 | ||
FNMA | 2.50 | 5-1-2036 | 11,615,393 | 12,315,563 | ||
FNMA | 2.50 | 11-25-2044 | 2,245,142 | 2,390,267 | ||
FNMA %% | 2.50 | 7-14-2050 | 62,200,000 | 64,256,744 | ||
FNMA | 2.50 | 10-1-2050 | 38,534,457 | 40,013,227 | ||
FNMA %% | 2.50 | 6-14-2051 | 93,000,000 | 96,278,633 | ||
FNMA %% | 2.50 | 8-12-2051 | 139,800,000 | 144,095,057 | ||
FNMA (12 Month LIBOR +1.59%) ± | 2.70 | 1-1-2046 | 9,227,924 | 9,633,832 | ||
FNMA (12 Month LIBOR +1.58%) ± | 2.77 | 6-1-2045 | 2,806,869 | 2,924,451 | ||
FNMA | 3.00 | 1-1-2043 | 6,343,390 | 6,786,886 | ||
FNMA | 3.00 | 11-25-2043 | 2,401,506 | 2,481,588 | ||
FNMA | 3.00 | 5-25-2048 | 8,121,060 | 8,636,627 | ||
FNMA | 3.00 | 7-25-2049 | 3,226,128 | 3,380,174 | ||
FNMA | 3.00 | 12-1-2054 | 26,735,307 | 28,478,510 | ||
FNMA | 3.00 | 7-1-2060 | 34,063,737 | 36,496,365 | ||
FNMA | 3.00 | 7-1-2060 | 27,429,130 | 29,188,960 | ||
FNMA | 3.50 | 6-1-2049 | 1,405,226 | 1,494,824 | ||
FNMA | 4.00 | 9-1-2033 | 2,789,008 | 2,983,842 | ||
FNMA | 4.00 | 12-1-2036 | 262,416 | 287,269 | ||
FNMA | 4.00 | 10-1-2037 | 1,687,757 | 1,843,555 | ||
FNMA | 4.00 | 9-1-2045 | 991,342 | 1,104,786 | ||
FNMA | 4.00 | 1-1-2046 | 6,320,220 | 7,042,352 | ||
FNMA | 4.00 | 2-1-2047 | 4,099,003 | 4,517,657 | ||
FNMA | 4.00 | 4-1-2047 | 638,498 | 707,084 | ||
FNMA | 4.00 | 4-1-2047 | 596,107 | 662,470 | ||
FNMA | 4.00 | 4-1-2047 | 523,287 | 562,923 | ||
FNMA | 4.00 | 10-1-2047 | 636,818 | 707,721 | ||
FNMA | 4.00 | 10-1-2047 | 590,965 | 653,297 | ||
FNMA | 4.00 | 7-1-2048 | 21,752,791 | 23,864,314 | ||
FNMA | 4.00 | 9-1-2048 | 4,662,311 | 5,103,804 | ||
FNMA | 4.00 | 10-1-2048 | 3,897,662 | 4,267,301 | ||
FNMA | 4.00 | 11-1-2048 | 4,156,989 | 4,551,229 | ||
FNMA | 4.00 | 12-1-2048 | 3,351,569 | 3,722,476 | ||
FNMA | 4.00 | 2-1-2049 | 4,946,884 | 5,452,413 | ||
FNMA | 4.00 | 5-1-2049 | 377,993 | 413,183 | ||
FNMA | 4.00 | 5-1-2049 | 3,089,993 | 3,447,586 | ||
FNMA | 4.00 | 12-1-2049 | 3,444,150 | 3,793,526 | ||
FNMA | 4.00 | 8-1-2059 | 10,703,059 | 11,963,914 | ||
FNMA | 4.50 | 5-1-2034 | 1,128,430 | 1,247,201 | ||
FNMA | 4.50 | 6-1-2041 | 217,574 | 245,480 | ||
FNMA | 4.50 | 3-1-2043 | 2,816,905 | 3,182,211 | ||
FNMA | 4.50 | 10-1-2045 | 4,430,734 | 5,005,700 | ||
FNMA | 4.50 | 2-1-2046 | 94,461 | 105,284 | ||
FNMA | 4.50 | 6-1-2048 | 1,617,996 | 1,815,172 | ||
FNMA | 4.50 | 7-1-2048 | 5,340,327 | 5,994,350 | ||
FNMA | 4.50 | 8-1-2048 | 7,663,177 | 8,471,444 | ||
FNMA | 4.50 | 10-1-2048 | 7,031,874 | 7,741,590 | ||
FNMA | 4.50 | 10-1-2048 | 10,428,216 | 11,512,391 | ||
FNMA | 4.50 | 11-1-2048 | 2,417,976 | 2,712,628 | ||
FNMA | 4.50 | 1-1-2049 | 12,582,016 | 13,948,539 | ||
FNMA | 4.50 | 2-1-2049 | 7,141,602 | 7,915,566 | ||
FNMA | 4.50 | 6-1-2049 | 5,424,239 | 5,995,208 | ||
FNMA | 4.50 | 7-1-2049 | 5,512,539 | 6,109,996 | ||
FNMA | 4.50 | 7-1-2049 | 9,053,612 | 10,004,902 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 4.50% | 8-1-2049 | $ | 5,245,032 | $ 5,821,651 | |
FNMA | 4.50 | 3-1-2050 | 6,343,003 | 7,046,503 | ||
FNMA | 4.50 | 4-1-2050 | 2,182,108 | 2,438,130 | ||
FNMA | 4.50 | 4-1-2050 | 3,595,515 | 4,039,227 | ||
FNMA | 4.50 | 1-1-2059 | 10,534,396 | 11,903,393 | ||
FNMA | 5.00 | 7-1-2044 | 347,774 | 389,577 | ||
FNMA | 5.00 | 10-1-2048 | 88,815 | 99,436 | ||
FNMA | 5.00 | 12-1-2048 | 4,145,785 | 4,595,962 | ||
FNMA | 5.00 | 6-1-2049 | 27,945,750 | 31,351,555 | ||
FNMA | 5.00 | 8-1-2049 | 35,234,736 | 39,545,847 | ||
FNMA | 5.00 | 8-1-2049 | 18,184,335 | 20,379,278 | ||
FNMA | 5.00 | 11-1-2049 | 5,726,590 | 6,318,210 | ||
FNMA | 5.50 | 12-1-2048 | 4,354,873 | 4,959,734 | ||
FNMA | 5.50 | 6-1-2049 | 11,985,584 | 13,751,091 | ||
FNMA | 6.00 | 4-1-2022 | 618 | 692 | ||
FNMA | 6.00 | 2-1-2029 | 1,799 | 2,020 | ||
FNMA | 6.00 | 3-1-2033 | 24,063 | 27,852 | ||
FNMA | 6.00 | 11-1-2033 | 8,258 | 9,782 | ||
FNMA | 2.50 | 12-1-2035 | 16,743,961 | 17,749,217 | ||
FNMA | 2.50 | 9-1-2050 | 42,215,862 | 43,888,054 | ||
FNMA Series 2017-13 Class PA | 3.00 | 8-25-2046 | 3,781,292 | 3,989,002 | ||
FNMA Series 2017-M7 Class A2 ±± | 2.96 | 2-25-2027 | 2,040,000 | 2,228,632 | ||
FNMA Series 2018-14 Class KC | 3.00 | 3-25-2048 | 3,902,080 | 4,180,749 | ||
FNMA Series 2018-15 Class AB | 3.00 | 3-25-2048 | 1,463,724 | 1,567,478 | ||
FNMA Series 2018-8 Class KL | 2.50 | 3-25-2047 | 4,307,407 | 4,517,005 | ||
FNMA Series 2020 48 Class AB | 2.00 | 7-25-2050 | 6,648,030 | 6,828,871 | ||
FNMA Series 2020-48 Class DA | 2.00 | 7-25-2050 | 16,836,917 | 17,186,436 | ||
FNMA Series 2021-27 Class EC | 1.50 | 5-25-2051 | 17,115,446 | 17,313,874 | ||
FNMA Series 414 Class A35 | 3.50 | 10-25-2042 | 8,350,761 | 9,006,210 | ||
GNMA | 2.00 | 6-21-2051 | 18,600,000 | 18,912,063 | ||
GNMA | 2.50 | 3-20-2051 | 28,366,836 | 29,407,809 | ||
GNMA %% | 2.50 | 6-20-2051 | 18,002,316 | 18,649,977 | ||
GNMA | 2.50 | 6-21-2051 | 51,300,000 | 53,123,415 | ||
GNMA | 3.50 | 1-20-2048 | 4,190,040 | 4,492,636 | ||
GNMA | 3.50 | 3-20-2049 | 3,123,142 | 3,363,271 | ||
GNMA | 4.00 | 6-20-2047 | 32,554,816 | 34,992,140 | ||
GNMA | 4.00 | 3-20-2048 | 1,019,596 | 1,099,103 | ||
GNMA | 4.00 | 4-20-2048 | 1,781,654 | 1,920,682 | ||
GNMA | 4.00 | 4-20-2048 | 1,380,931 | 1,482,851 | ||
GNMA | 4.00 | 4-20-2048 | 1,280,591 | 1,387,671 | ||
GNMA | 4.00 | 5-20-2049 | 1,843,923 | 1,996,484 | ||
GNMA | 4.00 | 6-20-2049 | 5,209,317 | 5,640,407 | ||
GNMA | 4.00 | 7-20-2049 | 4,504,706 | 4,877,190 | ||
GNMA | 4.50 | 8-15-2047 | 869,075 | 971,731 | ||
GNMA | 4.50 | 6-20-2048 | 6,039,453 | 6,518,518 | ||
GNMA | 4.50 | 2-20-2049 | 6,382,978 | 7,129,852 | ||
GNMA | 4.50 | 3-20-2049 | 587,721 | 640,350 | ||
GNMA | 4.50 | 4-20-2049 | 957,605 | 1,048,253 | ||
GNMA | 4.50 | 5-20-2049 | 1,276,323 | 1,397,202 | ||
GNMA | 4.50 | 5-20-2049 | 1,033,374 | 1,131,210 | ||
GNMA | 5.00 | 12-20-2039 | 143,369 | 161,512 | ||
GNMA | 5.00 | 11-20-2045 | 260,471 | 291,989 | ||
GNMA | 5.00 | 3-20-2048 | 9,882,863 | 10,875,260 | ||
GNMA | 5.00 | 5-20-2048 | 4,841,645 | 5,260,290 | ||
GNMA | 5.00 | 6-20-2048 | 18,416,684 | 20,019,895 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA | 5.00% | 7-20-2048 | $ | 3,299,118 | $ 3,599,447 | |
GNMA | 5.00 | 8-20-2048 | 5,215,604 | 5,677,216 | ||
GNMA | 5.00 | 12-20-2048 | 5,313,618 | 5,769,026 | ||
GNMA | 5.00 | 1-20-2049 | 1,055,826 | 1,147,586 | ||
GNMA | 5.00 | 1-20-2049 | 4,802,124 | 5,468,044 | ||
GNMA | 5.00 | 2-20-2049 | 723,669 | 804,962 | ||
GNMA | 5.00 | 3-20-2049 | 1,405,508 | 1,560,307 | ||
GNMA Series 2012-141 Class WA ±± | 4.53 | 11-16-2041 | 1,137,496 | 1,273,879 | ||
GNMA Series 2017-167 Class BQ | 2.50 | 8-20-2044 | 4,587,761 | 4,774,699 | ||
GNMA Series 2018-11 Class PC | 2.75 | 12-20-2047 | 5,960,976 | 6,149,292 | ||
GNMA Series 2019-132 Class NA | 3.50 | 9-20-2049 | 5,279,773 | 5,622,578 | ||
GNMA Series 2021-23 Class MG | 1.50 | 2-20-2051 | 12,061,781 | 12,278,284 | ||
Total Agency securities (Cost $1,748,857,570) | 1,772,000,438 | |||||
Asset-backed securities: 8.10% | ||||||
AmeriCredit Automobile Receivables Series 2020-2 Class A2 | 0.60 | 12-18-2023 | 5,236,484 | 5,245,593 | ||
Avis Budget Rental Car Funding LLC Series 2017-1A Class A 144A | 3.07 | 9-20-2023 | 1,620,000 | 1,668,959 | ||
Avis Budget Rental Car Funding LLC Series 2019-3A Class A1 144A | 2.36 | 3-20-2026 | 3,825,000 | 4,020,850 | ||
Bank of America Credit Card Trust Series 2021-A1 Class A1 | 0.44 | 9-15-2026 | 5,946,000 | 5,946,797 | ||
College Avenue Student Loan Trust Series 2017-A Class A1 (1 Month LIBOR+1.65%) 144A± | 1.76 | 11-26-2046 | 2,357,781 | 2,402,345 | ||
College Avenue Student Loan Trust Series 2018-A Class A2 144A | 4.13 | 12-26-2047 | 1,832,141 | 1,938,412 | ||
College Avenue Student Loan Trust Series 2019- A Class A2 144A | 3.28 | 12-28-2048 | 2,997,032 | 3,107,217 | ||
College Avenue Student Loan Trust Series 2021-A Class-A2 144A | 1.60 | 7-25-2051 | 4,397,089 | 4,397,226 | ||
Ford Credit Auto Owner Trust Series 2018-1 Class A 144A | 3.19 | 7-15-2031 | 3,524,000 | 3,828,762 | ||
Ford Credit Auto Owner Trust Series 2019-1 Class A 144A | 3.52 | 7-15-2030 | 7,460,000 | 8,055,691 | ||
Ford Credit Auto Owner Trust Series 2021-1 Class A 144A | 1.37 | 10-17-2033 | 9,260,000 | 9,372,660 | ||
Navient Student Loan Trust Series 2014-AA Class A3 (1 Month LIBOR+1.60%) 144A± | 1.70 | 10-15-2031 | 2,622,000 | 2,667,370 | ||
Navient Student Loan Trust Series 2016-AA Class A2B (1 Month LIBOR+2.15%) 144A± | 2.25 | 12-15-2045 | 1,694,001 | 1,743,926 | ||
Navient Student Loan Trust Series 2018-CA Class A2 144A | 3.52 | 6-16-2042 | 872,215 | 888,303 | ||
Navient Student Loan Trust Series 2018-DA Class A2A 144A | 4.00 | 12-15-2059 | 4,894,996 | 5,152,195 | ||
Navient Student Loan Trust Series 2019 -D Class A2A 144A | 3.01 | 12-15-2059 | 9,490,004 | 9,939,998 | ||
Navient Student Loan Trust Series 2019-A Class A2A 144A | 3.42 | 1-15-2043 | 7,380,041 | 7,579,743 | ||
Navient Student Loan Trust Series 2019-BA Class A2A 144A | 3.39 | 12-15-2059 | 7,705,386 | 8,132,577 | ||
Navient Student Loan Trust Series 2019-CA Class A2 144A | 3.13 | 2-15-2068 | 5,921,219 | 6,063,411 | ||
Navient Student Loan Trust Series 2019-FA Class A2 144A | 2.60 | 8-15-2068 | 7,376,605 | 7,532,773 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Navient Student Loan Trust Series 2019-GA Class A 144A | 2.40% | 10-15-2068 | $ | 3,738,750 | $ 3,843,672 | |
Navient Student Loan Trust Series 2020-A Class A2A 144A | 2.46 | 11-15-2068 | 7,508,000 | 7,789,550 | ||
Navient Student Loan Trust Series 2020-BA ClassA2 144A | 2.12 | 1-15-2069 | 4,271,000 | 4,337,372 | ||
Navient Student Loan Trust Series 2020-DA Class A 144A | 1.69 | 5-15-2069 | 2,975,437 | 3,010,207 | ||
Navient Student Loan Trust Series 2020-EA Class A 144A | 1.69 | 5-15-2069 | 1,172,598 | 1,194,483 | ||
Navient Student Loan Trust Series 2020-GA Class A 144A | 1.17 | 9-16-2069 | 7,548,408 | 7,593,013 | ||
Navient Student Loan Trust Series 2020-HA Class A 144A | 1.31 | 1-15-2069 | 4,022,297 | 4,056,995 | ||
Navient Student Loan Trust Series 2020-IA Class A1A 144A | 1.33 | 4-15-2069 | 15,262,330 | 15,280,260 | ||
Navient Student Loan Trust Series 2021-A Class A 144A | 0.84 | 5-15-2069 | 1,791,151 | 1,792,642 | ||
Navient Student Loan Trust Series 2021-BA Class A 144A | 0.94 | 7-15-2069 | 7,996,053 | 8,015,905 | ||
Navient Student Loan Trust Series 2021-CA Class A 144A | 1.06 | 10-15-2069 | 18,982,000 | 18,992,742 | ||
Nelnet Student Loan Trust Series 2004-4 Class A5 (3 Month LIBOR+0.16%) ± | 0.34 | 1-25-2037 | 4,415,115 | 4,363,549 | ||
Nelnet Student Loan Trust Series 2004-5 Class A5 (3 Month LIBOR+0.18%) ± | 0.36 | 10-27-2036 | 2,131,597 | 2,100,893 | ||
Nelnet Student Loan Trust Series 2005-1 Class A5 (3 Month LIBOR+0.11%) ± | 0.29 | 10-25-2033 | 17,569,128 | 17,291,093 | ||
Nelnet Student Loan Trust Series 2005-2 Class A5 (3 Month LIBOR+0.10%) ± | 0.29 | 3-23-2037 | 17,118,017 | 16,855,433 | ||
Nelnet Student Loan Trust Series 2005-3 Class A5 (3 Month LIBOR+0.12%) ± | 0.31 | 12-24-2035 | 12,888,202 | 12,707,587 | ||
Nelnet Student Loan Trust Series 2005-4 Class A4 (3 Month LIBOR+0.18%) ± | 0.37 | 3-22-2032 | 3,130,995 | 3,031,415 | ||
Santander Drive Auto Receivables Trust Series 2020-1 Class A3 | 2.03 | 2-15-2024 | 2,240,000 | 2,254,087 | ||
Santander Drive Auto Receivables Trust Series 2020-2 Class A2A | 0.62 | 5-15-2023 | 2,183,249 | 2,184,130 | ||
Santander Drive Auto Receivables Trust Series 2020-3 Class A3 | 0.52 | 7-15-2024 | 3,198,000 | 3,204,209 | ||
Santander Drive Auto Receivables Trust Series 2020-4 Class A3 | 0.48 | 7-15-2024 | 2,889,000 | 2,895,920 | ||
Santander Revolving Auto Loan Trust Series 2019-A Class A 144A | 2.51 | 1-26-2032 | 5,589,000 | 5,907,815 | ||
SLM Student Loan Trust Series 2003-1 Class A5C (3 Month LIBOR+0.75%) 144A± | 0.93 | 12-15-2032 | 3,020,351 | 2,933,985 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR+0.67%) 144A± | 0.85 | 12-17-2068 | 8,967,000 | 8,966,994 | ||
SLM Student Loan Trust Series 2007-2 Class A4 (3 Month LIBOR+0.06%) ± | 0.24 | 7-25-2022 | 15,659,682 | 15,205,636 | ||
SLM Student Loan Trust Series 2007-3 Class A4 (3 Month LIBOR+0.06%) ± | 0.24 | 1-25-2022 | 4,055,582 | 3,931,340 | ||
SLM Student Loan Trust Series 2010-1 Class A (1 Month LIBOR+0.40%) ± | 0.51 | 3-25-2025 | 1,407,344 | 1,383,730 | ||
SLM Student Loan Trust Series 2012-1 Class A3 (1 Month LIBOR+0.95%) ± | 1.06 | 9-25-2028 | 10,478,847 | 10,346,689 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
SLM Student Loan Trust Series 2012-2 Class A (1 Month LIBOR+0.70%) ± | 0.81% | 1-25-2029 | $ | 8,762,899 | $ 8,586,281 | |
SLM Student Loan Trust Series 2012-6 Class A3 (1 Month LIBOR+0.75%) ± | 0.86 | 5-26-2026 | 2,314,495 | 2,290,919 | ||
SMB Private Education Loan Trust Series 2015-B Class A2A 144A | 2.98 | 7-15-2027 | 208,429 | 211,089 | ||
SMB Private Education Loan Trust Series 2016-A Class A2A 144A | 2.70 | 5-15-2031 | 5,132,905 | 5,275,277 | ||
SMB Private Education Loan Trust Series 2016-B Class A2A 144A | 2.43 | 2-17-2032 | 2,509,778 | 2,576,969 | ||
SMB Private Education Loan Trust Series 2016-B Class A2B (1 Month LIBOR+1.45%) 144A± | 1.56 | 2-17-2032 | 2,458,855 | 2,494,031 | ||
SMB Private Education Loan Trust Series 2016-C Class A2B (1 Month LIBOR+1.10%) 144A± | 1.21 | 9-15-2034 | 2,690,394 | 2,714,265 | ||
SMB Private Education Loan Trust Series 2018-C Class A2A 144A | 3.63 | 11-15-2035 | 3,146,468 | 3,323,942 | ||
SMB Private Education Loan Trust Series 2019-A Class A2A 144A | 3.44 | 7-15-2036 | 11,717,682 | 12,341,198 | ||
SMB Private Education Loan Trust Series 2020-BA Class A1A 144A | 1.29 | 7-15-2053 | 9,647,679 | 9,707,923 | ||
SMB Private Education Loan Trust Series 2020-PTA Class A2A 144A | 1.60 | 9-15-2054 | 10,058,000 | 10,194,336 | ||
SMB Private Education Loan Trust Series 2020-PTB Class A2A 144A | 1.60 | 9-15-2054 | 26,019,000 | 26,376,043 | ||
SMB Private Education Loan Trust Series 2021-A Class APT1 144A | 1.07 | 1-15-2053 | 22,251,420 | 22,025,611 | ||
SMB Private Education Loan Trust Series 2021-B Class A 144A | 1.31 | 7-17-2051 | 9,374,000 | 9,381,378 | ||
SMB Private Education Loan Trust Series 2021-C Class A1 (1 Month LIBOR+0.40%) 144A± | 0.49 | 1-15-2053 | 4,537,000 | 4,537,000 | ||
SMB Private Education Loan Trust Series 2053 Class 1 (1 Month LIBOR+0.80%) 144A± | 0.89 | 1-15-2053 | 6,986,000 | 6,986,000 | ||
SoFi Professional Loan Program LLC Series 2016-A Class A2 144A | 2.76 | 12-26-2036 | 1,092,063 | 1,106,172 | ||
SoFi Professional Loan Program LLC Series 2016-E Class A1 (1 Month LIBOR+0.85%) 144A± | 0.94 | 7-25-2039 | 289,589 | 290,123 | ||
SoFi Professional Loan Program LLC Series 2017-A Class A1 (1 Month LIBOR+0.70%) 144A± | 0.81 | 3-26-2040 | 325,471 | 325,670 | ||
SoFi Professional Loan Program LLC Series 2017-D Class A2 144A | 2.65 | 9-25-2040 | 283,964 | 290,419 | ||
SoFi Professional Loan Program LLC Series 2017-E Class A1 (1 Month LIBOR+0.50%) 144A± | 0.61 | 11-26-2040 | 186,300 | 186,426 | ||
SoFi Professional Loan Program LLC Series 2017-E Class A2B 144A | 2.72 | 11-26-2040 | 1,258,872 | 1,282,327 | ||
SoFi Professional Loan Program LLC Series 2018-A Class A2B 144A | 2.95 | 2-25-2042 | 2,015,702 | 2,056,186 | ||
SoFi Professional Loan Program LLC Series 2018-B Class A2FX 144A | 3.34 | 8-25-2047 | 4,586,613 | 4,706,809 | ||
SoFi Professional Loan Program LLC Series 2020-A Class A2 144A | 2.54 | 5-15-2046 | 8,057,000 | 8,346,623 | ||
SoFi Professional Loan Program LLC Series 2020-C Class AFX 144A | 1.95 | 2-15-2046 | 3,579,223 | 3,644,739 | ||
Tesla Auto Lease Trust Series 2021-A Class A3 144A | 0.56 | 3-20-2025 | 2,130,000 | 2,137,679 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Toyota Auto Loan Extneded Note Series 2021-1A Class A 144A | 1.07% | 2-27-2034 | $ | 9,822,000 | $ 9,852,339 | |
Triton Container Finance LLC Series 2020-1A Class A 144A | 2.11 | 9-20-2045 | 2,372,483 | 2,396,490 | ||
Total Asset-backed securities (Cost $451,585,022) | 456,800,418 | |||||
Corporate bonds and notes: 24.45% | ||||||
Communication services: 2.58% | ||||||
Diversified telecommunication services: 1.78% | ||||||
AT&T Incorporated | 2.25 | 2-1-2032 | 4,126,000 | 3,968,802 | ||
AT&T Incorporated | 3.10 | 2-1-2043 | 900,000 | 851,989 | ||
AT&T Incorporated | 3.50 | 6-1-2041 | 1,900,000 | 1,905,972 | ||
AT&T Incorporated 144A | 3.50 | 9-15-2053 | 6,852,000 | 6,501,331 | ||
AT&T Incorporated 144A | 3.55 | 9-15-2055 | 1,862,000 | 1,760,635 | ||
AT&T Incorporated 144A | 3.80 | 12-1-2057 | 3,408,000 | 3,356,025 | ||
AT&T Incorporated | 3.85 | 6-1-2060 | 2,751,000 | 2,751,751 | ||
T-Mobile USA Incorporated | 2.05 | 2-15-2028 | 5,448,000 | 5,423,157 | ||
T-Mobile USA Incorporated | 2.25 | 2-15-2026 | 4,117,000 | 4,151,789 | ||
T-Mobile USA Incorporated 144A | 2.25 | 2-15-2026 | 20,995,000 | 21,172,408 | ||
T-Mobile USA Incorporated | 2.88 | 2-15-2031 | 3,127,000 | 3,015,491 | ||
T-Mobile USA Incorporated 144A | 3.38 | 4-15-2029 | 11,875,000 | 12,084,119 | ||
T-Mobile USA Incorporated 144A | 3.50 | 4-15-2031 | 7,882,000 | 8,015,600 | ||
T-Mobile USA Incorporated | 3.75 | 4-15-2027 | 518,000 | 569,443 | ||
Verizon Communications Incorporated | 2.55 | 3-21-2031 | 2,236,000 | 2,248,504 | ||
Verizon Communications Incorporated | 2.65 | 11-20-2040 | 7,471,000 | 6,883,509 | ||
Verizon Communications Incorporated | 2.88 | 11-20-2050 | 3,208,000 | 2,891,568 | ||
Verizon Communications Incorporated | 3.40 | 3-22-2041 | 3,590,000 | 3,650,792 | ||
Verizon Communications Incorporated | 3.55 | 3-22-2051 | 5,064,000 | 5,135,374 | ||
Verizon Communications Incorporated | 3.70 | 3-22-2061 | 2,612,000 | 2,635,889 | ||
Verizon Communications Incorporated | 4.33 | 9-21-2028 | 1,236,000 | 1,420,604 | ||
100,394,752 | ||||||
Entertainment: 0.14% | ||||||
Electronic Arts Incorporated | 1.85 | 2-15-2031 | 134,000 | 127,624 | ||
NETFLIX Incorporated 144A | 3.63 | 6-15-2025 | 3,172,000 | 3,398,005 | ||
NETFLIX Incorporated | 5.88 | 11-15-2028 | 3,409,000 | 4,124,890 | ||
7,650,519 | ||||||
Media: 0.66% | ||||||
Charter Communications Operating LLC | 3.50 | 6-1-2041 | 3,694,000 | 3,524,130 | ||
Charter Communications Operating LLC | 3.90 | 6-1-2052 | 6,903,000 | 6,617,656 | ||
Charter Communications Operating LLC %% | 4.40 | 12-1-2061 | 2,604,000 | 2,633,395 | ||
Charter Communications Operating LLC | 4.46 | 7-23-2022 | 1,700,000 | 1,766,687 | ||
Charter Communications Operating LLC | 4.80 | 3-1-2050 | 3,463,000 | 3,800,719 | ||
Comcast Corporation | 1.50 | 2-15-2031 | 6,389,000 | 5,936,352 | ||
Comcast Corporation | 3.75 | 4-1-2040 | 3,594,000 | 3,944,132 | ||
Comcast Corporation | 3.95 | 10-15-2025 | 1,263,000 | 1,417,870 | ||
Comcast Corporation | 4.15 | 10-15-2028 | 2,163,000 | 2,493,389 | ||
Comcast Corporation | 4.60 | 10-15-2038 | 1,616,000 | 1,945,849 | ||
Discovery Communications LLC 144A | 4.00 | 9-15-2055 | 2,199,000 | 2,176,851 | ||
Discovery Communications LLC | 4.65 | 5-15-2050 | 552,000 | 613,052 | ||
ViacomCBS Incorporated | 4.60 | 1-15-2045 | 345,000 | 387,864 | ||
37,257,946 |
Interest rate | Maturity date | Principal | Value | |||
Consumer discretionary: 1.81% | ||||||
Automobiles: 0.07% | ||||||
Ford Motor Company | 4.75% | 1-15-2043 | $ | 965,000 | $ 973,492 | |
Nissan Motor Company 144A | 2.75 | 3-9-2028 | 2,790,000 | 2,795,761 | ||
3,769,253 | ||||||
Diversified consumer services: 0.27% | ||||||
Sodexo Incorporated 144A | 1.63 | 4-16-2026 | 4,830,000 | 4,854,441 | ||
Sodexo Incorporated 144A | 2.72 | 4-16-2031 | 4,585,000 | 4,582,981 | ||
Yale University | 0.87 | 4-15-2025 | 3,182,000 | 3,210,189 | ||
Yale University | 1.48 | 4-15-2030 | 2,727,000 | 2,641,069 | ||
15,288,680 | ||||||
Hotels, restaurants & leisure: 0.45% | ||||||
GLP Capital LP | 4.00 | 1-15-2030 | 1,472,000 | 1,562,219 | ||
GLP Capital LP | 5.30 | 1-15-2029 | 1,800,000 | 2,077,362 | ||
Marriott International Incorporated | 2.85 | 4-15-2031 | 7,998,000 | 7,975,115 | ||
Marriott International Incorporated | 4.63 | 6-15-2030 | 700,000 | 789,485 | ||
Marriott International Incorporated | 5.75 | 5-1-2025 | 3,290,000 | 3,816,598 | ||
Starbucks Corporation | 1.30 | 5-7-2022 | 2,263,000 | 2,286,051 | ||
Starbucks Corporation | 3.35 | 3-12-2050 | 2,777,000 | 2,754,938 | ||
Starbucks Corporation | 3.50 | 11-15-2050 | 3,926,000 | 3,985,831 | ||
25,247,599 | ||||||
Internet & direct marketing retail: 0.68% | ||||||
Amazon.com Incorporated | 1.00 | 5-12-2026 | 14,682,000 | 14,674,881 | ||
Amazon.com Incorporated | 1.65 | 5-12-2028 | 5,450,000 | 5,476,260 | ||
Amazon.com Incorporated | 2.10 | 5-12-2031 | 13,815,000 | 13,855,853 | ||
Amazon.com Incorporated | 2.70 | 6-3-2060 | 827,000 | 736,304 | ||
Amazon.com Incorporated | 3.10 | 5-12-2051 | 1,845,000 | 1,841,189 | ||
Amazon.com Incorporated | 3.25 | 5-12-2061 | 1,845,000 | 1,850,129 | ||
38,434,616 | ||||||
Specialty retail: 0.34% | ||||||
Home Depot Incorporated | 2.38 | 3-15-2051 | 2,272,000 | 1,998,331 | ||
Home Depot Incorporated | 2.70 | 4-15-2030 | 2,209,000 | 2,327,723 | ||
Home Depot Incorporated | 3.13 | 12-15-2049 | 6,918,000 | 6,981,208 | ||
Home Depot Incorporated | 3.30 | 4-15-2040 | 736,000 | 774,363 | ||
Home Depot Incorporated | 3.35 | 4-15-2050 | 1,781,000 | 1,872,207 | ||
Lowe's Companies Incorporated | 2.63 | 4-1-2031 | 4,472,000 | 4,545,123 | ||
Lowe's Companies Incorporated | 3.50 | 4-1-2051 | 982,000 | 1,007,132 | ||
19,506,087 | ||||||
Consumer staples: 1.14% | ||||||
Beverages: 0.51% | ||||||
Anheuser-Busch InBev Worldwide Incorporated | 3.75 | 7-15-2042 | 1,627,000 | 1,706,268 | ||
Anheuser-Busch InBev Worldwide Incorporated | 4.38 | 4-15-2038 | 5,290,000 | 6,047,213 | ||
Anheuser-Busch InBev Worldwide Incorporated | 4.60 | 4-15-2048 | 3,881,000 | 4,495,121 | ||
Anheuser-Busch InBev Worldwide Incorporated | 4.70 | 2-1-2036 | 5,036,000 | 6,000,009 | ||
Anheuser-Busch InBev Worldwide Incorporated | 4.90 | 2-1-2046 | 4,518,000 | 5,416,400 | ||
Molson Coors Beverage Company | 4.20 | 7-15-2046 | 4,953,000 | 5,248,740 | ||
28,913,751 |
Interest rate | Maturity date | Principal | Value | |||
Food & staples retailing: 0.04% | ||||||
Walgreens Boots Alliance | 4.10% | 4-15-2050 | $ | 364,000 | $ 381,481 | |
Walmart Incorporated | 3.05 | 7-8-2026 | 1,672,000 | 1,835,694 | ||
Walmart Incorporated | 4.05 | 6-29-2048 | 45,000 | 54,426 | ||
2,271,601 | ||||||
Food products: 0.05% | ||||||
Hormel Foods Corporation %% | 1.70 | 6-3-2028 | 2,719,000 | 2,711,345 | ||
Personal products: 0.09% | ||||||
Estee Lauder Incorporated | 1.95 | 3-15-2031 | 5,353,000 | 5,254,412 | ||
Tobacco: 0.45% | ||||||
Altria Group Incorporated | 2.35 | 5-6-2025 | 782,000 | 818,952 | ||
Altria Group Incorporated | 2.45 | 2-4-2032 | 2,099,000 | 1,987,284 | ||
Altria Group Incorporated | 3.40 | 2-4-2041 | 5,753,000 | 5,279,842 | ||
Altria Group Incorporated | 3.88 | 9-16-2046 | 3,690,000 | 3,513,861 | ||
Altria Group Incorporated | 4.00 | 2-4-2061 | 2,372,000 | 2,212,295 | ||
BAT Capital Corporation | 2.26 | 3-25-2028 | 954,000 | 938,676 | ||
BAT Capital Corporation | 2.73 | 3-25-2031 | 5,838,000 | 5,620,555 | ||
BAT Capital Corporation | 3.56 | 8-15-2027 | 3,554,000 | 3,775,437 | ||
BAT Capital Corporation | 4.91 | 4-2-2030 | 984,000 | 1,114,269 | ||
25,261,171 | ||||||
Energy: 1.83% | ||||||
Energy equipment & services: 0.15% | ||||||
Duke Energy Carolinas LLC | 2.55 | 4-15-2031 | 1,800,000 | 1,848,448 | ||
NSTAR Electric Company | 3.10 | 6-1-2051 | 1,627,000 | 1,613,638 | ||
Tampa Electric Company | 2.40 | 3-15-2031 | 2,681,000 | 2,708,076 | ||
Tampa Electric Company | 3.45 | 3-15-2051 | 2,145,000 | 2,246,520 | ||
8,416,682 | ||||||
Oil, gas & consumable fuels: 1.68% | ||||||
BP Capital Markets America Incorporated | 3.38 | 2-8-2061 | 1,509,000 | 1,460,878 | ||
Devon Energy Corporation | 4.75 | 5-15-2042 | 1,900,000 | 2,089,037 | ||
Devon Energy Corporation | 5.00 | 6-15-2045 | 945,000 | 1,071,298 | ||
Devon Energy Corporation | 5.60 | 7-15-2041 | 1,436,000 | 1,731,054 | ||
Devon Energy Corporation | 5.85 | 12-15-2025 | 8,145,000 | 9,633,966 | ||
Diamondback Energy Incorporated | 3.25 | 12-1-2026 | 5,508,000 | 5,928,482 | ||
Diamondback Energy Incorporated | 3.50 | 12-1-2029 | 3,272,000 | 3,468,006 | ||
Diamondback Energy Incorporated | 4.40 | 3-24-2051 | 3,949,000 | 4,256,623 | ||
Enable Midstream Partners | 3.90 | 5-15-2024 | 491,000 | 525,375 | ||
Enable Midstream Partners | 4.15 | 9-15-2029 | 2,090,000 | 2,250,649 | ||
Enable Midstream Partners | 4.40 | 3-15-2027 | 3,526,000 | 3,892,003 | ||
Enable Midstream Partners | 4.95 | 5-15-2028 | 5,980,000 | 6,768,822 | ||
Energy Transfer Operating Partners LP | 4.05 | 3-15-2025 | 8,562,000 | 9,297,463 | ||
Energy Transfer Operating Partners LP | 5.15 | 3-15-2045 | 905,000 | 993,074 | ||
Energy Transfer Operating Partners LP | 5.25 | 4-15-2029 | 58,000 | 67,565 | ||
Energy Transfer Operating Partners LP | 5.30 | 4-15-2047 | 552,000 | 615,427 | ||
Energy Transfer Operating Partners LP | 6.00 | 6-15-2048 | 727,000 | 879,751 | ||
Energy Transfer Operating Partners LP | 6.05 | 6-1-2041 | 827,000 | 999,260 | ||
Energy Transfer Operating Partners LP | 6.10 | 2-15-2042 | 931,000 | 1,108,301 | ||
Energy Transfer Operating Partners LP | 6.13 | 12-15-2045 | 1,597,000 | 1,924,106 | ||
Energy Transfer Partners LP | 7.50 | 7-1-2038 | 425,000 | 579,232 | ||
Enterprise Products Operating LLC | 3.95 | 1-31-2060 | 773,000 | 793,232 |
Interest rate | Maturity date | Principal | Value | |||
Oil, gas & consumable fuels (continued) | ||||||
Marathon Oil Corporation | 5.20% | 6-1-2045 | $ | 4,136,000 | $ 4,759,151 | |
ONEOK Incorporated | 3.10 | 3-15-2030 | 3,036,000 | 3,118,666 | ||
ONEOK Incorporated | 3.40 | 9-1-2029 | 1,191,000 | 1,253,274 | ||
ONEOK Incorporated | 4.00 | 7-13-2027 | 754,000 | 832,244 | ||
ONEOK Incorporated | 4.35 | 3-15-2029 | 1,282,000 | 1,431,132 | ||
ONEOK Incorporated | 4.45 | 9-1-2049 | 2,963,000 | 3,141,684 | ||
ONEOK Incorporated | 4.95 | 7-13-2047 | 354,000 | 397,061 | ||
ONEOK Incorporated | 5.85 | 1-15-2026 | 454,000 | 538,263 | ||
Pioneer Natural Resource | 1.90 | 8-15-2030 | 4,772,000 | 4,491,963 | ||
Plains All American Pipeline LP | 4.90 | 2-15-2045 | 773,000 | 799,165 | ||
Sunoco Logistics Partner LP | 5.35 | 5-15-2045 | 1,364,000 | 1,529,268 | ||
WPX Energy Incorporated | 5.25 | 9-15-2024 | 10,806,000 | 11,986,664 | ||
94,612,139 | ||||||
Financials: 7.00% | ||||||
Banks: 3.72% | ||||||
Bank of America Corporation (U.S. SOFR+0.69%) ± | 0.98 | 4-22-2025 | 9,663,000 | 9,721,078 | ||
Bank of America Corporation (U.S. SOFR+1.01%) ± | 1.20 | 10-24-2026 | 13,590,000 | 13,549,250 | ||
Bank of America Corporation (U.S. SOFR+1.15%) ± | 1.32 | 6-19-2026 | 8,036,000 | 8,094,525 | ||
Bank of America Corporation (U.S. SOFR+0.91%) ± | 1.66 | 3-11-2027 | 17,962,000 | 18,215,994 | ||
Bank of America Corporation (U.S. SOFR+0.96%) ± | 1.73 | 7-22-2027 | 9,689,000 | 9,810,673 | ||
Bank of America Corporation (U.S. SOFR+1.53%) ± | 1.90 | 7-23-2031 | 5,480,000 | 5,236,574 | ||
Bank of America Corporation (U.S. SOFR+1.37%) ± | 1.92 | 10-24-2031 | 2,981,000 | 2,847,886 | ||
Bank of America Corporation (3 Month LIBOR+0.64%) ± | 2.02 | 2-13-2026 | 909,000 | 943,405 | ||
Bank of America Corporation (3 Month LIBOR+0.87%) ± | 2.46 | 10-22-2025 | 4,935,000 | 5,196,812 | ||
Bank of America Corporation (3 Month LIBOR+0.99%) ± | 2.50 | 2-13-2031 | 5,008,000 | 5,039,234 | ||
Bank of America Corporation (U.S. SOFR+2.15%) ± | 2.59 | 4-29-2031 | 5,753,000 | 5,856,251 | ||
Bank of America Corporation (U.S. SOFR+1.32%) ± | 2.69 | 4-22-2032 | 17,567,000 | 17,811,692 | ||
Bank of America Corporation (3 Month LIBOR+0.79%) ± | 3.00 | 12-20-2023 | 9,463,000 | 9,846,323 | ||
Bank of America Corporation (U.S. SOFR+1.58%) ± | 3.31 | 4-22-2042 | 3,863,000 | 3,953,880 | ||
Bank of America Corporation | 3.50 | 4-19-2026 | 909,000 | 1,008,172 | ||
Bank of America Corporation (3 Month LIBOR+1.06%) ± | 3.56 | 4-23-2027 | 4,399,000 | 4,836,712 | ||
Deutsche Bank (U.S. SOFR+1.87%) ± | 2.13 | 11-24-2026 | 9,402,000 | 9,561,588 | ||
Deutsche Bank (U.S. SOFR+2.76%) ± | 3.73 | 1-14-2032 | 2,396,000 | 2,400,063 | ||
Deutsche Bank | 0.90 | 5-28-2024 | 4,526,000 | 4,529,409 | ||
Deutsche Bank (U.S. SOFR+1.72%) ± | 3.04 | 5-28-2032 | 2,770,000 | 2,756,338 | ||
JPMorgan Chase & Company (U.S. SOFR+0.54%) ±%% | 0.82 | 6-1-2025 | 8,141,000 | 8,151,880 | ||
JPMorgan Chase & Company (U.S. SOFR+0.70%) ± | 1.04 | 2-4-2027 | 17,835,000 | 17,617,328 | ||
JPMorgan Chase & Company (U.S. SOFR+0.80%) ± | 1.05 | 11-19-2026 | 9,945,000 | 9,856,630 | ||
JPMorgan Chase & Company (U.S. SOFR+0.89%) ± | 1.58 | 4-22-2027 | 5,371,000 | 5,411,773 | ||
JPMorgan Chase & Company (U.S. SOFR+1.02%) ±%% | 2.07 | 6-1-2029 | 8,862,000 | 8,874,844 | ||
JPMorgan Chase & Company (U.S. SOFR+1.85%) ± | 2.08 | 4-22-2026 | 7,798,000 | 8,101,059 | ||
JPMorgan Chase & Company (U.S. SOFR+1.89%) ± | 2.18 | 6-1-2028 | 5,462,000 | 5,600,807 | ||
JPMorgan Chase & Company (U.S. SOFR+1.58%) ± | 3.33 | 4-22-2052 | 2,681,000 | 2,713,787 | ||
JPMorgan Chase & Company (3 Month LIBOR+1.36%) ± | 3.88 | 7-24-2038 | 2,015,000 | 2,264,985 | ||
209,808,952 | ||||||
Capital markets: 1.71% | ||||||
Athene Global Funding 144A | 2.50 | 3-24-2028 | 7,171,000 | 7,302,142 | ||
FS KKR Capital Corporation | 3.40 | 1-15-2026 | 10,775,000 | 11,127,296 | ||
GE Capital Funding LLC | 3.45 | 5-15-2025 | 2,250,000 | 2,454,042 | ||
GE Capital Funding LLC | 4.40 | 5-15-2030 | 3,188,000 | 3,665,347 | ||
Golub Capital LLC | 2.50 | 8-24-2026 | 1,781,000 | 1,784,698 | ||
Golub Capital LLC | 3.38 | 4-15-2024 | 7,889,000 | 8,223,050 |
Interest rate | Maturity date | Principal | Value | |||
Capital markets (continued) | ||||||
Morgan Stanley (U.S. SOFR+0.53%) ±%% | 0.79% | 5-30-2025 | $ | 18,124,000 | $ 18,110,176 | |
Morgan Stanley (U.S. SOFR+0.75%) ± | 0.86 | 10-21-2025 | 6,427,000 | 6,446,393 | ||
Morgan Stanley (U.S. SOFR+0.72%) ± | 0.99 | 12-10-2026 | 9,072,000 | 8,962,410 | ||
Morgan Stanley (U.S. SOFR+1.99%) ± | 2.19 | 4-28-2026 | 909,000 | 950,607 | ||
Oaktree Specialty lend | 2.70 | 1-15-2027 | 3,674,000 | 3,692,611 | ||
Owl Rock Capital Corporation | 3.40 | 7-15-2026 | 10,381,000 | 10,849,825 | ||
PPL Capital Funding Incorporated | 3.10 | 5-15-2026 | 5,008,000 | 5,394,900 | ||
PPL Capital Funding Incorporated | 3.40 | 6-1-2023 | 509,000 | 533,907 | ||
PPL Capital Funding Incorporated | 4.13 | 4-15-2030 | 4,626,000 | 5,224,355 | ||
PPL Capital Funding Incorporated | 5.00 | 3-15-2044 | 1,454,000 | 1,803,063 | ||
96,524,822 | ||||||
Consumer finance: 1.13% | ||||||
Bunge Limited Finance Corporation | 1.63 | 8-17-2025 | 3,101,000 | 3,137,777 | ||
Bunge Limited Finance Corporation | 2.75 | 5-14-2031 | 11,063,000 | 11,049,614 | ||
Bunge Limited Finance Corporation | 3.25 | 8-15-2026 | 4,808,000 | 5,202,233 | ||
Bunge Limited Finance Corporation | 3.75 | 9-25-2027 | 9,007,000 | 9,935,695 | ||
Ford Motor Credit Company LLC | 4.00 | 11-13-2030 | 2,630,000 | 2,689,175 | ||
General Motors Financial Company Incorporated | 5.40 | 4-1-2048 | 1,528,000 | 1,867,197 | ||
Hyundai Capital America Company 144A | 0.80 | 1-8-2024 | 5,635,000 | 5,623,625 | ||
Hyundai Capital America Company 144A | 1.25 | 9-18-2023 | 2,772,000 | 2,799,278 | ||
Hyundai Capital America Company 144A | 1.30 | 1-8-2026 | 5,535,000 | 5,482,905 | ||
Hyundai Capital America Company 144A | 1.80 | 10-15-2025 | 4,653,000 | 4,710,243 | ||
Hyundai Capital America Company 144A | 2.38 | 10-15-2027 | 1,854,000 | 1,887,663 | ||
John Deere Capital Corporation | 0.55 | 7-5-2022 | 5,454,000 | 5,476,634 | ||
John Deere Capital Corporation | 1.20 | 4-6-2023 | 4,200,000 | 4,276,642 | ||
64,138,681 | ||||||
Diversified financial services: 0.09% | ||||||
Andrew W. Mellon Foundation | 0.95 | 8-1-2027 | 2,173,000 | 2,124,831 | ||
Assured Guaranty US Holdings Incorporated | 3.15 | 6-15-2031 | 2,749,000 | 2,785,193 | ||
4,910,024 | ||||||
Insurance: 0.35% | ||||||
American International Group Incorporated | 3.40 | 6-30-2030 | 4,008,000 | 4,328,477 | ||
American International Group Incorporated | 4.38 | 6-30-2050 | 2,372,000 | 2,742,968 | ||
Brighthouse Financial Incorporated | 4.70 | 6-22-2047 | 3,263,000 | 3,520,608 | ||
Nationwide Mutual Insurance Company 144A | 4.35 | 4-30-2050 | 2,185,000 | 2,352,957 | ||
SBL Holdings Incorporated 144A | 5.00 | 2-18-2031 | 6,171,000 | 6,654,071 | ||
19,599,081 | ||||||
Health care: 1.97% | ||||||
Biotechnology: 0.70% | ||||||
AbbVie Incorporated | 2.30 | 11-21-2022 | 5,553,000 | 5,713,650 | ||
AbbVie Incorporated | 3.20 | 11-21-2029 | 3,299,000 | 3,538,509 | ||
AbbVie Incorporated | 3.75 | 11-14-2023 | 491,000 | 529,004 | ||
AbbVie Incorporated | 4.05 | 11-21-2039 | 2,063,000 | 2,308,063 | ||
AbbVie Incorporated | 4.25 | 11-21-2049 | 5,408,000 | 6,228,308 | ||
AbbVie Incorporated | 4.30 | 5-14-2036 | 1,291,000 | 1,491,629 | ||
AbbVie Incorporated | 4.40 | 11-6-2042 | 445,000 | 516,008 | ||
AbbVie Incorporated | 4.45 | 5-14-2046 | 1,309,000 | 1,529,296 | ||
Gilead Sciences Incorporated | 1.20 | 10-1-2027 | 891,000 | 873,324 | ||
Gilead Sciences Incorporated | 2.60 | 10-1-2040 | 3,081,000 | 2,879,626 |
Interest rate | Maturity date | Principal | Value | |||
Biotechnology (continued) | ||||||
Gilead Sciences Incorporated | 2.80% | 10-1-2050 | $ | 3,953,000 | $ 3,575,726 | |
Gilead Sciences Incorporated | 4.00 | 9-1-2036 | 1,591,000 | 1,801,675 | ||
Regeneron Pharmaceutical Incorporated | 1.75 | 9-15-2030 | 6,658,000 | 6,236,874 | ||
Regeneron Pharmaceutical Incorporated | 2.80 | 9-15-2050 | 2,199,000 | 1,919,556 | ||
39,141,248 | ||||||
Health care equipment & supplies: 0.08% | ||||||
Danaher Corporation | 2.60 | 10-1-2050 | 2,608,000 | 2,379,144 | ||
Danaher Corporation | 3.35 | 9-15-2025 | 1,781,000 | 1,959,561 | ||
4,338,705 | ||||||
Health care providers & services: 0.60% | ||||||
Aetna Incorporated | 3.88 | 8-15-2047 | 1,409,000 | 1,503,290 | ||
CVS Health Corporation | 2.70 | 8-21-2040 | 2,808,000 | 2,619,555 | ||
CVS Health Corporation | 3.00 | 8-15-2026 | 1,918,000 | 2,081,689 | ||
CVS Health Corporation | 3.70 | 3-9-2023 | 645,000 | 681,877 | ||
CVS Health Corporation | 4.30 | 3-25-2028 | 5,336,000 | 6,114,400 | ||
CVS Health Corporation | 4.78 | 3-25-2038 | 2,799,000 | 3,332,831 | ||
CVS Health Corporation | 5.05 | 3-25-2048 | 2,836,000 | 3,500,404 | ||
UnitedHealth Group Incorporated | 2.30 | 5-15-2031 | 5,575,000 | 5,600,482 | ||
UnitedHealth Group Incorporated | 2.75 | 5-15-2040 | 1,363,000 | 1,334,572 | ||
UnitedHealth Group Incorporated | 2.90 | 5-15-2050 | 1,345,000 | 1,303,756 | ||
UnitedHealth Group Incorporated | 3.05 | 5-15-2041 | 928,000 | 941,945 | ||
UnitedHealth Group Incorporated | 3.25 | 5-15-2051 | 3,155,000 | 3,221,701 | ||
UnitedHealth Group Incorporated | 3.75 | 10-15-2047 | 627,000 | 687,649 | ||
UnitedHealth Group Incorporated | 3.88 | 8-15-2059 | 984,000 | 1,112,970 | ||
34,037,121 | ||||||
Life sciences tools & services: 0.13% | ||||||
Thermo Fisher Scientific Incorporated | 4.50 | 3-25-2030 | 6,089,000 | 7,167,652 | ||
Pharmaceuticals: 0.46% | ||||||
