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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 811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
2401 Cedar Springs Road
Dallas, TX 75201-1407
(Address of principal executive offices) (Zip code)
Rodney R. Miller, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
2401 Cedar Springs Road
Dallas, TX 75201-1407
(Name and address of agent for service)
Registrant’s telephone number, including area code: 214-720-2142
Date of fiscal year end: December 31
Date of reporting period: June 30, 2012
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
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GuideStone Funds
Privacy Notice
NOTICE CONCERNING YOUR PRIVACY RIGHTS
This notice will provide you with information concerning our policies with respect to nonpublic personal information that we collect about you in connection with the following financial products and services provided and/or serviced by the entities listed below: individual retirement accounts (“IRAs”) and/or personal mutual fund accounts.
The confidentiality of your information is important to us as we recognize that you depend on us to keep your information confidential, as described in this notice.
We collect nonpublic personal information about you with regard to your IRA and/or personal mutual fund accounts from the following sources:
• | Information we receive from you on applications or other forms; |
• | Information about your transactions with us, our affiliates or others (including our third-party service providers); |
• | Information we receive from others such as service providers, broker-dealers and your personal agents or representatives; and |
• | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone. |
We may disclose such nonpublic personal financial information about you to one or more of our affiliates as permitted by law. An affiliate of an organization means any entity that controls, is controlled by or is under common control with that organization. GuideStone Funds, GuideStone Financial Resources of the Southern Baptist Convention (“GuideStone Financial Resources”), GuideStone Capital Management (“GSCM”), GuideStone Trust Services (“GSTS”), GuideStone Financial Services (“GFS”) and GuideStone Advisors (“GA”) are affiliates of one another. GuideStone Funds, GuideStone Financial Resources, GSCM, GSTS, GFS, GA and Foreside Funds Distributors LLC do not sell your personal information to nonaffiliated third parties.
We may also disclose any of the personal information that we collect about you to nonaffiliated third parties as permitted by law. For example, we may provide your information to nonaffiliated companies that provide account services or that perform marketing services on our behalf and to other financial institutions with whom we have joint marketing agreements. We restrict access to nonpublic personal information about you to those of our employees who need to know that information in order for us to provide products and services to you. We also maintain physical, electronic and procedural safeguards to guard your personal information.
These procedures will continue to remain in effect after you cease to receive financial products and services from us.
If you have any questions concerning our customer information policy, please contact a customer relations specialist at
1-888-98-GUIDE (1-888-984-8433).
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Date Target Funds: | ||||
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Asset Allocation Funds: | ||||
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Money Market and Bond Funds: | ||||
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Equity Funds: | ||||
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This report has been prepared for shareholders of GuideStone Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus, which contains more complete information about the Funds. Investors are reminded to read the prospectus carefully before investing. Past performance is no guarantee of future results. Share prices will fluctuate and there may be a gain or loss when shares are redeemed. Fund shares are distributed by Foreside Funds Distributors LLC, 400 Berwyn Park, 899 Cassatt Road, Berwyn, PA 19312.
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Dear Shareholder:
We are pleased to present you with the 2012 GuideStone Funds Semi-Annual Report. This report reflects our unwavering commitment to integrity in financial reporting so that you may stay fully informed of your investments. We hope that you will find this information valuable when making investment decisions.
In March 2012, GuideStone Funds became the first Christian-based, socially screened fund family to win the Lipper Award for Best Overall Small Fund Group in the U.S. This prestigious accolade recognizes fund families with assets under management of up to $40 billion based on consistent risk-adjusted returns. Ranking No. 1 out of 182 eligible fund companies, GuideStone Funds achieved its leading level of excellence through its sophisticated, proprietary manager-of-managers investment platform. This approach leverages the talent of GuideStone Capital Management along with the investment advisory experience of more than 30 world-class firms.
During the year, we have worked diligently to enhance the products and services delivered to our shareholders. Several examples of our ongoing commitment are noted below:
Investment performance proven. Morningstar® rated overall 18 of 20 GuideStone Funds (GS4 Class) as three-star or better as of June 30, 2012. For funds that have 10 years of performance, 12 of 12 funds were 3-star or better. Lipper ranked 13 of 21 GuideStone Funds (GS4 Class) above median for the one-year period as of June 30, 2012. For the ten-year period, Lipper ranked 10 of 14 funds above median. Additional information on fund performance and Lipper rankings and Morningstar® ratings can be found on our website at www.GuideStoneFunds.org.
Personal investing simplified. Investors may now open a GuideStone Funds personal investment account or traditional IRA online. Paperless, online applications for Roth IRAs will become available during the second half of 2012. Additionally, enrollment specialists are also available by phone to assist with moving your IRA from another financial institution to a GuideStone RightChoice IRATM.
We invite you to learn more about the continued success of GuideStone Funds and the various investment options available by visiting our website at www.GuideStoneFunds.org or contacting us at 1-888-98-GUIDE (1-888-984-8433). Thank you for choosing to invest in GuideStone Funds.
Sincerely,
John R. Jones, CFA
President
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GuideStone Funds shares are distributed by Foreside Funds Distributors LLC, not an advisor affiliate.
Morningstar, Inc. is a leading provider of independent investment research in the United States and in major international markets. Morningstar is a trusted source for insightful information on stocks, mutual funds, variable annuities, closed-end funds, exchange-traded funds, separate accounts, hedge funds and 529 college savings plans. With operations in 16 countries, Morningstar currently provides data on more than 125,000 investment offerings worldwide.
For each fund with at least a three-year history, Morningstar calculates a Morningstar Rating based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund’s monthly performance (including the effects of sales charges, loads, and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. The top 10% of funds in each category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive three stars, the next 22.5% receive 2 stars, and the bottom 10% receive one star. (Each share class is counted as a fraction of one fund within this scale and rated separately, which may cause slight variations in the distribution percentages.)
Lipper Inc., a Reuters Company, is a nationally-recognized organization that compares the performance of mutual funds having similar investment objectives. The comparison is made across registered mutual funds, ranking the funds with similar objectives according to total returns. These investment returns are calculated after operating expenses have been deducted from each fund, but the rankings do not take sales charges into account. Lipper rankings are subject to change monthly, and past rankings are no guarantee of future results.
Lipper ranked 14 out of 20 GuideStone Funds (GS4 class) above median for the five-year period as of June 30, 2012.
About the Best Overall Small Company Lipper Award: GuideStone Funds ranked No. 1 out of 182 eligible companies in the small company category. All rankings are as of November 30, 2011. To be considered for the Small Company Lipper award, companies must have at least three distinct portfolios in each of the following asset classes- equity, bond, or mixed-asset as well as at least 36 months of performance history as of the end of the calendar year of the respective evaluation year. The overall group award is given to the group with the lowest average decile ranking for Lipper’s Consistent Return measure of its respective asset class results over the three-year period. In cases of identical results the lower average percentile rank will determine the winner. Lipper, a wholly owned subsidiary of Reuters, is a leading global provider of mutual fund information and analysis to fund companies, financial intermediaries, and media organizations. ©2011 Lipper a subsidiary of Thomson Reuters.
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FROM THE CHIEF INVESTMENT OFFICER
Rodric E. Cummins, CFA | Investors thus far in 2012 have experienced the truism that market volatility can take on an erratic persona, presenting itself at times as a hero in the light of optimism and a villain in times of despair. While holders of risky assets, such as stocks, enjoyed a very profitable six months ending June 30, the path to that success has followed the uncertain and often changing winds of global economic growth and political influences.
Barely into 2012, equity markets set a quick pace that resulted in the strongest first quarter in the U.S. since the technology bubble in the late 1990’s. However, the second quarter proved to be a challenging period as stocks were unable to sustain the strong momentum from the first quarter. Slowing global economic growth, disappointing levels of U.S. job creation and fading U.S. consumer confidence dampened the optimism that fueled the fast start in 2012. These economic headwinds, when coupled with the large scale uncertainties surrounding the escalating Eurozone debt crisis, eroded some of the positive investment returns earned in the first quarter.
The S&P 500® Index ended the first half of the year with a return of 9.49% as strong company fundamentals set a solid foundation for stock market advancement. International stock markets | |
lagged the U.S. due primarily to uncertainties in Europe, as the MSCI ACWI ex-U.S. Index returned 2.77% for the period. With vacillating levels of uncertainty engulfing global capital markets, investors with risk balanced portfolios found refuge in bonds as interest rates fell to near historically low yield levels. The bond market, as measured by the Barclays U.S. Aggregate Bond Index, posted a return of 2.37% during the period. |
Asset Class Performance Comparison
The following graph illustrates the performance of the major assets classes during 2012.
(1) | The S&P 500® Index includes 500 of the largest stocks (in terms of market value) in the United States. |
(2) | The Russell 2000® Index is a small-cap index consisting of the smallest 2,000 companies in the Russell 3000® Index, representing approximately 10% of the Russell 3000® Index total market capitalization. |
(3) | The MSCI ACWI (All Country World Index) Ex-U.S. Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets excluding the United States. |
(4) | The Barclays Capital U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities. |
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As a shareholder of the Funds, you incur ongoing costs, including advisory fees and to the extent applicable, shareholder services fees, as well as other Fund expenses. This example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2012 to June 30, 2012.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.
Actual | ||||||||||||||||||||
Fund | Class | Beginning Account Value 01/01/12 | Ending Account Value 06/30/12 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
MyDestination 2005 | GS4 | $ | 1,000.00 | $ | 1,046.88 | 0.20 | % | $ | 1.01 | |||||||||||
MyDestination 2015 | GS4 | 1,000.00 | 1,057.63 | 0.15 | 0.79 | |||||||||||||||
MyDestination 2025 | GS4 | 1,000.00 | 1,066.97 | 0.15 | 0.79 | |||||||||||||||
MyDestination 2035 | GS4 | 1,000.00 | 1,071.78 | 0.20 | 1.03 | |||||||||||||||
MyDestination 2045 | GS4 | 1,000.00 | 1,074.12 | 0.20 | 1.03 | |||||||||||||||
MyDestination 2055 | GS4 | 1,000.00 | 1,053.00 | 0.20 | 1.02 | |||||||||||||||
Conservative Allocation | GS4 | 1,000.00 | 1,035.90 | 0.12 | 0.60 | |||||||||||||||
Balanced Allocation | GS4 | 1,000.00 | 1,055.23 | 0.12 | 0.61 | |||||||||||||||
Growth Allocation | GS4 | 1,000.00 | 1,063.79 | 0.12 | 0.61 | |||||||||||||||
Aggressive Allocation | GS4 | 1,000.00 | 1,069.78 | 0.12 | 0.61 | |||||||||||||||
Conservative Allocation I | GS2 | 1,000.00 | 1,035.30 | 0.15 | 0.77 | |||||||||||||||
Balanced Allocation I | GS2 | 1,000.00 | 1,055.62 | 0.14 | 0.71 | |||||||||||||||
Growth Allocation I | GS2 | 1,000.00 | 1,064.86 | 0.15 | 0.78 | |||||||||||||||
Aggressive Allocation I | GS2 | 1,000.00 | 1,069.81 | 0.15 | 0.79 | |||||||||||||||
Money Market | GS2 | 1,000.00 | 1,000.52 | 0.18 | 0.91 | |||||||||||||||
GS4 | 1,000.00 | 1,000.06 | 0.28 | 1.37 | ||||||||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 1,023.02 | 0.36 | 1.80 | |||||||||||||||
GS4 | 1,000.00 | 1,022.36 | 0.57 | 2.85 | ||||||||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 1,043.93 | 0.48 | 2.42 | |||||||||||||||
GS4 | 1,000.00 | 1,042.52 | 0.63 | 3.18 |
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About Your Expenses (Continued)
Actual | ||||||||||||||||||||
Fund | Class | Beginning Account Value 01/01/12 | Ending Account Value 06/30/12 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
Extended-Duration Bond | GS2 | $ | 1,000.00 | $ | 1,076.80 | 0.53 | % | $ | 2.73 | |||||||||||
GS4 | 1,000.00 | 1,076.05 | 0.75 | 3.87 | ||||||||||||||||
Inflation Protected Bond | GS4 | 1,000.00 | 1,034.73 | 0.65 | 3.31 | |||||||||||||||
Global Bond | GS4 | 1,000.00 | 1,053.29 | 0.85 | 4.33 | |||||||||||||||
Defensive Market Strategies (3) | GS2 | 1,000.00 | 1,051.95 | 1.04 | 5.32 | |||||||||||||||
GS4 | 1,000.00 | 1,049.85 | 1.30 | 6.64 | ||||||||||||||||
Equity Index | GS2 | 1,000.00 | 1,092.86 | 0.23 | 1.19 | |||||||||||||||
GS4 | 1,000.00 | 1,092.20 | 0.38 | 1.97 | ||||||||||||||||
Real Estate Securities | GS4 | 1,000.00 | 1,142.15 | 1.06 | 5.67 | |||||||||||||||
Value Equity | GS2 | 1,000.00 | 1,083.88 | 0.67 | 3.47 | |||||||||||||||
GS4 | 1,000.00 | 1,083.04 | 0.91 | 4.73 | ||||||||||||||||
Growth Equity | GS2 | 1,000.00 | 1,113.95 | 0.87 | 4.58 | |||||||||||||||
GS4 | 1,000.00 | 1,113.26 | 1.05 | 5.52 | ||||||||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,069.07 | 0.98 | 5.06 | |||||||||||||||
GS4 | 1,000.00 | 1,068.39 | 1.18 | 6.05 | ||||||||||||||||
International Equity (3) | GS2 | 1,000.00 | 1,024.22 | 1.17 | 5.88 | |||||||||||||||
GS4 | 1,000.00 | 1,022.94 | 1.41 | 7.08 | ||||||||||||||||
HYPOTHETICAL (assuming a 5% return before expenses) | ||||||||||||||||||||
Fund | Class | Beginning Account Value 01/01/12 | Ending Account Value 06/30/12 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
MyDestination 2005 | GS4 | $ | 1,000.00 | $ | 1,023.87 | 0.20 | % | $ | 1.00 | |||||||||||
MyDestination 2015 | GS4 | 1,000.00 | 1,024.10 | 0.15 | 0.78 | |||||||||||||||
MyDestination 2025 | GS4 | 1,000.00 | 1,024.10 | 0.15 | 0.77 | |||||||||||||||
MyDestination 2035 | GS4 | 1,000.00 | 1,023.87 | 0.20 | 1.01 | |||||||||||||||
MyDestination 2045 | GS4 | 1,000.00 | 1,023.87 | 0.20 | 1.00 | |||||||||||||||
MyDestination 2055 | GS4 | 1,000.00 | 1,023.87 | 0.20 | 1.01 | |||||||||||||||
Conservative Allocation | GS4 | 1,000.00 | 1,024.27 | 0.12 | 0.60 | |||||||||||||||
Balanced Allocation | GS4 | 1,000.00 | 1,024.27 | 0.12 | 0.60 | |||||||||||||||
Growth Allocation | GS4 | 1,000.00 | 1,024.27 | 0.12 | 0.60 | |||||||||||||||
Aggressive Allocation | GS4 | 1,000.00 | 1,024.27 | 0.12 | 0.60 | |||||||||||||||
Conservative Allocation I | GS2 | 1,000.00 | 1,024.11 | 0.15 | 0.76 | |||||||||||||||
Balanced Allocation I | GS2 | 1,000.00 | 1,024.17 | 0.14 | 0.70 | |||||||||||||||
Growth Allocation I | GS2 | 1,000.00 | 1,024.11 | 0.15 | 0.76 | |||||||||||||||
Aggressive Allocation I | GS2 | 1,000.00 | 1,024.10 | 0.15 | 0.78 | |||||||||||||||
Money Market | GS2 | 1,000.00 | 1,023.96 | 0.18 | 0.92 | |||||||||||||||
GS4 | 1,000.00 | 1,023.50 | 0.28 | 1.38 | ||||||||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 1,023.08 | 0.36 | 1.80 | |||||||||||||||
GS4 | 1,000.00 | 1,022.04 | 0.57 | 2.85 | ||||||||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 1,022.49 | 0.48 | 2.40 | |||||||||||||||
GS4 | 1,000.00 | 1,021.75 | 0.63 | 3.15 | ||||||||||||||||
Extended-Duration Bond | GS2 | 1,000.00 | 1,022.24 | 0.53 | 2.65 | |||||||||||||||
GS4 | 1,000.00 | 1,021.13 | 0.75 | 3.77 | ||||||||||||||||
Inflation Protected Fund | GS4 | 1,000.00 | 1,021.61 | 0.65 | 3.29 |
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HYPOTHETICAL (assuming a 5% return before expenses) | ||||||||||||||||||||
Fund | Class | Beginning Account Value 01/01/12 | Ending Account Value 06/30/12 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
Global Bond | GS4 | $ | 1,000.00 | $ | 1,020.65 | 0.85 | % | $ | 4.26 | |||||||||||
Defensive Market Strategies (3) | GS2 | 1,000.00 | 1,019.68 | 1.04 | 5.23 | |||||||||||||||
GS4 | 1,000.00 | 1,018.38 | 1.30 | 6.54 | ||||||||||||||||
Equity Index | GS2 | 1,000.00 | 1,023.72 | 0.23 | 1.15 | |||||||||||||||
GS4 | 1,000.00 | 1,022.98 | 0.38 | 1.90 | ||||||||||||||||
Real Estate Securities Fund | GS4 | 1,000.00 | 1,019.57 | 1.06 | 5.34 | |||||||||||||||
Value Equity | GS2 | 1,000.00 | 1,021.54 | 0.67 | 3.36 | |||||||||||||||
GS4 | 1,000.00 | 1,020.32 | 0.91 | 4.59 | ||||||||||||||||
Growth Equity | GS2 | 1,000.00 | 1,020.53 | 0.87 | 4.38 | |||||||||||||||
GS4 | 1,000.00 | 1,019.64 | 1.05 | 5.28 | ||||||||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,019.98 | 0.98 | 4.94 | |||||||||||||||
GS4 | 1,000.00 | 1,019.01 | 1.18 | 5.91 | ||||||||||||||||
International Equity (3) | GS2 | 1,000.00 | 1,019.06 | 1.17 | 5.86 | |||||||||||||||
GS4 | 1,000.00 | 1,017.86 | 1.41 | 7.06 |
(1) | Expenses include the effect of contractual waivers by GuideStone Capital Management. The Date Target Funds’ and Asset Allocation Funds’ proportionate share of the operating expenses of the Select Funds is not reflected in the tables above. |
(2) | Expenses are equal to the Fund’s annualized expense ratios for the period January 1, 2012 through June 30, 2012, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
(3) | The expense ratios for the Defensive Market Strategies Fund and the International Equity Fund include the impact of dividend expense on securities sold short. |
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ABBREVIATIONS AND FOOTNOTES
INVESTMENT ABBREVIATIONS:
ADR | — | American Depository Receipt | ||
AGM | — | Assured Guaranty Municipal Corporation | ||
AMBAC | — | American Municipal Bond Assurance Corporation | ||
BDR | — | Brazilian Depository Receipt | ||
CONV | — | Convertible | ||
ETF | — | Exchange Traded Fund | ||
ETN | — | Exchange Traded Note | ||
GDR | — | Global Depository Receipt | ||
IO | — | Interest Only (Principal amount shown is notional) | ||
LLC | — | Limited Liability Company | ||
LP | — | Limited Partnership | ||
NVDR | — | Non-Voting Depository Receipt | ||
PIK | — | Payment-in-Kind Bonds | ||
PIPE | — | Private Investment in Public Equity | ||
PLC | — | Public Limited Company | ||
PO | — | Principal Only | ||
REIT | — | Real Estate Investment Trust | ||
SDR | — | Special Drawing Right | ||
STEP | — | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. | ||
STRIP | — | Stripped Security | ||
TECP | — | Tax Exempt Commercial Paper |
Fund | Value of 144A Securities | Percentage of Net Assets | ||||||
Low-Duration Bond | $ | 158,171,302 | 20.06 | % | ||||
Medium-Duration Bond | 104,720,116 | 11.25 | ||||||
Extended-Duration Bond | 31,979,973 | 7.27 | ||||||
Global Bond | 23,227,407 | 12.42 | ||||||
Defensive Market Strategies | 12,683,291 | 3.53 | ||||||
Small Cap Equity | 3,055,865 | 0.70 | ||||||
International Equity | 1,123,695 | 0.09 |
INVESTMENT FOOTNOTES:
‡‡ | — | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap contracts. | ||
@ | — | Illiquid. | ||
* | — | Non-income producing security. | ||
# | — | Security in default. | ||
§ | — | Security purchased with the cash proceeds from securities loaned. | ||
† | — | Variable rate security. Interest rates shown reflect the rates currently in effect. Maturity date for money market instruments is the date of the next interest rate reset. | ||
W | — | Interest rates shown reflect the effective yields | ||
as of June 30, 2012. | ||||
¥ | — | Affiliated fund. | ||
D | — | Security either partially or fully on loan. | ||
+ | — | Security is valued at fair value. As of June 30, 2012, the total market values and percentages of net assets for Fair Valued securities by fund were as follows: |
Fund | Value of Fair Valued Securities | Percentage of Net Assets | ||||||
Low-Duration Bond | $ | 1,944,939 | 0.25 | % | ||||
Medium-Duration Bond | 1,933,196 | 0.21 | ||||||
Global Bond | 157,957 | 0.08 | ||||||
Equity Index | — | — | ||||||
Small Cap Equity | 561,326 | 0.13 | ||||||
International Equity | 132,688 | 0.01 |
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FOREIGN BOND FOOTNOTES:
(A) | — | Par is denominated in Australian Dollars (AUD). | ||
(B) | — | Par is denominated in Brazilian Real (BRL). | ||
(C) | — | Par is denominated in Canadian Dollars (CAD). | ||
(E) | — | Par is denominated in Euro (EUR). | ||
(G) | — | Par is denominated in Singapore Dollars (SGD). | ||
(K) | — | Par is denominated in Norwegian Krone (NOK). | ||
(M) | — | Par is denominated in Mexican Pesos (MXN). | ||
(N) | — | Par is denominated in Indonesian Rupiahs (IDR). | ||
(P) | — | Par is denominated in Peruvian Nuevos Soles (PEN). | ||
(R) | — | Par is denominated in Malaysian Ringgits (MYR). | ||
(S) | — | Par is denominated in South African Rand (ZAR). | ||
(U) | — | Par is denominated in British Pounds (GBP). | ||
(W) | — | Par is denominated in South Korean Won (KRW). | ||
(Z) | — | Par is denominated in New Zealand Dollars (NZD). |
COUNTERPARTY ABBREVIATIONS:
ADV | — | Counterparty to contract is Advantage Investments. | ||||
BAR | — | Counterparty to contract is Barclays Capital. | ||||
BNP | — | Counterparty to contract is BNP Paribas. | ||||
BOA | — | Counterparty to contract is Bank of America. | ||||
CITI | — | Counterparty to contract is Citibank NA London. | ||||
CITIC | — | Counterparty to contract is Citicorp. | ||||
CITIG | — | Counterparty to contract is Citigroup Global Markets, Inc. | ||||
CS | — | Counterparty to contract is Credit Suisse International. | ||||
DEUT | — | Counterparty to contract is Deutsche Bank AG. | ||||
GSC | — | Counterparty to contract is Goldman Sachs Capital Markets, LP. | ||||
HKSB | — | Counter party to contract is Hong Kong & Shanghai Bank. | ||||
HSBC | — | Counterparty to contract is HSBC Securities. | ||||
JPM | — | Counter party to contract is JPMorgan Chase Bank. | ||||
KS | — | Counterparty to contract is Knight Securities. | ||||
MLCS | — | Counterparty to contract is Merrill Lynch Capital Services, Inc. | ||||
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. | ||||
RBC | — | Counterparty to contract is Royal Bank of Canada. | ||||
RBS | — | Counterparty to contract is Royal Bank of Scotland. | ||||
SG | — | Counterparty to contract is Societe Generale. | ||||
SS | — | Counterparty to contract is State Street Global Markets. | ||||
UBS | — | Counterparty to contract is UBS AG. | ||||
WEST | — | Counterparty to contract is Westpac Pollock. |
9
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market | 1,427,361 | $ | 1,427,361 | |||||
GuideStone Low-Duration | 1,488,563 | 19,887,205 | ||||||
GuideStone Medium-Duration | 845,018 | 12,252,756 | ||||||
GuideStone Inflation Protected | 937,593 | 10,585,429 | ||||||
GuideStone Defensive Market | 919,513 | 9,756,033 | ||||||
GuideStone Real Estate | 160,489 | 1,673,899 | ||||||
GuideStone Value Equity Fund | 332,905 | 4,986,919 | ||||||
GuideStone Growth Equity | 238,908 | 4,954,946 | ||||||
GuideStone Small Cap Equity | 78,969 | 1,233,501 | ||||||
GuideStone International | 526,642 | 6,103,776 | ||||||
|
| |||||||
Total Mutual Funds | 72,861,825 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 72,861,825 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 70,878 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 72,932,703 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 58.5 | |||
Domestic Equity Funds | 31.0 | |||
International Equity Fund | 8.4 | |||
Money Market Fund | 2.0 | |||
Futures Contracts | 1.9 | |||
|
| |||
101.8 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 72,861,825 | $ | 72,861,825 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 72,861,825 | $ | 72,861,825 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 15,550 | $ | 15,550 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 15,550 | $ | 15,550 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
10
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
GuideStone Money Market | 4,679,270 | $ | 4,679,270 | |||||
GuideStone Low-Duration | 1,990,797 | 26,597,050 | ||||||
GuideStone Medium-Duration | 2,663,959 | 38,627,410 | ||||||
GuideStone Extended-Duration | 667,259 | 12,037,354 | ||||||
GuideStone Inflation Protected | 3,397,567 | 38,358,536 | ||||||
GuideStone Global Bond Fund | 1,300,152 | 12,936,511 | ||||||
GuideStone Defensive Market | 5,901,800 | 62,618,098 | ||||||
GuideStone Real Estate | 1,673,286 | 17,452,374 | ||||||
GuideStone Value | 2,049,435 | 30,700,540 | ||||||
GuideStone Growth Equity | 1,444,771 | 29,964,559 | ||||||
GuideStone Small Cap Equity | 508,002 | 7,934,986 | ||||||
GuideStone International | 3,252,524 | 37,696,747 | ||||||
|
| |||||||
Total Mutual Funds | 319,603,435 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% | 319,603,435 | |||||||
Liabilities in Excess of Other Assets — 0.0% | (64,976 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 319,538,459 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 46.5 | |||
Bond Funds | 40.2 | |||
International Equity Fund | 11.8 | |||
Money Market Fund | 1.5 | |||
Futures Contracts | 1.4 | |||
|
| |||
101.4 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 319,603,435 | $ | 319,603,435 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 319,603,435 | $ | 319,603,435 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 108,114 | $ | 108,114 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 108,114 | $ | 108,114 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
11
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market | 5,237,362 | $ | 5,237,362 | |||||
GuideStone Low-Duration | 455,692 | 6,088,051 | ||||||
GuideStone Medium-Duration | 1,876,516 | 27,209,485 | ||||||
GuideStone Extended-Duration | 1,167,612 | 21,063,723 | ||||||
GuideStone Inflation Protected | 672,199 | 7,589,122 | ||||||
GuideStone Global Bond Fund | 2,116,893 | 21,063,085 | ||||||
GuideStone Defensive Market | 4,987,049 | 52,912,587 | ||||||
GuideStone Real Estate | 2,023,167 | 21,101,634 | ||||||
GuideStone Value Equity Fund | 3,070,418 | 45,994,866 | ||||||
GuideStone Growth Equity | 2,170,121 | 45,008,305 | ||||||
GuideStone Small Cap Equity | 907,843 | 14,180,511 | ||||||
GuideStone International | 4,886,690 | 56,636,740 | ||||||
|
| |||||||
Total Mutual Funds | 324,085,471 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 324,085,471 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 479,077 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 324,564,548 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 55.2 | |||
Bond Funds | 25.6 | |||
International Equity Fund | 17.5 | |||
Futures Contracts | 1.7 | |||
Money Market Fund | 1.6 | |||
|
| |||
101.6 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 324,085,471 | $ | 324,085,471 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 324,085,471 | $ | 324,085,471 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 123,273 | $ | 123,273 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 123,273 | $ | 123,273 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
12
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% | ||||||||
GuideStone Money Market | 3,517,075 | $ | 3,517,075 | |||||
GuideStone Medium-Duration | 267,398 | 3,877,272 | ||||||
GuideStone Extended-Duration | 212,076 | 3,825,851 | ||||||
GuideStone Global Bond Fund | 1,042,564 | 10,373,509 | ||||||
GuideStone Real Estate | 1,066,004 | 11,118,425 | ||||||
GuideStone Value Equity Fund | 2,342,061 | 35,084,079 | ||||||
GuideStone Growth Equity | 1,669,118 | 34,617,500 | ||||||
GuideStone Small Cap Equity | 801,581 | 12,520,691 | ||||||
GuideStone International | 3,852,108 | 44,645,928 | ||||||
|
| |||||||
Total Mutual Funds | 159,580,330 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 159,580,330 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 298,738 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 159,879,068 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 58.4 | |||
International Equity Fund | 27.9 | |||
Bond Funds | 11.3 | |||
Futures Contracts | 2.3 | |||
Money Market | 2.2 | |||
|
| |||
102.1 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 159,580,330 | $ | 159,580,330 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 159,580,330 | $ | 159,580,330 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 104,653 | $ | 104,653 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 104,653 | $ | 104,653 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
13
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.7% | ||||||||
GuideStone Money Market | 2,104,251 | $ | 2,104,251 | |||||
GuideStone Extended-Duration | 59,693 | 1,076,860 | ||||||
GuideStone Global Bond Fund | 528,537 | 5,258,938 | ||||||
GuideStone Real Estate | 935,307 | 9,755,257 | ||||||
GuideStone Value Equity Fund | 1,650,246 | 24,720,686 | ||||||
GuideStone Growth Equity | 1,176,863 | 24,408,133 | ||||||
GuideStone Small Cap Equity | 601,500 | 9,395,437 | ||||||
GuideStone International | 2,749,373 | 31,865,231 | ||||||
|
| |||||||
Total Mutual Funds | 108,584,793 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.7% | 108,584,793 | |||||||
Other Assets in Excess of Liabilities — 0.3% | 309,754 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 108,894,547 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 62.7 | |||
International Equity Fund | 29.3 | |||
Bond Funds | 5.8 | |||
Futures Contracts | 1.9 | |||
Money Market Fund | 1.9 | |||
|
| |||
101.6 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 108,584,793 | $ | 108,584,793 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 108,584,793 | $ | 108,584,793 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 61,614 | $ | 61,614 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 61,614 | $ | 61,614 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
14
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
GuideStone Money Market | 118,951 | $ | 118,951 | |||||
GuideStone Global Bond Fund | 22,280 | 221,690 | ||||||
GuideStone Real Estate | 43,351 | 452,149 | ||||||
GuideStone Value Equity Fund | 69,026 | 1,034,006 | ||||||
GuideStone Growth Equity | 49,027 | 1,016,824 | ||||||
GuideStone Small Cap Equity | 25,228 | 394,059 | ||||||
GuideStone International | 114,729 | 1,329,704 | ||||||
|
| |||||||
Total Mutual Funds | 4,567,383 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% | 4,567,383 | |||||||
Liabilities in Excess of Other Assets — 0.0% | (1,634 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,565,749 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 63.4 | |||
International Equity Fund | 29.1 | |||
Bond Fund | 4.9 | |||
Money Market Fund | 2.6 | |||
|
| |||
100.0 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 4,567,383 | $ | 4,567,383 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 4,567,383 | $ | 4,567,383 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
15
Table of Contents
June 30, 2012 (Unaudited) |
MyDestination 2005 Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments in securities of affiliated issuers, at value(1) | $ | 72,861,825 | $ | 319,603,435 | $ | 324,085,471 | $ | 159,580,330 | $ | 108,584,793 | $ | 4,567,383 | ||||||||||||
Cash collateral for derivatives | 77,200 | 205,000 | 275,300 | 168,900 | 169,500 | — | ||||||||||||||||||
Receivables: | ||||||||||||||||||||||||
Dividends | 11 | 39 | 36 | 25 | 17 | 1 | ||||||||||||||||||
Fund shares sold | 4,627 | 9,714 | 148,579 | 84,310 | 108,493 | 7,038 | ||||||||||||||||||
Variation margin on financial futures contracts | 14,033 | 73,276 | 113,839 | 92,885 | 57,268 | — | ||||||||||||||||||
Receivable from advisor | — | — | — | — | — | 8,119 | ||||||||||||||||||
Prepaid expenses and other assets | 10,095 | 11,963 | 10,573 | 10,520 | 9,846 | 9,967 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Assets | 72,967,791 | 319,903,427 | 324,633,798 | 159,936,970 | 108,929,917 | 4,592,508 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||||||
Payables: | ||||||||||||||||||||||||
Fund shares redeemed | 5,244 | 304,306 | 8,544 | 14,138 | — | — | ||||||||||||||||||
Accrued expenses: | ||||||||||||||||||||||||
Investment advisory fees | 833 | 26,018 | 26,184 | 13,144 | 5,699 | — | ||||||||||||||||||
Other expenses | 29,011 | 34,644 | 34,522 | 30,620 | 29,671 | 26,759 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities | 35,088 | 364,968 | 69,250 | 57,902 | 35,370 | 26,759 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets | $ | 72,932,703 | $ | 319,538,459 | $ | 324,564,548 | $ | 159,879,068 | $ | 108,894,547 | $ | 4,565,749 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets Consist of: | ||||||||||||||||||||||||
Paid-in capital | $ | 74,356,897 | $ | 310,711,591 | $ | 308,661,282 | $ | 151,703,825 | $ | 99,408,452 | $ | 4,414,948 | ||||||||||||
Undistributed net investment income | 569,529 | 3,568,922 | 2,677,058 | 703,614 | 406,799 | 15,753 | ||||||||||||||||||
Undistributed (accumulated) net realized gain (loss) on investments and futures transactions | (7,119,950 | ) | (25,223,120 | ) | (12,082,809 | ) | (2,416,896 | ) | (3,070,855 | ) | 111 | |||||||||||||
Net unrealized appreciation on investments and futures | 5,126,227 | 30,481,066 | 25,309,017 | 9,888,525 | 12,150,151 | 134,937 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets | $ | 72,932,703 | $ | 319,538,459 | $ | 324,564,548 | $ | 159,879,068 | $ | 108,894,547 | $ | 4,565,749 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value: | ||||||||||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||||||||||
Net assets applicable to the GS4 Class | $ | 72,932,703 | $ | 319,538,459 | $ | 324,564,548 | $ | 159,879,068 | $ | 108,894,547 | $ | 4,565,749 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
GS4 shares outstanding | 7,260,097 | 32,229,178 | 34,512,404 | 18,140,784 | 12,741,569 | 433,491 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, offering and redemption price per GS4 share | $ | 10.05 | $ | 9.91 | $ | 9.40 | $ | 8.81 | $ | 8.55 | $ | 10.53 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 67,751,148 | $ | 289,230,483 | $ | 298,899,727 | $ | 149,796,459 | $ | 96,496,256 | $ | 4,432,446 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Investments in securities of affiliated issuers, at cost |
See Notes to Financial Statements.
16
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2012 (Unaudited) |
MyDestination 2005 Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund(1) | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Income dividends received from affiliated funds | $ | 536,057 | $ | 2,419,829 | $ | 2,304,167 | $ | 853,299 | $ | 508,682 | $ | 19,520 | ||||||||||||
Interest | — | — | 2 | — | 5 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Income | 536,057 | 2,419,829 | 2,304,169 | 853,299 | 508,687 | 19,520 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses | ||||||||||||||||||||||||
Investment advisory fees | 35,042 | 152,890 | 156,288 | 76,566 | 52,360 | 1,883 | ||||||||||||||||||
Transfer agent fees: | ||||||||||||||||||||||||
GS4 Shares | 10,735 | 12,214 | 12,212 | 11,416 | 11,266 | 8,826 | ||||||||||||||||||
Custodian fees | 8,920 | 10,713 | 10,412 | 8,098 | 7,643 | 7,180 | ||||||||||||||||||
Accounting and administration fees | 5,317 | 11,391 | 11,597 | 7,408 | 6,144 | 2,812 | ||||||||||||||||||
Professional fees | 22,876 | 22,922 | 22,926 | 22,900 | 22,891 | 23,716 | ||||||||||||||||||
Blue sky fees: | ||||||||||||||||||||||||
GS4 Shares | 6,833 | 7,262 | 6,663 | 6,424 | 6,248 | 9,357 | ||||||||||||||||||
Shareholder reporting fees: | ||||||||||||||||||||||||
GS4 Shares | 3,013 | 6,342 | 6,509 | 4,603 | 4,257 | 1,147 | ||||||||||||||||||
Trustee expenses | 685 | 1,693 | 1,721 | 1,025 | 822 | 407 | ||||||||||||||||||
Line of credit facility fees | 385 | 1,661 | 1,696 | 815 | 558 | 33 | ||||||||||||||||||
Other expenses | 4,449 | 4,449 | 4,449 | 4,449 | 4,449 | 3,112 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Expenses | 98,255 | 231,537 | 234,473 | 143,704 | 116,638 | 58,473 | ||||||||||||||||||
Expenses waived/reimbursed net of amount recaptured(2) | (29,951 | ) | — | — | 5,981 | (14,750 | ) | (54,706 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Expenses | 68,304 | 231,537 | 234,473 | 149,685 | 101,888 | 3,767 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | 467,753 | 2,188,292 | 2,069,696 | 703,614 | 406,799 | 15,753 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||||||||||
Capital gain distributions received from affiliated funds | 179,080 | 693,022 | 327,809 | 15,537 | 2,492 | — | ||||||||||||||||||
Net realized gain on investment securities of affiliated issuers | 885,931 | 733,120 | 681,588 | 488,547 | 174,810 | 111 | ||||||||||||||||||
Net realized gain on futures transactions | 24,122 | 186,394 | 148,071 | 161,520 | 85,590 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 1,089,133 | 1,612,536 | 1,157,468 | 665,604 | 262,892 | 111 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in unrealized appreciation on investment securities of affiliated issuers | 1,454,939 | 12,326,884 | 15,282,645 | 7,906,258 | 5,874,114 | 134,937 | ||||||||||||||||||
Change in unrealized appreciation on futures | 10,523 | 80,547 | 78,762 | 78,450 | 48,893 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net change in unrealized appreciation | 1,465,462 | 12,407,431 | 15,361,407 | 7,984,708 | 5,923,007 | 134,937 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized and Unrealized Gain | 2,554,595 | 14,019,967 | 16,518,875 | 8,650,312 | 6,185,899 | 135,048 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 3,022,348 | $ | 16,208,259 | $ | 18,588,571 | $ | 9,353,926 | $ | 6,592,698 | $ | 150,801 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | The MyDestination 2055 Fund commenced operations as a registered investment company on January 1, 2012. |
(2) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
17
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
MyDestination 2005 Fund | ||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 467,753 | $ | 851,849 | ||||
Net realized gain (loss) on investment securities and futures transactions | 1,089,133 | 2,517,678 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 1,465,462 | (2,025,552 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 3,022,348 | 1,343,975 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income(1) | — | (1,118,885 | ) | |||||
Distributions from net realized capital gains | — | �� | — | |||||
|
|
|
| |||||
Total dividends and distributions | — | (1,118,885 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from GS4 shares sold | 11,021,488 | 25,225,989 | ||||||
Reinvestment of dividends and distributions into GS4 shares | — | 1,118,483 | ||||||
Value of GS4 shares redeemed | (5,718,990 | ) | (16,644,614 | ) | ||||
|
|
|
| |||||
Net increase from capital share transactions(2) | 5,302,498 | 9,699,858 | ||||||
|
|
|
| |||||
Total increase in net assets | 8,324,846 | 9,924,948 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 64,607,857 | 54,682,909 | ||||||
|
|
|
| |||||
End of Period* | $ | 72,932,703 | $ | 64,607,857 | ||||
|
|
|
| |||||
* Including undistributed net investment income | $ | 569,529 | $ | 101,776 | ||||
|
|
|
|
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 7 in Notes to Financial Statements. |
(3) | The MyDestination 2055 Fund commenced operations as a registered investment company on January 1, 2012. |
See Notes to Financial Statements.
18
Table of Contents
MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund(3) | ||||||||||||||||||||||||||||||
For the Six Months Ended | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | ||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||||
$ | 2,188,292 | $ | 3,859,060 | $ | 2,069,696 | $ | 3,723,266 | $ | 703,614 | $ | 1,400,976 | $ | 406,799 | $ | 725,744 | $ | 15,753 | |||||||||||||||||
1,612,536 | (6,612,694 | ) | 1,157,468 | (5,289,907 | ) | 665,604 | 190,251 | 262,892 | 26,074 | 111 | ||||||||||||||||||||||||
12,407,431 | 7,143,228 | 15,361,407 | 877,964 | 7,984,708 | (5,719,088 | ) | 5,923,007 | (4,125,970 | ) | 134,937 | ||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
16,208,259 | 4,389,594 | 18,588,571 | (688,677 | ) | 9,353,926 | (4,127,861 | ) | 6,592,698 | (3,374,152 | ) | 150,801 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
— | (4,639,060 | ) | — | (4,085,427 | ) | — | (1,436,957 | ) | — | (728,739 | ) | — | ||||||||||||||||||||||
— | — | — | — | — | (762,677 | ) | — | (1,952,225 | ) | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
— | (4,639,060 | ) | — | (4,085,427 | ) | — | (2,199,634 | ) | — | (2,680,964 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
38,726,854 | 54,743,331 | 37,734,275 | 59,628,488 | 21,182,322 | 33,005,073 | 14,283,125 | 27,357,501 | 4,489,025 | ||||||||||||||||||||||||||
8 | 4,639,060 | — | 4,085,427 | — | 2,199,634 | — | 2,680,965 | — | ||||||||||||||||||||||||||
(9,492,755) | (30,708,423 | ) | (9,997,653 | ) | (17,202,341 | ) | (2,103,222 | ) | (7,637,385 | ) | (1,935,182 | ) | (9,832,010 | ) | (74,077 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
29,234,107 | 28,673,968 | 27,736,622 | 46,511,574 | 19,079,100 | 27,567,322 | 12,347,943 | 20,206,456 | 4,414,948 | ||||||||||||||||||||||||||
|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
45,442,366 | 28,424,502 | 46,325,193 | 41,737,470 | 28,433,026 | 21,239,827 | 18,940,641 | 14,151,340 | 4,565,749 | ||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
274,096,093 | 245,671,591 | 278,239,355 | 236,501,885 | 131,446,042 | 110,206,215 | 89,953,906 | 75,802,566 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
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|
|
|
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| |||||||||||||||||
$ | 319,538,459 | $ | 274,096,093 | $ | 324,564,548 | $ | 278,239,355 | $ | 159,879,068 | $ | 131,446,042 | $ | 108,894,547 | $ | 89,953,906 | $ | 4,565,749 | |||||||||||||||||
|
|
|
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|
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|
| |||||||||||||||||
$ | 3,568,922 | $ | 1,380,630 | $ | 2,677,058 | $ | 607,362 | $ | 703,614 | $ | — | $ | 406,799 | $ | — | $ | 15,753 | |||||||||||||||||
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|
|
|
|
|
See Notes to Financial Statements.