Astrazeneca Finance LLC | 1.20 | 5-28-2026 | 5,437,000 | 5,442,821 | ||
Astrazeneca Finance LLC | 1.75 | 5-28-2028 | 2,719,000 | 2,716,391 | ||
Bristol-Myers Squibb Company | 2.55 | 11-13-2050 | 5,517,000 | 5,016,676 | ||
Pfizer Incorporated | 2.55 | 5-28-2040 | 6,189,000 | 5,998,651 | ||
Pfizer Incorporated | 2.70 | 5-28-2050 | 1,263,000 | 1,193,050 | ||
Pfizer Incorporated | 2.80 | 3-11-2022 | 1,709,000 | 1,743,428 | ||
Royalty Pharma plc 144A | 3.55 | 9-2-2050 | 4,172,000 | 4,000,376 | ||
26,111,393 | ||||||
Industrials: 1.63% | ||||||
Aerospace & defense: 0.60% | ||||||
Northrop Grumman Corporation | 2.93 | 1-15-2025 | 258,000 | 275,990 | ||
Northrop Grumman Corporation | 3.25 | 8-1-2023 | 5,199,000 | 5,517,651 | ||
Northrop Grumman Corporation | 3.25 | 1-15-2028 | 3,208,000 | 3,472,526 | ||
Northrop Grumman Corporation | 4.03 | 10-15-2047 | 1,845,000 | 2,099,642 | ||
Northrop Grumman Corporation | 5.15 | 5-1-2040 | 1,881,000 | 2,408,307 | ||
The Boeing Company | 2.20 | 2-4-2026 | 6,744,000 | 6,772,835 | ||
The Boeing Company | 3.25 | 2-1-2028 | 3,817,000 | 4,016,945 | ||
The Boeing Company | 3.25 | 2-1-2035 | 2,181,000 | 2,156,189 | ||
The Boeing Company | 3.63 | 2-1-2031 | 3,835,000 | 4,065,991 | ||
The Boeing Company | 3.75 | 2-1-2050 | 1,134,000 | 1,110,802 |
Interest rate | Maturity date | Principal | Value | |||
Aerospace & defense (continued) | ||||||
The Boeing Company | 5.71% | 5-1-2040 | $ | 1,093,000 | $ 1,360,647 | |
The Boeing Company | 5.81 | 5-1-2050 | 288,000 | 370,409 | ||
33,627,934 | ||||||
Airlines: 0.53% | ||||||
Delta Air Lines Incorporated 144A | 4.50 | 10-20-2025 | 7,226,000 | 7,802,278 | ||
Delta Air Lines Incorporated 144A | 4.75 | 10-20-2028 | 10,490,000 | 11,450,566 | ||
Southwest Airlines Company | 4.75 | 5-4-2023 | 3,817,000 | 4,115,600 | ||
Southwest Airlines Company | 5.13 | 6-15-2027 | 5,708,000 | 6,677,970 | ||
30,046,414 | ||||||
Industrial conglomerates: 0.13% | ||||||
General Electric Company | 3.45 | 5-1-2027 | 3,526,000 | 3,883,050 | ||
General Electric Company | 4.25 | 5-1-2040 | 291,000 | 328,913 | ||
General Electric Company | 4.35 | 5-1-2050 | 2,318,000 | 2,641,383 | ||
General Electric Company | 5.88 | 1-14-2038 | 300,000 | 397,070 | ||
7,250,416 | ||||||
Road & rail: 0.32% | ||||||
Burlington Northern Santa Fe LLC | 3.05 | 2-15-2051 | 1,781,000 | 1,780,636 | ||
Burlington Northern Santa Fe LLC | 3.30 | 9-15-2051 | 3,399,000 | 3,529,916 | ||
Burlington Northern Santa Fe LLC | 3.55 | 2-15-2050 | 900,000 | 971,314 | ||
Union Pacific Corporation | 2.15 | 2-5-2027 | 2,818,000 | 2,915,131 | ||
Union Pacific Corporation | 2.40 | 2-5-2030 | 3,491,000 | 3,557,603 | ||
Union Pacific Corporation | 2.95 | 3-1-2022 | 3,163,000 | 3,229,755 | ||
Union Pacific Corporation | 3.15 | 3-1-2024 | 1,509,000 | 1,619,622 | ||
Union Pacific Corporation | 3.75 | 2-5-2070 | 564,000 | 585,092 | ||
18,189,069 | ||||||
Transportation infrastructure: 0.05% | ||||||
Crowley Conro LLC | 4.18 | 8-15-2043 | 2,609,054 | 3,043,211 | ||
Information technology: 1.92% | ||||||
Electronic equipment, instruments & components: 0.04% | ||||||
Flex Limited | 4.88 | 5-12-2030 | 2,172,000 | 2,496,154 | ||
IT services: 0.19% | ||||||
Paypal Holdings Incorporated | 1.65 | 6-1-2025 | 6,889,000 | 7,120,617 | ||
VERISIGN Incorporated %% | 2.70 | 6-15-2031 | 3,619,000 | 3,623,705 | ||
10,744,322 | ||||||
Semiconductors & semiconductor equipment: 0.54% | ||||||
Broadcom Incorporated 144A | 2.45 | 2-15-2031 | 3,108,000 | 2,984,781 | ||
Broadcom Incorporated | 3.15 | 11-15-2025 | 2,327,000 | 2,500,548 | ||
Broadcom Incorporated 144A | 3.42 | 4-15-2033 | 12,135,000 | 12,375,406 | ||
Broadcom Incorporated 144A | 3.47 | 4-15-2034 | 4,590,000 | 4,648,361 | ||
Broadcom Incorporated | 3.88 | 1-15-2027 | 1,345,000 | 1,477,648 | ||
Broadcom Incorporated | 4.15 | 11-15-2030 | 3,163,000 | 3,462,908 | ||
Intel Corporation | 3.10 | 2-15-2060 | 777,000 | 740,810 | ||
KLA Corporation | 3.30 | 3-1-2050 | 2,418,000 | 2,393,041 | ||
30,583,503 |
Interest rate | Maturity date | Principal | Value | |||
Software: 0.66% | ||||||
Microsoft Corporation | 2.68% | 6-1-2060 | $ | 436,000 | $ 405,500 | |
Microsoft Corporation | 2.92 | 3-17-2052 | 1,800,000 | 1,801,596 | ||
Oracle Corporation | 1.65 | 3-25-2026 | 5,471,000 | 5,542,917 | ||
Oracle Corporation | 2.30 | 3-25-2028 | 1,942,000 | 1,983,277 | ||
Oracle Corporation | 2.63 | 2-15-2023 | 2,354,000 | 2,444,128 | ||
Oracle Corporation | 2.80 | 4-1-2027 | 5,435,000 | 5,775,881 | ||
Oracle Corporation | 2.88 | 3-25-2031 | 5,786,000 | 5,927,327 | ||
Oracle Corporation | 2.95 | 11-15-2024 | 1,263,000 | 1,350,282 | ||
Oracle Corporation | 3.65 | 3-25-2041 | 3,654,000 | 3,724,970 | ||
Oracle Corporation | 3.95 | 3-25-2051 | 2,554,000 | 2,652,341 | ||
Oracle Corporation | 4.10 | 3-25-2061 | 727,000 | 761,340 | ||
VMware Incorporated | 3.90 | 8-21-2027 | 709,000 | 787,510 | ||
VMware Incorporated | 4.70 | 5-15-2030 | 3,572,000 | 4,147,973 | ||
37,305,042 | ||||||
Technology hardware, storage & peripherals: 0.49% | ||||||
Apple Incorporated | 2.38 | 2-8-2041 | 1,781,000 | 1,658,084 | ||
Apple Incorporated | 2.55 | 8-20-2060 | 4,172,000 | 3,649,985 | ||
Apple Incorporated | 2.65 | 5-11-2050 | 4,390,000 | 4,052,232 | ||
Apple Incorporated | 2.65 | 2-8-2051 | 4,453,000 | 4,159,434 | ||
Apple Incorporated | 2.80 | 2-8-2061 | 1,781,000 | 1,633,112 | ||
Dell International LLC 144A | 4.90 | 10-1-2026 | 909,000 | 1,043,572 | ||
Dell International LLC 144A | 6.10 | 7-15-2027 | 1,809,000 | 2,219,839 | ||
Dell International LLC 144A | 8.35 | 7-15-2046 | 1,909,000 | 2,996,210 | ||
HP Incorporated | 2.20 | 6-17-2025 | 5,726,000 | 5,987,206 | ||
27,399,674 | ||||||
Materials: 0.59% | ||||||
Chemicals: 0.40% | ||||||
Dow Chemical Corporation | 3.60 | 11-15-2050 | 1,072,000 | 1,089,796 | ||
Dow Chemical Corporation | 4.38 | 11-15-2042 | 918,000 | 1,060,967 | ||
LYB International Finance III Company | 3.38 | 10-1-2040 | 5,326,000 | 5,344,350 | ||
LYB International Finance III Company | 3.63 | 4-1-2051 | 4,308,000 | 4,313,670 | ||
LYB International Finance III Company | 3.80 | 10-1-2060 | 882,000 | 877,123 | ||
NewMarket Corporation | 2.70 | 3-18-2031 | 4,485,000 | 4,461,441 | ||
Westlake Chemical Corporation | 3.60 | 8-15-2026 | 1,945,000 | 2,137,800 | ||
Westlake Chemical Corporation | 4.38 | 11-15-2047 | 2,745,000 | 3,073,007 | ||
Westlake Chemical Corporation | 5.00 | 8-15-2046 | 45,000 | 54,426 | ||
22,412,580 | ||||||
Metals & mining: 0.19% | ||||||
Newmont Mining Corporation | 2.25 | 10-1-2030 | 11,217,000 | 11,065,271 | ||
Real estate: 1.60% | ||||||
Equity REITs: 1.43% | ||||||
Agree LP | 2.00 | 6-15-2028 | 2,655,000 | 2,628,032 | ||
Agree LP | 2.90 | 10-1-2030 | 1,327,000 | 1,367,451 | ||
American Tower Corporation | 1.60 | 4-15-2026 | 3,590,000 | 3,628,493 | ||
American Tower Corporation | 2.70 | 4-15-2031 | 2,690,000 | 2,719,396 | ||
Brixmor Operating Partnership | 2.25 | 4-1-2028 | 1,245,000 | 1,236,432 | ||
Crown Castle International Corporation | 1.05 | 7-15-2026 | 5,335,000 | 5,225,880 | ||
Crown Castle International Corporation | 2.10 | 4-1-2031 | 9,863,000 | 9,409,866 | ||
Crown Castle International Corporation | 2.90 | 4-1-2041 | 2,490,000 | 2,301,692 |
Interest rate | Maturity date | Principal | Value | |||
Equity REITs (continued) | ||||||
Crown Castle International Corporation | 4.00% | 3-1-2027 | $ | 891,000 | $ 996,223 | |
Federal Realty Investment Trust | 3.95 | 1-15-2024 | 2,463,000 | 2,661,706 | ||
Mid-America Apartments LP | 3.60 | 6-1-2027 | 273,000 | 302,374 | ||
Mid-America Apartments LP | 3.75 | 6-15-2024 | 4,181,000 | 4,524,299 | ||
Mid-America Apartments LP | 3.95 | 3-15-2029 | 1,790,000 | 2,002,741 | ||
Mid-America Apartments LP | 4.00 | 11-15-2025 | 2,181,000 | 2,423,295 | ||
Mid-America Apartments LP | 4.30 | 10-15-2023 | 1,827,000 | 1,968,609 | ||
Regency Centers LP | 2.95 | 9-15-2029 | 3,872,000 | 3,998,767 | ||
Spirit Realty LP | 2.10 | 3-15-2028 | 3,545,000 | 3,500,387 | ||
Spirit Realty LP | 2.70 | 2-15-2032 | 1,941,000 | 1,884,757 | ||
Spirit Realty LP | 3.20 | 2-15-2031 | 4,217,000 | 4,293,107 | ||
Spirit Realty LP | 3.40 | 1-15-2030 | 2,145,000 | 2,252,692 | ||
Spirit Realty LP | 4.00 | 7-15-2029 | 1,027,000 | 1,124,329 | ||
Spirit Realty LP | 4.45 | 9-15-2026 | 227,000 | 253,414 | ||
Store Capital Corporation | 2.75 | 11-18-2030 | 3,154,000 | 3,124,927 | ||
Store Capital Corporation | 4.50 | 3-15-2028 | 6,726,000 | 7,509,243 | ||
Store Capital Corporation | 4.63 | 3-15-2029 | 2,272,000 | 2,563,621 | ||
VEREIT Operating Partnership LP | 2.20 | 6-15-2028 | 1,909,000 | 1,917,819 | ||
VEREIT Operating Partnership LP | 2.85 | 12-15-2032 | 2,581,000 | 2,629,206 | ||
VEREIT Operating Partnership LP | 3.40 | 1-15-2028 | 1,890,000 | 2,041,511 | ||
80,490,269 | ||||||
Real estate management & development: 0.17% | ||||||
Essex Portfolio LP | 1.70 | 3-1-2028 | 4,663,000 | 4,529,995 | ||
Essex Portfolio LP %% | 2.55 | 6-15-2031 | 1,830,000 | 1,822,036 | ||
Highwoods Realty LP | 2.63 | 10-1-2023 | 81,000 | 83,732 | ||
Vornado Realty LP | 2.15 | 6-1-2026 | 2,203,000 | 2,222,027 | ||
Vornado Realty LP | 3.40 | 6-1-2031 | 1,100,000 | 1,108,556 | ||
9,766,346 | ||||||
Utilities: 2.38% | ||||||
Electric utilities: 1.51% | ||||||
Duke Energy Corporation | 1.80 | 9-1-2021 | 3,754,000 | 3,762,820 | ||
Duke Energy Progress LLC | 2.50 | 8-15-2050 | 2,672,000 | 2,343,259 | ||
Entergy Arkansas LLC | 2.65 | 6-15-2051 | 2,382,000 | 2,155,041 | ||
Entergy Corporation | 1.90 | 6-15-2028 | 3,563,000 | 3,523,407 | ||
Entergy Corporation | 2.40 | 6-15-2031 | 1,436,000 | 1,412,318 | ||
Evergy Incorporated | 2.45 | 9-15-2024 | 3,326,000 | 3,486,364 | ||
Evergy Incorporated | 2.90 | 9-15-2029 | 2,363,000 | 2,440,416 | ||
Evergy Kansas Central Incorporated | 3.45 | 4-15-2050 | 2,981,000 | 3,141,950 | ||
Eversource Energy | 2.55 | 3-15-2031 | 2,672,000 | 2,706,600 | ||
Interstate Power & Light Company | 3.50 | 9-30-2049 | 1,363,000 | 1,414,259 | ||
ITC Holdings Corporation | 2.70 | 11-15-2022 | 3,599,000 | 3,707,235 | ||
Metropolitan Edison Company 144A | 4.30 | 1-15-2029 | 3,981,000 | 4,404,902 | ||
Mid-Atlantic Interstate Transmission LLC 144A | 4.10 | 5-15-2028 | 514,000 | 570,638 | ||
Mississippi Power Company | 3.95 | 3-30-2028 | 4,390,000 | 4,895,132 | ||
Mississippi Power Company | 4.25 | 3-15-2042 | 2,636,000 | 3,003,065 | ||
Northern States Power Company | 2.25 | 4-1-2031 | 1,772,000 | 1,796,772 | ||
Northern States Power Company | 3.20 | 4-1-2052 | 1,790,000 | 1,836,686 | ||
Pacific Gas & Electric Company | 2.10 | 8-1-2027 | 6,068,000 | 5,851,555 | ||
Pacific Gas & Electric Company | 2.50 | 2-1-2031 | 4,908,000 | 4,536,092 | ||
Pacific Gas & Electric Company | 3.30 | 8-1-2040 | 136,000 | 119,436 | ||
Pacific Gas & Electric Company | 3.50 | 8-1-2050 | 635,000 | 549,035 | ||
Pacific Gas & Electric Company | 3.95 | 12-1-2047 | 3,413,000 | 3,046,295 |
Interest rate | Maturity date | Principal | Value | |||
Electric utilities (continued) | ||||||
Pacific Gas & Electric Company | 4.20% | 6-1-2041 | $ | 1,536,000 | $ 1,477,198 | |
Pacific Gas & Electric Company | 4.50 | 7-1-2040 | 909,000 | 891,632 | ||
Pacific Gas & Electric Company | 4.55 | 7-1-2030 | 1,282,000 | 1,348,577 | ||
Pacific Gas & Electric Company | 4.75 | 2-15-2044 | 891,000 | 878,911 | ||
Pacific Gas & Electric Company | 4.95 | 7-1-2050 | 1,782,000 | 1,801,541 | ||
Pennsylvania Electric Company 144A | 3.25 | 3-15-2028 | 1,509,000 | 1,567,483 | ||
Public Service Company of Colorado | 1.88 | 6-15-2031 | 4,081,000 | 3,977,466 | ||
Public Service Electric and Gas Company | 2.05 | 8-1-2050 | 736,000 | 604,698 | ||
Public Service Electric and Gas Company | 2.70 | 5-1-2050 | 3,954,000 | 3,723,689 | ||
Southern California Edison Company | 1.75 | 3-15-2028 | 2,663,000 | 2,618,835 | ||
Southern California Edison Company | 4.13 | 3-1-2048 | 1,991,000 | 2,058,615 | ||
Trans-Allegheny Interstate Line Company 144A | 3.85 | 6-1-2025 | 1,254,000 | 1,356,067 | ||
Virginia Electric & Power Company | 2.45 | 12-15-2050 | 2,600,000 | 2,283,313 | ||
85,291,302 | ||||||
Gas utilities: 0.08% | ||||||
Piemont Natural Gas Company | 2.50 | 3-15-2031 | 2,672,000 | 2,678,439 | ||
Southern Company Gas Capital Corporation | 1.75 | 1-15-2031 | 2,181,000 | 2,036,154 | ||
4,714,593 | ||||||
Independent power & renewable electricity producers: 0.07% | ||||||
AES Corporation 144A | 1.38 | 1-15-2026 | 3,835,000 | 3,791,617 | ||
Multi-utilities: 0.72% | ||||||
Ameren Corporation | 1.75 | 3-15-2028 | 1,772,000 | 1,751,086 | ||
Black Hills Corporation | 3.05 | 10-15-2029 | 2,181,000 | 2,289,756 | ||
Black Hills Corporation | 3.88 | 10-15-2049 | 1,600,000 | 1,651,685 | ||
Consumers Energy Company | 2.50 | 5-1-2060 | 1,509,000 | 1,289,969 | ||
Dominion Energy Incorporated | 1.45 | 4-15-2026 | 5,580,000 | 5,613,993 | ||
Dominion Energy Incorporated | 2.00 | 8-15-2021 | 2,508,000 | 2,513,139 | ||
Dominion Energy Incorporated | 3.30 | 4-15-2041 | 1,436,000 | 1,446,021 | ||
DTE Energy Company | 1.05 | 6-1-2025 | 3,626,000 | 3,620,714 | ||
DTE Energy Company | 2.95 | 3-1-2030 | 2,381,000 | 2,474,822 | ||
DTE Energy Company | 2.95 | 3-1-2050 | 3,935,000 | 3,809,557 | ||
DTE Energy Company | 3.80 | 3-15-2027 | 3,590,000 | 3,999,707 | ||
NextEra Energy Capital Company | 2.25 | 6-1-2030 | 2,908,000 | 2,896,318 | ||
WEC Energy Group Incorporated | 0.80 | 3-15-2024 | 4,500,000 | 4,515,429 | ||
WEC Energy Group Incorporated | 1.38 | 10-15-2027 | 2,582,000 | 2,521,411 | ||
40,393,607 | ||||||
Total Corporate bonds and notes (Cost $1,365,404,234) | 1,379,379,556 | |||||
Municipal obligations: 0.39% | ||||||
Nevada: 0.09% | ||||||
Airport revenue: 0.09% | ||||||
Clark County NV Airport Authority Build America Bonds Series C | 6.82 | 7-1-2045 | 3,365,000 | 5,110,443 | ||
New York: 0.12% | ||||||
Airport revenue: 0.12% | ||||||
Port Authority of New York & New Jersey Consolidated Bonds Series 174 | 4.46 | 10-1-2062 | 5,505,000 | 6,958,134 |
Interest rate | Maturity date | Principal | Value | |||
Ohio: 0.05% | ||||||
Education revenue: 0.05% | ||||||
Ohio State University General Receipts Taxable Bonds Series A | 4.80% | 6-1-2111 | $ | 1,957,000 | $ 2,632,602 | |
Texas: 0.13% | ||||||
Education revenue: 0.03% | ||||||
University of Texas Financing System Bond Series B | 2.44 | 8-15-2049 | 1,695,000 | 1,583,761 | ||
Transportation revenue: 0.10% | ||||||
North Texas Tollway Authority | 6.72 | 1-1-2049 | 3,609,000 | 5,788,456 | ||
Total Municipal obligations (Cost $17,173,809) | 22,073,396 | |||||
Non-agency mortgage-backed securities: 3.97% | ||||||
Angel Oak Mortgage Trust Series 2019-2 Class A1 144A±± | 3.63 | 3-25-2049 | 1,161,490 | 1,176,866 | ||
Angel Oak Mortgage Trust Series 2020-2 Class A1 144A±± | 2.53 | 1-26-2065 | 3,451,870 | 3,514,567 | ||
Angel Oak Mortgage Trust Series 2020-5 Class A1 144A±± | 1.37 | 5-25-2065 | 1,678,346 | 1,686,850 | ||
Benchmark Mortgage Trust Series 2021-B25 Class A5 | 2.58 | 4-15-2054 | 2,527,000 | 2,618,393 | ||
Benchmark Mortgage Trust Series 2021-B26 Class A5 | 2.61 | 6-15-2054 | 5,429,000 | 5,630,827 | ||
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1 144A | 2.88 | 7-25-2049 | 3,421,055 | 3,492,365 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1 144A | 2.72 | 11-25-2059 | 3,803,880 | 3,884,879 | ||
CD Commercial Mortgage Trust Series 2019-CD8 Class A4 | 2.91 | 8-15-2057 | 2,221,000 | 2,356,652 | ||
CFCRE Commercial Mortgage Trust Series 2017-C8 Class ASB | 3.37 | 6-15-2050 | 2,014,000 | 2,156,958 | ||
Colt Funding LLC Series 2019-4 Class A1 144A±± | 2.58 | 11-25-2049 | 2,422,709 | 2,434,182 | ||
Colt Funding LLC Series 2020-2 Class A1 144A±± | 1.85 | 3-25-2065 | 2,604,209 | 2,623,994 | ||
Commercial Mortgage Pass-Through Certificate Series 2015-LC21 Class A4 | 3.71 | 7-10-2048 | 1,777,000 | 1,951,835 | ||
Commercial Mortgage Trust Series 2013-CR10 Class A4 ±± | 4.21 | 8-10-2046 | 89,000 | 95,447 | ||
Commercial Mortgage Trust Series 2013-CR11 Class A4 | 4.26 | 8-10-2050 | 10,048,000 | 10,830,679 | ||
Commercial Mortgage Trust Series 2013-CR6 Class A4 | 3.10 | 3-10-2046 | 8,286,000 | 8,535,362 | ||
Commercial Mortgage Trust Series 2014-UBS4 Class A4 | 3.42 | 8-10-2047 | 4,323,000 | 4,582,116 | ||
Commercial Mortgage Trust Series 2015-LC23 Class A3 | 3.52 | 10-10-2048 | 2,043,000 | 2,190,074 | ||
CSAIL Commercial Mortgage Trust Series 2015-C2 Class A4 | 3.50 | 6-15-2057 | 2,484,176 | 2,696,538 | ||
CSAIL Commercial Mortgage Trust Series 2015-C4 Class A4 | 3.81 | 11-15-2048 | 2,010,200 | 2,225,198 | ||
CSAIL Commercial Mortgage Trust Series 2019-C16 Class A3 | 3.33 | 6-15-2052 | 4,640,000 | 5,054,792 | ||
CSAIL Commercial Mortgage Trust Series 2019-C17 Class A4 | 2.76 | 9-15-2052 | 2,583,000 | 2,699,362 | ||
CSAIL Commercial Mortgage Trust Series 2021-C20 Class A3 | 2.80 | 3-15-2054 | 5,361,000 | 5,615,528 | ||
GCAT Series 2019-NQM1 Class A1 144A | 2.99 | 2-25-2059 | 1,187,854 | 1,193,651 | ||
Goldman Sachs Mortgage Securities Trust Series 2014-GC18 Class A4 | 4.07 | 1-10-2047 | 5,804,323 | 6,240,849 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Goldman Sachs Mortgage Securities Trust Series 2020-GSA2 Class A4 | 1.72% | 12-12-2053 | $ | 4,801,000 | $ 4,667,962 | |
Impact Funding LLC Series 2010-1 Class A1 144A | 5.31 | 1-25-2051 | 5,968,349 | 6,366,241 | ||
JPMDB Commercial Mortgage Securities Series 2014-C23 Class A4 | 3.67 | 9-15-2047 | 1,746,083 | 1,870,156 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C28 Class A3 | 2.91 | 10-15-2048 | 9,951,788 | 10,351,626 | ||
Mello Warehouse Securitization Trust Series 2020-2 Class A (1 Month LIBOR+0.80%)144A± | 0.91 | 11-25-2053 | 5,688,000 | 5,706,132 | ||
Mello Warehouse Securitization Trust Series 2021-1 Class A (1 Month LIBOR+0.70%)144A± | 0.81 | 2-25-2055 | 1,606,000 | 1,607,913 | ||
Mello Warehouse Securitization Trust Series 2021-2 Class A (1 Month LIBOR+0.75%)144A± | 0.86 | 4-25-2055 | 4,340,000 | 4,341,262 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C5 Class A4 | 3.18 | 8-15-2045 | 1,321,000 | 1,346,088 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20 Class A4 | 3.25 | 2-15-2048 | 800,041 | 861,592 | ||
Morgan Stanley Capital International Trust Series 2020-HR8 Class A3 | 1.79 | 7-15-2053 | 3,438,000 | 3,359,417 | ||
Morgan Stanley Capital International Trust Series 2021-L5 Class A4 | 2.73 | 5-15-2054 | 3,618,000 | 3,784,588 | ||
New Residential Mortgage Loan Trust Series 2019-NQM4 Class A1 144A±± | 2.49 | 9-25-2059 | 2,474,664 | 2,516,763 | ||
NewRez WareHouse Securitization Series 2021-1 Class A (1 Month LIBOR+0.75%)144A± | 0.86 | 5-25-2055 | 11,283,000 | 11,296,515 | ||
SG Capital Partners Series 2019-3 Class A1 144A±± | 2.70 | 9-25-2059 | 1,826,747 | 1,842,587 | ||
Starwood Mortgage Residential Trust Series 2019-INV1 Class A1 144A±± | 2.61 | 9-27-2049 | 2,559,329 | 2,595,349 | ||
Starwood Mortgage Residential Trust Series 2020-1 Class A1 144A±± | 2.28 | 2-25-2050 | 4,726,659 | 4,788,165 | ||
Starwood Mortgage Residential Trust Series 2020-INV1 Class A1 144A±± | 1.03 | 11-25-2055 | 3,400,727 | 3,399,508 | ||
Starwood Mortgage Residential Trust Series 2020-INV3 Class A1 144A±± | 1.49 | 4-25-2065 | 4,477,895 | 4,526,461 | ||
Starwood Mortgage Residential Trust Series 2021-1 Class A1 144A±± | 1.22 | 5-25-2065 | 3,606,781 | 3,620,610 | ||
Verizon Master Trust Series 2021=1 Class A | 0.86 | 5-20-2027 | 8,833,000 | 8,819,261 | ||
Verus Securitization Trust Series 2019-2 Class A1 144A±± | 2.91 | 7-25-2059 | 2,913,379 | 2,964,021 | ||
Verus Securitization Trust Series 2019-3 Class A1 144A±± | 2.69 | 11-25-2059 | 1,947,089 | 1,982,038 | ||
Verus Securitization Trust Series 2019-3 Class A1 144A | 2.78 | 7-25-2059 | 4,811,624 | 4,888,614 | ||
Verus Securitization Trust Series 2019-4 Class A1 144A | 2.64 | 11-25-2059 | 6,737,436 | 6,845,416 | ||
Verus Securitization Trust Series 2020-1 Class A1 144A | 2.42 | 1-25-2060 | 1,565,020 | 1,588,059 | ||
Verus Securitization Trust Series 2020-2 Class A1 144A±± | 2.23 | 5-25-2060 | 5,584,317 | 5,637,622 | ||
Verus Securitization Trust Series 2020-5 Class A1 144A | 1.22 | 5-25-2065 | 1,389,612 | 1,395,135 | ||
Verus Securitization Trust Series 2021-1 Class A1 144A±± | 0.82 | 1-25-2066 | 4,445,016 | 4,436,218 | ||
Verus Securitization Trust Series 2021-2 Class A1 144A±± | 1.03 | 2-25-2066 | 7,256,594 | 7,262,468 | ||
Verus Securitization Trust Series 2021-R1 Class A1 144A±± | 0.82 | 10-25-2063 | 5,507,832 | 5,485,995 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Verus Securitization Trust Series 2021-R3 Class A1 144A♦±± | 1.02% | 4-25-2064 | $ | 4,862,000 | $ 4,861,985 | |
Visio Trust Series 2020-1R Class A1 144A | 1.31 | 11-25-2055 | 3,742,497 | 3,758,188 | ||
Total Non-agency mortgage-backed securities (Cost $222,807,698) | 224,261,919 | |||||
U.S. Treasury securities: 33.16% | ||||||
U.S. Treasury Bond | 1.13 | 5-15-2040 | 87,097,000 | 72,606,917 | ||
U.S. Treasury Bond | 1.13 | 8-15-2040 | 97,084,000 | 80,610,059 | ||
U.S. Treasury Bond | 1.38 | 11-15-2040 | 98,406,000 | 85,351,829 | ||
U.S. Treasury Bond | 1.38 | 8-15-2050 | 30,117,000 | 24,111,247 | ||
U.S. Treasury Bond | 1.63 | 11-15-2050 | 31,350,000 | 26,784,656 | ||
U.S. Treasury Bond | 1.88 | 2-15-2041 | 66,944,000 | 63,398,060 | ||
U.S. Treasury Bond | 1.88 | 2-15-2051 | 28,818,000 | 26,201,866 | ||
U.S. Treasury Bond | 2.50 | 2-15-2045 | 30,554,000 | 31,832,255 | ||
U.S. Treasury Note | 0.13 | 5-31-2022 | 33,602,000 | 33,617,751 | ||
U.S. Treasury Note | 0.13 | 9-30-2022 | 29,297,000 | 29,305,011 | ||
U.S. Treasury Note ## | 0.13 | 10-31-2022 | 65,327,000 | 65,344,863 | ||
U.S. Treasury Note ## | 0.13 | 12-31-2022 | 74,138,000 | 74,149,584 | ||
U.S. Treasury Note ## | 0.13 | 1-31-2023 | 71,738,000 | 71,738,000 | ||
U.S. Treasury Note | 0.13 | 2-28-2023 | 16,692,000 | 16,691,348 | ||
U.S. Treasury Note | 0.13 | 3-31-2023 | 51,066,000 | 51,058,021 | ||
U.S. Treasury Note | 0.13 | 4-30-2023 | 12,824,000 | 12,819,993 | ||
U.S. Treasury Note %% | 0.13 | 5-31-2023 | 15,160,000 | ���15,153,486 | ||
U.S. Treasury Note ## | 0.13 | 8-15-2023 | 65,727,000 | 65,655,111 | ||
U.S. Treasury Note | 0.13 | 9-15-2023 | 12,604,000 | 12,586,276 | ||
U.S. Treasury Note | 0.13 | 10-15-2023 | 16,285,000 | 16,259,555 | ||
U.S. Treasury Note ## | 0.13 | 1-15-2024 | 75,934,000 | 75,711,537 | ||
U.S. Treasury Note ## | 0.25 | 5-15-2024 | 149,725,000 | 149,491,054 | ||
U.S. Treasury Note | 0.25 | 9-30-2025 | 33,600,000 | 33,023,812 | ||
U.S. Treasury Note | 0.25 | 10-31-2025 | 61,838,000 | 60,688,200 | ||
U.S. Treasury Note | 0.38 | 4-15-2024 | 41,236,000 | 41,339,090 | ||
U.S. Treasury Note ## | 0.38 | 11-30-2025 | 69,398,000 | 68,405,825 | ||
U.S. Treasury Note | 0.38 | 12-31-2025 | 52,737,000 | 51,927,405 | ||
U.S. Treasury Note ## | 0.50 | 2-28-2026 | 73,816,000 | 72,939,435 | ||
U.S. Treasury Note | 0.50 | 8-31-2027 | 51,297,000 | 49,381,378 | ||
U.S. Treasury Note | 0.75 | 4-30-2026 | 57,748,000 | 57,639,723 | ||
U.S. Treasury Note %% | 0.75 | 5-31-2026 | 39,679,000 | 39,570,503 | ||
U.S. Treasury Note | 0.75 | 1-31-2028 | 23,660,000 | 22,964,988 | ||
U.S. Treasury Note | 1.50 | 11-30-2024 | 36,672,000 | 38,018,550 | ||
U.S. Treasury Note | 1.63 | 5-15-2031 | 48,855,000 | 48,946,603 | ||
U.S. Treasury Note | 1.75 | 11-30-2021 | 5,241,000 | 5,285,221 | ||
U.S. Treasury Note | 1.75 | 2-28-2022 | 3,579,000 | 3,624,157 | ||
U.S. Treasury Note ## | 1.88 | 2-28-2022 | 62,004,000 | 62,846,867 | ||
U.S. Treasury Note | 2.00 | 2-15-2022 | 45,444,000 | 46,072,405 | ||
U.S. Treasury Note | 2.13 | 8-15-2021 | 12,435,000 | 12,489,148 | ||
U.S. Treasury Note %% | 2.25 | 5-15-2041 | 3,581,000 | 3,608,417 | ||
U.S. Treasury Note | 2.38 | 5-15-2051 | 24,643,000 | 25,120,458 | ||
U.S. Treasury Note | 2.88 | 10-31-2023 | 25,086,000 | 26,700,911 | ||
Total U.S. Treasury securities (Cost $1,905,705,446) | 1,871,071,575 |
Interest rate | Maturity date | Principal | Value | |||
Yankee corporate bonds and notes: 3.86% | ||||||
Communication services: 0.10% | ||||||
Interactive media & services: 0.07% | ||||||
Tencent Holdings Limited 144A | 3.84% | 4-22-2051 | $ | 3,709,000 | $ 3,748,315 | |
Wireless telecommunication services: 0.03% | ||||||
Telefonica Emisiones SA | 5.52 | 3-1-2049 | 1,423,000 | 1,764,481 | ||
Energy: 0.52% | ||||||
Oil, gas & consumable fuels: 0.52% | ||||||
Aker BP ASA 144A | 4.00 | 1-15-2031 | 2,549,000 | 2,744,956 | ||
Equinor ASA | 3.25 | 11-18-2049 | 1,309,000 | 1,324,890 | ||
Galaxy Pipeline Assets Company 144A | 1.75 | 9-30-2027 | 5,444,000 | 5,491,714 | ||
Galaxy Pipeline Assets Company 144A | 2.16 | 3-31-2034 | 4,107,000 | 4,053,427 | ||
Galaxy Pipeline Assets Company 144A | 2.63 | 3-31-2036 | 2,555,000 | 2,503,993 | ||
Galaxy Pipeline Assets Company 144A | 2.94 | 9-30-2040 | 2,725,000 | 2,697,934 | ||
Oleoducto Central SA 144A | 4.00 | 7-14-2027 | 2,151,000 | 2,231,017 | ||
Petroleos del Peru 144A | 5.63 | 6-19-2047 | 2,568,000 | 2,653,232 | ||
Petroleos Mexicanos Company | 2.38 | 4-15-2025 | 1,451,600 | 1,509,150 | ||
Petroleos Mexicanos Company | 2.46 | 12-15-2025 | 4,032,500 | 4,211,977 | ||
29,422,290 | ||||||
Financials: 2.32% | ||||||
Banks: 1.07% | ||||||
Banco Santander SA | 2.96 | 3-25-2031 | 1,800,000 | 1,833,907 | ||
Barclays plc (1 Year Treasury Constant Maturity+0.80%) ± | 1.01 | 12-10-2024 | 7,278,000 | 7,317,854 | ||
Barclays plc (5 Year Treasury Constant Maturity+2.90%) ± | 3.56 | 9-23-2035 | 9,826,000 | 10,049,935 | ||
Barclays plc (1 Year Treasury Constant Maturity+1.70%) ± | 3.81 | 3-10-2042 | 3,440,000 | 3,447,205 | ||
BNP Paribas (U.S. SOFR+1.00%) 144A± | 1.32 | 1-13-2027 | 6,627,000 | 6,558,826 | ||
BNP Paribas (U.S. SOFR+1.39%) 144A± | 2.87 | 4-19-2032 | 5,578,000 | 5,649,404 | ||
DNB Bank ASA (1 Year Treasury Constant Maturity+0.72%) 144A± | 1.54 | 5-25-2027 | 4,671,000 | 4,689,071 | ||
Societe Generale 144A | 3.63 | 3-1-2041 | 3,105,000 | 3,023,090 | ||
Societe Generale (5 Year Treasury Constant Maturity+3.00%) 144A± | 3.65 | 7-8-2035 | 3,522,000 | 3,615,949 | ||
Swedish Export Credit Corporation | 0.75 | 4-6-2023 | 7,752,000 | 7,821,232 | ||
Westpac Banking Corporation (5 Year Treasury Constant Maturity+1.75%) ± | 2.67 | 11-15-2035 | 6,317,000 | 6,130,143 | ||
60,136,616 | ||||||
Capital markets: 0.15% | ||||||
Antares Holdings LP 144A | 3.95 | 7-15-2026 | 3,691,000 | 3,824,297 | ||
Credit Suisse Group AG (U.S. SOFR+1.73%) 144A± | 3.09 | 5-14-2032 | 4,708,000 | 4,777,742 | ||
8,602,039 | ||||||
Consumer finance: 0.16% | ||||||
NTT Finance Corporation 144A | 1.16 | 4-3-2026 | 8,989,000 | 8,960,752 | ||
Diversified financial services: 0.83% | ||||||
DAE Funding LLC 144A | 2.63 | 3-20-2025 | 2,964,000 | 2,994,351 | ||
DAE Funding LLC 144A | 3.38 | 3-20-2028 | 4,264,000 | 4,281,482 |
Interest rate | Maturity date | Principal | Value | |||
Diversified financial services (continued) | ||||||
DH Europe Finance II | 2.05% | 11-15-2022 | $ | 2,836,000 | $ 2,905,368 | |
DH Europe Finance II | 2.20 | 11-15-2024 | 4,881,000 | 5,122,454 | ||
DH Europe Finance II | 2.60 | 11-15-2029 | 3,617,000 | 3,742,946 | ||
GE Capital International Funding Company | 4.42 | 11-15-2035 | 7,730,000 | 8,986,462 | ||
Siemens Financieringsmaatschappij NV Company 144A | 0.65 | 3-11-2024 | 1,121,000 | 1,124,985 | ||
Trust Fibrauno 144A | 5.25 | 1-30-2026 | 2,805,000 | 3,141,600 | ||
Trust Fibrauno 144A | 6.39 | 1-15-2050 | 3,094,000 | 3,575,241 | ||
UBS Group AG (1 Year Treasury Constant Maturity+1.00%) 144A± | 2.10 | 2-11-2032 | 11,651,000 | 11,193,805 | ||
47,068,694 | ||||||
Insurance: 0.11% | ||||||
Athene Holding Limited | 3.50 | 1-15-2031 | 1,345,000 | 1,415,931 | ||
Athene Holding Limited | 3.95 | 5-25-2051 | 727,000 | 740,330 | ||
Athene Holding Limited | 4.13 | 1-12-2028 | 3,590,000 | 3,976,607 | ||
6,132,868 | ||||||
Health care: 0.50% | ||||||
Health care equipment & supplies: 0.09% | ||||||
Steris plc | 3.75 | 3-15-2051 | 5,093,000 | 5,203,712 | ||
Pharmaceuticals: 0.41% | ||||||
Astrazeneca plc | 1.38 | 8-6-2030 | 2,936,000 | 2,754,660 | ||
Astrazeneca plc | 3.00 | 5-28-2051 | 1,811,000 | 1,782,793 | ||
Shire Acquisitions Investments Ireland Designated Activity Company | 2.88 | 9-23-2023 | 3,699,000 | 3,883,785 | ||
Takeda Pharmaceutical | 2.05 | 3-31-2030 | 6,799,000 | 6,634,513 | ||
Takeda Pharmaceutical | 3.18 | 7-9-2050 | 4,327,000 | 4,143,358 | ||
Takeda Pharmaceutical | 4.40 | 11-26-2023 | 3,391,000 | 3,698,758 | ||
22,897,867 | ||||||
Industrials: 0.09% | ||||||
Transportation infrastructure: 0.09% | ||||||
Adani Ports & Special Company 144A | 3.00 | 2-16-2031 | 1,632,000 | 1,577,746 | ||
Adani Ports & Special Company 144A | 4.20 | 8-4-2027 | 3,284,000 | 3,486,613 | ||
5,064,359 | ||||||
Information technology: 0.14% | ||||||
Semiconductors & semiconductor equipment: 0.14% | ||||||
NXP BV 144A | 3.15 | 5-1-2027 | 1,773,000 | 1,904,449 | ||
NXP BV 144A | 3.25 | 5-11-2041 | 1,946,000 | 1,945,324 | ||
NXP BV 144A | 3.88 | 6-18-2026 | 3,699,000 | 4,110,719 | ||
7,960,492 | ||||||
Materials: 0.14% | ||||||
Metals & mining: 0.14% | ||||||
Teck Resources Limited | 3.90 | 7-15-2030 | 1,600,000 | 1,710,199 | ||
Teck Resources Limited | 5.20 | 3-1-2042 | 2,099,000 | 2,411,074 | ||
Teck Resources Limited | 6.13 | 10-1-2035 | 845,000 | 1,058,625 | ||
Teck Resources Limited | 6.25 | 7-15-2041 | 2,044,000 | 2,646,651 | ||
7,826,549 |
Interest rate | Maturity date | Principal | Value | |||
Real estate: 0.05% | ||||||
Equity REITs: 0.05% | ||||||
Scentre Group Trust 144A | 3.63% | 1-28-2026 | $ | 2,808,000 | $ 3,070,542 | |
Total Yankee corporate bonds and notes (Cost $215,102,906) | 217,859,576 | |||||
Yankee government bonds: 1.35% | ||||||
Abu Dhabi Government International 144A | 2.50 | 4-16-2025 | 2,764,000 | 2,929,840 | ||
Italy Government International Bond | 3.88 | 5-6-2051 | 4,288,000 | 4,391,945 | ||
Japan Bank for International Cooperation | 1.75 | 10-17-2024 | 5,044,000 | 5,241,286 | ||
Republic Chile | 2.45 | 1-31-2031 | 2,769,000 | 2,789,795 | ||
Republic Chile | 3.10 | 5-7-2041 | 3,129,000 | 3,043,453 | ||
Republic of Colombia | 3.25 | 4-22-2032 | 1,891,000 | 1,824,626 | ||
Republic of Colombia | 3.88 | 2-15-2061 | 4,394,000 | 3,766,757 | ||
Republic of Paraguay 144A | 2.74 | 1-29-2033 | 2,512,000 | 2,424,080 | ||
Republic of Paraguay 144A | 5.40 | 3-30-2050 | 3,704,000 | 4,218,893 | ||
Republic of Peru | 2.39 | 1-23-2026 | 3,718,000 | 3,829,131 | ||
Republic of Peru | 2.78 | 1-23-2031 | 10,249,000 | 10,274,725 | ||
Republic of Peru | 3.30 | 3-11-2041 | 4,954,000 | 4,793,045 | ||
United Mexican States | 2.66 | 5-24-2031 | 1,932,000 | 1,875,644 | ||
United Mexican States | 3.75 | 4-19-2071 | 6,305,000 | 5,670,339 | ||
United Mexican States | 3.77 | 5-24-2061 | 1,076,000 | 984,551 | ||
United Mexican States | 4.28 | 8-14-2041 | 7,016,000 | 7,280,644 | ||
United Mexican States | 4.35 | 1-15-2047 | 1,088,000 | 1,119,139 | ||
United Mexican States | 4.50 | 4-22-2029 | 6,776,000 | 7,656,677 | ||
United Mexican States | 4.75 | 3-8-2044 | 1,818,000 | 1,977,093 | ||
Total Yankee government bonds (Cost $74,981,656) | 76,091,663 |
Yield | Shares | |||||
Short-term investments: 4.79% | ||||||
Investment companies: 4.79% | ||||||
Wells Fargo Government Money Market Fund Select Class ♠∞## | 0.03 | 270,350,377 | 270,350,377 | |||
Total Short-term investments (Cost $270,350,377) | 270,350,377 | |||||
Total investments in securities (Cost $6,271,968,718) | 111.48% | 6,289,888,918 | ||||
Other assets and liabilities, net | (11.48) | (647,756,218) | ||||
Total net assets | 100.00% | $5,642,132,700 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | 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. |
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. |
## | All or a portion of this security is segregated for when-issued securities. |
♠ | The issuer is an affiliate 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: | |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $ 258,907,382 | $ (258,907,382) | $0 | $0 | $ 0 | 0 | $ 4,340# | ||||
Wells Fargo Government Money Market Fund Select Class | 315,907,475 | 5,199,623,937 | (5,245,181,035) | 0 | 0 | 270,350,377 | 270,350,377 | 156,045 | ||||
$0 | $0 | $270,350,377 | 4.79% | $160,385 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities, at value (cost $6,001,618,341) | $ 6,019,538,541 |
Investments in affiliated securites, at value (cost $270,350,377) | 270,350,377 |
Receivable for investments sold | 520,101,636 |
Receivable for interest | 18,659,764 |
Prepaid expenses and other assets | 504,195 |
Total assets | 6,829,154,513 |
Liabilities | |
Payable for when-issued transactions | 921,380,460 |
Payable for investments purchased | 263,040,952 |
Advisory fee payable | 1,650,401 |
Cash collateral due to broker | 550,000 |
Overdraft due to custodian bank | 400,000 |
Total liabilities | 1,187,021,813 |
Total net assets | $5,642,132,700 |
Investment income | |
Interest (net of foreign withholding taxes of $2,200) | $ 98,367,183 |
Income from affiliated securities | 183,058 |
Total investment income | 98,550,241 |
Expenses | |
Advisory fee | 20,304,036 |
Custody and accounting fees | 288,180 |
Professional fees | 100,400 |
Interest holder report expenses | 10,322 |
Trustees’ fees and expenses | 19,186 |
Other fees and expenses | 104,473 |
Total expenses | 20,826,597 |
Net investment income | 77,723,644 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 129,629,293 |
Net change in unrealized gains (losses) on investments | (171,533,989) |
Net realized and unrealized gains (losses) on investments | (41,904,696) |
Net increase in net assets resulting from operations | $ 35,818,948 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 77,723,644 | $ 132,899,852 |
Net realized gains on investments | 129,629,293 | 327,904,415 |
Net change in unrealized gains (losses) on investments | (171,533,989) | 58,392,982 |
Net increase in net assets resulting from operations | 35,818,948 | 519,197,249 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 1,103,776,459 | 2,488,553,741 |
Withdrawals | (1,259,318,551) | (3,071,640,078) |
Net decrease in net assets resulting from capital transactions | (155,542,092) | (583,086,337) |
Total decrease in net assets | (119,723,144) | (63,889,088) |
Net assets | ||
Beginning of period | 5,761,855,844 | 5,825,744,932 |
End of period | $ 5,642,132,700 | $ 5,761,855,844 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 0.65% | 9.49% | 6.30% | (0.53)% | 1.89% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.35% | 0.35% | 0.35% | 0.35% | 0.35% |
Net expenses | 0.35% | 0.35% | 0.35% | 0.35% | 0.35% |
Net investment income | 1.30% | 2.28% | 2.93% | 2.23% | 1.87% |
Supplemental data | |||||
Portfolio turnover rate | 457% | 603% | 577% | 542% | 614% |
Gross unrealized gains | $ 77,287,617 |
Gross unrealized losses | (78,622,116) |
Net unrealized losses | $ (1,334,499) |