19
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net (3) | Expenses, Gross (3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
MyDestination 2005 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 9.60 | $ | 0.07 | # | $ | 0.03 | $ | 0.35 | $ | — | $ | — | $ | 10.05 | 4.69 | % | $ | 72,933 | 0.20 | % | 0.29 | % | 1.36 | % | 5 | % | |||||||||||||||||||||||||
2011 | 9.53 | 0.14 | # | 0.05 | 0.05 | (0.17 | ) | — | 9.60 | 2.52 | 64,608 | 0.20 | 0.35 | 1.43 | 31 | |||||||||||||||||||||||||||||||||||||
2010 | 8.84 | 0.14 | # | 0.09 | 0.70 | (0.24 | ) | — | 9.53 | 10.56 | 54,683 | 0.20 | 0.26 | 1.50 | 19 | |||||||||||||||||||||||||||||||||||||
2009 | 7.44 | 0.18 | # | 0.04 | 1.40 | (0.22 | ) | — | 8.84 | 21.84 | 66,830 | 0.20 | 0.26 | 2.31 | 57 | |||||||||||||||||||||||||||||||||||||
2008 | 10.35 | 0.30 | # | 0.08 | (2.75 | ) | (0.31 | ) | (0.23 | ) | 7.44 | (22.78 | ) | 50,678 | 0.20 | 0.29 | 3.25 | 40 | ||||||||||||||||||||||||||||||||||
2007 | 10.00 | 0.33 | # | 0.62 | (0.31 | ) | (0.28 | ) | (0.01 | ) | 10.35 | 6.42 | 57,667 | 0.20 | 0.43 | 3.16 | 21 | |||||||||||||||||||||||||||||||||||
MyDestination 2015 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 9.37 | $ | 0.07 | # | $ | 0.02 | $ | 0.45 | $ | — | $ | — | $ | 9.91 | 5.76 | % | $ | 319,538 | 0.15 | % | 0.15 | % | 1.46 | % | 2 | % | |||||||||||||||||||||||||
2011 | 9.36 | 0.14 | # | 0.05 | (0.02 | ) | (0.16 | ) | — | 9.37 | 1.84 | 274,096 | 0.17 | 0.17 | 1.46 | 33 | ||||||||||||||||||||||||||||||||||||
2010 | 8.42 | 0.14 | # | 0.06 | 0.94 | (0.20 | ) | — | 9.36 | 13.54 | 245,672 | 0.16 | 0.16 | 1.65 | 28 | |||||||||||||||||||||||||||||||||||||
2009 | 6.83 | 0.17 | # | 0.02 | 1.58 | (0.18 | ) | — | 8.42 | 26.27 | 219,264 | 0.16 | 0.16 | 2.25 | 25 | |||||||||||||||||||||||||||||||||||||
2008 | 10.33 | 0.26 | # | 0.09 | (3.39 | ) | (0.19 | ) | (0.27 | ) | 6.83 | (29.31 | ) | 146,140 | 0.20 | 0.18 | 2.87 | 22 | ||||||||||||||||||||||||||||||||||
2007 | 10.00 | 0.29 | # | 0.83 | (0.50 | ) | (0.28 | ) | (0.01 | ) | 10.33 | 6.12 | 169,953 | 0.20 | 0.24 | 2.74 | 7 | |||||||||||||||||||||||||||||||||||
MyDestination 2025 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| �� | ||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 8.81 | $ | 0.06 | # | $ | 0.01 | $ | 0.52 | $ | — | $ | — | $ | 9.40 | 6.70 | % | $ | 324,565 | 0.15 | % | 0.15 | % | 1.35 | % | 1 | % | |||||||||||||||||||||||||
2011 | 8.94 | 0.13 | # | 0.03 | (0.16 | ) | (0.13 | ) | — | 8.81 | 0.03 | 278,239 | 0.17 | 0.17 | 1.42 | 24 | ||||||||||||||||||||||||||||||||||||
2010 | 7.88 | 0.14 | # | 0.03 | 1.04 | (0.15 | ) | — | 8.94 | 15.32 | 236,502 | 0.20 | 0.17 | 1.72 | 15 | |||||||||||||||||||||||||||||||||||||
2009 | 6.18 | 0.14 | # | 0.01 | 1.69 | (0.14 | ) | — | 7.88 | 30.12 | 169,563 | 0.20 | 0.19 | 2.11 | 13 | |||||||||||||||||||||||||||||||||||||
2008 | 10.24 | 0.21 | # | 0.09 | (3.89 | ) | (0.15 | ) | (0.32 | ) | 6.18 | (35.00 | ) | 96,826 | 0.20 | 0.21 | 2.47 | 10 | ||||||||||||||||||||||||||||||||||
2007 | 10.00 | 0.25 | # | 1.13 | (0.85 | ) | (0.28 | ) | (0.01 | ) | 10.24 | 5.29 | 105,102 | 0.20 | 0.30 | 2.37 | 5 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds. |
(3) | Does not include expenses of the investment companies in which the Fund invests. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(5) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(6) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
20
Table of Contents
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net (3) | Expenses, Gross (3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
MyDestination 2035 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 8.22 | $ | 0.04 | # | $ | — | † | $ | 0.55 | $ | — | $ | — | $ | 8.81 | 7.18 | % | $ | 159,879 | 0.20 | % | 0.19 | % | 0.94 | % | 1 | % | ||||||||||||||||||||||||
2011 | 8.62 | 0.10 | # | 0.01 | (0.37 | ) | (0.09 | ) | (0.05 | ) | 8.22 | (2.99 | ) | 131,446 | 0.20 | 0.23 | 1.13 | 10 | ||||||||||||||||||||||||||||||||||
2010 | 7.52 | 0.10 | # | 0.01 | 1.10 | (0.10 | ) | (0.01 | ) | 8.62 | 16.02 | 110,206 | 0.20 | 0.23 | 1.32 | 9 | ||||||||||||||||||||||||||||||||||||
2009 | 5.85 | 0.10 | # | — | † | 1.70 | (0.11 | ) | (0.02 | ) | 7.52 | 30.99 | 75,419 | 0.20 | 0.28 | 1.57 | 4 | |||||||||||||||||||||||||||||||||||
2008 | 10.24 | 0.17 | # | 0.09 | (4.25 | ) | (0.10 | ) | (0.30 | ) | 5.85 | (38.86 | ) | 37,637 | 0.20 | 0.40 | 2.02 | 5 | ||||||||||||||||||||||||||||||||||
2007 | 10.00 | 0.19 | # | 1.31 | (0.98 | ) | (0.28 | ) | — | † | 10.24 | 5.20 | 35,117 | 0.20 | 0.64 | 1.83 | 2 | |||||||||||||||||||||||||||||||||||
MyDestination 2045 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 7.96 | $ | 0.03 | # | $ | — | † | $ | 0.56 | $ | — | $ | — | $ | 8.55 | 7.41 | % | $ | 108,895 | 0.20 | % | 0.23 | % | 0.80 | % | 1 | % | ||||||||||||||||||||||||
2011 | 8.52 | 0.07 | # | — | † | (0.38 | ) | (0.07 | ) | (0.18 | ) | 7.96 | (3.63 | ) | 89,954 | 0.20 | 0.29 | 0.87 | 25 | |||||||||||||||||||||||||||||||||
2010 | 7.38 | 0.08 | # | — | † | 1.16 | (0.07 | ) | (0.03 | ) | 8.52 | 16.80 | 75,803 | 0.20 | 0.30 | 1.08 | 1 | |||||||||||||||||||||||||||||||||||
2009 | 5.75 | 0.08 | # | — | † | 1.67 | (0.09 | ) | (0.03 | ) | 7.38 | 30.71 | 44,159 | 0.20 | 0.41 | 1.23 | 7 | |||||||||||||||||||||||||||||||||||
2008 | 10.12 | 0.16 | # | 0.10 | (4.34 | ) | (0.06 | ) | (0.23 | ) | 5.75 | (40.29 | ) | 17,998 | 0.20 | 0.79 | 1.97 | 5 | ||||||||||||||||||||||||||||||||||
2007 | 10.00 | 0.17 | # | 1.37 | (1.09 | ) | (0.28 | ) | (0.05 | ) | 10.12 | 4.46 | 11,659 | 0.19 | 1.48 | 1.60 | 9 | |||||||||||||||||||||||||||||||||||
MyDestination 2055 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012*(6) | $ | 10.00 | $ | 0.04 | # | $ | — | $ | 0.49 | $ | — | $ | — | $ | 10.53 | 5.30 | % | $ | 4,566 | 0.20 | % | 3.10 | % | 0.84 | % | 0 | % |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
* | Inception date was January 1, 2012. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds. |
(3) | Does not include expenses of the investment companies in which the Fund invests. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(5) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(6) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
21
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 100.0% |
| |||||||
GuideStone Money Market | 4,451,845 | $ | 4,451,845 | |||||
GuideStone Low-Duration | 13,416,951 | 179,250,469 | ||||||
GuideStone Inflation Protected | 3,905,471 | 44,092,767 | ||||||
GuideStone Defensive Market | 2,143,916 | 22,746,944 | ||||||
GuideStone Value Equity Fund | 1,078,096 | 16,149,884 | ||||||
GuideStone Growth Equity | 760,815 | 15,779,311 | ||||||
GuideStone Small Cap Equity Fund (GS4 Class)¥ | 229,656 | 3,587,235 | ||||||
GuideStone International | 1,684,083 | 19,518,527 | ||||||
|
| |||||||
Total Mutual Funds | 305,576,982 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% |
| 305,576,982 | ||||||
Other Assets in Excess of | 134,188 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 305,711,170 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 73.1 | |||
Domestic Equity Funds | 19.1 | |||
International Equity Fund | 6.4 | |||
Money Market Fund | 1.4 | |||
Futures Contracts | 1.3 | |||
|
| |||
101.3 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 305,576,982 | $ | 305,576,982 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 305,576,982 | $ | 305,576,982 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 44,212 | $ | 44,212 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 44,212 | $ | 44,212 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
22
Table of Contents
SCHEDULE OF INVESTMENTS |
June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% |
| |||||||
GuideStone Money Market | 23,489,350 | $ | 23,489,350 | |||||
GuideStone Low-Duration | 12,289,416 | 164,186,593 | ||||||
GuideStone Medium-Duration | 16,608,227 | 240,819,294 | ||||||
GuideStone Extended-Duration | 5,387,991 | 97,199,361 | ||||||
GuideStone Global Bond Fund | 5,669,066 | 56,407,210 | ||||||
GuideStone Defensive Market | 10,612,403 | 112,597,599 | ||||||
GuideStone Value Equity Fund | 9,198,573 | 137,794,629 | ||||||
GuideStone Growth Equity | 6,430,726 | 133,373,260 | ||||||
GuideStone Small Cap Equity | 1,944,306 | 30,370,053 | ||||||
GuideStone International | 13,100,263 | 151,832,044 | ||||||
|
| |||||||
Total Mutual Funds | 1,148,069,393 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 1,148,069,393 | |||||||
Other Assets in Excess of | 1,064,871 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,149,134,264 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 48.6 | |||
Domestic Equity Funds | 36.0 | |||
International Equity Fund | 13.2 | |||
Money Market Fund | 2.1 | |||
Futures Contracts | 1.9 | |||
|
| |||
101.8 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 1,148,069,393 | $ | 1,148,069,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,148,069,393 | $ | 1,148,069,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 519,007 | $ | 519,007 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 519,007 | $ | 519,007 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
23
Table of Contents
SCHEDULE OF INVESTMENTS |
June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% |
| |||||||
GuideStone Money Market | 13,832,923 | $ | 13,832,923 | |||||
GuideStone Low-Duration | 4,298,025 | 57,421,618 | ||||||
GuideStone Medium-Duration | 5,994,689 | 86,922,993 | ||||||
GuideStone Extended-Duration | 1,795,638 | 32,393,317 | ||||||
GuideStone Global Bond Fund | 1,984,261 | 19,743,396 | ||||||
GuideStone Value Equity Fund | 12,064,915 | 180,732,428 | ||||||
GuideStone Growth Equity Fund | 8,457,505 | 175,408,649 | ||||||
GuideStone Small Cap Equity Fund | 2,656,164 | 41,489,286 | ||||||
GuideStone International | 17,770,155 | 205,956,095 | ||||||
|
| |||||||
Total Mutual Funds | 813,900,705 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% |
| 813,900,705 | ||||||
Other Assets in Excess of | 1,092,928 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 814,993,633 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 48.8 | |||
International Equity Fund | 25.3 | |||
Bond Funds | 24.1 | |||
Futures Contracts | 1.7 | |||
Money Market Fund | 1.7 | |||
|
| |||
101.6 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 813,900,705 | $ | 813,900,705 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 813,900,705 | $ | 813,900,705 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 446,393 | $ | 446,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 446,393 | $ | 446,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
24
Table of Contents
SCHEDULE OF INVESTMENTS |
June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% |
| |||||||
GuideStone Money Market | 15,194,582 | $ | 15,194,582 | |||||
GuideStone Value Equity | 13,701,260 | 205,244,868 | ||||||
GuideStone Growth Equity | 9,608,727 | 199,284,990 | ||||||
GuideStone Small Cap Equity | 2,891,784 | 45,169,660 | ||||||
GuideStone International | 20,211,806 | 234,254,827 | ||||||
|
| |||||||
Total Mutual Funds | 699,148,927 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 699,148,927 | |||||||
Other Assets in Excess of | 1,437,071 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 700,585,998 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 64.2 | |||
International Equity Fund | 33.4 | |||
Futures Contracts | 2.3 | |||
Money Market Fund | 2.2 | |||
|
| |||
102.1 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 699,148,927 | $ | 699,148,927 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 699,148,927 | $ | 699,148,927 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 649,996 | $ | 649,996 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 649,996 | $ | 649,996 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
25
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2012 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated issuers, at value (1) | $ | 305,576,982 | $ | 1,148,069,393 | $ | 813,900,705 | $ | 699,148,927 | ||||||||
Cash | — | — | 3,229 | — | ||||||||||||
Cash collateral for derivatives | 153,200 | 737,600 | 623,400 | 827,200 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends | 38 | 183 | 125 | 112 | ||||||||||||
Fund shares sold | 23,162 | 216,612 | 280,711 | 365,188 | ||||||||||||
Variation margin on financial futures contracts | 33,084 | 321,988 | 304,681 | 477,270 | ||||||||||||
Prepaid expenses and other assets | 7,920 | 7,698 | 8,810 | 8,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 305,794,386 | 1,149,353,474 | 815,121,661 | 700,826,925 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Fund shares redeemed | 24,628 | 59,041 | 9,451 | 140,889 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | 13,510 | 81,611 | 55,521 | 45,993 | ||||||||||||
Other expenses | 45,078 | 78,558 | 63,056 | 54,045 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 83,216 | 219,210 | 128,028 | 240,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 305,711,170 | $ | 1,149,134,264 | $ | 814,993,633 | $ | 700,585,998 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 281,166,888 | $ | 1,059,517,732 | $ | 778,329,161 | $ | 694,189,571 | ||||||||
Undistributed net investment income | 2,278,626 | 8,571,920 | 4,099,210 | 2,008,043 | ||||||||||||
Undistributed (accumulated) net realized gain (loss) on | (1,272,072 | ) | 2,023,232 | 2,118,331 | 5,833,956 | |||||||||||
Net unrealized appreciation (depreciation) on investments | 23,537,728 | 79,021,380 | 30,446,931 | (1,445,572 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 305,711,170 | $ | 1,149,134,264 | $ | 814,993,633 | $ | 700,585,998 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the GS4 Class | $ | 305,711,170 | $ | 1,149,134,264 | $ | 814,993,633 | $ | 700,585,998 | ||||||||
|
|
|
|
|
|
|
| |||||||||
GS4 shares outstanding | 25,232,460 | 92,545,938 | 66,043,856 | 60,131,041 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per GS4 share | $ | 12.12 | $ | 12.42 | $ | 12.34 | $ | 11.65 | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 282,083,466 | $ | 1,069,567,020 | $ | 783,900,167 | $ | 701,244,495 | |||||||||
|
|
|
|
|
|
|
|
(1) | Investments in securities of affiliated issuers, at cost |
See Notes to Financial Statements.
26
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2012 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Investment Income | ||||||||||||||||
Income dividends received from affiliated funds | $ | 2,457,176 | $ | 9,249,637 | $ | 4,590,335 | $ | 2,430,461 | ||||||||
Interest | — | 153 | 108 | 109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 2,457,176 | 9,249,790 | 4,590,443 | 2,430,570 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 152,005 | 584,604 | 420,557 | 362,973 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
GS4 shares | 17,222 | 31,362 | 21,983 | 19,825 | ||||||||||||
Custodian fees | 9,102 | 17,531 | 15,007 | 11,212 | ||||||||||||
Accounting and administration fees | 11,663 | 33,612 | 25,341 | 22,269 | ||||||||||||
Professional fees | 22,921 | 22,921 | 22,921 | 22,950 | ||||||||||||
Blue sky fees: | ||||||||||||||||
GS4 shares | 9,050 | 9,675 | 9,723 | 9,569 | ||||||||||||
Shareholder reporting fees: | ||||||||||||||||
GS4 shares | 16,803 | 36,680 | 25,576 | 22,162 | ||||||||||||
Trustee expenses | 1,749 | 5,538 | 4,097 | 3,598 | ||||||||||||
Line of credit facility fees | 1,731 | 6,519 | 4,698 | 4,069 | ||||||||||||
Other expenses | 4,449 | 5,748 | 5,415 | 5,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 246,695 | 754,190 | 555,318 | 483,876 | ||||||||||||
Expenses waived/reimbursed(2) | (68,145 | ) | (73,051 | ) | (64,085 | ) | (59,387 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 178,550 | 681,139 | 491,233 | 424,489 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 2,278,626 | 8,568,651 | 4,099,210 | 2,006,081 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 699,605 | 1,173,132 | 302,731 | — | ||||||||||||
Net realized gain on investment securities of affiliated issuers | 504,993 | 4,795,696 | 2,194,092 | 4,126,063 | ||||||||||||
Net realized gain on futures transactions | 74,544 | 905,644 | 1,120,507 | 969,834 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | 1,279,142 | 6,874,472 | 3,617,330 | 5,095,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation on investment securities of affiliated issuers | 6,722,771 | 44,284,865 | 41,927,566 | 39,981,656 | ||||||||||||
Change in unrealized appreciation on futures | 32,727 | 309,841 | 168,845 | 260,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | 6,755,498 | 44,594,706 | 42,096,411 | 40,242,533 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain | 8,034,640 | 51,469,178 | 45,713,741 | 45,338,430 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 10,313,266 | $ | 60,037,829 | $ | 49,812,951 | $ | 47,344,511 | ||||||||
|
|
|
|
|
|
|
|
(2) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
27
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund | Balanced Allocation Fund | |||||||||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 2,278,626 | $ | 4,065,834 | $ | 8,568,651 | $ | 18,557,083 | ||||||||
Net realized gain on investment securities and futures transactions | 1,279,142 | 102,554 | 6,874,472 | 19,720,584 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 6,755,498 | 236,103 | 44,594,706 | (26,824,077 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 10,313,266 | 4,404,491 | 60,037,829 | 11,453,590 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | — | (4,792,770 | ) | — | (23,283,553 | ) | ||||||||||
Distributions from net realized capital gains | — | (4,309,760 | ) | — | (19,005,488 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | — | (9,102,530 | ) | — | (42,289,041 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS4 shares sold | 19,393,719 | 57,204,012 | 29,104,664 | 60,590,265 | ||||||||||||
Reinvestment of dividends and distributions into GS4 shares | — | 9,098,316 | — | 42,263,421 | ||||||||||||
Value of GS4 shares redeemed | (17,231,819 | ) | (30,360,939 | ) | (37,283,228 | ) | (95,724,099 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(2) | 2,161,900 | 35,941,389 | (8,178,564 | ) | 7,129,587 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 12,475,166 | 31,243,350 | 51,859,265 | (23,705,864 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 293,236,004 | 261,992,654 | 1,097,274,999 | 1,120,980,863 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period* | $ | 305,711,170 | $ | 293,236,004 | $ | 1,149,134,264 | $ | 1,097,274,999 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Including undistributed net investment income | $ | 2,278,626 | $ | — | $ | 8,571,920 | $ | 3,269 | ||||||||
|
|
|
|
|
|
|
|
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
28
Table of Contents
Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||
(Unaudited) | (Unaudited) | |||||||||||||
$ |
4,099,210 |
| $ | 10,429,322 | $ | 2,006,081 | $ | 6,066,977 | ||||||
|
3,617,330 |
| 10,125,554 | 5,095,897 | 7,554,619 | |||||||||
42,096,411 | (39,424,655 | ) | 40,242,533 | (49,171,255 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
|
49,812,951 |
| (18,869,779 | ) | 47,344,511 | (35,549,659 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
— | (11,523,090 | ) | — | (6,067,329 | ) | |||||||||
|
— |
| (13,505,147 | ) | — | (11,387,493 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
— | (25,028,237 | ) | — | (17,454,822 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
16,976,022 | 33,158,753 | 11,619,135 | 31,839,557 | |||||||||||
— | 25,025,796 | — | 17,454,013 | |||||||||||
|
(35,139,376 |
) | (72,868,581 | ) | (33,167,435 | ) | (66,992,296 | ) | ||||||
|
|
|
|
|
|
|
| |||||||
(18,163,354 | ) | (14,684,032 | ) | (21,548,300 | ) | (17,698,726 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
|
31,649,597 |
| (58,582,048 | ) | 25,796,211 | (70,703,207 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
783,344,036 | 841,926,084 | 674,789,787 | 745,492,994 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ |
814,993,633 |
| $ | 783,344,036 | $ | 700,585,998 | $ | 674,789,787 | ||||||
|
|
|
|
|
|
|
| |||||||
$ |
4,099,210 |
| $ | — | $ | 2,008,043 | $ | 1,962 | ||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
29
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net (3) | Expenses, Gross (3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
Conservative Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 11.70 | $ | 0.09 | # | $ | 0.03 | $ | 0.30 | $ | — | $ | — | $ | 12.12 | 3.59 | % | $ | 305,711 | 0.12 | % | 0.17 | % | 1.52 | % | 2 | % | |||||||||||||||||||||||||
2011 | 11.87 | 0.18 | # | 0.05 | (0.03 | ) | (0.19 | ) | (0.18 | ) | 11.70 | 1.71 | 293,236 | 0.12 | 0.17 | 1.47 | 9 | |||||||||||||||||||||||||||||||||||
2010 | 11.39 | 0.18 | # | 0.08 | 0.56 | (0.27 | ) | (0.07 | ) | 11.87 | 7.19 | 261,993 | 0.12 | 0.15 | 1.57 | 19 | ||||||||||||||||||||||||||||||||||||
2009 | 10.33 | 0.26 | # | — | † | 1.44 | (0.26 | ) | (0.38 | ) | 11.39 | 16.58 | 284,750 | 0.12 | 0.16 | 2.37 | 32 | |||||||||||||||||||||||||||||||||||
2008 | 13.02 | 0.42 | # | 0.03 | (2.17 | ) | (0.42 | ) | (0.55 | ) | 10.33 | (13.11 | ) | 246,617 | 0.12 | 0.15 | 3.36 | 17 | ||||||||||||||||||||||||||||||||||
2007 | 13.15 | 0.43 | # | 0.21 | 0.21 | (0.44 | ) | (0.54 | ) | 13.02 | 6.48 | 313,829 | 0.13 | 0.16 | 3.13 | 13 | ||||||||||||||||||||||||||||||||||||
Balanced Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 11.77 | $ | 0.09 | # | $ | 0.01 | $ | 0.55 | $ | — | $ | — | $ | 12.42 | 5.52 | % | $ | 1,149,134 | 0.12 | % | 0.13 | % | 1.50 | % | 2 | % | |||||||||||||||||||||||||
2011 | 12.12 | 0.20 | # | 0.06 | (0.14 | ) | (0.26 | ) | (0.21 | ) | 11.77 | 1.01 | 1,097,275 | 0.12 | 0.13 | 1.65 | 16 | |||||||||||||||||||||||||||||||||||
2010 | 11.14 | 0.23 | # | 0.09 | 1.00 | (0.34 | ) | — | 12.12 | 11.87 | 1,120,981 | 0.12 | 0.12 | 1.95 | 17 | |||||||||||||||||||||||||||||||||||||
2009 | 9.20 | 0.26 | # | 0.05 | 1.97 | (0.27 | ) | (0.07 | ) | 11.14 | 25.05 | 1,132,991 | 0.12 | 0.13 | 2.58 | 19 | ||||||||||||||||||||||||||||||||||||
2008 | 14.13 | 0.39 | # | 0.13 | (3.99 | ) | (0.43 | ) | (1.03 | ) | 9.20 | (24.41 | ) | 905,743 | 0.12 | 0.13 | 3.05 | 19 | ||||||||||||||||||||||||||||||||||
2007 | 14.61 | 0.41 | # | 0.48 | 0.16 | (0.48 | ) | (1.05 | ) | 14.13 | 7.16 | 1,348,204 | 0.13 | 0.13 | 2.68 | 7 | ||||||||||||||||||||||||||||||||||||
Growth Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 11.60 | $ | 0.06 | # | $ | — | † | $ | 0.68 | $ | — | $ | — | $ | 12.34 | 6.38 | % | $ | 814,994 | 0.12 | % | 0.14 | % | 1.00 | % | 2 | % | ||||||||||||||||||||||||
2011 | 12.28 | 0.16 | # | 0.03 | (0.49 | ) | (0.17 | ) | (0.21 | ) | 11.60 | (2.39 | ) | 783,344 | 0.12 | 0.14 | 1.26 | 10 | ||||||||||||||||||||||||||||||||||
2010 | 11.11 | 0.16 | # | 0.05 | 1.31 | (0.27 | ) | (0.08 | ) | 12.28 | 13.65 | 841,926 | 0.12 | 0.13 | 1.43 | 8 | ||||||||||||||||||||||||||||||||||||
2009 | 8.86 | 0.18 | # | 0.02 | 2.25 | (0.15 | ) | (0.05 | ) | 11.11 | 27.96 | 840,810 | 0.12 | 0.13 | 1.88 | 11 | ||||||||||||||||||||||||||||||||||||
2008 | 15.34 | 0.28 | # | 0.13 | (5.50 | ) | (0.29 | ) | (1.10 | ) | 8.86 | (32.98 | ) | 667,769 | 0.12 | 0.13 | 2.15 | 13 | ||||||||||||||||||||||||||||||||||
2007 | 16.05 | 0.30 | # | 0.78 | 0.07 | (0.43 | ) | (1.43 | ) | 15.34 | 7.16 | 1,095,092 | 0.13 | 0.13 | 1.80 | 5 | ||||||||||||||||||||||||||||||||||||
Aggressive Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 10.89 | $ | 0.03 | # | $ | — | $ | 0.73 | $ | — | $ | — | $ | 11.65 | 6.98 | % | $ | 700,586 | 0.12 | % | 0.14 | % | 0.56 | % | 0 | % | |||||||||||||||||||||||||
2011 | 11.79 | 0.10 | # | $ | — | † | (0.71 | ) | (0.10 | ) | (0.19 | ) | 10.89 | (5.14 | ) | 674,790 | 0.12 | 0.14 | 0.83 | 9 | ||||||||||||||||||||||||||||||||
2010 | 10.43 | 0.10 | # | — | † | 1.48 | (0.10 | ) | (0.12 | ) | 11.79 | 15.16 | 745,493 | 0.12 | 0.13 | 0.91 | 1 | |||||||||||||||||||||||||||||||||||
2009 | 8.13 | 0.10 | # | — | † | 2.38 | (0.10 | ) | (0.08 | ) | 10.43 | 30.82 | 729,734 | 0.12 | 0.14 | 1.17 | 3 | |||||||||||||||||||||||||||||||||||
2008 | 16.31 | 0.16 | # | 0.12 | (7.01 | ) | (0.14 | ) | (1.31 | ) | 8.13 | (41.05 | ) | 547,313 | 0.12 | 0.13 | 1.21 | 7 | ||||||||||||||||||||||||||||||||||
2007 | 17.23 | 0.17 | # | 1.11 | (0.04 | ) | (0.36 | ) | (1.80 | ) | 16.31 | 7.17 | 1,000,850 | 0.13 | 0.13 | 0.94 | 2 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds. |
(3) | Does not include expenses of the investment companies in which the Fund invests. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(5) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(6) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
30
Table of Contents
CONSERVATIVE ALLOCATION FUND I SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
GuideStone Money Market | 1,097,170 | $ | 1,097,170 | |||||
GuideStone Low-Duration | 5,283,073 | 45,645,750 | ||||||
GuideStone Inflation Protected | 993,966 | 11,221,879 | ||||||
GuideStone Defensive Market | 545,850 | 5,796,932 | ||||||
GuideStone Value Equity Fund | 553,810 | 4,109,272 | ||||||
GuideStone Growth Equity Fund | 306,680 | 4,017,510 | ||||||
GuideStone Small Cap Equity | 88,088 | 913,473 | ||||||
GuideStone International Equity | 559,080 | 4,964,634 | ||||||
|
| |||||||
Total Mutual Funds | 77,766,620 | |||||||
|
| |||||||
TOTAL INVESTMENTS—100.0% | 77,766,620 | |||||||
Other Assets in Excess of | 34,997 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 77,801,617 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 73.1 | |||
Domestic Equity Funds | 19.1 | |||
International Equity Fund | 6.4 | |||
Money Market Fund | 1.4 | |||
Futures Contracts | 1.2 | |||
|
| |||
101.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 77,766,620 | $ | 77,766,620 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 77,766,620 | $ | 77,766,620 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 10,550 | $ | 10,550 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 10,550 | $ | 10,550 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
31
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
GuideStone Money Market | 5,920,629 | $ | 5,920,629 | |||||
GuideStone Low-Duration | 5,435,860 | 46,965,830 | ||||||
GuideStone Medium-Duration | 9,337,042 | 68,907,373 | ||||||
GuideStone Extended-Duration | 4,197,125 | 27,784,965 | ||||||
GuideStone Global Bond Fund | 1,621,220 | 16,131,140 | ||||||
GuideStone Defensive Market | 3,034,620 | 32,227,670 | ||||||
GuideStone Value Equity Fund | 5,308,773 | 39,391,098 | ||||||
GuideStone Growth Equity | 2,911,230 | 38,137,108 | ||||||
GuideStone Small Cap Equity | 837,283 | 8,682,628 | ||||||
GuideStone International | 4,884,056 | 43,370,420 | ||||||
|
| |||||||
Total Mutual Funds | 327,518,861 | |||||||
|
| |||||||
TOTAL INVESTMENTS —100.0% | 327,518,861 | |||||||
Other Assets in Excess of | 141,684 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 327,660,545 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 48.9 | |||
Domestic Equity Funds | 36.1 | |||
International Equity Fund | 13.2 | |||
Money Market Fund | 1.8 | |||
Futures Contracts | 1.6 | |||
|
| |||
101.6 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 327,518,861 | $ | 327,518,861 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 327,518,861 | $ | 327,518,861 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 119,526 | $ | 119,526 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 119,526 | $ | 119,526 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
32
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market | 3,205,733 | $ | 3,205,733 | |||||
GuideStone Low-Duration | 1,673,111 | 14,455,680 | ||||||
GuideStone Medium-Duration | 2,966,560 | 21,893,212 | ||||||
GuideStone Extended-Duration | 1,231,234 | 8,150,766 | ||||||
GuideStone Global Bond Fund | 499,439 | 4,969,420 | ||||||
GuideStone Value Equity Fund | 6,128,513 | 45,473,566 | ||||||
GuideStone Growth Equity | 3,370,141 | 44,148,841 | ||||||
GuideStone Small Cap Equity | 1,006,635 | 10,438,801 | ||||||
GuideStone International | 5,831,752 | 51,785,957 | ||||||
|
| |||||||
Total Mutual Funds | 204,521,976 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 204,521,976 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 254,465 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 204,776,441 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 48.9 | |||
International Equity Fund | 25.3 | |||
Bond Funds | 24.1 | |||
Futures Contracts | 1.6 | |||
Money Market Fund | 1.6 | |||
|
| |||
101.5 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 204,521,976 | $ | 204,521,976 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 204,521,976 | $ | 204,521,976 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 99,243 | $ | 99,243 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 99,243 | $ | 99,243 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
33
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.8% | ||||||||
GuideStone Money Market | 2,093,313 | $ | 2,093,313 | |||||
GuideStone Value Equity | 5,318,727 | 39,464,957 | ||||||
GuideStone Growth Equity | 2,926,257 | 38,333,969 | ||||||
GuideStone Small Cap Equity | 837,674 | 8,686,684 | ||||||
GuideStone International | 5,068,846 | 45,011,350 | ||||||
|
| |||||||
Total Mutual Funds | 133,590,273 | |||||||
|
| |||||||
TOTAL INVESTMENTS —99.8% | 133,590,273 | |||||||
Other Assets in Excess of | 237,324 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 133,827,597 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 64.6 | |||
International Equity Fund | 33.6 | |||
Futures Contracts | 1.6 | |||
Money Market Fund | 1.6 | |||
|
| |||
101.4 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Mutual Funds | $ | 133,590,273 | $ | 133,590,273 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 133,590,273 | $ | 133,590,273 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 87,633 | $ | 87,633 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 87,633 | $ | 87,633 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
34
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2012 (Unaudited) |
Conservative Allocation Fund I | Balanced Allocation Fund I | Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated issuers, at value (1) | $ | 77,766,620 | $ | 327,518,861 | $ | 204,521,976 | $ | 133,590,273 | ||||||||
Cash | — | — | 8,235 | — | ||||||||||||
Cash collateral for derivatives | 50,400 | 173,550 | 221,950 | 204,000 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends | 91 | 411 | 298 | 157 | ||||||||||||
Variation margin on financial futures contracts | 7,526 | 75,159 | 73,245 | 63,640 | ||||||||||||
Prepaid expenses and other assets | 4,958 | 4,958 | 4,958 | 4,958 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 77,829,595 | 327,772,939 | 204,830,662 | 133,863,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Fund shares redeemed | 20 | 55,233 | 10,275 | 894 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | 3,067 | 26,898 | 16,868 | 9,307 | ||||||||||||
Other expenses | 24,891 | 30,263 | 27,078 | 25,230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 27,978 | 112,394 | 54,221 | 35,431 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 77,801,617 | $ | 327,660,545 | $ | 204,776,441 | $ | 133,827,597 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 80,009,213 | $ | 357,107,930 | $ | 232,656,761 | $ | 165,855,960 | ||||||||
Undistributed net investment income | 1,635,180 | 10,098,474 | 3,651,529 | 3,202,951 | ||||||||||||
Accumulated net realized loss on investments and futures transactions | (6,750,941 | ) | (48,347,272 | ) | (25,611,184 | ) | (21,709,627 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments and futures | 2,908,165 | 8,801,413 | (5,920,665 | ) | (13,521,687 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 77,801,617 | $ | 327,660,545 | $ | 204,776,441 | $ | 133,827,597 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the GS2 Class | $ | 77,801,617 | $ | 327,660,545 | $ | 204,776,441 | $ | 133,827,597 | ||||||||
|
|
|
|
|
|
|
| |||||||||
GS2 shares outstanding | 8,036,788 | 33,200,834 | 20,124,278 | 12,841,800 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per GS2 share | $ | 9.68 | $ | 9.87 | $ | 10.18 | $ | 10.42 | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 74,869,005 | $ | 318,836,974 | $ | 210,541,884 | $ | 147,199,592 | |||||||||
|
|
|
|
|
|
|
|
(1) | Investments in securities of affiliated issuers, at cost |
See Notes to Financial Statements.
35
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2012 (Unaudited) |
Conservative Allocation Fund I | Balanced Allocation Fund I | Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
Investment Income | ||||||||||||||||
Income dividends received from affiliated funds | $ | 982,950 | $ | 5,051,661 | $ | 2,343,617 | $ | 1,020,112 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 982,950 | 5,051,661 | 2,343,617 | 1,020,112 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 38,960 | 165,592 | 104,868 | 69,422 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
GS2 Shares | 1,964 | 2,000 | 1,937 | 1,938 | ||||||||||||
Custodian fees | 8,389 | 13,660 | 11,358 | 7,047 | ||||||||||||
Accounting and administration fees | 5,691 | 12,274 | 9,151 | 7,181 | ||||||||||||
Professional fees | 22,929 | 22,972 | 22,945 | 22,931 | ||||||||||||
Blue sky fees: | ||||||||||||||||
GS2 Shares | 782 | 782 | 782 | 782 | ||||||||||||
Shareholder reporting fees | 280 | 362 | 226 | 226 | ||||||||||||
Trustee expenses | 730 | 1,845 | 1,316 | 997 | ||||||||||||
Line of credit facility fees | 441 | 1,847 | 1,178 | 777 | ||||||||||||
Other expenses | 4,451 | 4,451 | 4,451 | 4,451 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 84,617 | 225,785 | 158,212 | 115,752 | ||||||||||||
Expenses waived/reimbursed net of amount recaptured(2) | (26,194 | ) | — | (1,737 | ) | (11,072 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 58,423 | 225,785 | 156,475 | 104,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 924,527 | 4,825,876 | 2,187,142 | 915,432 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 202,519 | 594,211 | 154,299 | — | ||||||||||||
Net realized gain (loss) on investment securities of affiliated issuers | 467,595 | (1,138,905 | ) | (1,429,034 | ) | (785,281 | ) | |||||||||
Net realized gain on futures transactions | 6,130 | 276,318 | 223,575 | 128,731 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 676,244 | (268,376 | ) | (1,051,160 | ) | (656,550 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation on investment securities of affiliated issuers | 1,053,365 | 12,727,754 | 11,624,576 | 8,873,107 | ||||||||||||
Change in unrealized appreciation on futures | 6,353 | 9,166 | 3,893 | 8,490 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | 1,059,718 | 12,736,920 | 11,628,469 | 8,881,597 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain | 1,735,962 | 12,468,544 | 10,577,309 | 8,225,047 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 2,660,489 | $ | 17,294,420 | $ | 12,764,451 | $ | 9,140,479 | ||||||||
|
|
|
|
|
|
|
|
(2) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
36
Table of Contents
(This page intentionally left blank)
37
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund I | Balanced Allocation Fund I | |||||||||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 924,527 | $ | 1,701,463 | $ | 4,825,876 | $ | 10,860,289 | ||||||||
Net realized gain (loss) on investment securities and futures transactions | 676,244 | (51,979 | ) | (268,376 | ) | (15,227,675 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 1,059,718 | (316,884 | ) | 12,736,920 | 7,866,278 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 2,660,489 | 1,332,600 | 17,294,420 | 3,498,892 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | — | (1,925,326 | ) | — | (12,643,249 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends | — | (1,925,326 | ) | — | (12,643,249 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS2 shares sold | 5,341,409 | 18,399,863 | 10,206,747 | 20,439,001 | ||||||||||||
Reinvestment of dividends and distributions into GS2 shares | — | 1,921,753 | — | 12,613,592 | ||||||||||||
Value of GS2 shares redeemed | (4,341,140 | ) | (17,513,547 | ) | (10,107,250 | ) | (61,130,637 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(2) | 1,000,269 | 2,808,069 | 99,497 | (28,078,044 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 3,660,758 | 2,215,343 | 17,393,917 | (37,222,401 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 74,140,859 | 71,925,516 | 310,266,628 | 347,489,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period* | $ | 77,801,617 | $ | 74,140,859 | $ | 327,660,545 | $ | 310,266,628 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Including undistributed net investment income | $ | 1,635,180 | $ | 710,653 | $ | 10,098,474 | $ | 5,272,598 | ||||||||
|
|
|
|
|
|
|
|
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
38
Table of Contents
Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||
(Unaudited) | (Unaudited) | |||||||||||||
$ | 2,187,142 | $ | 5,362,632 | $ | 915,432 | $ | 2,287,649 | |||||||
(1,051,160) | (12,340,493 | ) | (656,550 | ) | (9,111,059 | ) | ||||||||
11,628,469 | 1,469,485 | 8,881,597 | (846,186 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
12,764,451 | (5,508,376 | ) | 9,140,479 | (7,669,596 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
— | (5,922,267 | ) | — | (2,389,446 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
— | (5,922,267 | ) | — | (2,389,446 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
5,120,603 | 10,889,257 | 2,762,449 | 7,071,127 | |||||||||||
— | 5,901,738 | — | 2,387,924 | |||||||||||
(10,991,675 | ) | (41,034,407 | ) | (7,541,463 | ) | (27,243,948 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(5,871,072 | ) | (24,243,412 | ) | (4,779,014 | ) | (17,784,897 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
6,893,379 | (35,674,055 | ) | 4,361,465 | (27,843,939 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
197,883,062 | 233,557,117 | 129,466,132 | 157,310,071 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 204,776,441 | $ | 197,883,062 | $ | 133,827,597 | $ | 129,466,132 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,651,529 | $ | 1,464,387 | $ | 3,202,951 | $ | 2,287,519 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
39
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net (3) | Expenses, Gross (3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
Conservative Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 9.35 | $ | 0.12 | # | $ | 0.03 | $ | 0.18 | $ | — | $ | — | $ | 9.68 | 3.53 | % | $ | 77,802 | 0.15 | % | 0.22 | % | 2.41 | % | 4 | % | |||||||||||||||||||||||||
2011 | 9.42 | 0.22 | # | 0.05 | (0.09 | ) | (0.25 | ) | — | 9.35 | 1.92 | 74,141 | 0.15 | 0.24 | 2.26 | 26 | ||||||||||||||||||||||||||||||||||||
2010 | 9.06 | 0.23 | # | 0.10 | 0.33 | (0.30 | ) | — | 9.42 | 7.25 | 71,926 | 0.15 | 0.20 | 2.50 | 12 | |||||||||||||||||||||||||||||||||||||
2009 | 8.00 | 0.32 | # | — | † | 1.05 | (0.31 | ) | — | 9.06 | 17.13 | 64,230 | 0.15 | 0.23 | 3.70 | 35 | ||||||||||||||||||||||||||||||||||||
2008 | 9.86 | 0.49 | 0.03 | (1.81 | ) | (0.39 | ) | (0.18 | ) | 8.00 | (12.98 | ) | 54,317 | 0.15 | 0.22 | 5.21 | 25 | |||||||||||||||||||||||||||||||||||
2007 | 10.05 | 0.50 | 0.23 | (0.07 | ) | (0.54 | ) | (0.31 | ) | 9.86 | 6.55 | 67,231 | 0.16 | 0.22 | 4.77 | 25 | ||||||||||||||||||||||||||||||||||||
Balanced Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 9.35 | $ | 0.14 | # | $ | 0.02 | $ | 0.36 | $ | — | $ | — | $ | 9.87 | 5.56 | % | $ | 327,661 | 0.14 | % | 0.14 | % | 2.97 | % | 2 | % | |||||||||||||||||||||||||
2011 | 9.64 | 0.31 | # | 0.11 | (0.31 | ) | (0.40 | ) | — | 9.35 | 1.14 | 310,267 | 0.14 | 0.14 | 3.14 | 18 | ||||||||||||||||||||||||||||||||||||
2010 | 9.00 | 0.33 | # | 0.15 | 0.60 | (0.44 | ) | — | 9.64 | 12.04 | 347,489 | 0.13 | 0.13 | 3.56 | 19 | |||||||||||||||||||||||||||||||||||||
2009 | 7.53 | 0.37 | # | 0.08 | 1.46 | (0.44 | ) | — | 9.00 | 25.28 | 326,676 | 0.14 | 0.14 | 4.46 | 20 | |||||||||||||||||||||||||||||||||||||
2008 | 11.07 | 0.51 | # | 0.17 | (3.38 | ) | (0.42 | ) | (0.42 | ) | 7.53 | (24.26 | ) | 260,123 | 0.14 | 0.14 | 5.16 | 23 | ||||||||||||||||||||||||||||||||||
2007 | 11.35 | 0.55 | # | 0.66 | (0.38 | ) | (0.62 | ) | (0.49 | ) | 11.07 | 7.32 | 353,793 | 0.16 | 0.14 | 4.62 | 12 | |||||||||||||||||||||||||||||||||||
Growth Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 9.56 | $ | 0.11 | # | $ | 0.01 | $ | 0.50 | $ | — | $ | — | $ | 10.18 | 6.49 | % | $ | 204,776 | 0.15 | % | 0.15 | % | 2.13 | % | 3 | % | |||||||||||||||||||||||||
2011 | 10.08 | 0.24 | # | 0.05 | (0.51 | ) | (0.30 | ) | — | 9.56 | (2.21 | ) | 197,883 | 0.15 | 0.15 | 2.34 | 13 | |||||||||||||||||||||||||||||||||||
2010 | 9.13 | 0.24 | # | 0.07 | 0.94 | (0.30 | ) | — | 10.08 | 13.68 | 233,557 | 0.14 | 0.14 | 2.60 | 13 | |||||||||||||||||||||||||||||||||||||
2009 | 7.35 | 0.26 | # | 0.04 | 1.78 | (0.30 | ) | — | 9.13 | 28.22 | 209,059 | 0.15 | 0.15 | 3.28 | 13 | |||||||||||||||||||||||||||||||||||||
2008 | 12.53 | 0.39 | # | 0.16 | (4.69 | ) | (0.34 | ) | (0.70 | ) | 7.35 | (32.82 | ) | 161,815 | 0.15 | 0.14 | 3.65 | 18 | ||||||||||||||||||||||||||||||||||
2007 | 12.96 | 0.41 | 0.92 | (0.37 | ) | (0.58 | ) | (0.81 | ) | 12.53 | 7.40 | 251,579 | 0.16 | 0.15 | 3.20 | 9 | ||||||||||||||||||||||||||||||||||||
Aggressive Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(6) | $ | 9.74 | $ | 0.07 | # | $ | — | $ | 0.61 | $ | — | $ | — | $ | 10.42 | 6.98 | % | $ | 133,828 | 0.15 | % | 0.17 | % | 1.34 | % | 1 | % | |||||||||||||||||||||||||
2011 | 10.44 | 0.16 | # | 0.01 | (0.69 | ) | (0.18 | ) | — | 9.74 | (4.93 | ) | 129,466 | 0.15 | 0.18 | 1.51 | 9 | |||||||||||||||||||||||||||||||||||
2010 | 9.21 | 0.16 | # | — | † | 1.24 | (0.17 | ) | — | 10.44 | 15.23 | 157,310 | 0.15 | 0.16 | 1.67 | 5 | ||||||||||||||||||||||||||||||||||||
2009 | 7.20 | 0.16 | # | — | † | 2.06 | (0.21 | ) | — | 9.21 | 30.87 | 143,264 | 0.15 | 0.17 | 2.10 | 5 | ||||||||||||||||||||||||||||||||||||
2008 | 14.07 | 0.24 | # | 0.14 | (6.15 | ) | — | (1.10 | ) | 7.20 | (40.87 | ) | 109,556 | 0.15 | 0.16 | 2.08 | 10 | |||||||||||||||||||||||||||||||||||
2007 | 14.56 | 0.27 | 1.37 | (0.56 | ) | (0.52 | ) | (1.05 | ) | 14.07 | 7.38 | 198,847 | 0.16 | 0.15 | 1.81 | 7 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds. |
(3) | Does not include expenses of the investment companies in which the Fund invests. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(5) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(6) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
See Notes to Financial Statements.
40
Table of Contents
MONEY MARKET FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 6.2% |
| |||||||
Federal Home Loan Mortgage |
| |||||||
0.18%, 11/02/12† | $ | 10,000,000 | $ | 9,997,942 | ||||
0.38%, 09/03/13† | 15,500,000 | 15,496,324 | ||||||
0.18%, 09/13/13† | 36,800,000 | 36,773,171 | ||||||
Federal National Mortgage | ||||||||
0.24%, 07/26/12† | 11,000,000 | 10,999,850 | ||||||
0.27%, 12/20/12† | 7,000,000 | 6,999,332 | ||||||
|
| |||||||
Total Agency Obligations | 80,266,619 | |||||||
|
| |||||||
CERTIFICATES OF DEPOSIT — 28.3% |
| |||||||
Australia & New Zealand Banking Group | ||||||||
0.28%, 07/27/12 | 10,000,000 | 10,000,108 | ||||||
Bank of Nova Scotia Houston |
| |||||||
0.35%, 07/17/12 | 20,000,000 | 20,000,000 | ||||||
Commonwealth Bank of Australia NY | ||||||||
0.34%, 07/16/12 | 10,000,000 | 10,000,104 | ||||||
0.28%, 08/13/12 | 10,000,000 | 10,000,000 | ||||||
Credit Suisse NY | ||||||||
0.30%, 07/11/12 | 15,000,000 | 15,000,000 | ||||||
0.34%, 09/05/12 | 14,000,000 | 14,000,000 | ||||||
National Australia Bank, | ||||||||
Ltd. NY | ||||||||
0.40%, 07/18/12 | 10,000,000 | 10,000,000 | ||||||
0.34%, 08/21/12 | 12,000,000 | 12,000,000 | ||||||
National Bank of Canada NY | ||||||||
0.35%, 08/27/12 | 13,000,000 | 13,000,000 | ||||||
Norinchukin Bank NY | ||||||||
0.18%, 07/03/12 | 45,000,000 | 45,000,000 | ||||||
Rabobank Nederland NV NY | ||||||||
0.57%, 09/17/12 | 15,000,000 | 15,000,000 | ||||||
0.53%, 10/25/12 | 20,500,000 | 20,500,000 | ||||||
Royal Bank of Canada NY | ||||||||
0.48%, 07/09/12† | 4,000,000 | 4,000,000 | ||||||
0.48%, 05/16/13† | 11,000,000 | 11,000,000 | ||||||
State Street Bank & Trust Co. |
| |||||||
0.22%, 09/26/12 | 40,000,000 | 40,000,000 | ||||||
Sumitomo Mitsui Banking Corporation NY | ||||||||
0.37%, 07/10/12 | 15,000,000 | 15,000,000 | ||||||
0.35%, 07/24/12 | 20,000,000 | 20,001,787 | ||||||
0.35%, 09/12/12 | 25,000,000 | 25,000,000 | ||||||
Svenska Handelsbanken NY | ||||||||
0.38%, 10/11/12 | 20,000,000 | 20,000,000 | ||||||
Toronto Dominion Bank NY | ||||||||
0.28%, 08/24/12 | 13,000,000 | 13,000,000 | ||||||
Westpac Banking Corporation NY | ||||||||
0.43%, 02/04/13† | 22,000,000 | 22,000,000 | ||||||
|
| |||||||
Total Certificates of Deposit | ||||||||
(Cost $364,501,999) | 364,501,999 | |||||||
|
|
Par | Value | |||||||
COMMERCIAL PAPER — 38.3% |
| |||||||
Alpine Securitization | ||||||||
0.21%, 07/17/12 | $ | 33,000,000 | $ | 32,996,920 | ||||
Bank of Tokyo-Mitsubishi Ufj |
| |||||||
0.35%, 08/02/12 | 20,000,000 | 19,993,778 | ||||||
0.35%, 08/07/12 | 15,000,000 | 14,994,604 | ||||||
0.35%, 09/12/12 | 7,000,000 | 6,995,032 | ||||||
Fairway Finance Corporation | ||||||||
0.28%, 08/03/12 | 9,000,000 | 9,000,000 | ||||||
0.28%, 08/07/12 | 13,000,000 | 13,000,000 | ||||||
0.29%, 09/27/12 | 15,000,000 | 15,000,000 | ||||||
0.27%, 11/05/12 | 23,000,000 | 23,000,000 | ||||||
General Electric Capital Corporation | ||||||||
0.30%, 08/14/12 | 12,000,000 | 11,995,600 | ||||||
Kells Funding LLC | ||||||||
0.56%, 07/09/12 | 10,000,000 | 9,998,756 | ||||||
0.60%, 09/26/12 | 13,000,000 | 12,981,150 | ||||||
Nordea North America, Inc. | ||||||||
0.60%, 08/07/12 | 15,000,000 | 14,990,750 | ||||||
0.28%, 08/22/12 | 17,000,000 | 16,993,247 | ||||||
0.31%, 09/14/12 | 15,000,000 | 14,990,469 | ||||||
NRW.Bank | ||||||||
0.27%, 07/24/12 | 15,000,000 | 14,997,412 | ||||||
Rabobank USA Financial Corporation | ||||||||
0.37%, 07/25/12 | 20,000,000 | 19,995,067 | ||||||
Regency Markets No. 1 LLC | ||||||||
0.36%, 07/16/12 | 12,084,000 | 12,082,187 | ||||||
0.36%, 07/20/12 | 10,743,000 | 10,740,959 | ||||||
Salisbury Receivables Co. LLC |
| |||||||
0.22%, 07/25/12 | 45,000,000 | 44,993,400 | ||||||
Solitaire Funding LLC | ||||||||
0.27%, 07/06/12 | 22,000,000 | 21,999,175 | ||||||
0.37%, 07/10/12 | 5,000,000 | 4,999,537 | ||||||
0.37%, 07/20/12 | 10,000,000 | 9,998,047 | ||||||
0.28%, 08/08/12 | 10,000,000 | 9,997,044 | ||||||
Svenska Handelsbank, Inc. | ||||||||
0.39%, 10/01/12 | 10,000,000 | 9,990,033 | ||||||
0.40%, 10/01/12 | 12,000,000 | 11,987,887 | ||||||
Thunder Bay Funding LLC | ||||||||
0.21%, 09/17/12 | 15,000,000 | 14,993,175 | ||||||
0.25%, 10/09/12 | 30,000,000 | 29,979,167 | ||||||
Victory Receivables | ||||||||
Corporation | ||||||||
0.18%, 07/02/12 | 35,000,000 | 34,999,835 | ||||||
Westpac Banking Corporation |
| |||||||
0.47%, 08/01/12 | 25,000,000 | 24,989,882 | ||||||
|
| |||||||
Total Commercial Paper | ||||||||
(Cost $493,673,113) | 493,673,113 | |||||||
|
|
See Notes to Financial Statements.