■ | 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 | $ 1,772,000,438 | $0 | $ 1,772,000,438 |
Asset-backed securities | 0 | 456,800,418 | 0 | 456,800,418 |
Corporate bonds and notes | 0 | 1,379,379,556 | 0 | 1,379,379,556 |
Municipal obligations | 0 | 22,073,396 | 0 | 22,073,396 |
Non-agency mortgage-backed securities | 0 | 224,261,919 | 0 | 224,261,919 |
U.S. Treasury securities | 1,871,071,575 | 0 | 0 | 1,871,071,575 |
Yankee corporate bonds and notes | 0 | 217,859,576 | 0 | 217,859,576 |
Yankee government bonds | 0 | 76,091,663 | 0 | 76,091,663 |
Short-term investments | ||||
Investment companies | 270,350,377 | 0 | 0 | 270,350,377 |
Total assets | $2,141,421,952 | $4,148,466,966 | $0 | $6,289,888,918 |
Average daily net assets | Advisory fee |
First $500 million | 0.400% |
Next $500 million | 0.375 |
Next $2 billion | 0.350 |
Next $2 billion | 0.325 |
Next $5 billion | 0.300 |
Over $10 billion | 0.290 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$25,535,996,163 | $4,077,887,905 | $24,622,078,999 | $4,220,031,795 |
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. |
Funds Trust | Master Trust |
Wells Fargo C&B Large Cap Value Fund | Wells Fargo C&B Large Cap Value Portfolio |
Wells Fargo Core Bond Fund | Wells Fargo Core Bond Portfolio |
Wells Fargo Emerging Growth Fund | Wells Fargo Emerging Growth Portfolio |
Wells Fargo Index Fund | Wells Fargo Index Portfolio |
Wells Fargo Real Return Fund | Wells Fargo Real Return Portfolio |
Wells Fargo Small Company Growth Fund | Wells Fargo Small Company Growth Portfolio |
Wells Fargo Small Company Value Fund | Wells Fargo Small Company Value Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC, as the distributor of Fund shares. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Funds and Master Portfolios. |
■ | Impact of the Transaction on the Funds and their Shareholders and the Master Portfolios and their Interest Holders: (i) information regarding anticipated benefits to the Funds and the Master Portfolios as a result of the Transaction; (ii) a commitment that the Funds and Master Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers and the Unaffiliated Sub-Advisers intend to continue to manage the Funds in a manner consistent with each Fund’s or Master Portfolio’s current investment objectives and principal investments strategies, as applicable; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds or the Master Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
A287/AR287 05-21
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Wells Fargo Real Return Portfolio | |
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Financial statements | |
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Barclays Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved. |
“The passage of the massive domestic stimulus bill highlighted March activity, leading to increased forecasts for U.S. growth in 2021.” |
President
Wells Fargo Funds
Investment objective | The Fund seeks returns that exceed the rate of inflation over the long-term. |
Manager | Wells Fargo Funds Management, LLC |
Portfolio managers | Kandarp R. Acharya, CFA®‡, FRM, Petros N. Bocray, CFA®‡, FRM, Michael Bradshaw, CFA®‡, Christian L. Chan, CFA®‡, Jay N. Mueller, CFA®‡†, Garth B. Newport, CFA®‡, Michael Schueller, CFA®‡ |
Average annual total returns (%) as of May 31, 2021 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (IPBAX) | 2-28-2003 | 4.19 | 3.13 | 2.63 | 9.10 | 4.09 | 3.10 | 1.43 | 0.78 | ||
Class C (IPBCX) | 2-28-2003 | 7.27 | 3.32 | 2.34 | 8.27 | 3.32 | 2.34 | 2.18 | 1.53 | ||
Class R6 (IPBJX)3 | 10-31-2016 | – | – | – | 9.52 | 4.49 | 3.43 | 1.05 | 0.40 | ||
Administrator Class (IPBIX) | 2-28-2003 | – | – | – | 9.31 | 4.31 | 3.34 | 1.37 | 0.60 | ||
Institutional Class (IPBNX)4 | 10-31-2016 | – | – | – | 9.46 | 4.43 | 3.40 | 1.10 | 0.45 | ||
Bloomberg Barclays U.S. TIPS Index5 | – | – | – | – | 7.05 | 4.48 | 3.42 | – | – | ||
CPI 6 | – | – | – | – | 4.99 | 2.30 | 1.77 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through September 30, 2021, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.78% for Class A, 1.53% for Class C, 0.40% for Class R6, 0.60% for Administrator Class, and 0.45% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any) from funds in which the affiliated master portfolio invests, and extraordinary expenses are excluded from the expense caps. Net expenses from the affiliated master portfolio are included in the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Administrator Class shares, and is not adjusted to reflect the Class R6 expenses. If these expenses had been included, returns for the Class R6 shares would be higher. |
4 | Historical performance shown for the Institutional Class shares prior to their inception reflects the performance of the Administrator Class shares, and is not adjusted to reflect the Institutional Class expenses. If these expenses had been included, returns for the Institutional Class shares would be higher. |
5 | The Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index is an index of inflation-indexed-linked U.S. Treasury securities. You cannot invest directly in an index. |
6 | The Consumer Price Index (CPI) for All Urban Consumers in U.S. All Items is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services. You cannot invest directly in an index. |
* | The Fund is a feeder fund in a master-feeder structure that invests substantially all of its assets in a single affiliated master portfolio of the Wells Fargo Master Trust with a substantially identical investment objective and substantially similar investment strategies. References to the investment activities of the Fund are intended to refer to the investment activities of the affiliated master portfolio in which it invests. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
† | Mr. Mueller is expected to retire December 31, 2021. He will remain a portfolio manager of the Fund through October 31, 2021, at which time he will transition to the role of advisor to the team until his retirement. |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg Barclays U.S. TIPS Index and CPI. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%. |
■ | The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index, for the 12-month period that ended May 31, 2021. |
■ | TIPS and other inflation-sensitive growth assets in the portfolio performed well over the period and all contributed to relative performance. |
■ | While all components performed well versus the TIPS Index, relative to sector-specific benchmarks, a number of the sleeves lagged. |
Ten largest holdings (%) as of May 31, 20211 | |
TIPS, 0.38%, 1-15-2027 | 3.18 |
TIPS, 0.38%, 7-15-2025 | 2.89 |
TIPS, 0.63%, 1-15-2026 | 2.57 |
TIPS, 0.13%, 7-15-2030 | 2.48 |
TIPS, 0.63%, 1-15-2024 | 2.31 |
TIPS, 0.13%, 7-15-2024 | 2.26 |
TIPS, 0.38%, 7-15-2023 | 2.11 |
TIPS, 0.25%, 1-15-2025 | 2.10 |
TIPS, 0.13%, 1-15-2030 | 1.97 |
TIPS, 0.50%, 1-15-2028 | 1.89 |
1 | Each holding represents the Fund’s allocable portion of the affiliated master portfolio security. Figures represent each holding as a percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
* | The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index. |
** | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index |
* | The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index. |
*** | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
* | The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index. |
† | The Bloomberg Barclays U.S. Treasury 20+ Year Index measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury with 20+ years to maturity. Treasury bills are excluded by the maturity constraint, but are part of a separate Short Treasury Index. STRIPS are excluded from the index because their inclusion would result in double-counting. You cannot invest directly in an index. |
* | The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index. |
†† | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved. |
Portfolio allocation as of May 31, 20211 |
1 | Figures represent the sector allocation of the affiliated master portfolio as a percentage of the long-term investments of the affiliated master portfolio. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 12-1-2020 | Ending account value 5-31-2021 | Expenses paid during the period1,2 | Annualized net expense ratio2 | |
Class A | ||||
Actual | $1,000.00 | $1,036.20 | $3.96 | 0.78% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.04 | $3.93 | 0.78% |
Class C | ||||
Actual | $1,000.00 | $1,032.17 | $7.75 | 1.53% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.30 | $7.70 | 1.53% |
Class R6 | ||||
Actual | $1,000.00 | $1,038.68 | $2.03 | 0.40% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.94 | $2.02 | 0.40% |
Administrator Class | ||||
Actual | $1,000.00 | $1,036.75 | $3.05 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.94 | $3.02 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $1,037.46 | $2.29 | 0.45% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.69 | $2.27 | 0.45% |
Value | |||||
Investment companies: 99.27% | |||||
Affiliated master portfolio: 99.27% | |||||
Wells Fargo Real Return Portfolio | $74,662,260 | ||||
Total Investment companies (Cost $66,635,335) | 74,662,260 | ||||
Total investments in securities (Cost $66,635,335) | 99.27% | 74,662,260 | |||
Other assets and liabilities, net | 0.73 | 549,951 | |||
Total net assets | 100.00% | $75,212,211 |
% of ownership, beginning of period | % of ownership, end of period | Net realized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | Interest allocated from affiliated Master Portfolio | Dividends allocated from affiliated Master Portfolio | Affiliated income allocated from affiliated Master Portfolio | Value, end of period | % of net assets | |
Wells Fargo Real Return Portfolio | 35.29% | 31.19% | $277,416 | $3,967,421 | $1,725,292 | $203,656 | $689 | $74,662,260 | 99.27% |
Assets | |
Investments in affiliated Master Portfolio, at value (cost $66,635,335) | $ 74,662,260 |
Receivable for Fund shares sold | 605,606 |
Receivable from manager | 17,560 |
Prepaid expenses and other assets | 508 |
Total assets | 75,285,934 |
Liabilities | |
Payable for Fund shares redeemed | 43,214 |
Administration fees payable | 4,760 |
Distribution fee payable | 739 |
Accrued expenses and other liabilities | 25,010 |
Total liabilities | 73,723 |
Total net assets | $75,212,211 |
Net assets consist of | |
Paid-in capital | $ 68,809,226 |
Total distributable earnings | 6,402,985 |
Total net assets | $75,212,211 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 13,824,856 |
Shares outstanding – Class A1 | 1,264,515 |
Net asset value per share – Class A | $10.93 |
Maximum offering price per share – Class A2 | $11.45 |
Net assets – Class C | $ 1,194,808 |
Shares outstanding – Class C1 | 111,250 |
Net asset value per share – Class C | $10.74 |
Net assets – Class R6 | $ 36,202,277 |
Shares outstanding – Class R61 | 3,277,246 |
Net asset value per share – Class R6 | $11.05 |
Net assets – Administrator Class | $ 13,202,915 |
Shares outstanding – Administrator Class1 | 1,187,283 |
Net asset value per share – Administrator Class | $11.12 |
Net assets – Institutional Class | $ 10,787,355 |
Shares outstanding – Institutional Class1 | 976,057 |
Net asset value per share – Institutional Class | $11.05 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/95.50 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Interest allocated from affiliated Master Portfolio | $ 1,725,292 |
Dividends allocated from affiliated Master Portfolio (net of foreign withholding taxes of $433) | 203,656 |
Affiliated income allocated from affiliated Master Portfolio | 689 |
Expenses allocated from affiliated Master Portfolio | (303,910) |
Waivers allocated from affiliated Master Portfolio | 49,674 |
Total investment income | 1,675,401 |
Expenses | |
Management fee | 32,716 |
Administration fees | |
Class A | 21,839 |
Class C | 2,376 |
Class R6 | 8,058 |
Administrator Class | 13,272 |
Institutional Class | 8,133 |
Shareholder servicing fees | |
Class A | 34,103 |
Class C | 3,705 |
Administrator Class | 33,162 |
Distribution fee | |
Class C | 11,128 |
Custody and accounting fees | 3,725 |
Professional fees | 37,760 |
Registration fees | 132,726 |
Shareholder report expenses | 63,082 |
Trustees’ fees and expenses | 21,080 |
Other fees and expenses | 12,465 |
Total expenses | 439,330 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (293,645) |
Class A | (8,190) |
Class C | (1,188) |
Administrator Class | (23,891) |
Institutional Class | (5,083) |
Net expenses | 107,333 |
Net investment income | 1,568,068 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on securities transactions allocated from affiliated Master Portfolio | 277,416 |
Net change in unrealized gains (losses) on securities transactions allocated from affiliated Master Portfolio | 3,967,421 |
Net realized and unrealized gains (losses) on investments | 4,244,837 |
Net increase in net assets resulting from operations | $5,812,905 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |||
Operations | ||||
Net investment income | $ 1,568,068 | $ 1,149,193 | ||
Net realized gains (losses) on investments | 277,416 | (1,121,387) | ||
Net change in unrealized gains (losses) on investments | 3,967,421 | 3,059,682 | ||
Net increase in net assets resulting from operations | 5,812,905 | 3,087,488 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (268,219) | (333,051) | ||
Class C | (19,136) | (28,644) | ||
Class R6 | (676,727) | (410,590) | ||
Administrator Class | (261,977) | (268,283) | ||
Institutional Class | (233,102) | (274,619) | ||
Total distributions to shareholders | (1,459,161) | (1,315,187) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 476,116 | 5,061,849 | 341,385 | 3,446,122 |
Class C | 26,515 | 273,931 | 58,887 | 586,232 |
Class R6 | 2,143,575 | 23,199,949 | 700,870 | 7,155,041 |
Administrator Class | 574,541 | 6,217,286 | 754,263 | 7,722,657 |
Institutional Class | 358,193 | 3,851,836 | 587,649 | 6,004,061 |
38,604,851 | 24,914,113 | |||
Reinvestment of distributions | ||||
Class A | 18,861 | 202,368 | 23,714 | 238,785 |
Class C | 1,759 | 18,532 | 2,484 | 24,671 |
Class R6 | 28,247 | 306,213 | 22,788 | 231,443 |
Administrator Class | 23,163 | 252,526 | 25,943 | 265,162 |
Institutional Class | 21,437 | 232,476 | 26,962 | 274,014 |
1,012,115 | 1,034,075 | |||
Payment for shares redeemed | ||||
Class A | (521,552) | (5,567,275) | (865,507) | (8,666,594) |
Class C | (87,496) | (914,008) | (153,174) | (1,519,143) |
Class R6 | (659,480) | (7,182,858) | (395,994) | (4,031,485) |
Administrator Class | (715,288) | (7,756,050) | (827,804) | (8,434,604) |
Institutional Class | (428,493) | (4,604,300) | (699,776) | (7,084,487) |
(26,024,491) | (29,736,313) | |||
Net increase (decrease) in net assets resulting from capital share transactions | 13,592,475 | (3,788,125) | ||
Total increase (decrease) in net assets | 17,946,219 | (2,015,824) | ||
Net assets | ||||
Beginning of period | 57,265,992 | 59,281,816 | ||
End of period | $ 75,212,211 | $ 57,265,992 |
Year ended May 31 | |||||
Class A | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $10.22 | $9.89 | $9.87 | $9.96 | $9.95 |
Net investment income | 0.22 | 0.12 | 0.15 | 0.21 | 0.19 1 |
Net realized and unrealized gains (losses) on investments | 0.70 | 0.42 | 0.09 | (0.09) | 0.03 |
Total from investment operations | 0.92 | 0.54 | 0.24 | 0.12 | 0.22 |
Distributions to shareholders from | |||||
Net investment income | (0.21) | (0.21) | (0.19) | (0.21) | (0.20) |
Net realized gains | 0.00 | 0.00 | (0.03) | 0.00 | (0.01) |
Total distributions to shareholders | (0.21) | (0.21) | (0.22) | (0.21) | (0.21) |
Net asset value, end of period | $10.93 | $10.22 | $9.89 | $9.87 | $9.96 |
Total return2 | 9.10% | 5.48% | 2.56% | 1.25% | 2.23% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.29% | 1.43% | 1.16% | 1.04% | 1.11% |
Net expenses | 0.78% | 0.78% | 0.77% | 0.80% | 0.85% |
Net investment income | 2.09% | 1.79% | 1.95% | 2.15% | 1.92% |
Supplemental data | |||||
Portfolio turnover rate3 | 20% | 24% | 39% | 29% | 25% |
Net assets, end of period (000s omitted) | $13,825 | $13,196 | $17,716 | $26,133 | $29,678 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.39% |
Year ended May 31, 2020 | 0.39% |
Year ended May 31, 2019 | 0.39% |
Year ended May 31, 2018 | 0.41% |
Year ended May 31, 2017 | 0.44% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class C | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $10.06 | $9.73 | $9.73 | $9.82 | $9.77 |
Net investment income | 0.12 1 | 0.11 1 | 0.10 1 | 0.03 | 0.04 |
Net realized and unrealized gains on investments | 0.71 | 0.35 | 0.07 | 0.02 | 0.10 |
Total from investment operations | 0.83 | 0.46 | 0.17 | 0.05 | 0.14 |
Distributions to shareholders from | |||||
Net investment income | (0.15) | (0.13) | (0.14) | (0.14) | (0.08) |
Net realized gains | 0.00 | 0.00 | (0.03) | 0.00 | (0.01) |
Total distributions to shareholders | (0.15) | (0.13) | (0.17) | (0.14) | (0.09) |
Net asset value, end of period | $10.74 | $10.06 | $9.73 | $9.73 | $9.82 |
Total return2 | 8.27% | 4.77% | 1.79% | 0.53% | 1.44% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 2.06% | 2.18% | 1.91% | 1.79% | 1.86% |
Net expenses | 1.53% | 1.53% | 1.52% | 1.56% | 1.60% |
Net investment income | 1.17% | 1.09% | 1.08% | 1.39% | 1.23% |
Supplemental data | |||||
Portfolio turnover rate3 | 20% | 24% | 39% | 29% | 25% |
Net assets, end of period (000s omitted) | $1,195 | $1,714 | $2,553 | $3,517 | $4,580 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.39% |
Year ended May 31, 2020 | 0.39% |
Year ended May 31, 2019 | 0.39% |
Year ended May 31, 2018 | 0.41% |
Year ended May 31, 2017 | 0.44% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Class R6 | 2021 | 2020 | 2019 | 2018 | 2017 1 |
Net asset value, beginning of period | $10.33 | $9.99 | $9.96 | $10.05 | $10.17 |
Net investment income | 0.29 | 0.22 | 0.23 2 | 0.22 | 0.10 |
Net realized and unrealized gains (losses) on investments | 0.69 | 0.37 | 0.06 | (0.06) | (0.07) |
Total from investment operations | 0.98 | 0.59 | 0.29 | 0.16 | 0.03 |
Distributions to shareholders from | |||||
Net investment income | (0.26) | (0.25) | (0.23) | (0.25) | (0.14) |
Net realized gains | 0.00 | 0.00 | (0.03) | 0.00 | (0.01) |
Total distributions to shareholders | (0.26) | (0.25) | (0.26) | (0.25) | (0.15) |
Net asset value, end of period | $11.05 | $10.33 | $9.99 | $9.96 | $10.05 |
Total return3 | 9.52% | 5.94% | 2.99% | 1.63% | 0.36% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.85% | 1.05% | 0.82% | 0.66% | 0.69% |
Net expenses | 0.40% | 0.40% | 0.39% | 0.42% | 0.47% |
Net investment income | 2.70% | 2.08% | 2.34% | 2.52% | 1.32% |
Supplemental data | |||||
Portfolio turnover rate4 | 20% | 24% | 39% | 29% | 25% |
Net assets, end of period (000s omitted) | $36,202 | $18,224 | $14,358 | $11,750 | $7,438 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.39% |
Year ended May 31, 2020 | 0.39% |
Year ended May 31, 2019 | 0.39% |
Year ended May 31, 2018 | 0.41% |
Year ended May 31, 2017 | 0.44% |
1 | For the period from October 31, 2016 (commencement of class operations) to May 31, 2017 |
2 | Calculated based upon average shares outstanding |
3 | Returns for periods of less than one year are not annualized. |
4 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Administrator Class | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $10.38 | $10.03 | $9.99 | $10.06 | $10.03 |
Net investment income | 0.25 1 | 0.20 1 | 0.21 1 | 0.24 1 | 0.22 1 |
Net realized and unrealized gains (losses) on investments | 0.71 | 0.36 | 0.06 | (0.09) | 0.02 |
Total from investment operations | 0.96 | 0.56 | 0.27 | 0.15 | 0.24 |
Distributions to shareholders from | |||||
Net investment income | (0.22) | (0.21) | (0.20) | (0.22) | (0.20) |
Net realized gains | 0.00 | 0.00 | (0.03) | 0.00 | (0.01) |
Total distributions to shareholders | (0.22) | (0.21) | (0.23) | (0.22) | (0.21) |
Net asset value, end of period | $11.12 | $10.38 | $10.03 | $9.99 | $10.06 |
Total return | 9.31% | 5.67% | 2.78% | 1.50% | 2.46% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 1.23% | 1.37% | 1.10% | 0.97% | 1.04% |
Net expenses | 0.60% | 0.60% | 0.59% | 0.60% | 0.60% |
Net investment income | 2.26% | 1.92% | 2.15% | 2.39% | 2.20% |
Supplemental data | |||||
Portfolio turnover rate2 | 20% | 24% | 39% | 29% | 25% |
Net assets, end of period (000s omitted) | $13,203 | $13,544 | $13,562 | $23,331 | $26,100 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.39% |
Year ended May 31, 2020 | 0.39% |
Year ended May 31, 2019 | 0.39% |
Year ended May 31, 2018 | 0.41% |
Year ended May 31, 2017 | 0.44% |
1 | Calculated based upon average shares outstanding |
2 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Year ended May 31 | |||||
Institutional Class | 2021 | 2020 | 2019 | 2018 | 2017 1 |
Net asset value, beginning of period | $10.33 | $9.99 | $9.97 | $10.06 | $10.17 |
Net investment income | 0.26 | 0.21 | 0.22 | 0.24 | 0.14 |
Net realized and unrealized gains (losses) on investments | 0.71 | 0.37 | 0.05 | (0.08) | (0.10) |
Total from investment operations | 0.97 | 0.58 | 0.27 | 0.16 | 0.04 |
Distributions to shareholders from | |||||
Net investment income | (0.25) | (0.24) | (0.22) | (0.25) | (0.14) |
Net realized gains | 0.00 | 0.00 | (0.03) | 0.00 | (0.01) |
Total distributions to shareholders | (0.25) | (0.24) | (0.25) | (0.25) | (0.15) |
Net asset value, end of period | $11.05 | $10.33 | $9.99 | $9.97 | $10.06 |
Total return2 | 9.46% | 5.88% | 2.84% | 1.57% | 0.41% |
Ratios to average net assets (annualized)* | |||||
Gross expenses | 0.95% | 1.10% | 0.84% | 0.71% | 0.76% |
Net expenses | 0.45% | 0.45% | 0.44% | 0.47% | 0.52% |
Net investment income | 2.37% | 2.09% | 2.20% | 2.62% | 2.24% |
Supplemental data | |||||
Portfolio turnover rate3 | 20% | 24% | 39% | 29% | 25% |
Net assets, end of period (000s omitted) | $10,787 | $10,587 | $11,094 | $12,110 | $5,229 |
* | Ratios include net expenses allocated from the affiliated Master Portfolio which were as follows: |
Year ended May 31, 2021 | 0.39% |
Year ended May 31, 2020 | 0.39% |
Year ended May 31, 2019 | 0.39% |
Year ended May 31, 2018 | 0.41% |
Year ended May 31, 2017 | 0.44% |
1 | For the period from October 31, 2016 (commencement of class operations) to May 31, 2017 |
2 | Returns for periods of less than one year are not annualized. |
3 | Portfolio turnover rate is calculated by multiplying the affiliated Master Portfolio’s percentage of the Fund’s total investment in securities at the end of the period by the affiliated Master Portfolio’s portfolio turnover rate. |
Gross unrealized gains | $8,074,893 |
Gross unrealized losses | (147,137) |
Net unrealized gains | $7,927,756 |
Affiliated Master Portfolio | Investment objective | Fair value of affiliated Master Portfolio |
Wells Fargo Real Return Portfolio | Seeks returns that exceed the rate of inflation over the long-term | $74,662,260 |
Average daily net assets | Management fee |
First $5 billion | 0.050% |
Next $5 billion | 0.040 |
Over $10 billion | 0.030 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Class R6 | 0.03 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.78% |
Class C | 1.53 |
Class R6 | 0.40 |
Administrator Class | 0.60 |
Institutional Class | 0.45 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$15,823,156 | $16,864,981 | $3,166,824 | $9,407,314 |
Undistributed ordinary income | Unrealized gains | Capital loss carryforward |
$197,917 | $7,927,756 | $(1,722,688) |
Wells Fargo Funds Trust:
Shares | Value | |||||
Common stocks: 14.74% | ||||||
Consumer staples: 4.49% | ||||||
Beverages: 0.68% | ||||||
PepsiCo Incorporated | 11,052 | $ 1,635,033 | ||||
Food & staples retailing: 1.46% | ||||||
Costco Wholesale Corporation | 2,897 | 1,095,848 | ||||
Sysco Corporation | 9,235 | 748,035 | ||||
Walmart Incorporated | 11,631 | 1,651,951 | ||||
3,495,834 | ||||||
Food products: 0.68% | ||||||
Mondelez International Incorporated Class A | 13,820 | 877,985 | ||||
Nomad Foods Limited † | 24,189 | 741,877 | ||||
1,619,862 | ||||||
Household products: 1.53% | ||||||
Church & Dwight Company Incorporated | 10,877 | 932,485 | ||||
The Clorox Company | 2,362 | 417,436 | ||||
The Procter & Gamble Company | 17,189 | 2,317,937 | ||||
3,667,858 | ||||||
Tobacco: 0.14% | ||||||
Philip Morris International Incorporated | 3,473 | 334,901 | ||||
Energy: 1.22% | ||||||
Oil, gas & consumable fuels: 1.22% | ||||||
Chevron Corporation | 16,107 | 1,671,746 | ||||
Phillips 66 | 14,756 | 1,242,750 | ||||
Materials: 3.98% | ||||||
Chemicals: 1.74% | ||||||
Ashland Global Holdings Incorporated | 4,440 | 421,090 | ||||
Ecolab Incorporated | 2,972 | 639,218 | ||||
Linde plc | 5,378 | 1,616,627 | ||||
The Sherwin-Williams Company | 3,378 | 957,764 | ||||
Westlake Chemical Corporation | 5,347 | 539,352 | ||||
4,174,051 | ||||||
Construction materials: 0.21% | ||||||
Martin Marietta Materials Incorporated | 1,387 | 504,383 | ||||
Containers & packaging: 0.17% | ||||||
Crown Holdings Incorporated | 3,905 | 403,152 | ||||
Metals & mining: 1.86% | ||||||
Agnico-Eagle Mines Limited | 2,800 | 200,900 | ||||
Alamos Gold Incorporated Class A | 12,000 | 108,964 | ||||
AngloGold Ashanti Limited ADR | 5,100 | 121,227 | ||||
B2Gold Corporation | 24,000 | 122,883 | ||||
Barrick Gold Corporation | 10,456 | 251,780 | ||||
Centerra Gold Incorporated | 5,000 | 40,514 | ||||
Dundee Precious Metals Incorporated | 4,000 | 28,534 | ||||
Eldorado Gold Corporation † | 2,500 | 29,640 | ||||
Endeavour Mining Corporation | 6,280 | 151,719 |
Shares | Value | |||||
Metals & mining (continued) | ||||||
Evolution Mining Limited | 22,000 | $ 92,110 | ||||
Franco-Nevada Corporation | 1,400 | 206,926 | ||||
Gold Fields Limited ADR | 14,500 | 175,595 | ||||
Kinross Gold Corporation | 33,500 | 270,054 | ||||
Kirkland Lake Gold Limited | 5,237 | 225,187 | ||||
Lundin Gold Incorporated † | 7,100 | 70,941 | ||||
MAG Silver Corporation † | 3,400 | 72,986 | ||||
Newcrest Mining Limited | 6,600 | 144,651 | ||||
Newmont Corporation | 5,290 | 388,709 | ||||
Northern Star Resources Limited | 15,000 | 135,819 | ||||
Pan American Silver Corporation | 3,000 | 100,920 | ||||
Pretium Resources Incorporated † | 3,000 | 34,101 | ||||
Royal Gold Incorporated | 3,783 | 468,222 | ||||
SilverCrest Metals Incorporated † | 4,000 | 39,569 | ||||
SSR Mining Incorporated | 3,000 | 55,650 | ||||
SSR Mining Incorporated - U.S. Exchange Traded Shares | 1,272 | 23,343 | ||||
Steel Dynamics Incorporated | 9,167 | 572,296 | ||||
Torex Gold Resources Incorporated † | 6,200 | 90,663 | ||||
Wheaton Precious Metals Corporation | 4,600 | 218,262 | ||||
4,442,165 | ||||||
Real estate: 5.05% | ||||||
Equity REITs: 5.05% | ||||||
Alexandria Real Estate Equities Incorporated | 2,979 | 531,037 | ||||
American Homes 4 Rent Class A | 14,628 | 556,888 | ||||
American Tower Corporation | 5,615 | 1,434,408 | ||||
Camden Property Trust | 2,860 | 358,587 | ||||
CoreSite Realty Corporation | 3,630 | 440,138 | ||||
Equinix Incorporated | 1,511 | 1,113,170 | ||||
Federal Realty Investment Trust | 2,820 | 322,439 | ||||
Four Corners Property Trust Incorporated | 18,626 | 517,058 | ||||
Healthcare Realty Trust Incorporated | 10,908 | 330,949 | ||||
Host Hotels & Resorts Incorporated † | 17,241 | 296,028 | ||||
Invitation Homes Incorporated | 16,155 | 585,942 | ||||
Life Storage Incorporated | 4,894 | 486,659 | ||||
Mid-America Apartment Communities Incorporated | 2,179 | 350,165 | ||||
Prologis Incorporated | 9,409 | 1,108,757 | ||||
SBA Communications Corporation | 3,012 | 897,937 | ||||
Simon Property Group Incorporated | 2,538 | 326,108 | ||||
STAG Industrial Incorporated | 6,723 | 240,078 | ||||
Sun Communities Incorporated | 4,406 | 737,653 | ||||
VICI Properties Incorporated | 26,650 | 829,615 | ||||
Welltower Incorporated | 8,230 | 615,357 | ||||
Total Common stocks (Cost $24,963,871) | 35,270,708 |
Interest rate | Maturity date | Principal | ||||
Corporate bonds and notes: 13.08% | ||||||
Communication services: 1.47% | ||||||
Diversified telecommunication services: 0.38% | ||||||
CenturyLink Incorporated | 6.75% | 12-1-2023 | $ | 260,000 | 286,507 | |
CommScope Holding Company Incorporated 144A | 5.50 | 3-1-2024 | 290,000 | 298,323 |
Interest rate | Maturity date | Principal | Value | |||
Diversified telecommunication services (continued) | ||||||
Level 3 Financing Incorporated | 5.38% | 5-1-2025 | $ | 85,000 | $ 86,879 | |
Lumen Technologies Incorporated | 7.50 | 4-1-2024 | 215,000 | 240,800 | ||
912,509 | ||||||
Entertainment: 0.14% | ||||||
Live Nation Entertainment Incorporated 144A | 4.88 | 11-1-2024 | 170,000 | 173,096 | ||
Live Nation Entertainment Incorporated 144A | 6.50 | 5-15-2027 | 150,000 | 165,563 | ||
338,659 | ||||||
Media: 0.87% | ||||||
CCO Holdings LLC 144A | 5.13 | 5-1-2027 | 600,000 | 627,000 | ||
Cinemark USA Incorporated 144A | 8.75 | 5-1-2025 | 335,000 | 364,313 | ||
Compression Partners LP | 6.88 | 9-1-2027 | 20,000 | 20,994 | ||
CSC Holdings LLC 144A | 5.50 | 4-15-2027 | 200,000 | 210,000 | ||
DISH DBS Corporation | 5.00 | 3-15-2023 | 200,000 | 207,750 | ||
DISH DBS Corporation | 5.88 | 7-15-2022 | 190,000 | 197,600 | ||
Townsquare Media Incorporated 144A | 6.88 | 2-1-2026 | 415,000 | 438,344 | ||
2,066,001 | ||||||
Wireless telecommunication services: 0.08% | ||||||
Sprint Corporation | 7.88 | 9-15-2023 | 155,000 | 175,632 | ||
Sprint Spectrum Company LLC 144A | 3.36 | 3-20-2023 | 21,875 | 21,912 | ||
197,544 | ||||||
Consumer discretionary: 2.44% | ||||||
Auto components: 0.24% | ||||||
Clarios Global LP 144A | 6.75 | 5-15-2025 | 185,000 | 198,181 | ||
Goodyear Tire & Rubber Company | 5.00 | 5-31-2026 | 376,000 | 386,111 | ||
584,292 | ||||||
Automobiles: 0.36% | ||||||
Ford Motor Company | 4.13 | 8-17-2027 | 400,000 | 418,000 | ||
Ford Motor Company | 8.50 | 4-21-2023 | 355,000 | 396,269 | ||
Ford Motor Company | 9.00 | 4-22-2025 | 45,000 | 54,980 | ||
869,249 | ||||||
Hotels, restaurants & leisure: 0.83% | ||||||
Carnival Corporation 144A | 10.50 | 2-1-2026 | 225,000 | 265,361 | ||
Carnival Corporation 144A | 11.50 | 4-1-2023 | 230,000 | 263,164 | ||
NCL Corporation Limited 144A | 12.25 | 5-15-2024 | 550,000 | 665,500 | ||
Royal Caribbean Cruises Limited 144A | 9.13 | 6-15-2023 | 325,000 | 359,515 | ||
Royal Caribbean Cruises Limited 144A | 11.50 | 6-1-2025 | 370,000 | 428,275 | ||
1,981,815 | ||||||
Household durables: 0.18% | ||||||
KB Home Class B | 7.50 | 9-15-2022 | 315,000 | 338,625 | ||
Newell Brands Incorporated | 4.35 | 4-1-2023 | 93,000 | 97,762 | ||
436,387 | ||||||
Internet & direct marketing retail: 0.06% | ||||||
QVC Incorporated | 4.38 | 3-15-2023 | 140,000 | 146,936 |
Interest rate | Maturity date | Principal | Value | |||
Multiline retail: 0.28% | ||||||
Macy's Incorporated 144A | 8.38% | 6-15-2025 | $ | 605,000 | $ 668,525 | |
Specialty retail: 0.47% | ||||||
L Brands Incorporated | 5.63 | 10-15-2023 | 65,000 | 70,525 | ||
L Brands Incorporated 144A | 9.38 | 7-1-2025 | 450,000 | 573,368 | ||
Penske Automotive Group Incorporated | 3.50 | 9-1-2025 | 140,000 | 144,228 | ||
The Gap Incorporated 144A | 8.63 | 5-15-2025 | 295,000 | 325,606 | ||
1,113,727 | ||||||
Textiles, apparel & luxury goods: 0.02% | ||||||
Levi Strauss & Company | 5.00 | 5-1-2025 | 36,000 | 36,728 | ||
Consumer staples: 0.14% | ||||||
Food products: 0.14% | ||||||
CHS Incorporated 144A | 6.63 | 2-15-2025 | 315,000 | 331,538 | ||
Energy: 2.28% | ||||||
Energy equipment & services: 0.16% | ||||||
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 375,000 | 375,938 | ||
Oil, gas & consumable fuels: 2.12% | ||||||
Antero Midstream Company | 5.38 | 9-15-2024 | 485,000 | 497,998 | ||
Apache Corporation | 4.63 | 11-15-2025 | 70,000 | 74,286 | ||
Buckeye Partners LP | 4.15 | 7-1-2023 | 200,000 | 206,846 | ||
Continental Resources Incorporated | 4.50 | 4-15-2023 | 600,000 | 626,400 | ||
Crestwood Midstream Partners LP | 5.75 | 4-1-2025 | 225,000 | 230,558 | ||
DCP Midstream Operating LP | 5.38 | 7-15-2025 | 455,000 | 498,407 | ||
EnLink Midstream Partners LP | 4.15 | 6-1-2025 | 870,000 | 887,852 | ||
Enviva Partners LP 144A | 6.50 | 1-15-2026 | 645,000 | 675,960 | ||
EQT Corporation | 7.63 | 2-1-2025 | 85,000 | 99,272 | ||
New Fortress Energy Incorporated 144A | 6.50 | 9-30-2026 | 220,000 | 221,375 | ||
Occidental Petroleum Corporation (3 Month LIBOR+1.45%) ± | 1.61 | 8-15-2022 | 120,000 | 119,102 | ||
Occidental Petroleum Corporation | 8.00 | 7-15-2025 | 305,000 | 358,714 | ||
Ovintiv Exploration Incorporated | 3.90 | 11-15-2021 | 155,000 | 155,726 | ||
Ovintiv Exploration Incorporated | 5.75 | 1-30-2022 | 90,000 | 92,976 | ||
Southwestern Energy Company | 6.45 | 1-23-2025 | 90,000 | 98,570 | ||
Tallgrass Energy Partners LP 144A | 7.50 | 10-1-2025 | 225,000 | 245,664 | ||
5,089,706 | ||||||
Financials: 1.75% | ||||||
Consumer finance: 0.75% | ||||||
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 340,000 | 361,250 | ||
Navient Corporation | 7.25 | 9-25-2023 | 145,000 | 158,956 | ||
SLM Corporation | 5.50 | 1-25-2023 | 470,000 | 491,738 | ||
Springleaf Finance Corporation | 6.13 | 3-15-2024 | 295,000 | 317,863 | ||
Springleaf Finance Corporation | 8.88 | 6-1-2025 | 414,000 | 455,918 | ||
1,785,725 | ||||||
Diversified financial services: 0.19% | ||||||
United Shore Financial Services LLC 144A | 5.50 | 11-15-2025 | 450,000 | 463,172 | ||
Insurance: 0.34% | ||||||
Genworth Mortgage Holding Incorporated 144A | 6.50 | 8-15-2025 | 750,000 | 813,750 |
Interest rate | Maturity date | Principal | Value | |||
Mortgage REITs: 0.22% | ||||||
Starwood Property Trust Incorporated | 4.75% | 3-15-2025 | $ | 320,000 | $ 333,696 | |
Starwood Property Trust Incorporated | 5.00 | 12-15-2021 | 180,000 | 181,183 | ||
514,879 | ||||||
Thrifts & mortgage finance: 0.25% | ||||||
Ladder Capital Finance Holdings LP 144A | 5.25 | 3-15-2022 | 545,000 | 549,769 | ||
Ladder Capital Finance Holdings LP 144A | 5.25 | 10-1-2025 | 53,000 | 53,928 | ||
603,697 | ||||||
Health care: 0.81% | ||||||
Health care providers & services: 0.81% | ||||||
HealthSouth Corporation | 5.13 | 3-15-2023 | 193,000 | 193,193 | ||
Magellan Health Incorporated | 4.90 | 9-22-2024 | 723,000 | 793,529 | ||
Molina Healthcare Incorporated | 5.38 | 11-15-2022 | 400,000 | 418,088 | ||
Select Medical Corporation 144A | 6.25 | 8-15-2026 | 284,000 | 299,444 | ||
Tenet Healthcare Corporation | 4.63 | 7-15-2024 | 240,000 | 243,456 | ||
1,947,710 | ||||||
Industrials: 2.30% | ||||||
Aerospace & defense: 0.32% | ||||||
RBS Global & Rexnord LLC 144A | 4.88 | 12-15-2025 | 200,000 | 204,750 | ||