41
Table of Contents
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
MUNICIPAL BONDS — 15.4% | ||||||||
Alaska Housing Finance | $ | 19,100,000 | $ | 19,098,833 | ||||
California Housing Finance | 11,900,000 | 11,900,000 | ||||||
California Housing Finance | 10,700,000 | 10,700,000 | ||||||
California Pollution Control | 5,800,000 | 5,800,000 | ||||||
California Statewide | 6,420,000 | 6,420,000 | ||||||
California Statewide | 17,100,000 | 17,100,000 | ||||||
Connecticut State Health & | 12,420,000 | 12,420,000 | ||||||
Los Angeles Community | 7,700,000 | 7,700,000 | ||||||
Los Angeles County Housing | 5,799,000 | 5,799,000 | ||||||
Maryland Department of | 27,575,000 | 27,575,000 | ||||||
New York City Housing | 3,100,000 | 3,100,000 | ||||||
New York City Housing | 6,000,000 | 6,000,000 |
Par | Value | |||||||
New York City Housing | $ | 3,000,000 | $ | 3,000,000 | ||||
New York City Industrial | 7,800,000 | 7,800,000 | ||||||
New York City Municipal Water | 6,800,000 | 6,800,000 | ||||||
New York Housing Finance | 10,000,000 | 10,000,000 | ||||||
New York Housing Finance | 4,000,000 | 4,000,000 | ||||||
New York Housing Finance | 2,700,000 | 2,700,000 | ||||||
Pennsylvania Higher | 4,800,000 | 4,800,000 | ||||||
Sacramento Housing Authority, | 10,190,000 | 10,190,000 | ||||||
State of Texas, Veterans’ | 7,700,000 | 7,700,000 | ||||||
Wisconsin Housing & | 7,300,000 | 7,300,000 | ||||||
|
| |||||||
Total Municipal Bonds | ||||||||
(Cost $197,902,833) | 197,902,833 | |||||||
|
|
See Notes to Financial Statements.
42
Table of Contents
Par | Value | |||||||
TIME DEPOSIT — 1.2% | ||||||||
Bank of Nova Scotia | ||||||||
0.04%, 07/02/12 (Cost $15,411,000) | $ | 15,411,000 | $ | 15,411,000 | ||||
U.S. TREASURY OBLIGATIONS — 10.6% |
| |||||||
U.S. Treasury Bills | ||||||||
0.13%, 11/29/12 | 15,000,000 | 14,991,664 | ||||||
0.14%, 02/07/13 | 24,000,000 | 23,979,373 | ||||||
|
| |||||||
38,971,037 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
1.38%, 10/15/12 | 10,000,000 | 10,036,147 | ||||||
4.00%, 11/15/12D | 15,000,000 | 15,215,905 | ||||||
0.50%, 11/30/12 | 10,000,000 | 10,014,241 | ||||||
3.38%, 11/30/12D | 17,000,000 | 17,228,971 | ||||||
0.63%, 02/28/13 | 30,000,000 | 30,085,544 | ||||||
0.50%, 05/31/13 | 15,000,000 | 15,038,034 | ||||||
|
| |||||||
97,618,842 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $136,589,879) | 136,589,879 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% |
| |||||||
(Cost $1,288,345,443) | 1,288,345,443 | |||||||
Other Assets in Excess of | 119,506 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,288,464,949 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Commercial Paper | 38.3 | |||
Certificates of Deposit | 28.3 | |||
Municipal Bonds | 15.4 | |||
U.S. Treasury Obligations | 10.6 | |||
Agency Obligations | 6.2 | |||
Time Deposit | 1.2 | |||
|
| |||
100.0 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligations | $ | 80,266,619 | $ | — | $ | 80,266,619 | $ | — | ||||||||
Certificates of Deposit | 364,501,999 | — | 364,501,999 | — | ||||||||||||
Commercial Paper | 493,673,113 | — | 493,673,113 | — | ||||||||||||
Municipal Bonds | 197,902,833 | — | 197,902,833 | — | ||||||||||||
Time Deposit | 15,411,000 | — | 15,411,000 | — | ||||||||||||
U.S. Treasury Obligations | 136,589,879 | — | 136,589,879 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,288,345,443 | $ | — | $ | 1,288,345,443 | $ | — | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
43
Table of Contents
LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 1.0% |
| |||||||
Federal National Mortgage Association | ||||||||
0.75%, 12/19/14D | $ | 5,000,000 | $ | 5,032,533 | ||||
1.09%, 04/04/16 | 2,305,000 | 2,315,195 | ||||||
Small Business Administration | ||||||||
6.95%, 11/01/16 | 193,010 | 207,269 | ||||||
|
| |||||||
Total Agency Obligations | 7,554,997 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 6.9% |
| |||||||
AH Mortgage Advance Trust | ||||||||
2.98%, 03/13/43 144A | 990,000 | 997,635 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
1.39%, 09/08/15 | 500,000 | 502,720 | ||||||
1.23%, 09/08/16 | 1,665,000 | 1,673,075 | ||||||
3.38%, 04/09/18 | 790,000 | 803,738 | ||||||
Asset-Backed Securities Corporation Home Equity | ||||||||
0.52%, 09/25/34† | 100,868 | 88,391 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
0.30%, 11/25/36† | 12,718 | 12,627 | ||||||
1.25%, 10/25/37† | 945,905 | 596,901 | ||||||
0.44%, 01/25/47† | 640,980 | 612,083 | ||||||
BNC Mortgage Loan Trust | ||||||||
0.37%, 11/25/36† | 506,039 | 489,253 | ||||||
0.31%, 03/25/37† | 518,140 | 483,957 | ||||||
CenterPoint Energy Transition Bond Co., LLC | ||||||||
4.97%, 08/01/14 | 128,936 | 129,450 | ||||||
0.90%, 04/15/18 | 1,600,000 | 1,608,661 | ||||||
Citibank Omni Master Trust | ||||||||
2.99%, 08/15/18 144A† | 2,758,000 | 2,896,235 | ||||||
Conseco Financial Corporation | ||||||||
6.04%, 11/01/29 | 13,339 | 14,086 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
2.61%, 03/15/19 144A | 1,120,000 | 1,128,042 | ||||||
CSAB Mortgage Backed Trust | ||||||||
5.72%, 09/25/36 STEP | 702,874 | 480,816 | ||||||
Discover Card Master Trust | ||||||||
0.81%, 08/15/17 | 1,100,000 | 1,102,709 | ||||||
Enterprise Fleet Financing LLC | ||||||||
1.14%, 11/20/17 144A | 2,200,000 | 2,199,642 | ||||||
FHLMC Structured Pass-Through Securities | ||||||||
0.51%, 08/25/31† | 780,021 | 758,852 | ||||||
First Investors Auto Owner Trust | ||||||||
3.40%, 03/15/16 144A | 700,000 | 703,975 | ||||||
Ford Credit Auto Owner Trust | ||||||||
2.17%, 10/15/13 | 264,805 | 265,347 | ||||||
2.98%, 08/15/14 | 1,255,000 | 1,273,149 | ||||||
Ford Credit Floorplan Master Owner Trust | ||||||||
2.07%, 09/15/15 144A | 345,000 | 347,170 | ||||||
2.37%, 09/15/15 | 445,000 | 445,691 | ||||||
2.86%, 09/15/15 | 450,000 | 450,670 | ||||||
GE Capital Credit Card Master Note Trust | ||||||||
1.03%, 01/15/18 | 1,500,000 | 1,509,469 | ||||||
Globaldrive BV | ||||||||
4.00%, 10/20/16(E) | 268,148 | 340,707 | ||||||
1.13%, 04/20/19+ 144A(E)† | 583,208 | 740,435 |
Par | Value | |||||||
Gracechurch Card Funding PLC |
| |||||||
0.94%, 02/15/17 144A† | $ | 1,050,000 | $ | 1,050,551 | ||||
1.18%, 02/15/17 144A(E)† | 800,000 | 1,013,650 | ||||||
Hyundai Capital Auto |
| |||||||
1.24%, 09/20/16 144A† | 1,460,000 | 1,436,253 | ||||||
IFC SBA Loan-Backed | ||||||||
1.25%, 01/15/24 144A† | 133,408 | 133,409 | ||||||
LA Arena Funding LLC | ||||||||
7.66%, 12/15/26 144A | 426,694 | 466,724 | ||||||
Magnolia Funding, Ltd. | ||||||||
3.00%, 04/20/17 144A(E) | 361,720 | 458,942 | ||||||
MMAF Equipment | ||||||||
1.27%, 09/15/15 144A | 1,345,000 | 1,351,488 | ||||||
Oncor Electric Delivery | ||||||||
4.81%, 11/17/14 | 318,780 | 323,899 | ||||||
Penarth Master Issuer PLC | ||||||||
0.81%, 03/18/14 144A† | 600,000 | 600,411 | ||||||
0.89%, 05/18/15 144A† | 610,000 | 611,617 | ||||||
Residential Asset Mortgage | ||||||||
0.37%, 12/25/36† | 31,325 | 31,246 | ||||||
Santander Consumer Acquired | ||||||||
1.40%, 10/15/14 144A | 1,980,000 | 1,983,163 | ||||||
1.66%, 08/15/16 144A | 687,028 | 682,128 | ||||||
2.01%, 08/15/16 144A | 583,246 | 578,894 | ||||||
Santander Drive Auto | ||||||||
1.01%, 07/15/13 144A | 34,837 | 34,844 | ||||||
1.37%, 08/15/13 144A | 129,073 | 129,149 | ||||||
1.37%, 03/16/15 | 917,698 | 921,045 | ||||||
3.10%, 05/15/17 144A | 598,462 | 600,042 | ||||||
2.06%, 06/15/17 144A | 241,713 | 242,161 | ||||||
2.86%, 06/15/17 144A | 249,291 | 249,885 | ||||||
3.35%, 06/15/17 144A | 359,118 | 358,612 | ||||||
3.64%, 05/15/18 | 1,125,000 | 1,130,873 | ||||||
SLC Student Loan Trust | ||||||||
0.59%, 01/15/19† | 541,748 | 539,874 | ||||||
SLM Student Loan Trust | ||||||||
0.47%, 07/25/17† | 805,507 | 802,481 | ||||||
1.89%, 12/15/17 144A† | 565,762 | 567,070 | ||||||
1.77%, 01/25/18† | 3,975,000 | 4,063,003 | ||||||
0.67%, 06/15/21† | 1,085,141 | 1,049,590 | ||||||
1.34%, 12/15/21 144A† | 454,207 | 454,924 | ||||||
0.87%, 03/15/22† | 736,285 | 713,352 | ||||||
1.34%, 08/15/23 144A† | 1,730,000 | 1,729,985 | ||||||
0.58%, 10/25/24† | 750,000 | 746,217 | ||||||
3.50%, 08/17/43 144A† | 3,583,449 | 3,522,398 | ||||||
3.49%, 05/16/44 144A† | 1,810,722 | 1,876,937 | ||||||
Soundview Home Equity | ||||||||
1.10%, 08/25/31† | 311,109 | 307,764 | ||||||
Structured Asset Securities | ||||||||
1.75%, 04/25/35† | 856,101 | 728,114 | ||||||
Turbo Finance | ||||||||
2.48%, 01/20/19(U)† | 154,663 | 242,466 | ||||||
Wells Fargo Home Equity Trust | ||||||||
0.34%, 04/25/37† | 323,688 | 315,674 | ||||||
|
| |||||||
Total Asset-Backed Securities | 54,704,321 | |||||||
|
|
See Notes to Financial Statements.
44
Table of Contents
Par | Value | |||||||
CORPORATE BONDS — 24.2% | ||||||||
ABB Treasury Center, Inc. | ||||||||
2.50%, 06/15/16 144A | $ | 580,000 | $ | 600,419 | ||||
AEP Texas Central Transition | ||||||||
4.98%, 07/01/15 | 1,027,134 | 1,043,285 | ||||||
AES Corporation | ||||||||
7.75%, 03/01/14 | 375,000 | 408,750 | ||||||
Agilent Technologies, Inc. | ||||||||
4.45%, 09/14/12D | 610,000 | 614,199 | ||||||
2.50%, 07/15/13 | 810,000 | 821,267 | ||||||
5.50%, 09/14/15 | 310,000 | 347,166 | ||||||
Airgas, Inc. | ||||||||
2.85%, 10/01/13 | 1,440,000 | 1,471,431 | ||||||
Allstate Corporation | ||||||||
6.20%, 05/16/14 | 300,000 | 330,138 | ||||||
American Express Credit | ||||||||
1.32%, 06/24/14†D | 920,000 | 926,216 | ||||||
1.75%, 06/12/15D | 820,000 | 829,906 | ||||||
American Honda Finance | ||||||||
2.38%, 03/18/13 144A | 300,000 | 303,668 | ||||||
1.45%, 02/27/15 144AD | 910,000 | 914,029 | ||||||
American International | ||||||||
0.92%, 07/19/13(E)†D | 400,000 | 502,404 | ||||||
3.75%, 11/30/13 144A | 400,000 | 405,046 | ||||||
3.65%, 01/15/14 | 1,020,000 | 1,042,358 | ||||||
3.00%, 03/20/15D | 3,355,000 | 3,374,134 | ||||||
8.25%, 08/15/18 144A | 1,350,000 | 1,633,732 | ||||||
AmeriGas Partners LP | ||||||||
6.25%, 08/20/19D | 500,000 | 505,000 | ||||||
Amgen, Inc. | ||||||||
1.88%, 11/15/14D | 1,513,000 | 1,537,370 | ||||||
Astoria Financial Corporation | ||||||||
5.00%, 06/19/17D | 770,000 | 770,784 | ||||||
AT&T, Inc. | ||||||||
0.88%, 02/13/15D | 1,040,000 | 1,039,892 | ||||||
1.70%, 06/01/17D | 1,100,000 | 1,106,413 | ||||||
AutoZone, Inc. | ||||||||
5.50%, 11/15/15D | 525,000 | 589,913 | ||||||
AvalonBay Communities, Inc. | ||||||||
6.13%, 11/01/12D | 317,000 | 322,107 | ||||||
Bank of America Corporation | ||||||||
5.38%, 09/11/12D | 800,000 | 806,075 | ||||||
3.75%, 07/12/16D | 420,000 | 423,809 | ||||||
6.50%, 08/01/16 | 2,640,000 | 2,901,682 | ||||||
3.88%, 03/22/17D | 1,860,000 | 1,896,808 | ||||||
Bank of New York Mellon | ||||||||
4.30%, 05/15/14D | 790,000 | 842,627 | ||||||
BB&T Corporation | ||||||||
3.38%, 09/25/13 | 400,000 | 411,602 | ||||||
1.17%, 04/28/14† | 310,000 | 311,860 | ||||||
Best Buy Co., Inc. | ||||||||
6.75%, 07/15/13D | 320,000 | 333,620 | ||||||
BMW US Capital LLC | ||||||||
0.92%, 12/21/12† | 3,000,000 | 2,996,535 | ||||||
Broadcom Corporation | ||||||||
1.50%, 11/01/13 | 520,000 | 526,560 | ||||||
Brocade Communications | ||||||||
6.63%, 01/15/18 | 1,055,000 | 1,110,388 |
Par | Value | |||||||
Capital One Capital V | ||||||||
10.25%, 08/15/39 | $ | 830,000 | $ | 850,750 | ||||
Capital One Capital VI | ||||||||
8.88%, 05/15/40 | 415,000 | 423,819 | ||||||
Capital One Financial | ||||||||
6.25%, 11/15/13 | 1,210,000 | 1,281,184 | ||||||
2.13%, 07/15/14D | 600,000 | 605,408 | ||||||
CareFusion Corporation | ||||||||
4.13%, 08/01/12 | 1,720,000 | 1,724,629 | ||||||
Cellco Partnership/Verizon | ||||||||
5.55%, 02/01/14 | 400,000 | 428,376 | ||||||
Centerpoint Energy Houston | ||||||||
5.70%, 03/15/13 | 1,114,000 | 1,153,716 | ||||||
CenterPoint Energy, Inc. | ||||||||
6.85%, 06/01/15D | 710,000 | 800,722 | ||||||
CenturyLink, Inc. | ||||||||
5.50%, 04/01/13 | 790,000 | 811,844 | ||||||
Chesapeake Energy Corporation | ||||||||
7.63%, 07/15/13D | 355,000 | 367,869 | ||||||
Citigroup, Inc. | ||||||||
1.32%, 02/15/13† | 730,000 | 730,141 | ||||||
2.47%, 08/13/13† | 700,000 | 705,094 | ||||||
6.00%, 12/13/13 | 300,000 | 315,394 | ||||||
4.45%, 01/10/17 | 2,230,000 | 2,339,970 | ||||||
CMS Energy Corporation | ||||||||
4.25%, 09/30/15D | 255,000 | 266,393 | ||||||
Coca-Cola Enterprises, Inc. | ||||||||
1.13%, 11/12/13D | 780,000 | 783,497 | ||||||
ConocoPhillips | ||||||||
4.75%, 10/15/12 | 1,000,000 | 1,011,233 | ||||||
4.75%, 02/01/14D | 400,000 | 425,018 | ||||||
Constellation Energy | ||||||||
4.55%, 06/15/15 | 582,000 | 625,454 | ||||||
Coventry Health Care, Inc. | ||||||||
5.95%, 03/15/17 | 575,000 | 653,252 | ||||||
Credit Suisse Group | ||||||||
3.13%, 09/14/12(E) | 925,000 | 1,175,098 | ||||||
Daimler Finance NA LLC | ||||||||
1.07%, 03/28/14 144A† | 2,600,000 | 2,595,177 | ||||||
1.95%, 03/28/14 144A | 1,120,000 | 1,131,620 | ||||||
Danaher Corporation | ||||||||
1.30%, 06/23/14 | 300,000 | 303,268 | ||||||
DENTSPLY International, Inc. | ||||||||
1.97%, 08/15/13† | 590,000 | 593,451 | ||||||
Digital Realty Trust LP | ||||||||
4.50%, 07/15/15 | 425,000 | 444,207 | ||||||
DIRECTV Holdings LLC | ||||||||
4.75%, 10/01/14D | 680,000 | 730,321 | ||||||
DISH DBS Corporation | ||||||||
4.63%, 07/15/17 144AD | 770,000 | 774,812 | ||||||
Dollar General Corporation | ||||||||
4.13%, 07/15/17D | 650,000 | 662,188 | ||||||
DTE Energy Co. | ||||||||
1.17%, 06/03/13† | 630,000 | 631,193 | ||||||
Duke Realty LP | ||||||||
5.40%, 08/15/14 | 440,000 | 467,555 | ||||||
Eastman Chemical Co. | ||||||||
2.40%, 06/01/17 | 400,000 | 404,704 | ||||||
eBay, Inc. | ||||||||
0.88%, 10/15/13D | 330,000 | 332,033 |
See Notes to Financial Statements.
45
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Enterprise Products | ||||||||
6.13%, 02/01/13 | $ | 1,005,000 | $ | 1,032,772 | ||||
6.38%, 02/01/13 | 750,000 | 771,704 | ||||||
5.65%, 04/01/13 | 1,030,000 | 1,062,810 | ||||||
EOG Resources, Inc. | ||||||||
1.22%, 02/03/14† | 2,900,000 | 2,925,723 | ||||||
Equifax, Inc. | ||||||||
4.45%, 12/01/14D | 140,000 | 147,977 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 07/01/13 144A | 370,000 | 375,020 | ||||||
2.25%, 01/10/14 144A | 330,000 | 332,104 | ||||||
Exelon Generation Co., LLC | ||||||||
5.35%, 01/15/14D | 808,000 | 856,187 | ||||||
Express Scripts Holding Co. | ||||||||
2.10%, 02/12/15 144A | 280,000 | 282,916 | ||||||
3.50%, 11/15/16 144A | 416,000 | 438,435 | ||||||
2.65%, 02/15/17 144A | 1,065,000 | 1,084,671 | ||||||
Federal Express Corporation | ||||||||
2.63%, 01/15/18 144A | 587,000 | 587,015 | ||||||
Ford Motor Credit Co., LLC | ||||||||
7.50%, 08/01/12D | 3,000,000 | 3,012,051 | ||||||
3.88%, 01/15/15D | 2,781,000 | 2,865,634 | ||||||
3.00%, 06/12/17 | 560,000 | 557,549 | ||||||
Freeport-McMoRan | ||||||||
1.40%, 02/13/15D | 200,000 | 199,444 | ||||||
2.15%, 03/01/17D | 210,000 | 207,277 | ||||||
Frontier Communications | ||||||||
6.25%, 01/15/13 | 830,000 | 851,269 | ||||||
General Electric Capital | ||||||||
1.88%, 09/16/13 | 200,000 | 202,146 | ||||||
1.10%, 04/07/14† | 700,000 | 699,747 | ||||||
5.90%, 05/13/14 | 460,000 | 499,895 | ||||||
3.75%, 11/14/14D | 660,000 | 693,315 | ||||||
2.15%, 01/09/15D | 960,000 | 976,774 | ||||||
Genworth Financial, Inc. | ||||||||
5.75%, 06/15/14D | 910,000 | 925,159 | ||||||
Genzyme Corporation | ||||||||
3.63%, 06/15/15 | 395,000 | 424,067 | ||||||
George Washington | ||||||||
1.83%, 09/15/17 | 3,100,000 | 3,126,428 | ||||||
Georgia Power Co. | ||||||||
1.30%, 09/15/13 | 720,000 | 726,065 | ||||||
Georgia-Pacific LLC | ||||||||
8.25%, 05/01/16 144A | 1,535,000 | 1,694,752 | ||||||
Gilead Sciences, Inc. | ||||||||
2.40%, 12/01/14D | 280,000 | 288,745 | ||||||
Goldman Sachs Group, Inc. | ||||||||
1.47%, 02/07/14† | 910,000 | 899,549 | ||||||
5.13%, 01/15/15 | 225,000 | 235,051 | ||||||
3.30%, 05/03/15D | 1,290,000 | 1,290,686 | ||||||
3.63%, 02/07/16 | 1,780,000 | 1,781,682 | ||||||
1.03%, 05/23/16(E)† | 2,900,000 | 3,335,925 | ||||||
Hartford Financial Services | ||||||||
4.00%, 03/30/15 | 320,000 | 335,823 | ||||||
HCP, Inc. | ||||||||
2.70%, 02/01/14 | 210,000 | 213,436 | ||||||
Health Care REIT, Inc. | ||||||||
6.00%, 11/15/13 | 540,000 | 566,374 |
Par | Value | |||||||
Hewlett-Packard Co. | ||||||||
0.75%, 05/24/13† | $ | 3,600,000 | $ | 3,593,095 | ||||
2.63%, 12/09/14D | 520,000 | 532,877 | ||||||
2.35%, 03/15/15D | 800,000 | 813,014 | ||||||
HSBC USA, Inc. | ||||||||
2.38%, 02/13/15 | 400,000 | 404,814 | ||||||
Hyundai Capital America | ||||||||
3.75%, 04/06/16 144A | 190,000 | 197,153 | ||||||
Ingredion, Inc. | ||||||||
3.20%, 11/01/15 | 200,000 | 208,796 | ||||||
International Business | ||||||||
2.10%, 05/06/13 | 1,250,000 | 1,266,862 | ||||||
Interpublic Group of Cos., Inc. | ||||||||
6.25%, 11/15/14 | 700,000 | 768,250 | ||||||
Jabil Circuit, Inc. | ||||||||
7.75%, 07/15/16D | 295,000 | 337,775 | ||||||
JB Hunt Transport | ||||||||
3.38%, 09/15/15 | 550,000 | 568,458 | ||||||
John Deere Capital Corporation | ||||||||
0.95%, 06/29/15D | 1,080,000 | 1,082,570 | ||||||
JPMorgan Chase & Co. | ||||||||
3.70%, 01/20/15D | 1,000,000 | 1,043,715 | ||||||
Kellogg Co. | ||||||||
1.13%, 05/15/15D | 760,000 | 764,194 | ||||||
KeyCorp | ||||||||
3.75%, 08/13/15D | 360,000 | 381,453 | ||||||
Kraft Foods Group, Inc. | ||||||||
1.63%, 06/04/15 144A | 350,000 | 353,954 | ||||||
Kraft Foods, Inc. | ||||||||
2.63%, 05/08/13 | 230,000 | 233,452 | ||||||
1.34%, 07/10/13† | 2,900,000 | 2,911,342 | ||||||
5.25%, 10/01/13D | 230,000 | 242,175 | ||||||
Kroger Co. | ||||||||
2.20%, 01/15/17 | 500,000 | 506,129 | ||||||
Lehman Escrow Bonds | ||||||||
0.00%, 03/01/42+ | 2,600,000 | ��� | ||||||
0.00%, 12/31/99 | 600,000 | 139,500 | ||||||
Life Technologies Corporation | ||||||||
4.40%, 03/01/15 | 600,000 | 638,026 | ||||||
3.50%, 01/15/16D | 800,000 | 833,562 | ||||||
Lincoln National Corporation | ||||||||
4.30%, 06/15/15 | 1,210,000 | 1,275,707 | ||||||
Masco Corporation | ||||||||
4.80%, 06/15/15 | 365,000 | 375,285 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
5.45%, 02/05/13 | 1,500,000 | 1,530,384 | ||||||
6.75%, 05/21/13(E) | 700,000 | 918,097 | ||||||
5.00%, 01/15/15D | 2,700,000 | 2,795,216 | ||||||
MetLife, Inc. | ||||||||
2.38%, 02/06/14D | 290,000 | 296,023 | ||||||
Metropolitan Life Global | ||||||||
1.22%, 01/10/14 144A† | 1,000,000 | 1,001,170 | ||||||
Microsoft Corporation | ||||||||
2.95%, 06/01/14 | 900,000 | 941,220 | ||||||
MidAmerican Energy | ||||||||
5.88%, 10/01/12 | 550,000 | 556,947 | ||||||
Morgan Stanley | ||||||||
1.45%, 04/29/13† | 1,010,000 | 996,214 | ||||||
Nabors Industries, Inc. | ||||||||
9.25%, 01/15/19 | 2,300,000 | 2,989,977 |
See Notes to Financial Statements.
46
Table of Contents
Par | Value | |||||||
National Rural Utilities | ||||||||
1.13%, 11/01/13 | $ | 330,000 | $ | 332,099 | ||||
1.00%, 02/02/15D | 390,000 | 392,193 | ||||||
NBCUniversal Media LLC | ||||||||
3.65%, 04/30/15 | 550,000 | 584,731 | ||||||
NCUA Guaranteed Notes | ||||||||
1.40%, 06/12/15+ | 1,180,000 | 1,203,293 | ||||||
New York Life Global | ||||||||
0.73%, 04/04/14 144A† | 1,600,000 | 1,599,445 | ||||||
1.30%, 01/12/15 144AD | 1,715,000 | 1,719,709 | ||||||
NextEra Energy Capital | ||||||||
2.55%, 11/15/13 | 750,000 | 761,266 | ||||||
Nissan Motor Acceptance | ||||||||
3.25%, 01/30/13 144A | 580,000 | 585,679 | ||||||
Northeast Utilities | ||||||||
1.22%, 09/20/13† | 1,325,000 | 1,330,781 | ||||||
Novartis Capital Corporation | ||||||||
4.13%, 02/10/14 | 210,000 | 221,780 | ||||||
Oracle Corporation | ||||||||
3.75%, 07/08/14 | 970,000 | 1,030,483 | ||||||
Overseas Private Investment | ||||||||
0.92%, 04/15/16W† | 1,600,000 | 2,129,611 | ||||||
0.00%, 07/12/16† | 2,100,000 | 2,562,132 | ||||||
PACCAR Financial Corporation | ||||||||
1.55%, 09/29/14 | 470,000 | 477,356 | ||||||
1.05%, 06/05/15 | 220,000 | 220,891 | ||||||
Pacific Life Global Funding | ||||||||
5.15%, 04/15/13 144A | 460,000 | 475,996 | ||||||
Penske Truck Leasing Co. LP | ||||||||
3.13%, 05/11/15 144AD | 1,915,000 | 1,927,758 | ||||||
Petrohawk Energy Corp | ||||||||
7.25%, 08/15/18 | 1,030,000 | 1,159,759 | ||||||
Pfizer, Inc. | ||||||||
3.63%, 06/03/13(E) | 100,000 | 129,954 | ||||||
Phillips 66 | ||||||||
1.95%, 03/05/15 144A | 210,000 | 211,641 | ||||||
2.95%, 05/01/17 144A | 210,000 | 216,031 | ||||||
Principal Financial Group, Inc. | ||||||||
7.88%, 05/15/14D | 615,000 | 685,214 | ||||||
Procter & Gamble Co. | ||||||||
3.50%, 02/15/15D | 200,000 | 214,469 | ||||||
Prudential Financial, Inc. | ||||||||
3.63%, 09/17/12 | 945,000 | 950,507 | ||||||
2.75%, 01/14/13 | 650,000 | 656,499 | ||||||
Raytheon Co. | ||||||||
1.40%, 12/15/14 | 320,000 | 324,864 | ||||||
Regions Financial Corporation | ||||||||
4.88%, 04/26/13D | 649,000 | 660,358 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
7.75%, 10/15/16 144AD | 595,000 | 629,213 | ||||||
Rockies Express Pipeline LLC | ||||||||
3.90%, 04/15/15 144A | 663,000 | 641,452 | ||||||
Rock-Tenn Co. | ||||||||
4.45%, 03/01/19 144A | 315,000 | 324,029 | ||||||
Rohm & Haas Co. | ||||||||
3.50%, 09/19/12(E) | 990,000 | 1,258,510 | ||||||
Ryder System, Inc. | ||||||||
2.50%, 03/01/17 | 975,000 | 984,849 |
Par | Value | |||||||
Samsung Electronics | ||||||||
1.75%, 04/10/17 144A | $ | 1,150,000 | $ | 1,148,327 | ||||
SBA Tower Trust | ||||||||
4.25%, 04/15/15 144AD | 510,000 | 534,604 | ||||||
SESI LLC | ||||||||
6.88%, 06/01/14 | 1,330,000 | 1,331,662 | ||||||
Simon Property | ||||||||
4.20%, 02/01/15 | 140,000 | 147,679 | ||||||
SLM Corporation | ||||||||
5.00%, 10/01/13 | 1,220,000 | 1,262,700 | ||||||
Southeast Supply Header LLC | ||||||||
4.85%, 08/15/14 144A | 945,000 | 995,139 | ||||||
Steel Dynamics, Inc. | ||||||||
6.75%, 04/01/15D | 1,250,000 | 1,275,000 | ||||||
SteelRiver Transmission Co., LLC | ||||||||
4.71%, 06/30/17 144A | 593,778 | 612,733 | ||||||
Stryker Corporation | ||||||||
3.00%, 01/15/15D | 450,000 | 473,808 | ||||||
2.00%, 09/30/16 | 850,000 | 871,746 | ||||||
TD Ameritrade Holding | ||||||||
4.15%, 12/01/14D | 660,000 | 698,091 | ||||||
Tennessee Gas Pipeline Co. | ||||||||
8.00%, 02/01/16 144A | 1,170,000 | 1,382,179 | ||||||
Tesoro Corporation | ||||||||
6.63%, 11/01/15D | 860,000 | 879,350 | ||||||
Tiers Trust United States | ||||||||
2.22%, 05/12/14 144A† | 1,385,000 | 1,385,000 | ||||||
Time Warner Cable, Inc. | ||||||||
7.50%, 04/01/14 | 350,000 | 388,203 | ||||||
Time Warner, Inc. | ||||||||
3.15%, 07/15/15D | 290,000 | 306,063 | ||||||
Toyota Motor Credit | ||||||||
1.00%, 02/17/15D | 1,460,000 | 1,462,670 | ||||||
Union Bank NA | ||||||||
2.13%, 12/16/13 | 790,000 | 802,267 | ||||||
1.42%, 06/06/14† | 3,000,000 | 2,985,330 | ||||||
United Air Lines, Inc. | ||||||||
10.40%, 05/01/18D | 703,290 | 802,665 | ||||||
9.75%, 07/15/18 | 768,095 | 873,708 | ||||||
United Technologies | ||||||||
1.20%, 06/01/15D | 220,000 | 222,719 | ||||||
1.80%, 06/01/17 | 870,000 | 889,519 | ||||||
Universal City Development | ||||||||
8.88%, 11/15/15 | 1,014,000 | 1,086,621 | ||||||
US Bancorp | ||||||||
1.38%, 09/13/13 | 720,000 | 726,333 | ||||||
Verizon Communications, Inc. | ||||||||
1.25%, 11/03/14D | 1,250,000 | 1,266,105 | ||||||
Vornado Realty LP | ||||||||
4.25%, 04/01/15D | 700,000 | 738,704 | ||||||
Wachovia Bank NA | ||||||||
4.80%, 11/01/14D | 360,000 | 383,844 | ||||||
Wachovia Corporation | ||||||||
5.50%, 05/01/13 | 3,100,000 | 3,221,802 | ||||||
WellPoint, Inc. | ||||||||
2.38%, 02/15/17D | 1,060,000 | 1,087,508 |
See Notes to Financial Statements.
47
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Wells Fargo & Co. | ||||||||
3.75%, 10/01/14 | $ | 1,000,000 | $ | 1,056,357 | ||||
1.50%, 07/01/15D | 440,000 | 440,653 | ||||||
WM Wrigley Jr Co. | ||||||||
3.70%, 06/30/14 144A | 1,420,000 | 1,467,868 | ||||||
WPX Energy Inc | ||||||||
5.25%, 01/15/17 144AD | 780,000 | 793,650 | ||||||
Xerox Corporation | ||||||||
1.87%, 09/13/13†D | 1,305,000 | 1,314,590 | ||||||
XTO Energy, Inc. | ||||||||
6.25%, 04/15/13 | 600,000 | 625,435 | ||||||
|
| |||||||
Total Corporate Bonds (Cost $188,750,744) | 191,097,350 | |||||||
|
| |||||||
FOREIGN BONDS — 18.9% |
| |||||||
Australia — 1.5% | ||||||||
Asciano Finance, Ltd. | ||||||||
3.13%, 09/23/15 144A | 620,000 | 617,515 | ||||||
Australia Government Bond | ||||||||
5.50%, 12/15/13(A) | 3,200,000 | 3,417,494 | ||||||
BHP Billiton Finance USA, Ltd. | ||||||||
1.00%, 02/24/15D | 1,100,000 | 1,103,174 | ||||||
Commonwealth Bank of Australia | ||||||||
2.13%, 03/17/14 144A | 850,000 | 862,053 | ||||||
2.90%, 09/17/14 144A | 3,000,000 | 3,141,309 | ||||||
National Australia Bank | ||||||||
2.00%, 03/09/15D | 1,040,000 | 1,043,316 | ||||||
Rio Tinto Finance USA, PLC | ||||||||
1.13%, 03/20/15D | 500,000 | 501,457 | ||||||
Westfield Capital | ||||||||
5.13%, 11/15/14 144A | 730,000 | 772,768 | ||||||
Woodside Finance, Ltd. | ||||||||
4.50%, 11/10/14 144A | 490,000 | 518,625 | ||||||
|
| |||||||
11,977,711 | ||||||||
|
| |||||||
Bermuda — 0.2% | ||||||||
Ingersoll-Rand Global | ||||||||
9.50%, 04/15/14 | 880,000 | 1,000,644 | ||||||
Qtel International Finance, Ltd. | ||||||||
6.50%, 06/10/14 144A | 660,000 | 722,040 | ||||||
|
| |||||||
1,722,684 | ||||||||
|
| |||||||
Brazil — 0.3% | ||||||||
Banco Bradesco SA | ||||||||
2.57%, 05/16/14 144A† | 520,000 | 519,597 | ||||||
Banco do Brasil SA | ||||||||
4.50%, 01/22/15 144A | 680,000 | 722,500 | ||||||
Banco do Nordeste do Brasil SA | ||||||||
3.63%, 11/09/15 144AD | 710,000 | 720,650 | ||||||
Companhia de Eletricidade | ||||||||
11.75%, 04/27/16 144A(B) | 1,200,000 | 642,270 | ||||||
|
| |||||||
2,605,017 | ||||||||
|
| |||||||
Canada — 3.5% | ||||||||
Bank of Nova Scotia | ||||||||
1.85%, 01/12/15D | 970,000 | 988,585 | ||||||
2.15%, 08/03/16 144A | 690,000 | 717,802 | ||||||
1.75%, 03/22/17 144AD | 1,211,000 | 1,236,598 | ||||||
Barrick Gold Corporation | ||||||||
1.75%, 05/30/14 | 340,000 | 344,336 |
Par | Value | |||||||
Caisse Centrale Desjardins | ||||||||
1.70%, 09/16/13 144A | $ | 1,320,000 | $ | 1,333,473 | ||||
1.60%, 03/06/17 144AD | 849,000 | 859,481 | ||||||
Canadian Government Bond | ||||||||
2.25%, 08/01/14(C) | 5,200,000 | 5,235,497 | ||||||
Canadian Imperial Bank of | ||||||||
2.00%, 02/04/13 144A | 1,060,000 | 1,069,937 | ||||||
CDP Financial, Inc. | ||||||||
3.00%, 11/25/14 144A | 735,000 | 773,343 | ||||||
Manulife Financial Corporation | ||||||||
3.40%, 09/17/15 | 5,000 | 5,142 | ||||||
National Bank of Canada | ||||||||
1.50%, 06/26/15D | 1,920,000 | 1,927,306 | ||||||
Nexen, Inc. | ||||||||
5.20%, 03/10/15 | 790,000 | 840,098 | ||||||
NOVA Chemicals Corporation | ||||||||
8.38%, 11/01/16 | 1,250,000 | 1,396,875 | ||||||
Province of Manitoba | ||||||||
1.38%, 04/28/14 | 1,000,000 | 1,017,922 | ||||||
Province of Ontario | ||||||||
2.95%, 02/05/15D | 800,000 | 844,542 | ||||||
2.30%, 05/10/16D | 3,000,000 | 3,132,645 | ||||||
Rogers Communications, Inc. | ||||||||
6.25%, 06/15/13 | 1,300,000 | 1,365,913 | ||||||
6.38%, 03/01/14 | 320,000 | 348,660 | ||||||
Teck Resources, Ltd. | ||||||||
3.15%, 01/15/17 | 346,000 | 357,280 | ||||||
Toronto-Dominion Bank | ||||||||
1.38%, 07/14/14 | 670,000 | 677,391 | ||||||
1.63%, 09/14/16D | 284,000 | 289,563 | ||||||
1.50%, 03/13/17 144A | 2,146,000 | 2,166,911 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
3.40%, 06/01/15 | 360,000 | 383,835 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
2.85%, 11/10/14 144A | 540,000 | 550,578 | ||||||
|
| |||||||
27,863,713 | ||||||||
|
| |||||||
Cayman Islands — 0.4% | ||||||||
IPIC GMTN, Ltd. | ||||||||
3.13%, 11/15/15 144A | 330,000 | 341,963 | ||||||
Petrobras International | ||||||||
2.88%, 02/06/15D | 300,000 | 305,250 | ||||||
3.88%, 01/27/16 | 590,000 | 612,090 | ||||||
Thames Water Utilities Cayman Finance, Ltd. | ||||||||
6.13%, 02/04/13(E) | 1,000,000 | 1,303,376 | ||||||
Transocean, Inc. | ||||||||
4.95%, 11/15/15D | 595,000 | 641,118 | ||||||
|
| |||||||
3,203,797 | ||||||||
|
| |||||||
Chile — 0.6% | ||||||||
Banco Santander Chile | ||||||||
2.07%, 01/19/16 144A† | 2,500,000 | 2,304,025 | ||||||
Celulosa Arauco y | ||||||||
5.63%, 04/20/15D | 1,260,000 | 1,364,250 | ||||||
Corporacion Nacional del | ||||||||
4.75%, 10/15/14 144A | 960,000 | 1,026,122 | ||||||
|
| |||||||
4,694,397 | ||||||||
|
|
See Notes to Financial Statements.
48
Table of Contents
Par | Value | |||||||
Denmark — 0.2% | ||||||||
Danske Bank A/S | ||||||||
1.52%, 04/14/14 144A† | $ | 950,000 | $ | 929,419 | ||||
FIH Erhvervsbank A/S | ||||||||
2.45%, 08/17/12 144A | 450,000 | 451,162 | ||||||
|
| |||||||
1,380,581 | ||||||||
|
| |||||||
France — 1.6% | ||||||||
Banque PSA Finance SA | ||||||||
2.36%, 04/04/14 144A† | 2,000,000 | 1,946,154 | ||||||
BPCE SA | ||||||||
2.22%, 02/07/14 144A† | 2,300,000 | 2,273,308 | ||||||
Cie de Financement Foncier SA | ||||||||
2.13%, 04/22/13 144A | 3,000,000 | 3,017,862 | ||||||
RCI Banque SA | ||||||||
1.67%, 04/07/15(E)† | 900,000 | 1,018,318 | ||||||
Sanofi SA | ||||||||
1.63%, 03/28/14 | 510,000 | 518,799 | ||||||
Total Capital International SA | ||||||||
1.50%, 02/17/17 | 320,000 | 321,624 | ||||||
Total Capital SA | ||||||||
3.00%, 06/24/15D | 2,800,000 | 2,973,687 | ||||||
Veolia Environnement SA | ||||||||
5.25%, 06/03/13D | 520,000 | 536,880 | ||||||
|
| |||||||
12,606,632 | ||||||||
|
| |||||||
Germany — 2.1% | ||||||||
Bundesschatzanweisungen | ||||||||
0.75%, 09/13/13(E) | 7,300,000 | 9,313,634 | ||||||
Deutsche Bank AG | ||||||||
5.38%, 10/12/12 | 3,855,000 | 3,904,718 | ||||||
State of North | ||||||||
1.63%, 09/17/14 | 3,100,000 | 3,129,103 | ||||||
|
| |||||||
16,347,455 | ||||||||
|
| |||||||
India — 0.0% | ||||||||
ICICI Bank, Ltd. | ||||||||
5.50%, 03/25/15 144A | 395,000 | 404,739 | ||||||
Ireland — 0.4% | ||||||||
DanFin Funding, Ltd. | ||||||||
1.17%, 07/16/13 144A† | 2,800,000 | 2,810,791 | ||||||
Italy — 0.5% | ||||||||
Intesa Sanpaolo SpA | ||||||||
2.87%, 02/24/14 144A† | 2,900,000 | 2,724,443 | ||||||
Telecom Italia SpA | ||||||||
1.19%, 12/06/12(E)† | 900,000 | 1,132,029 | ||||||
|
| |||||||
3,856,472 | ||||||||
|
| |||||||
Luxembourg — 0.4% | ||||||||
Covidien International | ||||||||
1.88%, 06/15/13D | 570,000 | 575,764 | ||||||
1.35%, 05/29/15D | 270,000 | 270,542 | ||||||
Gazprom OAO Via Gaz | ||||||||
9.25%, 04/23/19D | 700,000 | 876,603 | ||||||
6.00%, 01/23/21 144A@ | 1,300,000 | 1,400,126 | ||||||
|
| |||||||
3,123,035 | ||||||||
|
| |||||||
Mexico — 0.7% | ||||||||
America Movil SAB de CV | ||||||||
3.63%, 03/30/15D | 200,000 | 213,713 | ||||||
2.38%, 09/08/16 | 380,000 | 391,742 |
Par | Value | |||||||
Mexican Bonos | ||||||||
7.25%, 12/15/16(M) | $ | 19,500,000 | $ | 1,603,057 | ||||
Petroleos Mexicanos | ||||||||
4.88%, 03/15/15D | 1,250,000 | 1,354,688 | ||||||
5.50%, 01/21/21 | 1,400,000 | 1,589,000 | ||||||
|
| |||||||
5,152,200 | ||||||||
|
| |||||||
Netherlands — 1.4% | ||||||||
Achmea Hypotheekbank NV | ||||||||
3.20%, 11/03/14 144A | 2,672,000 | 2,788,809 | ||||||
Cooperatieve Centrale | ||||||||
0.95%, 10/08/12(E)† | 1,020,000 | 1,291,660 | ||||||
ING Bank NV | ||||||||
1.52%, 03/15/13 144A† | 1,730,000 | 1,730,931 | ||||||
3.75%, 03/07/17 144A | 900,000 | | 896,730 | | ||||
Volkswagen International | ||||||||
0.91%, 10/01/12 144A† | 1,700,000 | 1,701,231 | ||||||
1.21%, 03/21/14 144A†@ | 100,000 | 100,088 | ||||||
1.07%, 04/01/14 144A† | 1,200,000 | 1,198,140 | ||||||
1.63%, 03/22/15 144A | 1,100,000 | 1,104,541 | ||||||
|
| |||||||
10,812,130 | ||||||||
|
| |||||||
Netherlands Antilles — 0.0% | ||||||||
Teva Pharmaceutical | ||||||||
1.70%, 03/21/14 | 300,000 | 304,373 | ||||||
|
| |||||||
Norway — 0.1% | ||||||||
Sparebank 1 Boligkreditt AS | ||||||||
1.25%, 10/25/14 144A | 370,000 | 371,956 | ||||||
Statoil ASA | ||||||||
2.90%, 10/15/14 | 650,000 | 682,088 | ||||||
|
| |||||||
1,054,044 | ||||||||
|
| |||||||
Panama — 0.0% | ||||||||
Panama Government | ||||||||
7.25%, 03/15/15 | 265,000 | 303,425 | ||||||
|
| |||||||
Peru — 0.0% | ||||||||
Banco de Credito del Peru | ||||||||
6.13%, 04/24/27 144A†D | 380,000 | 391,400 | ||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Obrigacoes do Tesouro | ||||||||
2.17%, 05/16/47(E) | 619,905 | 784,209 | ||||||
|
| |||||||
Qatar — 0.1% | ||||||||
Qatar Government | ||||||||
3.13%, 01/20/17D | 580,000 | 607,550 | ||||||
|
| |||||||
Singapore — 0.1% | ||||||||
Oversea-Chinese Banking | ||||||||
1.63%, 03/13/15 144A | 500,000 | 502,717 | ||||||
|
| |||||||
South Africa — 0.1% | ||||||||
South Africa Government | ||||||||
6.50%, 06/02/14 | 530,000 | 584,590 | ||||||
|
| |||||||
South Korea — 0.9% | ||||||||
Export-Import Bank of Korea | ||||||||
1.62%, 09/21/13 144A@ | 2,400,000 | 2,405,823 | ||||||
Hyundai Capital Services, Inc. | ||||||||
4.38%, 07/27/16 144A | 2,900,000 | 3,050,664 |
See Notes to Financial Statements.