Spirit AeroSystems Holdings Incorporated 144A | 5.50 | 1-15-2025 | 525,000 | 553,219 | ||
757,969 | ||||||
Airlines: 1.28% | ||||||
American Airlines Group Incorporated 144A | 5.00 | 6-1-2022 | 430,000 | 428,925 | ||
American Airlines Group Incorporated 144A | 5.50 | 4-20-2026 | 385,000 | 405,213 | ||
Delta Air Lines Incorporated 144A | 4.50 | 10-20-2025 | 995,000 | 1,074,352 | ||
Hawaiian Airlines Incorporated | 3.90 | 7-15-2027 | 143,080 | 138,730 | ||
Mileage Plus Holdings LLC 144A | 6.50 | 6-20-2027 | 850,000 | 933,130 | ||
United Airlines Incorporated 144A | 4.38 | 4-15-2026 | 90,000 | 93,263 | ||
3,073,613 | ||||||
Commercial services & supplies: 0.37% | ||||||
Corecivic Incorporated | 8.25 | 4-15-2026 | 200,000 | 195,120 | ||
Covanta Holding Corporation | 5.88 | 7-1-2025 | 65,000 | 67,113 | ||
Plastipak Holdings Incorporated 144A | 6.25 | 10-15-2025 | 620,000 | 634,725 | ||
896,958 | ||||||
Construction & engineering: 0.05% | ||||||
Taylor Morrison Communities Incorporated 144A | 5.88 | 4-15-2023 | 110,000 | 117,425 | ||
Electronic equipment, instruments & components: 0.03% | ||||||
Wesco Distribution Incorporated 144A | 7.13 | 6-15-2025 | 55,000 | 59,397 | ||
Machinery: 0.00% | ||||||
Stevens Holding Company Incorporated 144A | 6.13 | 10-1-2026 | 10,000 | 10,700 | ||
Road & rail: 0.09% | ||||||
Uber Technologies Incorporated 144A | 8.00 | 11-1-2026 | 195,000 | 210,559 | ||
Trading companies & distributors: 0.16% | ||||||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 358,000 | 371,425 |
Interest rate | Maturity date | Principal | Value | |||
Information technology: 0.60% | ||||||
IT services: 0.45% | ||||||
Cardtronics Incorporated 144A | 5.50% | 5-1-2025 | $ | 295,000 | $ 303,113 | |
Sabre GLBL Incorporated 144A | 9.25 | 4-15-2025 | 585,000 | 684,450 | ||
Square Incorporated 144A | 2.75 | 6-1-2026 | 85,000 | 85,689 | ||
1,073,252 | ||||||
Software: 0.05% | ||||||
NortonLifeLock Incorporated 144A | 5.00 | 4-15-2025 | 120,000 | 121,284 | ||
Technology hardware, storage & peripherals: 0.10% | ||||||
Dell International LLC 144A | 7.13 | 6-15-2024 | 245,000 | 249,900 | ||
Materials: 0.50% | ||||||
Chemicals: 0.09% | ||||||
Kraton Polymers LLC 144A | 4.25 | 12-15-2025 | 220,000 | 222,803 | ||
Containers & packaging: 0.11% | ||||||
Sealed Air Corporation 144A | 5.13 | 12-1-2024 | 50,000 | 54,438 | ||
Sealed Air Corporation 144A | 5.25 | 4-1-2023 | 190,000 | 200,213 | ||
254,651 | ||||||
Metals & mining: 0.22% | ||||||
Cleveland-Cliffs Incorporated 144A | 6.75 | 3-15-2026 | 195,000 | 210,594 | ||
Cleveland-Cliffs Incorporated 144A | 9.88 | 10-17-2025 | 274,000 | 320,595 | ||
531,189 | ||||||
Paper & forest products: 0.08% | ||||||
Clearwater Paper Corporation 144A | 5.38 | 2-1-2025 | 185,000 | 195,175 | ||
Real estate: 0.40% | ||||||
Equity REITs: 0.40% | ||||||
Service Properties Trust Company | 4.35 | 10-1-2024 | 500,000 | 491,123 | ||
Service Properties Trust Company | 7.50 | 9-15-2025 | 420,000 | 469,486 | ||
960,609 | ||||||
Utilities: 0.39% | ||||||
Electric utilities: 0.04% | ||||||
NextEra Energy Operating Partners LP 144A | 4.25 | 7-15-2024 | 100,000 | 105,950 | ||
Independent power & renewable electricity producers: 0.35% | ||||||
TerraForm Power Operating LLC 144A | 4.25 | 1-31-2023 | 600,000 | 617,580 | ||
Vistra Operations Company LLC 144A | 5.63 | 2-15-2027 | 200,000 | 207,500 | ||
825,080 | ||||||
Total Corporate bonds and notes (Cost $30,576,823) | 31,316,426 | |||||
Loans: 4.03% | ||||||
Communication services: 0.81% | ||||||
Entertainment: 0.05% | ||||||
Live Nation Entertainment Incorporated (1 Month LIBOR+1.75%) ± | 1.88 | 10-17-2026 | 124,013 | 121,006 |
Interest rate | Maturity date | Principal | Value | |||
Media: 0.49% | ||||||
CSC Holdings LLC (1 Month LIBOR+2.50%) ± | 2.60% | 4-15-2027 | $ | 366,972 | $ 364,495 | |
Diamond Sports Group LLC (1 Month LIBOR+3.25%) ± | 3.35 | 8-24-2026 | 344,750 | 246,820 | ||
Hubbard Radio LLC (3 Month LIBOR+4.25%) ± | 5.25 | 3-28-2025 | 75,000 | 73,625 | ||
Nexstar Broadcasting Incorporated (1 Month LIBOR+2.50%) ± | 2.61 | 9-18-2026 | 325,000 | 323,872 | ||
Virgin Media Bristol LLC (1 Month LIBOR+2.50%) ± | 2.60 | 1-31-2028 | 175,000 | 173,906 | ||
1,182,718 | ||||||
Wireless telecommunication services: 0.27% | ||||||
Consolidated Communications Holdings Incorporated (1 Month LIBOR+3.50%) ± | 4.25 | 10-2-2027 | 211,000 | 211,038 | ||
SBA Senior Finance II LLC (1 Month LIBOR+1.75%) ± | 1.85 | 4-11-2025 | 426,404 | 423,385 | ||
634,423 | ||||||
Consumer discretionary: 0.32% | ||||||
Auto components: 0.09% | ||||||
Clarios Global LP (1 Month LIBOR+3.25%) ± | 3.34 | 4-30-2026 | 216,466 | 215,316 | ||
Hotels, restaurants & leisure: 0.12% | ||||||
Carnival Corporation (1 Month LIBOR+7.50%) ± | 8.50 | 6-30-2025 | 49,625 | 49,790 | ||
Carnival Corporation 2021 Term Loan B (1 Month LIBOR+3.75%) <± | 3.75 | 6-30-2025 | 30,000 | 30,100 | ||
Wyndham Hotels & Resorts Incorporated (3 Month LIBOR+1.75%) ± | 1.84 | 5-30-2025 | 214,500 | 212,724 | ||
292,614 | ||||||
Specialty retail: 0.11% | ||||||
Rent-A-Center Incorporated (1 Month LIBOR+4.00%) ± | 4.75 | 2-17-2028 | 200,000 | 201,084 | ||
Sally Beauty Holdings Incorporated (3 Month LIBOR+2.25%) ‡± | 2.35 | 7-5-2024 | 64,064 | 63,984 | ||
265,068 | ||||||
Consumer staples: 0.04% | ||||||
Food products: 0.04% | ||||||
Prestige Brands Incorporated (3 Month LIBOR+2.00%) ± | 2.09 | 1-26-2024 | 90,468 | 90,581 | ||
Energy: 0.16% | ||||||
Oil, gas & consumable fuels: 0.16% | ||||||
Apergy Corporation (1 Month LIBOR+5.00%) ‡± | 6.00 | 6-3-2027 | 331,360 | 337,573 | ||
NGPL Holdco LLC (1 Month LIBOR+3.75%) ‡± | 4.75 | 4-14-2028 | 55,000 | 55,035 | ||
392,608 | ||||||
Financials: 0.22% | ||||||
Diversified financial services: 0.22% | ||||||
Delos Finance SARL (3 Month LIBOR+1.75%) ± | 1.95 | 10-6-2023 | 140,000 | 139,825 | ||
Resolute Investment Managers Incorporated (1 Month LIBOR+3.75%) ‡± | 4.75 | 4-30-2024 | 105,000 | 105,131 | ||
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR+3.00%) ± | 4.50 | 5-30-2025 | 285,000 | 282,595 | ||
527,551 |
Interest rate | Maturity date | Principal | Value | |||
Health care: 0.68% | ||||||
Health care equipment & supplies: 0.24% | ||||||
Oorth Clinical Diagnistics SA Term Loan (3 Month LIBOR+3.00%) ± | 3.11% | 6-30-2025 | $ | 220,000 | $ 220,000 | |
Surgery Center Holdings Incorporated (1 Month LIBOR+3.75%) <± | 4.50 | 8-31-2026 | 349,509 | 349,946 | ||
569,946 | ||||||
Health care providers & services: 0.25% | ||||||
National Mentor Holdings Incorporated (1 Month LIBOR+3.75%) <± | 3.75 | 3-2-2028 | 2,836 | 2,838 | ||
National Mentor Holdings Incorporated (1 Month LIBOR+3.75%) <± | 4.50 | 2-18-2028 | 57,726 | 57,762 | ||
National Mentor Holdings Incorporated (1 Month LIBOR+3.75%) <± | 4.50 | 2-18-2028 | 1,924 | 1,925 | ||
Select Medical Corporation (3 Month LIBOR+2.25%) ± | 2.37 | 3-6-2025 | 549,214 | 544,579 | ||
607,104 | ||||||
Health care technology: 0.04% | ||||||
Project Ruby Ultimate Parent Corporation (1 Month LIBOR+3.25%) ± | 4.00 | 3-3-2028 | 90,000 | 89,789 | ||
Pharmaceuticals: 0.15% | ||||||
Bausch Health Companies Incorporated (3 Month LIBOR+3.00%) ± | 3.09 | 6-2-2025 | 367,701 | 366,138 | ||
Industrials: 0.98% | ||||||
Aerospace & defense: 0.10% | ||||||
Rexnord LLC (1 Month LIBOR+1.75%) ± | 1.84 | 8-21-2024 | 156,250 | 155,998 | ||
Spirit AeroSystems Holdings Incorporated (1 Month LIBOR+5.25%) ‡± | 6.00 | 1-15-2025 | 74,813 | 75,280 | ||
231,278 | ||||||
Airlines: 0.46% | ||||||
AAdvantage American Airlines Incorporated (1 Month LIBOR+4.75%) ± | 5.50 | 4-20-2028 | 365,000 | 375,950 | ||
JetBlue Airways Corporation (1 Month LIBOR+5.25%) ± | 6.25 | 6-17-2024 | 207,308 | 211,800 | ||
Mileage Plus Holdings LLC (1 Month LIBOR+5.25%) ± | 6.25 | 6-21-2027 | 210,000 | 223,965 | ||
SkyMiles IP Limited (3 Month LIBOR+3.75%) ± | 4.75 | 10-20-2027 | 215,000 | 225,189 | ||
United Airlines Incorporated (1 Month LIBOR+3.75%) ± | 4.50 | 4-21-2028 | 60,000 | 60,525 | ||
1,097,429 | ||||||
Building products: 0.09% | ||||||
Advanced Drainage Systems Incorporated (1 Month LIBOR+2.25%) ± | 2.38 | 7-31-2026 | 219,750 | 220,163 | ||
Commercial services & supplies: 0.16% | ||||||
Aramark Services Incorporated (1 Month LIBOR+1.75%) ± | 1.84 | 3-11-2025 | 364,323 | 359,572 | ||
KAR Auction Services Incorporated (1 Month LIBOR+2.25%) ± | 2.38 | 9-19-2026 | 38,578 | 37,710 | ||
397,282 | ||||||
Industrial conglomerates: 0.06% | ||||||
Werner Finco LP (3 Month LIBOR+4.00%) ‡± | 5.00 | 7-24-2024 | 134,651 | 134,651 |
Interest rate | Maturity date | Principal | Value | |||
Road & rail: 0.05% | ||||||
Uber Technologies Incorporated (1 Month LIBOR+3.50%) ± | 3.59% | 4-4-2025 | $ | 119,692 | $ 119,628 | |
Software: 0.06% | ||||||
SS&C Technologies Incorporated (1 Month LIBOR+1.75%) <± | 1.84 | 4-16-2025 | 83,606 | 82,655 | ||
SS&C Technologies Incorporated (1 Month LIBOR+1.75%) ± | 1.84 | 4-16-2025 | 63,106 | 62,389 | ||
145,044 | ||||||
Information technology: 0.29% | ||||||
Electronic equipment, instruments & components: 0.08% | ||||||
CDW LLC (1 Month LIBOR+1.75%) ± | 1.85 | 10-13-2026 | 193,893 | 194,136 | ||
IT services: 0.08% | ||||||
Sabre GLBL Incorporated (1 Month LIBOR+4.00%) ± | 4.75 | 12-17-2027 | 189,525 | 190,473 | ||
Semiconductors & semiconductor equipment: 0.13% | ||||||
ON Semiconductor Corporation (1 Month LIBOR+2.00%) ± | 2.09 | 9-19-2026 | 310,275 | 309,800 | ||
Materials: 0.44% | ||||||
Chemicals: 0.05% | ||||||
Ineos US Finance LLC (3 Month LIBOR+2.00%) ± | 2.09 | 4-1-2024 | 108,270 | 107,091 | ||
Containers & packaging: 0.39% | ||||||
Flex Acquisition Company Incorporated (3 Month LIBOR+3.25%) ± | 3.45 | 6-29-2025 | 180,000 | 177,899 | ||
Flex Acquisition Company Incorporated (1 Month LIBOR+3.50%) ± | 4.00 | 2-23-2028 | 326,000 | 324,080 | ||
Graham Packaging Company Incorporated (1 Month LIBOR+3.00%) ± | 3.75 | 8-4-2027 | 220,000 | 219,850 | ||
Reynolds Group Holdings Incorporated (1 Month LIBOR+2.75%) ± | 2.84 | 2-5-2023 | 215,000 | 214,432 | ||
936,261 | ||||||
Utilities: 0.09% | ||||||
Electric utilities: 0.09% | ||||||
ExGen Renewables IV LLC (1 Month LIBOR+2.75%) <± | 3.75 | 12-15-2027 | 203,975 | 204,104 | ||
Total Loans (Cost $9,748,500) | 9,642,202 | |||||
U.S. Treasury securities: 65.71% | ||||||
TIPS | 0.13 | 1-15-2023 | 3,453,313 | 3,624,360 | ||
TIPS | 0.13 | 7-15-2024 | 5,013,139 | 5,450,139 | ||
TIPS | 0.13 | 10-15-2024 | 3,818,992 | 4,157,288 | ||
TIPS | 0.13 | 4-15-2025 | 3,834,360 | 4,182,233 | ||
TIPS | 0.13 | 10-15-2025 | 2,020,808 | 2,223,837 | ||
TIPS | 0.13 | 4-15-2026 | 4,135,090 | 4,546,700 | ||
TIPS | 0.13 | 7-15-2026 | 3,750,728 | 4,151,704 | ||
TIPS | 0.13 | 1-15-2030 | 4,322,976 | 4,754,956 | ||
TIPS | 0.13 | 7-15-2030 | 5,422,515 | 5,986,870 | ||
TIPS | 0.13 | 1-15-2031 | 3,062,043 | 3,360,188 | ||
TIPS | 0.13 | 2-15-2051 | 1,022,236 | 1,072,455 | ||
TIPS | 0.25 | 1-15-2025 | 4,639,949 | 5,073,123 | ||
TIPS | 0.25 | 7-15-2029 | 3,488,894 | 3,895,676 | ||
TIPS | 0.25 | 2-15-2050 | 1,771,669 | 1,920,914 | ||
TIPS | 0.38 | 7-15-2023 | 4,750,858 | 5,092,294 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
TIPS | 0.38% | 7-15-2025 | $ | 6,275,798 | $ 6,972,728 | |
TIPS | 0.38 | 1-15-2027 | 6,857,231 | 7,667,185 | ||
TIPS | 0.38 | 7-15-2027 | 3,572,481 | 4,021,999 | ||
TIPS | 0.50 | 4-15-2024 | 3,270,719 | 3,557,204 | ||
TIPS | 0.50 | 1-15-2028 | 4,042,066 | 4,568,503 | ||
TIPS | 0.63 | 4-15-2023 | 4,211,214 | 4,482,259 | ||
TIPS | 0.63 | 1-15-2024 | 5,135,604 | 5,580,299 | ||
TIPS | 0.63 | 1-15-2026 | 5,511,203 | 6,190,926 | ||
TIPS | 0.63 | 2-15-2043 | 2,113,590 | 2,459,208 | ||
TIPS | 0.75 | 7-15-2028 | 3,597,482 | 4,154,252 | ||
TIPS | 0.75 | 2-15-2042 | 2,853,723 | 3,398,979 | ||
TIPS | 0.75 | 2-15-2045 | 2,558,420 | 3,057,680 | ||
TIPS | 0.88 | 1-15-2029 | 2,957,531 | 3,441,533 | ||
TIPS | 0.88 | 2-15-2047 | 1,618,134 | 2,009,521 | ||
TIPS | 1.00 | 2-15-2046 | 1,598,211 | 2,022,115 | ||
TIPS | 1.00 | 2-15-2048 | 1,229,604 | 1,581,628 | ||
TIPS | 1.00 | 2-15-2049 | 1,404,927 | 1,819,729 | ||
TIPS | 1.38 | 2-15-2044 | 2,306,628 | 3,100,593 | ||
TIPS | 1.75 | 1-15-2028 | 2,420,675 | 2,950,948 | ||
TIPS | 2.00 | 1-15-2026 | 3,002,040 | 3,574,607 | ||
TIPS | 2.13 | 2-15-2040 | 1,274,218 | 1,873,444 | ||
TIPS | 2.13 | 2-15-2041 | 1,626,455 | 2,412,559 | ||
TIPS | 2.38 | 1-15-2025 | 3,090,758 | 3,632,913 | ||
TIPS | 2.38 | 1-15-2027 | 2,225,806 | 2,758,316 | ||
TIPS | 2.50 | 1-15-2029 | 2,331,183 | 3,021,827 | ||
TIPS | 3.38 | 4-15-2032 | 939,916 | 1,390,220 | ||
TIPS | 3.63 | 4-15-2028 | 1,891,082 | 2,572,456 | ||
TIPS | 3.88 | 4-15-2029 | 2,480,740 | 3,511,645 | ||
Total U.S. Treasury securities (Cost $142,978,540) | 157,278,013 | |||||
Yankee corporate bonds and notes: 1.12% | ||||||
Communication services: 0.19% | ||||||
Media: 0.19% | ||||||
Nielsen Holding and Finance BV 144A | 5.00 | 2-1-2025 | 65,000 | 66,788 | ||
Videotron Limited | 5.00 | 7-15-2022 | 375,000 | 389,063 | ||
455,851 | ||||||
Consumer staples: 0.07% | ||||||
Food products: 0.07% | ||||||
Cooke Omega Investments Incorporated 144A | 8.50 | 12-15-2022 | 165,000 | 169,538 | ||
Energy: 0.18% | ||||||
Oil, gas & consumable fuels: 0.18% | ||||||
Northriver Midstream Finance LP 144A | 5.63 | 2-15-2026 | 425,000 | 436,798 | ||
Financials: 0.16% | ||||||
Diversified financial services: 0.16% | ||||||
DAE Funding LLC 144A | 2.63 | 3-20-2025 | 370,000 | 373,789 |
Interest rate | Maturity date | Principal | Value | |||
Health care: 0.16% | ||||||
Pharmaceuticals: 0.16% | ||||||
Teva Pharmaceutical Finance BV | 2.80% | 7-21-2023 | $ | 310,000 | $ 307,094 | |
Teva Pharmaceutical Finance BV | 3.65 | 11-10-2021 | 70,000 | 70,350 | ||
377,444 | ||||||
Industrials: 0.10% | ||||||
Trading companies & distributors: 0.10% | ||||||
FLY Leasing Limited | 5.25 | 10-15-2024 | 225,000 | 229,781 | ||
Materials: 0.26% | �� | |||||
Chemicals: 0.16% | ||||||
Park Aerospace Holdings Company 144A | 5.50 | 2-15-2024 | 345,000 | 379,167 | ||
Metals & mining: 0.10% | ||||||
Constellium NV Company 144A | 5.75 | 5-15-2024 | 250,000 | 252,750 | ||
Total Yankee corporate bonds and notes (Cost $2,571,448) | 2,675,118 |
Yield | Shares | |||||
Short-term investments: 0.95% | ||||||
Investment companies: 0.95% | ||||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 2,265,095 | 2,265,095 | |||
Total Short-term investments (Cost $2,265,095) | 2,265,095 | |||||
Total investments in securities (Cost $213,104,277) | 99.63% | 238,447,562 | ||||
Other assets and liabilities, net | 0.37 | 894,378 | ||||
Total net assets | 100.00% | $239,341,940 |
† | 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. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
< | All or a portion of the position represents an unfunded loan commitment. The rate represents current interest rate if the loan is partially funded. |
‡ | Security is valued using significant unobservable inputs. |
♠ | The issuer is an affiliate 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 |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $ 2,733,330 | $ (2,733,330) | $0 | $0 | $ 0 | 0 | $ 80# | ||||
Wells Fargo Government Money Market Fund Select Class | 923,723 | 103,021,863 | (101,680,491) | 0 | 0 | 2,265,095 | 2,265,095 | 1,437 | ||||
$0 | $0 | $2,265,095 | 0.95% | $1,517 |
# | Amount shown represents income before fees and rebates. |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 14 | 9-30-2021 | $ 3,089,647 | $ 3,090,281 | $ 634 | $0 | |
Short | |||||||
10-Year U.S. Treasury Notes | (5) | 9-21-2021 | (660,343) | (659,688) | 655 | 0 | |
10-Year Ultra Futures | (3) | 9-21-2021 | (435,678) | (434,859) | 819 | 0 | |
U.S. Ultra Bond | (13) | 9-21-2021 | (2,413,516) | (2,408,250) | 5,266 | 0 | |
5-Year U.S. Treasury Notes | (63) | 9-30-2021 | (7,803,532) | (7,802,648) | 884 | 0 | |
$8,258 | $0 |
Assets | |
Investments in unaffiliated securities, at value (cost $210,839,182) | $ 236,182,467 |
Investments in affiliated securites, at value (cost $2,265,095) | 2,265,095 |
Cash at broker segregated for futures contracts | 226,000 |
Foreign currency, at value (cost $5,575) | 5,558 |
Receivable for dividends and interest | 893,553 |
Receivable for investments sold | 6,279 |
Prepaid expenses and other assets | 61,520 |
Total assets | 239,640,472 |
Liabilities | |
Payable for investments purchased | 217,490 |
Advisory fee payable | 66,529 |
Payable for daily variation margin on open futures contracts | 14,031 |
Overdraft due to custodian bank | 482 |
Total liabilities | 298,532 |
Total net assets | $239,341,940 |
Investment income | |
Interest | $ 5,388,000 |
Dividends (net of foreign withholdings taxes of $1,247) | 648,488 |
Income from affiliated securities | 2,120 |
Total investment income | 6,038,608 |
Expenses | |
Advisory fee | 816,193 |
Custody and accounting fees | 28,353 |
Professional fees | 50,123 |
Interest holder report expenses | 15,470 |
Trustees’ fees and expenses | 19,326 |
Other fees and expenses | 20,674 |
Total expenses | 950,139 |
Less: Fee waivers and/or expense reimbursements | (154,351) |
Net expenses | 795,788 |
Net investment income | 5,242,820 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 548,904 |
Futures contracts | 310,755 |
Net realized gains on investments | 859,659 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 12,442,030 |
Futures contracts | 41,150 |
Net change in unrealized gains (losses) on investments | 12,483,180 |
Net realized and unrealized gains (losses) on investments | 13,342,839 |
Net increase in net assets resulting from operations | $18,585,659 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 5,242,820 | $ 3,780,486 |
Net realized gains (losses) on investments | 859,659 | (2,934,511) |
Net change in unrealized gains (losses) on investments | 12,483,180 | 8,799,280 |
Net increase in net assets resulting from operations | 18,585,659 | 9,645,255 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 97,022,259 | 25,838,830 |
Withdrawals | (38,320,850) | (56,167,504) |
Net increase (decrease) in net assets resulting from capital transactions | 58,701,409 | (30,328,674) |
Total increase (decrease) in net assets | 77,287,068 | (20,683,419) |
Net assets | ||
Beginning of period | 162,054,872 | 182,738,291 |
End of period | $239,341,940 | $162,054,872 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 9.58% | 5.92% | 2.99% | 1.67% | 2.65% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.47% | 0.45% | 0.45% | 0.48% | 0.52% |
Net expenses1 | 0.39% | 0.39% | 0.40% | 0.41% | 0.44% |
Net investment income | 2.57% | 2.16% | 2.29% | 2.40% | 2.36% |
Supplemental data | |||||
Portfolio turnover rate | 20% | 24% | 39% | 29% | 25% |
1 | Net expense ratios reflect voluntary waivers. |
Gross unrealized gains | $25,689,124 |
Gross unrealized losses | (760,560) |
Net unrealized gains | $24,928,564 |
■ | 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 | ||||
Consumer staples | $ 10,753,488 | $ 0 | $ 0 | $ 10,753,488 |
Energy | 2,914,496 | 0 | 0 | 2,914,496 |
Materials | 9,523,751 | 0 | 0 | 9,523,751 |
Real estate | 12,078,973 | 0 | 0 | 12,078,973 |
Corporate bonds and notes | 0 | 31,316,426 | 0 | 31,316,426 |
Loans | 0 | 8,870,548 | 771,654 | 9,642,202 |
U.S. Treasury securities | 157,278,013 | 0 | 0 | 157,278,013 |
Yankee corporate bonds and notes | 0 | 2,675,118 | 0 | 2,675,118 |
Short-term investments | ||||
Investment companies | 2,265,095 | 0 | 0 | 2,265,095 |
194,813,816 | 42,862,092 | 771,654 | 238,447,562 | |
Futures contracts | 8,258 | 0 | 0 | 8,258 |
Total assets | $194,822,074 | $42,862,092 | $771,654 | $238,455,820 |
Average daily net assets | Advisory fee |
First $500 million | 0.400% |
Next $500 million | 0.375 |
Next $2 billion | 0.350 |
Next $2 billion | 0.325 |
Next $5 billion | 0.300 |
Over $10 billion | 0.290 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$50,723,683 | $54,063,422 | $10,151,765 | $30,156,667 |
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. |
Funds Trust | Master Trust |
Wells Fargo C&B Large Cap Value Fund | Wells Fargo C&B Large Cap Value Portfolio |
Wells Fargo Core Bond Fund | Wells Fargo Core Bond Portfolio |
Wells Fargo Emerging Growth Fund | Wells Fargo Emerging Growth Portfolio |
Wells Fargo Index Fund | Wells Fargo Index Portfolio |
Wells Fargo Real Return Fund | Wells Fargo Real Return Portfolio |
Wells Fargo Small Company Growth Fund | Wells Fargo Small Company Growth Portfolio |
Wells Fargo Small Company Value Fund | Wells Fargo Small Company Value Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC, as the distributor of Fund shares. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Funds and Master Portfolios. |
■ | Impact of the Transaction on the Funds and their Shareholders and the Master Portfolios and their Interest Holders: (i) information regarding anticipated benefits to the Funds and the Master Portfolios as a result of the Transaction; (ii) a commitment that the Funds and Master Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers and the Unaffiliated Sub-Advisers intend to continue to manage the Funds in a manner consistent with each Fund’s or Master Portfolio’s current investment objectives and principal investments strategies, as applicable; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds or the Master Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
A288/AR288 05-21
Large Cap Growth Portfolio
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Financial statements | |
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Board considerations | |
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28 | |
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Investment objective | The Portfolio seeks long-term capital appreciation. |
Manager | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | John R. Campbell, CFA®‡, Joseph M. Eberhardy, CFA®‡, CPA, Vince Fioramonti, CFA®‡, Thomas C. Ognar, CFA®‡ |
Ten largest holdings (%) as of May 31, 20211 | |
Microsoft Corporation | 7.76 |
Amazon.com Incorporated | 6.52 |
Alphabet Incorporated Class A | 3.84 |
MasterCard Incorporated Class A | 3.51 |
Apple Incorporated | 3.03 |
PayPal Holdings Incorporated | 2.50 |
Alphabet Incorporated Class C | 2.32 |
Facebook Incorporated Class A | 2.07 |
MarketAxess Holdings Incorporated | 1.83 |
Linde plc | 1.51 |
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 May 31, 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: 99.37% | |||||
Communication services: 11.01% | |||||
Entertainment: 1.50% | |||||
Activision Blizzard Incorporated | 34,772 | $ 3,381,577 | |||
Roku Incorporated † | 2,615 | 906,647 | |||
4,288,224 | |||||
Interactive media & services: 8.99% | |||||
Alphabet Incorporated Class A † | 4,650 | 10,959,353 | |||
Alphabet Incorporated Class C † | 2,745 | 6,619,732 | |||
Bumble Incorporated Class A † | 6,740 | 321,633 | |||
Facebook Incorporated Class A † | 17,966 | 5,905,963 | |||
Pinterest Incorporated Class A † | 19,068 | 1,245,140 | |||
ZoomInfo Technologies Incorporated † | 13,328 | 584,166 | |||
25,635,987 | |||||
Media: 0.52% | |||||
Discovery Incorporated Class A †« | 21,068 | 676,493 | |||
Match Group Incorporated † | 5,660 | 811,531 | |||
1,488,024 | |||||
Consumer discretionary: 16.19% | |||||
Auto components: 0.47% | |||||
Lear Corporation | 6,990 | 1,351,586 | |||
Diversified consumer services: 0.26% | |||||
Chegg Incorporated † | 9,580 | 736,798 | |||
Hotels, restaurants & leisure: 1.04% | |||||
Airbnb Incorporated Class A † | 4,902 | 688,241 | |||
Chipotle Mexican Grill Incorporated † | 1,650 | 2,263,767 | |||
2,952,008 | |||||
Household durables: 1.18% | |||||
PulteGroup Incorporated | 28,146 | 1,626,557 | |||
Whirlpool Corporation | 7,275 | 1,724,830 | |||
3,351,387 | |||||
Internet & direct marketing retail: 6.52% | |||||
Amazon.com Incorporated † | 5,775 | 18,613,229 | |||
Leisure products: 0.94% | |||||
Peloton Interactive Incorporated Class A † | 4,235 | 467,163 | |||
The Brunswick Corporation | 15,803 | 1,615,541 | |||
YETI Holdings Incorporated † | 6,970 | 610,572 | |||
2,693,276 | |||||
Multiline retail: 1.05% | |||||
Dollar General Corporation | 5,941 | 1,205,785 | |||
Target Corporation | 7,938 | 1,801,291 | |||
3,007,076 | |||||
Specialty retail: 3.01% | |||||
Five Below Incorporated † | 3,950 | 727,274 |
Shares | Value | ||||
Specialty retail (continued) | |||||
Floor & Decor Holdings Incorporated Class A † | 10,105 | $ 993,423 | |||
O'Reilly Automotive Incorporated † | 3,001 | 1,605,895 | |||
Petco Health & Wellness Company †« | 9,995 | 226,387 | |||
RH † | 1,675 | 1,073,759 | |||
The Home Depot Incorporated | 7,435 | 2,371,096 | |||
The TJX Companies Incorporated | 23,325 | 1,575,371 | |||
8,573,205 | |||||
Textiles, apparel & luxury goods: 1.72% | |||||
Deckers Outdoor Corporation † | 3,610 | 1,210,938 | |||
lululemon athletica Incorporated † | 7,045 | 2,276,451 | |||
Nike Incorporated Class B | 10,475 | 1,429,419 | |||
4,916,808 | |||||
Consumer staples: 1.87% | |||||
Beverages: 0.63% | |||||
Boston Beer Company Incorporated Class A † | 1,705 | 1,804,163 | |||
Food & staples retailing: 0.92% | |||||
Costco Wholesale Corporation | 3,904 | 1,476,766 | |||
Walmart Incorporated | 8,068 | 1,145,898 | |||
2,622,664 | |||||
Food products: 0.06% | |||||
Oatly Group AB ADR † | 6,648 | 157,624 | |||
Personal products: 0.26% | |||||
The Estee Lauder Companies Incorporated Class A | 2,407 | 737,794 | |||
Energy: 0.71% | |||||
Oil, gas & consumable fuels: 0.71% | |||||
Chevron Corporation | 10,256 | 1,064,470 | |||
ConocoPhillips | 17,215 | 959,564 | |||
2,024,034 | |||||
Financials: 7.81% | |||||
Banks: 1.28% | |||||
Citizens Financial Group Incorporated | 32,953 | 1,644,355 | |||
JPMorgan Chase & Company | 12,282 | 2,017,196 | |||
3,661,551 | |||||
Capital markets: 5.98% | |||||
BlackRock Incorporated | 1,984 | 1,740,047 | |||
CME Group Incorporated | 1,830 | 400,331 | |||
Evercore Partners Incorporated Class A | 12,472 | 1,819,166 | |||
LPL Financial Holdings Incorporated | 8,985 | 1,328,702 | |||
MarketAxess Holdings Incorporated | 11,202 | 5,226,181 | |||
MSCI Incorporated | 3,955 | 1,851,454 | |||
The Goldman Sachs Group Incorporated | 6,122 | 2,277,506 | |||
Tradeweb Markets Incorporated Class A | 28,825 | 2,414,959 | |||
17,058,346 |
Shares | Value | ||||
Insurance: 0.55% | |||||
The Allstate Corporation | 11,451 | $ 1,564,321 | |||
Health care: 12.00% | |||||
Biotechnology: 1.92% | |||||
AbbVie Incorporated | 9,493 | 1,074,608 | |||
Alnylam Pharmaceuticals Incorporated † | 1,255 | 178,197 | |||
Amgen Incorporated | 4,771 | 1,135,212 | |||
Natera Incorporated † | 5,985 | 563,428 | |||
Regeneron Pharmaceuticals Incorporated † | 2,129 | 1,069,673 | |||
United Therapeutics Corporation † | 7,880 | 1,464,892 | |||
5,486,010 | |||||
Health care equipment & supplies: 4.37% | |||||
Abbott Laboratories | 21,305 | 2,485,228 | |||
Boston Scientific Corporation † | 35,342 | 1,503,802 | |||
Edwards Lifesciences Corporation † | 41,755 | 4,004,305 | |||
Hologic Incorporated † | 16,214 | 1,022,455 | |||
Insulet Corporation † | 6,315 | 1,702,966 | |||
Intuitive Surgical Incorporated † | 190 | 160,014 | |||
Novocure Limited † | 2,255 | 460,020 | |||
Stryker Corporation | 4,368 | 1,115,019 | |||
12,453,809 | |||||
Health care providers & services: 1.38% | |||||
Amedisys Incorporated † | 3,550 | 917,214 | |||
Anthem Incorporated | 3,880 | 1,545,094 | |||
CVS Health Corporation | 17,168 | 1,484,002 | |||
3,946,310 | |||||
Health care technology: 0.63% | |||||
Veeva Systems Incorporated Class A † | 6,182 | 1,801,064 | |||
Life sciences tools & services: 1.16% | |||||
Agilent Technologies Incorporated | 6,643 | 917,598 | |||
Bio-Techne Corporation | 2,450 | 1,013,884 | |||
Repligen Corporation † | 7,450 | 1,360,445 | |||
3,291,927 | |||||
Pharmaceuticals: 2.54% | |||||
Bristol-Myers Squibb Company | 17,842 | 1,172,576 | |||
Horizon Therapeutics plc † | 13,269 | 1,216,237 | |||
Johnson & Johnson | 7,227 | 1,223,170 | |||
Zoetis Incorporated | 20,579 | 3,635,898 | |||
7,247,881 | |||||
Industrials: 10.03% | |||||
Air freight & logistics: 1.82% | |||||
FedEx Corporation | 10,615 | 3,341,708 | |||
United Parcel Service Incorporated Class B | 8,655 | 1,857,363 | |||
5,199,071 | |||||
Building products: 1.08% | |||||
Advanced Drainage Systems Incorporated | 5,755 | 652,732 |
Shares | Value | ||||
Building products (continued) | |||||
Masco Corporation | 23,931 | $ 1,443,279 | |||
The AZEK Company Incorporated † | 22,798 | 992,397 | |||
3,088,408 | |||||
Commercial services & supplies: 0.77% | |||||
Copart Incorporated † | 16,925 | 2,183,494 | |||
Construction & engineering: 0.63% | |||||
EMCOR Group Incorporated | 14,211 | 1,792,149 | |||
Electrical equipment: 0.98% | |||||
Generac Holdings Incorporated † | 8,500 | 2,794,120 | |||
Machinery: 1.15% | |||||
Cummins Incorporated | 5,952 | 1,531,331 | |||
The Timken Company | 19,920 | 1,761,924 | |||
3,293,255 | |||||
Professional services: 0.77% | |||||
CoStar Group Incorporated † | 2,563 | 2,188,802 | |||
Road & rail: 2.83% | |||||
CSX Corporation | 9,688 | 969,963 | |||
J.B. Hunt Transport Services Incorporated | 9,215 | 1,580,741 | |||
Norfolk Southern Corporation | 7,291 | 2,048,042 | |||
TFI International Incorporated | 6,920 | 663,490 | |||
Uber Technologies Incorporated † | 27,880 | 1,417,140 | |||
Union Pacific Corporation | 6,263 | 1,407,484 | |||
8,086,860 | |||||
Information technology: 36.93% | |||||
Electronic equipment, instruments & components: 1.03% | |||||
CDW Corporation of Delaware | 7,933 | 1,312,277 | |||
Zebra Technologies Corporation Class A † | 3,297 | 1,638,774 | |||
2,951,051 | |||||
IT services: 11.84% | |||||
Cognizant Technology Solutions Corporation Class A | 16,872 | 1,207,360 | |||
Fidelity National Information Services Incorporated | 11,170 | 1,664,107 | |||
Global Payments Incorporated | 15,267 | 2,957,371 | |||
MasterCard Incorporated Class A | 27,796 | 10,022,682 | |||
MongoDB Incorporated † | 3,485 | 1,017,411 | |||
PayPal Holdings Incorporated † | 27,403 | 7,125,328 | |||
Shopify Incorporated Class A † | 275 | 341,789 | |||
Snowflake Incorporated Class A † | 2,000 | 476,060 | |||
Square Incorporated Class A † | 8,738 | 1,944,380 | |||
Twilio Incorporated Class A † | 5,225 | 1,755,600 | |||
Visa Incorporated Class A | 17,697 | 4,022,528 | |||
WEX Incorporated † | 6,360 | 1,245,988 | |||
33,780,604 | |||||
Semiconductors & semiconductor equipment: 6.02% | |||||
Allegro MicroSystems Incorporated † | 19,449 | 509,758 | |||
Applied Materials Incorporated | 13,678 | 1,889,342 | |||
Intel Corporation | 23,247 | 1,327,869 |
Shares | Value | ||||
Semiconductors & semiconductor equipment (continued) | |||||
Microchip Technology Incorporated | 26,422 | $ 4,146,933 | |||
Monolithic Power Systems Incorporated | 4,155 | 1,425,664 | |||
NVIDIA Corporation | 3,655 | 2,374,946 | |||
NXP Semiconductors NV | 8,235 | 1,741,044 | |||
Qorvo Incorporated † | 9,407 | 1,718,847 | |||
Texas Instruments Incorporated | 10,760 | 2,042,463 | |||
17,176,866 | |||||
Software: 15.01% | |||||
Adobe Incorporated † | 3,495 | 1,763,507 | |||
Atlassian Corporation plc Class A † | 3,355 | 782,654 | |||
Cloudflare Incorporated Class A † | 15,672 | 1,286,044 | |||
Crowdstrike Holdings Incorporated Class A † | 2,125 | 472,069 | |||
Dynatrace Incorporated † | 52,514 | 2,717,074 | |||
Everbridge Incorporated † | 2,830 | 332,525 | |||
Fortinet Incorporated † | 8,226 | 1,797,710 | |||
HubSpot Incorporated † | 2,594 | 1,308,362 | |||
Microsoft Corporation | 88,669 | 22,138,868 | |||
Oracle Corporation | 23,096 | 1,818,579 | |||
Procore Technologies Incorporated †« | 1,801 | 155,642 | |||
RingCentral Incorporated Class A † | 9,395 | 2,465,906 | |||
ServiceNow Incorporated † | 6,190 | 2,933,317 | |||
Unity Software Incorporated † | 7,908 | 746,990 | |||
Workday Incorporated Class A † | 2,645 | 604,964 | |||
Zendesk Incorporated † | 8,630 | 1,179,376 | |||
Zoom Video Communications Incorporated † | 950 | 314,954 | |||
42,818,541 | |||||
Technology hardware, storage & peripherals: 3.03% | |||||
Apple Incorporated | 69,507 | 8,661,268 | |||
Materials: 2.82% | |||||
Chemicals: 1.67% | |||||
Ecolab Incorporated | 2,055 | 441,989 | |||
Linde plc | 14,362 | 4,317,217 | |||
4,759,206 | |||||
Metals & mining: 1.15% | |||||
Newmont Corporation | 19,514 | 1,433,889 | |||
Reliance Steel & Aluminum Company | 11,042 | 1,855,829 | |||
3,289,718 | |||||
Total Common stocks (Cost $162,192,978) | 283,528,519 |
Yield | Shares | Value | |||
Short-term investments: 0.90% | |||||
Investment companies: 0.90% | |||||
Securities Lending Cash Investments LLC ♠∩∞ | 0.03% | 1,198,950 | $ 1,198,950 | ||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 1,367,980 | 1,367,980 | ||
Total Short-term investments (Cost $2,566,930) | 2,566,930 | ||||
Total investments in securities (Cost $164,759,908) | 100.27% | 286,095,449 | |||
Other assets and liabilities, net | (0.27) | (758,505) | |||
Total net assets | 100.00% | $285,336,944 |
† | Non-income-earning security |
« | All or a portion of this security is on loan. |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
ADR | American depositary receipt |
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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $34,512,513 | $(33,313,563) | $0 | $0 | $ 1,198,950 | 1,198,950 | $ 944# | ||||
Wells Fargo Government Money Market Fund Select Class | 1,015,923 | 77,328,828 | (76,976,771) | 0 | 0 | 1,367,980 | 1,367,980 | 659 | ||||
$0 | $0 | $2,566,930 | 0.90% | $1,603 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $1,161,664 of securities loaned), at value (cost $162,192,978) | $ 283,528,519 |
Investments in affiliated securites, at value (cost $2,566,930) | 2,566,930 |
Receivable for investments sold | 718,672 |
Receivable for dividends | 229,943 |
Receivable for securities lending income, net | 507 |
Total assets | 287,044,571 |
Liabilities | |
Payable upon receipt of securities loaned | 1,198,038 |
Overdraft due to custodian bank | 167,285 |
Payable for investments purchased | 148,670 |
Advisory fee payable | 135,354 |
Accrued expenses and other liabilities | 58,280 |
Total liabilities | 1,707,627 |
Total net assets | $285,336,944 |
Investment income | |
Dividends (net of foreign withholdings taxes of $5,271) | $ 1,813,900 |
Income from affiliated securities | 9,229 |
Total investment income | 1,823,129 |
Expenses | |
Advisory fee | 1,590,903 |
Custody and accounting fees | 34,251 |
Professional fees | 43,451 |
Interest holder report expenses | 9,796 |
Trustees’ fees and expenses | 19,645 |
Other fees and expenses | 9,271 |
Total expenses | 1,707,317 |
Less: Fee waivers and/or expense reimbursements | (238,791) |
Net expenses | 1,468,526 |
Net investment income | 354,603 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 30,420,160 |
Net change in unrealized gains (losses) on investments | 42,384,795 |
Net realized and unrealized gains (losses) on investments | 72,804,955 |
Net increase in net assets resulting from operations | $73,159,558 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 354,603 | $ 1,107,031 |
Net realized gains on investments | 30,420,160 | 8,813,776 |
Net change in unrealized gains (losses) on investments | 42,384,795 | 29,761,001 |
Net increase in net assets resulting from operations | 73,159,558 | 39,681,808 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 41,984,976 | 24,249,945 |
Withdrawals | (56,173,469) | (88,296,877) |
Net decrease in net assets resulting from capital transactions | (14,188,493) | (64,046,932) |
Total increase (decrease) in net assets | 58,971,065 | (24,365,124) |
Net assets | ||
Beginning of period | 226,365,879 | 250,731,003 |
End of period | $285,336,944 | $226,365,879 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 35.78% | 16.10% | 3.79% | 24.12% | 15.36% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.70% | 0.71% | 0.70% | 0.80% | 0.78% |
Net expenses1 | 0.60% | 0.62% | 0.62% | 0.62% | 0.62% |
Net investment income | 0.14% | 0.46% | 0.68% | 0.53% | 0.51% |
Supplemental data | |||||
Portfolio turnover rate | 58% | 43% | 100% | 37% | 98% |
1 | Net expense ratios reflect voluntary waivers. |
Gross unrealized gains | $122,399,351 |
Gross unrealized losses | (2,464,033) |
Net unrealized gains | $119,935,318 |
■ | 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 | $ 31,412,235 | $0 | $0 | $ 31,412,235 |
Consumer discretionary | 46,195,373 | 0 | 0 | 46,195,373 |
Consumer staples | 5,322,245 | 0 | 0 | 5,322,245 |
Energy | 2,024,034 | 0 | 0 | 2,024,034 |
Financials | 22,284,218 | 0 | 0 | 22,284,218 |
Health care | 34,227,001 | 0 | 0 | 34,227,001 |
Industrials | 28,626,159 | 0 | 0 | 28,626,159 |
Information technology | 105,388,330 | 0 | 0 | 105,388,330 |
Materials | 8,048,924 | 0 | 0 | 8,048,924 |
Short-term investments | ||||
Investment companies | 2,566,930 | 0 | 0 | 2,566,930 |
Total assets | $286,095,449 | $0 | $0 | $286,095,449 |
Average daily net assets | Advisory fee |
First $500 million | 0.650% |
Next $500 million | 0.625 |
Next $1 billion | 0.600 |
Next $2 billion | 0.575 |
Next $4 billion | 0.550 |
Next $4 billion | 0.525 |
Next $4 billion | 0.500 |
Over $16 billion | 0.475 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
BNP Paribas Securities Corporation | $628,564 | $(628,564) | $0 |
Citigroup Global Markets Incorporated | 320,190 | (320,190) | 0 |
JPMorgan Securities LLC | 212,910 | (212,910) | 0 |
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. |
Wells Fargo Disciplined Large Cap Portfolio |
Wells Fargo Diversified Large Cap Growth Portfolio |
Wells Fargo Disciplined International Developed Markets Portfolio |
Wells Fargo Large Company Value Portfolio |
Wells Fargo Managed Fixed Income Portfolio |
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio |
Wells Fargo Emerging Markets Bond Portfolio |
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio |
Wells Fargo Factor Enhanced International Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Low Volatility 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 Strategic Retirement Bond Portfolio |
Wells Fargo U.S. REIT Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Portfolios. |
■ | Impact of the Transaction on the Portfolios and their Shareholders: (i) information regarding anticipated benefits to the Portfolios as a result of the Transaction; (ii) a commitment that the Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers intend to continue to manage the Portfolios in a manner consistent with each Portfolio’s current investment objectives and principal investments strategies; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
Disciplined Large Cap Portfolio
2 | |
3 | |
Financial statements | |
12 | |
13 | |
14 | |
15 | |
16 | |
22 | |
23 | |
Board considerations | |
28 | |
31 | |
36 |
Investment objective | The Portfolio seeks long-term capital appreciation. |
Manager | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Justin P. Carr, CFA®‡, Robert M. Wicentowski, CFA®‡ |
Ten largest holdings (%) as of May 31, 20211 | |
Apple Incorporated | 5.20 |
Microsoft Corporation | 5.00 |
Amazon.com Incorporated | 3.37 |
Alphabet Incorporated Class C | 2.09 |
Alphabet Incorporated Class A | 2.01 |
Facebook Incorporated Class A | 1.91 |
JPMorgan Chase & Company | 1.51 |
Berkshire Hathaway Incorporated Class B | 1.46 |
Johnson & Johnson | 1.42 |
Visa Incorporated Class A | 1.26 |
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 May 31, 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: 98.10% | |||||
Communication services: 10.11% | |||||
Diversified telecommunication services: 1.27% | |||||
AT&T Incorporated | 67,734 | $ 1,993,412 | |||
Verizon Communications Incorporated | 38,974 | 2,201,641 | |||
4,195,053 | |||||
Entertainment: 2.13% | |||||
Activision Blizzard Incorporated | 12,690 | 1,234,103 | |||
Lions Gate Entertainment Class B † | 46,220 | 803,304 | |||
Netflix Incorporated † | 3,018 | 1,517,481 | |||
Roku Incorporated † | 815 | 282,569 | |||
Take-Two Interactive Software Incorporated † | 5,130 | 951,923 | |||
The Walt Disney Company † | 12,360 | 2,208,114 | |||
6,997,494 | |||||
Interactive media & services: 6.09% | |||||
Alphabet Incorporated Class A † | 2,806 | 6,613,321 | |||
Alphabet Incorporated Class C † | 2,860 | 6,897,062 | |||
Facebook Incorporated Class A † | 19,148 | 6,294,522 | |||
Pinterest Incorporated Class A † | 4,137 | 270,146 | |||
20,075,051 | |||||
Media: 0.52% | |||||
Comcast Corporation Class A | 26,130 | 1,498,294 | |||
Discovery Incorporated Class A †« | 6,468 | 207,687 | |||
1,705,981 | |||||
Wireless telecommunication services: 0.10% | |||||
Telephone & Data Systems Incorporated | 13,173 | 338,810 | |||
Consumer discretionary: 11.93% | |||||
Auto components: 0.20% | |||||
BorgWarner Incorporated | 6,689 | 343,079 | |||
Gentex Corporation | 8,588 | 304,874 | |||
647,953 | |||||
Automobiles: 1.50% | |||||
General Motors Company † | 17,890 | 1,061,056 | |||
Tesla Motors Incorporated † | 6,188 | 3,868,861 | |||
4,929,917 | |||||
Diversified consumer services: 0.26% | |||||
Service Corporation International | 16,380 | 868,468 | |||
Hotels, restaurants & leisure: 1.27% | |||||
Chipotle Mexican Grill Incorporated † | 427 | 585,835 | |||
Las Vegas Sands Corporation † | 7,515 | 433,991 | |||
McDonald's Corporation | 5,639 | 1,318,906 | |||
Royal Caribbean Cruises Limited † | 3,294 | 307,231 | |||
Starbucks Corporation | 13,618 | 1,550,818 | |||
4,196,781 |
Shares | Value | ||||
Household durables: 0.94% | |||||
D.R. Horton Incorporated | 11,891 | $ 1,133,093 | |||
Lennar Corporation Class A | 3,853 | 381,486 | |||
NVR Incorporated † | 148 | 723,310 | |||
PulteGroup Incorporated | 15,069 | 870,838 | |||
3,108,727 | |||||
Internet & direct marketing retail: 3.61% | |||||
Amazon.com Incorporated † | 3,438 | 11,080,915 | |||
eBay Incorporated | 2,578 | 156,949 | |||
Etsy Incorporated † | 3,870 | 637,505 | |||
11,875,369 | |||||
Leisure products: 0.62% | |||||
Peloton Interactive Incorporated Class A † | 1,816 | 200,323 | |||
Polaris Industries Incorporated | 8,703 | 1,142,008 | |||
The Brunswick Corporation | 6,723 | 687,292 | |||
2,029,623 | |||||
Multiline retail: 0.80% | |||||
Dollar General Corporation | 3,676 | 746,081 | |||
Target Corporation | 8,314 | 1,886,613 | |||
2,632,694 | |||||
Specialty retail: 2.08% | |||||
AutoZone Incorporated † | 792 | 1,114,027 | |||
Best Buy Company Incorporated | 11,289 | 1,312,233 | |||
Lowe's Companies Incorporated | 1,713 | 333,744 | |||
The Home Depot Incorporated | 11,417 | 3,640,995 | |||
Tractor Supply Company | 2,541 | 461,700 | |||
6,862,699 | |||||
Textiles, apparel & luxury goods: 0.65% | |||||
lululemon athletica Incorporated † | 1,437 | 464,338 | |||
Nike Incorporated Class B | 12,243 | 1,670,680 | |||
2,135,018 | |||||
Consumer staples: 4.95% | |||||
Beverages: 0.65% | |||||
Monster Beverage Corporation † | 5,845 | 551,008 | |||
PepsiCo Incorporated | 4,014 | 593,831 | |||
The Coca-Cola Company | 18,100 | 1,000,749 | |||
2,145,588 | |||||
Food & staples retailing: 1.40% | |||||
Costco Wholesale Corporation | 5,621 | 2,126,256 | |||
Sysco Corporation | 2,257 | 182,817 | |||
Walmart Incorporated | 16,289 | 2,313,527 | |||
4,622,600 | |||||
Food products: 0.55% | |||||
General Mills Incorporated | 8,040 | 505,394 |
Shares | Value | ||||
Food products (continued) | |||||
Pilgrim's Pride Corporation † | 19,332 | $ 464,741 | |||
Tyson Foods Incorporated Class A | 10,553 | 838,964 | |||
1,809,099 | |||||
Household products: 1.50% | |||||
Kimberly-Clark Corporation | 6,368 | 831,852 | |||
Spectrum Brands Holdings Incorporated | 3,798 | 337,604 | |||
The Procter & Gamble Company | 27,877 | 3,759,213 | |||
4,928,669 | |||||
Personal products: 0.26% | |||||
The Estee Lauder Companies Incorporated Class A | 2,792 | 855,804 | |||
Tobacco: 0.59% | |||||
Altria Group Incorporated | 14,713 | 724,174 | |||
Philip Morris International Incorporated | 12,557 | 1,210,872 | |||
1,935,046 | |||||
Energy: 2.43% | |||||
Energy equipment & services: 0.20% | |||||
Baker Hughes Incorporated | 15,476 | 377,614 | |||
Helmerich & Payne Incorporated | 10,423 | 294,450 | |||
672,064 | |||||
Oil, gas & consumable fuels: 2.23% | |||||
Chevron Corporation | 18,155 | 1,884,307 | |||
ConocoPhillips | 16,501 | 919,766 | |||
Diamondback Energy Incorporated | 11,798 | 944,666 | |||
EOG Resources Incorporated | 12,823 | 1,030,200 | |||
Exxon Mobil Corporation | 43,953 | 2,565,537 | |||
7,344,476 | |||||
Financials: 12.18% | |||||
Banks: 4.35% | |||||
Bank of America Corporation | 62,141 | 2,634,157 | |||
Citigroup Incorporated | 19,821 | 1,560,111 | |||
Citizens Financial Group Incorporated | 9,189 | 458,531 | |||
Huntington Bancshares Incorporated | 38,436 | 609,595 | |||
JPMorgan Chase & Company | 30,337 | 4,982,549 | |||
Popular Incorporated | 6,981 | 569,719 | |||
Regions Financial Corporation | 18,596 | 435,332 | |||
Signature Bank | 4,279 | 1,068,680 | |||
US Bancorp | 33,303 | 2,024,156 | |||
14,342,830 | |||||
Capital markets: 3.27% | |||||
Ameriprise Financial Incorporated | 4,519 | 1,174,217 | |||
Bank of New York Mellon Corporation | 30,511 | 1,589,013 | |||
BlackRock Incorporated | 870 | 763,025 | |||
Intercontinental Exchange Incorporated | 4,041 | 456,148 | |||
Morgan Stanley | 18,215 | 1,656,654 | |||
Northern Trust Corporation | 9,358 | 1,134,096 | |||
Raymond James Financial Incorporated | 3,075 | 407,714 |
Shares | Value | ||||
Capital markets (continued) | |||||
S&P Global Incorporated | 1,279 | $ 485,342 | |||
T. Rowe Price Group Incorporated | 3,089 | 591,080 | |||
The Goldman Sachs Group Incorporated | 5,808 | 2,160,692 | |||
VIRTU Financial Incorporated Class A | 11,570 | 352,307 | |||
10,770,288 | |||||
Consumer finance: 0.38% | |||||
Capital One Financial Corporation | 2,530 | 406,773 | |||
SLM Corporation | 18,515 | 374,929 | |||
Synchrony Financial | 9,923 | 470,449 | |||
1,252,151 | |||||
Diversified financial services: 2.22% | |||||
Berkshire Hathaway Incorporated Class B † | 16,583 | 4,799,784 | |||
Equitable Holdings Incorporated | 41,385 | 1,313,974 | |||
Jefferies Financial Group Incorporated | 36,968 | 1,187,782 | |||
7,301,540 | |||||
Insurance: 1.96% | |||||
Arch Capital Group Limited † | 8,408 | 335,395 | |||
Brighthouse Financial Incorporated † | 17,782 | 865,272 | |||
Everest Reinsurance Group Limited | 1,423 | 369,923 | |||
MetLife Incorporated | 26,412 | 1,726,288 | |||
Prudential Financial Incorporated | 10,101 | 1,080,504 | |||
Reinsurance Group of America Incorporated | 5,052 | 636,704 | |||
The Allstate Corporation | 7,114 | 971,844 | |||
The Hartford Financial Services Group Incorporated | 7,055 | 461,044 | |||
6,446,974 | |||||
Health care: 13.36% | |||||
Biotechnology: 2.15% | |||||
AbbVie Incorporated | 20,802 | 2,354,786 | |||
Amgen Incorporated | 5,561 | 1,323,184 | |||
bluebird bio Incorporated † | 11,103 | 345,525 | |||
Moderna Incorporated † | 1,830 | 338,568 | |||
Sage Therapeutics Incorporated † | 4,156 | 289,258 | |||
United Therapeutics Corporation † | 6,191 | 1,150,907 | |||
Vertex Pharmaceuticals Incorporated † | 6,098 | 1,272,226 | |||
7,074,454 | |||||
Health care equipment & supplies: 3.86% | |||||
Abbott Laboratories | 18,667 | 2,177,509 | |||
ABIOMED Incorporated † | 3,068 | 873,091 | |||
Baxter International Incorporated | 8,451 | 693,996 | |||
Danaher Corporation | 7,110 | 1,821,155 | |||
Edwards Lifesciences Corporation † | 11,140 | 1,068,326 | |||
Globus Medical Incorporated Class A † | 5,005 | 360,660 | |||
Hologic Incorporated † | 12,197 | 769,143 | |||
Intuitive Surgical Incorporated † | 1,648 | 1,387,913 | |||
Masimo Corporation † | 1,990 | 429,044 | |||
Medtronic plc | 22,255 | 2,817,260 | |||
Zimmer Biomet Holdings Incorporated | 1,945 | 327,402 | |||
12,725,499 |
Shares | Value | ||||
Health care providers & services: 2.85% | |||||
AmerisourceBergen Corporation | 11,383 | $ 1,306,085 | |||
Anthem Incorporated | 2,915 | 1,160,811 | |||
Cardinal Health Incorporated | 5,950 | 333,617 | |||
Cigna Corporation | 4,566 | 1,181,909 | |||
CVS Health Corporation | 10,881 | 940,554 | |||
Humana Incorporated | 1,902 | 832,505 | |||
McKesson Corporation | 7,951 | 1,529,693 | |||
UnitedHealth Group Incorporated | 5,073 | 2,089,670 | |||
9,374,844 | |||||
Health care technology: 0.47% | |||||
Veeva Systems Incorporated Class A † | 5,289 | 1,540,897 | |||
Life sciences tools & services: 0.35% | |||||
Thermo Fisher Scientific Incorporated | 2,497 | 1,172,342 | |||
Pharmaceuticals: 3.68% | |||||
Bristol-Myers Squibb Company | 34,717 | 2,281,601 | |||
Eli Lilly & Company | 3,692 | 737,440 | |||
Johnson & Johnson | 27,582 | 4,668,254 | |||
Merck & Company Incorporated | 19,429 | 1,474,467 | |||
Nektar Therapeutics † | 15,494 | 279,977 | |||
Pfizer Incorporated | 59,081 | 2,288,207 | |||
Royalty Pharma plc Class A | 9,935 | 398,592 | |||
12,128,538 | |||||
Industrials: 8.78% | |||||
Aerospace & defense: 0.74% | |||||
General Dynamics Corporation | 2,506 | 475,914 | |||
Lockheed Martin Corporation | 5,148 | 1,967,566 | |||
2,443,480 | |||||
Air freight & logistics: 1.55% | |||||
Expeditors International of Washington Incorporated | 9,158 | 1,151,069 | |||
FedEx Corporation | 5,635 | 1,773,954 | |||
United Parcel Service Incorporated Class B | 10,172 | 2,182,911 | |||
5,107,934 | |||||
Airlines: 0.32% | |||||
Delta Air Lines Incorporated † | 21,887 | 1,043,572 | |||
Building products: 0.83% | |||||
Carrier Global Corporation | 25,881 | 1,188,714 | |||
Masco Corporation | 25,411 | 1,532,537 | |||
2,721,251 | |||||
Commercial services & supplies: 0.68% | |||||
Copart Incorporated † | 9,540 | 1,230,755 | |||
Republic Services Incorporated | 5,729 | 625,492 | |||
Waste Management Incorporated | 2,654 | 373,365 | |||
2,229,612 | |||||
Construction & engineering: 0.51% | |||||
Quanta Services Incorporated | 17,509 | 1,669,483 |
Shares | Value | ||||
Electrical equipment: 1.01% | |||||
AMETEK Incorporated | 3,564 | $ 481,496 | |||
Eaton Corporation plc | 10,837 | 1,574,074 | |||
Generac Holdings Incorporated † | 860 | 282,699 | |||
Regal-Beloit Corporation | 6,867 | 976,693 | |||
3,314,962 | |||||
Industrial conglomerates: 0.33% | |||||
Honeywell International Incorporated | 4,714 | 1,088,510 | |||
Machinery: 1.87% | |||||
AGCO Corporation | 7,943 | 1,099,073 | |||
Cummins Incorporated | 6,789 | 1,746,674 | |||
Illinois Tool Works Incorporated | 1,500 | 347,640 | |||
Oshkosh Corporation | 9,733 | 1,279,306 | |||
Parker-Hannifin Corporation | 3,128 | 963,893 | |||
The Timken Company | 8,402 | 743,157 | |||
6,179,743 | |||||
Professional services: 0.26% | |||||
CACI International Incorporated Class A † | 1,288 | 328,388 | |||
Manpower Incorporated | 4,381 | 530,057 | |||
858,445 | |||||
Road & rail: 0.35% | |||||
Schneider National Incorporated Class B | 47,743 | 1,169,226 | |||
Trading companies & distributors: 0.33% | |||||
W.W. Grainger Incorporated | 2,336 | 1,079,606 | |||
Information technology: 26.36% | |||||
Communications equipment: 0.94% | |||||
Arista Networks Incorporated † | 1,145 | 388,590 | |||
Cisco Systems Incorporated | 51,389 | 2,718,478 | |||
3,107,068 | |||||
Electronic equipment, instruments & components: 0.68% | |||||
Keysight Technologies Incorporated † | 3,325 | 473,414 | |||
SYNNEX Corporation | 7,908 | 1,001,153 | |||
Zebra Technologies Corporation Class A † | 1,516 | 753,528 | |||
2,228,095 | |||||
IT services: 4.42% | |||||
Accenture plc Class A | 7,428 | 2,095,884 | |||
Amdocs Limited | 9,189 | 717,661 | |||
Cognizant Technology Solutions Corporation Class A | 12,903 | 923,339 | |||
Euronet Worldwide Incorporated † | 2,097 | 313,795 | |||
International Business Machines Corporation | 3,045 | 437,688 | |||
MasterCard Incorporated Class A | 7,865 | 2,835,962 | |||
PayPal Holdings Incorporated † | 8,199 | 2,131,904 | |||
Square Incorporated Class A † | 1,994 | 443,705 | |||
Twilio Incorporated Class A † | 1,556 | 522,816 | |||
Visa Incorporated Class A | 18,288 | 4,156,862 | |||
14,579,616 |
Shares | Value | ||||
Semiconductors & semiconductor equipment: 5.17% | |||||
Applied Materials Incorporated | 18,169 | $ 2,509,684 | |||
Broadcom Incorporated | 5,481 | 2,588,841 | |||
Enphase Energy Incorporated † | 1,692 | 242,041 | |||
Intel Corporation | 33,461 | 1,911,292 | |||
KLA Corporation | 2,229 | 706,348 | |||
Lam Research Corporation | 2,053 | 1,334,142 | |||
Micron Technology Incorporated † | 14,509 | 1,220,787 | |||
NVIDIA Corporation | 5,743 | 3,731,687 | |||
Qorvo Incorporated † | 5,359 | 979,196 | |||
QUALCOMM Incorporated | 13,386 | 1,800,952 | |||
17,024,970 | |||||
Software: 9.57% | |||||
Adobe Incorporated † | 5,002 | 2,523,909 | |||
Autodesk Incorporated † | 960 | 274,426 | |||
Cadence Design Systems Incorporated † | 6,339 | 804,990 | |||
Crowdstrike Holdings Incorporated Class A † | 4,096 | 909,926 | |||
DocuSign Incorporated † | 1,165 | 234,887 | |||
Dropbox Incorporated Class A † | 14,725 | 402,729 | |||
Fortinet Incorporated † | 5,870 | 1,282,830 | |||
HubSpot Incorporated † | 907 | 457,473 | |||
Intuit Incorporated | 4,039 | 1,773,485 | |||
Microsoft Corporation | 65,989 | 16,476,134 | |||
Oracle Corporation | 29,579 | 2,329,050 | |||
Paycom Software Incorporated † | 648 | 213,581 | |||
Salesforce.com Incorporated † | 7,703 | 1,834,084 | |||
ServiceNow Incorporated † | 1,049 | 497,100 | |||
Synopsys Incorporated † | 2,627 | 668,151 | |||
The Trade Desk Incorporated † | 308 | 181,147 | |||
Zoom Video Communications Incorporated † | 2,008 | 665,712 | |||
31,529,614 | |||||
Technology hardware, storage & peripherals: 5.58% | |||||
Apple Incorporated | 137,463 | 17,129,264 | |||
Dell Technologies Incorporated † | 5,916 | 583,554 | |||
HP Incorporated | 22,477 | 657,003 | |||
18,369,821 | |||||
Materials: 3.53% | |||||
Chemicals: 1.08% | |||||
Dow Incorporated | 7,609 | 520,608 | |||
Eastman Chemical Company | 8,218 | 1,030,537 | |||
Element Solutions Incorporated | 8,732 | 204,241 | |||
LyondellBasell Industries NV Class A | 7,515 | 846,339 | |||
NewMarket Corporation | 640 | 219,667 | |||
The Chemours Company | 20,749 | 745,512 | |||
3,566,904 | |||||
Containers & packaging: 1.26% | |||||
Avery Dennison Corporation | 3,132 | 690,700 | |||
Berry Global Group Incorporated † | 13,421 | 915,446 | |||
Packaging Corporation of America | 5,026 | 747,115 |
Shares | Value | ||||
Containers & packaging (continued) | |||||
Sealed Air Corporation | 17,872 | $ 1,016,202 | |||
WestRock Company | 13,650 | 796,068 | |||
4,165,531 | |||||
Metals & mining: 1.19% | |||||
Newmont Corporation | ���10,753 | 790,130 | |||
Nucor Corporation | 11,771 | 1,206,998 | |||
Reliance Steel & Aluminum Company | 8,690 | 1,460,528 | |||
Steel Dynamics Incorporated | 7,171 | 447,686 | |||
3,905,342 | |||||
Real estate: 2.63% | |||||
Equity REITs: 2.63% | |||||
Alexandria Real Estate Equities Incorporated | 3,144 | 560,449 | |||
American Tower Corporation | 6,445 | 1,646,440 | |||
AvalonBay Communities Incorporated | 4,467 | 924,401 | |||
Equinix Incorporated | 886 | 652,734 | |||
Essex Property Trust Incorporated | 2,739 | 808,799 | |||
Gaming and Leisure Properties Incorporated | 11,000 | 509,960 | |||
Invitation Homes Incorporated | 21,742 | 788,582 | |||
Prologis Incorporated | 16,896 | 1,991,025 | |||
Spirit Realty Capital Incorporated REIT | 7,285 | 344,289 | |||
Store Capital Corporation | 12,995 | 447,028 | |||
8,673,707 | |||||
Utilities: 1.84% | |||||
Electric utilities: 1.00% | |||||
Exelon Corporation | 3,101 | 139,917 | |||
NRG Energy Incorporated | 32,584 | 1,047,576 | |||
PPL Corporation | 23,435 | 682,193 | |||
The Southern Company | 22,446 | 1,434,748 | |||
3,304,434 | |||||
Independent power & renewable electricity producers: 0.42% | |||||
AES Corporation | 45,989 | 1,168,580 | |||
Vistra Energy Corporation | 13,069 | 211,326 | |||
1,379,906 | |||||
Multi-utilities: 0.42% | |||||
Dominion Energy Incorporated | 4,101 | 312,250 | |||
Sempra Energy | 7,871 | 1,066,442 | |||
1,378,692 | |||||
Total Common stocks (Cost $205,548,808) | 323,162,865 |
Yield | Shares | Value | |||
Short-term investments: 1.62% | |||||
Investment companies: 1.62% | |||||
Securities Lending Cash Investments LLC ♠∩∞ | 0.03% | 202,520 | $ 202,520 | ||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 5,124,422 | 5,124,422 | ||
Total Short-term investments (Cost $5,326,942) | 5,326,942 | ||||
Total investments in securities (Cost $210,875,750) | 99.72% | 328,489,807 | |||
Other assets and liabilities, net | 0.28 | 919,806 | |||
Total net assets | 100.00% | $329,409,613 |
† | Non-income-earning security |
« | All or a portion of this security is on loan. |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | 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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $ 7,718,420 | $ (7,515,900) | $0 | $0 | $ 202,520 | 202,520 | $ 214# | ||||
Wells Fargo Government Money Market Fund Select Class | 8,289,328 | 121,763,928 | (124,928,834) | 0 | 0 | 5,124,422 | 5,124,422 | 4,127 | ||||
$0 | $0 | $5,326,942 | 1.62% | $4,341 |
# | Amount shown represents income before fees and rebates. |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
E-Mini S&P 500 Index | 25 | 6-18-2021 | $5,278,311 | $5,253,000 | $0 | $(25,311) |
Assets | |
Investments in unaffiliated securities (including $195,871 of securities loaned), at value (cost $205,548,808) | $ 323,162,865 |
Investments in affiliated securites, at value (cost $5,326,942) | 5,326,942 |
Cash | 6,177 |
Cash at broker segregated for futures contracts | 693,000 |
Receivable for dividends | 447,851 |
Receivable for daily variation margin on open futures contracts | 4,251 |
Receivable for securities lending income, net | 15 |
Prepaid expenses and other assets | 44,487 |
Total assets | 329,685,588 |
Liabilities | |
Payable upon receipt of securities loaned | 202,520 |
Advisory fee payable | 69,954 |
Accrued expenses and other liabilities | 3,501 |
Total liabilities | 275,975 |
Total net assets | $329,409,613 |
Investment income | |
Dividends (net of foreign withholdings taxes of $33,298) | $ 5,286,758 |
Income from affiliated securities | 23,200 |
Interest | 1,171 |
Total investment income | 5,311,129 |
Expenses | |
Advisory fee | 805,304 |
Custody and accounting fees | 40,268 |
Professional fees | 46,126 |
Interest holder report expenses | 12,689 |
Trustees’ fees and expenses | 19,471 |
Other fees and expenses | 12,620 |
Total expenses | 936,478 |
Net investment income | 4,374,651 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 19,123,596 |
Futures contracts | 2,804,989 |
Net realized gains on investments | 21,928,585 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 84,496,258 |
Futures contracts | (336,731) |
Net change in unrealized gains (losses) on investments | 84,159,527 |
Net realized and unrealized gains (losses) on investments | 106,088,112 |
Net increase in net assets resulting from operations | $110,462,763 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 4,374,651 | $ 5,191,095 |
Net realized gains (losses) on investments | 21,928,585 | (4,575,202) |
Net change in unrealized gains (losses) on investments | 84,159,527 | 37,310,665 |
Net increase in net assets resulting from operations | 110,462,763 | 37,926,558 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 87,991,362 | 83,932,662 |
Withdrawals | (122,800,676) | (180,669,198) |
Net decrease in net assets resulting from capital transactions | (34,809,314) | (96,736,536) |
Total increase (decrease) in net assets | 75,653,449 | (58,809,978) |
Net assets | ||
Beginning of period | 253,756,164 | 312,566,142 |
End of period | $ 329,409,613 | $ 253,756,164 |
Year ended May 31 | |||
2021 | 2020 | 2019 1 | |
Total return2 | 41.79% | 11.56% | (2.40)% |
Ratios to average net assets (annualized) | |||
Gross expenses | 0.29% | 0.29% | 0.28% |
Net expenses | 0.29% | 0.29% | 0.28% |
Net investment income | 1.36% | 1.82% | 1.84% |
Supplemental data | |||
Portfolio turnover rate | 53% | 81% | 92% |
1 | For the period from June 12, 2018 (commencement of operations) to May 31, 2019. |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $118,243,194 |
Gross unrealized losses | (7,278,161) |
Net unrealized gains | $110,965,033 |
■ | 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 | $ 33,312,389 | $0 | $0 | $ 33,312,389 |
Consumer discretionary | 39,287,249 | 0 | 0 | 39,287,249 |
Consumer staples | 16,296,806 | 0 | 0 | 16,296,806 |
Energy | 8,016,540 | 0 | 0 | 8,016,540 |
Financials | 40,113,783 | 0 | 0 | 40,113,783 |
Health care | 44,016,574 | 0 | 0 | 44,016,574 |
Industrials | 28,905,824 | 0 | 0 | 28,905,824 |
Information technology | 86,839,184 | 0 | 0 | 86,839,184 |
Materials | 11,637,777 | 0 | 0 | 11,637,777 |
Real estate | 8,673,707 | 0 | 0 | 8,673,707 |
Utilities | 6,063,032 | 0 | 0 | 6,063,032 |
Short-term investments | ||||
Investment companies | 5,326,942 | 0 | 0 | 5,326,942 |
Total assets | $328,489,807 | $0 | $0 | $328,489,807 |
Liabilities | ||||
Futures contracts | $ 25,311 | $0 | $0 | $ 25,311 |
Total liabilities | $ 25,311 | $0 | $0 | $ 25,311 |
Average daily net assets | Advisory fee |
First $1 billion | 0.250% |
Next $4 billion | 0.225 |
Over $5 billion | 0.200 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Citigroup Global Markets Inc. | $195,871 | $(195,871) | $0 |
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. |
Wells Fargo Disciplined Large Cap Portfolio |
Wells Fargo Diversified Large Cap Growth Portfolio |
Wells Fargo Disciplined International Developed Markets Portfolio |
Wells Fargo Large Company Value Portfolio |
Wells Fargo Managed Fixed Income Portfolio |
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio |
Wells Fargo Emerging Markets Bond Portfolio |
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio |
Wells Fargo Factor Enhanced International Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Low Volatility 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 Strategic Retirement Bond Portfolio |
Wells Fargo U.S. REIT Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Portfolios. |
■ | Impact of the Transaction on the Portfolios and their Shareholders: (i) information regarding anticipated benefits to the Portfolios as a result of the Transaction; (ii) a commitment that the Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers intend to continue to manage the Portfolios in a manner consistent with each Portfolio’s current investment objectives and principal investments strategies; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
International Developed
Markets Portfolio
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3 | |
Financial statements | |
16 | |
17 | |
18 | |
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20 | |
27 | |
28 | |
Board considerations | |
33 | |
36 | |
41 |
Investment objective | The Portfolio seeks long-term capital appreciation. |
Manager | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Justin P. Carr, CFA®‡, Vince Fioramonti, CFA®‡ |
Ten largest holdings (%) as of May 31, 20211 | |
Nestle SA | 2.03 |
ASML Holding NV | 1.61 |
Roche Holding AG | 1.45 |
LVMH Moët Hennessy Louis Vuitton SE | 1.21 |
Novartis AG | 1.08 |
Toyota Motor Corporation | 0.93 |
AIA Group Limited | 0.91 |
Novo Nordisk AS Class B | 0.84 |
AstraZeneca plc | 0.83 |
SAP SE | 0.82 |
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 May 31, 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. |
Geographic allocation as of May 31, 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: 97.99% | ||||||
Australia: 6.95% | ||||||
Afterpay Limited (Information technology, IT services) † | 2,575 | $ 184,891 | ||||
Aristocrat Leisure Limited (Consumer discretionary, Hotels, restaurants & leisure) | 10,435 | 331,505 | ||||
Aurizon Holdings Limited (Industrials, Road & rail) | 100,015 | 280,194 | ||||
Australia & New Zealand Banking Group Limited (Financials, Banks) | 40,617 | 902,455 | ||||
BHP Billiton Limited (Materials, Metals & mining) | 39,966 | 1,479,985 | ||||
Brambles Limited (Industrials, Commercial services & supplies) | 46,894 | 392,671 | ||||
Coles Group Liimited (Consumer staples, Food & staples retailing) | 19,549 | 250,687 | ||||
Commonwealth Bank of Australia (Financials, Banks) | 19,233 | 1,484,274 | ||||
CSL Limited (Health care, Biotechnology) | 6,096 | 1,369,122 | ||||
Fortescue Metals Group Limited (Materials, Metals & mining) | 27,922 | 484,686 | ||||
Goodman Group (Real estate, Equity REITs) | 25,146 | 378,117 | ||||
Macquarie Group Limited (Financials, Capital markets) | 3,487 | 409,997 | ||||
National Australia Bank Limited (Financials, Banks) | 42,756 | 891,745 | ||||
Newcrest Mining Limited (Materials, Metals & mining) | 9,755 | 213,799 | ||||
Rio Tinto Limited (Materials, Metals & mining) | 5,765 | 552,025 | ||||
Santos Limited (Energy, Oil, gas & consumable fuels) | 49,932 | 261,609 | ||||
Scentre Group (Real estate, Equity REITs) | 110,206 | 231,984 | ||||
Sonic Healthcare Limited (Health care, Health care providers & services) | 9,537 | 256,774 | ||||
Stockland Corporation Limited (Real estate, Equity REITs) | 57,473 | 207,714 | ||||
Tabcorp Holdings Limited (Consumer discretionary, Hotels, restaurants & leisure) | 92,335 | 365,151 | ||||
The GPT Group (Real estate, Equity REITs) | 65,159 | 231,962 | ||||
Transurban Group (Industrials, Transportation infrastructure) | 35,958 | 386,251 | ||||
Wesfarmers Limited (Consumer discretionary, Multiline retail) | 18,456 | 791,141 | ||||
Westpac Banking Corporation (Financials, Banks) | 42,245 | 863,760 | ||||
Woodside Petroleum Limited (Energy, Oil, gas & consumable fuels) | 32,991 | 556,847 | ||||
Woolworths Group Limited (Consumer staples, Food & staples retailing) | 14,490 | 466,719 | ||||
14,226,065 | ||||||
Austria: 0.12% | ||||||
Erste Bank Der Oesterreichischen Sparkassen AG (Financials, Banks) | 6,157 | 253,128 | ||||
Belgium: 0.68% | ||||||
Anheuser-Busch InBev SA (Consumer staples, Beverages) | 7,928 | 596,809 | ||||
Colruyt SA (Consumer staples, Food & staples retailing) | 3,697 | 225,049 | ||||
KBC Group NV (Financials, Banks) | 4,367 | 357,152 | ||||
Umicore SA (Materials, Chemicals) | 3,726 | 223,580 | ||||
1,402,590 | ||||||
Denmark: 2.78% | ||||||
A.P. Moller - Maersk AS Class B (Industrials, Marine) | 211 | 558,582 | ||||
Carlsberg AS Class B (Consumer staples, Beverages) | 1,513 | 277,640 | ||||
Coloplast AS Class B (Health care, Health care equipment & supplies) | 1,823 | 287,944 | ||||
Danske Bank AS (Financials, Banks) | 14,254 | 264,846 | ||||
DSV Panalpina AS (Industrials, Air freight & logistics) | 3,057 | 740,166 | ||||
Genmab AS (Health care, Biotechnology) † | 1,529 | 619,228 |
Shares | Value | |||||
Denmark: (continued) | ||||||
GN Store Nord AS (Health care, Health care equipment & supplies) | 3,748 | $ 318,617 | ||||
Novo Nordisk AS Class B (Health care, Pharmaceuticals) | 21,717 | 1,718,677 | ||||
Orsted AS (Utilities, Electric utilities) 144A | 2,632 | 399,367 | ||||
Vestas Wind System AS Class A (Industrials, Electrical equipment) | 12,810 | 498,780 | ||||
5,683,847 | ||||||
Finland: 1.34% | ||||||
Elisa Oyj (Communication services, Diversified telecommunication services) | 5,472 | 322,929 | ||||
Fortum Oyj (Utilities, Electric utilities) | 12,047 | 343,395 | ||||
Kesko Oyj Class B (Consumer staples, Food & staples retailing) | 7,408 | 256,094 | ||||
Kone Oyj Class B (Industrials, Machinery) | 3,919 | 316,966 | ||||
Neste Oil Oyj (Energy, Oil, gas & consumable fuels) | 4,215 | 277,817 | ||||
Nokia Oyj (Information technology, Communications equipment) † | 89,947 | 467,245 | ||||
Nordea Bank AB (Financials, Banks) | 48,477 | 519,878 | ||||
Sampo Oyj Class A (Financials, Insurance) | 5,293 | 246,604 | ||||
2,750,928 | ||||||
France: 11.19% | ||||||
Air Liquide SA (Materials, Chemicals) | 5,090 | 865,676 | ||||
Amundi SA (Financials, Capital markets) 144A | 2,211 | 196,560 | ||||
Arkema SA (Materials, Chemicals) « | 1,791 | 235,986 | ||||
Atos Origin SA (Information technology, IT services) | 3,041 | 203,933 | ||||
AXA SA (Financials, Insurance) | 26,965 | 744,556 | ||||
BNP Paribas SA (Financials, Banks) | 17,244 | 1,177,699 | ||||
Bolloré SA (Industrials, Air freight & logistics) | 72,885 | 380,752 | ||||
Bouygues SA (Industrials, Construction & engineering) | 5,816 | 237,402 | ||||
Capgemini SE (Information technology, IT services) | 2,363 | 441,096 | ||||
Carrefour SA (Consumer staples, Food & staples retailing) « | 13,225 | 270,399 | ||||
CNP Assurances SA (Financials, Insurance) | 12,572 | 227,991 | ||||
Compagnie de Saint-Gobain SA (Industrials, Building products) † | 8,379 | 561,700 | ||||
Compagnie Generale des Etablissements Michelin SCA (Consumer discretionary, Auto components) « | 3,214 | 494,424 | ||||
Credit Agricole SA (Financials, Banks) « | 19,357 | 288,830 | ||||
Danone SA (Consumer staples, Food products) | 7,551 | 538,327 | ||||
Edenred Group (Information technology, IT services) | 6,293 | 342,214 | ||||
Eiffage SA (Industrials, Construction & engineering) | 3,306 | 365,221 | ||||
Engie SA (Utilities, Multi-utilities) « | 26,629 | 395,644 | ||||
Essilor International (Compagnie Generale d'Optique) (Consumer discretionary, Textiles, apparel & luxury goods) | 3,361 | 583,126 | ||||
Faurecia SE (Consumer discretionary, Auto components) | 209 | 11,322 | ||||
Hermes International SA (Consumer discretionary, Textiles, apparel & luxury goods) | 382 | 538,366 | ||||
Kering SA (Consumer discretionary, Textiles, apparel & luxury goods) | 775 | 709,170 | ||||
La Francaise Des Jeux SA (Consumer discretionary, Hotels, restaurants & leisure) 144A | 4,012 | 228,378 | ||||
Legrand SA (Industrials, Electrical equipment) | 2,698 | 282,548 | ||||