49
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Korea National Oil Corporation | ||||||||
2.88%, 11/09/15 | $ | 770,000 | $ | 785,480 | ||||
Lotte Shopping Co., Ltd. | ||||||||
3.38%, 05/09/17 144A | 730,000 | 743,104 | ||||||
|
| |||||||
6,985,071 | ||||||||
|
| |||||||
Spain — 0.1% | ||||||||
Telefonica Emisiones SA | ||||||||
2.58%, 04/26/13D | 710,000 | 699,527 | ||||||
|
| |||||||
Supranational — 0.1% | ||||||||
Asian Development Bank | ||||||||
3.38%, 05/20/14(K) | 6,400,000 | 1,106,423 | ||||||
|
| |||||||
Sweden — 0.9% | ||||||||
Nordea Bank AB | ||||||||
1.37%, 01/14/14 144A†D | 2,900,000 | 2,901,624 | ||||||
2.25%, 03/20/15 144A | 995,000 | 999,242 | ||||||
Stadshypotek AB | ||||||||
1.45%, 09/30/13 144AD | 2,900,000 | 2,923,409 | ||||||
|
| |||||||
6,824,275 | ||||||||
|
| |||||||
Switzerland — 0.2% | ||||||||
Credit Suisse NY | ||||||||
1.43%, 01/14/14†D | 1,200,000 | 1,201,813 | ||||||
|
| |||||||
United Kingdom — 2.3% | ||||||||
Anglo American Capital PLC | ||||||||
2.15%, 09/27/13 144A | 360,000 | 362,784 | ||||||
Barclays Bank PLC | ||||||||
2.50%, 01/23/13 | 1,700,000 | 1,712,626 | ||||||
1.51%, 01/13/14† | 580,000 | 580,875 | ||||||
2.38%, 01/13/14D | 2,900,000 | 2,907,937 | ||||||
BP Capital Markets PLC | ||||||||
5.25%, 11/07/13 | 1,047,000 | 1,109,769 | ||||||
British Telecom- | ||||||||
2.00%, 06/22/15 | 2,110,000 | 2,140,530 | ||||||
Experian Finance PLC | ||||||||
2.38%, 06/15/17 144A | 540,000 | 541,232 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
0.75%, 05/08/15 | 670,000 | 670,394 | ||||||
HSBC Bank PLC | ||||||||
1.27%, 01/17/14 144A†D | 1,230,000 | 1,233,239 | ||||||
1.63%, 07/07/14 144AD | 650,000 | 655,574 | ||||||
3.10%, 05/24/16 144A | 1,015,000 | 1,049,050 | ||||||
Kingfisher PLC | ||||||||
4.13%, 11/23/12(E) | 380,000 | 486,932 | ||||||
Lloyds TSB Bank PLC | ||||||||
2.82%, 01/24/14† | 3,840,000 | 3,863,005 | ||||||
Royal Bank of Scotland PLC | ||||||||
3.25%, 01/11/14D | 780,000 | 783,374 | ||||||
|
| |||||||
18,097,321 | ||||||||
|
| |||||||
Virgin Islands (British) — 0.1% | ||||||||
Arcos Dorados Holdings Inc | ||||||||
10.25%, 07/13/16 144A(B) | 1,600,000 | 844,411 | ||||||
|
| |||||||
Total Foreign Bonds | 148,852,503 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 24.6% |
| |||||||
Adjustable Rate Mortgage Trust | ||||||||
3.26%, 03/25/37† | 2,441,030 | 1,304,242 | ||||||
American Home Mortgage | ||||||||
2.57%, 10/25/34† | 670,347 | 610,284 |
Par | Value | |||||||
American Home | ||||||||
1.07%, 11/25/46† | $ | 1,069,523 | $ | 442,460 | ||||
Arkle Master Issuer PLC | ||||||||
1.62%, 05/17/60 144A† | 4,260,000 | 4,269,418 | ||||||
1.72%, 05/17/60† | 250,000 | 250,904 | ||||||
1.72%, 05/17/60 144A† | 1,240,000 | 1,246,304 | ||||||
Arran Residential Mortgages | ||||||||
1.67%, 05/16/47 144A† | 423,602 | 423,950 | ||||||
1.67%, 11/19/47 144A† | 241,113 | 241,451 | ||||||
1.92%, 11/19/47 144A† | 1,800,000 | 1,802,209 | ||||||
Banc of America Funding | ||||||||
5.70%, 01/20/47† | 752,910 | 458,823 | ||||||
Banc of America Merrill Lynch | ||||||||
4.76%, 11/10/39 | 615,000 | 642,074 | ||||||
5.45%, 01/15/49 | 1,990,000 | 2,096,939 | ||||||
5.81%, 06/10/49† | 297,338 | 298,875 | ||||||
Banc of America Mortgage | ||||||||
6.50%, 10/25/31 | 114,004 | 120,046 | ||||||
Bear Stearns Adjustable Rate | ||||||||
2.89%, 01/25/34† | 360,995 | 361,822 | ||||||
3.35%, 07/25/34† | 584,318 | 561,180 | ||||||
2.84%, 10/25/34† | 274,126 | 262,448 | ||||||
2.57%, 03/25/35† | 1,051,670 | 1,025,801 | ||||||
Bear Stearns Alt-A Trust | ||||||||
0.99%, 11/25/34† | 325,592 | 307,587 | ||||||
2.88%, 09/25/35† | 567,794 | 388,939 | ||||||
Bear Stearns Commercial | ||||||||
5.74%, 06/11/50 | 895,000 | 935,758 | ||||||
Commercial Mortgage | ||||||||
6.10%, 07/16/34 144A | 19,919 | 19,973 | ||||||
Countrywide Alternative | ||||||||
6.00%, 10/25/32 | 53,305 | 55,966 | ||||||
Countrywide Home Loan | ||||||||
0.79%, 02/25/35† | 203,540 | 170,301 | ||||||
Credit Suisse Mortgage | ||||||||
5.97%, 09/15/39† | 1,155,000 | 1,204,223 | ||||||
5.62%, 09/15/40† | 850,000 | 909,360 | ||||||
6.41%, 02/15/41† | 1,367,861 | 1,395,681 | ||||||
1.25%, 02/27/47† | 2,135,260 | 2,100,616 | ||||||
DBRR Trust | ||||||||
5.93%, 06/17/49 144A† | 1,805,000 | 2,032,648 | ||||||
Deutsche ALT-A Securities, Inc. | ||||||||
5.87%, 10/25/36 STEP | 615,617 | 357,120 | ||||||
5.89%, 10/25/36 STEP | 615,617 | 357,547 | ||||||
Extended Stay America Trust | ||||||||
2.95%, 11/05/27 144A | 4,245,791 | 4,277,481 | ||||||
Fannie Mae Grantor Trust | ||||||||
3.31%, 02/25/32 | 157,914 | 163,383 | ||||||
FDIC Structured Sale | ||||||||
0.47%, 10/25/13 144A† | 2,300,000 | 2,284,045 | ||||||
3.00%, 09/30/19 144A | 836,481 | 854,256 | ||||||
0.97%, 12/04/20 144A† | 2,048,021 | 2,062,101 |
See Notes to Financial Statements.
50
Table of Contents
Par | Value | |||||||
3.25%, 04/25/38 144A | $ | 666,366 | $ | 682,192 | ||||
0.80%, 02/25/48 144A† | 479,223 | 479,556 | ||||||
FDIC Trust | ||||||||
2.18%, 05/25/50 144A | 1,242,188 | 1,248,420 | ||||||
Federal Home Loan Mortgage | ||||||||
5.00%, 01/01/19 | 346,274 | 369,983 | ||||||
5.00%, 02/01/19 | 362,586 | 387,287 | ||||||
5.00%, 12/01/19 | 717,409 | 770,404 | ||||||
5.50%, 05/01/22 | 2,343,698 | 2,551,861 | ||||||
2.59%, 07/01/27† | 14,774 | 15,803 | ||||||
2.38%, 11/01/31† | 81,596 | 86,435 | ||||||
2.38%, 04/01/32† | 11,818 | 12,564 | ||||||
2.16%, 06/01/33† | 1,269,051 | 1,337,103 | ||||||
2.38%, 10/01/34† | 314,083 | 330,801 | ||||||
2.51%, 08/01/35† | 1,044,600 | 1,115,052 | ||||||
2.10%, 09/01/35† | 527,890 | 552,842 | ||||||
2.38%, 10/01/35† | 860,605 | 916,860 | ||||||
2.55%, 04/01/36† | 801,908 | 857,017 | ||||||
5.50%, 05/01/38 | 2,007,764 | 2,182,827 | ||||||
5.50%, 02/01/40 | 598,004 | 650,146 | ||||||
Federal Home Loan Mortgage | ||||||||
0.59%, 12/15/30† | 76,183 | 76,194 | ||||||
4.50%, 09/15/41 | 1,308,723 | 1,426,449 | ||||||
4.50%, 11/15/41 | 1,425,041 | 1,566,956 | ||||||
Federal Housing Authority | ||||||||
7.43%, 09/01/22+ | 1,236 | 1,211 | ||||||
Federal National Mortgage | ||||||||
3.50%, 07/01/41 TBA | 5,000,000 | 5,255,469 | ||||||
0.59%, 07/01/16† | 1,900,000 | 1,912,523 | ||||||
5.00%, 01/01/18 | 777,262 | 841,570 | ||||||
5.00%, 07/01/19 | 160,379 | 173,649 | ||||||
5.00%, 05/01/21 | 1,480,151 | 1,602,615 | ||||||
5.00%, 11/01/21 | 615,143 | 666,038 | ||||||
2.35%, 12/01/24† | 48,417 | 48,634 | ||||||
9.00%, 05/01/25 | 12,769 | 12,816 | ||||||
9.00%, 07/01/25 | 34,067 | 34,512 | ||||||
2.50%, 08/16/27 | 3,300,000 | 3,392,812 | ||||||
2.36%, 09/01/31† | 132,855 | 141,245 | ||||||
1.58%, 08/01/32† | 1,001,276 | 1,039,666 | ||||||
5.50%, 10/01/32 | 715,193 | 788,906 | ||||||
2.24%, 12/01/32† | 728,558 | 770,448 | ||||||
2.00%, 04/01/33† | 206,031 | 217,828 | ||||||
2.20%, 06/01/33† | 194,509 | 202,333 | ||||||
2.58%, 06/01/33† | 67,667 | 72,145 | ||||||
2.67%, 10/01/33† | 453,220 | 484,349 | ||||||
2.55%, 12/01/33† | 150,071 | 159,071 | ||||||
3.20%, 03/01/34† | 106,077 | 107,624 | ||||||
2.17%, 09/01/34† | 275,937 | 288,278 | ||||||
2.19%, 09/01/34† | 341,822 | 356,944 | ||||||
2.06%, 10/01/34† | 342,786 | 359,621 | ||||||
2.24%, 10/01/34† | 451,228 | 476,466 | ||||||
2.61%, 02/01/35† | 431,753 | 459,276 | ||||||
5.00%, 07/01/35 | 2,900,486 | 3,163,341 | ||||||
2.41%, 09/01/35† | 989,122 | 1,048,054 | ||||||
2.61%, 12/01/35† | 39,211 | 41,749 | ||||||
4.00%, 11/01/40 | 958,358 | 1,021,596 | ||||||
3.50%, 08/01/41 TBA | 32,000,000 | 33,545,002 | ||||||
4.00%, 09/01/41 | 1,454,585 | 1,551,022 | ||||||
1.35%, 08/01/42† | 647,643 | 653,411 | ||||||
1.35%, 07/01/44† | 521,161 | 526,401 | ||||||
1.35%, 10/01/44† | 358,452 | 361,502 |
Par | Value | |||||||
Federal National Mortgage | ||||||||
4.00%, 11/25/19 | $ | 267,462 | $ | 279,716 | ||||
0.85%, 05/25/30† | 661,909 | 662,653 | ||||||
0.90%, 05/25/30† | 523,370 | 523,663 | ||||||
5.50%, 10/25/40 IOW | 4,839,494 | 735,868 | ||||||
0.80%, 09/25/41† | 5,675,852 | 5,684,479 | ||||||
FHLMC Multifamily Structured | ||||||||
2.23%, 07/25/13 | 460,717 | 463,653 | ||||||
3.61%, 06/25/14 | 1,095,000 | 1,130,925 | ||||||
FHLMC Multifamily VRD | ||||||||
5.50%, 08/15/51 STEP | 3,000,000 | 3,360,729 | ||||||
FHLMC Structured | ||||||||
1.25%, 05/25/43† | 1,017,303 | 1,043,389 | ||||||
1.53%, 07/25/44† | 1,591,266 | 1,653,425 | ||||||
First Horizon Alternative | ||||||||
2.59%, 06/25/34† | 592,929 | 524,565 | ||||||
GMAC Commercial Mortgage | ||||||||
5.30%, 08/10/38† | 1,520,000 | 1,602,959 | ||||||
Government National Mortgage | ||||||||
2.38%, 06/20/17† | 7,623 | 7,917 | ||||||
2.38%, 06/20/21† | 4,949 | 5,140 | ||||||
1.63%, 03/20/22† | 280,943 | 291,316 | ||||||
1.63%, 01/20/23† | 38,551 | 39,974 | ||||||
2.38%, 05/20/24† | 77,924 | 80,935 | ||||||
1.63%, 07/20/25† | 92,215 | 95,373 | ||||||
1.63%, 08/20/25† | 25,351 | 26,219 | ||||||
1.63%, 11/20/25† | 76,186 | 78,935 | ||||||
1.63%, 12/20/26† | 102,349 | 106,043 | ||||||
1.63%, 07/20/27† | 2,452 | 2,536 | ||||||
1.63%, 10/20/27† | 40,008 | 41,452 | ||||||
8.50%, 10/15/29 | 26,181 | 27,260 | ||||||
0.84%, 02/16/30† | 144,614 | 146,114 | ||||||
8.50%, 03/15/30 | 1,018 | 1,022 | ||||||
8.50%, 04/15/30 | 5,517 | 5,722 | ||||||
8.50%, 05/15/30 | 129,675 | 141,774 | ||||||
2.38%, 05/20/30† | 70,300 | 73,016 | ||||||
8.50%, 06/15/30 | 6,655 | 6,849 | ||||||
8.50%, 07/15/30 | 58,663 | 65,025 | ||||||
8.50%, 08/15/30 | 16,906 | 19,393 | ||||||
8.50%, 09/15/30 | 2,003 | 2,036 | ||||||
8.50%, 11/15/30 | 14,282 | 16,952 | ||||||
8.50%, 12/15/30 | 31,311 | 38,423 | ||||||
8.50%, 02/15/31 | 18,264 | 19,592 | ||||||
5.16%, 06/16/31† | 894,052 | 908,265 | ||||||
0.54%, 03/20/37† | 1,697,275 | 1,693,438 | ||||||
0.54%, 05/20/37† | 724,397 | 722,757 | ||||||
Granite Mortgages PLC | ||||||||
1.12%, 01/20/44(E)† | 271,157 | 332,787 | ||||||
Greenpoint Mortgage | ||||||||
0.43%, 01/25/37† | 860,155 | 410,037 | ||||||
0.52%, 11/25/45† | 235,102 | 137,746 | ||||||
GSR Mortgage Loan Trust | ||||||||
2.87%, 09/25/34† | 589,398 | 543,780 | ||||||
2.65%, 09/25/35† | 2,095,377 | 2,036,909 | ||||||
HarborView Mortgage | ||||||||
2.95%, 12/19/35† | 1,512,192 | 1,060,470 |
See Notes to Financial Statements.
51
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Holmes Master Issuer PLC | ||||||||
0.57%, 07/15/20† | $ | 3,915,000 | $ | 3,914,480 | ||||
1.82%, 10/15/54 144A† | 380,000 | 381,015 | ||||||
1.87%, 10/15/54 144A† | 1,740,000 | 1,747,861 | ||||||
2.16%, 10/15/54(E)† | 450,000 | 573,042 | ||||||
Holmes Master Issuer PLC | ||||||||
1.87%, 10/15/54† | 1,060,000 | 1,065,020 | ||||||
Indymac Index Mortgage | ||||||||
0.52%, 06/25/37† | 649,421 | 134,950 | ||||||
0.44%, 09/25/46† | 979,089 | 579,131 | ||||||
JP Morgan Chase Commercial | ||||||||
2.14%, 11/15/28 144A†@ | 4,500,000 | 4,518,283 | ||||||
5.12%, 07/15/41 | 955,000 | 1,013,609 | ||||||
JP Morgan Mortgage Trust | ||||||||
5.01%, 02/25/35† | 251,085 | 251,286 | ||||||
Luminent Mortgage Trust | ||||||||
0.42%, 12/25/36† | 1,033,557 | 602,048 | ||||||
MASTR Adjustable Rate | ||||||||
2.75%, 12/25/33† | 444,459 | 404,058 | ||||||
Merrill Lynch Floating Trust | ||||||||
0.78%, 07/09/21 144A† | 163,350 | 159,884 | ||||||
Merrill Lynch Mortgage Trust | ||||||||
5.24%, 11/12/35† | 1,260,000 | 1,316,289 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
2.35%, 12/25/34† | 790,914 | 795,895 | ||||||
2.28%, 02/25/36† | 866,910 | 762,359 | ||||||
Morgan Stanley Capital I | ||||||||
5.36%, 12/15/44 | 169,972 | 169,725 | ||||||
Morgan Stanley Reremic Trust | ||||||||
5.98%, 08/12/45 144A† | 880,000 | 997,229 | ||||||
5.98%, 08/15/45 144A† | 880,000 | 997,229 | ||||||
2.50%, 03/23/51 144A | 862,280 | 869,017 | ||||||
NCUA Guaranteed Notes | ||||||||
1.84%, 10/07/20 | 236,857 | 239,780 | ||||||
2.90%, 10/29/20 | 730,000 | 776,873 | ||||||
0.81%, 12/08/20† | 3,820,538 | 3,836,661 | ||||||
0.78%, 03/09/21† | 3,033,250 | 3,034,675 | ||||||
Opteum Mortgage Acceptance | ||||||||
0.53%, 11/25/35† | 379,622 | 375,218 | ||||||
Permanent Master Issuer PLC | ||||||||
1.14%, 04/15/20(U)† | 2,060,000 | 3,210,313 | ||||||
0.58%, 07/15/33† | 830,000 | 829,363 | ||||||
Provident Funding Mortgage | ||||||||
2.62%, 04/25/34† | 882,451 | 863,303 | ||||||
Residential Accredit | ||||||||
0.65%, 01/25/33† | 199,637 | 190,234 | ||||||
Residential Asset | ||||||||
0.55%, 05/25/35† | 411,698 | 343,903 | ||||||
Residential Funding Mortgage | ||||||||
6.50%, 03/25/32 | 26,364 | 27,715 | ||||||
Sequoia Mortgage Trust | ||||||||
2.87%, 01/25/42† | 1,877,375 | 1,892,173 | ||||||
3.50%, 04/25/42† | 1,946,942 | 1,998,717 | ||||||
Structured Adjustable Rate | ||||||||
2.76%, 08/25/34† | 923,545 | 796,927 |
Par | Value | |||||||
0.55%, 09/25/34† | $ | 170,436 | $ | 127,214 | ||||
Structured Asset Mortgage | ||||||||
2.15%, 10/19/34† | 397,391 | 241,098 | ||||||
0.49%, 07/19/35† | 151,465 | 114,871 | ||||||
0.53%, 02/25/36† | 794,748 | 434,807 | ||||||
Superannuation Members Home | ||||||||
0.75%, 03/09/36† | 1,099,285 | 1,096,987 | ||||||
0.74%, 06/12/40(E)† | 699,961 | 865,056 | ||||||
TBW Mortgage Backed | ||||||||
6.02%, 07/25/37 STEP | 525,000 | 318,978 | ||||||
Wachovia Bank Commercial | ||||||||
5.42%, 01/15/45† | 1,415,000 | 1,572,842 | ||||||
Washington Mutual Alternative | ||||||||
1.00%, 05/25/47† | 861,079 | 159,644 | ||||||
Washington Mutual Mortgage | ||||||||
2.55%, 02/25/37† | 781,898 | 503,776 | ||||||
5.00%, 05/25/37† | 936,923 | 638,231 | ||||||
3.91%, 07/25/37† | 2,197,977 | 1,417,915 | ||||||
1.55%, 06/25/42† | 26,941 | 21,806 | ||||||
0.56%, 01/25/45† | 930,441 | 773,199 | ||||||
0.57%, 08/25/45† | 386,373 | 315,473 | ||||||
0.54%, 10/25/45† | 403,977 | 323,423 | ||||||
1.13%, 06/25/46† | 1,490,571 | 1,105,409 | ||||||
0.90%, 01/25/47† | 853,532 | 499,915 | ||||||
Wells Fargo Mortgage-Backed | ||||||||
2.62%, 12/25/34† | 856,741 | 862,140 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 193,603,374 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.7% | ||||||||
California State Public Works | ||||||||
7.80%, 03/01/35 | 800,000 | 925,168 | ||||||
Chicago Transit Authority, | ||||||||
6.90%, 12/01/40 | 1,300,000 | 1,548,794 | ||||||
Irvine Ranch Water District | ||||||||
2.61%, 03/15/14 | 2,800,000 | 2,902,200 | ||||||
Kentucky Asset/Liability | ||||||||
3.17%, 04/01/18 | 700,000 | 725,368 | ||||||
North Texas Higher Education | ||||||||
1.47%, 04/01/40† | 440,761 | 443,005 | ||||||
State of California, General | ||||||||
5.10%, 08/01/14 | 170,000 | 176,181 | ||||||
5.65%, 04/01/39† | 1,340,000 | 1,389,285 |
See Notes to Financial Statements.
52
Table of Contents
Par | Value | |||||||
State of Illinois, General | ||||||||
3.32%, 01/01/13 | $ | 5,500,000 | $ | 5,571,610 | ||||
|
| |||||||
Total Municipal Bonds | 13,681,611 | |||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTIONS — 0.0% |
| |||||||
Put Options — 0.0% | ||||||||
U.S. Dollar vs. Mexican Peso, | ||||||||
07/05/12 (HKSB) | 375 | 77,869 | ||||||
U.S. Dollar vs. Mexican Peso, | ||||||||
07/05/12 (BAR) | 750 | 224,047 | ||||||
|
| |||||||
301,916 | ||||||||
|
| |||||||
Total Purchased Options | 301,916 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATIONS — 15.8% |
| |||||||
U.S. Treasury Bills | ||||||||
0.12%, 09/13/12 | $ | 12,000,000 | 11,998,176 | |||||
0.17%, 05/30/13 | 3,312,000 | 3,306,283 | ||||||
|
| |||||||
15,304,459 | ||||||||
|
| |||||||
U.S. Treasury Bonds | ||||||||
8.13%, 05/15/21 | 41,000 | 63,963 | ||||||
7.25%, 08/15/22 | 51,000 | 77,935 | ||||||
7.63%, 11/15/22 | 117,000 | 183,891 | ||||||
3.13%, 11/15/41 | 1,000,000 | 1,075,156 | ||||||
|
| |||||||
1,400,945 | ||||||||
|
| |||||||
U.S. Treasury Inflationary Index | ||||||||
1.13%, 01/15/21‡‡ | 1,700,000 | 2,059,489 | ||||||
0.13%, 01/15/22‡‡ | 12,400,000 | 13,346,363 | ||||||
|
| |||||||
15,405,852 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
0.75%, 09/15/13 | 180,000 | 181,048 | ||||||
0.25%, 11/30/13 | 1,000,000 | 999,492 | ||||||
0.25%, 01/31/14 | 18,835,000 | 18,821,025 | ||||||
0.25%, 02/28/14 | 2,603,000 | 2,600,764 | ||||||
0.25%, 05/31/14 | 10,000,000 | 9,989,060 | ||||||
0.25%, 01/15/15 | 4,200,000 | 4,188,517 | ||||||
0.25%, 02/15/15 | 22,621,000 | 22,545,016 | ||||||
0.25%, 05/15/15 | 7,710,000 | 7,677,472 | ||||||
4.13%, 05/15/15 | 6,000,000 | 6,631,410 | ||||||
1.25%, 10/31/15 | 2,500,000 | 2,562,695 | ||||||
2.13%, 02/29/16 | 772,000 | 816,571 | ||||||
1.38%, 12/31/18 | 4,300,000 | 4,396,750 | ||||||
1.25%, 01/31/19 | 600,000 | 608,344 | ||||||
3.38%, 11/15/19 | 67,000 | 77,526 | ||||||
2.13%, 08/15/21‡‡ | 9,000,000 | 9,461,250 | ||||||
2.00%, 02/15/22 | 900,000 | 930,445 | ||||||
|
| |||||||
92,487,385 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 124,598,641 | |||||||
|
|
Shares | Value | |||||||
MONEY MARKET FUNDS — 10.7% |
| |||||||
GuideStone Money Market | 21,455,441 | $ | 21,455,441 | |||||
Northern Institutional Liquid | 63,148,921 | 63,148,921 | ||||||
|
| |||||||
Total Money Market Funds | 84,604,362 | |||||||
|
| |||||||
Par | ||||||||
REPURCHASE AGREEMENTS — 12.9% |
| |||||||
Citigroup Global Markets, Inc. | ||||||||
0.18% (dated 06/20/12, due 07/03/12, repurchase price $8,400,546, collateralized by Federal National Mortgage Association, 3.500%, due 03/01/42, total market value $8,684,014) | $ | 8,400,000 | 8,400,000 | |||||
Goldman Sachs & Co. | ||||||||
0.20% (dated 06/15/12, due 07/06/12, repurchase price $34,304,002, collateralized by Federal Home Loan Mortgage Corporation, 4.500%, due 06/01/41, total market value $35,571,934) | 34,300,000 | 34,300,000 | ||||||
Morgan Stanley & Co., Inc. | ||||||||
0.21% (dated 06/29/12, due 07/02/12, repurchase price $35,400,620, collateralized by U.S. Treasury Note, 2.375%, due 09/30/14, total market value $36,127,292) | 35,400,000 | 35,400,000 | ||||||
0.23% (dated 07/02/12, due 07/03/12, repurchase price $23,300,175, collateralized by U.S. Treasury Note, 2.375%, due 09/30/14, total market value $23,778,885) | 23,300,000 | 23,300,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 101,400,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 116.7% |
| 920,399,075 | ||||||
|
| |||||||
Notional Amount | ||||||||
WRITTEN OPTIONS — (0.1)% |
| |||||||
Call Swaption — (0.1)% | ||||||||
3-Month LIBOR, Strike Price | ||||||||
$1.40, Expires 03/18/13 (DEUT) | (14,000,000 | ) | (220,378 | ) | ||||
|
| |||||||
Put Options — 0.0% | ||||||||
3-Month LIBOR, Strike Price | ||||||||
$1.40, Expires 03/18/13 (DEUT) | (14,000,000 | ) | (87,335 | ) |
See Notes to Financial Statements.
53
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Number of Contracts | Value | |||||||
U.S. Dollar vs. Mexican Peso, | ||||||||
07/05/12 (HKSB) | (375 | ) | $ | (108,323 | ) | |||
|
| |||||||
(195,658 | ) | |||||||
|
| |||||||
Total Written Options | (416,036 | ) | ||||||
|
| |||||||
Par | ||||||||
TBA SALE COMMITMENTS — (1.9)% |
| |||||||
Federal National Mortgage | ||||||||
4.00%, 07/13/39 TBA | $ | (4,000,000 | ) | (4,256,875 | ) | |||
Federal Home Loan Mortgage | ||||||||
5.50%, 07/01/39 TBA | (3,000,000 | ) | (3,260,156 | ) | ||||
Federal National Mortgage | ||||||||
5.50%, 07/01/37 TBA | (7,000,000 | ) | (7,635,469 | ) | ||||
|
| |||||||
Total TBA Sale Commitments | (15,152,500 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other |
| (116,146,908 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 788,683,631 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||||
Mortgage-Backed Securities | 24.6 | |||||
Corporate Bonds | 24.2 | |||||
Foreign Bonds | 18.9 | |||||
U.S. Treasury Obligations | 15.8 | |||||
Repurchase Agreements | 12.9 | |||||
Money Market Funds | 10.7 | |||||
Asset-Backed Securities | 6.9 | |||||
Future Contracts | 6.4 | |||||
Municipal Bonds | 1.7 | |||||
Agency Obligations | 1.0 | |||||
Swap Agreements | 0.4 | |||||
Purchased Options | — | ** | ||||
Written Options | (0.1 | ) | ||||
TBA Sale Commitments | (1.9 | ) | ||||
Forward Foreign Currency Contracts | (4.4 | ) | ||||
|
| |||||
117.1 | ||||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
54
Table of Contents
Swap agreements outstanding at June 30, 2012:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Credit Default Swaps on Corporate Issues — Buy Protection |
| |||||||||||||||||||||||||||||||
Nabors Industries, 6.15% due 02/15/18 | (0.63 | )% | 03/20/18 | CITI | USD | $ | 1,525,000 | $ | 118,158 | $ | — | $ | 118,158 | |||||||||||||||||||
Nabors Industries, 5.375% due 05/15/12 | (1.00 | )% | 03/20/19 | BNP | USD | 2,700,000 | 192,911 | 8,660 | 184,251 | |||||||||||||||||||||||
Morgan Stanley ABS Capital I, 7.02% due 12/27/33 | (0.54 | )% | 12/27/33 | MSCS | USD | 337,316 | 127,917 | — | 127,917 | |||||||||||||||||||||||
Long Beach Mortgage Trust 6.72%, due 02/25/34 | (0.49 | )% | 02/25/34 | BAR | USD | 372,412 | 164,944 | — | 164,944 | |||||||||||||||||||||||
Specialty Underwriting & Residential Finance, 6.62% due 02/25/35 | (0.59 | )% | 02/25/35 | BAR | USD | 353,593 | 286,613 | — | 286,613 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 5,288,321 | $ | 890,543 | $ | 8,660 | $ | 881,883 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Credit Default Swaps on Corporate Issues — Sell Protection |
| |||||||||||||||||||||||||||||||||||
General Electric Capital Corporation, 5.625%, due 09/15/17 | 0.67 | % | 1.00 | % | 09/20/13 | UBS | USD | $ | 700,000 | $ | 2,072 | $ | (12,450 | ) | $ | 14,522 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Credit Default Swaps on Credit Indices — Buy Protection |
| |||||||||||||||||||||||||||||||
CMBX.NA.AAA.4 Index | (0.35 | )% | 02/17/51 | GSC | USD | $ | 5,700,000 | $ | 495,821 | $ | 813,232 | $ | (317,411 | ) | ||||||||||||||||||
Dow Jones CDX IG14 Index | (1.00 | )% | 06/20/15 | UBS | USD | 7,900,000 | (64,471 | ) | 7,236 | (71,707 | ) | |||||||||||||||||||||
Dow Jones CDX IG16 Index | (1.00 | )% | 12/20/15 | CS | USD | 1,800,000 | (10,804 | ) | 12,494 | (23,298 | ) | |||||||||||||||||||||
Dow Jones CDX IG16 Index | (1.00 | )% | 06/20/16 | CS | USD | 400,000 | (741 | ) | 6,567 | (7,308 | ) | |||||||||||||||||||||
Dow Jones iTraxx | (1.00 | )% | 12/20/16 | CITI | USD | 1,400,000 | 49,322 | 27,116 | 22,206 | |||||||||||||||||||||||
Dow Jones CDX IG9 Index | (0.80 | )% | 12/20/17 | BAR | USD | 16,552,800 | 622,904 | 737,323 | (114,419 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 33,752,800 | $ | 1,092,031 | $ | 1,603,968 | $ | (511,937 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
55
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
3-Month LIBOR | 1.50 | % | 06/20/12 | CS | EUR | $ | 3,400,000 | $ | (91,027 | ) | $ | (39,151 | ) | $ | (51,876 | ) | ||||||||||||||||
6-Month BBR BBSW Index | 3.75 | % | 03/15/13 | CITI | AUD | 5,400,000 | 3,454 | 5,510 | (2,056 | ) | ||||||||||||||||||||||
6-Month BBR BBSW Index | 4.00 | % | 03/15/13 | DEUT | AUD | 1,400,000 | (10,007 | ) | 4,422 | (14,429 | ) | |||||||||||||||||||||
6-Month BBR BBSW Index | 4.25 | % | 03/15/13 | CITI | AUD | 200,000 | 2,684 | 1,093 | 1,591 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.94 | % | 01/02/14 | HSBC | BRL | 6,600,000 | 212,053 | 8,472 | 203,581 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.96 | % | 01/02/14 | GSC | BRL | 3,900,000 | 139,967 | (19,431 | ) | 159,398 | ||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.03 | % | 01/02/14 | GSC | BRL | 1,000,000 | 1,007 | — | 1,007 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.56 | % | 02/01/14 | BAR | BRL | 1,000,000 | 34,662 | 669 | 33,993 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.56 | % | 02/01/14 | HSBC | BRL | 800,000 | 28,078 | 838 | 27,240 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 10.14 | % | 01/02/15 | HSBC | BRL | 3,800,000 | 64,422 | 8,977 | 55,445 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 9.93 | % | 01/02/15 | UBS | BRL | 400,000 | 5,935 | 340 | 5,595 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.83 | % | 01/02/15 | HSBC | BRL | 200,000 | 776 | 421 | 355 | |||||||||||||||||||||||
6-Month EURIBOR | 2.00 | % | 03/21/17 | BAR | EUR | 3,600,000 | 167,115 | 106,493 | 60,622 | |||||||||||||||||||||||
6-Month BBR BBSW Index | (5.50 | )% | 12/15/17 | BAR | AUD | 1,500,000 | 139,547 | (5,586 | ) | 145,133 | ||||||||||||||||||||||
6-Month BBR BBSW Index | (5.50 | )% | 12/15/17 | DEUT | AUD | 1,000,000 | 92,661 | (3,328 | ) | 95,989 | ||||||||||||||||||||||
MXN-TIIE-Banxico | 7.50 | % | 02/06/21 | UBS | MXN | 300,000 | 2,827 | 890 | 1,937 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 34,500,000 | $ | 794,154 | $ | 70,629 | $ | 723,525 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Swap agreements outstanding at June 30, 2012 |
| $ | 74,241,121 | $ | 2,778,800 | $ | 1,670,807 | $ | 1,107,993 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
56
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligations | $ | 7,554,997 | $ | — | $ | 7,554,997 | $ | — | ||||||||
Asset-Backed Securities | 54,704,321 | — | 51,717,063 | 2,987,258 | ||||||||||||
Corporate Bonds | 191,097,350 | — | 186,832,684 | 4,264,666 | ||||||||||||
Foreign Bonds | 148,852,503 | — | 148,068,294 | 784,209 | ||||||||||||
Money Market Funds | 84,604,362 | 84,604,362 | — | — | ||||||||||||
Mortgage-Backed Securities | 193,603,374 | — | 178,662,752 | 14,940,622 | ||||||||||||
Municipal Bonds | 13,681,611 | — | 13,681,611 | — | ||||||||||||
Purchased Options | 301,916 | — | 301,916 | — | ||||||||||||
Repurchase Agreements | 101,400,000 | — | 101,400,000 | — | ||||||||||||
U.S. Treasury Obligations | 124,598,641 | — | 124,598,641 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 920,399,075 | $ | 84,604,362 | $ | 812,817,958 | $ | 22,976,755 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 409,758 | $ | — | $ | 409,758 | $ | — | ||||||||
Swap Agreements | 2,778,800 | — | 2,778,800 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 3,188,558 | $ | — | $ | 3,188,558 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
TBA Sale Commitments | $ | (15,152,500 | ) | $ | — | $ | (15,152,500 | ) | $ | — | ||||||
Written Options | (416,036 | ) | — | (416,036 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (15,568,536 | ) | $ | — | $ | (15,568,536 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (77,422 | ) | $ | (77,422 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (77,422 | ) | $ | (77,422 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
Management has determined that the amount of Level 3 assets compared to total net assets is not material; therefore, the reconciliation of Level 3 assets is not shown for the period ending June 30, 2012.
See Notes to Financial Statements.
57
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 2.5% |
| |||||||
Federal Farm Credit Bank | ||||||||
5.05%, 11/06/17 | $ | 400,000 | $ | 485,832 | ||||
Federal Home Loan Bank | ||||||||
0.21%, 01/04/13 | 1,600,000 | 1,600,117 | ||||||
5.63%, 06/11/21 | 700,000 | 896,543 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
0.08%, 07/11/12W | 9,000,000 | 8,999,840 | ||||||
4.38%, 01/15/14(E) | 400,000 | 531,121 | ||||||
1.00%, 03/08/17D | 1,500,000 | 1,509,837 | ||||||
1.25%, 05/12/17 | 500,000 | 507,205 | ||||||
1.00%, 06/29/17D | 1,400,000 | 1,405,113 | ||||||
1.00%, 07/28/17 | 700,000 | 700,500 | ||||||
2.38%, 01/13/22D | 1,000,000 | 1,028,441 | ||||||
Federal National Mortgage Association | ||||||||
5.25%, 08/01/12 | 2,400,000 | 2,409,677 | ||||||
1.13%, 04/27/17 | 390,000 | 394,121 | ||||||
2.91%, 10/09/19W† | 150,000 | 121,804 | ||||||
6.63%, 11/15/30D | 1,170,000 | 1,780,477 | ||||||
Tennessee Valley Authority | ||||||||
5.25%, 09/15/39 | 350,000 | 458,189 | ||||||
4.63%, 09/15/60 | 200,000 | 243,962 | ||||||
|
| |||||||
Total Agency Obligations | 23,072,779 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 2.7% |
| |||||||
Access Group, Inc. | ||||||||
1.77%, 10/27/25† | 1,321,245 | 1,331,630 | ||||||
Amortizing Residential Collateral Trust | ||||||||
0.53%, 01/01/32† | 33,757 | 24,086 | ||||||
Asset-Backed Securities Corporation Home Equity | ||||||||
0.52%, 09/25/34† | 168,113 | 147,319 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
4.64%, 05/20/16 144A | 200,000 | 216,228 | ||||||
3.15%, 03/20/17 144A | 160,000 | 167,911 | ||||||
2.80%, 05/20/18 144A | 200,000 | 206,245 | ||||||
Bayview Financial Acquisition Trust | ||||||||
0.92%, 02/28/44† | 354,029 | 339,465 | ||||||
Bear Stearns Asset-Backed Securities, Inc. | ||||||||
6.00%, 10/25/36 | 2,328,667 | 1,650,222 | ||||||
6.50%, 10/25/36 | 2,928,536 | 1,907,440 | ||||||
Brazos Higher Education Authority | ||||||||
0.58%, 09/25/23† | 446,513 | 444,464 | ||||||
CIT Mortgage Loan Trust | ||||||||
1.25%, 10/25/37 144A† | 59,803 | 59,818 | ||||||
1.50%, 10/25/37 144A† | 430,000 | 352,576 | ||||||
College Loan Corporation Trust | ||||||||
0.56%, 10/25/25† | 1,000,000 | 980,777 | ||||||
Countrywide Home Equity Loan Trust | ||||||||
0.53%, 02/15/34† | 301,310 | 202,235 | ||||||
0.48%, 12/15/35† | 811,680 | 469,905 | ||||||
0.38%, 07/15/36† | 768,537 | 479,629 | ||||||
Education Funding Capital Trust I | ||||||||
2.00%, 06/15/43+† | 700,000 | 609,476 | ||||||
EMC Mortgage Loan Trust | ||||||||
0.80%, 11/25/41 144A† | 89,567 | 80,347 |
Par | Value | |||||||
Financial Asset Securities Corporation AAA Trust | ||||||||
0.66%, 02/27/35 144A† | $ | 962,714 | $ | 568,605 | ||||
GCO Education Loan Funding Trust | ||||||||
0.70%, 05/25/36† | 150,000 | 128,418 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
7.00%, 09/25/37 | 327,622 | 226,759 | ||||||
Hertz Vehicle Financing LLC | ||||||||
5.29%, 03/25/16 144A | 400,000 | 439,080 | ||||||
Keycorp Student Loan Trust | ||||||||
0.66%, 08/27/31† | 651,099 | 594,918 | ||||||
Lehman XS Trust | ||||||||
0.55%, 11/25/35† | 713,776 | 462,385 | ||||||
Magnolia Funding, Ltd. | ||||||||
3.00%, 04/20/17 144A(E) | 986,510 | 1,251,660 | ||||||
Nelnet Education Loan Funding, Inc. | ||||||||
1.09%, 02/25/39† | 800,000 | 700,601 | ||||||
Panhandle-Plains Higher Education Authority, Inc. | ||||||||
1.59%, 10/01/35† | 796,922 | 805,079 | ||||||
Provident Bank Home Equity Loan Trust | ||||||||
0.79%, 08/25/31† | 102,130 | 49,234 | ||||||
Residential Asset Mortgage Products, Inc. | ||||||||
0.73%, 03/25/34† | 343,763 | 264,884 | ||||||
Residential Funding Securities LLC | ||||||||
0.70%, 06/25/33 144A† | 193,006 | 182,611 | ||||||
Salomon Brothers Mortgage Securities VII, Inc. | ||||||||
0.73%, 03/25/28† | 35,826 | 33,271 | ||||||
SLM Student Loan Trust | ||||||||
1.97%, 04/25/23† | 5,366,271 | 5,540,511 | ||||||
0.76%, 12/15/25 144A† | 400,000 | 383,525 | ||||||
0.59%, 01/25/27† | 900,000 | 849,778 | ||||||
3.50%, 08/17/43 144A† | 1,311,018 | 1,288,682 | ||||||
3.49%, 05/16/44 144A† | 1,293,373 | 1,340,669 | ||||||
Structured Asset Investment Loan Trust | ||||||||
1.09%, 08/25/34† | 434,744 | 388,137 | ||||||
|
| |||||||
Total Asset-Backed Securities | 25,168,580 | |||||||
|
| |||||||
CORPORATE BONDS — 19.9% | ||||||||
AES Corporation | ||||||||
7.38%, 07/01/21 144A | 350,000 | 391,125 | ||||||
Ally Financial, Inc. | ||||||||
6.25%, 12/01/17 | 606,000 | 640,579 | ||||||
8.00%, 03/15/20 | 450,000 | 519,750 | ||||||
American Express Co. | ||||||||
6.80%, 09/01/66†D | 1,400,000 | 1,451,450 | ||||||
American Express Credit Corporation | ||||||||
5.13%, 08/25/14 | 160,000 | 172,933 | ||||||
American International Group, Inc. | ||||||||
3.75%, 11/30/13 144A | 200,000 | 202,523 | ||||||
5.60%, 10/18/16 | 600,000 | 653,026 | ||||||
5.45%, 05/18/17 | 125,000 | 135,990 | ||||||
5.85%, 01/16/18 | 180,000 | 199,468 | ||||||
8.25%, 08/15/18 144AD | 3,200,000 | 3,872,550 | ||||||
6.40%, 12/15/20 | 260,000 | 294,672 |
See Notes to Financial Statements.