L'Oréal SA (Consumer staples, Personal products) | 2,890 | 1,301,585 | ||||
LVMH Moët Hennessy Louis Vuitton SE (Consumer discretionary, Textiles, apparel & luxury goods) | 3,107 | 2,477,205 | ||||
Orange SA (Communication services, Diversified telecommunication services) | 29,246 | 372,298 | ||||
Pernod-Ricard SA (Consumer staples, Beverages) | 2,849 | 627,624 |
Shares | Value | |||||
France: (continued) | ||||||
Publicis Groupe SA (Communication services, Media) | 4,826 | $ 327,532 | ||||
Safran SA (Industrials, Aerospace & defense) | 3,957 | 592,078 | ||||
Sanofi SA (Health care, Pharmaceuticals) | 12,429 | 1,321,840 | ||||
Sartorius Stedim Biotech SA (Health care, Life sciences tools & services) | 481 | 208,455 | ||||
Schneider Electric SE (Industrials, Electrical equipment) | 7,470 | 1,182,029 | ||||
Societe Generale SA (Financials, Banks) | 10,755 | 344,642 | ||||
Teleperformance SE (Industrials, Professional services) | 1,114 | 428,565 | ||||
Thales SA (Industrials, Aerospace & defense) | 2,404 | 246,526 | ||||
Total SA (Energy, Oil, gas & consumable fuels) | 27,962 | 1,296,098 | ||||
Unibail Rodamco Westfield (Real estate, Equity REITs) † | 3,402 | 296,118 | ||||
Veolia Environnement SA (Utilities, Multi-utilities) | 9,802 | 308,050 | ||||
Vinci SA (Industrials, Construction & engineering) | 6,664 | 757,212 | ||||
Vivendi SE (Communication services, Entertainment) † | 13,320 | 484,090 | ||||
22,893,267 | ||||||
Germany: 9.03% | ||||||
adidas AG (Consumer discretionary, Textiles, apparel & luxury goods) | 1,898 | 692,461 | ||||
Allianz AG (Financials, Insurance) | 5,065 | 1,334,440 | ||||
BASF SE (Materials, Chemicals) | 12,567 | 1,024,401 | ||||
Bayer AG (Health care, Pharmaceuticals) | 7,759 | 488,447 | ||||
Bayerische Motoren Werke AG (Consumer discretionary, Automobiles) | 6,033 | 639,625 | ||||
Bechtle AG (Information technology, IT services) | 1,126 | 217,004 | ||||
Brenntag AG (Industrials, Trading companies & distributors) | 3,781 | 356,664 | ||||
Continental AG (Consumer discretionary, Auto components) | 2,612 | 386,165 | ||||
Covestro AG (Materials, Chemicals) 144A | 4,330 | 303,400 | ||||
Daimler AG (Consumer discretionary, Automobiles) | 12,078 | 1,124,999 | ||||
Delivery Hero SE (Consumer discretionary, Internet & direct marketing retail) 144A† | 1,483 | 204,017 | ||||
Deutsche Bank AG (Financials, Capital markets) † | 22,719 | 338,717 | ||||
Deutsche Boerse AG (Financials, Capital markets) | 3,291 | 538,062 | ||||
Deutsche Post AG (Industrials, Air freight & logistics) | 15,186 | 1,036,217 | ||||
Deutsche Telekom AG (Communication services, Diversified telecommunication services) | 45,838 | 952,564 | ||||
Deutsche Wohnen AG (Real estate, Real estate management & development) | 4,286 | 273,587 | ||||
E.ON SE (Utilities, Multi-utilities) | 29,068 | 351,441 | ||||
Heidelbergcement AG (Materials, Construction materials) | 4,328 | 395,138 | ||||
Hellofresh SE (Consumer discretionary, Internet & direct marketing retail) † | 2,940 | 268,776 | ||||
Henkel AG & Company KGaA (Consumer staples, Household products) | 3,495 | 345,114 | ||||
Infineon Technologies AG (Information technology, Semiconductors & semiconductor equipment) | 15,397 | 626,321 | ||||
LANXESS AG (Materials, Chemicals) | 2,715 | 203,518 | ||||
LEG Immobilien AG (Real estate, Real estate management & development) | 2,159 | 316,552 | ||||
Merck KGaA (Health care, Pharmaceuticals) | 1,188 | 214,353 | ||||
Muenchener Rueckversicherungs Gesellschaft AG (Financials, Insurance) | 1,609 | 464,641 | ||||
RWE AG (Utilities, Multi-utilities) | 9,543 | 360,009 | ||||
SAP SE (Information technology, Software) | 12,066 | 1,674,977 | ||||
Siemens AG (Industrials, Industrial conglomerates) | 10,293 | 1,669,512 |
Shares | Value | |||||
Germany: (continued) | ||||||
Siemens Healthineers AG (Health care, Health care equipment & supplies) 144A | 4,186 | $ 235,365 | ||||
Volkswagen AG ADR (Consumer discretionary, Automobiles) | 2,489 | 695,175 | ||||
Vonovia SE (Real estate, Real estate management & development) | 7,769 | 485,846 | ||||
Zalando SE (Consumer discretionary, Internet & direct marketing retail) 144A† | 2,371 | 253,464 | ||||
18,470,972 | ||||||
Hong Kong: 3.20% | ||||||
AIA Group Limited (Financials, Insurance) | 145,800 | 1,863,487 | ||||
Bank of East Asia Limited (Financials, Banks) | 103,000 | 207,289 | ||||
BOC Hong Kong (Holdings) Limited (Financials, Banks) | 187,500 | 677,628 | ||||
CK Asset Holdings Limited (Real estate, Real estate management & development) | 72,000 | 476,818 | ||||
Henderson Land Development Company Limited (Real estate, Real estate management & development) | 50,000 | 239,002 | ||||
Hong Kong Exchanges & Clearing Limited (Financials, Capital markets) | 16,500 | 1,032,758 | ||||
Hong Kong Land Holdings Limited (Real estate, Real estate management & development) | 48,340 | 236,866 | ||||
Jardine Matheson Holdings Limited (Industrials, Industrial conglomerates) | 3,600 | 233,496 | ||||
New World Development Company Limited (Real estate, Real estate management & development) | 43,000 | 231,857 | ||||
Sino Land Company (Real estate, Real estate management & development) | 190,000 | 298,166 | ||||
Sun Hung Kai Properties Limited (Real estate, Real estate management & development) | 20,500 | 314,838 | ||||
Techtronic Industries Company Limited (Industrials, Machinery) | 23,000 | 424,650 | ||||
WH Group Limited (Consumer staples, Food products) 144A | 365,000 | 311,791 | ||||
6,548,646 | ||||||
Ireland: 0.57% | ||||||
CRH plc (Materials, Construction materials) | 9,711 | 505,523 | ||||
DCC plc (Industrials, Industrial conglomerates) | 4,352 | 370,231 | ||||
Flutter Entertainment plc (Consumer discretionary, Hotels, restaurants & leisure) † | 1,597 | 297,230 | ||||
1,172,984 | ||||||
Israel: 0.36% | ||||||
Check Point Software Technologies Limited (Information technology, Software) † | 2,621 | 306,605 | ||||
Nice Systems Limited ADR (Information technology, Software) † | 1,078 | 235,643 | ||||
Wix.com Limited (Information technology, IT services) † | 723 | 187,879 | ||||
730,127 | ||||||
Italy: 2.01% | ||||||
Assicurazioni Generali SpA (Financials, Insurance) « | 25,492 | 524,172 | ||||
Enel SpA (Utilities, Electric utilities) | 95,409 | 939,900 | ||||
Eni SpA (Energy, Oil, gas & consumable fuels) | 20,407 | 250,944 | ||||
FinecoBank SpA (Financials, Banks) † | 16,212 | 272,294 | ||||
Intesa Sanpaolo SpA (Financials, Banks) | 213,330 | 630,394 | ||||
Moncler SpA (Consumer discretionary, Textiles, apparel & luxury goods) | 3,691 | 262,327 |
Shares | Value | |||||
Italy: (continued) | ||||||
Poste Italiane SpA (Financials, Insurance) 144A | 35,005 | $ 495,050 | ||||
Snam SpA (Utilities, Gas utilities) | 56,333 | 331,139 | ||||
UniCredit SpA (Financials, Banks) | 31,170 | 400,220 | ||||
4,106,440 | ||||||
Japan: 23.17% | ||||||
Advantest Corporation (Information technology, Semiconductors & semiconductor equipment) | 2,300 | 207,754 | ||||
Astellas Pharma Incorporated (Health care, Pharmaceuticals) | 25,900 | 425,201 | ||||
Bandai Namco Holdings Incorporated (Consumer discretionary, Leisure products) | 3,100 | 222,003 | ||||
Bridgestone Corporation (Consumer discretionary, Auto components) | 9,200 | 403,829 | ||||
Brother Industries Limited (Information technology, Technology hardware, storage & peripherals) | 18,600 | 388,512 | ||||
Canon Incorporated (Information technology, Technology hardware, storage & peripherals) | 15,000 | 350,717 | ||||
Central Japan Railway Company (Industrials, Road & rail) | 2,200 | 326,815 | ||||
Chugai Pharmaceutical Company Limited (Health care, Pharmaceuticals) | 8,600 | 329,736 | ||||
Dai Nippon Printing Company Limited (Industrials, Commercial services & supplies) | 19,600 | 422,289 | ||||
Dai-ichi Life Holdings Incorporated (Financials, Insurance) | 26,200 | 534,337 | ||||
Daiichi Sankyo Company Limited (Health care, Pharmaceuticals) | 19,200 | 443,657 | ||||
Daikin Industries Limited (Industrials, Building products) | 3,600 | 710,366 | ||||
Daiwa House Industry Company Limited (Real estate, Real estate management & development) | 9,600 | 281,100 | ||||
DENSO Corporation (Consumer discretionary, Auto components) | 4,600 | 315,223 | ||||
Dentsu Incorporated (Communication services, Media) | 7,200 | 247,255 | ||||
Eisai Company Limited (Health care, Pharmaceuticals) | 2,900 | 194,887 | ||||
ENEOS Holdings Incorporated (Energy, Oil, gas & consumable fuels) | 93,900 | 388,070 | ||||
FANUC Corporation (Industrials, Machinery) | 2,500 | 600,511 | ||||
Fast Retailing Company Limited (Consumer discretionary, Specialty retail) | 700 | 570,089 | ||||
FUJIFILM Holdings Incorporated (Information technology, Technology hardware, storage & peripherals) | 4,600 | 320,391 | ||||
Fujitsu Limited (Information technology, IT services) | 3,700 | 601,009 | ||||
Hitachi Limited (Industrials, Industrial conglomerates) | 10,900 | 571,033 | ||||
Honda Motor Company Limited (Consumer discretionary, Automobiles) | 32,000 | 979,962 | ||||
Hoya Corporation (Health care, Health care equipment & supplies) | 5,400 | 707,736 | ||||
Iida Group Holdings Company Limited (Consumer discretionary, Household durables) | 13,300 | 354,213 | ||||
Itochu Corporation (Industrials, Trading companies & distributors) | 20,200 | 599,414 | ||||
Itochu Techno-Solutions Corporation (Information technology, IT services) | 7,100 | 223,719 | ||||
Kao Corporation (Consumer staples, Personal products) | 5,500 | 336,309 | ||||
KDDI Corporation (Communication services, Wireless telecommunication services) | 18,700 | 634,833 | ||||
Keyence Corporation (Information technology, Electronic equipment, instruments & components) | 2,200 | 1,082,418 | ||||
Kirin Holdings Company Limited (Consumer staples, Beverages) | 12,200 | 246,418 | ||||
Komatsu Limited (Industrials, Machinery) | 12,200 | 356,897 | ||||
Konami Holdings Corporation (Communication services, Entertainment) | 3,900 | 250,050 |
Shares | Value | |||||
Japan: (continued) | ||||||
Kubota Corporation (Industrials, Machinery) | 14,800 | $ 336,308 | ||||
Lawson Incorporated (Consumer staples, Food & staples retailing) | 5,600 | 252,151 | ||||
M3 Incorporated (Health care, Health care technology) | 6,700 | 453,255 | ||||
Makita Corporation (Industrials, Machinery) | 4,500 | 217,006 | ||||
Marubeni Corporation (Industrials, Trading companies & distributors) | 45,800 | 404,625 | ||||
MediPal Holdings Corporation (Health care, Health care providers & services) | 13,000 | 248,625 | ||||
Mitsubishi Corporation (Industrials, Trading companies & distributors) | 20,400 | 555,974 | ||||
Mitsubishi Electric Corporation (Industrials, Electrical equipment) | 28,200 | 435,788 | ||||
Mitsubishi Estate Company Limited (Real estate, Real estate management & development) | 20,100 | 325,576 | ||||
Mitsubishi Gas Chemical Company Incorporated (Materials, Chemicals) | 10,200 | 237,835 | ||||
Mitsubishi UFJ Financial Group Incorporated (Financials, Banks) | 106,800 | 604,768 | ||||
Mitsui & Company Limited (Industrials, Trading companies & distributors) | 23,600 | 520,325 | ||||
Mitsui Fudosan Company Limited (Real estate, Real estate management & development) | 13,700 | 319,008 | ||||
Mizuho Financial Group Incorporated (Financials, Banks) | 32,340 | 494,153 | ||||
MS&AD Insurance Group Holdings Incorporated (Financials, Insurance) | 14,300 | 436,614 | ||||
Murata Manufacturing Company Limited (Information technology, Electronic equipment, instruments & components) | 8,600 | 650,282 | ||||
NEC Corporation (Information technology, IT services) | 5,500 | 256,690 | ||||
Nexon Company Limited (Communication services, Entertainment) | 9,300 | 219,483 | ||||
Nidec Corporation (Industrials, Electrical equipment) | 5,200 | 595,086 | ||||
Nintendo Company Limited (Communication services, Entertainment) | 1,700 | 1,051,146 | ||||
Nissan Motor Company Limited (Consumer discretionary, Automobiles) † | 71,500 | 352,047 | ||||
Nitori Holdings Company Limited (Consumer discretionary, Specialty retail) | 1,700 | 294,461 | ||||
Nitto Denko Corporation (Materials, Chemicals) | 6,600 | 511,773 | ||||
Nomura Holdings Incorporated (Financials, Capital markets) | 67,900 | 372,709 | ||||
Nomura Research Institute Limited (Information technology, IT services) | 7,700 | 245,438 | ||||
NTT Data Corporation (Information technology, IT services) | 15,000 | 243,858 | ||||
Obayashi Corporation (Industrials, Construction & engineering) | 24,200 | 203,785 | ||||
OBIC Company Limited (Information technology, IT services) | 1,900 | 356,087 | ||||
Olympus Corporation (Health care, Health care equipment & supplies) | 18,800 | 403,679 | ||||
Omron Corporation (Information technology, Electronic equipment, instruments & components) | 3,900 | 307,042 | ||||
Ono Pharmaceutical Company Limited (Health care, Pharmaceuticals) | 11,300 | 255,641 | ||||
Oriental Land Company Limited (Consumer discretionary, Hotels, restaurants & leisure) | 2,100 | 312,823 | ||||
ORIX Corporation (Financials, Diversified financial services) | 14,700 | 259,321 | ||||
Osaka Gas Company Limited (Utilities, Gas utilities) | 19,600 | 369,122 | ||||
Otsuka Corporation (Information technology, IT services) | 4,200 | 224,788 | ||||
Otsuka Holdings Company Limited (Health care, Pharmaceuticals) | 11,100 | 457,828 | ||||
Panasonic Corporation (Consumer discretionary, Household durables) | 37,400 | 425,955 |
Shares | Value | |||||
Japan: (continued) | ||||||
Recruit Holdings Company Limited (Industrials, Professional services) | 16,000 | $ 811,764 | ||||
Rinnai Corporation (Consumer discretionary, Household durables) | 2,900 | 282,345 | ||||
Rohm Company Limited (Information technology, Semiconductors & semiconductor equipment) | 2,100 | 198,895 | ||||
Secom Company Limited (Industrials, Commercial services & supplies) | 4,900 | 383,533 | ||||
Sekisui House Limited (Consumer discretionary, Household durables) | 18,300 | 380,742 | ||||
Seven & I Holdings Company Limited (Consumer staples, Food & staples retailing) | 10,000 | 432,551 | ||||
Shimamura Company Limited (Consumer discretionary, Specialty retail) | 2,200 | 209,371 | ||||
Shimano Incorporated (Consumer discretionary, Leisure products) | 1,700 | 385,058 | ||||
Shin-Etsu Chemical Company Limited (Materials, Chemicals) | 4,000 | 688,830 | ||||
Shionogi & Company Limited (Health care, Pharmaceuticals) | 4,500 | 228,391 | ||||
SMC Corporation (Industrials, Machinery) | 800 | 478,729 | ||||
SoftBank Corporation (Communication services, Wireless telecommunication services) | 42,500 | 545,952 | ||||
SoftBank Group Corporation (Communication services, Wireless telecommunication services) | 18,100 | 1,364,815 | ||||
Sompo Holdings Incorporated (Financials, Insurance) | 7,500 | 301,671 | ||||
Sony Corporation (Consumer discretionary, Household durables) | 15,500 | 1,526,783 | ||||
Sumitomo Chemical Company Limited (Materials, Chemicals) | 56,000 | 306,877 | ||||
Sumitomo Corporation (Industrials, Trading companies & distributors) | 33,500 | 467,513 | ||||
Sumitomo Electric Industries Limited (Industrials, Electrical equipment) | 24,500 | 375,142 | ||||
Sumitomo Metal Mining Company Limited (Materials, Metals & mining) | 5,600 | 251,026 | ||||
Sumitomo Realty & Development Company Limited (Real estate, Real estate management & development) | 7,500 | 249,269 | ||||
Suzuki Motor Corporation (Consumer discretionary, Automobiles) | 5,600 | 242,587 | ||||
Sysmex Corporation (Health care, Health care equipment & supplies) | 2,200 | 224,240 | ||||
T&D Holdings Incorporated (Financials, Insurance) | 18,700 | 254,480 | ||||
Taisho Pharmaceutical (Health care, Pharmaceuticals) | 4,300 | 244,278 | ||||
Takeda Pharmaceutical Company Limited (Health care, Pharmaceuticals) | 21,000 | 713,298 | ||||
TDK Corporation (Information technology, Electronic equipment, instruments & components) | 2,700 | 343,757 | ||||
Teijin Limited (Materials, Chemicals) | 18,900 | 305,017 | ||||
Terumo Corporation (Health care, Health care equipment & supplies) | 7,300 | 281,159 | ||||
Tokio Marine Holdings Incorporated (Financials, Insurance) | 7,400 | 350,028 | ||||
Tokyo Electron Limited (Information technology, Semiconductors & semiconductor equipment) | 2,200 | 977,733 | ||||
Tokyo Gas Company Limited (Utilities, Gas utilities) | 11,600 | 229,531 | ||||
Toppan Printing Company Limited (Industrials, Commercial services & supplies) | 6,000 | 105,105 | ||||
Toray Industries Incorporated (Materials, Chemicals) | 60,900 | 395,247 | ||||
Tosoh Corporation (Materials, Chemicals) | 13,600 | 237,618 | ||||
Toyo Suisan Kaisha Limited (Consumer staples, Food products) | 6,500 | 260,617 | ||||
Toyota Motor Corporation (Consumer discretionary, Automobiles) | 22,800 | 1,898,091 | ||||
Toyota Tsusho Corporation (Industrials, Trading companies & distributors) | 4,700 | 210,553 |
Shares | Value | |||||
Japan: (continued) | ||||||
Trend Micro Incorporated (Information technology, Software) | 5,500 | $ 278,793 | ||||
Unicharm Corporation (Consumer staples, Household products) | 9,600 | 379,037 | ||||
Yahoo! Japan Corporation (Communication services, Interactive media & services) | 53,600 | 251,919 | ||||
Yamada Denki Company Limited (Consumer discretionary, Specialty retail) | 47,000 | 228,368 | ||||
Yamato Holdings Company Limited (Industrials, Air freight & logistics) | 11,000 | 302,402 | ||||
47,420,923 | ||||||
Luxembourg: 0.41% | ||||||
ArcelorMittal SA (Materials, Metals & mining) † | 14,690 | 483,133 | ||||
Eurofins Scientific SE (Health care, Life sciences tools & services) † | 3,238 | 349,513 | ||||
832,646 | ||||||
Netherlands: 5.10% | ||||||
ABN AMRO Group NV (Financials, Banks) 144A† | 19,082 | 254,812 | ||||
Adyen NV (Information technology, IT services) 144A† | 225 | 520,127 | ||||
Airbus SE (Industrials, Aerospace & defense) † | 5,495 | 716,708 | ||||
Akzo Nobel NV (Materials, Chemicals) | 3,254 | 419,005 | ||||
ASML Holding NV (Information technology, Semiconductors & semiconductor equipment) | 4,916 | 3,289,509 | ||||
CNH Industrial NV (Industrials, Machinery) | 25,177 | 434,876 | ||||
ING Groep NV (Financials, Banks) | 53,892 | 747,327 | ||||
Just Eat Takeaway NV (Consumer discretionary, Internet & direct marketing retail) 144A† | 1,501 | 136,267 | ||||
Koninklijke Ahold Delhaize NV (Consumer staples, Food & staples retailing) | 23,213 | 670,619 | ||||
Koninklijke Philips NV (Health care, Health care equipment & supplies) | 12,283 | 691,308 | ||||
NN Group NV (Financials, Insurance) | 9,193 | 466,866 | ||||
Prosus NV (Consumer discretionary, Internet & direct marketing retail) | 5,281 | 548,338 | ||||
Qiagen NV (Health care, Life sciences tools & services) † | 6,037 | 297,435 | ||||
Randstad Holdings NV (Industrials, Professional services) | 3,703 | 288,628 | ||||
Stellantis NV (Consumer discretionary, Automobiles) | 18,023 | 358,317 | ||||
STMicroelectronics NV (Information technology, Semiconductors & semiconductor equipment) | 9,537 | 357,567 | ||||
Wolters Kluwer NV (Communication services, Media) | 2,501 | 239,897 | ||||
10,437,606 | ||||||
New Zealand: 0.13% | ||||||
Fisher & Paykel Healthcare Corporation (Health care, Health care equipment & supplies) | 12,712 | 275,630 | ||||
Norway: 0.45% | ||||||
Den Norske Bank ASA (Financials, Banks) | 11,692 | 259,413 | ||||
Equinor ASA (Energy, Oil, gas & consumable fuels) | 16,332 | 352,856 | ||||
Orkla ASA (Consumer staples, Food products) | 29,652 | 309,443 | ||||
921,712 | ||||||
Singapore: 0.99% | ||||||
DBS Group Holdings Limited (Financials, Banks) | 23,400 | 531,826 | ||||
Genting Singapore Limited (Consumer discretionary, Hotels, restaurants & leisure) | 404,700 | 258,814 |
Shares | Value | |||||
Singapore: (continued) | ||||||
Mapletree Logistics Trust (Real estate, Equity REITs) | 173,700 | $ 261,608 | ||||
Oversea-Chinese Banking Corporation Limited (Financials, Banks) | 46,700 | 436,852 | ||||
Singapore Airlines Limited (Industrials, Airlines) † | 59,000 | 222,372 | ||||
Wilmar International Limited (Consumer staples, Food products) | 85,600 | 309,023 | ||||
2,020,495 | ||||||
Spain: 2.63% | ||||||
Actividades de Construccion y Servicios SA (Industrials, Construction & engineering) | 7,788 | 242,851 | ||||
Amadeus IT Holding SA Class A (Information technology, IT services) † | 5,246 | 396,066 | ||||
Banco Bilbao Vizcaya Argentaria SA (Financials, Banks) | 94,889 | 595,956 | ||||
Banco Santander Central Hispano SA (Financials, Banks) | 195,648 | 819,185 | ||||
Cellnex Telecom SA (Communication services, Diversified telecommunication services) 144A | 4,546 | 272,839 | ||||
Enagás SA (Utilities, Gas utilities) | 12,112 | 284,744 | ||||
Endesa SA (Utilities, Electric utilities) | 12,387 | 337,788 | ||||
Grifols SA (Health care, Biotechnology) | 6,976 | 194,754 | ||||
Iberdrola SA (Utilities, Electric utilities) | 67,102 | 902,202 | ||||
Industria de Diseno Textil SA (Consumer discretionary, Specialty retail) | 12,645 | 490,020 | ||||
Repsol SA (Energy, Oil, gas & consumable fuels) | 24,487 | 327,107 | ||||
Telefónica SA (Communication services, Diversified telecommunication services) | 105,687 | 519,542 | ||||
5,383,054 | ||||||
Sweden: 3.30% | ||||||
Alfa Laval AB (Industrials, Machinery) | 6,024 | 227,381 | ||||
Assa Abloy AB Class B (Industrials, Building products) | 11,821 | 363,486 | ||||
Atlas Copco AB Class A (Industrials, Machinery) | 11,661 | 707,286 | ||||
Electrolux AB Class B (Consumer discretionary, Household durables) | 7,459 | 211,542 | ||||
EPIROC AB Class A (Industrials, Machinery) | 15,194 | 344,033 | ||||
Ericsson LM Class B (Information technology, Communications equipment) | 35,352 | 468,935 | ||||
Essity Aktiebolag AB (Consumer staples, Household products) | 8,125 | 280,711 | ||||
Evolution Gaming Group (Consumer discretionary, Hotels, restaurants & leisure) 144A | 2,193 | 419,942 | ||||
Hennes & Mauritz AB Class B (Consumer discretionary, Specialty retail) † | 8,313 | 212,447 | ||||
Hexagon AB Class B (Information technology, Electronic equipment, instruments & components) | 19,369 | 276,178 | ||||
Husqvarna AB Class B (Consumer discretionary, Household durables) | 14,975 | 219,576 | ||||
Investor AB (Financials, Diversified financial services) | 14,164 | 327,375 | ||||
Kinnevik AB (Financials, Diversified financial services) | 3,900 | 148,997 | ||||
Sandvik AB (Industrials, Machinery) | 17,519 | 461,980 | ||||
Skanska AB Class B (Industrials, Construction & engineering) | 11,159 | 313,919 | ||||
SKF AB Class B (Industrials, Machinery) | 8,558 | 231,148 | ||||
Svenska Handelsbanken AB Class A (Financials, Banks) | 33,733 | 378,363 | ||||
Swedbank AB Class A (Financials, Banks) | 11,791 | 212,048 | ||||
Swedish Match AB (Consumer staples, Tobacco) | 48,440 | 449,360 | ||||
Volvo AB Class B (Industrials, Machinery) | 19,175 | 502,180 | ||||
6,756,887 |
Shares | Value | |||||
Switzerland: 9.43% | ||||||
ABB Limited (Industrials, Electrical equipment) | 19,214 | $ 655,608 | ||||
Adecco SA (Industrials, Professional services) | 4,459 | 307,271 | ||||
Alcon Incorporated (Health care, Health care equipment & supplies) | 5,653 | 393,449 | ||||
Chocoladefabriken Lindt & Spruengli AG (Consumer staples, Food products) | 31 | 295,739 | ||||
Compagnie Financière Richemont SA (Consumer discretionary, Textiles, apparel & luxury goods) | 5,967 | 727,910 | ||||
Credit Suisse Group AG (Financials, Capital markets) | 35,710 | 389,340 | ||||
Geberit AG (Industrials, Building products) | 412 | 298,211 | ||||
Givaudan SA (Materials, Chemicals) | 75 | 334,845 | ||||
Julius Bär Gruppe AG (Financials, Capital markets) | 5,761 | 394,813 | ||||
Kuehne & Nagel International AG (Industrials, Marine) | 1,232 | 416,126 | ||||
LafargeHolcim Limited (Materials, Construction materials) | 11,092 | 659,708 | ||||
Logitech International SA (Information technology, Technology hardware, storage & peripherals) | 3,586 | 444,435 | ||||
Lonza Group AG (Health care, Life sciences tools & services) | 1,060 | 682,806 | ||||
Nestle SA (Consumer staples, Food products) | 33,712 | 4,151,881 | ||||
Novartis AG (Health care, Pharmaceuticals) | 25,118 | 2,205,388 | ||||
Partners Group Holding AG (Financials, Capital markets) | 317 | 482,104 | ||||
Roche Holding AG (Health care, Pharmaceuticals) | 8,512 | 2,961,231 | ||||
Schindler Holding AG (Industrials, Machinery) | 1,160 | 335,540 | ||||
Sika AG (Materials, Chemicals) | 1,857 | 597,686 | ||||
Sonova Holding AG (Health care, Health care equipment & supplies) † | 1,069 | 380,337 | ||||
Swiss Life Holding AG (Financials, Insurance) | 559 | 290,057 | ||||
Swisscom AG (Communication services, Diversified telecommunication services) | 586 | 329,884 | ||||
The Swatch Group AG Class B (Consumer discretionary, Textiles, apparel & luxury goods) | 796 | 288,521 | ||||
UBS Group AG (Financials, Capital markets) | 49,090 | 796,549 | ||||
Zurich Insurance Group AG (Financials, Insurance) | 1,122 | 468,847 | ||||
19,288,286 | ||||||
United Kingdom: 14.04% | ||||||
3i Group plc (Financials, Capital markets) | 18,937 | 334,404 | ||||
Anglo American plc (Materials, Metals & mining) | 17,423 | 776,002 | ||||
Ashtead Group plc (Industrials, Trading companies & distributors) | 7,017 | 513,207 | ||||
AstraZeneca plc (Health care, Pharmaceuticals) | 14,829 | 1,695,097 | ||||
Aviva plc (Financials, Insurance) | 58,115 | 339,503 | ||||
BAE Systems plc (Industrials, Aerospace & defense) | 43,610 | 326,264 | ||||
Barclays plc (Financials, Banks) | 159,092 | 413,847 | ||||
Barratt Developments plc (Consumer discretionary, Household durables) | 21,020 | 225,885 | ||||
BHP Group plc (Materials, Metals & mining) | 26,087 | 786,822 | ||||
BP plc (Energy, Oil, gas & consumable fuels) | 247,940 | 1,078,409 | ||||
British American Tobacco plc (Consumer staples, Tobacco) | 31,152 | 1,200,711 | ||||
BT Group plc (Communication services, Diversified telecommunication services) † | 122,202 | 303,561 | ||||
Bunzl plc (Industrials, Trading companies & distributors) | 10,387 | 337,193 | ||||
Compass Group plc (Consumer discretionary, Hotels, restaurants & leisure) † | 22,454 | 513,118 | ||||
Diageo plc (Consumer staples, Beverages) | 29,497 | 1,426,494 | ||||
Experian Group Limited plc (Industrials, Professional services) | 11,480 | 440,850 | ||||
Ferguson plc (Industrials, Trading companies & distributors) | 3,457 | 470,705 | ||||
GlaxoSmithKline plc (Health care, Pharmaceuticals) | 55,758 | 1,064,814 |
Shares | Value | |||||
United Kingdom: (continued) | ||||||
Glencore plc (Materials, Metals & mining) | 119,381 | $ 545,194 | ||||
GVC Holdings plc (Consumer discretionary, Hotels, restaurants & leisure) † | 8,921 | 209,059 | ||||
Hargreaves Lansdown plc (Financials, Capital markets) | 9,336 | 219,779 | ||||
HSBC Holdings plc (Financials, Banks) | 225,802 | 1,460,589 | ||||
Imperial Tobacco Group plc (Consumer staples, Tobacco) | 16,746 | 380,657 | ||||
Informa plc (Communication services, Media) † | 37,147 | 287,095 | ||||
Johnson Matthey plc (Materials, Chemicals) | 7,008 | 303,268 | ||||
Kingfisher plc (Consumer discretionary, Specialty retail) | 53,331 | 272,990 | ||||
Legal & General Group plc (Financials, Insurance) | 96,087 | 388,100 | ||||
Lloyds Banking Group plc (Financials, Banks) | 783,216 | 555,134 | ||||
London Stock Exchange Group plc (Financials, Capital markets) | 3,357 | 361,226 | ||||
National Grid plc (Utilities, Multi-utilities) | 31,698 | 422,953 | ||||
Persimmon plc (Consumer discretionary, Household durables) | 7,084 | 318,030 | ||||
Phoenix Group Holdings plc (Financials, Insurance) | 23,403 | 244,577 | ||||
Prudential plc (Financials, Insurance) | 31,985 | 682,071 | ||||
Reckitt Benckiser Group plc (Consumer staples, Household products) | 9,297 | 841,102 | ||||
RELX plc (Industrials, Professional services) | 14,646 | 382,651 | ||||
Rentokil Initial plc (Industrials, Commercial services & supplies) | 36,755 | 247,408 | ||||
Rio Tinto plc (Materials, Metals & mining) | 14,582 | 1,256,258 | ||||
Rolls-Royce Holdings plc (Industrials, Aerospace & defense) † | 127,967 | 194,565 | ||||
Royal Dutch Shell plc Class A (Energy, Oil, gas & consumable fuels) | 56,477 | 1,079,668 | ||||
Royal Dutch Shell plc Class B (Energy, Oil, gas & consumable fuels) | 40,202 | 733,128 | ||||
Schroders plc (Financials, Capital markets) | 3,988 | 201,531 | ||||
Segro plc (Real estate, Equity REITs) | 21,178 | 313,964 | ||||
Smith & Nephew plc (Health care, Health care equipment & supplies) | 12,276 | 268,671 | ||||
Smiths Group plc (Industrials, Industrial conglomerates) | 11,624 | 255,888 | ||||
SSE plc (Utilities, Electric utilities) | 13,779 | 301,859 | ||||
Standard Chartered plc (Financials, Banks) | 47,333 | 341,475 | ||||
The Berkeley Group Holdings plc (Consumer discretionary, Household durables) | 4,125 | 274,208 | ||||
Unilever plc (Consumer staples, Personal products) | 17,960 | 1,078,425 | ||||
Unilever plc (Consumer staples, Personal products) | 17,436 | 1,039,855 | ||||
Vodafone Group plc (Communication services, Wireless telecommunication services) | 390,008 | 710,891 | ||||
WPP plc (Communication services, Media) | 22,086 | 305,618 | ||||
28,724,773 | ||||||
United States: 0.11% | ||||||
Venture Corporation Limited (Information technology, Electronic equipment, instruments & components) | 15,100 | 217,363 | ||||
Total Common stocks (Cost $155,419,969) | 200,518,369 |
Dividend yield | ||||||
Preferred stocks: 0.13% | ||||||
Germany: 0.13% | ||||||
Sartorius AG Vorzug (Health care, Health care equipment & supplies) | 0.18% | 518 | 256,542 | |||
Total Preferred stocks (Cost $220,283) | 256,542 |
Expiration date | Shares | Value | ||||
Rights: 0.00% | ||||||
Singapore: 0.00% | ||||||
Singapore Airlines Limited (Industrials, Airlines) ♦† | 6-21-2021 | 123,310 | $ 0 | |||
Total Rights (Cost $0) | 0 |
Yield | ||||||
Short-term investments: 1.87% | ||||||
Investment companies: 1.87% | ||||||
Securities Lending Cash Investments LLC ♠∩∞ | 0.03% | 2,186,481 | 2,186,481 | |||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03 | 1,648,018 | 1,648,018 | |||
Total Short-term investments (Cost $3,834,499) | 3,834,499 | |||||
Total investments in securities (Cost $159,474,751) | 99.99% | 204,609,410 | ||||
Other assets and liabilities, net | 0.01 | 27,748 | ||||
Total net assets | 100.00% | $204,637,158 |
† | 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. |
« | All or a portion of this security is on loan. |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | 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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $24,085,119 | $(21,898,638) | $0 | $0 | $ 2,186,481 | 2,186,481 | $ 777# | ||||
Wells Fargo Government Money Market Fund Select Class | 11,162,407 | 35,486,679 | (45,001,068) | 0 | 0 | 1,648,018 | 1,648,018 | 1,435 | ||||
$0 | $0 | $3,834,499 | 1.87% | $2,212 |
# | Amount shown represents income before fees and rebates. |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
MSCI EAFE Index | 19 | 6-18-2021 | $2,162,081 | $2,220,150 | $58,069 | $0 |
Assets | |
Investments in unaffiliated securities (including $2,086,354 of securities loaned), at value (cost $155,640,252) | $ 200,774,911 |
Investments in affiliated securites, at value (cost $3,834,499) | 3,834,499 |
Cash at broker segregated for futures contracts | 541,480 |
Foreign currency, at value (cost $316,094) | 317,287 |
Receivable for dividends | 1,336,086 |
Receivable for securities lending income, net | 33,381 |
Receivable for daily variation margin on open futures contracts | 3,610 |
Prepaid expenses and other assets | 25,730 |
Total assets | 206,866,984 |
Liabilities | |
Payable upon receipt of securities loaned | 2,186,481 |
Advisory fee payable | 43,345 |
Total liabilities | 2,229,826 |
Total net assets | $204,637,158 |
Investment income | |
Dividends (net of foreign withholdings taxes of $575,568) | $ 5,087,405 |
Income from affiliated securities | 59,741 |
Total investment income | 5,147,146 |
Expenses | |
Advisory fee | 584,130 |
Custody and accounting fees | 124,446 |
Professional fees | 50,558 |
Interest holder report expenses | 17,786 |
Trustees’ fees and expenses | 19,331 |
Other fees and expenses | 29,323 |
Total expenses | 825,574 |
Net investment income | 4,321,572 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 40,877,755 |
Futures contracts | 216,422 |
Net realized gains on investments | 41,094,177 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 19,470,604 |
Futures contracts | 58,069 |
Net change in unrealized gains (losses) on investments | 19,528,673 |
Net realized and unrealized gains (losses) on investments | 60,622,850 |
Net increase in net assets resulting from operations | $64,944,422 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 4,321,572 | $ 667,781 |
Net realized gains on investments | 41,094,177 | 248,078 |
Net change in unrealized gains (losses) on investments | 19,528,673 | 7,261,481 |
Net increase in net assets resulting from operations | 64,944,422 | 8,177,340 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 3,259,460 | 15,390,712 |
Withdrawals | (42,716,944) | (53,515,149) |
Net decrease in net assets resulting from capital transactions | (39,457,484) | (38,124,437) |
Total increase (decrease) in net assets | 25,486,938 | (29,947,097) |
Net assets | ||
Beginning of period | 179,150,220 | 209,097,317 |
End of period | $204,637,158 | $179,150,220 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 39.97% | 1.76% | (0.14)% | 9.46% | 10.31% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.43% | 0.91% | 0.89% | 1.10% | 0.98% |
Net expenses1 | 0.43% | 0.91% | 0.89% | 1.06% | 0.98% |
Net investment income | 2.23% | 0.34% | 1.24% | 0.70% | 1.25% |
Supplemental data | |||||
Portfolio turnover rate | 127% | 53% | 100% | 71% | 121% |
1 | Net expense ratios reflect voluntary waivers. |
Gross unrealized gains | $46,946,211 |
Gross unrealized losses | (1,888,476) |
Net unrealized gains | $45,057,735 |
■ | 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 | $ 14,226,065 | $ 0 | $0 | $ 14,226,065 |
Austria | 253,128 | 0 | 0 | 253,128 |
Belgium | 1,402,590 | 0 | 0 | 1,402,590 |
Denmark | 5,683,847 | 0 | 0 | 5,683,847 |
Finland | 2,750,928 | 0 | 0 | 2,750,928 |
France | 22,893,267 | 0 | 0 | 22,893,267 |
Germany | 18,470,972 | 0 | 0 | 18,470,972 |
Hong Kong | 6,548,646 | 0 | 0 | 6,548,646 |
Ireland | 1,172,984 | 0 | 0 | 1,172,984 |
Israel | 494,484 | 235,643 | 0 | 730,127 |
Italy | 4,106,440 | 0 | 0 | 4,106,440 |
Japan | 47,420,923 | 0 | 0 | 47,420,923 |
Luxembourg | 832,646 | 0 | 0 | 832,646 |
Netherlands | 10,437,606 | 0 | 0 | 10,437,606 |
New Zealand | 275,630 | 0 | 0 | 275,630 |
Norway | 921,712 | 0 | 0 | 921,712 |
Singapore | 2,020,495 | 0 | 0 | 2,020,495 |
Spain | 5,383,054 | 0 | 0 | 5,383,054 |
Sweden | 6,756,887 | 0 | 0 | 6,756,887 |