58
Table of Contents
Par | Value | |||||||
4.88%, 06/01/22D | $ | 350,000 | $ | 358,829 | ||||
6.25%, 03/15/37 | 680,000 | 632,400 | ||||||
Anadarko Petroleum Corporation | ||||||||
6.38%, 09/15/17 | 40,000 | 46,518 | ||||||
8.70%, 03/15/19 | 225,000 | 294,504 | ||||||
ANZ Capital Trust II | ||||||||
5.36%, 11/29/49 144A | 800,000 | 824,000 | ||||||
Apache Corporation | ||||||||
6.00%, 09/15/13 | 680,000 | 723,284 | ||||||
Arch Coal, Inc. | ||||||||
7.25%, 06/15/21D | 500,000 | 421,250 | ||||||
Arizona Public Service Co. | ||||||||
8.75%, 03/01/19D | 525,000 | 695,235 | ||||||
Ashtead Capital, Inc. | ||||||||
9.00%, 08/15/16 144A | 400,000 | 416,500 | ||||||
ASIF Global Financing XIX | ||||||||
4.90%, 01/17/13 144A | 100,000 | 100,955 | ||||||
Astoria Financial Corporation | ||||||||
5.75%, 10/15/12 | 450,000 | 454,597 | ||||||
AT&T, Inc. | ||||||||
5.10%, 09/15/14 | 550,000 | 600,819 | ||||||
2.95%, 05/15/16 | 825,000 | 874,619 | ||||||
5.50%, 02/01/18 | 540,000 | 642,444 | ||||||
5.60%, 05/15/18D | 30,000 | 35,952 | ||||||
3.88%, 08/15/21D | 200,000 | 218,273 | ||||||
6.55%, 02/15/39 | 130,000 | 167,906 | ||||||
5.35%, 09/01/40 | 70,000 | 80,646 | ||||||
5.55%, 08/15/41D | 30,000 | 35,899 | ||||||
Baker Hughes, Inc. | ||||||||
7.50%, 11/15/18 | 710,000 | 938,846 | ||||||
Bank of America Corporation | ||||||||
1.89%, 01/30/14† | 900,000 | 891,013 | ||||||
0.73%, 10/14/16†D | 1,700,000 | 1,504,546 | ||||||
3.88%, 03/22/17D | 130,000 | 132,573 | ||||||
5.75%, 12/01/17D | 2,290,000 | 2,446,721 | ||||||
5.65%, 05/01/18D | 2,700,000 | 2,890,679 | ||||||
5.88%, 01/05/21 | 150,000 | 164,047 | ||||||
5.00%, 05/13/21D | 360,000 | 372,077 | ||||||
5.70%, 01/24/22 | 575,000 | 634,424 | ||||||
Barrick North America | ||||||||
4.40%, 05/30/21 | 610,000 | 658,693 | ||||||
BB&T Corporation | ||||||||
3.20%, 03/15/16D | 475,000 | 503,195 | ||||||
Bear Stearns Cos. LLC | ||||||||
5.70%, 11/15/14 | 1,000,000 | 1,082,692 | ||||||
6.40%, 10/02/17D | 1,200,000 | 1,385,383 | ||||||
7.25%, 02/01/18D | 675,000 | 807,929 | ||||||
BellSouth Capital Funding | ||||||||
7.88%, 02/15/30 | 210,000 | 274,789 | ||||||
BellSouth Corporation | ||||||||
6.88%, 10/15/31 | 10,000 | 12,186 | ||||||
Berkshire Hathaway, Inc. | ||||||||
3.20%, 02/11/15D | 280,000 | 297,487 | ||||||
BMW US Capital LLC | ||||||||
0.92%, 12/21/12† | 3,400,000 | 3,396,073 | ||||||
Boeing Capital Corporation | ||||||||
4.70%, 10/27/19 | 230,000 | 271,266 | ||||||
Boeing Co. | ||||||||
4.88%, 02/15/20D | 300,000 | 360,490 | ||||||
6.63%, 02/15/38 | 210,000 | 296,883 |
Par | Value | |||||||
Calpine Corporation | ||||||||
7.88%, 01/15/23 144AD | $ | 700,000 | $ | 766,500 | ||||
Capital One Capital III | ||||||||
7.69%, 08/01/66 | 325,000 | 328,656 | ||||||
Casella Waste Systems, Inc. | ||||||||
11.00%, 07/15/14 | 375,000 | 398,906 | ||||||
Caterpillar Financial Services Corporation | ||||||||
6.20%, 09/30/13D | 450,000 | 481,152 | ||||||
Cellco Partnership/Verizon | ||||||||
8.50%, 11/15/18 | 710,000 | 972,819 | ||||||
CenterPoint Energy Resources Corporation | ||||||||
5.95%, 01/15/14 | 525,000 | 561,468 | ||||||
Chesapeake Energy Corporation | ||||||||
5.88%, 12/02/17† | 490,000 | 486,634 | ||||||
Chesapeake Midstream | ||||||||
5.88%, 04/15/21D | 330,000 | 321,750 | ||||||
Chubb Corporation | ||||||||
6.38%, 03/29/67†D | 375,000 | 389,062 | ||||||
Cigna Corporation | ||||||||
2.75%, 11/15/16D | 225,000 | 232,049 | ||||||
CitiFinancial, Inc. | ||||||||
6.63%, 06/01/15 | 300,000 | 317,845 | ||||||
Citigroup Capital XXI | ||||||||
8.30%, 12/21/77† | 274,000 | 275,370 | ||||||
Citigroup, Inc. | ||||||||
6.00%, 12/13/13 | 980,000 | 1,030,289 | ||||||
5.13%, 05/05/14D | 110,000 | 114,754 | ||||||
5.00%, 09/15/14 | 1,720,000 | 1,764,027 | ||||||
6.01%, 01/15/15 | 150,000 | 161,258 | ||||||
4.45%, 01/10/17D | 200,000 | 209,863 | ||||||
5.50%, 02/15/17D | 1,160,000 | 1,213,361 | ||||||
6.13%, 11/21/17D | 1,205,000 | 1,336,588 | ||||||
6.13%, 05/15/18 | 2,400,000 | 2,683,109 | ||||||
4.50%, 01/14/22 | 250,000 | 258,713 | ||||||
6.88%, 03/05/38 | 330,000 | 404,991 | ||||||
Comcast Cable | ||||||||
8.38%, 03/15/13 | 83,000 | 87,500 | ||||||
Comcast Corporation | ||||||||
5.70%, 05/15/18D | 1,250,000 | 1,476,041 | ||||||
6.95%, 08/15/37 | 40,000 | 51,548 | ||||||
Comcast Holdings Corporation | ||||||||
10.63%, 07/15/12 | 550,000 | 551,422 | ||||||
Concho Resources, Inc. | ||||||||
5.50%, 10/01/22 | 260,000 | 257,725 | ||||||
ConocoPhillips Holding Co. | ||||||||
6.95%, 04/15/29 | 420,000 | 577,758 | ||||||
Continental Airlines 1998-1 | ||||||||
6.65%, 03/15/19 | 239,983 | 252,894 | ||||||
COX Communications, Inc. | ||||||||
5.45%, 12/15/14D | 210,000 | 231,215 | ||||||
CVS Caremark Corporation | ||||||||
6.60%, 03/15/19D | 590,000 | 736,791 | ||||||
CVS Pass-Through Trust | ||||||||
9.35%, 01/10/23 144A | 200,000 | 229,341 | ||||||
6.94%, 01/10/30 | 801,476 | 951,690 | ||||||
Daimler Finance NA LLC | ||||||||
6.50%, 11/15/13 | 100,000 | 107,230 | ||||||
1.07%, 03/28/14 144A† | 3,400,000 | 3,393,693 |
See Notes to Financial Statements.
59
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
DDR Corporation | ||||||||
4.63%, 07/15/22 | $ | 400,000 | $ | 395,554 | ||||
Delta Air Lines 2007-1 Class A | ||||||||
Pass Through Trust | ||||||||
6.82%, 02/10/24 | 366,467 | 393,952 | ||||||
Devon Energy Corporation | ||||||||
3.25%, 05/15/22 | 90,000 | 91,753 | ||||||
5.60%, 07/15/41D | 590,000 | 687,163 | ||||||
DIRECTV Holdings LLC | ||||||||
3.50%, 03/01/16D | 525,000 | 554,215 | ||||||
Discover Bank | ||||||||
8.70%, 11/18/19 | 425,000 | 528,768 | ||||||
DISH DBS Corporation | ||||||||
6.63%, 10/01/14 | 30,000 | 32,325 | ||||||
7.75%, 05/31/15D | 200,000 | 223,000 | ||||||
5.88%, 07/15/22 144A | 360,000 | 365,400 | ||||||
Dominion Resources, Inc. | ||||||||
5.70%, 09/17/12 | 1,230,000 | 1,242,644 | ||||||
Dow Chemical Co. | ||||||||
7.60%, 05/15/14D | 500,000 | 556,828 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.63%, 11/30/12 | 580,000 | 591,777 | ||||||
Duke Realty LP REIT | ||||||||
4.38%, 06/15/22 | 375,000 | 377,657 | ||||||
Ecolab, Inc. | ||||||||
3.00%, 12/08/16 | 275,000 | 290,223 | ||||||
4.35%, 12/08/21D | 330,000 | 366,476 | ||||||
El Paso LLC | ||||||||
7.00%, 06/15/17 | 710,000 | 808,943 | ||||||
7.80%, 08/01/31 | 750,000 | 845,532 | ||||||
El Paso Natural Gas Co. | ||||||||
7.50%, 11/15/26D | 300,000 | 368,615 | ||||||
Energy Transfer Partners LP | ||||||||
6.70%, 07/01/18D | 570,000 | 654,639 | ||||||
Enterprise Products | ||||||||
5.25%, 01/31/20 | 120,000 | 137,678 | ||||||
4.05%, 02/15/22D | 1,080,000 | 1,147,591 | ||||||
6.13%, 10/15/39D | 30,000 | 34,104 | ||||||
5.95%, 02/01/41 | 60,000 | 68,099 | ||||||
5.70%, 02/15/42D | 510,000 | 566,351 | ||||||
8.38%, 08/01/66† | 325,000 | 352,523 | ||||||
7.03%, 01/15/68†D | 350,000 | 374,929 | ||||||
EOG Resources, Inc. | ||||||||
1.22%, 02/03/14† | 3,500,000 | 3,531,045 | ||||||
Exelon Corporation | ||||||||
5.63%, 06/15/35 | 655,000 | 712,181 | ||||||
Express Scripts Holding Co. | ||||||||
3.50%, 11/15/16 144A | 1,020,000 | 1,075,009 | ||||||
3.90%, 02/15/22 144A | 375,000 | 389,471 | ||||||
Fifth Third Bancorp | ||||||||
3.63%, 01/25/16D | 175,000 | 184,736 | ||||||
Fifth Third Bank Ohio | ||||||||
0.58%, 05/17/13† | 400,000 | 398,642 | ||||||
First Niagara Financial | ||||||||
Group, Inc. | ||||||||
6.75%, 03/19/20D | 250,000 | 283,912 | ||||||
FirstEnergy Corporation | ||||||||
7.38%, 11/15/31 | 890,000 | 1,120,341 | ||||||
Ford Motor | ||||||||
Credit Co., LLC | ||||||||
5.63%, 09/15/15D | 3,100,000 | 3,377,004 | ||||||
8.00%, 12/15/16D | 1,300,000 | 1,540,833 | ||||||
4.25%, 02/03/17 | 200,000 | 209,864 | ||||||
5.88%, 08/02/21D | 300,000 | 334,348 |
Par | Value | |||||||
Freeport-McMoRan | ||||||||
3.55%, 03/01/22 | $ | 590,000 | $ | 581,664 | ||||
Fresenius Medical Care US | ||||||||
6.88%, 07/15/17D | 250,000 | 278,750 | ||||||
GE Capital Trust I | ||||||||
6.38%, 11/15/67†D | 321,000 | 331,031 | ||||||
General Electric Capital | ||||||||
5.45%, 01/15/13D | 150,000 | 153,897 | ||||||
6.00%, 08/07/19 | 1,850,000 | 2,167,832 | ||||||
4.38%, 09/16/20D | 330,000 | 357,627 | ||||||
5.30%, 02/11/21D | 60,000 | 67,461 | ||||||
5.88%, 01/14/38 | 150,000 | 172,804 | ||||||
7.13%, 12/15/49† | 300,000 | 318,113 | ||||||
General Electric Co. | ||||||||
5.00%, 02/01/13 | 840,000 | 861,606 | ||||||
George Washington | ||||||||
1.83%, 09/15/17 | 2,600,000 | 2,622,165 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
5.65%, 05/15/18 | 380,000 | 459,942 | ||||||
Goldman Sachs Capital II | ||||||||
4.00%, 06/01/43† | 60,000 | 40,696 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.63%, 08/01/12D | 110,000 | 110,203 | ||||||
5.45%, 11/01/12D | 190,000 | 192,771 | ||||||
4.75%, 07/15/13 | 20,000 | 20,569 | ||||||
5.25%, 10/15/13D | 160,000 | 166,438 | ||||||
5.75%, 10/01/16D | 1,900,000 | 2,032,460 | ||||||
5.95%, 01/18/18D | 2,300,000 | 2,464,570 | ||||||
5.38%, 03/15/20D | 250,000 | 257,759 | ||||||
6.00%, 06/15/20 | 460,000 | 491,860 | ||||||
5.25%, 07/27/21 | 110,000 | 111,940 | ||||||
6.25%, 02/01/41 | 800,000 | 837,037 | ||||||
HCA, Inc. | ||||||||
6.50%, 02/15/16D | 686,000 | 742,595 | ||||||
7.88%, 02/15/20 | 125,000 | 139,375 | ||||||
7.69%, 06/15/25 | 250,000 | 241,875 | ||||||
HCP, Inc. REIT | ||||||||
6.00%, 01/30/17 | 300,000 | 336,441 | ||||||
5.38%, 02/01/21D | 200,000 | 221,545 | ||||||
Hess Corporation | ||||||||
8.13%, 02/15/19D | 330,000 | 425,338 | ||||||
7.88%, 10/01/29 | 260,000 | 340,920 | ||||||
7.30%, 08/15/31 | 110,000 | 138,038 | ||||||
Hewlett-Packard Co. | ||||||||
0.75%, 05/24/13† | 3,000,000 | 2,994,246 | ||||||
3.00%, 09/15/16 | 300,000 | 308,879 | ||||||
2.60%, 09/15/17 | 250,000 | 251,254 | ||||||
HSBC Finance Corporation | ||||||||
6.38%, 11/27/12D | 70,000 | 71,488 | ||||||
6.68%, 01/15/21D | 90,000 | 97,604 | ||||||
HSBC USA, Inc. | ||||||||
2.38%, 02/13/15 | 1,700,000 | 1,720,461 | ||||||
Humana, Inc. | ||||||||
7.20%, 06/15/18 | 480,000 | 577,527 | ||||||
ILFC E-Capital Trust II | ||||||||
6.25%, 12/21/65 144A† | 280,000 | 205,800 | ||||||
International Lease Finance | ||||||||
6.50%, 09/01/14 144A | 240,000 | 254,400 | ||||||
6.75%, 09/01/16 144A | 880,000 | 950,400 | ||||||
8.63%, 01/15/22D | 250,000 | 290,768 |
See Notes to Financial Statements.
60
Table of Contents
Par | Value | |||||||
John Deere Capital Corporation | ||||||||
2.25%, 04/17/19D | $ | 360,000 | $ | 368,534 | ||||
JPMorgan Chase & Co. | ||||||||
5.75%, 01/02/13 | 320,000 | 328,146 | ||||||
5.15%, 10/01/15 | 1,890,000 | 2,029,626 | ||||||
6.30%, 04/23/19D | 800,000 | 936,305 | ||||||
4.95%, 03/25/20D | 800,000 | 883,270 | ||||||
4.40%, 07/22/20 | 230,000 | 243,000 | ||||||
4.35%, 08/15/21D | 70,000 | 74,017 | ||||||
JPMorgan Chase Capital XXV | ||||||||
6.80%, 10/01/37 | 375,000 | 375,936 | ||||||
Kerr-McGee Corporation | ||||||||
6.95%, 07/01/24 | 420,000 | 520,954 | ||||||
7.88%, 09/15/31 | 690,000 | 897,166 | ||||||
Kinder Morgan Energy | ||||||||
5.85%, 09/15/12 | 40,000 | 40,391 | ||||||
5.00%, 12/15/13D | 200,000 | 209,784 | ||||||
6.00%, 02/01/17 | 250,000 | 289,029 | ||||||
Kraft Foods Group, Inc. | ||||||||
2.25%, 06/05/17 144A | 275,000 | 281,894 | ||||||
3.50%, 06/06/22 144A | 380,000 | 390,757 | ||||||
Kraft Foods, Inc. | ||||||||
6.13%, 08/23/18D | 350,000 | 426,476 | ||||||
5.38%, 02/10/20 | 770,000 | 912,636 | ||||||
6.50%, 02/09/40 | 300,000 | 386,773 | ||||||
Kroger Co. | ||||||||
6.15%, 01/15/20 | 360,000 | 431,741 | ||||||
L-3 Communications | ||||||||
6.38%, 10/15/15D | 250,000 | 256,094 | ||||||
Lehman Escrow Bonds | ||||||||
0.00%, 03/01/42+ | 3,200,000 | — | ||||||
0.00%, 07/19/47+ | 150,000 | — | ||||||
0.00%, 12/28/47+ | 140,000 | — | ||||||
0.00%, 11/30/49+ | 2,330,000 | — | ||||||
0.00%, 12/31/99 | 2,500,000 | 584,125 | ||||||
Liberty Property LP | ||||||||
4.75%, 10/01/20D | 575,000 | 612,939 | ||||||
MarkWest Energy Partners LP | ||||||||
6.25%, 06/15/22D | 290,000 | 300,150 | ||||||
Medtronic, Inc. | ||||||||
4.45%, 03/15/20D | 300,000 | 344,897 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
5.45%, 02/05/13 | 2,300,000 | 2,346,589 | ||||||
6.05%, 05/16/16D | 275,000 | 284,563 | ||||||
5.70%, 05/02/17 | 1,100,000 | 1,133,228 | ||||||
MetLife Capital Trust IV | ||||||||
7.88%, 12/15/37 144AD | 300,000 | 334,500 | ||||||
MetLife Capital Trust X | ||||||||
9.25%, 04/08/68 144AD | 300,000 | 369,000 | ||||||
MetLife, Inc. | ||||||||
4.75%, 02/08/21 | 270,000 | 301,105 | ||||||
6.40%, 12/15/66D | 150,000 | 147,791 | ||||||
Morgan Stanley | ||||||||
1.00%, 03/01/13(E)† | 500,000 | 625,826 | ||||||
0.92%, 10/18/16†D | 340,000 | 296,628 | ||||||
4.75%, 03/22/17D | 60,000 | 59,931 | ||||||
6.63%, 04/01/18 | 1,400,000 | 1,465,537 | ||||||
Nabors Industries, Inc. | ||||||||
9.25%, 01/15/19D | 3,300,000 | 4,289,967 | ||||||
NCUA Guaranteed Notes | ||||||||
3.00%, 06/12/19 | 300,000 | 329,385 |
Par | Value | |||||||
Newfield Exploration Co. | ||||||||
7.13%, 05/15/18 | $ | 100,000 | $ | 106,375 | ||||
5.75%, 01/30/22D | 50,000 | 52,500 | ||||||
News America, Inc. | ||||||||
6.15%, 02/15/41 | 450,000 | 528,123 | ||||||
Noble Energy, Inc. | ||||||||
4.15%, 12/15/21 | 620,000 | 653,205 | ||||||
Northwestern Mutual Life | ||||||||
6.06%, 03/30/40 144A | 500,000 | 611,049 | ||||||
Occidental Petroleum | ||||||||
3.13%, 02/15/22 | 310,000 | 323,841 | ||||||
2.70%, 02/15/23 | 360,000 | 363,080 | ||||||
Overseas Private Investment | ||||||||
0.92%, 11/18/13W† | 3,500,000 | �� | 3,528,493 | |||||
0.00%, 07/12/16W† | 3,000,000 | 3,660,189 | ||||||
Pacific Gas & Electric Co. | ||||||||
8.25%, 10/15/18 | 130,000 | 175,457 | ||||||
6.05%, 03/01/34 | 110,000 | 139,076 | ||||||
5.80%, 03/01/37 | 250,000 | 311,846 | ||||||
Patrons’ Legacy | ||||||||
5.65%, 05/17/21+ 144A | 1,290,357 | 1,217,646 | ||||||
Peabody Energy Corporation | ||||||||
7.88%, 11/01/26 | 1,100,000 | 1,130,250 | ||||||
Pemex Project Funding | ||||||||
6.63%, 06/15/35D | 159,000 | 190,005 | ||||||
PepsiCo, Inc. | ||||||||
7.90%, 11/01/18D | 140,000 | 187,284 | ||||||
Pfizer, Inc. | ||||||||
7.20%, 03/15/39 | 600,000 | 914,252 | ||||||
Plastipak Holdings, Inc. | ||||||||
8.50%, 12/15/15 144A | 200,000 | 207,500 | ||||||
Pricoa Global Funding I | ||||||||
0.66%, 09/27/13 144A† | 1,700,000 | 1,693,610 | ||||||
Private Export Funding | ||||||||
5.45%, 09/15/17 | 1,600,000 | 1,952,242 | ||||||
Progress Energy, Inc. | ||||||||
7.75%, 03/01/31 | 350,000 | 493,543 | ||||||
ProLogis LP | ||||||||
1.88%, 11/15/37 | 350,000 | 350,875 | ||||||
PVNGS II Funding | ||||||||
8.00%, 12/30/15 | 715,000 | 748,398 | ||||||
Raytheon Co. | ||||||||
3.13%, 10/15/20 | 200,000 | 210,285 | ||||||
Reed Elsevier Capital, Inc. | ||||||||
8.63%, 01/15/19 | 410,000 | 520,827 | ||||||
Rensselaer Polytechnic Institute | ||||||||
5.60%, 09/01/20 | 675,000 | 776,104 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
7.13%, 04/15/19 144AD | 500,000 | 526,250 | ||||||
Roche Holdings, Inc. | ||||||||
6.00%, 03/01/19 144A | 330,000 | 411,050 | ||||||
Rock-Tenn Co. | ||||||||
5.63%, 03/15/13 | 50,000 | 51,312 | ||||||
Rowan Cos., Inc. | ||||||||
4.88%, 06/01/22 | 475,000 | 480,095 | ||||||
Safeway, Inc. | ||||||||
3.95%, 08/15/20D | 150,000 | 144,984 | ||||||
4.75%, 12/01/21D | 330,000 | 327,886 |
See Notes to Financial Statements.
61
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Service Corporation | ||||||||
7.63%, 10/01/18 | $ | 90,000 | $ | 102,600 | ||||
7.50%, 04/01/27 | 200,000 | 206,000 | ||||||
SESI LLC | ||||||||
7.13%, 12/15/21 144A | 80,000 | 87,400 | ||||||
Simon Property Group LP | ||||||||
10.35%, 04/01/19 | 750,000 | 1,053,479 | ||||||
Southern Natural Gas Co. | ||||||||
8.00%, 03/01/32D | 400,000 | 520,784 | ||||||
Southern Union Co. | ||||||||
3.48%, 11/01/66† | 525,000 | 429,844 | ||||||
Sprint Capital Corporation | ||||||||
6.90%, 05/01/19D | 30,000 | 28,350 | ||||||
6.88%, 11/15/28D | 50,000 | 40,500 | ||||||
8.75%, 03/15/32D | 120,000 | 109,800 | ||||||
Sprint Nextel Corporation | ||||||||
9.00%, 11/15/18 144AD | 80,000 | 89,600 | ||||||
State Street Corporation | ||||||||
4.96%, 03/15/18 | 530,000 | 568,310 | ||||||
Steel Dynamics, Inc. | ||||||||
6.75%, 04/01/15D | 225,000 | 229,500 | ||||||
7.75%, 04/15/16D | 500,000 | 517,500 | ||||||
SunTrust Banks, Inc. | ||||||||
3.60%, 04/15/16D | 300,000 | 311,787 | ||||||
SunTrust Preferred Capital I | ||||||||
4.00%, 06/29/49† | 357,000 | 255,344 | ||||||
Teachers Insurance & Annuity | ||||||||
6.85%, 12/16/39 144A | 540,000 | 699,735 | ||||||
Tenet Healthcare Corporation | ||||||||
9.25%, 02/01/15D | 1,262,000 | 1,410,285 | ||||||
Tennessee Gas Pipeline Co. | ||||||||
7.50%, 04/01/17D | 250,000 | 299,622 | ||||||
7.63%, 04/01/37 | 50,000 | 61,718 | ||||||
Terex Corporation | ||||||||
10.88%, 06/01/16D | 250,000 | 281,562 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.60%, 08/15/21D | 160,000 | 172,431 | ||||||
Time Warner Cable, Inc. | ||||||||
8.75%, 02/14/19D | 560,000 | 745,547 | ||||||
4.13%, 02/15/21D | 70,000 | 74,431 | ||||||
5.88%, 11/15/40D | 440,000 | 494,234 | ||||||
Time Warner, Inc. | ||||||||
4.70%, 01/15/21D | 10,000 | 11,163 | ||||||
6.10%, 07/15/40 | 140,000 | 161,634 | ||||||
6.25%, 03/29/41D | 40,000 | 46,678 | ||||||
Time Warner | ||||||||
8.38%, 07/15/33D | 590,000 | 801,486 | ||||||
Transatlantic Holdings, Inc. | ||||||||
8.00%, 11/30/39 | 275,000 | 322,206 | ||||||
UAL 1993 Pass | ||||||||
9.21%, 01/21/17+ | 81,116 | — | ||||||
UAL 1995 Pass | ||||||||
9.56%, 10/19/18@ | 132,985 | 30,587 | ||||||
Union Bank NA | ||||||||
1.42%, 06/06/14† | 2,600,000 | 2,587,286 | ||||||
2.13%, 06/16/17 | 700,000 | 700,946 | ||||||
United Parcel Service, Inc. | ||||||||
4.50%, 01/15/13 | 770,000 | 787,079 |
Par | Value | |||||||
United Technologies | ||||||||
3.10%, 06/01/22 | $ | 775,000 | $ | 813,828 | ||||
4.50%, 06/01/42 | 500,000 | 551,544 | ||||||
UnitedHealth Group, Inc. | ||||||||
4.88%, 02/15/13 | 370,000 | 379,468 | ||||||
4.88%, 04/01/13 | 410,000 | 422,710 | ||||||
Verizon Communications, Inc. | ||||||||
6.10%, 04/15/18D | 290,000 | 353,748 | ||||||
3.50%, 11/01/21D | 565,000 | 602,738 | ||||||
6.00%, 04/01/41 | 40,000 | 50,904 | ||||||
Verizon Global Funding | ||||||||
4.38%, 06/01/13 | 140,000 | 144,812 | ||||||
Wachovia Bank NA | ||||||||
6.60%, 01/15/38 | 275,000 | 348,253 | ||||||
Wachovia Capital Trust III | ||||||||
5.57%, 03/29/49† | 960,000 | 920,400 | ||||||
Wachovia Corporation | ||||||||
5.25%, 08/01/14 | 1,850,000 | 1,974,499 | ||||||
5.63%, 10/15/16 | 250,000 | 282,083 | ||||||
Waste Management, Inc. | ||||||||
7.38%, 05/15/29 | 140,000 | 185,965 | ||||||
WEA Finance LLC | ||||||||
7.13%, 04/15/18 144A | 400,000 | 474,399 | ||||||
WellPoint, Inc. | ||||||||
5.88%, 06/15/17D | 720,000 | 850,122 | ||||||
Wells Fargo & Co. | ||||||||
4.38%, 01/31/13 | 600,000 | 613,244 | ||||||
3.68%, 06/15/16 STEP | 290,000 | 308,960 | ||||||
2.10%, 05/08/17D | 640,000 | 642,166 | ||||||
4.60%, 04/01/21D | 70,000 | 78,237 | ||||||
7.98%, 03/29/49†D | 2,600,000 | 2,866,500 | ||||||
Wells Fargo Capital X | ||||||||
5.95%, 12/01/86 | 200,000 | 202,750 | ||||||
Western Gas Partners LP | ||||||||
4.00%, 07/01/22 | 275,000 | 275,562 | ||||||
Williams Cos., Inc. | ||||||||
7.50%, 01/15/31 | 10,000 | 12,210 | ||||||
7.75%, 06/15/31 | 25,000 | 31,118 | ||||||
8.75%, 03/15/32 | 451,000 | 613,670 | ||||||
WPX Energy, Inc. | ||||||||
6.00%, 01/15/22 144AD | 130,000 | 130,000 | ||||||
Xylem, Inc. | ||||||||
3.55%, 09/20/16 144A | 350,000 | 367,754 | ||||||
|
| |||||||
Total Corporate Bonds | 185,550,368 | |||||||
|
| |||||||
FOREIGN BONDS — 14.7% | ||||||||
Argentina — 0.0% | ||||||||
Argentine Republic | ||||||||
0.04%, 12/15/35(E)† | 906,000 | 108,234 | ||||||
|
| |||||||
Australia — 1.8% | ||||||||
Australia Government Bond | ||||||||
5.50%, 12/15/13(A) | 400,000 | 427,187 | ||||||
4.75%, 06/15/16(A) | 7,800,000 | 8,666,135 | ||||||
BHP Billiton Finance | ||||||||
3.25%, 11/21/21D | 940,000 | 982,958 | ||||||
Commonwealth Bank | ||||||||
3.75%, 10/15/14 144A | 440,000 | 460,858 | ||||||
5.00%, 10/15/19 144AD | 50,000 | 55,016 |
See Notes to Financial Statements.
62
Table of Contents
Par | Value | |||||||
National Australia Bank, Ltd. | ||||||||
1.19%, 04/11/14 144A† | $ | 2,000,000 | $ | 2,002,034 | ||||
Newcrest Finance Proprietary, Ltd. | ||||||||
4.45%, 11/15/21 144A | 400,000 | 411,246 | ||||||
QBE Insurance Group, Ltd. | ||||||||
5.65%, 07/01/23 144A†@ | 525,000 | 488,287 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
2.50%, 05/20/16 | 30,000 | 31,206 | ||||||
3.50%, 11/02/20D | 1,180,000 | 1,257,642 | ||||||
4.13%, 05/20/21 | 140,000 | 154,195 | ||||||
3.75%, 09/20/21D | 110,000 | 118,381 | ||||||
Westpac Banking Corporation | ||||||||
1.90%, 12/14/12 144A | 1,500,000 | 1,509,199 | ||||||
|
| |||||||
16,564,344 | ||||||||
|
| |||||||
Austria — 0.0% | ||||||||
PE Paper Escrow GmbH | ||||||||
12.00%, 08/01/14 144A | 450,000 | 481,500 | ||||||
|
| |||||||
Bermuda — 0.1% | ||||||||
Arch Capital Group, Ltd. | ||||||||
7.35%, 05/01/34 | 175,000 | 218,890 | ||||||
Endurance Specialty Holdings, Ltd. | ||||||||
6.15%, 10/15/15 | 150,000 | 160,714 | ||||||
Weatherford International, Ltd. | ||||||||
9.63%, 03/01/19@ | 265,000 | 345,807 | ||||||
|
| |||||||
725,411 | ||||||||
|
| |||||||
Canada — 0.5% | ||||||||
Barrick Gold Corporation | ||||||||
3.85%, 04/01/22 | 130,000 | 134,865 | ||||||
Canadian Government Bond | ||||||||
2.25%, 08/01/14(C) | 3,000,000 | 3,020,479 | ||||||
Nexen, Inc. | ||||||||
7.50%, 07/30/39 | 250,000 | 292,290 | ||||||
Potash Corporation of Saskatchewan, Inc. | ||||||||
4.88%, 03/30/20D | 110,000 | 127,138 | ||||||
PTTEP Canada International Finance, Ltd. | ||||||||
5.69%, 04/05/21 144AD | 320,000 | 338,399 | ||||||
Rogers Communications, Inc. | ||||||||
6.38%, 03/01/14 | 90,000 | 98,061 | ||||||
6.75%, 03/15/15 | 10,000 | 11,444 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
6.35%, 05/15/67† | 400,000 | 412,329 | ||||||
|
| |||||||
4,435,005 | ||||||||
|
| |||||||
Cayman Islands — 0.6% | ||||||||
Petrobras International Finance Co. | ||||||||
3.88%, 01/27/16 | 250,000 | 259,360 | ||||||
6.13%, 10/06/16D | 271,000 | 304,435 | ||||||
5.75%, 01/20/20 | 235,000 | 258,236 | ||||||
5.38%, 01/27/21 | 990,000 | 1,071,943 | ||||||
Resona Preferred Global Securities Cayman, Ltd. | ||||||||
7.19%, 12/29/49 144A†D | 985,000 | 1,014,276 | ||||||
Transocean, Inc. | ||||||||
6.50%, 11/15/20 | 1,250,000 | 1,420,189 | ||||||
Vale Overseas, Ltd. | ||||||||
4.38%, 01/11/22 | 932,000 | 953,737 |
Par | Value | |||||||
8.25%, 01/17/34D | $ | 80,000 | $ | 102,891 | ||||
6.88%, 11/21/36D | 511,000 | 595,292 | ||||||
|
| |||||||
5,980,359 | ||||||||
|
| |||||||
Chile — 0.0% | ||||||||
Celulosa Arauco y Constitucion SA | ||||||||
4.75%, 01/11/22D | 50,000 | 51,364 | ||||||
4.75%, 01/11/22 144A | 190,000 | 195,184 | ||||||
Corporacion Nacional del Cobre de Chile | ||||||||
4.75%, 10/15/14 144AD | 210,000 | 224,464 | ||||||
|
| |||||||
471,012 | ||||||||
|
| |||||||
Colombia — 0.1% | ||||||||
Colombia Government International Bond | ||||||||
4.38%, 07/12/21 | 880,000 | 992,640 | ||||||
|
| |||||||
Denmark — 0.2% | ||||||||
BRFkredit A/S | ||||||||
2.05%, 04/15/13 144A | 1,200,000 | 1,213,966 | ||||||
FIH Erhvervsbank A/S | ||||||||
2.00%, 06/12/13 144AD | 1,000,000 | 1,012,181 | ||||||
|
| |||||||
2,226,147 | ||||||||
|
| |||||||
France — 0.7% | ||||||||
Banque PSA Finance SA | ||||||||
2.36%, 04/04/14 144A† | 1,500,000 | 1,459,616 | ||||||
Cie de Financement Foncier SA | ||||||||
2.13%, 04/22/13 144A | 3,500,000 | 3,520,839 | ||||||
Compagnie Generale de Geophysique - Veritas | ||||||||
9.50%, 05/15/16 | 250,000 | 274,375 | ||||||
7.75%, 05/15/17D | 155,000 | 160,522 | ||||||
Credit Agricole SA | ||||||||
2.63%, 01/21/14 144AD | 310,000 | 304,892 | ||||||
8.38%, 10/29/49 144A†D | 980,000 | 815,850 | ||||||
|
| |||||||
6,536,094 | ||||||||
|
| |||||||
Germany — 1.5% | ||||||||
Bundesschatzanweisungen | ||||||||
0.75%, 09/13/13(E) | 8,900,000 | 11,354,979 | ||||||
State of North Rhine-Westphalia | ||||||||
1.63%, 09/17/14D | 2,500,000 | 2,523,470 | ||||||
|
| |||||||
13,878,449 | ||||||||
|
| |||||||
Iceland — 0.0% | ||||||||
Glitnir Banki HF | ||||||||
6.69%, 06/15/16+ 144A#D | 1,000,000 | 10 | ||||||
7.45%, 03/29/49+ 144A# | 100,000 | 1 | ||||||
Kaupthing Bank HF | ||||||||
7.13%, 05/19/16+ 144A# | 350,000 | 3 | ||||||
Landsbanki Islands HF | ||||||||
6.10%, 08/25/11 144A#@ | 1,500,000 | 82,500 | ||||||
|
| |||||||
82,514 | ||||||||
|
| |||||||
India — 0.4% | ||||||||
ICICI Bank, Ltd. | ||||||||
2.22%, 02/24/14 144A† | 3,400,000 | 3,297,973 | ||||||
6.38%, 04/30/22† | 110,000 | 99,000 | ||||||
6.38%, 04/30/22 144A† | 418,000 | 376,200 | ||||||
|
| |||||||
3,773,173 | ||||||||
|
|
See Notes to Financial Statements.
63
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Indonesia — 0.1% | ||||||||
Indonesia Government International Bond | ||||||||
8.50%, 10/12/35D | $ | 330,000 | $ | 485,925 | ||||
Ireland — 0.1% | ||||||||
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC | ||||||||
8.38%, 04/30/13 144A | 120,000 | 124,622 | ||||||
6.49%, 02/02/16 144A | 230,000 | 229,885 | ||||||
7.75%, 02/02/21 144A | 200,000 | 193,648 | ||||||
|
| |||||||
548,155 | ||||||||
|
| |||||||
Italy — 0.4% | ||||||||
Intesa Sanpaolo SpA | ||||||||
2.87%, 02/24/14 144A† | 3,400,000 | 3,194,174 | ||||||
3.63%, 08/12/15 144A | 290,000 | 261,171 | ||||||
|
| |||||||
3,455,345 | ||||||||
|
| |||||||
Japan — 0.2% | ||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
3.85%, 01/22/15 144AD | 330,000 | 348,569 | ||||||
Mitsui Sumitomo Insurance Co., Ltd. | ||||||||
7.00%, 03/15/72 144A†D | 200,000 | 207,088 | ||||||
Resona Bank, Ltd. | ||||||||
5.85%, 09/29/49 144A†@D | 250,000 | 257,434 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
3.15%, 07/22/15 144A | 640,000 | 672,643 | ||||||
|
| |||||||
1,485,734 | ||||||||
|
| |||||||
Jersey — 0.1% | ||||||||
HSBC Capital Funding LP | ||||||||
4.61%, 12/29/49 144A† | 800,000 | 757,851 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
7.25%, 05/24/41 144A† | 200,000 | 175,000 | ||||||
UBM PLC | ||||||||
5.75%, 11/03/20 144A | 260,000 | 268,039 | ||||||
|
| |||||||
1,200,890 | ||||||||
|
| |||||||
Luxembourg — 0.6% | ||||||||
Fiat Finance & Trade SA | ||||||||
9.00%, 07/30/12(E) | 700,000 | 888,855 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
9.25%, 04/23/19 | 290,000 | 363,164 | ||||||
6.51%, 03/07/22 144A | 3,100,000 | 3,452,656 | ||||||
Intelsat Jackson Holdings SA | ||||||||
7.50%, 04/01/21 | 500,000 | 531,250 | ||||||
TNK-BP Finance SA | ||||||||
7.50%, 07/18/16 | 190,000 | 212,097 | ||||||
|
| |||||||
5,448,022 | ||||||||
|
| |||||||
Malaysia — 0.1% | ||||||||
Malaysia Government Bond | ||||||||
3.84%, 08/12/15(R) | 2,280,000 | 734,367 | ||||||
4.26%, 09/15/16(R) | 650,000 | 213,721 | ||||||
|
| |||||||
948,088 | ||||||||
|
|
Par | Value | |||||||
Mexico — 0.9% | ||||||||
America Movil SAB de CV | ||||||||
5.63%, 11/15/17D | $ | 270,000 | $ | 318,784 | ||||
5.00%, 03/30/20D | 240,000 | 273,755 | ||||||
Mexican Bonos | ||||||||
8.00%, 06/11/20(M) | 32,757,000 | 2,912,212 | ||||||
6.50%, 06/09/22(M) | 24,040,000 | 1,956,206 | ||||||
10.00%, 12/05/24(M) | 3,487,200 | 366,938 | ||||||
7.75%, 11/13/42(M) | 11,008,600 | 922,522 | ||||||
Mexico Cetes | ||||||||
4.24%, 09/20/12(M)W† | 69,800,000 | 518,007 | ||||||
Mexico Government International Bond | ||||||||
6.75%, 09/27/34 | 601,000 | 823,370 | ||||||
6.05%, 01/11/40 | 134,000 | 173,530 | ||||||
Petroleos Mexicanos | ||||||||
5.50%, 01/21/21 | 370,000 | 419,950 | ||||||
|
| |||||||
8,685,274 | ||||||||
|
| |||||||
Netherlands — 1.1% | ||||||||
Achmea Hypotheekbank NV | ||||||||
3.20%, 11/03/14 144A | 1,216,000 | 1,269,159 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
3.38%, 01/19/17D | 170,000 | 175,145 | ||||||
4.50%, 01/11/21D | 2,000,000 | 2,125,728 | ||||||
11.00%, 12/29/49 144A† | 687,000 | 868,746 | ||||||
Deutsche Telekom International Finance BV | ||||||||
5.75%, 03/23/16 | 510,000 | 572,392 | ||||||
ING Bank NV | ||||||||
3.90%, 03/19/14 144A | 500,000 | 524,973 | ||||||
Shell International Finance BV | ||||||||
4.38%, 03/25/20 | 700,000 | 816,486 | ||||||
Volkswagen International Finance NV | ||||||||
0.91%, 10/01/12 144A† | 1,900,000 | 1,901,376 | ||||||
1.21%, 03/21/14 144A† | 100,000 | 100,088 | ||||||
1.07%, 04/01/14 144A†D | 1,500,000 | 1,497,675 | ||||||
|
| |||||||
9,851,768 | ||||||||
|
| |||||||
Norway — 0.8% | ||||||||
DNB Boligkreditt AS | ||||||||
2.10%, 10/14/15 144A | 1,300,000 | 1,327,753 | ||||||
2.90%, 03/29/16 144A | 3,000,000 | 3,125,619 | ||||||
Sparebank 1 Boligkreditt AS | ||||||||
2.63%, 05/27/16 144A | 1,600,000 | 1,646,464 | ||||||
2.30%, 06/30/17 144AD | 1,000,000 | 1,005,739 | ||||||
|
| |||||||
7,105,575 | ||||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Obrigacoes do Tesouro | ||||||||
2.17%, 05/16/47(E) | 774,882 | 980,261 | ||||||
|
| |||||||
Russia — 0.0% | ||||||||
Russian Foreign Bond | ||||||||
4.50%, 04/04/22 144AD | 200,000 | 210,022 | ||||||
|
| |||||||
South Africa — 0.1% | ||||||||
South Africa Government Bond | ||||||||
7.25%, 01/15/20(S) | 338,570 | 41,678 | ||||||
6.75%, 03/31/21(S)D | 2,384,629 | 281,968 | ||||||
10.50%, 12/21/26(S) | 4,579,177 | 680,896 | ||||||
|
| |||||||
1,004,542 | ||||||||
|
|
See Notes to Financial Statements.
64
Table of Contents
Par | Value | |||||||
South Korea — 0.4% | ||||||||
Export-Import Bank of Korea | ||||||||
5.25%, 02/10/14 144A | $ | 235,000 | $ | 247,291 | ||||
Hyundai Capital Services, Inc. | ||||||||
4.38%, 07/27/16 144A | 3,400,000 | 3,576,640 | ||||||
|
| |||||||
3,823,931 | ||||||||
|
| |||||||
Spain — 0.1% | ||||||||
BBVA US Senior SA | ||||||||
3.25%, 05/16/14D | 560,000 | 538,982 | ||||||
Santander US Debt SA | ||||||||
3.72%, 01/20/15 144A | 500,000 | 465,333 | ||||||
3.78%, 10/07/15 144AD | 100,000 | 93,437 | ||||||
Telefonica Emisiones SA | ||||||||
5.88%, 07/15/19D | 70,000 | 62,698 | ||||||
5.13%, 04/27/20D | 140,000 | 120,780 | ||||||
|
| |||||||
1,281,230 | ||||||||
|
| |||||||
Sweden — 0.9% | ||||||||
Nordea Bank AB | ||||||||
1.37%, 01/14/14 144A† | 3,400,000 | 3,401,904 | ||||||
3.70%, 11/13/14 144A | 200,000 | 208,130 | ||||||
4.88%, 05/13/21 144A | 640,000 | 624,682 | ||||||
Stadshypotek AB | ||||||||
1.45%, 09/30/13 144AD | 4,000,000 | 4,032,288 | ||||||
Swedbank Hypotek AB | ||||||||
0.91%, 03/28/14 144A† | 200,000 | 198,579 | ||||||
|
| |||||||
8,465,583 | ||||||||
|
| |||||||
Switzerland — 0.1% | ||||||||
Credit Suisse | ||||||||
6.00%, 02/15/18 | 100,000 | 107,124 | ||||||
UBS AG | ||||||||
2.25%, 01/28/14D | 710,000 | 713,906 | ||||||
|
| |||||||
821,030 | ||||||||
|
| |||||||
United Kingdom — 2.1% | ||||||||
Abbey National Treasury | ||||||||
3.88%, 11/10/14 144A | 2,900,000 | 2,858,588 | ||||||
2.61%, 02/16/15(U)† | 200,000 | 314,513 | ||||||
Bank of Scotland PLC | ||||||||
5.25%, 02/21/17 144A | 500,000 | 553,190 | ||||||
Barclays Bank PLC | ||||||||
1.51%, 01/13/14† | 2,800,000 | 2,804,222 | ||||||
6.05%, 12/04/17 144A | 230,000 | 233,467 | ||||||
BP Capital Markets PLC | ||||||||
5.25%, 11/07/13 | 940,000 | 996,354 | ||||||
3.88%, 03/10/15D | 310,000 | 332,411 | ||||||
3.20%, 03/11/16D | 275,000 | 292,747 | ||||||
4.50%, 10/01/20 | 725,000 | 817,654 | ||||||
3.56%, 11/01/21D | 50,000 | 52,709 | ||||||
3.25%, 05/06/22 | 225,000 | 233,453 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.85%, 05/08/22 | 400,000 | 407,754 | ||||||
HSBC Holdings PLC | ||||||||
6.80%, 06/01/38 | 250,000 | 287,276 | ||||||
Lloyds TSB Bank PLC | ||||||||
2.82%, 01/24/14† | 3,400,000 | 3,420,369 |
Par | Value | |||||||
6.38%, 01/21/21 | $ | 320,000 | $ | 363,258 | ||||
12.00%, 12/29/49 144A† | 3,200,000 | 3,379,004 | ||||||
Royal Bank of Scotland PLC | ||||||||
4.88%, 08/25/14 144A | 425,000 | 437,181 | ||||||
3.95%, 09/21/15D | 560,000 | 570,829 | ||||||
Royal Bank of Scotland | ||||||||
5.00%, 10/01/14D | 100,000 | 100,431 | ||||||
5.05%, 01/08/15D | 100,000 | 99,904 | ||||||
6.40%, 10/21/19D | 160,000 | 170,867 | ||||||
7.64%, 03/29/49† | 200,000 | 135,000 | ||||||
WPP Finance UK | ||||||||
8.00%, 09/15/14 | 336,000 | 379,127 | ||||||
|
| |||||||
19,240,308 | ||||||||
|
| |||||||
Venezuela — 0.1% | ||||||||
Venezuela Government | ||||||||
12.75%, 08/23/22D | 600,000 | 579,000 | ||||||
8.25%, 10/13/24 | 410,000 | 295,323 | ||||||
7.65%, 04/21/25 | 270,000 | 187,650 | ||||||
11.75%, 10/21/26 | 90,000 | 80,325 | ||||||
9.25%, 05/07/28 | 120,000 | 91,800 | ||||||
11.95%, 08/05/31 | 30,000 | 26,850 | ||||||
|
| |||||||
1,260,948 | ||||||||
|
| |||||||
Virgin Islands (British) — 0.5% | ||||||||
Gerdau Trade, Inc. | ||||||||
5.75%, 01/30/21 144AD | 4,000,000 | 4,166,000 | ||||||
Sinopec Group Overseas | ||||||||
2.75%, 05/17/17 144A | 230,000 | 234,471 | ||||||
|
| |||||||
4,400,471 | ||||||||
|
| |||||||
Total Foreign Bonds | 136,957,984 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 40.8% |
| |||||||
ABN Amro Mortgage | ||||||||
5.50%, 06/25/33 IOW | 12,526 | 321 | ||||||
American Home | ||||||||
1.07%, 11/25/46† | 1,230,456 | 509,038 | ||||||
Banc of America Large | ||||||||
5.67%, 02/17/51 144A† | 100,000 | 110,495 | ||||||
Banc of America Merrill Lynch | ||||||||
4.73%, 07/10/43 | 57,000 | 59,259 | ||||||
5.92%, 05/10/45† | 420,000 | 478,830 | ||||||
5.42%, 09/10/45† | 117,000 | 126,354 | ||||||
5.82%, 04/10/49† | 75,000 | 76,132 | ||||||
Bank of America | ||||||||
2.97%, 07/25/34† | 230,973 | 207,944 | ||||||
Bear Stearns Adjustable Rate | ||||||||
5.68%, 02/25/33† | 47,027 | 46,651 | ||||||
5.32%, 05/25/34† | 280,121 | 267,124 | ||||||
2.57%, 03/25/35† | 1,029,760 | 1,004,430 | ||||||
Bear Stearns Alt-A Trust | ||||||||
0.89%, 04/25/34† | 85,821 | 76,484 | ||||||
2.88%, 05/25/35† | 508,484 | 435,213 | ||||||
2.88%, 09/25/35† | 745,229 | 510,482 |
See Notes to Financial Statements.
65
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Bear Stearns Commercial | ||||||||
5.91%, 06/11/40† | $ | 75,000 | $ | 79,092 | ||||
Bear Stearns Structured | ||||||||
2.85%, 01/26/36† | 1,272,701 | 753,262 | ||||||
Chase Mortgage Finance | ||||||||
2.94%, 02/25/37† | 195,390 | 191,795 | ||||||
Commercial Mortgage | ||||||||
4.93%, 02/10/44† | 125,000 | 129,594 | ||||||
4.06%, 12/10/44 | 200,000 | 202,093 | ||||||
5.82%, 12/10/44† | 100,000 | 98,898 | ||||||
5.35%, 12/10/46 | 50,000 | 51,092 | ||||||
Countrywide Alternative | ||||||||
5.50%, 10/25/33 | 116,673 | 122,642 | ||||||
0.56%, 11/20/35† | 918,243 | 522,757 | ||||||
0.57%, 11/20/35† | 1,742,307 | 1,004,090 | ||||||
0.52%, 01/25/36† | 541,812 | 364,842 | ||||||
0.52%, 02/25/36† | 1,359,341 | 763,250 | ||||||
0.44%, 09/25/46† | 1,224,993 | 647,409 | ||||||
Countrywide Home Loan | ||||||||
2.74%, 02/19/34† | 1,057,209 | 1,008,153 | ||||||
0.67%, 11/25/34 144A† | 20,668 | 16,345 | ||||||
0.61%, 03/25/35 144A† | 83,678 | 65,552 | ||||||
0.49%, 03/25/36† | 375,574 | 241,156 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
5.38%, 02/15/40 | 1,550,000 | 1,626,207 | ||||||
CS First Boston Mortgage | ||||||||
5.25%, 07/25/33 IO@ | 41,092 | 3,542 | ||||||
0.00%, 07/25/33+ IOW†@ | 133,893 | — | ||||||
0.00%, 08/25/33+ IOW†@ | 175,336 | 3 | ||||||
DBUBS Mortgage Trust | ||||||||
1.64%, 08/10/44 144A† | 1,308,344 | 69,282 | ||||||
Federal Home Loan Mortgage | ||||||||
7.00%, 11/01/14 | 4,634 | 4,872 | ||||||
7.00%, 04/01/15 | 6,845 | 7,197 | ||||||
7.00%, 12/01/15 | 7,415 | 7,631 | ||||||
8.50%, 06/01/16 | 8,077 | 8,077 | ||||||
8.50%, 06/01/18 | 3,408 | 3,819 | ||||||
4.50%, 09/01/18 | 12,517 | 13,628 | ||||||
8.00%, 08/01/24 | 2,110 | 2,537 | ||||||
4.00%, 10/01/25 | 1,300,000 | 1,374,631 | ||||||
2.50%, 07/01/27 TBA | 4,400,000 | 4,522,375 | ||||||
3.00%, 07/01/27 TBA | 3,000,000 | 3,136,406 | ||||||
7.50%, 11/01/29 | 8,603 | 10,490 | ||||||
7.50%, 12/01/29 | 14,405 | 17,548 | ||||||
7.50%, 02/01/31 | 27,932 | 32,917 | ||||||
2.41%, 07/01/31† | 26,825 | 27,092 | ||||||
2.36%, 08/01/31† | 3,439 | 3,568 | ||||||
7.50%, 11/01/31 | 9,751 | 9,910 | ||||||
3.10%, 04/01/32† | 2,990 | 3,200 | ||||||
2.47%, 03/01/34† | 4,476 | 4,759 | ||||||
5.00%, 12/01/34 | 50,631 | 54,727 | ||||||
5.50%, 05/01/35 | 787,712 | 861,811 | ||||||
5.00%, 11/01/35 | 844,915 | 910,760 | ||||||
5.50%, 11/01/35 | 188,596 | 206,219 | ||||||
5.00%, 12/01/35 | 56,928 | 63,064 |
Par | Value | |||||||
5.50%, 01/01/36 | $ | 124,547 | $ | 136,937 | ||||
6.00%, 02/01/36 | 809,129 | 891,933 | ||||||
3.08%, 01/01/37† | 674,174 | 714,236 | ||||||
6.00%, 04/01/37 | 6,857 | 7,656 | ||||||
5.50%, 07/01/37 | 233,731 | 257,178 | ||||||
6.00%, 07/01/37 | 1,911 | 2,134 | ||||||
5.47%, 09/01/37† | 231,210 | 245,250 | ||||||
6.00%, 09/01/37 | 81,426 | 90,826 | ||||||
5.50%, 04/01/38 | 82,494 | 89,764 | ||||||
6.00%, 07/01/38 | 31,065 | 34,685 | ||||||
6.00%, 12/01/38 | 85,823 | 95,824 | ||||||
6.00%, 01/01/39 | 44,818 | 50,040 | ||||||
6.50%, 09/01/39 | 232,249 | 262,015 | ||||||
4.50%, 03/01/41 | 13,273 | 14,218 | ||||||
3.50%, 07/01/41 TBA | 4,800,000 | 5,035,500 | ||||||
4.00%, 07/01/41 TBA | 1,100,000 | 1,167,203 | ||||||
4.00%, 05/01/42 | 1,000,000 | 1,080,205 | ||||||
4.50%, 06/01/42 | 300,000 | 330,470 | ||||||
3.50%, 07/01/42 | 600,000 | 630,539 | ||||||
4.50%, 07/12/42 TBA | 500,000 | 533,984 | ||||||
Federal Home Loan Mortgage | ||||||||
2.36%, 04/15/22 POW† | 12,100 | 11,231 | ||||||
6.00%, 05/15/36 | 719,602 | 842,614 | ||||||
0.74%, 06/15/37† | 987,478 | 989,361 | ||||||
20.08%, 04/15/39 IOW† | 1,800,000 | 383,814 | ||||||
10.22%, 01/15/40 IOW† | 1,296,775 | 185,874 | ||||||
0.38%, 06/15/42 IOW† | 100,000 | 22,807 | ||||||
Federal Housing Administration | ||||||||
8.70%, 10/01/18+@ | 101,457 | 106,057 | ||||||
Federal National Mortgage | ||||||||
8.00%, 06/01/15 | 14,093 | 14,797 | ||||||
8.00%, 07/01/15 | 6,619 | 6,638 | ||||||
8.00%, 09/01/15 | 13,829 | 14,808 | ||||||
3.07%, 12/01/17 | 975,999 | 1,036,022 | ||||||
5.00%, 12/01/17 | 32,169 | 34,760 | ||||||
2.80%, 03/01/18 | 585,689 | 619,259 | ||||||
3.74%, 05/01/18 | 1,380,029 | 1,509,950 | ||||||
3.84%, 05/01/18 | 420,000 | 461,928 | ||||||
4.51%, 06/01/19 | 1,000,000 | 1,131,119 | ||||||
3.42%, 10/01/20 | 294,289 | 317,924 | ||||||
3.63%, 12/01/20 | 196,310 | 214,676 | ||||||
3.76%, 12/01/20 | 1,277,655 | 1,406,035 | ||||||
9.50%, 05/01/22 | 1,759 | 2,037 | ||||||
2.47%, 07/01/22† | 8,171 | 8,212 | ||||||
5.50%, 09/01/23 | 250,825 | 274,524 | ||||||
5.50%, 10/01/23 | 44,441 | 48,696 | ||||||
9.50%, 07/01/24 | 3,560 | 4,136 | ||||||
5.50%, 05/01/25 | 1,488,083 | 1,621,724 | ||||||
3.50%, 07/01/26 TBA | 13,000,000 | 13,735,312 | ||||||
4.00%, 07/01/26 TBA | 10,000,000 | 10,634,375 | ||||||
2.41%, 07/01/27† | 22,329 | 22,963 | ||||||
2.50%, 07/01/27 TBA | 14,300,000 | 14,733,469 | ||||||
3.00%, 07/16/27 TBA | 7,800,000 | 8,171,718 | ||||||
2.50%, 07/17/27 | 11,000,000 | 11,333,437 | ||||||
2.27%, 08/01/27† | 51,394 | 54,515 | ||||||
2.41%, 11/01/27† | 32,478 | 33,294 | ||||||
5.50%, 04/01/29 | 193 | 212 | ||||||
2.76%, 02/01/30† | 146,002 | 155,263 | ||||||
2.51%, 06/01/30† | 18,687 | 18,785 | ||||||
8.00%, 10/01/30 | 34,044 | 42,103 | ||||||
2.63%, 12/01/30† | 6,890 | 7,358 |
See Notes to Financial Statements.
66
Table of Contents
Par | Value | |||||||
2.41%, 01/01/31† | $ | 7,630 | $ | 7,843 | ||||
4.50%, 04/01/31 | 248,584 | 269,521 | ||||||
2.32%, 05/01/31† | 16,311 | 16,532 | ||||||
4.50%, 05/01/31 | 828,559 | 898,343 | ||||||
4.50%, 06/01/31 | 248,028 | 268,918 | ||||||
4.00%, 10/01/31 | 68,802 | 74,095 | ||||||
4.50%, 11/01/31 | 286,230 | 310,337 | ||||||
6.00%, 11/01/31 | 9,377 | 10,559 | ||||||
4.50%, 12/01/31 | 388,385 | 421,096 | ||||||
6.00%, 01/01/32 | 69,196 | 77,919 | ||||||
6.00%, 03/01/32 | 42,013 | 47,310 | ||||||
6.00%, 04/01/32 | 373,604 | 419,365 | ||||||
2.41%, 06/01/32† | 9,091 | 9,270 | ||||||
2.47%, 08/01/32† | 22,127 | 22,957 | ||||||
2.25%, 02/01/33† | 3,018 | 3,081 | ||||||
2.47%, 05/01/33† | 59,886 | 62,450 | ||||||
6.00%, 05/01/33 | 5,110 | 5,754 | ||||||
5.00%, 07/01/33 | 155,664 | 169,388 | ||||||
5.00%, 08/01/33 | 13,666 | 15,052 | ||||||
5.00%, 09/01/33 | 190,298 | 207,076 | ||||||
5.50%, 09/01/33 | 5,139 | 5,672 | ||||||
6.00%, 12/01/33 | 2,646 | 2,979 | ||||||
5.50%, 02/01/34 | 6,750 | 7,450 | ||||||
5.50%, 04/01/34 | 1,105 | 1,227 | ||||||
5.50%, 08/01/34 | 9,935 | 11,038 | ||||||
5.50%, 10/01/34 | 499 | 554 | ||||||
6.00%, 10/01/34 | �� | 68,477 | 77,006 | |||||
2.27%, 12/01/34† | 346,171 | 364,981 | ||||||
5.50%, 12/01/34 | 61,515 | 67,898 | ||||||
6.00%, 12/01/34 | 1,050 | 1,172 | ||||||
6.00%, 01/01/35 | 577,090 | 641,476 | ||||||
6.00%, 05/01/35 | 2,073,147 | 2,293,676 | ||||||
5.50%, 07/01/35 | 447 | 497 | ||||||
6.00%, 07/01/35 | 436,318 | 482,730 | ||||||
5.50%, 08/01/35 | 1,057 | 1,174 | ||||||
6.00%, 08/01/35 | 384 | 424 | ||||||
5.50%, 09/01/35 | 244,737 | 269,033 | ||||||
5.00%, 10/01/35 | 503,524 | 547,918 | ||||||
6.00%, 10/01/35 | 95,037 | 105,632 | ||||||
2.11%, 11/01/35† | 160,017 | 167,228 | ||||||
2.12%, 11/01/35† | 139,500 | 145,714 | ||||||
2.12%, 11/01/35† | 125,412 | 130,766 | ||||||
2.13%, 11/01/35† | 178,853 | 186,868 | ||||||
2.14%, 11/01/35† | 115,355 | 120,462 | ||||||
2.41%, 11/01/35† | 19,298 | 19,784 | ||||||
6.00%, 11/01/35 | 966,920 | 1,083,482 | ||||||
5.50%, 12/01/35 | 4,718 | 5,242 | ||||||
6.00%, 12/01/35 | 22,148 | 24,677 | ||||||
6.00%, 02/01/36 | 13,705 | 15,270 | ||||||
6.00%, 03/01/36 | 18,307 | 20,398 | ||||||
5.50%, 04/01/36 | 238,364 | 256,988 | ||||||
6.00%, 04/01/36 | 19,632 | 21,874 | ||||||
3.95%, 05/01/36† | 223,665 | 237,817 | ||||||
4.50%, 07/01/36 | 825,630 | 887,040 | ||||||
6.00%, 10/01/36 | 2,781 | 3,064 | ||||||
5.50%, 11/01/36 | 610,266 | 666,719 | ||||||
6.00%, 12/01/36 | 288 | 318 | ||||||
6.00%, 01/01/37 | 61,681 | 67,972 | ||||||
2.12%, 02/01/37† | 852,114 | 893,539 | ||||||
5.50%, 02/01/37 | 776 | 857 | ||||||
5.50%, 03/01/37 | 32,147 | 35,262 | ||||||
5.50%, 04/01/37 | 1,098 | 1,205 | ||||||
6.00%, 04/01/37 | 5,268 | 5,806 | ||||||
5.50%, 05/01/37 | 1,603 | 1,769 |
Par | Value | |||||||
6.00%, 05/01/37 | $ | 6,830 | $ | 7,526 | ||||
5.50%, 06/01/37 | 579 | 639 | ||||||
6.00%, 06/01/37 | 412 | 454 | ||||||
6.00%, 07/01/37 | 4,039,814 | 4,501,031 | ||||||
6.50%, 10/01/37 | 255,518 | 290,324 | ||||||
7.00%, 10/01/37 | 43,477 | 50,603 | ||||||
6.00%, 11/01/37 | 4,334 | 4,776 | ||||||
7.00%, 11/01/37 | 17,153 | 19,964 | ||||||
2.41%, 12/01/37† | 98,171 | 102,191 | ||||||
6.00%, 12/01/37 | 664 | 731 | ||||||
7.00%, 12/01/37 | 18,432 | 21,453 | ||||||
2.41%, 01/01/38† | 46,897 | 48,765 | ||||||
6.00%, 01/01/38 | 6,816 | 7,510 | ||||||
5.50%, 02/01/38 | 696 | 768 | ||||||
6.00%, 02/01/38 | 17,985 | 19,779 | ||||||
7.00%, 02/01/38 | 18,881 | 21,976 | ||||||
4.50%, 03/01/38 | 38,017 | 40,798 | ||||||
5.50%, 03/01/38 | 1,995 | 2,201 | ||||||
6.00%, 03/01/38 | 3,707 | 4,081 | ||||||
4.50%, 04/01/38 | 1,153,438 | 1,237,789 | ||||||
6.00%, 04/01/38 | 1,516 | 1,668 | ||||||
5.50%, 05/01/38 | 416 | 459 | ||||||
6.00%, 05/01/38 | 183 | 201 | ||||||
5.50%, 06/01/38 | 2,317 | 2,555 | ||||||
5.00%, 07/01/38 TBA | 11,000,000 | 11,904,062 | ||||||
5.50%, 07/01/38 | 274,125 | 302,566 | ||||||
5.50%, 08/01/38 | 397,837 | 439,112 | ||||||
7.00%, 08/01/38 | 36,140 | 42,064 | ||||||
5.50%, 09/01/38 | 1,284 | 1,417 | ||||||
6.00%, 11/01/38 | 315,928 | 348,153 | ||||||
7.00%, 11/01/38 | 188,371 | 219,250 | ||||||
5.50%, 12/01/38 | 891 | 984 | ||||||
7.00%, 02/01/39 | 64,505 | 75,077 | ||||||
4.00%, 04/01/39 | 173,139 | 184,510 | ||||||
4.00%, 05/01/39 | 144,776 | 154,284 | ||||||
4.00%, 06/01/39 | 31,907 | 34,002 | ||||||
4.50%, 07/01/39 | 939,070 | 1,007,744 | ||||||
4.00%, 08/01/39 | 65,124 | 69,401 | ||||||
4.50%, 08/01/39 | 587,046 | 629,977 | ||||||
4.00%, 08/13/39 TBA | 8,000,000 | 8,498,750 | ||||||
6.00%, 12/01/39 | 2,510,385 | 2,766,442 | ||||||
4.50%, 01/01/40 | 400,784 | 430,093 | ||||||
4.50%, 05/01/40 | 948,673 | 1,021,015 | ||||||
1.55%, 06/01/40† | 76,482 | 78,354 | ||||||
4.00%, 07/01/40 | 5,300,000 | 5,640,360 | ||||||
4.50%, 07/01/40 | 449,457 | 483,730 | ||||||
4.00%, 08/01/40 | 1,199,861 | 1,279,035 | ||||||
4.50%, 08/01/40 | 4,140,638 | 4,450,460 | ||||||
4.00%, 09/01/40 | 2,471,054 | 2,634,109 | ||||||
4.50%, 09/01/40 | 1,517,817 | 1,645,617 | ||||||
1.55%, 10/01/40† | 217,083 | 222,317 | ||||||
4.00%, 10/01/40 | 727,345 | 775,339 | ||||||
4.50%, 10/01/40 | 996,785 | 1,072,795 | ||||||
2.41%, 11/01/40† | 38,227 | 40,036 | ||||||
4.00%, 11/01/40 | 2,569,804 | 2,739,375 | ||||||
4.50%, 11/01/40 | 180,686 | 194,464 | ||||||
4.00%, 12/01/40 | 2,983,102 | 3,179,945 | ||||||
4.00%, 01/01/41 | 636,286 | 678,272 | ||||||
4.50%, 01/01/41 | 1,579,662 | 1,700,119 | ||||||
4.00%, 02/01/41 | 26,333 | 28,079 | ||||||
4.50%, 02/01/41 | 862,644 | 930,043 | ||||||
5.00%, 02/01/41 | 521,137 | 566,759 | ||||||
4.00%, 03/01/41 | 546,777 | 583,027 | ||||||
4.50%, 03/01/41 | 792,457 | 853,602 |
See Notes to Financial Statements.
67
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
4.50%, 04/01/41 | $ | 1,735,274 | $ | 1,870,851 | ||||
4.50%, 05/01/41 | 1,915,352 | 2,064,999 | ||||||
5.00%, 05/01/41 | 433,032 | 468,776 | ||||||
4.50%, 06/01/41 | 687,251 | 740,946 | ||||||
5.00%, 06/01/41 | 64,250 | 69,554 | ||||||
4.00%, 07/01/41 | 181,714 | 193,762 | ||||||
4.00%, 07/14/41 | 2,000,000 | 2,128,438 | ||||||
3.50%, 08/01/41 TBA | 33,000,000 | 34,593,283 | ||||||
4.00%, 08/01/41 | 87,219 | 93,002 | ||||||
4.50%, 08/01/41 | 215,602 | 232,447 | ||||||
3.50%, 08/11/41 | 31,000,000 | 32,496,720 | ||||||
4.00%, 09/01/41 | 332,907 | 354,978 | ||||||
4.50%, 09/01/41 | 927,248 | 999,694 | ||||||
4.00%, 10/01/41 | 1,701,789 | 1,814,615 | ||||||
4.50%, 10/01/41 | 54,426 | 58,679 | ||||||
5.00%, 10/01/41 | 2,978,944 | 3,242,988 | ||||||
4.00%, 11/01/41 | 2,938,387 | 3,133,198 | ||||||
4.50%, 11/01/41 | 952,925 | 1,034,709 | ||||||
4.00%, 12/01/41 | 2,425,808 | 2,586,636 | ||||||
4.00%, 01/01/42 | 106,406 | 113,633 | ||||||
4.50%, 04/01/42 | 199,419 | 214,564 | ||||||
4.00%, 05/01/42 | 400,000 | 431,894 | ||||||
4.00%, 06/01/42 | 1,100,000 | 1,187,710 | ||||||
3.00%, 07/01/42 TBA | 7,900,000 | 8,101,204 | ||||||
3.00%, 07/12/42 | 4,000,000 | 4,101,875 | ||||||
6.50%, 07/25/42 | 1,180,000 | 1,375,389 | ||||||
3.00%, 08/01/42 TBA | 3,000,000 | 3,068,438 | ||||||
Federal National Mortgage | ||||||||
3.00%, 04/25/27 IO | 1,000,000 | 107,180 | ||||||
4.50%, 11/25/39 IO | 300,000 | 36,195 | ||||||
3.50%, 11/25/41 IO | 600,000 | 99,648 | ||||||
4.00%, 04/25/42 IO | 1,500,000 | 235,050 | ||||||
Federal National Mortgage | ||||||||
13.67%, 08/25/21 IOW | 118 | 2,976 | ||||||
6.97%, 10/25/21 IOW | 168 | 3,115 | ||||||
0.85%, 05/25/30† | 546,460 | 547,074 | ||||||
0.69%, 10/18/30† | 31,153 | 31,220 | ||||||
7.92%, 11/25/37 IOW† | 36,560 | 6,146 | ||||||
5.10%, 03/25/39 IOW† | 598,436 | 141,098 | ||||||
6.50%, 06/25/39 | 100,000 | 112,313 | ||||||
10.11%, 10/25/40 IOW† | 581,810 | 84,979 | ||||||
4.74%, 12/25/40 IOW† | 475,955 | 75,444 | ||||||
8.25%, 01/25/41 IOW† | 580,738 | 95,319 | ||||||
5.50%, 07/25/41 | 845,126 | 1,004,910 | ||||||
9.21%, 07/25/41 IOW† | 755,966 | 117,878 | ||||||
0.80%, 09/25/41† | 6,716,424 | 6,726,634 | ||||||
5.70%, 09/25/41 IOW† | 1,324,365 | 206,129 | ||||||
6.30%, 10/25/41 IOW† | 1,652,288 | 311,654 | ||||||
3.95%, 03/25/42 IOW† | 479,106 | 111,244 | ||||||
6.40%, 03/25/42 IOW† | 600,000 | 145,079 | ||||||
6.50%, 03/25/42 | 300,000 | 355,112 | ||||||
10.22%, 03/25/42 IOW† | 200,000 | 44,262 | ||||||
5.50%, 04/25/42 | 2,800,000 | 3,166,320 | ||||||
6.00%, 05/25/42 | 900,000 | 1,020,322 | ||||||
8.53%, 06/25/42 IOW† | 1,083,620 | 198,366 | ||||||
12.57%, 07/25/42 IOW† | 200,000 | 41,491 | ||||||
FFCA Secured Lending | ||||||||
1.08%, 09/18/27 144A†@ | 724,807 | 29,615 | ||||||
FHLMC Multifamily Structured | ||||||||
5.37%, 02/25/18 IOW† | 5,497,336 | 394,992 |
Par | Value | |||||||
2.70%, 05/25/18 | $ | 800,000 | $ | 846,806 | ||||
5.29%, 05/25/18 IOW† | 1,971,068 | 194,104 | ||||||
5.36%, 08/25/18 IOW† | 759,226 | 76,056 | ||||||
2.30%, 09/25/18 | 600,000 | 619,994 | ||||||
2.32%, 10/25/18 | 700,000 | 723,793 | ||||||
2.09%, 03/25/19 | 800,000 | 815,192 | ||||||
4.32%, 11/25/19 | 1,100,000 | 1,253,865 | ||||||
5.13%, 01/25/20 IOW† | 3,869,634 | 237,472 | ||||||
5.13%, 04/25/20 IOW† | 2,575,781 | 178,553 | ||||||
5.27%, 06/25/20 IOW† | 2,196,255 | 212,335 | ||||||
5.45%, 08/25/20 IOW† | 1,289,709 | 109,401 | ||||||
5.07%, 04/25/21 IOW† | 863,532 | 72,989 | ||||||
5.11%, 07/25/21 IOW† | 1,444,920 | 164,373 | ||||||
5.11%, 10/25/21 IOW† | 910,595 | 100,003 | ||||||
5.18%, 12/25/21 IOW† | 748,946 | 74,994 | ||||||
FHLMC Multifamily VRD | ||||||||
5.50%, 08/15/51 STEP | 3,500,000 | 3,920,850 | ||||||
FHLMC Structured | ||||||||
1.53%, 07/25/44† | 1,605,474 | 1,668,188 | ||||||
First Horizon Alternative | ||||||||
2.59%, 06/25/34† | 790,572 | 699,420 | ||||||
FREMF Mortgage Trust | ||||||||
4.16%, 11/25/44 144A† | 300,000 | 283,380 | ||||||
4.50%, 12/25/44 144A† | 200,000 | 191,649 | ||||||
4.02%, 01/25/47 144A† | 225,000 | 193,752 | ||||||
General Electric Capital | ||||||||
5.54%, 12/10/49 | 90,000 | 98,406 | ||||||
Government National Mortgage Association | ||||||||
3.95%, 07/15/25 | 178,957 | 194,464 | ||||||
7.00%, 10/15/25 | 52,586 | 62,155 | ||||||
7.00%, 01/15/26 | 11,412 | 13,554 | ||||||
7.00%, 07/15/27 | 93,267 | 110,375 | ||||||
7.00%, 12/15/27 | 1,395 | 1,664 | ||||||
7.00%, 01/15/28 | 16,729 | 16,895 | ||||||
7.00%, 03/15/28 | 121,554 | 144,735 | ||||||
7.00%, 07/15/28 | 18,235 | 21,835 | ||||||
7.50%, 07/15/28 | 13,892 | 14,406 | ||||||
6.50%, 08/15/28 | 9,984 | 11,666 | ||||||
7.00%, 08/15/28 | 26,650 | 31,911 | ||||||
7.50%, 08/15/28 | 11,313 | 13,727 | ||||||
6.50%, 09/15/28 | 41,522 | 48,517 | ||||||
7.00%, 10/15/28 | 41,339 | 49,501 | ||||||
7.50%, 03/15/29 | 32,741 | 39,569 | ||||||
7.50%, 11/15/29 | 22,425 | 23,531 | ||||||
1.63%, 11/20/29† | 54,807 | 56,785 | ||||||
8.50%, 08/15/30 | 2,234 | 2,799 | ||||||
8.50%, 11/20/30 | 13,853 | 17,328 | ||||||
6.50%, 08/15/31 | 91,043 | 104,418 | ||||||
7.50%, 08/15/31 | 17,435 | 20,974 | ||||||
6.50%, 10/15/31 | 140,883 | 162,204 | ||||||
6.00%, 11/15/31 | 436,028 | 490,017 | ||||||
6.50%, 11/15/31 | 212,795 | 244,057 | ||||||
6.00%, 12/15/31 | 99,508 | 111,830 | ||||||
6.00%, 01/15/32 | 163,107 | 185,175 | ||||||
6.00%, 02/15/32 | 267,605 | 300,740 | ||||||
6.50%, 02/15/32 | 278,813 | 323,815 | ||||||
6.00%, 04/15/32 | 125,831 | 142,947 | ||||||
7.50%, 04/15/32 | 77,849 | 81,602 | ||||||
6.50%, 06/15/32 | 144,850 | 166,130 |
See Notes to Financial Statements.
68
Table of Contents
Par | Value | |||||||
6.50%, 07/15/32 | $ | 3,744 | $ | 4,294 | ||||
6.50%, 08/15/32 | 317,195 | 363,794 | ||||||
6.50%, 09/15/32 | 292,473 | 335,440 | ||||||
6.00%, 10/15/32 | 234,210 | 263,210 | ||||||
6.00%, 11/15/32 | 221,302 | 249,344 | ||||||
6.00%, 12/15/32 | 84,826 | 95,330 | ||||||
6.50%, 12/15/32 | 23,312 | 26,737 | ||||||
6.00%, 01/15/33 | 109,282 | 122,814 | ||||||
6.00%, 02/15/33 | 89,424 | 100,497 | ||||||
6.50%, 03/15/33 | 14,592 | 16,736 | ||||||
6.50%, 04/15/33 | 636,645 | 730,174 | ||||||
6.00%, 05/15/33 | 514,310 | 577,992 | ||||||
6.00%, 06/15/33 | 67,676 | 76,056 | ||||||
6.00%, 10/15/33 | 288,524 | 324,249 | ||||||
6.50%, 10/15/33 | 184,454 | 211,552 | ||||||
6.00%, 12/15/33 | 389,239 | 437,435 | ||||||
6.50%, 08/15/34 | 563,396 | 654,898 | ||||||
7.40%, 02/16/36 IOW† | 1,058,587 | 136,607 | ||||||
7.93%, 12/16/36 IOW† | 333,312 | 48,842 | ||||||
0.54%, 03/20/37† | 1,719,607 | 1,715,720 | ||||||
0.54%, 05/20/37† | 747,765 | 746,071 | ||||||
8.81%, 05/20/37 IOW† | 705,377 | 106,113 | ||||||
5.50%, 07/01/38 TBA | 800,000 | 887,875 | ||||||
6.00%, 09/20/38 | 1,320,092 | 1,480,559 | ||||||
5.26%, 11/20/38 IOW† | 418,068 | 61,612 | ||||||
9.23%, 03/20/39 IOW† | 235,620 | 34,218 | ||||||
5.00%, 07/01/39 TBA | 200,000 | 220,875 | ||||||
5.00%, 10/20/39 | 1,026,667 | 1,137,188 | ||||||
12.12%, 01/20/40 IOW† | 283,288 | 43,619 | ||||||
5.45%, 02/16/40 IOW† | 255,329 | 50,087 | ||||||
4.50%, 03/15/40 | 506,268 | 555,310 | ||||||
9.72%, 03/20/40 IOW† | 231,831 | 36,997 | ||||||
10.01%, 03/20/40 IOW† | 1,526,088 | 241,488 | ||||||
5.00%, 07/20/40 | 73,582 | 81,592 | ||||||
5.00%, 08/20/40 | 1,048,545 | 1,161,750 | ||||||
5.00%, 09/20/40 | 290,107 | 321,428 | ||||||
9.75%, 09/20/40 IOW† | 507,259 | 79,753 | ||||||
9.80%, 09/20/40 IOW† | 582,770 | 90,818 | ||||||
6.00%, 10/20/40 | 142,351 | 160,456 | ||||||
6.00%, 01/20/41 | 149,944 | 169,014 | ||||||
9.79%, 01/20/41 IOW† | 305,541 | 46,654 | ||||||
3.74%, 03/16/41 IOW† | 152,073 | 20,790 | ||||||
9.56%, 03/20/41 IOW† | 235,176 | 36,136 | ||||||
4.00%, 07/01/41 TBA | 1,100,000 | 1,201,234 | ||||||
4.50%, 07/01/41 TBA | 6,700,000 | 7,364,765 | ||||||
3.00%, 07/01/42 TBA | 1,000,000 | 1,037,812 | ||||||
3.50%, 07/01/42 TBA | 3,900,000 | 4,169,140 | ||||||
3.00%, 08/20/42 TBA | 7,000,000 | 7,250,468 | ||||||
0.64%, 12/20/60† | 503,639 | 499,521 | ||||||
0.72%, 03/20/61† | 579,117 | 577,277 | ||||||
0.74%, 03/20/61† | 384,859 | 384,046 | ||||||
Granite Mortgages PLC | ||||||||
1.12%, 01/20/44(E)† | 225,964 | 277,323 | ||||||
Greenpoint Mortgage | ||||||||
0.43%, 01/25/37† | 1,089,530 | 519,380 | ||||||
Greenwich Capital Commercial | ||||||||
6.07%, 07/10/38† | 1,307,000 | 1,472,893 | ||||||
GS Mortgage Securities | ||||||||
3.55%, 04/01/34 144A | 116,000 | 119,913 | ||||||
5.17%, 08/10/44 144AW† | 475,844 | 42,741 |
Par | Value | |||||||
GSMPS Mortgage Loan Trust | ||||||||
0.48%, 02/25/35 144A† | $ | 151,375 | $ | 125,862 | ||||
GSR Mortgage Loan Trust | ||||||||
2.65%, 09/25/35† | 628,613 | 611,073 | ||||||
Impac CMB Trust | ||||||||
0.97%, 10/25/34†@ | 93,224 | 59,868 | ||||||
0.51%, 11/25/35† | 930,582 | 562,654 | ||||||
Indymac ARM Trust | ||||||||
1.72%, 01/25/32† | 7,939 | 6,387 | ||||||
Indymac Index Mortgage | ||||||||
0.44%, 09/25/46† | 1,224,981 | 724,576 | ||||||
JP Morgan Alternative | ||||||||
0.51%, 01/25/36† | 533,197 | 396,804 | ||||||
JP Morgan Chase Commercial | ||||||||
5.44%, 05/15/45 | 101,000 | 108,415 | ||||||
5.34%, 05/15/47 | 155,000 | 171,484 | ||||||
JP Morgan Mortgage Trust | ||||||||
5.01%, 02/25/35† | 329,549 | 329,813 | ||||||
LB-UBS Commercial | ||||||||
8.00%, 06/15/36 144AW†@ | 633,046 | 595 | ||||||
5.42%, 02/15/40 | 29,000 | 32,718 | ||||||
Luminent Mortgage Trust | ||||||||
0.42%, 12/25/36† | 2,831,663 | 1,649,446 | ||||||
0.45%, 02/25/46† | 842,185 | 450,316 | ||||||
MASTR Adjustable Rate | ||||||||
2.75%, 05/25/34† | 261,294 | 231,872 | ||||||
0.89%, 11/25/34† | 585,161 | 537,653 | ||||||
2.84%, 11/25/35 144A† | 1,004,193 | 547,438 | ||||||
Merrill Lynch/Countrywide | ||||||||
6.16%, 08/12/49† | 150,000 | 164,923 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
0.93%, 04/25/28† | 446,305 | 418,143 | ||||||
1.10%, 11/25/29† | 369,277 | 350,075 | ||||||
Morgan Stanley Capital I, Inc. | ||||||||
5.48%, 02/12/44† | 50,000 | 52,561 | ||||||
Permanent Master Issuer PLC | ||||||||
1.87%, 07/15/42 144A† | 1,000,000 | 1,005,362 | ||||||
Prime Mortgage Trust | ||||||||
5.50%, 05/25/35 144A | 3,740,978 | 3,273,712 | ||||||
6.00%, 05/25/35 144A | 3,221,741 | 2,902,325 | ||||||
Sequoia Mortgage Trust | ||||||||
1.12%, 07/20/33† | 197,521 | 174,154 | ||||||
Structured Adjustable Rate | ||||||||
0.59%, 08/25/35† | 377,095 | 310,387 | ||||||
Structured Asset Mortgage | ||||||||
0.49%, 07/19/35† | 198,798 | 150,768 | ||||||
Structured Asset Securities | ||||||||
0.60%, 06/25/35 144A† | 208,467 | 160,884 | ||||||
Wachovia Bank Commercial | ||||||||
5.31%, 11/15/48 | 105,000 | 118,170 | ||||||
Washington Mutual Mortgage | ||||||||
2.45%, 02/25/33† | 15,536 | 13,850 |
See Notes to Financial Statements.
69
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
2.55%, 02/25/37† | $ | 782,805 | $ | 504,361 | ||||
5.18%, 02/25/37† | 557,180 | 389,971 | ||||||
1.55%, 06/25/42† | 31,993 | 25,895 | ||||||
0.54%, 07/25/45† | 339,789 | 275,704 | ||||||
0.54%, 10/25/45† | 427,741 | 342,448 | ||||||
0.92%, 04/25/47† | 1,256,879 | 886,101 | ||||||
Wells Fargo Alternative Loan Trust | ||||||||
5.92%, 12/28/37† | 1,582,542 | 1,056,093 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
2.75%, 08/25/33† | 440,214 | 442,528 | ||||||
WF-RBS Commercial Mortgage Trust | ||||||||
5.48%, 02/15/44 144AW† | 1,572,953 | 82,936 | ||||||
5.70%, 06/15/45 144AW† | 330,000 | 35,440 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 379,564,011 | |||||||
|
| |||||||
MUNICIPAL BONDS — 2.4% | ||||||||
Alameda County Joint Powers Authority, Revenue Bond, Series Z | ||||||||
7.05%, 12/01/44 | 3,300,000 | 4,156,878 | ||||||
American Municipal Power, Inc., Hydroelectric Project, Revenue Bond, Series B | ||||||||
8.08%, 02/15/50 | 300,000 | 430,773 | ||||||
American Municipal Power, Inc., Revenue Bond, Series E | ||||||||
6.27%, 02/15/50 | 290,000 | 333,970 | ||||||
Chicago Transit Authority, Revenue Bond, Series A | ||||||||
6.90%, 12/01/40 | 1,800,000 | 2,144,484 | ||||||
City of San Francisco CA Public Utilities Commission, Revenue Bond, Series DE | ||||||||
6.00%, 11/01/40 | 110,000 | 138,227 | ||||||
Cook County, General Obligation, Series D | ||||||||
6.23%, 11/15/34 | 50,000 | 55,132 | ||||||
Illinois Finance Authority, Revenue Bond, Series B | ||||||||
5.75%, 07/01/33 | 1,800,000 | 2,091,978 | ||||||
Los Angeles Community College District, General Obligation | ||||||||
6.75%, 08/01/49 | 300,000 | 397,749 | ||||||
Los Angeles Community College District, General Obligation, Series D | ||||||||
6.68%, 08/01/36 | 300,000 | 392,286 | ||||||
Los Angeles Department of Water & Power, Revenue Bond | ||||||||
6.57%, 07/01/45 | 200,000 | 288,300 | ||||||
Municipal Electric Authority of Georgia, Revenue Bond, Series B | ||||||||
6.64%, 04/01/57 | 230,000 | 267,076 | ||||||
6.66%, 04/01/57 | 130,000 | 149,131 | ||||||
Pennsylvania Higher Education Assistance Agency, Student Loan, Revenue Bond, Sub-Series HH-10 | ||||||||
0.23%, 05/01/46† | 2,150,000 | 1,989,107 |
Par | Value | |||||||
Santa Clara Valley Transportation Authority, Revenue Bond | ||||||||
5.88%, 04/01/32 | $ | 310,000 | $ | 381,092 | ||||
State of California, General Obligation | ||||||||
7.95%, 03/01/36 | 165,000 | 195,400 | ||||||
7.55%, 04/01/39 | 385,000 | 495,464 | ||||||
7.30%, 10/01/39 | 360,000 | 447,275 | ||||||
State of Illinois, General Obligation | ||||||||
3.32%, 01/01/13 | 6,500,000 | 6,584,630 | ||||||
5.67%, 03/01/18 | 10,000 | 11,105 | ||||||
5.88%, 03/01/19 | 270,000 | 299,673 | ||||||
7.35%, 07/01/35 | 375,000 | 436,170 | ||||||
University of California, Revenue Bond, Series AD | ||||||||
4.86%, 05/15/12 | 290,000 | 297,758 | ||||||
|
| |||||||
Total Municipal Bonds | 21,983,658 | |||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
August 2012 Long U.S. Treasury Bond, Strike Price $152.00 , Expires 08/24/12 (JPM) | 13 | 12,391 | ||||||
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $150.00, Expires 08/24/12 (MLCS) | 13 | 11,172 | ||||||
|
| |||||||
23,563 | ||||||||
|
| |||||||
Put Options — 0.0% | ||||||||
December 2012 3-Year Eurodollar Midcurve Futures, Strike Price $97.25, Expires 12/14/12 (MLCS) | 37 | 1,619 | ||||||
December 2012 3-Year Eurodollar Midcurve Futures, Strike Price $98.25, Expires 12/14/12 (MLCS) | 37 | 7,862 | ||||||
December 2012 90-Day Eurodollar Futures, Strike Price $98.75, Expires 12/14/12 (MLCS) | 145 | 14,500 | ||||||
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $129.50, Expires 08/24/12 (JPM) | 17 | 2,125 | ||||||
September 2012 90-Day Eurodollar Futures, Strike Price $99.375, Expires 09/17/12 (ADV) | 77 | 3,850 | ||||||
|
| |||||||
29,956 | ||||||||
|
| |||||||
Total Purchased Options | 53,519 | |||||||
|
|
See Notes to Financial Statements.
70
Table of Contents
Par | Value | |||||||
U.S. TREASURY OBLIGATIONS — 17.6% |
| |||||||
U.S. Treasury Bills | ||||||||
0.12%, 09/13/12‡‡ | $ | 11,500,000 | $ | 11,498,252 | ||||
0.17%, 05/30/13 | 2,600,000 | 2,595,512 | ||||||
|
| |||||||
14,093,764 | ||||||||
|
| |||||||
U.S. Treasury Bonds | ||||||||
7.50%, 11/15/24 | 800,000 | 1,293,000 | ||||||
6.63%, 02/15/27 | 100,000 | 156,266 | ||||||
6.13%, 11/15/27 | 200,000 | 302,250 | ||||||
4.38%, 02/15/38 | 400,000 | 530,812 | ||||||
4.38%, 11/15/39 | 100,000 | 133,219 | ||||||
4.38%, 05/15/40 | 300,000 | 399,844 | ||||||
3.88%, 08/15/40 | 2,400,000 | 2,955,000 | ||||||
4.25%, 11/15/40 | 100,000 | 130,828 | ||||||
4.38%, 05/15/41 | 3,000,000 | 4,007,343 | ||||||
3.75%, 08/15/41 | 400,000 | 482,438 | ||||||
3.13%, 11/15/41 | 13,200,000 | 14,192,059 | ||||||
3.13%, 02/15/42 | 12,830,000 | 13,782,230 | ||||||
3.00%, 05/15/42 | 4,700,000 | 4,923,250 | ||||||
|
| |||||||
43,288,539 | ||||||||
|
| |||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
2.00%, 07/15/14 | 100,000 | 129,390 | ||||||
1.63%, 01/15/15 | 1,100,000 | 1,409,075 | ||||||
1.88%, 07/15/15 | 100,000 | 128,688 | ||||||
1.13%, 01/15/21‡‡ | 4,700,000 | 5,693,882 | ||||||
0.13%, 01/15/22 | 8,500,000 | 9,148,716 | ||||||
2.38%, 01/15/25‡‡ | 850,000 | 1,368,710 | ||||||
3.88%, 04/15/29‡‡ | 808,000 | 1,830,771 | ||||||
2.13%, 02/15/41 | 1,700,000 | 2,555,319 | ||||||
0.75%, 02/15/42 | 500,000 | 535,868 | ||||||
|
| |||||||
22,800,419 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
0.25%, 01/31/14 | 6,900,000 | 6,894,880 | ||||||
0.25%, 05/31/14 | 8,800,000 | 8,790,373 | ||||||
0.38%, 03/15/15 | 410,000 | 409,808 | ||||||
0.38%, 06/15/15 | 13,100,000 | 13,090,791 | ||||||
1.00%, 08/31/16 | 170,000 | 172,696 | ||||||
1.00%, 09/30/16 | 150,000 | 152,356 | ||||||
0.63%, 05/31/17 | 1,050,000 | 1,045,324 | ||||||
2.88%, 03/31/18 | 900,000 | 1,000,265 | ||||||
1.25%, 01/31/19 | 1,200,000 | 1,216,687 | ||||||
1.25%, 04/30/19 | 7,320,000 | 7,402,350 | ||||||
2.63%, 08/15/20 | 1,300,000 | 1,430,914 | ||||||
2.63%, 11/15/20 | 2,500,000 | 2,748,243 | ||||||
2.13%, 08/15/21 | 8,000,000 | 8,410,000 | ||||||
2.00%, 11/15/21 | 27,800,000 | 28,827,293 | ||||||
2.00%, 02/15/22 | 1,300,000 | 1,343,976 | ||||||
1.75%, 05/15/22 | 1,100,000 | 1,109,109 | ||||||
|
| |||||||
84,045,065 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 164,227,787 | |||||||
|
| |||||||
Shares | ||||||||
PREFERRED STOCK — 0.3% | ||||||||
Wells Fargo & Co.D* | 2,400 | 2,700,000 | ||||||
|
|
Par | Value | |||||||
REPURCHASE AGREEMENTS — 11.6% |
| |||||||
Citigroup Global Markets, Inc. 0.18% (dated 06/20/12, due 07/03/12, repurchase price $6,000,390, collateralized by Federal National Mortgage Association, 3.500%, due 03/01/42, total market value $6,203,465) | $ | 6,000,000 | $ | 6,000,000 | ||||
0.19% (dated 06/08/12, due 07/09/12, repurchase price $19,503,190, collateralized by Federal Home Loan Mortgage Corporation, 4.000%, due 01/01/42, total market value $20,248,349) | 19,500,000 | 19,500,000 | ||||||
Goldman Sachs & Co. 0.20% (dated 06/15/12, due 07/06/12, repurchase price $29,803,477, collateralized by Federal National Mortgage Association, 5.500%, due 10/01/35, total market value $31,002,930) | 29,800,000 | 29,800,000 | ||||||
Morgan Stanley & Co., Inc. 0.21% (dated 06/29/12, due 07/02/12, repurchase price $33,000,578, collateralized by U.S. Treasury Note, 2.375%, due 09/30/14, total market value $33,678,429) | 33,000,000 | 33,000,000 | ||||||
0.27% (dated 07/02/12, due 07/03/12, repurchase price $19,400,146, collateralized by U.S. Treasury Note, 2.375%, due 09/30/14, total market value $19,799,089) | 19,400,000 | 19,400,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 107,700,000 | |||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUNDS — 19.2% |
| |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 117,948,781 | 117,948,781 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 60,749,615 | 60,749,615 | ||||||
|
| |||||||
Total Money Market Funds | 178,698,396 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 131.7% |
| 1,225,677,082 | ||||||
|
|
See Notes to Financial Statements.