Switzerland | 19,288,286 | 0 | 0 | 19,288,286 |
United Kingdom | 28,724,773 | 0 | 0 | 28,724,773 |
United States | 217,363 | 0 | 0 | 217,363 |
Preferred stocks | ||||
Germany | 256,542 | 0 | 0 | 256,542 |
Rights | ||||
Singapore | 0 | 0 | 0 | 0 |
Short-term investments | ||||
Investment companies | 3,834,499 | 0 | 0 | 3,834,499 |
204,373,767 | 235,643 | 0 | 204,609,410 | |
Futures contracts | 58,069 | 0 | 0 | 58,069 |
Total assets | $204,431,836 | $235,643 | $0 | $204,667,479 |
Average daily net assets | Advisory fee |
First $1 billion | 0.250% |
Next $4 billion | 0.225 |
Over $5 billion | 0.200 |
Average daily net assets | Advisory fee |
First $500 million | 0.800% |
Next $500 million | 0.750 |
Next $1 billion | 0.700 |
Next $2 billion | 0.675 |
Over $4 billion | 0.650 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Barclays Capital Inc. | $734,772 | $(734,772) | $0 |
BMO Capital Markets Corp. | 142 | (142) | 0 |
BOFA Securities, Inc. | 479,493 | (479,493) | 0 |
Citigroup Global Markets Inc. | 374,351 | (374,351) | 0 |
UBS Securities LLC | 497,596 | (497,596) | 0 |
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. |
Wells Fargo Disciplined Large Cap Portfolio |
Wells Fargo Diversified Large Cap Growth Portfolio |
Wells Fargo Disciplined International Developed Markets Portfolio |
Wells Fargo Large Company Value Portfolio |
Wells Fargo Managed Fixed Income Portfolio |
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio |
Wells Fargo Emerging Markets Bond Portfolio |
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio |
Wells Fargo Factor Enhanced International Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Low Volatility 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 Strategic Retirement Bond Portfolio |
Wells Fargo U.S. REIT Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Portfolios. |
■ | Impact of the Transaction on the Portfolios and their Shareholders: (i) information regarding anticipated benefits to the Portfolios as a result of the Transaction; (ii) a commitment that the Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers intend to continue to manage the Portfolios in a manner consistent with each Portfolio’s current investment objectives and principal investments strategies; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
Large Company Value Portfolio
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Financial statements | |
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Board considerations | |
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Investment objective | The Portfolio seeks long-term capital appreciation. |
Manager | Wells Fargo Funds Management, LLC |
Subadviser | Wells Capital Management Incorporated |
Portfolio managers | Dennis Bein, CFA®‡, Ryan Brown, CFA®‡, Harindra de Silva, Ph.D., CFA®‡ |
Ten largest holdings (%) as of May 31, 20211 | |
Bank of America Corporation | 3.59 |
The Walt Disney Company | 3.56 |
Berkshire Hathaway Incorporated Class B | 3.41 |
Exxon Mobil Corporation | 3.12 |
Honeywell International Incorporated | 2.84 |
Pfizer Incorporated | 2.71 |
Comcast Corporation Class A | 2.67 |
CSX Corporation | 2.34 |
Citigroup Incorporated | 2.31 |
AvalonBay Communities Incorporated | 2.14 |
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 May 31, 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: 97.90% | |||||
Communication services: 10.06% | |||||
Diversified telecommunication services: 2.07% | |||||
AT&T Incorporated | 91,573 | $ 2,694,993 | |||
Verizon Communications Incorporated | 58,637 | 3,312,404 | |||
6,007,397 | |||||
Entertainment: 4.05% | |||||
Electronic Arts Incorporated | 9,950 | 1,422,154 | |||
The Walt Disney Company † | 57,705 | 10,308,998 | |||
11,731,152 | |||||
Interactive media & services: 1.27% | |||||
Facebook Incorporated Class A † | 11,157 | 3,667,641 | |||
Media: 2.67% | |||||
Comcast Corporation Class A | 134,615 | 7,718,824 | |||
Consumer discretionary: 5.67% | |||||
Hotels, restaurants & leisure: 1.09% | |||||
Aramark | 2,400 | 89,640 | |||
Darden Restaurants Incorporated | 20,603 | 2,950,968 | |||
Domino's Pizza Incorporated | 304 | 129,768 | |||
3,170,376 | |||||
Household durables: 1.66% | |||||
Sonos Incorporated † | 83,611 | 3,093,607 | |||
Tempur-Pedic International Incorporated | 41,459 | 1,596,172 | |||
Whirlpool Corporation | 471 | 111,669 | |||
4,801,448 | |||||
Multiline retail: 2.67% | |||||
Dollar General Corporation | 8,880 | 1,802,285 | |||
Target Corporation | 26,118 | 5,926,697 | |||
7,728,982 | |||||
Specialty retail: 0.25% | |||||
Signet Jewelers Limited † | 12,122 | 734,351 | |||
Consumer staples: 7.80% | |||||
Beverages: 0.04% | |||||
Keurig Dr. Pepper Incorporated | 3,052 | 112,802 | |||
Food & staples retailing: 1.83% | |||||
Costco Wholesale Corporation | 11,090 | 4,195,014 | |||
Performance Food Group Company † | 20,735 | 1,039,446 | |||
Walmart Incorporated | 408 | 57,948 | |||
5,292,408 | |||||
Food products: 3.60% | |||||
Lamb Weston Holdings Incorporated | 53,086 | 4,379,064 | |||
Tyson Foods Incorporated Class A | 75,962 | 6,038,979 | |||
10,418,043 |
Shares | Value | ||||
Household products: 1.37% | |||||
Colgate-Palmolive Company | 31,268 | $ 2,619,633 | |||
The Procter & Gamble Company | 10,151 | 1,368,862 | |||
3,988,495 | |||||
Personal products: 0.96% | |||||
Medifast Incorporated | 8,357 | 2,776,613 | |||
Energy: 3.90% | |||||
Oil, gas & consumable fuels: 3.90% | |||||
Cabot Oil & Gas Corporation | 5,566 | 91,282 | |||
Cheniere Energy Incorporated † | 8,652 | 734,555 | |||
ConocoPhillips | 7,992 | 445,474 | |||
Exxon Mobil Corporation | 154,981 | 9,046,241 | |||
Ovintiv Incorporated | 36,752 | 978,706 | |||
11,296,258 | |||||
Financials: 19.28% | |||||
Banks: 10.28% | |||||
Bank of America Corporation | 245,456 | 10,404,880 | |||
Citigroup Incorporated | 85,083 | 6,696,883 | |||
First Bancorp of Puerto Rico | 206,403 | 2,639,894 | |||
Hancock Holding Company | 39,146 | 1,938,118 | |||
JPMorgan Chase & Company | 25,069 | 4,117,333 | |||
KeyCorp | 149,350 | 3,441,024 | |||
Truist Financial Corporation | 8,826 | 545,270 | |||
29,783,402 | |||||
Capital markets: 2.54% | |||||
Bank of New York Mellon Corporation | 29,154 | 1,518,340 | |||
Cboe Global Markets Incorporated | 1,116 | 124,211 | |||
CME Group Incorporated | 534 | 116,818 | |||
Intercontinental Exchange Incorporated | 604 | 68,180 | |||
Morgan Stanley | 19,257 | 1,751,425 | |||
Morningstar Incorporated | 15,991 | 3,773,716 | |||
7,352,690 | |||||
Consumer finance: 1.46% | |||||
Capital One Financial Corporation | 26,323 | 4,232,212 | |||
Diversified financial services: 3.41% | |||||
Berkshire Hathaway Incorporated Class B † | 34,132 | 9,879,166 | |||
Insurance: 1.59% | |||||
Marsh & McLennan Companies Incorporated | 5,653 | 782,093 | |||
MetLife Incorporated | 47,149 | 3,081,659 | |||
Old Republic International Corporation | 5,786 | 151,940 | |||
The Allstate Corporation | 4,285 | 585,374 | |||
4,601,066 |
Shares | Value | ||||
Health care: 13.59% | |||||
Biotechnology: 2.79% | |||||
AbbVie Incorporated | 46,126 | $ 5,221,463 | |||
Alkermes plc † | 125,998 | 2,856,375 | |||
8,077,838 | |||||
Health care equipment & supplies: 1.96% | |||||
Align Technology Incorporated † | 2,296 | 1,354,984 | |||
Conmed Corporation | 24,162 | 3,326,866 | |||
Stryker Corporation | 3,829 | 977,429 | |||
5,659,279 | |||||
Health care providers & services: 1.30% | |||||
Cigna Corporation | 14,538 | 3,763,161 | |||
Health care technology: 0.15% | |||||
Cerner Corporation | 5,542 | 433,662 | |||
Life sciences tools & services: 1.90% | |||||
Charles River Laboratories International Incorporated † | 16,284 | 5,503,829 | |||
Pharmaceuticals: 5.49% | |||||
Bristol-Myers Squibb Company | 43,690 | 2,871,307 | |||
Merck & Company Incorporated | 68,437 | 5,193,684 | |||
Pfizer Incorporated | 202,492 | 7,842,515 | |||
15,907,506 | |||||
Industrials: 13.43% | |||||
Aerospace & defense: 0.57% | |||||
Raytheon Technologies Corporation | 18,548 | 1,645,393 | |||
Air freight & logistics: 0.44% | |||||
United Parcel Service Incorporated Class B | 1,197 | 256,876 | |||
XPO Logistics Incorporated † | 6,872 | 1,009,703 | |||
1,266,579 | |||||
Electrical equipment: 1.95% | |||||
Emerson Electric Company | 59,121 | 5,657,288 | |||
Industrial conglomerates: 2.84% | |||||
Honeywell International Incorporated | 35,618 | 8,224,552 | |||
Machinery: 4.73% | |||||
Caterpillar Incorporated | 14,469 | 3,488,187 | |||
Mueller Industries Incorporated | 93,826 | 4,356,341 | |||
PACCAR Incorporated | 63,938 | 5,854,163 | |||
13,698,691 | |||||
Professional services: 0.56% | |||||
Manpower Incorporated | 13,365 | 1,617,031 | |||
Road & rail: 2.34% | |||||
CSX Corporation | 67,864 | 6,794,544 |
Shares | Value | ||||
Information technology: 10.62% | |||||
Communications equipment: 1.93% | |||||
Cisco Systems Incorporated | 105,648 | $ 5,588,779 | |||
Electronic equipment, instruments & components: 2.07% | |||||
Amphenol Corporation Class A | 89,064 | 5,990,445 | |||
IT services: 3.27% | |||||
Accenture plc Class A | 17,586 | 4,962,066 | |||
Cognizant Technology Solutions Corporation Class A | 54,620 | 3,908,607 | |||
International Business Machines Corporation | 4,116 | 591,634 | |||
9,462,307 | |||||
Semiconductors & semiconductor equipment: 1.14% | |||||
Broadcom Incorporated | 266 | 125,640 | |||
Maxim Integrated Products Incorporated | 31,207 | 3,183,426 | |||
3,309,066 | |||||
Software: 2.21% | |||||
Autodesk Incorporated † | 10,880 | 3,110,157 | |||
SS&C Technologies Holdings Incorporated | 44,687 | 3,301,029 | |||
6,411,186 | |||||
Materials: 3.19% | |||||
Chemicals: 1.16% | |||||
Air Products & Chemicals Incorporated | 105 | 31,464 | |||
Linde plc | 7,225 | 2,171,835 | |||
LyondellBasell Industries NV Class A | 9,666 | 1,088,585 | |||
The Sherwin-Williams Company | 209 | 59,258 | |||
3,351,142 | |||||
Construction materials: 0.01% | |||||
Vulcan Materials Company | 235 | 43,080 | |||
Containers & packaging: 0.06% | |||||
Crown Holdings Incorporated | 1,655 | 170,862 | |||
Metals & mining: 1.96% | |||||
Freeport-McMoRan Incorporated | 132,015 | 5,639,681 | |||
Royal Gold Incorporated | 236 | 29,210 | |||
5,668,891 | |||||
Real estate: 5.18% | |||||
Equity REITs: 4.91% | |||||
AvalonBay Communities Incorporated | 29,942 | 6,196,197 | |||
Iron Mountain Incorporated | 8,841 | 384,937 | |||
Lamar Advertising Company Class A | 20,603 | 2,159,606 | |||
PotlatchDeltic Corporation | 90,798 | 5,466,040 | |||
14,206,780 | |||||
Real estate management & development: 0.27% | |||||
Realogy Holdings Corporation † | 44,202 | 782,817 |
Shares | Value | ||||
Utilities: 5.18% | |||||
Electric utilities: 3.87% | |||||
Duke Energy Corporation | 18,301 | $ 1,834,126 | |||
Entergy Corporation | 34,778 | 3,660,732 | |||
NextEra Energy Incorporated | 78,030 | 5,713,357 | |||
11,208,215 | |||||
Gas utilities: 1.24% | |||||
UGI Corporation | 78,313 | 3,606,314 | |||
Independent power & renewable electricity producers: 0.07% | |||||
AES Corporation | 6,588 | 167,401 | |||
Vistra Energy Corporation | 1,912 | 30,917 | |||
198,318 | |||||
Total Common stocks (Cost $262,083,575) | 283,540,881 |
Yield | |||||
Short-term investments: 1.33% | |||||
Investment companies: 1.33% | |||||
Wells Fargo Government Money Market Fund Select Class ♠∞ | 0.03% | 3,849,497 | 3,849,497 | ||
Total Short-term investments (Cost $3,849,497) | 3,849,497 | ||||
Total investments in securities (Cost $265,933,072) | 99.23% | 287,390,378 | |||
Other assets and liabilities, net | 0.77 | 2,224,331 | |||
Total net assets | 100.00% | $289,614,709 |
† | Non-income-earning security |
♠ | The issuer is an affiliate 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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $ 20,389,105 | $ (20,389,105) | $0 | $0 | $ 0 | 0 | $ 682# | ||||
Wells Fargo Government Money Market Fund Select Class | 3,557,730 | 107,488,380 | (107,196,613) | 0 | 0 | 3,849,497 | 3,849,497 | 1,603 | ||||
$0 | $0 | $3,849,497 | 1.33% | $2,285 |
# | Amount shown represents income before fees and rebates. |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
E-Mini S&P 500 Index | 27 | 6-18-2021 | $5,612,798 | $5,673,240 | $60,442 | $0 |
Assets | |
Investments in unaffiliated securities, at value (cost $262,083,575) | $ 283,540,881 |
Investments in affiliated securites, at value (cost $3,849,497) | 3,849,497 |
Cash at broker segregated for futures contracts | 1,716,000 |
Receivable for dividends | 555,471 |
Receivable for daily variation margin on open futures contracts | 4,628 |
Prepaid expenses and other assets | 34,586 |
Total assets | 289,701,063 |
Liabilities | |
Advisory fee payable | 86,354 |
Total liabilities | 86,354 |
Total net assets | $289,614,709 |
Investment income | |
Dividends (net of foreign withholdings taxes of $12,304) | $ 4,738,818 |
Income from affiliated securities | 3,753 |
Total investment income | 4,742,571 |
Expenses | |
Advisory fee | 851,813 |
Custody and accounting fees | 20,391 |
Professional fees | 48,322 |
Interest holder report expenses | 14,580 |
Trustees’ fees and expenses | 19,296 |
Other fees and expenses | 13,998 |
Total expenses | 968,400 |
Less: Fee waivers and/or expense reimbursements | (1,276) |
Net expenses | 967,124 |
Net investment income | 3,775,447 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 99,375,661 |
Futures contracts | 2,013,249 |
Net realized gains on investments | 101,388,910 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (3,140,812) |
Futures contracts | (541,078) |
Net change in unrealized gains (losses) on investments | (3,681,890) |
Net realized and unrealized gains (losses) on investments | 97,707,020 |
Net increase in net assets resulting from operations | $101,482,467 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 3,775,447 | $ 4,894,535 |
Net realized gains (losses) on investments | 101,388,910 | (22,941,374) |
Net change in unrealized gains (losses) on investments | (3,681,890) | 23,826,266 |
Net increase in net assets resulting from operations | 101,482,467 | 5,779,427 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 42,173,014 | 18,442,858 |
Withdrawals | (76,489,354) | (50,929,441) |
Net decrease in net assets resulting from capital transactions | (34,316,340) | (32,486,583) |
Total increase (decrease) in net assets | 67,166,127 | (26,707,156) |
Net assets | ||
Beginning of period | 222,448,582 | 249,155,738 |
End of period | $289,614,709 | $222,448,582 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 51.44% | (0.09)% | (0.94)% | 9.80% | 13.22% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.40% | 0.39% | 0.39% | 0.49% | 0.68% |
Net expenses1 | 0.40% | 0.39% | 0.39% | 0.42% | 0.66% |
Net investment income | 1.55% | 2.05% | 2.29% | 1.56% | 1.45% |
Supplemental data | |||||
Portfolio turnover rate | 482% | 335% | 246% | 244% | 203% |
1 | Net expense ratios reflect voluntary waivers. |
Gross unrealized gains | $23,727,588 |
Gross unrealized losses | (3,769,597) |
Net unrealized gains | $19,957,991 |
■ | 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 | $ 29,125,014 | $0 | $0 | $ 29,125,014 |
Consumer discretionary | 16,435,157 | 0 | 0 | 16,435,157 |
Consumer staples | 22,588,361 | 0 | 0 | 22,588,361 |
Energy | 11,296,258 | 0 | 0 | 11,296,258 |
Financials | 55,848,536 | 0 | 0 | 55,848,536 |
Health care | 39,345,275 | 0 | 0 | 39,345,275 |
Industrials | 38,904,078 | 0 | 0 | 38,904,078 |
Information technology | 30,761,783 | 0 | 0 | 30,761,783 |
Materials | 9,233,975 | 0 | 0 | 9,233,975 |
Real estate | 14,989,597 | 0 | 0 | 14,989,597 |
Utilities | 15,012,847 | 0 | 0 | 15,012,847 |
Short-term investments | ||||
Investment companies | 3,849,497 | 0 | 0 | 3,849,497 |
287,390,378 | 0 | 0 | 287,390,378 | |
Futures contracts | 60,442 | 0 | 0 | 60,442 |
Total assets | $287,450,820 | $0 | $0 | $287,450,820 |
Average daily net assets | Advisory fee |
First $1 billion | 0.350% |
Next $4 billion | 0.325 |
Over $5 billion | 0.300 |
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. |
Wells Fargo Disciplined Large Cap Portfolio |
Wells Fargo Diversified Large Cap Growth Portfolio |
Wells Fargo Disciplined International Developed Markets Portfolio |
Wells Fargo Large Company Value Portfolio |
Wells Fargo Managed Fixed Income Portfolio |
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio |
Wells Fargo Emerging Markets Bond Portfolio |
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio |
Wells Fargo Factor Enhanced International Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Low Volatility 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 Strategic Retirement Bond Portfolio |
Wells Fargo U.S. REIT Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Portfolios. |
■ | Impact of the Transaction on the Portfolios and their Shareholders: (i) information regarding anticipated benefits to the Portfolios as a result of the Transaction; (ii) a commitment that the Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers intend to continue to manage the Portfolios in a manner consistent with each Portfolio’s current investment objectives and principal investments strategies; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Portfolios as a result of the Transaction. |
P.O. Box 219967
Kansas City, MO 64121-9967
Managed Fixed Income Portfolio
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Financial statements | |
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Board considerations | |
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43 |
Investment objective | The Portfolio seeks consistent fixed-income returns. |
Manager | Wells Fargo Funds Management, LLC |
Subadviser | Galliard Capital Management, Inc. |
Portfolio managers | Andrea Johnson, CFA®‡, Brandon Kanz, CFA®‡ |
Ten largest holdings (%) as of May 31, 20211 | |
U.S. Treasury Note, 1.13%, 2-15-2031 | 2.78 |
FNMA, 4.50%, 1-1-2051 | 2.44 |
FNMA, 4.00%, 8-1-2051 | 2.11 |
U.S. Treasury Bond, 2.38%, 11-15-2049 | 2.06 |
U.S. Treasury Note, 0.13%, 12-31-2022 | 1.91 |
FNMA, 3.97%, 6-1-2025 | 1.52 |
U.S. Treasury Bond, 1.38%, 11-15-2040 | 1.21 |
U.S. Treasury Bond, 1.88%, 2-15-2041 | 1.15 |
U.S. Treasury Bond, 1.13%, 8-15-2040 | 1.12 |
U.S. Treasury Bond, 1.63%, 11-15-2050 | 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 allocation as of May 31, 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: 22.99% | ||||||
FHLMC | 2.00% | 11-25-2059 | $ | 1,229,750 | $ 1,245,442 | |
FHLMC | 3.00 | 7-1-2046 | 409,223 | 435,664 | ||
FHLMC | 3.00 | 7-1-2046 | 498,867 | 530,010 | ||
FHLMC | 3.00 | 11-1-2049 | 1,985,768 | 2,097,360 | ||
FHLMC | 3.50 | 4-1-2043 | 564,398 | 609,960 | ||
FHLMC | 3.50 | 5-1-2044 | 323,332 | 351,419 | ||
FHLMC | 3.50 | 6-1-2046 | 245,383 | 264,230 | ||
FHLMC | 3.50 | 2-1-2047 | 1,426,447 | 1,531,047 | ||
FHLMC | 3.50 | 4-1-2047 | 263,083 | 283,888 | ||
FHLMC | 3.50 | 12-1-2047 | 1,025,877 | 1,105,834 | ||
FHLMC | 3.50 | 3-1-2048 | 1,128,567 | 1,210,766 | ||
FHLMC | 3.50 | 8-1-2049 | 373,578 | 394,490 | ||
FHLMC | 4.00 | 4-1-2044 | 419,942 | 465,604 | ||
FHLMC | 4.00 | 8-1-2044 | 231,393 | 254,131 | ||
FHLMC | 4.00 | 6-1-2048 | 1,278,556 | 1,395,426 | ||
FHLMC | 4.50 | 8-1-2048 | 1,533,242 | 1,660,209 | ||
FHLMC | 4.50 | 11-1-2048 | 1,604,424 | 1,747,030 | ||
FHLMC | 4.50 | 11-1-2048 | 3,054,380 | 3,312,113 | ||
FHLMC Series 2018-3 Class MA ±± | 3.50 | 8-25-2057 | 4,438,529 | 4,754,289 | ||
FHLMC Series 2019-3 Class M55D | 4.00 | 10-25-2058 | 822,455 | 906,699 | ||
FHLMC Structured Pass-Through Securities Series T-20 Class A6 | 7.99 | 9-25-2029 | 12,103 | 12,759 | ||
FHLMC Structured Pass-Through Securities Series T-58 Class 4A | 7.50 | 9-25-2043 | 599,138 | 705,663 | ||
FNMA %% | 2.00 | 7-14-2051 | 4,914,000 | 4,952,104 | ||
FNMA | 2.50 | 8-1-2031 | 221,732 | 233,081 | ||
FNMA | 2.50 | 2-1-2035 | 869,022 | 915,865 | ||
FNMA | 2.50 | 2-1-2035 | 1,121,728 | 1,179,366 | ||
FNMA ±± | 2.55 | 5-1-2023 | 205,483 | 210,604 | ||
FNMA | 2.73 | 1-1-2023 | 520,326 | 539,150 | ||
FNMA | 2.73 | 9-1-2023 | 538,648 | 566,039 | ||
FNMA | 3.00 | 12-1-2032 | 29,023 | 30,688 | ||
FNMA | 3.00 | 7-1-2046 | 304,505 | 324,042 | ||
FNMA | 3.00 | 4-1-2047 | 1,370,285 | 1,441,653 | ||
FNMA | 3.00 | 12-1-2049 | 1,813,107 | 1,913,945 | ||
FNMA | 3.00 | 12-1-2049 | 1,611,289 | 1,700,901 | ||
FNMA ±± | 3.07 | 9-1-2025 | 3,018,171 | 3,258,296 | ||
FNMA | 3.07 | 2-1-2026 | 356,058 | 389,206 | ||
FNMA ±± | 3.08 | 11-1-2022 | 185,027 | 188,599 | ||
FNMA | 3.08 | 1-1-2026 | 477,407 | 521,658 | ||
FNMA | 3.35 | 1-1-2028 | 270,218 | 302,606 | ||
FNMA ±± | 3.36 | 11-1-2026 | 3,162,693 | 3,489,843 | ||
FNMA ±± | 3.39 | 12-1-2027 | 1,166,347 | 1,299,539 | ||
FNMA | 3.50 | 10-1-2032 | 430,679 | 463,536 | ||
FNMA | 3.50 | 11-1-2042 | 175,546 | 190,692 | ||
FNMA | 3.50 | 11-1-2042 | 184,130 | 199,472 | ||
FNMA | 3.50 | 2-1-2043 | 97,489 | 105,325 | ||
FNMA | 3.50 | 11-1-2045 | 865,052 | 930,114 | ||
FNMA | 3.50 | 4-1-2046 | 108,413 | 116,273 | ||
FNMA | 3.50 | 7-1-2046 | 317,726 | 340,708 | ||
FNMA | 3.50 | 11-1-2046 | 393,874 | 425,037 | ||
FNMA | 3.50 | 8-1-2047 | 1,841,183 | 1,978,842 | ||
FNMA | 3.62 | 1-1-2026 | 1,936,426 | 2,142,388 | ||
FNMA | 3.62 | 1-1-2026 | 1,629,666 | 1,802,999 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 3.97% | 6-1-2025 | $ | 6,805,987 | $ 7,526,929 | |
FNMA | 4.00 | 11-1-2040 | 178,343 | 194,701 | ||
FNMA | 4.00 | 4-1-2041 | 250,705 | 273,698 | ||
FNMA | 4.00 | 8-1-2046 | 267,820 | 295,879 | ||
FNMA | 4.00 | 3-1-2049 | 799,201 | 866,307 | ||
FNMA | 4.00 | 8-1-2051 | 9,399,915 | 10,483,238 | ||
FNMA | 4.00 | 7-1-2056 | 393,754 | 439,443 | ||
FNMA | 4.50 | 8-1-2048 | 1,274,749 | 1,379,242 | ||
FNMA | 4.50 | 1-1-2051 | 10,846,650 | 12,125,699 | ||
FNMA | 4.50 | 6-1-2056 | 326,729 | 366,937 | ||
FNMA | 4.50 | 6-1-2056 | 297,996 | 334,667 | ||
FNMA | 4.50 | 6-1-2056 | 433,446 | 486,785 | ||
FNMA | 5.00 | 9-1-2033 | 83,895 | 95,614 | ||
FNMA | 5.50 | 2-1-2036 | 57,812 | 62,982 | ||
FNMA Series 2002-90 Class A2 | 6.50 | 11-25-2042 | 262,526 | 305,914 | ||
FNMA Series 2002-T4 Class A2 | 7.00 | 12-25-2041 | 98,180 | 115,898 | ||
FNMA Series 2002-W4 Class A4 | 6.25 | 5-25-2042 | 918,210 | 1,072,547 | ||
FNMA Series 2003-W4 Class 3A ±± | 5.46 | 10-25-2042 | 155,862 | 180,799 | ||
FNMA Series 2004-T2 Class 1A1 | 6.00 | 11-25-2043 | 327,485 | 380,179 | ||
FNMA Series 2004-T3 Class A1 | 6.00 | 2-25-2044 | 520,710 | 609,202 | ||
FNMA Series 2004-W01 Class 2A2 | 7.00 | 12-25-2033 | 84,785 | 100,195 | ||
FNMA Series 2004-W11 Class 1A3 | 7.00 | 5-25-2044 | 549,540 | 630,625 | ||
FNMA Series 2004-W8 Class 3A | 7.50 | 6-25-2044 | 136,087 | 163,145 | ||
GNMA | 6.50 | 10-15-2023 | 4,769 | 5,326 | ||
GNMA | 6.50 | 11-15-2023 | 2,605 | 2,909 | ||
GNMA | 6.50 | 12-15-2023 | 3,586 | 4,004 | ||
GNMA | 6.50 | 1-15-2024 | 6,784 | 7,575 | ||
GNMA | 7.00 | 8-15-2027 | 30,590 | 34,399 | ||
SBA Series 2006-20B Class 1 | 5.35 | 2-1-2026 | 106,135 | 113,554 | ||
SBA Series 2006-20H Class 1 | 5.70 | 8-1-2026 | 57,408 | 61,791 | ||
SBA Series 2007-20J Class 1 | 5.57 | 10-1-2027 | 164,032 | 180,184 | ||
SBA Series 2013-20A Class 1 | 2.13 | 1-1-2033 | 206,112 | 216,783 | ||
SBA Series 2013-20J Class 1 | 3.37 | 10-1-2033 | 234,023 | 248,135 | ||
SBA Series 2014-10A Class 1 | 3.19 | 3-10-2024 | 98,353 | 101,341 | ||
SBA Series 2014-10B Class 1 | 3.02 | 9-10-2024 | 146,942 | 151,808 | ||
SBA Series 2014-20A Class 1 | 3.46 | 1-1-2034 | 219,898 | 236,021 | ||
SBA Series 2015-10B Class 1 | 2.83 | 9-10-2025 | 234,843 | 245,147 | ||
SBA Series 2015-20C Class 1 | 2.72 | 3-1-2035 | 279,431 | 293,720 | ||
SBA Series 2015-20E Class 1 | 2.77 | 5-1-2035 | 407,821 | 429,239 | ||
SBA Series 2015-20F Class 1 | 2.98 | 6-1-2035 | 309,593 | 326,740 | ||
SBA Series 2017-10A Class 1 | 2.85 | 3-10-2027 | 348,205 | 367,939 | ||
SBA Series 2017-20F Class 1 | 2.81 | 6-1-2037 | 217,042 | 232,337 | ||
SBA Series 2018-10B Class 1 | 3.55 | 9-10-2028 | 3,932,478 | 4,257,612 | ||
SBA Series 2018-20E Class 1 | 3.50 | 5-1-2038 | 1,871,024 | 2,064,244 | ||
SBA Series 2018-20G Class 1 | 3.54 | 7-1-2038 | 2,402,046 | 2,652,589 | ||
SBA Series 2018-20H Class 1 | 3.58 | 8-1-2038 | 3,214,628 | 3,556,240 | ||
SBA Series 2018-20K Class 1 | 3.87 | 11-1-2038 | 2,134,394 | 2,392,004 | ||
Total Agency securities (Cost $106,524,967) | 114,098,870 | |||||
Asset-backed securities: 1.95% | ||||||
ECMC Group Student Loan Trust Series 16-1A Class A (1 Month LIBOR+1.35%) 144A± | 1.46 | 7-26-2066 | 292,767 | 299,953 | ||
ECMC Group Student Loan Trust Series 2018-2A Class A (1 Month LIBOR+0.80%) 144A± | 0.91 | 9-25-2068 | 2,174,876 | 2,197,903 | ||
Ford Credit Auto Owner Trust Series 2018-2 Class A 144A | 3.47 | 1-15-2030 | 3,200,000 | 3,411,510 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Ford Credit Auto Owner Trust Series 2021-1 Class A 144A | 1.37% | 10-17-2033 | $ | 1,225,000 | $ 1,239,904 | |
MMAF Equipment Finance LLC Series 2017-AA Class A5 144A | 2.68 | 7-16-2027 | 695,000 | 711,345 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR+0.67%) 144A± | 0.85 | 12-17-2068 | 1,310,000 | 1,309,999 | ||
South Carolina Student Loan Corporation Series 2014-1 Class B (1 Month LIBOR+1.50%) ± | 1.61 | 8-1-2035 | 500,000 | 511,306 | ||
Total Asset-backed securities (Cost $9,377,648) | 9,681,920 | |||||
Corporate bonds and notes: 33.38% | ||||||
Communication services: 1.77% | ||||||
Diversified telecommunication services: 1.00% | ||||||
AT&T Incorporated | 2.25 | 2-1-2032 | 460,000 | 442,474 | ||
AT&T Incorporated | 2.75 | 6-1-2031 | 535,000 | 541,899 | ||
AT&T Incorporated | 4.75 | 5-15-2046 | 1,280,000 | 1,495,391 | ||
AT&T Incorporated | 5.25 | 3-1-2037 | 60,000 | 74,118 | ||
Verizon Communications Incorporated | 2.10 | 3-22-2028 | 500,000 | 506,566 | ||
Verizon Communications Incorporated | 4.50 | 8-10-2033 | 40,000 | 46,983 | ||
Verizon Communications Incorporated | 4.81 | 3-15-2039 | 1,500,000 | 1,835,173 | ||
4,942,604 | ||||||
Entertainment: 0.11% | ||||||
Walt Disney Company | 2.65 | 1-13-2031 | 540,000 | 557,309 | ||
Media: 0.48% | ||||||
CCO Holdings LLC 144A | 5.13 | 5-1-2027 | 925,000 | 966,625 | ||
CCO Holdings LLC 144A | 5.75 | 2-15-2026 | 296,000 | 306,064 | ||
Comcast Corporation | 1.95 | 1-15-2031 | 550,000 | 533,194 | ||
Lamar Media Corporation | 4.88 | 1-15-2029 | 550,000 | 578,875 | ||
2,384,758 | ||||||
Wireless telecommunication services: 0.18% | ||||||
T-Mobile USA Incorporated | 3.38 | 4-15-2029 | 875,000 | 890,409 | ||
Consumer discretionary: 3.64% | ||||||
Auto components: 0.16% | ||||||
Allison Transmission Incorporated 144A | 4.75 | 10-1-2027 | 790,000 | 823,433 | ||
Automobiles: 0.15% | ||||||
General Motors Company | 4.88 | 10-2-2023 | 400,000 | 437,436 | ||
Volkswagen Group of America Incorporated 144A | 2.85 | 9-26-2024 | 300,000 | 319,255 | ||
756,691 | ||||||
Diversified consumer services: 2.61% | ||||||
Duke University | 3.20 | 10-1-2038 | 1,175,000 | 1,255,567 | ||
Johns Hopkins University | 2.81 | 1-1-2060 | 420,000 | 404,488 | ||
Massachusetts Institute of Technology | 3.96 | 7-1-2038 | 1,780,000 | 2,076,476 | ||
Massachusetts Institute of Technology | 4.68 | 7-1-2114 | 120,000 | 164,674 | ||
Massachusetts Institute of Technology | 7.25 | 11-2-2096 | 500,000 | 971,513 | ||
Northwestern University | 3.66 | 12-1-2057 | 105,000 | 121,938 | ||
Northwestern University | 3.69 | 12-1-2038 | 1,915,000 | 2,127,950 | ||
President and Fellows of Harvard College | 3.62 | 10-1-2037 | 275,000 | 309,727 | ||
President and Fellows of Harvard College | 4.88 | 10-15-2040 | 183,000 | 243,078 |
Interest rate | Maturity date | Principal | Value | |||
Diversified consumer services (continued) | ||||||
President and Fellows of Harvard College | 5.63% | 10-1-2038 | $ | 525,000 | $ 733,701 | |
Princeton University | 5.70 | 3-1-2039 | 1,640,000 | 2,333,827 | ||
Service Corporation International | 4.63 | 12-15-2027 | 450,000 | 474,750 | ||
Service Corporation International | 7.50 | 4-1-2027 | 345,000 | 416,588 | ||
University of Southern California | 3.03 | 10-1-2039 | 1,250,000 | 1,297,806 | ||
12,932,083 | ||||||
Hotels, restaurants & leisure: 0.16% | ||||||
Cedar Fair LP | 5.38 | 6-1-2024 | 795,000 | 802,950 | ||
Textiles, apparel & luxury goods: 0.56% | ||||||
HanesBrands Incorporated 144A | 4.63 | 5-15-2024 | 200,000 | 212,384 | ||
HanesBrands Incorporated 144A | 4.88 | 5-15-2026 | 1,250,000 | 1,338,813 | ||
The William Carter Company 144A | 5.63 | 3-15-2027 | 185,000 | 193,788 | ||
Wolverine World Wide Incorporated 144A | 5.00 | 9-1-2026 | 1,000,000 | 1,022,500 | ||
2,767,485 | ||||||
Consumer staples: 0.44% | ||||||
Beverages: 0.21% | ||||||
Anheuser-Busch InBev Worldwide Incorporated | 4.70 | 2-1-2036 | 870,000 | 1,036,539 | ||
Food products: 0.14% | ||||||
7 Eleven Incorporated 144A | 0.95 | 2-10-2026 | 220,000 | 215,917 | ||
Ingredion Incorporated | 2.90 | 6-1-2030 | 320,000 | 331,166 | ||
Kraft Heinz Foods Company | 4.63 | 1-30-2029 | 120,000 | 135,706 | ||
682,789 | ||||||
Household products: 0.09% | ||||||
Central Garden & Pet Company | 5.13 | 2-1-2028 | 460,000 | 483,575 | ||
Energy: 4.82% | ||||||
Energy equipment & services: 0.52% | ||||||
Baker Hughes LLC | 3.34 | 12-15-2027 | 1,500,000 | 1,644,023 | ||
Halliburton Company | 2.92 | 3-1-2030 | 820,000 | 835,705 | ||
Halliburton Company | 3.80 | 11-15-2025 | 92,000 | 101,939 | ||
2,581,667 | ||||||
Oil, gas & consumable fuels: 4.30% | ||||||
Antero Resources Corporation | 5.00 | 3-1-2025 | 1,360,000 | 1,392,776 | ||
Buckeye Partners LP | 3.95 | 12-1-2026 | 247,000 | 250,705 | ||
Cimarex Energy Company | 3.90 | 5-15-2027 | 500,000 | 549,454 | ||
Enable Midstream Partners | 4.95 | 5-15-2028 | 790,000 | 894,209 | ||
EnLink Midstream Partners LP | 4.85 | 7-15-2026 | 430,000 | 434,300 | ||
Enterprise Products Operating LLC | 4.15 | 10-16-2028 | 260,000 | 295,393 | ||
Florida Gas Transmission Company 144A | 4.35 | 7-15-2025 | 1,521,000 | 1,684,043 | ||
Gray Oak Pipeline LLC 144A | 2.60 | 10-15-2025 | 860,000 | 886,101 | ||
Gulfstream Natural Gas System LLC 144A | 6.19 | 11-1-2025 | 210,000 | 249,595 | ||
Hess Corporation | 4.30 | 4-1-2027 | 800,000 | 890,522 | ||
HollyFrontier Corporation | 4.50 | 10-1-2030 | 910,000 | 953,215 | ||
Magellan Midstream Partners LP | 5.00 | 3-1-2026 | 170,000 | 196,539 | ||
Marathon Oil Corporation | 3.85 | 6-1-2025 | 1,030,000 | 1,120,484 | ||
Marathon Petroleum Corporation | 5.13 | 12-15-2026 | 1,500,000 | 1,775,092 | ||
MPLX LP | 4.13 | 3-1-2027 | 1,500,000 | 1,680,567 | ||
Newfield Exploration Company | 5.38 | 1-1-2026 | 959,000 | 1,080,115 |
Interest rate | Maturity date | Principal | Value | |||
Oil, gas & consumable fuels (continued) | ||||||
Newfield Exploration Company | 5.63% | 7-1-2024 | $ | 249,000 | $ 276,999 | |
NuStar Logistics LP | 6.00 | 6-1-2026 | 600,000 | 642,570 | ||
Occidental Petroleum Corporation | 3.20 | 8-15-2026 | 1,070,000 | 1,031,213 | ||
Plains All American Pipeline LP | 4.70 | 6-15-2044 | 600,000 | 613,719 | ||
Plains All American Pipeline LP | 4.90 | 2-15-2045 | 80,000 | 82,708 | ||
Range Resources Corporation | 5.00 | 3-15-2023 | 763,000 | 784,936 | ||
Transcontinental Gas Pipe Line Company LLC | 3.25 | 5-15-2030 | 790,000 | 838,931 | ||
Transcontinental Gas Pipe Line Company LLC | 7.85 | 2-1-2026 | 1,200,000 | 1,529,846 | ||
Western Midstream Operating LP | 5.30 | 2-1-2030 | 1,100,000 | 1,212,750 | ||
21,346,782 | ||||||
Financials: 5.23% | ||||||
Banks: 2.30% | ||||||
Bank of America Corporation (U.S. SOFR+1.15%) ± | 1.32 | 6-19-2026 | 790,000 | 795,753 | ||
Bank of America Corporation (U.S. SOFR+0.96%) ± | 1.73 | 7-22-2027 | 960,000 | 972,056 | ||
Bank of America Corporation (U.S. SOFR+1.37%) ± | 1.92 | 10-24-2031 | 540,000 | 515,887 | ||
Bank of America Corporation (3 Month LIBOR+1.51%) ± | 3.71 | 4-24-2028 | 1,440,000 | 1,595,761 | ||
Citigroup Incorporated (U.S. SOFR+0.77%) ± | 1.12 | 1-28-2027 | 330,000 | 326,320 | ||
Citigroup Incorporated (U.S. SOFR+2.11%) ± | 2.57 | 6-3-2031 | 370,000 | 374,278 | ||
Citigroup Incorporated | 3.40 | 5-1-2026 | 1,000,000 | 1,098,679 | ||
Citigroup Incorporated | 4.40 | 6-10-2025 | 65,000 | 72,901 | ||
JPMorgan Chase & Company (U.S. SOFR+1.89%) ± | 2.18 | 6-1-2028 | 310,000 | 317,878 | ||
JPMorgan Chase & Company (U.S. SOFR+1.25%) ± | 2.58 | 4-22-2032 | 110,000 | 110,835 | ||
JPMorgan Chase & Company | 3.20 | 6-15-2026 | 500,000 | 547,072 | ||
JPMorgan Chase & Company (3 Month LIBOR+1.34%) ± | 3.78 | 2-1-2028 | 1,100,000 | 1,224,844 | ||
JPMorgan Chase & Company (3 Month LIBOR+1.26%) ± | 4.20 | 7-23-2029 | 600,000 | 686,462 | ||
JPMorgan Chase & Company (3 Month LIBOR+1.33%) ± | 4.45 | 12-5-2029 | 470,000 | 543,532 | ||
KeyCorp | 2.25 | 4-6-2027 | 690,000 | 716,760 | ||
National Capital Commerce Incorporated (3 Month LIBOR+0.98%) ± | 1.18 | 4-1-2027 | 400,000 | 390,646 | ||
PNC Bank | 4.05 | 7-26-2028 | 1,000,000 | 1,141,944 | ||
11,431,608 | ||||||
Capital markets: 1.23% | ||||||
Goldman Sachs Capital II (3 Month LIBOR+0.77%) ± | 4.00 | 12-29-2049 | 6,000 | 5,847 | ||
Goldman Sachs Group Incorporated | 3.50 | 1-23-2025 | 1,100,000 | 1,194,434 | ||
Goldman Sachs Group Incorporated | 3.75 | 2-25-2026 | 1,500,000 | 1,666,776 | ||
Goldman Sachs Group Incorporated | 4.25 | 10-21-2025 | 120,000 | 134,933 | ||
Morgan Stanley | 3.88 | 1-27-2026 | 1,000,000 | 1,120,031 | ||
Morgan Stanley | 3.95 | 4-23-2027 | 1,000,000 | 1,127,067 | ||
MSCI Incorporated 144A | 5.38 | 5-15-2027 | 810,000 | 862,836 | ||
6,111,924 | ||||||
Consumer finance: 1.26% | ||||||
BMW US Capital LLC Company 144A | 3.15 | 4-18-2024 | 965,000 | 1,034,384 | ||
Capital One Financial Corporation | 3.30 | 10-30-2024 | 1,500,000 | 1,621,846 | ||
Daimler Finance North America LLC 144A | 2.70 | 6-14-2024 | 740,000 | 781,186 | ||
Daimler Finance North America LLC 144A | 3.35 | 2-22-2023 | 1,490,000 | 1,561,868 | ||
Ford Motor Credit Company LLC | 5.58 | 3-18-2024 | 1,130,000 | 1,233,858 | ||
6,233,142 | ||||||
Insurance: 0.41% | ||||||
Minnesota Life Insurance Company 144A« | 8.25 | 9-15-2025 | 650,000 | 798,422 |
Interest rate | Maturity date | Principal | Value | |||
Insurance (continued) | ||||||
NLV Financial Corporation 144A | 7.50% | 8-15-2033 | $ | 565,000 | $ 738,204 | |
Northwestern Mutual Life 144A | 3.45 | 3-30-2051 | 470,000 | 480,496 | ||
2,017,122 | ||||||
Mortgage REITs: 0.03% | ||||||
Ventas Realty LP | 3.50 | 2-1-2025 | 150,000 | 162,618 | ||
Health care: 3.33% | ||||||
Biotechnology: 0.29% | ||||||
AbbVie Incorporated | 4.55 | 3-15-2035 | 1,200,000 | 1,428,731 | ||
Health care equipment & supplies: 0.53% | ||||||
Hill-Rom Holdings Incorporated 144A | 4.38 | 9-15-2027 | 810,000 | 839,314 | ||
Hologic Incorporated 144A | 3.25 | 2-15-2029 | 300,000 | 292,500 | ||
Hologic Incorporated 144A | 4.63 | 2-1-2028 | 375,000 | 389,824 | ||
Teleflex Incorporated 144A | 4.25 | 6-1-2028 | 800,000 | 825,000 | ||
Teleflex Incorporated | 4.88 | 6-1-2026 | 250,000 | 256,095 | ||