71
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Number of Contracts | Value | |||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
September 2012 90-Day | (43 | ) | $ | (6,450 | ) | |||
|
| |||||||
Notional Amount | ||||||||
Call Swaption — 0.0% | ||||||||
3-Month LIBOR, Strike Price | $ | (16,700,000 | ) | (262,880 | ) | |||
|
| |||||||
Put Options — 0.0% | ||||||||
3-Month LIBOR, Strike Price | (16,700,000 | ) | (104,178 | ) | ||||
Number of Contracts | ||||||||
December 2012 3-Year | (74 | ) | (6,937 | ) | ||||
December 2012 90-Day | (145 | ) | (5,438 | ) | ||||
September 2012 90-Day | (77 | ) | (1,925 | ) | ||||
September 2012 90-Day | (43 | ) | (4,300 | ) | ||||
|
| |||||||
(122,778 | ) | |||||||
|
| |||||||
Total Written Options | ||||||||
(Premiums received $(615,223)) | (392,108 | ) | ||||||
|
| |||||||
Par | ||||||||
TBA SALE COMMITMENTS — (1.6)% |
| |||||||
Federal National Mortgage | $ | (7,800,000 | ) | (8,300,907 | ) | |||
4.50%, 07/13/40 TBA | (6,000,000 | ) | (6,435,937 | ) | ||||
|
| |||||||
Total TBA Sale Commitments | (14,736,844 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | (279,820,281 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 930,727,849 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Mortgage-Backed Securities | 40.8 | |||
Corporate Bonds | 19.9 | |||
Money Market Funds | 19.2 | |||
U.S. Treasury Obligations | 17.6 | |||
Foreign Bonds | 14.7 | |||
Repurchase Agreements | 11.6 | |||
Asset-Backed Securities | 2.7 | |||
Agency Obligations | 2.5 | |||
Municipal Bonds | 2.4 | |||
Preferred Stock | 0.3 | |||
Swap Agreements | 0.2 | |||
Purchased Options | — | ** | ||
Written Options | — | ** | ||
Futures Contracts | (0.6 | ) | ||
TBA Sale Commitments | (1.6 | ) | ||
Forward Foreign Currency Contracts | (5.3 | ) | ||
|
| |||
124.4 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
72
Table of Contents
Swap agreements outstanding at June 30, 2012:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Credit Default Swaps on Corporate Issues — Buy Protection |
| |||||||||||||||||||||||||||||||
CitiFinancial, | (0.15 | )% | 06/20/15 | BAR | USD | $ | 300,000 | $ | 16,318 | $ | — | $ | 16,318 | |||||||||||||||||||
Nabors Industries, | (1.00 | )% | 03/20/19 | BNP | USD | 3,900,000 | 278,540 | 9,014 | 269,526 | |||||||||||||||||||||||
Credit Suisse, Inc., | (1.00 | )% | 09/20/20 | GSC | USD | 300,000 | 2,324 | 6,358 | (4,034 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 4,500,000 | $ | 297,182 | $ | 15,372 | $ | 281,810 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Credit Default Swaps on Corporate Issues — Sell Protection |
| |||||||||||||||||||||||||||||||||||
General Electric Capital Corporation, | 0.67 | % | 1.00 | % | 09/20/13 | UBS | USD | $ | 900,000 | $ | 2,664 | $ | (16,007 | ) | $ | 18,671 | ||||||||||||||||||||
Federated Republic of Brazil, | 1.48 | % | (1.04 | )% | 05/20/17 | DEUT | USD | 1,000,000 | (18,280 | ) | — | (18,280 | ) | |||||||||||||||||||||||
GMAC LLC, | 4.00 | % | (3.53 | )% | 09/20/17 | DEUT | USD | 4,100,000 | (75,029 | ) | — | (75,029 | ) | |||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 6,000,000 | $ | (90,645 | ) | $ | (16,007 | ) | $ | (74,638 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Credit Default Swaps on Credit Indices — Buy Protection |
| |||||||||||||||||||||||||||||||
Dow Jones CDX IG16 Index | 1.00 | % | 06/20/14 | JPM | USD | $ | 5,600,000 | $ | (57,021 | ) | $ | (45,410 | ) | $ | (11,611 | ) | ||||||||||||||||
Dow Jones CDX IG16 Index | 1.00 | % | 06/20/14 | JPM | USD | 5,300,000 | (53,966 | ) | (45,990 | ) | (7,976 | ) | ||||||||||||||||||||
Dow Jones CDX IG16 Index | 1.00 | % | 06/20/14 | DEUT | USD | 4,100,000 | (41,748 | ) | (34,377 | ) | (7,371 | ) | ||||||||||||||||||||
Dow Jones CDX IG16 Index | 1.00 | % | 06/20/14 | BOA | USD | 900,000 | (9,164 | ) | (7,028 | ) | (2,136 | ) | ||||||||||||||||||||
Dow Jones CDX IG14 Index | (1.00 | )% | 06/20/15 | UBS | USD | 3,900,000 | (31,719 | ) | 4,286 | (36,005 | ) | |||||||||||||||||||||
Dow Jones CDX HY15 Index | (5.00 | )% | 12/20/15 | CS | USD | 2,112,000 | (31,589 | ) | 43,560 | (75,149 | ) | |||||||||||||||||||||
Dow Jones CDX IG16 Index | (1.00 | )% | 12/20/15 | CS | USD | 1,200,000 | (7,202 | ) | 8,329 | (15,531 | ) | |||||||||||||||||||||
Dow Jones CDX IG16 Index | (1.00 | )% | 06/20/16 | CS | USD | 4,000,000 | (7,407 | ) | 65,674 | (73,081 | ) | |||||||||||||||||||||
Dow Jones CDX IG9 Index | (0.08 | )% | 12/20/17 | BAR | USD | 7,163,200 | 269,561 | 319,075 | (49,514 | ) | ||||||||||||||||||||||
Dow Jones CDX IG10 Index | (1.50 | )% | 06/20/18 | CS | USD | 7,356,800 | (18,570 | ) | 66,318 | (84,888 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 41,632,000 | $ | 11,175 | $ | 374,437 | $ | (363,262 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
73
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Credit Default Swaps on Credit Indices — Sell Protection |
| |||||||||||||||||||||||||||||||||||
Dow Jones CDX IG16 | 0.94 | % | 1.00 | % | 06/20/16 | JPM | USD | $ | 4,825,000 | $ | 8,935 | $ | 16,088 | $ | (7,153 | ) | ||||||||||||||||||||
Dow Jones CDX IG16 | 0.97 | % | 1.00 | % | 06/20/16 | BOA | USD | 3,000,000 | 5,556 | 5,418 | 138 | |||||||||||||||||||||||||
Dow Jones CDX IG16 | 0.94 | % | 1.00 | % | 06/20/16 | DEUT | USD | 2,125,000 | 3,935 | 6,927 | (2,992 | ) | ||||||||||||||||||||||||
Dow Jones CDX.NA.HY.18 | 0.95 | % | 5.00 | % | 06/20/17 | JPM | USD | 2,300,000 | (77,461 | ) | (110,418 | ) | 32,957 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 12,250,000 | $ | (59,035 | ) | $ | (81,985 | ) | $ | 22,950 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ Received | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.12 | % | 01/02/14 | HSBC | BRL | $ | 15,600,000 | $ | 601,616 | $ | 13,626 | $ | 587,990 | |||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.94 | % | 01/02/14 | HSBC | BRL | 9,100,000 | 292,377 | 26,430 | 265,947 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.51 | % | 01/02/14 | BAR | BRL | 6,100,000 | 211,436 | 4,069 | 207,367 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.56 | % | 01/02/14 | HSBC | BRL | 5,800,000 | 203,564 | 6,047 | 197,517 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 10.53 | % | 01/02/14 | HSBC | BRL | 5,000,000 | 84,842 | 5,597 | 79,245 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.03 | % | 01/02/14 | GSC | BRL | 3,300,000 | 3,324 | — | 3,324 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 11.99 | % | 01/02/14 | BAR | BRL | 1,700,000 | 61,636 | 217 | 61,419 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.83 | % | 01/02/15 | HSBC | BRL | 9,000,000 | 34,924 | 18,905 | 16,019 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 9.93 | % | 01/02/15 | UBS | BRL | 7,700,000 | 114,246 | 5,781 | 108,465 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 10.14 | % | 01/02/15 | HSBC | BRL | 5,300,000 | 89,851 | 14,723 | 75,128 | |||||||||||||||||||||||
6-Month EURIBOR | 2.00 | % | 03/21/17 | BAR | EUR | 5,500,000 | 255,200 | 162,698 | 92,502 | |||||||||||||||||||||||
6-Month BBR BBSW | 5.50 | % | 12/15/17 | BAR | AUD | 2,200,000 | 204,327 | (8,192 | ) | 212,519 | ||||||||||||||||||||||
6-Month BBR BBSW | 5.50 | % | 12/15/17 | DEUT | AUD | 1,300,000 | 121,491 | (4,325 | ) | 125,816 | ||||||||||||||||||||||
3-Month LIBOR | (1.25 | )% | 12/19/17 | CITI | USD | 1,000,000 | (6,410 | ) | (3,539 | ) | (2,871 | ) | ||||||||||||||||||||
6-Month BBR BBSW | 3.75 | % | 03/15/18 | CITI | AUD | 9,000,000 | 5,756 | 18,129 | (12,373 | ) | ||||||||||||||||||||||
3-Month LIBOR | (1.75 | )% | 12/19/19 | CITI | USD | 10,200,000 | (170,568 | ) | (147,418 | ) | (23,150 | ) | ||||||||||||||||||||
3-Month LIBOR | (1.75 | )% | 12/19/19 | CITI | USD | 5,500,000 | (91,974 | ) | (74,706 | ) | (17,268 | ) | ||||||||||||||||||||
3-Month LIBOR | 2.56 | % | 10/20/20 | DEUT | USD | 2,800,000 | 232,122 | — | 232,122 | |||||||||||||||||||||||
3-Month LIBOR | (2.00 | )% | 12/19/22 | CITI | USD | 6,200,000 | (52,823 | ) | (33,306 | ) | (19,517 | ) | ||||||||||||||||||||
3-Month LIBOR | (2.00 | )% | 12/19/22 | CITI | USD | 4,400,000 | (37,487 | ) | (14,774 | ) | (22,713 | ) | ||||||||||||||||||||
6-Month BBR BBSW | 4.00 | % | 03/15/23 | DEUT | AUD | 6,100,000 | (43,602 | ) | 37,604 | (81,206 | ) | |||||||||||||||||||||
6-Month BBR BBSW | 4.25 | % | 03/15/23 | CITI | AUD | 1,500,000 | 20,128 | 8,179 | 11,949 | |||||||||||||||||||||||
6-Month BBR BBSW | 4.00 | % | 03/15/23 | GSC | AUD | 100,000 | (716 | ) | — | (716 | ) | |||||||||||||||||||||
3-Month LIBOR | (2.50 | )% | 12/19/32 | CITI | USD | 4,300,000 | (44,453 | ) | (24,275 | ) | (20,178 | ) | ||||||||||||||||||||
3-Month LIBOR | (2.50 | )% | 12/19/42 | JPM | USD | 600,000 | 2,375 | (855 | ) | 3,230 | ||||||||||||||||||||||
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|
| |||||||||||||||||||||||||
$ | 129,300,000 | $ | 2,091,182 | $ | 10,615 | $ | 2,080,567 | |||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||||
Total Swap agreements outstanding at June 30, 2012 |
| $ | 193,682,000 | $ | 2,249,859 | $ | 302,432 | $ | 1,947,427 | |||||||||||||||||||||||
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See Notes to Financial Statements.
74
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligations | $ | 23,072,779 | $ | — | $ | 23,072,779 | $ | — | ||||||||
Asset-Backed Securities | 25,168,580 | — | 22,582,757 | 2,585,823 | ||||||||||||
Corporate Bonds | 185,550,368 | — | 182,818,867 | 2,731,501 | ||||||||||||
Foreign Bonds | 136,957,984 | — | 135,977,708 | 980,276 | ||||||||||||
Money Market Funds | 178,698,396 | 178,698,395 | — | — | ||||||||||||
Mortgage-Backed Securities | 379,564,011 | — | 373,860,022 | 5,703,989 | ||||||||||||
Municipal Bonds | 21,983,658 | — | 21,983,658 | — | ||||||||||||
Preferred Stock | 2,700,000 | 2,700,000 | — | — | ||||||||||||
Purchased Options | 53,519 | 44,038 | 9,481 | — | ||||||||||||
Repurchase Agreements | 107,700,000 | — | 107,700,000 | — | ||||||||||||
U.S. Treasury Obligations | 164,227,787 | — | 164,227,787 | — | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,225,677,082 | $ | 181,442,433 | $ | 1,032,233,059 | $ | 12,001,589 | ||||||||
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|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Swap Agreements | $ | 2,249,859 | $ | — | $ | 2,249,859 | $ | — | ||||||||
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|
|
|
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| |||||||||
Total Assets — Other Financial Instruments | $ | 2,249,859 | $ | — | $ | 2,249,859 | $ | — | ||||||||
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|
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| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
TBA Sale Commitments | $ | (14,736,844 | ) | $ | — | $ | (14,736,844 | ) | $ | — | ||||||
Written Options | (392,108 | ) | (18,113 | ) | (373,995 | ) | — | |||||||||
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|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (15,128,952 | ) | $ | (18,113 | ) | $ | (15,110,839 | ) | $ | — | |||||
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|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | (161,013 | ) | $ | — | $ | (161,013 | ) | $ | — | ||||||
Futures Contracts | (65,587 | ) | (65,587 | ) | — | — | ||||||||||
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|
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|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (226,600 | ) | $ | (65,587 | ) | $ | (161,013 | ) | $ | — | |||||
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|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
Management has determined that the amount of Level 3 assets compared to total net assets is not material; therefore, the reconciliation of Level 3 assets is not shown for the period ending June 30, 2012.
See Notes to Financial Statements.
75
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Par | Value | |||||||
ASSET-BACKED SECURITY — 0.8% | ||||||||
Citibank Credit Card | ||||||||
Issuance Trust | ||||||||
6.15%, 06/15/39D | ||||||||
(Cost $3,521,340) | $ | 2,550,000 | $ | 3,454,454 | ||||
|
| |||||||
CORPORATE BONDS — 59.0% | ||||||||
Aflac, Inc. | ||||||||
6.90%, 12/17/39 | 2,669,000 | 3,246,478 | ||||||
6.45%, 08/15/40D | 5,705,000 | 6,628,286 | ||||||
Alcatel-Lucent USA, Inc. | ||||||||
6.45%, 03/15/29D | 100,000 | 68,500 | ||||||
Alcoa, Inc. | ||||||||
5.87%, 02/23/22D | 10,000 | 10,307 | ||||||
6.75%, 01/15/28D | 235,000 | 249,649 | ||||||
5.95%, 02/01/37D | 5,326,000 | 5,151,030 | ||||||
Ally Financial, Inc. | ||||||||
8.00%, 11/01/31D | 177,000 | 208,417 | ||||||
Alta Wind Holdings LLC | ||||||||
7.00%, 06/30/35 144AD | 566,719 | 638,977 | ||||||
American Express Co. | ||||||||
8.15%, 03/19/38D | 3,752,000 | 5,959,519 | ||||||
American International Group, Inc. | ||||||||
5.45%, 05/18/17D | 30,000 | 32,638 | ||||||
Andarko Holding Co. | ||||||||
7.15%, 05/15/28D | 250,000 | 282,379 | ||||||
AT&T Corporation | ||||||||
6.50%, 09/01/37D | 8,530,000 | 10,882,165 | ||||||
Bank of America Corporation | ||||||||
5.49%, 03/15/19D | 300,000 | 305,944 | ||||||
5.00%, 05/13/21D | 140,000 | 144,697 | ||||||
5.88%, 02/07/42D | 1,116,000 | 1,226,927 | ||||||
Bank of America NA | ||||||||
6.00%, 10/15/36D | 8,152,000 | 8,601,232 | ||||||
Barrick North America Finance LLC | ||||||||
5.70%, 05/30/41D | 1,634,000 | 1,853,592 | ||||||
Bell South Telecommunications, Inc. | ||||||||
7.00%, 12/01/95D | 1,000,000 | 1,219,154 | ||||||
Bruce Mansfield Unit | ||||||||
6.85%, 06/01/34D | 1,160,872 | 1,229,073 | ||||||
California Institute of Technology | ||||||||
4.70%, 11/01/11D | 4,030,000 | 4,383,187 | ||||||
Camden Property Trust | ||||||||
5.70%, 05/15/17D | 25,000 | 28,096 | ||||||
CenturyLink, Inc. | ||||||||
6.45%, 06/15/21D | 260,000 | 271,009 | ||||||
6.88%, 01/15/28D | 65,000 | 64,043 | ||||||
7.60%, 09/15/39D | 755,000 | 731,156 | ||||||
7.65%, 03/15/42D | 295,000 | 287,137 | ||||||
Chesapeake Energy Corporation | ||||||||
6.63%, 08/15/20D | 10,000 | 9,950 | ||||||
6.88%, 11/15/20D | 10,000 | 9,900 | ||||||
2.75%, 11/15/35D | 75,000 | 68,906 | ||||||
2.50%, 05/15/37D | 200,000 | 172,250 | ||||||
2.25%, 12/15/38D | 50,000 | 40,437 | ||||||
Ciena Corporation | ||||||||
3.75%, 10/15/18 144AD | 155,000 | 173,212 | ||||||
Citigroup, Inc. | ||||||||
6.88%, 06/01/25D | 2,441,000 | 2,659,506 |
Par | Value | |||||||
5.88%, 05/29/37D | $ | 1,141,000 | $ | 1,247,452 | ||||
8.13%, 07/15/39D | 4,174,000 | 5,588,097 | ||||||
Comcast Corporation | ||||||||
5.65%, 06/15/35D | 660,000 | 741,249 | ||||||
6.50%, 11/15/35D | 555,000 | 677,515 | ||||||
6.45%, 03/15/37D | 2,415,000 | 2,946,769 | ||||||
6.95%, 08/15/37D | 625,000 | 805,444 | ||||||
Continental Airlines, Inc. | ||||||||
9.00%, 01/08/18D | 1,769,501 | 2,026,079 | ||||||
8.31%, 10/02/19D | 166,017 | 168,723 | ||||||
7.57%, 09/15/21D | 109,755 | 109,755 | ||||||
Corning, Inc. | ||||||||
7.25%, 08/15/36D | 850,000 | 1,052,495 | ||||||
Cummins, Inc. | ||||||||
6.75%, 02/15/27D | 1,000,000 | 1,243,618 | ||||||
5.65%, 03/01/98D | 2,520,000 | 2,605,672 | ||||||
Darden Restaurants, Inc. | ||||||||
6.00%, 08/15/35D | 990,000 | 1,073,051 | ||||||
DCP Midstream LLP | ||||||||
6.45%, 11/03/36 144AD | 490,000 | 582,950 | ||||||
Dillard’s, Inc. | ||||||||
7.75%, 07/15/26D | 890,000 | 895,562 | ||||||
7.00%, 12/01/28D | 500,000 | 483,750 | ||||||
Dow Chemical Co. | ||||||||
9.40%, 05/15/39D | 920,000 | 1,469,752 | ||||||
Duke Realty LP | ||||||||
5.95%, 02/15/17D | 70,000 | 77,474 | ||||||
Florida Power & Light Co. | ||||||||
4.05%, 06/01/42D | 2,940,000 | 3,112,928 | ||||||
Foot Locker, Inc. | ||||||||
8.50%, 01/15/22D | 1,000,000 | 1,083,750 | ||||||
Ford Motor Co. | ||||||||
4.25%, 11/15/16D | 175,000 | 244,125 | ||||||
6.63%, 10/01/28D | 680,000 | 768,154 | ||||||
6.38%, 02/01/29D | 1,255,000 | 1,357,298 | ||||||
General Electric Capital Corporation | ||||||||
4.88%, 03/04/15D | 510,000 | 554,089 | ||||||
6.75%, 03/15/32D | 3,000,000 | 3,725,508 | ||||||
6.15%, 08/07/37D | 6,114,000 | 7,248,049 | ||||||
5.88%, 01/14/38D | 150,000 | 172,804 | ||||||
Goldman Sachs Group, Inc. | ||||||||
5.38%, 03/15/20D | 415,000 | 427,881 | ||||||
6.75%, 10/01/37D | 500,000 | 491,490 | ||||||
Halliburton Co. | ||||||||
7.45%, 09/15/39D | 870,000 | 1,291,640 | ||||||
4.50%, 11/15/41D | 1,150,000 | 1,210,910 | ||||||
HCA, Inc. | ||||||||
7.58%, 09/15/25D | 1,000,000 | 960,000 | ||||||
7.05%, 12/01/27D | 500,000 | 452,500 | ||||||
Hewlett-Packard Co. | ||||||||
6.00%, 09/15/41D | 5,310,000 | 5,873,768 | ||||||
Home Depot, Inc. | ||||||||
5.88%, 12/16/36D | 875,000 | 1,124,209 | ||||||
HSBC Bank USA NA | ||||||||
7.00%, 01/15/39D | 5,948,000 | 6,988,002 | ||||||
Intel Corporation | ||||||||
3.25%, 08/01/39D | 1,155,000 | 1,560,694 | ||||||
International Lease Finance Corporation | ||||||||
5.65%, 06/01/14D | 105,000 | 108,150 | ||||||
8.63%, 09/15/15D | 5,000 | 5,544 | ||||||
International Paper Co. | ||||||||
8.70%, 06/15/38D | 2,643,000 | 3,741,822 |
See Notes to Financial Statements.
76
Table of Contents
Par | Value | |||||||
iStar Financial, Inc. | ||||||||
8.63%, 06/01/13D | $ | 635,000 | $ | 638,175 | ||||
5.95%, 10/15/13D | 305,000 | 297,756 | ||||||
5.70%, 03/01/14D | 1,171,000 | 1,115,377 | ||||||
JC Penney Corporation, Inc. | ||||||||
6.38%, 10/15/36D | 414,000 | 314,640 | ||||||
7.40%, 04/01/37D | 10,000 | 8,425 | ||||||
Jefferies Group, Inc. | ||||||||
5.13%, 04/13/18D | 80,000 | 78,400 | ||||||
6.88%, 04/15/21D | 365,000 | 368,872 | ||||||
6.45%, 06/08/27D | 40,000 | 38,400 | ||||||
6.25%, 01/15/36D | 145,000 | 131,950 | ||||||
JPMorgan Chase & Co. | ||||||||
5.60%, 07/15/41D | 8,127,000 | 9,248,095 | ||||||
Kinder Morgan Energy | ||||||||
5.80%, 03/15/35D | 280,000 | 297,488 | ||||||
Kraft Foods, Inc. | ||||||||
6.50%, 11/01/31D | 815,000 | 1,007,929 | ||||||
7.00%, 08/11/37D | 525,000 | 693,174 | ||||||
6.88%, 02/01/38D | 3,243,000 | 4,255,724 | ||||||
6.50%, 02/09/40D | 3,013,000 | 3,884,489 | ||||||
Lennar Corporation | ||||||||
6.50%, 04/15/16D | 625,000 | 665,625 | ||||||
Liberty Mutual Group, Inc. | ||||||||
6.50%, 03/15/35 144AD | 1,400,000 | 1,440,772 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
6.38%, 03/15/37D | 240,000 | 284,495 | ||||||
Masco Corporation | ||||||||
7.75%, 08/01/29D | 275,000 | 288,817 | ||||||
6.50%, 08/15/32D | 55,000 | 53,014 | ||||||
Massachusetts Institute of | ||||||||
5.60%, 07/01/11D | 1,927,000 | 2,692,239 | ||||||
Mead Corporation | ||||||||
7.55%, 03/01/47D | 515,000 | 545,909 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
6.05%, 05/16/16D | 200,000 | 206,955 | ||||||
6.11%, 01/29/37D | 900,000 | 850,646 | ||||||
MetLife, Inc. | ||||||||
5.88%, 02/06/41D | 6,373,000 | 7,855,022 | ||||||
6.40%, 12/15/66D | 310,000 | 305,436 | ||||||
Micron Technology, Inc. | ||||||||
1.88%, 06/01/14D | 20,000 | 19,700 | ||||||
Morgan Stanley | ||||||||
0.92%, 10/18/16†D | 100,000 | 87,243 | ||||||
6.63%, 04/01/18D | 70,000 | 73,277 | ||||||
5.63%, 09/23/19D | 295,000 | 292,389 | ||||||
5.50%, 01/26/20D | 100,000 | 98,091 | ||||||
5.50%, 07/24/20D | 300,000 | 293,980 | ||||||
5.75%, 01/25/21D | 300,000 | 296,306 | ||||||
6.25%, 08/09/26D | 600,000 | 592,500 | ||||||
Motorola Solutions, Inc. | ||||||||
6.63%, 11/15/37D | 46,000 | 48,894 | ||||||
Mutual of Omaha Insurance Co. | ||||||||
6.80%, 06/15/36 144AD | 100,000 | 113,104 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
6.60%, 04/15/34 144AD | 150,000 | 147,314 | ||||||
New Albertsons, Inc. | ||||||||
7.45%, 08/01/29D | 55,000 | 40,700 | ||||||
8.70%, 05/01/30D | 25,000 | 20,500 | ||||||
8.00%, 05/01/31D | 295,000 | 230,100 |
Par | Value | |||||||
Nortel Networks Capital | ||||||||
7.88%, 06/15/26#D | $ | 445,000 | $ | 485,050 | ||||
Old Republic International | ||||||||
3.75%, 03/15/18D | 2,240,000 | 2,027,200 | ||||||
Owens Corning | ||||||||
7.00%, 12/01/36D | 3,940,000 | 4,199,800 | ||||||
Owens Corning, Inc. | ||||||||
6.50%, 12/01/16D | 240,000 | 267,119 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
7.63%, 06/15/40 144AD | 1,750,000 | 2,165,852 | ||||||
Prologis LP | ||||||||
5.63%, 11/15/15D | 35,000 | 38,174 | ||||||
Prudential Financial, Inc. | ||||||||
6.63%, 06/21/40D | 5,412,000 | 6,189,277 | ||||||
5.63%, 05/12/41D | 987,000 | 1,011,608 | ||||||
Pulte Group, Inc. | ||||||||
5.20%, 02/15/15D | 38,000 | 39,330 | ||||||
7.88%, 06/15/32D | 1,500,000 | 1,432,500 | ||||||
6.38%, 05/15/33D | 1,000,000 | 830,000 | ||||||
Qwest Corporation | ||||||||
7.25%, 09/15/25D | 1,000,000 | 1,099,731 | ||||||
6.88%, 09/15/33D | 2,250,000 | 2,250,000 | ||||||
RR Donnelley & Sons Co. | ||||||||
8.25%, 03/15/19D | 250,000 | 246,250 | ||||||
Sempra Energy | ||||||||
6.00%, 10/15/39D | 2,491,000 | 3,105,520 | ||||||
SLM Corporation | ||||||||
5.00%, 10/01/13D | 250,000 | 258,750 | ||||||
5.38%, 05/15/14D | 200,000 | 207,743 | ||||||
5.63%, 08/01/33D | 380,000 | 321,100 | ||||||
Southern Natural Gas Co. | ||||||||
7.35%, 02/15/31D | 1,750,000 | 2,131,178 | ||||||
Sprint Capital Corporation | ||||||||
6.90%, 05/01/19D | 55,000 | 51,975 | ||||||
6.88%, 11/15/28D | 2,350,000 | 1,903,500 | ||||||
8.75%, 03/15/32D | 20,000 | 18,300 | ||||||
Target Corporation | ||||||||
7.00%, 01/15/38D | 2,330,000 | 3,284,440 | ||||||
Tennessee Gas Pipeline Co. | ||||||||
7.00%, 10/15/28D | 750,000 | 942,796 | ||||||
Textron, Inc. | ||||||||
6.63%, 04/07/20(U)D | 160,000 | 281,829 | ||||||
Time Warner Cable, Inc. | ||||||||
6.55%, 05/01/37D | 1,049,000 | 1,248,049 | ||||||
6.75%, 06/15/39D | 2,995,000 | 3,662,735 | ||||||
5.88%, 11/15/40D | 1,700,000 | 1,909,540 | ||||||
Time Warner | ||||||||
8.38%, 07/15/33D | 1,049,000 | 1,425,015 | ||||||
Toro Co. | ||||||||
6.63%, 05/01/37@D | 300,000 | 318,699 | ||||||
Travelers Cos., Inc. | ||||||||
6.25%, 06/15/37D | 4,825,000 | 6,271,689 | ||||||
United Technologies | ||||||||
4.50%, 06/01/42D | 2,927,000 | 3,228,741 | ||||||
UnitedHealth Group, Inc. | ||||||||
5.80%, 03/15/36D | 920,000 | 1,139,193 | ||||||
6.50%, 06/15/37D | 767,000 | 1,020,463 | ||||||
6.63%, 11/15/37D | 2,526,000 | 3,392,858 | ||||||
5.70%, 10/15/40D | 1,210,000 | 1,496,584 |
See Notes to Financial Statements.
77
Table of Contents
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
University of Pennsylvania | $ | 3,370,000 | $ | 3,893,749 | ||||
University of Southern | 3,014,000 | 3,999,949 | ||||||
US Airways, Inc. | 460,000 | 470,925 | ||||||
Verizon Communications, Inc. | ||||||||
5.85%, 09/15/35D | 2,420,000 | 2,998,905 | ||||||
6.40%, 02/15/38D | 968,000 | 1,261,468 | ||||||
6.90%, 04/15/38D | 1,000,000 | 1,380,738 | ||||||
8.95%, 03/01/39D | 105,000 | 173,524 | ||||||
7.35%, 04/01/39D | 979,000 | 1,409,894 | ||||||
6.00%, 04/01/41D | 2,770,000 | 3,525,116 | ||||||
Verizon Maryland, Inc. | ||||||||
5.13%, 06/15/33D | 150,000 | 155,745 | ||||||
Wachovia Bank NA | ||||||||
5.85%, 02/01/37D | 4,577,000 | 5,315,513 | ||||||
6.60%, 01/15/38D | 2,257,000 | 2,858,211 | ||||||
WellPoint, Inc. | ||||||||
5.95%, 12/15/34D | 846,000 | 1,004,527 | ||||||
6.38%, 06/15/37D | 2,766,000 | 3,498,653 | ||||||
Western Union Co. | ||||||||
6.20%, 11/17/36D | 3,000,000 | 3,203,409 | ||||||
6.20%, 06/21/40D | 20,000 | 21,829 | ||||||
Weyerhaeuser Co. | ||||||||
8.50%, 01/15/25D | 520,000 | 616,337 | ||||||
6.88%, 12/15/33D | 580,000 | 613,126 | ||||||
Wyndham Worldwide | 50,000 | 55,660 | ||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost $220,997,887) | 259,418,263 | |||||||
|
| |||||||
FOREIGN BONDS — 23.3% Australia — 1.8% | ||||||||
Barrick PD Australia | 2,870,000 | 3,305,304 | ||||||
New South Wales Treasury | 730,000 | 834,695 | ||||||
Qantas Airways, Ltd. | ||||||||
6.05%, 04/15/16 144AD | 345,000 | 354,362 | ||||||
Queensland Treasury | 60,000 | 64,858 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
5.20%, 11/02/40D | 2,946,000 | 3,495,821 | ||||||
|
| |||||||
8,055,040 | ||||||||
|
| |||||||
Brazil — 0.4% | ||||||||
Brazilian Government | 2,525,000 | 1,568,303 | ||||||
|
| |||||||
Canada — 5.3% | ||||||||
Canada Generic Residual STRIP | 3,685,000 | 2,806,044 | ||||||
Methanex Corporation | ||||||||
6.00%, 08/15/15D | 25,000 | 26,517 | ||||||
5.25%, 03/01/22D | 100,000 | 103,947 | ||||||
Ontario Generic Residual STRIP | 3,025,000 | 2,158,651 |
Par | Value | |||||||
3.56%, 03/08/29(C)W†D | $ | 7,000,000 | $ | 3,985,277 | ||||
Saskatchewan Residual STRIP | ||||||||
1.29%, 04/10/14(C)W†D | 3,535,000 | 3,398,527 | ||||||
2.65%, 02/04/22(C)W†D | 3,000,000 | 2,228,629 | ||||||
Talisman Energy, Inc. | ||||||||
6.25%, 02/01/38D | 450,000 | 488,066 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
6.20%, 10/15/37D | 3,541,000 | 4,583,290 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
6.00%, 11/15/41 144AD | 3,511,000 | 3,519,381 | ||||||
|
| |||||||
23,298,329 | ||||||||
|
| |||||||
Cayman Islands — 0.2% | ||||||||
Enersis SA | ||||||||
7.40%, 12/01/16D | 625,000 | 734,913 | ||||||
|
| |||||||
Finland — 0.7% | ||||||||
Nokia OYJ | ||||||||
6.63%, 05/15/39D | 3,892,000 | 3,014,319 | ||||||
|
| |||||||
Ireland — 1.2% | ||||||||
Ireland Government Bond | ||||||||
4.50%, 10/18/18(E)D | 1,150,000 | 1,346,469 | ||||||
5.00%, 10/18/20(E) | 75,000 | 87,365 | ||||||
5.40%, 03/13/25(E)D | 1,300,000 | 1,513,358 | ||||||
XL Group PLC | ||||||||
6.38%, 11/15/24D | 585,000 | 653,582 | ||||||
6.25%, 05/15/27D | 1,530,000 | 1,685,555 | ||||||
|
| |||||||
5,286,329 | ||||||||
|
| |||||||
Italy — 0.3% | ||||||||
Italy Buoni Poliennali | ||||||||
5.25%, 11/01/29(E)D | 25,000 | 29,077 | ||||||
5.75%, 02/01/33(E)D | 25,000 | 29,889 | ||||||
5.00%, 08/01/34(E)D | 25,000 | 27,225 | ||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/33D | 665,000 | 525,350 | ||||||
6.00%, 09/30/34D | 975,000 | 753,187 | ||||||
|
| |||||||
1,364,728 | ||||||||
|
| |||||||
Luxembourg — 2.1% | ||||||||
ArcelorMittal | ||||||||
6.13%, 06/01/18D | 435,000 | 441,609 | ||||||
5.50%, 03/01/21D | 45,000 | 42,665 | ||||||
7.00%, 10/15/39D | 4,837,000 | 4,709,042 | ||||||
6.75%, 03/01/41D | 2,483,000 | 2,324,639 | ||||||
Enel Finance International NV | ||||||||
6.00%, 10/07/39 144AD | 2,210,000 | 1,740,046 | ||||||
|
| |||||||
9,258,001 | ||||||||
|
| |||||||
Malaysia — 0.1% | ||||||||
Telekom Malaysia Bhd | ||||||||
7.88%, 08/01/25 144AD | 225,000 | 307,309 | ||||||
|
| |||||||
Mexico — 0.7% | ||||||||
Mexican Bonos | ||||||||
8.00%, 12/07/23(M)D | 34,000,000 | 3,086,721 | ||||||
|
| |||||||
Netherlands — 2.7% | ||||||||
Cooperatieve Centrale | ||||||||
5.25%, 05/24/41D | 1,023,000 | 1,105,928 | ||||||
Deutsche Telekom International | ||||||||
4.88%, 03/06/42 144AD | 2,300,000 | 2,193,443 |
See Notes to Financial Statements.
78
Table of Contents
Par | Value | |||||||
EDP Finance BV | ||||||||
4.75%, 09/26/16(E) | $ | 300,000 | $ | 330,542 | ||||
6.00%, 02/02/18 144AD | 800,000 | 696,727 | ||||||
4.90%, 10/01/19 144AD | 1,000,000 | 806,517 | ||||||
Koninklijke Philips Electronics NV | ||||||||
6.88%, 03/11/38D | 3,250,000 | 4,278,752 | ||||||
5.00%, 03/15/42D | 2,500,000 | 2,698,330 | ||||||
|
| |||||||
12,110,239 | ||||||||
|
| |||||||
Norway — 0.5% | ||||||||
Norway Government Bond | ||||||||
5.00%, 05/15/15(K)D | 540,000 | 100,109 | ||||||
4.25%, 05/19/17(K)D | 11,940,000 | 2,268,312 | ||||||
|
| |||||||
2,368,421 | ||||||||
|
| |||||||
Portugal — 0.0% | ||||||||
Portugal Obrigacoes | ||||||||
4.80%, 06/15/20(E) | 75,000 | 67,709 | ||||||
3.85%, 04/15/21(E)D | 190,000 | 158,081 | ||||||
|
| |||||||
225,790 | ||||||||
|
| |||||||
Spain — 0.4% | ||||||||
Telefonica Emisiones SA | ||||||||
5.13%, 04/27/20D | 75,000 | 64,704 | ||||||
7.05%, 06/20/36D | 1,720,000 | 1,507,795 | ||||||
|
| |||||||
1,572,499 | ||||||||
|
| |||||||
Supranational — 1.7% | ||||||||
Inter-American | ||||||||
6.00%, 12/15/17(Z)D | 6,365,000 | 5,688,335 | ||||||
International Bank For | ||||||||
1.43%, 03/05/14(G)D | 2,470,000 | 1,972,701 | ||||||
|
| |||||||
7,661,036 | ||||||||
|
| |||||||
United Kingdom — 5.2% | ||||||||
Barclays Bank PLC | ||||||||
3.68%, 08/20/15(W) | 740,000,000 | 650,982 | ||||||
10.18%, 06/12/21 144AD | 7,312,000 | 8,666,365 | ||||||
BG Energy Capital PLC | ||||||||
5.13%, 10/15/41 144AD | 585,000 | 648,004 | ||||||
HBOS PLC | ||||||||
6.75%, 05/21/18 144AD | 700,000 | 661,200 | ||||||
6.00%, 11/01/33 144AD | 590,000 | 466,784 | ||||||
HSBC Holdings PLC | ||||||||
6.80%, 06/01/38D | 2,000,000 | 2,298,210 | ||||||
Lloyds TSB Bank PLC | ||||||||
5.80%, 01/13/20 144AD | 5,705,000 | 6,108,030 | ||||||
6.38%, 01/21/21D | 449,000 | 509,696 | ||||||
Royal Bank of Scotland PLC | ||||||||
6.13%, 01/11/21D | 1,988,000 | 2,212,210 | ||||||
Tesco PLC | ||||||||
6.15%, 11/15/37 144AD | 400,000 | 476,570 | ||||||
|
| |||||||
22,698,051 | ||||||||
|
| |||||||
Total Foreign Bonds | ||||||||
(Cost $93,224,339) | 102,610,028 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 0.5% |
| |||||||
Community Program | ||||||||
Loan Trust | ||||||||
4.50%, 04/01/29D | 1,910,688 | 1,932,011 |
Par | Value | |||||||
Federal Home Loan Mortgage | ||||||||
5.00%, 12/01/31D | $ | 77,105 | $ | 83,127 | ||||
|
| |||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $1,770,264) | 2,015,138 | |||||||
|
| |||||||
MUNICIPAL BONDS — 8.9% | ||||||||
California Educational Facilities | 4,690,000 | 6,600,706 | ||||||
Escondido Union High School | 1,875,000 | 312,338 | ||||||
5.64%, 08/01/51W†D | 2,795,000 | 357,928 | ||||||
Foothill-De Anza Community | 1,110,000 | 1,249,460 | ||||||
Massachusetts Development | 1,230,000 | 1,409,076 | ||||||
Metropolitan Pier & Exposition | 9,800,000 | 1,645,616 | ||||||
5.65%, 06/15/46W†D | 1,240,000 | 195,945 | ||||||
5.69%, 06/15/47W†D | 400,000 | 59,456 | ||||||
Metropolitan Transportation | 1,020,000 | 1,329,723 | ||||||
New Jersey Transportation Trust | 1,480,000 | 1,709,296 | ||||||
New York State Dormitory | 4,585,000 | 5,096,503 | ||||||
Ohio State University, Revenue | 1,470,000 | 1,627,202 | ||||||
Placentia-Yorba Linda Unified | 905,000 | 177,027 | ||||||
San Bernardino Community | 2,845,000 | 437,220 | ||||||
San Francisco Public Utilities | 1,170,000 | 1,296,734 | ||||||
Santa Barbara Secondary High | 1,500,000 | 345,420 |
See Notes to Financial Statements.
79
Table of Contents
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Santa Barbara Unified School | $ | 705,000 | $ | 150,623 | ||||
Southwestern Community | 3,975,000 | 615,568 | ||||||
State of California, General | 2,135,000 | 2,669,262 | ||||||
7.55%, 04/01/39D | 1,190,000 | 1,531,435 | ||||||
State of Illinois, General | 635,000 | 600,837 | ||||||
Turlock Irrigation District, | 2,490,000 | 2,812,032 | ||||||
University of California, | 5,912,000 | 6,070,146 | ||||||
Westside Union School District, | 1,600,000 | 356,560 | ||||||
5.80%, 08/01/45W†D | 2,170,000 | 366,556 | ||||||
|
| |||||||
Total Municipal Bonds | ||||||||
(Cost $33,551,311) | 39,022,669 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 4.6% |
| |||||||
U.S. Treasury Bonds | 4,665,000 | 5,015,603 | ||||||
|
| |||||||
U.S. Treasury STRIPS | 14,975,000 | 6,707,886 | ||||||
2.96%, 02/15/41W†D | 19,827,000 | 8,654,704 | ||||||
|
| |||||||
15,362,590 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $15,463,424) | 20,378,193 | |||||||
|
|
Shares | Value | |||||||
PREFERRED STOCKS — 0.1% | ||||||||
Ally Financial, Inc. 144AD | 82 | $ | 73,054 | |||||
Chesapeake Energy | 330 | 24,668 | ||||||
El Paso Energy | 5,350 | 270,977 | ||||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Cost $272,391) | 368,699 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 8.3% | ||||||||
GuideStone Money Market | 7,613,260 | 7,613,260 | ||||||
Northern Institutional Liquid | 29,153,001 | 29,153,001 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $36,766,261) | 36,766,261 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 105.5% | ||||||||
(Cost $405,567,217) | 464,033,705 | |||||||
Liabilities in Excess of Other | (24,042,080 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 439,991,625 | ||||||
|
| |||||||
PORTFOLIO SUMMARY (based on net assets) |
| |||||||
% | ||||||||
Corporate Bonds | 59.0 | |||||||
Foreign Bonds | 23.3 | |||||||
Municipal Bonds | 8.9 | |||||||
Money Market Funds | 8.3 | |||||||
U.S. Treasury Obligations | 4.6 | |||||||
Asset-Backed Security | 0.8 | |||||||
Mortgage-Backed Securities | 0.5 | |||||||
Preferred Stocks | 0.1 | |||||||
|
| |||||||
105.5 | ||||||||
|
|
See Notes to Financial Statements.
80
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Asset-Backed Security | $ | 3,454,454 | $ | — | $ | 3,454,454 | $ | — | ||||||||
Corporate Bonds | 259,418,263 | — | 255,413,708 | 4,004,555 | ||||||||||||
Foreign Bonds | 102,610,028 | — | 102,610,028 | — | ||||||||||||
Money Market Funds | 36,766,261 | 36,766,261 | — | — | ||||||||||||
Mortgage-Backed Securities | 2,015,138 | — | 2,015,138 | — | ||||||||||||
Municipal Bonds | 39,022,669 | — | 39,022,669 | — | ||||||||||||
Preferred Stocks | 368,699 | 368,699 | — | — | ||||||||||||
U.S. Treasury Obligations | 20,378,193 | — | 20,378,193 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 464,033,705 | $ | 37,134,960 | $ | 422,894,190 | $ | 4,004,555 | ||||||||
|
|
|
|
|
|
|
|
Management has determined that the amount of Level 3 assets compared to total net assets is not material; therefore, the reconciliation of Level 3 assets is not shown for the period ending June 30, 2012.
See Notes to Financial Statements.
81
Table of Contents
INFLATION PROTECTED BOND FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Par | Value | |||||||
U.S. TREASURY OBLIGATIONS — 94.0% |
| |||||||
U.S. Treasury Bond | $ | 481,900 | $ | 517,666 | ||||
U.S. Treasury Inflationary Index Bonds | ||||||||
0.63%, 04/15/13 | 1,590,000 | 1,734,382 | ||||||
1.88%, 07/15/13 | 3,190,000 | 4,094,083 | ||||||
2.00%, 01/15/14 | 5,275,000 | 6,822,721 | ||||||
1.25%, 04/15/14 | 1,820,000 | 2,043,662 | ||||||
2.00%, 07/15/14 | 3,908,200 | 5,056,816 | ||||||
1.63%, 01/15/15 | 1,550,000 | 1,985,515 | ||||||
0.50%, 04/15/15 | 10,656,900 | 11,752,305 | ||||||
1.88%, 07/15/15 | 2,943,700 | 3,788,194 | ||||||
2.00%, 01/15/16 | 2,335,000 | 2,995,971 | ||||||
0.13%, 04/15/16 | 22,455,600 | 24,373,384 | ||||||
2.50%, 07/15/16 | 1,967,200 | 2,566,590 | ||||||
2.38%, 01/15/17 | 2,570,000 | 3,385,082 | ||||||
0.13%, 04/15/17 | 4,723,300 | 5,052,845 | ||||||
2.63%, 07/15/17 | 980,000 | 1,293,029 | ||||||
2.13%, 01/15/19 | 1,380,900 | 1,772,109 | ||||||
1.88%, 07/15/19 | 680,000 | 877,131 | ||||||
1.38%, 01/15/20 | 1,378,900 | 1,707,271 | ||||||
1.13%, 01/15/21 | 4,505,000 | 5,457,647 | ||||||
0.63%, 07/15/21 | 5,080,000 | 5,779,548 | ||||||
0.13%, 01/15/22 | 6,264,200 | 6,742,281 | ||||||
2.38%, 01/15/25‡‡ | 7,375,200 | 11,875,895 | ||||||
2.00%, 01/15/26 | 2,275,000 | 3,371,565 | ||||||
2.38%, 01/15/27 | 2,415,000 | 3,703,471 | ||||||
1.75%, 01/15/28 | 4,605,000 | 6,347,968 | ||||||
3.63%, 04/15/28 | 3,435,000 | 7,549,290 | ||||||
2.50%, 01/15/29 | 4,690,000 | 6,986,000 | ||||||
3.88%, 04/15/29 | 3,200,000 | 7,250,578 | ||||||
3.38%, 04/15/32 | 307,100 | 642,643 | ||||||
2.13%, 02/15/40 | 3,837,600 | 5,812,606 | ||||||
2.13%, 02/15/41 | 4,758,900 | 7,153,240 | ||||||
0.75%, 02/15/42 | 5,154,400 | 5,524,155 | ||||||
|
| |||||||
165,497,977 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $155,540,504) | 166,015,643 | |||||||
|
|
Shares | Value | |||||||
MONEY MARKET FUNDS — 5.9% |
| |||||||
GuideStone Money Market | 10,479,228 | $ | 10,479,228 | |||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | ||||||||
(Cost $166,019,732) | 176,494,871 | |||||||
Other Assets in Excess of | 90,342 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 176,585,213 | ||||||
|
| |||||||
PORTFOLIO SUMMARY (based on net assets) |
| |||||||
% | ||||||||
U.S. Treasury Obligations | 94.0 | |||||||
Money Market Funds | 5.9 | |||||||
Futures Contracts | 5.8 | |||||||
|
| |||||||
105.7 | ||||||||
|
|
See Notes to Financial Statements.