2,602,733 | ||||||
Health care providers & services: 1.77% | ||||||
Advocate Health Corporation | 4.27 | 8-15-2048 | 290,000 | 351,434 | ||
BayCare Health System Incorporated | 3.83 | 11-15-2050 | 145,000 | 165,844 | ||
Cleveland Clinic Foundation | 4.86 | 1-1-2114 | 894,000 | 1,212,261 | ||
CVS Health Corporation | 1.75 | 8-21-2030 | 200,000 | 190,185 | ||
CVS Health Corporation | 4.30 | 3-25-2028 | 734,000 | 841,074 | ||
CVS Health Corporation | 5.05 | 3-25-2048 | 130,000 | 160,456 | ||
Kaiser Foundation Hospitals | 3.27 | 11-1-2049 | 160,000 | 166,901 | ||
Mayo Clinic | 4.13 | 11-15-2052 | 700,000 | 853,095 | ||
MEDNAX Incorporated 144A | 6.25 | 1-15-2027 | 342,000 | 362,032 | ||
Memorial Health Services | 3.45 | 11-1-2049 | 590,000 | 619,678 | ||
Memorial Sloan Kettering Cancer Center | 4.20 | 7-1-2055 | 185,000 | 223,678 | ||
NYU Hospitals Center | 3.38 | 7-1-2055 | 690,000 | 686,841 | ||
OhioHealth Corporation | 3.04 | 11-15-2050 | 260,000 | 261,040 | ||
Southern Baptist Hospital | 4.86 | 7-15-2045 | 625,000 | 760,507 | ||
Stanford Health Care | 3.80 | 11-15-2048 | 145,000 | 166,089 | ||
Texas Health Resources | 4.33 | 11-15-2055 | 750,000 | 939,721 | ||
The New York-Presbyterian Hospital | 3.56 | 8-1-2036 | 750,000 | 829,757 | ||
8,790,593 | ||||||
Health care technology: 0.09% | ||||||
IQVIA Incorporated 144A | 5.00 | 10-15-2026 | 445,000 | 461,688 | ||
Life sciences tools & services: 0.28% | ||||||
Agilent Technologies Incorporated | 2.75 | 9-15-2029 | 600,000 | 620,463 | ||
Charles River Laboratories Incorporated 144A | 4.25 | 5-1-2028 | 745,000 | 764,556 | ||
1,385,019 | ||||||
Pharmaceuticals: 0.37% | ||||||
Astrazeneca Finance LLC | 1.20 | 5-28-2026 | 250,000 | 250,268 | ||
Bayer US Finance LLC 144A | 3.38 | 10-8-2024 | 240,000 | 259,650 | ||
Bayer US Finance LLC 144A | 4.38 | 12-15-2028 | 1,170,000 | 1,330,877 | ||
1,840,795 |
Interest rate | Maturity date | Principal | Value | |||
Industrials: 3.19% | ||||||
Aerospace & defense: 1.03% | ||||||
BAE Systems Holdings Incorporated 144A | 3.80% | 10-7-2024 | $ | 1,345,000 | $ 1,474,367 | |
Hexcel Corporation | 4.20 | 2-15-2027 | 1,302,000 | 1,385,745 | ||
Moog Incorporated 144A | 4.25 | 12-15-2027 | 700,000 | 717,500 | ||
Raytheon Technologies Corporation | 2.25 | 7-1-2030 | 360,000 | 359,174 | ||
The Boeing Company | 2.70 | 2-1-2027 | 840,000 | 869,871 | ||
The Boeing Company | 5.15 | 5-1-2030 | 155,000 | 181,435 | ||
The Boeing Company | 5.71 | 5-1-2040 | 110,000 | 136,936 | ||
5,125,028 | ||||||
Air freight & logistics: 0.06% | ||||||
Fedex Corporation | 3.90 | 2-1-2035 | 280,000 | 313,943 | ||
Building products: 0.35% | ||||||
Fortune Brands Home | 3.25 | 9-15-2029 | 460,000 | 491,080 | ||
Lennox International Incorporated | 1.70 | 8-1-2027 | 530,000 | 531,657 | ||
Masco Corporation | 6.50 | 8-15-2032 | 150,000 | 196,211 | ||
Masonite International Company 144A | 5.38 | 2-1-2028 | 510,000 | �� 539,325 | ||
1,758,273 | ||||||
Chemicals: 0.14% | ||||||
Axalta Coating Systems LLC 144A | 4.75 | 6-15-2027 | 670,000 | 701,825 | ||
Commercial services & supplies: 0.27% | ||||||
Clean Harbors Incorporated 144A | 4.88 | 7-15-2027 | 425,000 | 446,781 | ||
Stericycle Incorporated 144A | 5.38 | 7-15-2024 | 883,000 | 910,055 | ||
1,356,836 | ||||||
Electrical equipment: 0.17% | ||||||
Carrier Global Corporation | 2.49 | 2-15-2027 | 780,000 | 819,264 | ||
Machinery: 0.45% | ||||||
Mueller Water Products Incorporated 144A | 4.00 | 6-15-2029 | 225,000 | 229,500 | ||
Mueller Water Products Incorporated 144A | 5.50 | 6-15-2026 | 950,000 | 977,075 | ||
Oshkosh Corporation | 3.10 | 3-1-2030 | 490,000 | 511,115 | ||
Oshkosh Corporation | 4.60 | 5-15-2028 | 200,000 | 228,294 | ||
Vessel Management Services Incorporated | 3.43 | 8-15-2036 | 264,000 | 287,776 | ||
2,233,760 | ||||||
Professional services: 0.07% | ||||||
Relx Capital Incorporated | 3.00 | 5-22-2030 | 70,000 | 73,328 | ||
Relx Capital Incorporated | 4.00 | 3-18-2029 | 240,000 | 269,081 | ||
342,409 | ||||||
Road & rail: 0.33% | ||||||
Norfolk Southern Corporation | 5.10 | 12-31-2049 | 760,000 | 942,592 | ||
Ryder System Incorporated | 3.65 | 3-18-2024 | 620,000 | 668,753 | ||
1,611,345 | ||||||
Transportation infrastructure: 0.32% | ||||||
Crowley Conro LLC | 4.18 | 8-15-2043 | 1,344,964 | 1,568,771 |
Interest rate | Maturity date | Principal | Value | |||
Information technology: 2.01% | ||||||
Electronic equipment, instruments & components: 0.20% | ||||||
Jabil Incorporated | 3.95% | 1-12-2028 | $ | 900,000 | $ 997,304 | |
IT services: 0.32% | ||||||
Gartner Incorporated 144A | 4.50 | 7-1-2028 | 580,000 | 610,450 | ||
Verisign Incorporated | 4.75 | 7-15-2027 | 900,000 | 956,732 | ||
1,567,182 | ||||||
Semiconductors & semiconductor equipment: 0.80% | ||||||
KLA Tencor Corporation | 4.10 | 3-15-2029 | 150,000 | 170,529 | ||
Maxim Integrated Products Incorporated | 3.45 | 6-15-2027 | 1,550,000 | 1,701,825 | ||
Microchip Technology Incorporated | 4.33 | 6-1-2023 | 1,500,000 | 1,606,795 | ||
ON Semiconductor Corporation 144A | 3.88 | 9-1-2028 | 500,000 | 507,500 | ||
3,986,649 | ||||||
Software: 0.60% | ||||||
CDK Global Incorporated 144A | 5.25 | 5-15-2029 | 475,000 | 512,459 | ||
Fair Isaac Corporation 144A | 5.25 | 5-15-2026 | 1,330,000 | 1,489,600 | ||
Oracle Corporation | 2.30 | 3-25-2028 | 970,000 | 990,617 | ||
2,992,676 | ||||||
Technology hardware, storage & peripherals: 0.09% | ||||||
Hewlett Packard Enterprise Company | 4.90 | 10-15-2025 | 375,000 | 427,565 | ||
Materials: 3.52% | ||||||
Chemicals: 2.43% | ||||||
Albemarle Corporation | 4.15 | 12-1-2024 | 1,390,000 | 1,527,691 | ||
DuPont de Nemours Incorporated | 4.49 | 11-15-2025 | 430,000 | 490,468 | ||
DuPont de Nemours Incorporated | 4.73 | 11-15-2028 | 930,000 | 1,096,672 | ||
FMC Corporation | 3.20 | 10-1-2026 | 1,120,000 | 1,209,777 | ||
Ingevity Corporation 144A | 4.50 | 2-1-2026 | 2,015,000 | 2,055,300 | ||
Mosaic Company | 4.05 | 11-15-2027 | 1,090,000 | 1,212,941 | ||
PPG Industries Incorporated | 2.55 | 6-15-2030 | 770,000 | 787,643 | ||
RPM International Incorporated | 4.55 | 3-1-2029 | 420,000 | 476,235 | ||
Scotts Miracle-Gro Company | 5.25 | 12-15-2026 | 1,589,000 | 1,666,464 | ||
The Sherwin-Williams Company | 2.95 | 8-15-2029 | 450,000 | 477,047 | ||
The Sherwin-Williams Company | 3.30 | 2-1-2025 | 100,000 | 106,769 | ||
Valvoline Incorporated 144A | 4.25 | 2-15-2030 | 720,000 | 734,400 | ||
W.R. Grace & Company 144A | 5.63 | 10-1-2024 | 200,000 | 220,000 | ||
12,061,407 | ||||||
Construction materials: 0.10% | ||||||
CRH America Finance Incorporated 144A | 3.40 | 5-9-2027 | 200,000 | 218,935 | ||
Martin Marietta Materials Incorporated | 2.50 | 3-15-2030 | 280,000 | 282,462 | ||
501,397 | ||||||
Containers & packaging: 0.70% | ||||||
Graphic Packaging International Company | 4.13 | 8-15-2024 | 500,000 | 530,000 | ||
Sealed Air Corporation 144A | 5.50 | 9-15-2025 | 450,000 | 499,500 | ||
Westrock Company | 3.00 | 9-15-2024 | 1,680,000 | 1,790,880 | ||
WRKCo Incorporated | 3.90 | 6-1-2028 | 560,000 | 626,932 | ||
3,447,312 |
Interest rate | Maturity date | Principal | Value | |||
Metals & mining: 0.14% | ||||||
Freeport-McMoRan Incorporated | 4.13% | 3-1-2028 | $ | 175,000 | $ 182,656 | |
Freeport-McMoRan Incorporated | 4.55 | 11-14-2024 | 450,000 | 487,751 | ||
670,407 | ||||||
Paper & forest products: 0.15% | ||||||
Clearwater Paper Corporation 144A | 4.75 | 8-15-2028 | 775,000 | 759,500 | ||
Real estate: 2.75% | ||||||
Equity REITs: 2.75% | ||||||
Alexandria Real Estate Equities Incorporated | 3.95 | 1-15-2027 | 240,000 | 268,036 | ||
Alexandria Real Estate Equities Incorporated | 4.30 | 1-15-2026 | 1,500,000 | 1,686,262 | ||
Boston Properties LP | 2.75 | 10-1-2026 | 1,500,000 | 1,605,821 | ||
Boston Properties LP | 3.20 | 1-15-2025 | 250,000 | 268,256 | ||
Digital Realty Trust LP | 4.45 | 7-15-2028 | 510,000 | 585,217 | ||
Duke Realty LP | 3.25 | 6-30-2026 | 1,500,000 | 1,628,526 | ||
Duke Realty LP | 4.00 | 9-15-2028 | 230,000 | 258,856 | ||
HCP Incorporated | 3.50 | 7-15-2029 | 560,000 | 611,606 | ||
Healthcare Trust of America Incorporated | 3.50 | 8-1-2026 | 255,000 | 281,155 | ||
Healthpeak Properties Incorporated | 2.88 | 1-15-2031 | 190,000 | 195,694 | ||
Host Hotels & Resorts Incorporated | 3.88 | 4-1-2024 | 265,000 | 283,101 | ||
Kimco Realty Corporation | 3.30 | 2-1-2025 | 1,500,000 | 1,624,153 | ||
Mid-America Apartments LP | 3.60 | 6-1-2027 | 845,000 | 935,918 | ||
Mid-America Apartments LP | 4.20 | 6-15-2028 | 160,000 | 181,181 | ||
National Retail Properties Incorporated | 4.30 | 10-15-2028 | 370,000 | 416,415 | ||
Ventas Realty LP | 3.85 | 4-1-2027 | 1,500,000 | 1,675,177 | ||
Welltower Incorporated | 2.70 | 2-15-2027 | 460,000 | 488,630 | ||
Welltower Incorporated | 3.63 | 3-15-2024 | 580,000 | 625,226 | ||
13,619,230 | ||||||
Utilities: 2.68% | ||||||
Electric utilities: 2.11% | ||||||
Duke Energy Carolinas LLC | 6.05 | 4-15-2038 | 830,000 | 1,158,615 | ||
Evergy Metro Incorporated | 2.25 | 6-1-2030 | 350,000 | 350,601 | ||
FirstEnergy Corporation | 4.40 | 7-15-2027 | 365,000 | 397,940 | ||
ITC Holdings Corporation | 3.65 | 6-15-2024 | 120,000 | 129,515 | ||
MidAmerican Energy Holdings Company | 5.80 | 10-15-2036 | 900,000 | 1,215,543 | ||
Monongahela Power Company 144A | 4.10 | 4-15-2024 | 1,660,000 | 1,786,737 | ||
NextEra Energy Operating Partners LP 144A | 4.25 | 9-15-2024 | 6,000 | 6,322 | ||
NextEra Energy Operating Partners LP 144A | 4.50 | 9-15-2027 | 150,000 | 163,140 | ||
Northern States Power Company of Minnesota | 5.35 | 11-1-2039 | 1,580,000 | 2,081,805 | ||
Public Service Electric & Gas Company | 5.70 | 12-1-2036 | 590,000 | 780,912 | ||
Rochester Gas & Electric Corporation 144A | 3.10 | 6-1-2027 | 1,790,000 | 1,942,053 | ||
Southern California Edison Company | 6.00 | 1-15-2034 | 188,000 | 244,107 | ||
Trans-Allegheny Interstate Line Company 144A | 3.85 | 6-1-2025 | 200,000 | 216,279 | ||
10,473,569 | ||||||
Gas utilities: 0.41% | ||||||
AmeriGas Partners LP | 5.50 | 5-20-2025 | 450,000 | 494,438 | ||
AmeriGas Partners LP | 5.88 | 8-20-2026 | 500,000 | 557,350 | ||
Boardwalk Pipelines Company | 5.95 | 6-1-2026 | 550,000 | 652,537 | ||
CenterPoint Energy Incorporated | 1.75 | 10-1-2030 | 330,000 | 309,019 | ||
2,013,344 |
Interest rate | Maturity date | Principal | Value | |||
Multi-utilities: 0.16% | ||||||
Black Hills Corporation | 4.35% | 5-1-2033 | $ | 710,000 | $ 810,898 | |
Total Corporate bonds and notes (Cost $151,967,481) | 165,614,941 | |||||
Municipal obligations: 8.02% | ||||||
Arizona: 0.09% | ||||||
Miscellaneous revenue: 0.09% | ||||||
Yuma AZ Pledged Revenue Obligations Series 2021 | 2.10 | 7-15-2030 | 430,000 | 435,343 | ||
California: 1.12% | ||||||
GO revenue: 1.02% | ||||||
Alameda County CA Series A | 3.70 | 8-1-2031 | 275,000 | 307,761 | ||
Coast Community College District | 2.89 | 8-1-2035 | 1,165,000 | 1,257,697 | ||
Los Angeles CA Community College District Series 2020 | 1.61 | 8-1-2028 | 650,000 | 657,358 | ||
Oxnard CA Union High School District | 1.87 | 8-1-2030 | 800,000 | 792,362 | ||
San Diego CA Community College District Series B | 2.88 | 8-1-2033 | 1,935,000 | 2,063,678 | ||
5,078,856 | ||||||
Tax revenue: 0.10% | ||||||
San Jose CA RDA Senior Taxable Refunding Bonds Series A-T | 3.38 | 8-1-2034 | 455,000 | 488,865 | ||
Florida: 0.25% | ||||||
Water & sewer revenue: 0.25% | ||||||
Florida Water Pollution Control Financing Corporation Series A | 2.60 | 1-15-2030 | 1,175,000 | 1,244,322 | ||
Georgia: 0.12% | ||||||
GO revenue: 0.12% | ||||||
Cherokee County GA School System Build America Bonds | 5.87 | 8-1-2028 | 500,000 | 591,296 | ||
Hawaii: 0.15% | ||||||
GO revenue: 0.15% | ||||||
Hawaii State Taxable Series FZ | 1.60 | 8-1-2031 | 770,000 | 742,977 | ||
Idaho: 0.04% | ||||||
Miscellaneous revenue: 0.04% | ||||||
Idaho Building Authority State Office Campus Project Series B | 3.28 | 9-1-2028 | 170,000 | 186,795 | ||
Illinois: 0.03% | ||||||
GO revenue: 0.03% | ||||||
Lake County IL Community Consolidated School District Series A | 3.40 | 11-1-2027 | 150,000 | 170,361 | ||
Indiana: 0.33% | ||||||
Health revenue: 0.27% | ||||||
Indiana Finance Authority Community Foundation | 3.63 | 3-1-2039 | 1,235,000 | 1,323,603 | ||
Miscellaneous revenue: 0.06% | ||||||
Indianapolis IN Local Public Improvement Bonds Series A-2 | 6.00 | 1-15-2040 | 235,000 | 324,775 |
Interest rate | Maturity date | Principal | Value | |||
Louisiana: 0.08% | ||||||
Tax revenue: 0.08% | ||||||
Louisiana Gasoline & Fuels Refunding Bonds Series 2020 Class A2 | 2.00% | 5-1-2032 | $ | 425,000 | $ 418,899 | |
Massachusetts: 0.08% | ||||||
GO revenue: 0.08% | ||||||
Boston MA Qualified School Construction Bonds Series C | 4.40 | 4-1-2026 | 370,000 | 371,119 | ||
Massachusetts Taxable Consolidated Loan Series H | 2.90 | 9-1-2049 | 10,000 | 10,171 | ||
381,290 | ||||||
Michigan: 0.20% | ||||||
Health revenue: 0.20% | ||||||
Michigan Finance Authority Trinity Health Credit Group Series T | 3.08 | 12-1-2034 | 930,000 | 988,092 | ||
Mississippi: 0.06% | ||||||
Education revenue: 0.06% | ||||||
Mississippi Higher Education Assistance Corporation Series 2014-1 Class A1 (1 Month LIBOR +0.68%) ± | 0.79 | 10-25-2035 | 303,634 | 302,217 | ||
New Jersey: 0.15% | ||||||
Miscellaneous revenue: 0.15% | ||||||
Hudson County NJ Improvement Authority Hudson County Lease Project (AGM Insured) | 7.40 | 12-1-2025 | 655,000 | 760,280 | ||
New York: 0.18% | ||||||
GO revenue: 0.11% | ||||||
New York Refunding Bond Series B | 2.65 | 2-15-2030 | 500,000 | 535,107 | ||
Miscellaneous revenue: 0.07% | ||||||
New York State Taxable Bonds Series 2010C | 5.62 | 3-1-2040 | 250,000 | 346,720 | ||
North Carolina: 0.48% | ||||||
Education revenue: 0.48% | ||||||
North Carolina Education Assistance Authority Student Loan (3 Month LIBOR +0.90%) ± | 1.08 | 7-25-2041 | 1,404,458 | 1,409,229 | ||
North Carolina Education Assistance Authority Student Loan Series A-3 (3 Month LIBOR +0.90%) ± | 1.08 | 10-25-2041 | 412,322 | 414,156 | ||
University of North Carolina Chapel Hill Refunding Bonds Series C | 3.33 | 12-1-2036 | 500,000 | 560,390 | ||
2,383,775 | ||||||
Ohio: 0.53% | ||||||
Education revenue: 0.27% | ||||||
Ohio State University Build America Bonds | 4.91 | 6-1-2040 | 1,000,000 | 1,321,620 | ||
Health revenue: 0.15% | ||||||
Ohio Hospital Facility Refunding Bond Cleveland Clinic | 3.28 | 1-1-2042 | 725,000 | 767,721 | ||
Miscellaneous revenue: 0.11% | ||||||
Jobsohio Beverage System Ohio Statewide Senior Lien Liquor Profits Series A | 2.83 | 1-1-2038 | 515,000 | 533,603 |
Interest rate | Maturity date | Principal | Value | |||
Oklahoma: 0.17% | ||||||
Water & sewer revenue: 0.17% | ||||||
Oklahoma Water Resources Board Refunding Bond Series 2019 (Oklahoma Credit Enhancement Reserve Fund Insured) | 2.56% | 4-1-2031 | $ | 770,000 | $ 818,910 | |
Pennsylvania: 0.78% | ||||||
Education revenue: 0.55% | ||||||
Pennsylvania HEFAR Refunding Taxable Bonds Series B | 2.94 | 8-15-2039 | 1,000,000 | 1,033,313 | ||
Pennsylvania Higher Education Authority Class A (1 Month LIBOR +1.15%) 144A± | 1.24 | 9-25-2065 | 853,891 | 869,312 | ||
University of Pittsburgh Series A | 3.65 | 9-15-2036 | 715,000 | 811,663 | ||
2,714,288 | ||||||
GO revenue: 0.23% | ||||||
Northampton County PA Series C | 2.54 | 10-1-2028 | 1,100,000 | 1,173,769 | ||
Rhode Island: 0.40% | ||||||
Education revenue: 0.40% | ||||||
Rhode Island Student Loan Authority Class A-1 (1 Month LIBOR +0.90%) ± | 1.02 | 7-1-2031 | 1,994,042 | 2,003,090 | ||
South Carolina: 0.08% | ||||||
GO revenue: 0.08% | ||||||
Richland County SC School District #1 Refunding Bond Series 2020B | 1.78 | 3-1-2028 | 385,000 | 394,583 | ||
Texas: 1.43% | ||||||
Education revenue: 0.24% | ||||||
University of Texas Build America Bonds Series A | 5.26 | 7-1-2039 | 550,000 | 754,460 | ||
University of Texas Build America Bonds Series C | 4.79 | 8-15-2046 | 120,000 | 155,314 | ||
University of Texas Build America Bonds Series D | 5.13 | 8-15-2042 | 215,000 | 286,701 | ||
1,196,475 | ||||||
GO revenue: 0.91% | ||||||
Bexar County TX North East Independent School District Refunding Bond Series 2020 | 4.50 | 2-1-2028 | 910,000 | 1,089,090 | ||
Hidalgo County TX Refunding Bonds Series 2018C | 4.04 | 8-15-2030 | 1,270,000 | 1,452,467 | ||
Houston TX Pension Obligation Bonds Series 2017 | 3.73 | 3-1-2030 | 110,000 | 123,485 | ||
Mansfield TX Independent School District Refunding Bond Series 2020 | 5.00 | 2-15-2028 | 880,000 | 1,085,503 | ||
Stafford TX Municipal School District Refunding Bond Series B | 3.08 | 8-15-2041 | 750,000 | 784,134 | ||
4,534,679 | ||||||
Miscellaneous revenue: 0.22% | ||||||
Texas Transportation Commission Series 2020 | 1.53 | 10-1-2029 | 710,000 | 701,078 | ||
Texas Transportation Commission Series 2020 | 5.00 | 4-1-2027 | 300,000 | 363,767 | ||
1,064,845 | ||||||
Tax revenue: 0.06% | ||||||
Texas Transportation Commission Highway Fund Series B | 5.18 | 4-1-2030 | 250,000 | 308,055 |
Interest rate | Maturity date | Principal | Value | |||
Utah: 0.49% | ||||||
Education revenue: 0.49% | ||||||
State Board of Regents of Utah Series 1-A (1 Month LIBOR +0.75%) ± | 0.84% | 9-25-2056 | $ | 2,413,600 | $ 2,418,224 | |
Vermont: 0.02% | ||||||
Housing revenue: 0.02% | ||||||
Vermont Housing Finance Agency | 3.80 | 11-1-2037 | 110,000 | 116,581 | ||
Virginia: 0.19% | ||||||
Education revenue: 0.17% | ||||||
University of Virginia Build America Bonds | 6.20 | 9-1-2039 | 315,000 | 488,710 | ||
University of Virginia Revenue Bond Series C | 4.18 | 9-1-2117 | 265,000 | 317,339 | ||
806,049 | ||||||
Housing revenue: 0.02% | ||||||
Virginia Housing Development Authority | 3.10 | 6-25-2041 | 105,684 | 109,760 | ||
Washington: 0.32% | ||||||
GO revenue: 0.32% | ||||||
King County WA Build America Bonds Series B | 6.05 | 12-1-2030 | 350,000 | 448,968 | ||
Washington Series T | 3.45 | 8-1-2029 | 1,000,000 | 1,127,157 | ||
1,576,125 | ||||||
West Virginia: 0.09% | ||||||
Tax revenue: 0.09% | ||||||
Ohio County WV Special District Excise Tax Series A | 8.25 | 3-1-2035 | 415,000 | 435,301 | ||
Wisconsin: 0.16% | ||||||
GO revenue: 0.16% | ||||||
Wisconsin State Refunding Bond Series 1 | 2.50 | 5-1-2032 | 750,000 | 794,526 | ||
Total Municipal obligations (Cost $37,884,764) | 39,791,777 | |||||
Non-agency mortgage-backed securities: 6.37% | ||||||
Commercial Mortgage Pass-Through Certificate Series 2012-CR2 Class A4 | 3.15 | 8-15-2045 | 550,000 | 562,822 | ||
Commercial Mortgage Pass-Through Certificate Series 2012-UBS5 Class A3 | 3.55 | 9-10-2047 | 402,419 | 419,914 | ||
Commercial Mortgage Pass-Through Certificate Series 2013-CR12 Class ASB | 3.62 | 10-10-2046 | 285,966 | 296,404 | ||
Commercial Mortgage Pass-Through Certificate Series 2013-CR13 Class A4 ±± | 4.19 | 11-10-2046 | 600,000 | 649,544 | ||
Commercial Mortgage Pass-Through Certificate Series 2014-CR17 Class A5 | 3.98 | 5-10-2047 | 1,795,000 | 1,948,341 | ||
Commercial Mortgage Pass-Through Certificate Series 2014-CR21 Class A3 | 3.53 | 12-10-2047 | 2,649,756 | 2,832,826 | ||
Commercial Mortgage Pass-Through Certificate Series 2014-UBS5 Class A4 | 3.84 | 9-10-2047 | 620,000 | 675,613 | ||
Goldman Sachs Mortgage Securities Trust Series 2011-GC5 Class A4 | 3.71 | 8-10-2044 | 64,440 | 64,432 | ||
Goldman Sachs Mortgage Securities Trust Series 2012-GCJ7 Class A4 | 3.38 | 5-10-2045 | 268,534 | 269,757 | ||
Goldman Sachs Mortgage Securities Trust Series 2013-GC14 Class A5 | 4.24 | 8-10-2046 | 615,000 | 659,032 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Goldman Sachs Mortgage Securities Trust Series 2013-GC16 Class A4 | 4.27% | 11-10-2046 | $ | 350,000 | $ 377,176 | |
Goldman Sachs Mortgage Securities Trust Series 2014-GC26 Class A5 | 3.63 | 11-10-2047 | 2,565,000 | 2,788,964 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2010-C2 Class A3 144A | 4.07 | 11-15-2043 | 95,880 | 96,183 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-C19 Class A4 | 4.00 | 4-15-2047 | 450,000 | 487,336 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-C20 Class A5 | 3.80 | 7-15-2047 | 4,065,000 | 4,394,355 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-GC26 Class A4 | 3.49 | 1-15-2048 | 1,338,000 | 1,448,788 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 Class ASB | 3.65 | 4-15-2047 | 281,286 | 292,769 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19 Class A4 | 3.53 | 12-15-2047 | 1,790,000 | 1,937,471 | ||
Morgan Stanley Capital I Trust Series 2011-C2 Class A4 144A | 4.66 | 6-15-2044 | 49,960 | 49,898 | ||
Small Business Investment Company Series 2021-10A Class 1 | 1.67 | 3-10-2031 | 615,000 | 626,805 | ||
Towd Point Mortgage Trust Series 2016-2 Class A1A 144A±± | 2.75 | 8-25-2055 | 74,374 | 75,122 | ||
Towd Point Mortgage Trust Series 2016-3 Class A1 144A±± | 2.25 | 4-25-2056 | 73,334 | 73,641 | ||
Towd Point Mortgage Trust Series 2018-3 Class A1 144A±± | 3.68 | 5-25-2058 | 1,691,741 | 1,788,551 | ||
Towd Point Mortgage Trust Series 2019-4 Class A1 144A±± | 2.90 | 10-25-2059 | 1,989,361 | 2,068,425 | ||
WFRBS Commercial Mortgage Trust Series 2013-C17 Class A4 | 4.02 | 12-15-2046 | 4,370,000 | 4,675,435 | ||
WFRBS Commercial Mortgage Trust Series 2014-C20 Class A5 | 4.00 | 5-15-2047 | 1,876,047 | 2,032,231 | ||
Total Non-agency mortgage-backed securities (Cost $29,742,636) | 31,591,835 | |||||
U.S. Treasury securities: 19.77% | ||||||
U.S. Treasury Bond | 1.13 | 5-15-2040 | 930,000 | 775,279 | ||
U.S. Treasury Bond | 1.13 | 8-15-2040 | 6,695,000 | 5,558,942 | ||
U.S. Treasury Bond | 1.25 | 5-15-2050 | 5,040,000 | 3,905,606 | ||
U.S. Treasury Bond | 1.38 | 11-15-2040 | 6,905,000 | 5,989,009 | ||
U.S. Treasury Bond | 1.38 | 8-15-2050 | 3,718,000 | 2,976,579 | ||
U.S. Treasury Bond | 1.63 | 11-15-2050 | 6,467,000 | 5,525,243 | ||
U.S. Treasury Bond | 1.88 | 2-15-2041 | 6,005,000 | 5,686,923 | ||
U.S. Treasury Bond | 2.38 | 11-15-2049 | 10,063,000 | 10,235,172 | ||
U.S. Treasury Bond | 4.25 | 5-15-2039 | 1,890,000 | 2,516,136 | ||
U.S. Treasury Bond | 4.50 | 5-15-2038 | 1,540,000 | 2,095,603 | ||
U.S. Treasury Note | 0.13 | 11-30-2022 | 4,700,000 | 4,701,285 | ||
U.S. Treasury Note | 0.13 | 12-31-2022 | 9,475,000 | 9,476,480 | ||
U.S. Treasury Note | 0.13 | 1-31-2023 | 4,800,000 | 4,800,000 | ||
U.S. Treasury Note | 0.25 | 11-15-2023 | 4,575,000 | 4,580,540 | ||
U.S. Treasury Note | 0.25 | 3-15-2024 | 4,825,000 | 4,824,246 | ||
U.S. Treasury Note | 0.75 | 3-31-2026 | 2,415,000 | 2,412,359 | ||
U.S. Treasury Note | 0.75 | 4-30-2026 | 4,975,000 | 4,965,672 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Note | 1.13% | 2-15-2031 | $ | 14,427,000 | $ 13,811,598 | |
U.S. Treasury Note %% | 2.25 | 5-15-2041 | 3,219,000 | 3,243,645 | ||
Total U.S. Treasury securities (Cost $103,451,090) | 98,080,317 | |||||
Yankee corporate bonds and notes: 4.22% | ||||||
Energy: 0.50% | ||||||
Oil, gas & consumable fuels: 0.50% | ||||||
BP Capital Markets plc | 3.28 | 9-19-2027 | 155,000 | 169,947 | ||
Cenovus Energy Incorporated | 4.25 | 4-15-2027 | 1,025,000 | 1,136,453 | ||
Petroleos Mexicanos | 2.29 | 2-15-2024 | 82,500 | 84,758 | ||
Petroleos Mexicanos | 2.83 | 2-15-2024 | 172,500 | 178,565 | ||
Petroleos Mexicanos | 6.38 | 1-23-2045 | 1,080,000 | 927,018 | ||
2,496,741 | ||||||
Financials: 1.87% | ||||||
Banks: 1.07% | ||||||
Bank of Nova Scotia | 4.50 | 12-16-2025 | 80,000 | 91,101 | ||
BNP Paribas SA (3 Month LIBOR+1.11%) 144A± | 2.82 | 11-19-2025 | 820,000 | 866,678 | ||
BNP Paribas SA 144A | 4.40 | 8-14-2028 | 520,000 | 594,695 | ||
Cooperatieve Rabobank UA (1 Year Treasury Constant Maturity+1.00%) 144A± | 1.34 | 6-24-2026 | 530,000 | 535,307 | ||
HSBC Holdings plc (3 Month LIBOR+1.35%) ± | 4.29 | 9-12-2026 | 950,000 | 1,061,611 | ||
HSBC Holdings plc (3 Month LIBOR+1.53%) ± | 4.58 | 6-19-2029 | 1,500,000 | 1,717,975 | ||
Sumitomo Mitsui Financial Group Incorporated | 1.47 | 7-8-2025 | 430,000 | 436,376 | ||
5,303,743 | ||||||
Capital markets: 0.33% | ||||||
Credit Suisse Group AG (3 Month LIBOR+1.41%) 144A± | 3.87 | 1-12-2029 | 1,500,000 | 1,635,676 | ||
Consumer finance: 0.47% | ||||||
NTT Finance Corporation 144A | 1.16 | 4-3-2026 | 630,000 | 628,020 | ||
UBS Group Funding Switzerland 144A | 4.25 | 3-23-2028 | 1,500,000 | 1,703,919 | ||
2,331,939 | ||||||
Health care: 0.28% | ||||||
Pharmaceuticals: 0.28% | ||||||
Teva Pharmaceutical Finance BV | 2.20 | 7-21-2021 | 150,000 | 149,625 | ||
Teva Pharmaceutical Finance BV | 2.80 | 7-21-2023 | 900,000 | 891,563 | ||
Teva Pharmaceutical Finance BV | 3.15 | 10-1-2026 | 350,000 | 329,872 | ||
1,371,060 | ||||||
Industrials: 0.72% | ||||||
Aerospace & defense: 0.26% | ||||||
Embraer Netherlands Finance BV | 5.05 | 6-15-2025 | 1,200,000 | 1,268,160 | ||
Electrical equipment: 0.06% | ||||||
Sensata Technologies BV 144A | 5.63 | 11-1-2024 | 265,000 | 293,721 |
Interest rate | Maturity date | Principal | Value | |||
Machinery: 0.26% | ||||||
CNH Industrial NV | 4.50% | 8-15-2023 | $ | 600,000 | $ 650,029 | |
Siemens Finance 144A | 1.70 | 3-11-2028 | 660,000 | 660,742 | ||
1,310,771 | ||||||
Technology hardware, storage & peripherals: 0.14% | ||||||
TSMC Global Limited 144A | 1.25 | 4-23-2026 | 700,000 | 698,488 | ||
Information technology: 0.22% | ||||||
Software: 0.22% | ||||||
Experian Finance plc 144A | 4.25 | 2-1-2029 | 510,000 | 573,619 | ||
OpenText Corporation 144A | 3.88 | 2-15-2028 | 520,000 | 519,860 | ||
1,093,479 | ||||||
Materials: 0.63% | ||||||
Chemicals: 0.03% | ||||||
Nutrien Limited | 2.95 | 5-13-2030 | 180,000 | 188,087 | ||
Metals & mining: 0.60% | ||||||
Anglo American Capital plc 144A | 4.75 | 4-10-2027 | 1,000,000 | 1,152,672 | ||
Vale Overseas Limited | 6.25 | 8-10-2026 | 1,500,000 | 1,815,135 | ||
2,967,807 | ||||||
Total Yankee corporate bonds and notes (Cost $19,311,797) | 20,959,672 |
Yield | Shares | |||||
Short-term investments: 4.67% | ||||||
Investment companies: 4.67% | ||||||
Securities Lending Cash Investments LLC ♠∩∞ | 0.03 | 127,000 | 127,000 | |||
Wells Fargo Government Money Market Fund Select Class ♠∞## | 0.03 | 23,036,815 | 23,036,815 | |||
Total Short-term investments (Cost $23,163,815) | 23,163,815 | |||||
Total investments in securities (Cost $481,424,198) | 101.37% | 502,983,147 | ||||
Other assets and liabilities, net | (1.37) | (6,807,826) | ||||
Total net assets | 100.00% | $496,175,321 |
±± | 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. |
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. |
## | All or a portion of this security is segregated for when-issued securities. |
« | All or a portion of this security is on loan. |
♠ | The issuer is an affiliate of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
AGM | Assured Guaranty Municipal |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General obligation |
HEFAR | Higher Education Facilities Authority Revenue |
LIBOR | London Interbank Offered Rate |
RDA | Redevelopment Authority |
SBA | Small Business Authority |
SOFR | Secured Overnight Financing Rate |
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 | ||||||||||||
Securities Lending Cash Investments LLC | $ 0 | $ 5,173,916 | $ (5,046,916) | $0 | $0 | $ 127,000 | 127,000 | $ 460# | ||||
Wells Fargo Government Money Market Fund Select Class | 12,907,842 | 114,207,615 | (104,078,642) | 0 | 0 | 23,036,815 | 23,036,815 | 10,252 | ||||
$0 | $0 | $23,163,815 | 4.67% | $10,712 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $124,499 of securities loaned), at value (cost $458,260,383) | $ 479,819,332 |
Investments in affiliated securites, at value (cost $23,163,815) | 23,163,815 |
Cash | 578,913 |
Receivable for investments sold | 4,961,698 |
Receivable for interest | 2,956,157 |
Receivable for securities lending income, net | 216 |
Prepaid expenses and other assets | 80,462 |
Total assets | 511,560,593 |
Liabilities | |
Payable for when-issued transactions | 8,195,749 |
Payable for investments purchased | 6,917,436 |
Advisory fee payable | 145,087 |
Payable upon receipt of securities loaned | 127,000 |
Total liabilities | 15,385,272 |
Total net assets | $496,175,321 |
Investment income | |
Interest | $ 13,609,924 |
Income from affiliated securities | 12,985 |
Total investment income | 13,622,909 |
Expenses | |
Advisory fee | 1,894,732 |
Custody and accounting fees | 35,895 |
Professional fees | 64,012 |
Interest holder report expenses | 24,152 |
Trustees’ fees and expenses | 19,232 |
Other fees and expenses | 29,721 |
Total expenses | 2,067,744 |
Less: Fee waivers and/or expense reimbursements | (226,064) |
Net expenses | 1,841,680 |
Net investment income | 11,781,229 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 3,530,420 |
Net change in unrealized gains (losses) on investments | (3,700,898) |
Net realized and unrealized gains (losses) on investments | (170,478) |
Net increase in net assets resulting from operations | $11,610,751 |
Year ended May 31, 2021 | Year ended May 31, 2020 | |
Operations | ||
Net investment income | $ 11,781,229 | $ 16,833,910 |
Net realized gains on investments | 3,530,420 | 18,337,233 |
Net change in unrealized gains (losses) on investments | (3,700,898) | 3,278,902 |
Net increase in net assets resulting from operations | 11,610,751 | 38,450,045 |
Capital transactions | ||
Transactions in investors’ beneficial interests | ||
Contributions | 59,804,501 | 23,945,990 |
Withdrawals | (37,488,593) | (183,068,121) |
Net increase (decrease) in net assets resulting from capital transactions | 22,315,908 | (159,122,131) |
Total increase (decrease) in net assets | 33,926,659 | (120,672,086) |
Net assets | ||
Beginning of period | 462,248,662 | 582,920,748 |
End of period | $496,175,321 | $ 462,248,662 |
Year ended May 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Total return | 2.52% | 7.51% | 7.22% | 0.05% | 3.13% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.44% | 0.42% | 0.41% | 0.49% | 0.48% |
Net expenses1 | 0.39% | 0.39% | 0.39% | 0.39% | 0.39% |
Net investment income | 2.49% | 3.10% | 3.24% | 3.09% | 2.99% |
Supplemental data | |||||
Portfolio turnover rate | 31% | 40% | 232% | 23% | 47% |
1 | Net expense ratios reflect voluntary waivers. |
Gross unrealized gains | $27,780,923 |
Gross unrealized losses | (6,369,323) |
Net unrealized gains | $21,411,600 |
■ | 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 | $ 114,098,870 | $0 | $ 114,098,870 |
Asset-backed securities | 0 | 9,681,920 | 0 | 9,681,920 |
Corporate bonds and notes | 0 | 165,614,941 | 0 | 165,614,941 |
Municipal obligations | 0 | 39,791,777 | 0 | 39,791,777 |
Non-agency mortgage-backed securities | 0 | 31,591,835 | 0 | 31,591,835 |
U.S. Treasury securities | 98,080,317 | 0 | 0 | 98,080,317 |
Yankee corporate bonds and notes | 0 | 20,959,672 | 0 | 20,959,672 |
Short-term investments | ||||
Investment companies | 23,163,815 | 0 | 0 | 23,163,815 |
Total assets | $121,244,132 | $381,739,015 | $0 | $502,983,147 |
Average daily net assets | Advisory fee |
First $500 million | 0.400% |
Next $500 million | 0.375 |
Next $2 billion | 0.350 |
Next $2 billion | 0.325 |
Next $5 billion | 0.300 |
Over $10 billion | 0.290 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$176,027,643 | $42,338,734 | $85,400,942 | $58,183,467 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Morgan Stanley & Co. LLC | $124,499 | $(124,499) | $0 |
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. |
Wells Fargo Disciplined Large Cap Portfolio |
Wells Fargo Diversified Large Cap Growth Portfolio |
Wells Fargo Disciplined International Developed Markets Portfolio |
Wells Fargo Large Company Value Portfolio |
Wells Fargo Managed Fixed Income Portfolio |
Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio |
Wells Fargo Emerging Markets Bond Portfolio |
Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio |
Wells Fargo Factor Enhanced International Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio |
Wells Fargo Factor Enhanced U.S. Low Volatility 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 Strategic Retirement Bond Portfolio |
Wells Fargo U.S. REIT Portfolio |
■ | Information regarding the Transaction: information about the structure, financing sources and material terms and conditions of the Transaction, including the expected impact on the businesses conducted by the Advisers and by Wells Fargo Funds Distributor LLC. |
■ | Information regarding NewCo, GTCR and Reverence Capital: (i) information about NewCo, including information about its expected financial condition and access to capital, and senior leadership team; (ii) the experience of senior management at GTCR and Reverence Capital in acquiring portfolio companies; (iii) the plan to operationalize NewCo, including the transition of necessary infrastructure services through a transition services agreement with Wells Fargo under which Wells Fargo will continue to provide NewCo with certain services for a specified period of time after the closing; and (iv) information regarding regulatory matters, compliance, and risk management functions at NewCo, including resources to be dedicated thereto. |
■ | Impact of the Transaction on WFAM and Service Providers: (i) information regarding any changes to personnel and/or other resources of the Advisers as a result of the Transaction, including assurances regarding comparable and competitive compensation arrangements to attract and retain highly qualified personnel; and (ii) information about the organizational and operating structure with respect to NewCo, the Advisers and the Portfolios. |
■ | Impact of the Transaction on the Portfolios and their Shareholders: (i) information regarding anticipated benefits to the Portfolios as a result of the Transaction; (ii) a commitment that the Portfolios would not bear any expenses, directly or indirectly, in connection with the Transaction; (iii) confirmation that the Advisers intend to continue to manage the Portfolios in a manner consistent with each Portfolio’s current investment objectives and principal investments strategies; and (iv) a commitment that neither NewCo nor WFAM will take any steps that would impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Portfolios as a result of the Transaction. |
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 | Fiscal | |||||||
year ended | year ended | |||||||
May 31, 2021 | May 31, 2020 | |||||||
Audit fees | $ | 470,020 | $ | 445,380 | ||||
Audit-related fees | — | — | ||||||
Tax fees (1) | 87,490 | 88,160 | ||||||
All other fees | — | — | ||||||
|
|
|
| |||||
$ | 557,510 | $ | 533,540 | |||||
|
|
|
|
(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)(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: July 28, 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: July 28, 2021 |
Wells Fargo Master Trust | ||
By: | ||
/s/ Jeremy DePalma | ||
Jeremy DePalma Treasurer | ||
Date: July 28, 2021 |