82
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Money Market Funds | $ | 10,479,228 | $ | 10,479,228 | $ | — | $ | — | ||||||||
U.S. Treasury Obligations | 166,015,643 | — | 166,015,642 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 176,494,871 | $ | 10,479,228 | $ | 166,015,642 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 139,460 | $ | 139,460 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 139,460 | $ | 139,460 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
83
Table of Contents
GLOBAL BOND FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Par | Value | |||||||
CORPORATE BONDS — 39.7% | ||||||||
Acadia Healthcare Co., Inc. | ||||||||
12.88%, 11/01/18 | $ | 160,000 | $ | 183,200 | ||||
AES Corporation | ||||||||
9.75%, 04/15/16 | 10,000 | 11,900 | ||||||
8.00%, 06/01/20D | 350,000 | 403,375 | ||||||
Alcatel-Lucent USA, Inc. | ||||||||
6.45%, 03/15/29 | 70,000 | 47,950 | ||||||
Alcoa, Inc. | ||||||||
5.87%, 02/23/22D | 5,000 | 5,154 | ||||||
6.75%, 01/15/28D | 185,000 | 196,532 | ||||||
5.95%, 02/01/37D | 65,000 | 62,865 | ||||||
Ally Financial, Inc. | ||||||||
7.50%, 12/31/13 | 15,000 | 15,938 | ||||||
6.75%, 12/01/14 | 399,000 | 421,942 | ||||||
5.50%, 02/15/17D | 70,000 | 71,174 | ||||||
8.00%, 12/31/18 | 104,000 | 115,700 | ||||||
8.00%, 03/15/20 | 200,000 | 231,000 | ||||||
7.50%, 09/15/20 | 415,000 | 467,912 | ||||||
8.00%, 11/01/31 | 345,000 | 406,238 | ||||||
Altegrity, Inc. | ||||||||
10.50%, 11/01/15 144AD | 150,000 | 137,250 | ||||||
American International Group, Inc. | ||||||||
5.45%, 05/18/17 | 25,000 | 27,198 | ||||||
Anadarko Petroleum Corporation | ||||||||
5.95%, 09/15/16 | 10,000 | 11,358 | ||||||
6.38%, 09/15/17 | 120,000 | 139,553 | ||||||
Appleton Papers, Inc. | ||||||||
11.25%, 12/15/15 | 102,000 | 109,395 | ||||||
Ashland, Inc. | ||||||||
9.13%, 06/01/17D | 90,000 | 99,450 | ||||||
Ashtead Capital, Inc. | ||||||||
9.00%, 08/15/16 144A | 250,000 | 260,312 | ||||||
Ashton Woods USA LLC | ||||||||
11.00%, 06/30/15 STEP 144A@ | 20,800 | 19,188 | ||||||
Astoria Depositor Corporation | ||||||||
8.14%, 05/01/21 144A | 130,000 | 114,400 | ||||||
AT&T, Inc. | ||||||||
3.88%, 08/15/21 | 60,000 | 65,482 | ||||||
6.55%, 02/15/39 | 220,000 | 284,149 | ||||||
Ball Corporation | ||||||||
5.75%, 05/15/21D | 380,000 | 410,400 | ||||||
Bank of America Corporation | ||||||||
4.63%, 08/07/17(E) | 300,000 | 391,680 | ||||||
5.49%, 03/15/19 | 100,000 | 101,981 | ||||||
5.00%, 05/13/21 | 100,000 | 103,355 | ||||||
Biomet, Inc. | ||||||||
10.38%, 10/15/17 PIK | 545,000 | 585,194 | ||||||
Calpine Corporation | ||||||||
7.88%, 01/15/23 144AD | 400,000 | 438,000 | ||||||
CCO Holdings LLC | ||||||||
7.00%, 01/15/19 | 230,000 | 249,550 | ||||||
6.50%, 04/30/21D | 190,000 | 203,300 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||||
8.50%, 11/15/18 | 260,000 | 356,243 | ||||||
Cengage Learning Acquisitions, Inc. | ||||||||
10.50%, 01/15/15 144A | 100,000 | 76,500 | ||||||
Chesapeake Energy Corporation | ||||||||
6.78%, 03/15/19D | 180,000 | 175,725 |
Par | Value | |||||||
6.63%, 08/15/20D | $ | 145,000 | $ | 144,275 | ||||
6.88%, 11/15/20 | 5,000 | 4,950 | ||||||
2.75%, 11/15/35 | 75,000 | 68,906 | ||||||
2.50%, 05/15/37D | 165,000 | 142,106 | ||||||
2.25%, 12/15/38 | 25,000 | 20,219 | ||||||
Chesapeake Midstream Partners LP | ||||||||
6.13%, 07/15/22 | 150,000 | 147,750 | ||||||
Chiquita Brands International, Inc. | ||||||||
7.50%, 11/01/14D | 450,000 | 448,875 | ||||||
Ciena Corporation | ||||||||
0.88%, 06/15/17 | 135,000 | 116,100 | ||||||
3.75%, 10/15/18 144AD | 415,000 | 463,762 | ||||||
Cincinnati Bell Telephone Co. LLC | ||||||||
6.30%, 12/01/28 | 155,000 | 128,262 | ||||||
Citigroup, Inc. | ||||||||
7.38%, 09/04/19(E)D | 380,000 | 565,516 | ||||||
Colorado Interstate Gas Co. | ||||||||
5.95%, 03/15/15 | 20,000 | 21,293 | ||||||
6.80%, 11/15/15 | 125,000 | 144,793 | ||||||
Comcast Corporation | ||||||||
5.15%, 03/01/20 | 170,000 | 197,668 | ||||||
Community Health Systems, Inc. | ||||||||
8.88%, 07/15/15 | 50,000 | 51,375 | ||||||
Concho Resources, Inc. | ||||||||
5.50%, 10/01/22 | 520,000 | 515,450 | ||||||
ConocoPhillips | ||||||||
6.50%, 02/01/39D | 30,000 | 41,697 | ||||||
Consol Energy | ||||||||
8.25%, 04/01/20 | 210,000 | 221,550 | ||||||
Continental Airlines, Inc. | ||||||||
9.00%, 01/08/18 | 1,105,938 | 1,266,299 | ||||||
5.98%, 10/19/23D | 497,041 | 539,290 | ||||||
Countrywide Financial Corporation | ||||||||
6.25%, 05/15/16D | 280,000 | 291,672 | ||||||
Cricket Communications, Inc. | ||||||||
7.75%, 05/15/16D | 190,000 | 202,588 | ||||||
Cummins, Inc. | ||||||||
5.65%, 03/01/98 | 1,500,000 | 1,550,995 | ||||||
DAE Aviation Holdings, Inc. | ||||||||
11.25%, 08/01/15 144A | 130,000 | 134,550 | ||||||
Delta Air Lines, Inc. | ||||||||
9.50%, 09/15/14 144A | 436,000 | 462,705 | ||||||
8.02%, 02/10/24 | 81,527 | 82,448 | ||||||
DISH DBS Corporation | ||||||||
5.88%, 07/15/22 144A | 600,000 | 609,000 | ||||||
Dynegy Holdings LLC | ||||||||
7.75%, 06/01/19#D | 893,000 | 602,775 | ||||||
El Paso LLC | ||||||||
7.75%, 01/15/32 | 50,000 | 56,468 | ||||||
El Paso Natural Gas Co. | ||||||||
8.63%, 01/15/22 | 90,000 | 115,648 | ||||||
8.38%, 06/15/32 | 75,000 | 97,418 | ||||||
El Pollo Loco, Inc. | ||||||||
8.86%, 07/14/17† | 29,700 | 29,502 | ||||||
17.00%, 01/01/18 144AD | 173,633 | 158,223 | ||||||
Embarq Corporation | ||||||||
8.00%, 06/01/36 | 995,000 | 1,042,199 | ||||||
Enterprise Products Operating LLC | ||||||||
9.75%, 01/31/14 | 100,000 | 112,863 |
See Notes to Financial Statements.
84
Table of Contents
Par | Value | |||||||
8.38%, 08/01/66† | $ | 60,000 | $ | 65,081 | ||||
ERAC USA Finance LLC | ||||||||
7.00%, 10/15/37 144A | 1,065,000 | 1,287,958 | ||||||
Escrow GCB US Oncology | ||||||||
9.12%, 08/15/17+ 144A | 155,000 | — | ||||||
EXCO Resources, Inc. | ||||||||
7.50%, 09/15/18D | 200,000 | 174,000 | ||||||
FirstEnergy Corporation | ||||||||
7.38%, 11/15/31 | 325,000 | 409,113 | ||||||
Ford Motor Co. | ||||||||
4.25%, 11/15/16D | 830,000 | 1,157,850 | ||||||
6.63%, 10/01/28 | 850,000 | 960,192 | ||||||
Ford Motor Credit Co., LLC | ||||||||
12.00%, 05/15/15 | 100,000 | 125,000 | ||||||
5.00%, 05/15/18 | 520,000 | 553,479 | ||||||
Freescale Semiconductor, Inc. | ||||||||
10.13%, 12/15/16 | 56,000 | 59,220 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
6.88%, 07/15/17 | 75,000 | 83,625 | ||||||
Fresenius US Finance II, Inc. | ||||||||
8.75%, 07/15/15 144A(E) | 30,000 | 44,514 | ||||||
Frontier Communications Corporation | ||||||||
7.88%, 01/15/27 | 405,000 | 358,425 | ||||||
General Electric Capital Corporation | ||||||||
7.63%, 12/10/14(Z) | 1,025,000 | 885,059 | ||||||
4.88%, 03/04/15D | 370,000 | 401,986 | ||||||
6.50%, 09/28/15(Z) | 255,000 | 215,799 | ||||||
6.75%, 09/26/16(Z) | 150,000 | 129,496 | ||||||
6.75%, 03/15/32 | 30,000 | 37,255 | ||||||
Georgia-Pacific LLC | ||||||||
8.88%, 05/15/31 | 785,000 | 1,109,634 | ||||||
Gerdau Holdings, Inc. | ||||||||
7.00%, 01/20/20 | 100,000 | 112,000 | ||||||
Goldman Sachs Group, Inc. | ||||||||
4.75%, 10/12/21(E) | 150,000 | 170,310 | ||||||
6.75%, 10/01/37 | 355,000 | 348,958 | ||||||
Goodyear Tire & Rubber Co. | ||||||||
7.00%, 03/15/28D | 690,000 | 657,225 | ||||||
H&E Equipment Services, Inc. | ||||||||
8.38%, 07/15/16 | 370,000 | 383,412 | ||||||
Hanover Insurance Group, Inc. | ||||||||
7.50%, 03/01/20 | 385,000 | 447,292 | ||||||
HCA, Inc. | ||||||||
6.38%, 01/15/15 | 150,000 | 160,125 | ||||||
7.19%, 11/15/15 | 205,000 | 217,300 | ||||||
7.50%, 12/15/23 | 555,000 | 536,269 | ||||||
8.36%, 04/15/24 | 90,000 | 91,800 | ||||||
7.69%, 06/15/25 | 775,000 | 749,812 | ||||||
7.58%, 09/15/25 | 570,000 | 547,200 | ||||||
Hercules Offshore, Inc. | ||||||||
10.50%, 10/15/17 144A | 80,000 | 80,400 | ||||||
Human Genome Sciences, Inc. | ||||||||
3.00%, 11/15/18 | 510,000 | 611,362 | ||||||
Idearc, Inc. Escrow | ||||||||
0.00%, 11/15/16+W | 185,000 | — | ||||||
ING Capital Funding Trust III | ||||||||
4.07%, 12/29/49†D | 200,000 | 166,982 | ||||||
Intel Corporation | ||||||||
2.95%, 12/15/35D | 580,000 | 659,025 | ||||||
3.25%, 08/01/39 | 460,000 | 621,575 |
Par | Value | |||||||
International Lease Finance Corporation | ||||||||
5.65%, 06/01/14D | $ | 90,000 | $ | 92,700 | ||||
8.63%, 09/15/15D | 665,000 | 737,319 | ||||||
5.88%, 04/01/19D | 135,000 | 135,317 | ||||||
6.25%, 05/15/19 | 230,000 | 234,370 | ||||||
iStar Financial, Inc. | ||||||||
5.70%, 03/01/14 | 62,000 | 59,055 | ||||||
6.05%, 04/15/15 | 20,000 | 18,850 | ||||||
5.88%, 03/15/16 | 22,000 | 20,075 | ||||||
JC Penney Corporation, Inc. | ||||||||
6.38%, 10/15/36 | 650,000 | 494,000 | ||||||
7.40%, 04/01/37 | 5,000 | 4,212 | ||||||
7.63%, 03/01/97D | 1,300,000 | 953,875 | ||||||
Jefferies Group, Inc. | ||||||||
5.13%, 04/13/18 | 55,000 | 53,900 | ||||||
6.88%, 04/15/21 | 270,000 | 272,864 | ||||||
6.45%, 06/08/27 | 30,000 | 28,800 | ||||||
6.25%, 01/15/36 | 100,000 | 91,000 | ||||||
Jones Group, Inc. | ||||||||
6.13%, 11/15/34 | 135,000 | 100,575 | ||||||
JPMorgan Chase & Co. | ||||||||
4.50%, 01/24/22 | 160,000 | 172,692 | ||||||
JPMorgan Chase Bank NA | ||||||||
4.38%, 11/30/21(E)† | 350,000 | 413,470 | ||||||
K Hovnanian Enterprises, Inc. | ||||||||
5.00%, 11/01/21 144AD | 795,000 | 558,487 | ||||||
Key Energy Services, Inc. | ||||||||
6.75%, 03/01/21D | 170,000 | 166,600 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
6.50%, 02/01/37D | 75,000 | 84,686 | ||||||
6.95%, 01/15/38 | 90,000 | 106,783 | ||||||
Lawson Software | ||||||||
10.00%, 04/01/19 144A(E) | 110,000 | 143,381 | ||||||
Lennar Corporation | ||||||||
5.60%, 05/31/15 | 1,400,000 | 1,477,000 | ||||||
Level 3 Financing, Inc. | ||||||||
8.75%, 02/15/17 | 1,285,000 | 1,342,825 | ||||||
9.38%, 04/01/19 | 20,000 | 21,700 | ||||||
Masco Corporation | ||||||||
5.85%, 03/15/17 | 90,000 | 94,438 | ||||||
7.75%, 08/01/29 | 250,000 | 262,561 | ||||||
6.50%, 08/15/32D | 175,000 | 168,682 | ||||||
MBIA Insurance Corporation | ||||||||
14.00%, 01/15/33 144A†D | 435,000 | 239,250 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
6.05%, 06/01/34 | 700,000 | 668,764 | ||||||
6.11%, 01/29/37 | 1,300,000 | 1,228,711 | ||||||
Mirant Mid Atlantic Pass Through Trust | ||||||||
10.06%, 12/30/28 | 165,630 | 168,943 | ||||||
Morgan Stanley | ||||||||
4.75%, 04/01/14 | 40,000 | 40,369 | ||||||
5.75%, 01/25/21 | 700,000 | 691,380 | ||||||
6.25%, 08/09/26 | 400,000 | 395,000 | ||||||
Motorola Solutions, Inc. | ||||||||
6.63%, 11/15/37 | 105,000 | 111,607 | ||||||
Mutual of Omaha Insurance Co. | ||||||||
6.80%, 06/15/36 144A | 1,200,000 | 1,357,254 | ||||||
NetFlix, Inc. | ||||||||
8.50%, 11/15/17D | 150,000 | 159,000 | ||||||
NewPage Corporation | ||||||||
11.38%, 12/31/14 144A#D | 285,000 | 185,250 |
See Notes to Financial Statements.
85
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Nextel Communications, Inc. | ||||||||
5.95%, 03/15/14 | $ | 830,000 | $ | 835,188 | ||||
7.38%, 08/01/15D | 1,755,000 | 1,765,969 | ||||||
Nielsen Finance LLC | ||||||||
11.50%, 05/01/16 | 250,000 | 285,625 | ||||||
Old Republic International Corporation | ||||||||
3.75%, 03/15/18D | 1,585,000 | 1,434,425 | ||||||
Owens Corning | ||||||||
7.00%, 12/01/36 | 220,000 | 234,507 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
3.00%, 06/01/15 144A | 840,000 | 806,400 | ||||||
Oxford Industries, Inc. | ||||||||
11.38%, 07/15/15 | 135,000 | 143,270 | ||||||
Peabody Energy Corporation | ||||||||
6.50%, 09/15/20D | 490,000 | 498,575 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.63%, 06/15/35 | 516,000 | 616,620 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
7.63%, 06/15/40 144A | 685,000 | 847,777 | ||||||
Pioneer Natural Resources Co. | ||||||||
5.88%, 07/15/16 | 900,000 | 1,001,229 | ||||||
7.20%, 01/15/28 | 315,000 | 387,976 | ||||||
Plains Exploration & Production Co. | ||||||||
8.63%, 10/15/19 | 55,000 | 60,981 | ||||||
ProLogis LP | ||||||||
6.63%, 05/15/18D | 15,000 | 17,323 | ||||||
QEP Resources, Inc. | ||||||||
6.88%, 03/01/21 | 290,000 | 323,350 | ||||||
Quicksilver Resources, Inc. | ||||||||
11.75%, 01/01/16 | 145,000 | 141,919 | ||||||
Qwest Capital Funding, Inc. | ||||||||
6.50%, 11/15/18 | 225,000 | 239,450 | ||||||
Qwest Corporation | ||||||||
3.72%, 06/15/13†D | 100,000 | 100,117 | ||||||
7.50%, 06/15/23 | 110,000 | 110,880 | ||||||
7.25%, 09/15/25D | 105,000 | 115,472 | ||||||
6.88%, 09/15/33D | 2,500,000 | 2,500,000 | ||||||
7.25%, 10/15/35D | 110,000 | 111,375 | ||||||
Range Resources Corporation | ||||||||
6.75%, 08/01/20 | 510,000 | 555,900 | ||||||
Regency Energy Partners LP | ||||||||
6.88%, 12/01/18 | 450,000 | 475,875 | ||||||
Reliance Holdings USA, Inc. | ||||||||
4.50%, 10/19/20 144AD | 290,000 | 273,000 | ||||||
Republic Services, Inc. | ||||||||
4.75%, 05/15/23D | 90,000 | 99,960 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
7.75%, 10/15/16 144A | 300,000 | 317,250 | ||||||
Service Corporation International | ||||||||
7.50%, 04/01/27 | 75,000 | 77,250 | ||||||
Simon Property Group LP | ||||||||
5.75%, 12/01/15D | 25,000 | 27,954 | ||||||
SLM Corporation | ||||||||
5.38%, 01/15/13 | 650,000 | 663,802 | ||||||
5.38%, 05/15/14 | 1,000,000 | 1,038,713 | ||||||
8.45%, 06/15/18 | 769,000 | 865,125 | ||||||
8.00%, 03/25/20 | 10,000 | 11,000 | ||||||
Southern Copper Corporation | ||||||||
5.38%, 04/16/20D | 70,000 | 77,911 | ||||||
6.75%, 04/16/40 | 350,000 | 374,136 |
Par | Value | |||||||
Springleaf Finance Corporation | ||||||||
5.75%, 09/15/16 | $ | 700,000 | $ | 560,000 | ||||
6.50%, 09/15/17D | 400,000 | 318,000 | ||||||
6.90%, 12/15/17 | 200,000 | 160,624 | ||||||
Sprint Capital Corporation | ||||||||
6.88%, 11/15/28 | 210,000 | 170,100 | ||||||
8.75%, 03/15/32 | 745,000 | 681,675 | ||||||
Steel Dynamics, Inc. | ||||||||
7.75%, 04/15/16D | 280,000 | 289,800 | ||||||
7.63%, 03/15/20D | 100,000 | 107,500 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/39 144A | 100,000 | 129,581 | ||||||
Tenet Healthcare Corporation | ||||||||
8.88%, 07/01/19D | 462,000 | 520,905 | ||||||
6.88%, 11/15/31D | 85,000 | 72,462 | ||||||
Textron Financial Corporation | ||||||||
5.13%, 08/15/14D | 30,000 | 31,825 | ||||||
Textron, Inc. | ||||||||
6.63%, 04/07/20(U) | 130,000 | 228,986 | ||||||
Time Warner Cable, Inc. | ||||||||
8.75%, 02/14/19 | 190,000 | 252,953 | ||||||
8.25%, 04/01/19 | 40,000 | 52,339 | ||||||
Time Warner, Inc. | ||||||||
4.00%, 01/15/22D | 100,000 | 105,976 | ||||||
Toys “R” Us, Inc. | ||||||||
7.38%, 10/15/18D | 335,000 | 273,862 | ||||||
United Air Lines, Inc. | ||||||||
10.40%, 05/01/18D | 578,794 | 660,578 | ||||||
6.64%, 01/02/24 | 245,460 | 256,506 | ||||||
Universal Hospital Services, Inc. | ||||||||
8.50%, 06/01/15 PIKD | 20,000 | 20,488 | ||||||
Univision Com-munications, Inc. | ||||||||
7.88%, 11/01/20 144A | 150,000 | 161,250 | ||||||
US Airways, Inc. | ||||||||
9.13%, 10/01/15 | 515,000 | 516,287 | ||||||
8.00%, 04/01/21 | 585,000 | 599,625 | ||||||
5.90%, 04/01/26D | 335,000 | 342,956 | ||||||
USG Corporation | ||||||||
6.30%, 11/15/16D | 1,250,000 | 1,203,125 | ||||||
Vanguard Health Holding Co. II LLC | ||||||||
8.00%, 02/01/18D | 105,000 | 107,888 | ||||||
Verizon Maryland, Inc. | ||||||||
5.13%, 06/15/33D | 45,000 | 46,724 | ||||||
Verizon Pennsylvania, Inc. | ||||||||
6.00%, 12/01/28 | 90,000 | 98,588 | ||||||
Wachovia Corporation | ||||||||
5.25%, 08/01/14 | 120,000 | 128,076 | ||||||
WellPoint, Inc. | ||||||||
7.00%, 02/15/19 | 80,000 | 99,464 | ||||||
Western Union Co. | ||||||||
6.20%, 06/21/40D | 5,000 | 5,457 | ||||||
Westvaco Corporation | ||||||||
8.20%, 01/15/30 | 150,000 | 178,517 | ||||||
7.95%, 02/15/31 | 135,000 | 154,637 | ||||||
Weyerhaeuser Co. | ||||||||
8.50%, 01/15/25 | 405,000 | 480,032 | ||||||
6.95%, 10/01/27D | 55,000 | 59,675 | ||||||
7.38%, 03/15/32 | 370,000 | 414,385 | ||||||
6.88%, 12/15/33 | 490,000 | 517,985 |
See Notes to Financial Statements.
86
Table of Contents
Par | Value | |||||||
Whiting Petroleum Corporation | ||||||||
7.00%, 02/01/14 | $ | 130,000 | $ | 138,450 | ||||
Williams Cos., Inc. | ||||||||
7.50%, 01/15/31 | 60,000 | 73,260 | ||||||
WPX Energy, Inc. | ||||||||
6.00%, 01/15/22 144AD | 150,000 | 150,000 | ||||||
Wyndham Worldwide Corporation | ||||||||
7.38%, 03/01/20 | 380,000 | 452,365 | ||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost $66,419,622) | 74,233,421 | |||||||
|
| |||||||
FOREIGN BONDS — 39.9% | ||||||||
Argentina — 0.4% | ||||||||
Argentina Boden Bonds | ||||||||
7.00%, 10/03/15D | 442,000 | 342,108 | ||||||
Argentine Republic Government International Bond | ||||||||
8.75%, 06/02/17 | 93,000 | 77,022 | ||||||
8.28%, 12/31/33D | 146,719 | 96,835 | ||||||
Pan American Energy LLC | ||||||||
7.88%, 05/07/21 144A | 100,000 | 86,000 | ||||||
Pan American Energy LLC | ||||||||
7.88%, 05/07/21D | 176,000 | 151,360 | ||||||
|
| |||||||
753,325 | ||||||||
|
| |||||||
Australia — 2.3% | ||||||||
FMG Resources August 2006 Proprietary, Ltd. | ||||||||
7.00%, 11/01/15 144AD | 70,000 | 71,750 | ||||||
6.88%, 04/01/22 144AD | 670,000 | 676,700 | ||||||
New South Wales Treasury Corporation | ||||||||
6.00%, 02/01/18(A) | 2,620,000 | 2,995,753 | ||||||
Queensland Treasury Corporation | ||||||||
7.13%, 09/18/17(Z) | 275,000 | 252,384 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
9.00%, 05/01/19 | 260,000 | 355,974 | ||||||
|
| |||||||
4,352,561 | ||||||||
|
| |||||||
Bermuda — 0.8% | ||||||||
Qtel International Finance, Ltd. | ||||||||
4.75%, 02/16/21 144A | 200,000 | 213,500 | ||||||
Sirius International Group, Ltd. | ||||||||
6.38%, 03/20/17 144A | 1,250,000 | 1,324,334 | ||||||
|
| |||||||
1,537,834 | ||||||||
|
| |||||||
Brazil — 3.5% | ||||||||
Brazil Notas do Tesouro Nacional | ||||||||
10.00%, 01/01/14(B) | 131,000 | 67,018 | ||||||
10.00%, 01/01/17(B) | 4,207,000 | 2,150,813 | ||||||
Brazilian Government International Bond | ||||||||
4.88%, 01/22/21D | 450,000 | 522,675 | ||||||
11.00%, 08/17/40 | 115,000 | 148,637 | ||||||
Federal Republic of Brazil | ||||||||
10.25%, 01/10/28(B) | 5,250,000 | 3,260,829 | ||||||
Hypermarcas SA | ||||||||
6.50%, 04/20/21 144AD | 150,000 | 145,500 | ||||||
Telemar Norte Leste SA | ||||||||
5.50%, 10/23/20 144A | 110,000 | 112,750 |
Par | Value | |||||||
Telemar Norte Leste SA | ||||||||
5.50%, 10/23/20D | $ | 100,000 | $ | 102,500 | ||||
|
| |||||||
6,510,722 | ||||||||
|
| |||||||
Canada — 4.4% | ||||||||
Atlantic Power Corporation | ||||||||
9.00%, 11/15/18 144AD | 310,000 | 318,525 | ||||||
Canadian Government Bond | ||||||||
2.50%, 06/01/15(C) | 4,720,000 | 4,820,371 | ||||||
Methanex Corporation | ||||||||
5.25%, 03/01/22 | 75,000 | 77,961 | ||||||
Province of Manitoba | ||||||||
6.38%, 09/01/15(Z) | 815,000 | 704,938 | ||||||
Province of Quebec | ||||||||
6.75%, 11/09/15(Z) | 2,650,000 | 2,331,999 | ||||||
Stone Container Finance Company of Canada II Escrow | ||||||||
4.22%, 07/15/14+W | 330,000 | 8,250 | ||||||
Teck Resources, Ltd. | ||||||||
10.25%, 05/15/16 144A | 29,000 | 32,397 | ||||||
|
| |||||||
8,294,441 | ||||||||
|
| |||||||
Cayman Islands — 1.2% | ||||||||
Braskem Finance, Ltd. | ||||||||
7.00%, 05/07/20 | 180,000 | 197,604 | ||||||
Odebrecht Finance, Ltd. | ||||||||
7.00%, 04/21/20 144A | 300,000 | 330,000 | ||||||
6.00%, 04/05/23 144A | 220,000 | 232,826 | ||||||
Petrobras International Finance Co. | ||||||||
6.88%, 01/20/40D | 390,000 | 465,738 | ||||||
6.75%, 01/27/41 | 160,000 | 188,477 | ||||||
Suzano Trading, Ltd. | ||||||||
5.88%, 01/23/21 144AD | 250,000 | 233,950 | ||||||
Vale Overseas, Ltd. | ||||||||
6.88%, 11/21/36D | 462,000 | 538,209 | ||||||
|
| |||||||
2,186,804 | ||||||||
|
| |||||||
Chile — 0.6% | ||||||||
AES Gener SA | ||||||||
5.25%, 08/15/21 144A | 120,000 | 127,444 | ||||||
Celulosa Arauco y Constitucion SA | ||||||||
7.25%, 07/29/19 | 120,000 | 141,891 | ||||||
4.75%, 01/11/22 144A | 125,000 | 128,410 | ||||||
Colbun SA | ||||||||
6.00%, 01/21/20 | 100,000 | 108,018 | ||||||
Colbun SA | ||||||||
6.00%, 01/21/20 144A | 110,000 | 118,820 | ||||||
Corporation Nacional del Cobre de Chile | ||||||||
3.88%, 11/03/21 144A | 220,000 | 232,515 | ||||||
Inversiones CMPC SA | ||||||||
4.75%, 01/19/18 144AD | 200,000 | 209,099 | ||||||
|
| |||||||
1,066,197 | ||||||||
|
| |||||||
Colombia — 0.9% | ||||||||
Colombia Government International Bond | ||||||||
7.38%, 03/18/19D | 200,000 | 262,500 | ||||||
7.38%, 09/18/37D | 160,000 | 237,520 | ||||||
6.13%, 01/18/41 | 140,000 | 182,700 | ||||||
Ecopetrol SA | ||||||||
7.63%, 07/23/19D | 440,000 | 553,926 |
See Notes to Financial Statements.
87
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Empresa de Energia de Bogota SA | ||||||||
6.13%, 11/10/21 144A | $ | 250,000 | $ | 265,000 | ||||
Empresas Publicas de Medellin ESP | ||||||||
7.63%, 07/29/19 144A | 120,000 | 147,000 | ||||||
|
| |||||||
1,648,646 | ||||||||
|
| |||||||
France — 0.5% | ||||||||
AXA SA | ||||||||
6.21%, 10/29/49(E)†D | 210,000 | 199,157 | ||||||
Compagnie Generale de Geophysique—Veritas | ||||||||
9.50%, 05/15/16 | 650,000 | 713,375 | ||||||
Europcar Groupe SA | ||||||||
9.38%, 04/15/18 144A(E) | 145,000 | 128,449 | ||||||
|
| |||||||
1,040,981 | ||||||||
|
| |||||||
Germany — 6.8% | ||||||||
Bundesobligation | ||||||||
2.00%, 02/26/16(E)D | 910,000 | 1,220,402 | ||||||
0.75%, 02/24/17(E) | 2,880,000 | 3,671,905 | ||||||
Bundesrepublik Deutschland | ||||||||
4.00%, 07/04/16(E)D | 2,000 | 2,889 | ||||||
3.75%, 01/04/19(E) | 770,000 | 1,143,839 | ||||||
3.25%, 01/04/20(E) | 4,240,000 | 6,161,147 | ||||||
Kabel Deutschland Holding AG | ||||||||
6.50%, 07/31/17 144A(E) | 100,000 | 129,398 | ||||||
Kabel Deutschland Vertrieb und Service GmbH | ||||||||
6.50%, 06/29/18 144A(E) | 160,000 | 217,666 | ||||||
Rearden G Holdings EINS GmbH | ||||||||
7.88%, 03/30/20 144A | 100,000 | 106,500 | ||||||
Unitymedia NRW GmbH | ||||||||
8.13%, 12/01/17 144A | 100,000 | 108,000 | ||||||
|
| |||||||
12,761,746 | ||||||||
|
| |||||||
Iceland — 0.0% | ||||||||
Kaupthing Bank HF | ||||||||
7.13%, 05/19/16+ 144A# | 150,000 | 1 | ||||||
|
| |||||||
Indonesia — 0.5% | ||||||||
Indonesia Government International Bond | ||||||||
6.63%, 02/17/37D | 225,000 | 279,000 | ||||||
5.25%, 01/17/42D | 370,000 | 388,962 | ||||||
Pertamina Persero PT | ||||||||
5.25%, 05/23/21 144A | 200,000 | 210,000 | ||||||
|
| |||||||
877,962 | ||||||||
|
| |||||||
Ireland — 1.8% | ||||||||
Ardagh Glass Finance PLC | ||||||||
7.13%, 06/15/17 144A(E)D | 112,000 | 133,586 | ||||||
Ireland Government Bond | ||||||||
4.50%, 10/18/18(E) | 900,000 | 1,053,759 | ||||||
5.00%, 10/18/20(E) | 50,000 | 58,243 | ||||||
5.40%, 03/13/25(E) | 750,000 | 873,091 | ||||||
Nara Cable Funding, Ltd. | ||||||||
8.88%, 12/01/18 144A | 360,000 | 311,400 | ||||||
Novatek OAO via Novatek Finance, Ltd. | ||||||||
6.60%, 02/03/21 144AD | 200,000 | 218,800 | ||||||
XL Group PLC | ||||||||
6.25%, 05/15/27D | 640,000 | 705,069 | ||||||
|
| |||||||
3,353,948 | ||||||||
|
|
Par | Value | |||||||
Italy — 0.5% | ||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
5.25%, 11/01/29(E) | $ | 20,000 | $ | 23,262 | ||||
5.75%, 02/01/33(E) | 20,000 | 23,911 | ||||||
5.00%, 08/01/34(E) | 20,000 | 21,780 | ||||||
Seat Pagine Gialle SpA | ||||||||
10.50%, 01/31/17(E) | 129,000 | 104,480 | ||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/33 | 830,000 | 655,700 | ||||||
6.00%, 09/30/34 | 145,000 | 112,012 | ||||||
|
| |||||||
941,145 | ||||||||
|
| |||||||
Luxembourg — 1.9% | ||||||||
ArcelorMittal | ||||||||
3.75%, 02/25/15D | 100,000 | 101,432 | ||||||
3.75%, 08/05/15D | 140,000 | 140,878 | ||||||
6.13%, 06/01/18D | 305,000 | 309,634 | ||||||
5.50%, 03/01/21D | 30,000 | 28,443 | ||||||
7.00%, 10/15/39 | 295,000 | 287,196 | ||||||
6.75%, 03/01/41D | 690,000 | 645,993 | ||||||
ConvaTec Healthcare E SA | ||||||||
10.88%, 12/15/18(E) | 100,000 | 124,652 | ||||||
CSN Resources SA | ||||||||
6.50%, 07/21/20 144A | 150,000 | 163,245 | ||||||
CSN Resources SA | ||||||||
6.50%, 07/21/20 | 100,000 | 108,830 | ||||||
Dematic SA | ||||||||
8.75%, 05/01/16 144A | 250,000 | 262,071 | ||||||
Evraz Group SA | ||||||||
9.50%, 04/24/18D | 160,000 | 172,640 | ||||||
6.75%, 04/27/18 144A | 240,000 | 229,512 | ||||||
Greif Luxembourg Finance SCA | ||||||||
7.38%, 07/15/21 144A(E) | 150,000 | 197,893 | ||||||
Hannover Finance Luxembourg SA | ||||||||
5.75%, 09/14/40(E)† | 50,000 | 61,548 | ||||||
Ontex IV SA | ||||||||
9.00%, 04/15/19(E) | 100,000 | 108,833 | ||||||
TNK-BP Finance SA | ||||||||
7.88%, 03/13/18D | 290,000 | 333,137 | ||||||
Vimpel Communications OJSC Via UBS Luxembourg SA | ||||||||
8.25%, 05/23/16 | 125,000 | 131,078 | ||||||
Wind Acquisition Finance SA | ||||||||
7.25%, 02/15/18 144A | 200,000 | 176,000 | ||||||
Wind Acquisition Holdings Finance SA | ||||||||
12.25%, 07/15/17 PIK(E) | 8,277 | 7,646 | ||||||
|
| |||||||
3,590,661 | ||||||||
|
| |||||||
Malaysia — 0.6% | ||||||||
Malaysia Government Bond | ||||||||
3.84%, 08/12/15(R) | 3,365,000 | 1,083,835 | ||||||
4.26%, 09/15/16(R) | 140,000 | 46,032 | ||||||
|
| |||||||
1,129,867 | ||||||||
|
| |||||||
Marshall Islands — 0.1% | ||||||||
Teekay Corporation | ||||||||
8.50%, 01/15/20D | 150,000 | 153,000 | ||||||
|
|
See Notes to Financial Statements.
88
Table of Contents
Par | Value | |||||||
Mexico — 2.9% | ||||||||
America Movil SAB de CV | ||||||||
5.63%, 11/15/17 | $ | 98,000 | $ | 115,707 | ||||
Axtel SAB de CV | ||||||||
7.63%, 02/01/17 | 20,000 | 13,300 | ||||||
9.00%, 09/22/19D | 58,000 | 38,860 | ||||||
Axtel SAB de CV | ||||||||
7.63%, 02/01/17 144A | 170,000 | 113,050 | ||||||
Grupo Televisa SAB | ||||||||
6.63%, 03/18/25D | 100,000 | 123,461 | ||||||
6.63%, 01/15/40D | 270,000 | 331,544 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
12.50%, 04/01/16 | 60,000 | 67,161 | ||||||
8.00%, 02/01/18D | 330,000 | 370,854 | ||||||
Mexican Bonos | ||||||||
8.00%, 06/11/20(M) | 19,619,000 | 1,744,198 | ||||||
8.00%, 12/07/23(M) | 26,500,000 | 2,405,827 | ||||||
Petroleos Mexicanos | ||||||||
6.50%, 06/02/41 144AD | 135,000 | 158,288 | ||||||
|
| |||||||
5,482,250 | ||||||||
|
| |||||||
Netherlands — 1.7% | ||||||||
Clondalkin Acquisition BV | ||||||||
2.66%, 12/15/13 144A(E)† | 66,000 | 77,050 | ||||||
EDP Finance BV | ||||||||
4.75%, 09/26/16(E) | 300,000 | 330,542 | ||||||
6.00%, 02/02/18 144AD | 200,000 | 174,182 | ||||||
4.90%, 10/01/19 144A | 300,000 | 241,955 | ||||||
Indosat Palapa Co. BV | ||||||||
7.38%, 07/29/20 144A | 100,000 | 109,000 | ||||||
Indosat Palapa Co. BV | ||||||||
7.38%, 07/29/20 | 100,000 | 109,000 | ||||||
Lukoil International Finance BV | ||||||||
6.36%, 06/07/17D | 200,000 | 217,096 | ||||||
6.66%, 06/07/22 | 100,000 | 110,089 | ||||||
LyondellBasell Industries NV | ||||||||
6.00%, 11/15/21 144AD | 160,000 | 176,400 | ||||||
5.75%, 04/15/24 144AD | 260,000 | 279,500 | ||||||
OI European Group BV | ||||||||
6.88%, 03/31/17 144A(E) | 100,000 | 131,612 | ||||||
Polish Television Holding BV | ||||||||
11.00%, 05/15/17 STEP 144A(E) | 125,000 | 158,979 | ||||||
Swiss Reinsurance Co. Via ELM BV | ||||||||
5.25%, 05/29/49(E)† | 400,000 | 437,864 | ||||||
UPC Holding BV | ||||||||
8.00%, 11/01/16(E) | 154,000 | 204,145 | ||||||
VimpelCom Holdings BV | ||||||||
7.50%, 03/01/22 144A | 200,000 | 188,388 | ||||||
Ziggo Bond Co. BV | ||||||||
8.00%, 05/15/18 144A(E) | 250,000 | 344,849 | ||||||
|
| |||||||
3,290,651 | ||||||||
|
| |||||||
Norway — 0.9% | ||||||||
Norway Government Bond | ||||||||
5.00%, 05/15/15(K) | 355,000 | 65,812 | ||||||
4.25%, 05/19/17(K) | 8,060,000 | 1,531,206 | ||||||
Trico Shipping AS | ||||||||
11.04%, 05/13/14 | 33,104 | 32,938 |
Par | Value | |||||||
Trico Shipping AS | ||||||||
10.67%, 05/13/14W@ | $ | 18,802 | $ | 18,708 | ||||
|
| |||||||
1,648,664 | ||||||||
|
| |||||||
Panama — 0.3% | ||||||||
AES El Salvador Trust | ||||||||
6.75%, 02/01/16 | 100,000 | 100,250 | ||||||
Panama Government International Bond | ||||||||
7.25%, 03/15/15 | 1,000 | 1,145 | ||||||
6.70%, 01/26/36 | 296,000 | 401,080 | ||||||
|
| |||||||
502,475 | ||||||||
|
| |||||||
Peru — 0.9% | ||||||||
Peru Government Bond | ||||||||
7.84%, 08/12/20(P) | 2,050,000 | 913,829 | ||||||
Peruvian Government International Bond | ||||||||
7.35%, 07/21/25 | 40,000 | 56,400 | ||||||
8.75%, 11/21/33D | 389,000 | 639,905 | ||||||
6.55%, 03/14/37D | 8,000 | 10,928 | ||||||
|
| |||||||
1,621,062 | ||||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Portugal Obrigacoes do Tesouro OT | ||||||||
4.80%, 06/15/20(E) | 50,000 | 45,139 | ||||||
3.85%, 04/15/21(E) | 150,000 | 124,801 | ||||||
|
| |||||||
169,940 | ||||||||
|
| |||||||
Russia — 0.8% | ||||||||
Russian Foreign Bond | ||||||||
7.50%, 03/31/30 STEP | 767,165 | 922,969 | ||||||
5.63%, 04/04/42D | 600,000 | 643,380 | ||||||
|
| |||||||
1,566,349 | ||||||||
|
| |||||||
South Africa — 0.2% | ||||||||
Edcon Proprietary, Ltd. | ||||||||
3.91%, 06/15/14(E)† | 320,000 | 370,053 | ||||||
|
| |||||||
Spain — 0.1% | ||||||||
Santander Issuances SA Unipersonal | ||||||||
5.91%, 06/20/16 144A | 100,000 | 92,799 | ||||||
Telefonica Emisiones SA Unipersonal | ||||||||
5.13%, 04/27/20 | 75,000 | 64,704 | ||||||
|
| |||||||
157,503 | ||||||||
|
| |||||||
Supranational — 0.8% | ||||||||
Inter-American Development Bank | ||||||||
7.11%, 09/23/13 | 15,900,000,000 | 1,553,181 | ||||||
|
| |||||||
Sweden — 0.1% | ||||||||
Corral Petroleum Holdings AB | ||||||||
15.00%, 12/31/17 PIK 144A(E) | 141,933 | 140,999 | ||||||
|
| |||||||
Trinidad And Tobago — 0.1% | ||||||||
Petroleum Co. of Trinidad & Tobago, Ltd. | ||||||||
9.75%, 08/14/19 144A | 240,000 | 296,760 | ||||||
|
|
See Notes to Financial Statements.
89
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Turkey — 0.4% | ||||||||
Turkey Government International Bond | ||||||||
7.50%, 07/14/17D | $ | 100,000 | $ | 117,125 | ||||
7.00%, 03/11/19 | 100,000 | 116,625 | ||||||
6.25%, 09/26/22D | 345,000 | 391,575 | ||||||
6.88%, 03/17/36 | 73,000 | 85,976 | ||||||
|
| |||||||
711,301 | ||||||||
|
| |||||||
United Arab Emirates — 0.8% | ||||||||
DP World, Ltd. | ||||||||
6.85%, 07/02/37 144A | 1,500,000 | 1,481,250 | ||||||
|
| |||||||
United Kingdom — 2.0% | ||||||||
Barclays Bank PLC | ||||||||
6.00%, 01/23/18(E) | 450,000 | 558,362 | ||||||
Boparan Finance PLC | ||||||||
9.88%, 04/30/18 144A(U) | 100,000 | 162,879 | ||||||
HBOS PLC | ||||||||
6.75%, 05/21/18 144A | 500,000 | 472,285 | ||||||
HSBC Holdings PLC | ||||||||
6.00%, 06/10/19(E) | 270,000 | 369,961 | ||||||
Inmarsat Finance PLC | ||||||||
7.38%, 12/01/17 144A | 290,000 | 311,025 | ||||||
ISS A/S | ||||||||
11.00%, 06/15/14(E) | 212,000 | 285,054 | ||||||
Lloyds TSB Bank PLC | ||||||||
6.50%, 03/24/20(E)D | 326,000 | 361,241 | ||||||
Phones4u Finance PLC | ||||||||
9.50%, 04/01/18 144A(U) | 130,000 | 186,293 | ||||||
Priory Group No. 3 PLC | ||||||||
8.88%, 02/15/19(U) | 100,000 | 136,255 | ||||||
Southern Gas Networks PLC | ||||||||
4.88%, 12/21/20(U) | 270,000 | 462,221 | ||||||
Vedanta Resources PLC | ||||||||
8.75%, 01/15/14D | 210,000 | 218,148 | ||||||
6.75%, 06/07/16 144AD | 200,000 | 189,240 | ||||||
|
| |||||||
3,712,964 | ||||||||
|
| |||||||
Venezuela — 0.9% | ||||||||
Venezuela Government International Bond | ||||||||
8.50%, 10/08/14 | 26,000 | 25,870 | ||||||
5.75%, 02/26/16D | 1,153,000 | 997,345 | ||||||
7.75%, 10/13/19 | 360,000 | 278,100 | ||||||
9.25%, 09/15/27D | 184,000 | 149,960 | ||||||
9.38%, 01/13/34D | 207,000 | 160,425 | ||||||
|
| |||||||
1,611,700 | ||||||||
|
| |||||||
Virgin Islands (British) — 0.1% | ||||||||
GTL Trade Finance, Inc. | ||||||||
7.25%, 10/20/17 144A | 189,000 | 212,625 | ||||||
|
| |||||||
Total Foreign Bonds | ||||||||
(Cost $72,623,390) | 74,729,568 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 3.4% |
| |||||||
Bayview Commercial Asset Trust | ||||||||
0.48%, 07/25/36 144A† | 178,933 | 116,953 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
5.70%, 09/15/40† | 220,000 | 235,951 | ||||||
Federal National Mortgage Association | ||||||||
3.50%, 07/01/41 TBA | 3,700,000 | 3,889,047 |
Par | Value | |||||||
3.00%, 07/16/27 TBA | $ | 200,000 | $ | 209,531 | ||||
3.50%, 08/01/41 TBA | 1,800,000 | 1,886,906 | ||||||
Government National Mortgage Association | ||||||||
4.50%, 07/01/41 TBA | 100,000 | 109,922 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $6,392,527) | 6,448,310 | |||||||
|
| |||||||
MUNICIPAL BOND — 0.2% | ||||||||
State of Illinois, General Obligation | ||||||||
5.10%, 06/01/33 | ||||||||
(Cost $330,220) | 435,000 | 411,597 | ||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTION — 0.0% | ||||||||
Put Option — 0.0% | ||||||||
U.S. Dollar vs. Euro, Strike Price $1.22, Expires 07/10/12 (DEUT) | 64,800 | 4,095 | ||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATIONS — 2.7% | ||||||||
U.S. Treasury Bonds | ||||||||
3.50%, 02/15/39‡‡ | $ | 3,700,000 | 4,282,173 | |||||
4.25%, 05/15/39 | 40,000 | 52,250 | ||||||
4.63%, 02/15/40 | 140,000 | 193,681 | ||||||
3.88%, 08/15/40 | 30,000 | 36,938 | ||||||
|
| |||||||
4,565,042 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
1.00%, 05/15/14 | 10,000 | 10,125 | ||||||
2.63%, 07/31/14 | 50,000 | 52,363 | ||||||
2.38%, 09/30/14 | 110,000 | 115,036 | ||||||
1.25%, 08/31/15 | 90,000 | 92,257 | ||||||
2.00%, 02/15/22 | 120,000 | 124,059 | ||||||
|
| |||||||
393,840 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $4,114,795) | 4,958,882 | |||||||
|
| |||||||
Shares | ||||||||
COMMON STOCKS — 1.2% | ||||||||
Consumer Discretionary — 0.0% | ||||||||
Dex One CorporationD* | 1,433 | 1,340 | ||||||
|
| |||||||
Healthcare — 0.3% | ||||||||
Bristol-Myers Squibb Co. | 15,400 | 553,630 | ||||||
|
| |||||||
Materials & Processing — 0.4% | ||||||||
Georgia Gulf Corporation | 3,161 | 81,143 | ||||||
PPG Industries, Inc. | 5,751 | 610,296 | ||||||
Rock-Tenn Co. Class A | 133 | 7,255 | ||||||
|
| |||||||
698,694 | ||||||||
|
| |||||||
Technology — 0.5% | ||||||||
Corning, Inc.D | 70,534 | 912,005 | ||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $1,798,364) | 2,165,669 | |||||||
|
|
See Notes to Financial Statements.
90
Table of Contents
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 0.6% | ||||||||
Netherlands — 0.2% | ||||||||
Royal Dutch Shell PLC ADRD | 6,443 | $ | 434,452 | |||||
|
| |||||||
Norway — 0.1% | ||||||||
Deep Ocean Group Holding+@ | 8,860 | 141,760 | ||||||
|
| |||||||
Spain — 0.3% | ||||||||
Repsol SA ADRD | 15,133 | 241,825 | ||||||
Telefonica SA ADR | 22,180 | 290,558 | ||||||
|
| |||||||
532,383 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $1,273,319) | 1,108,595 | |||||||
|
| |||||||
PREFERRED STOCKS — 1.4% | ||||||||
Ally Financial, Inc. 144A | 400 | 356,363 | ||||||
Bank of America Corporation CONV* | 602 | 586,950 | ||||||
Citigroup Capital XII | 12,325 | 308,864 | ||||||
El Paso Energy Capital Trust ID | 500 | 25,325 | ||||||
Lucent Technologies Capital Trust I CONV | 1,891 | 1,276,425 | ||||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Cost $2,410,358) | 2,553,927 | |||||||
|
| |||||||
RIGHTS/WARRANTS — 0.0% | ||||||||
Buffets Restaurants Holdings, Inc.+ | 89 | 1 | ||||||
Charter Communications, Inc. | 110 | 2,585 | ||||||
CMP Susquehanna Radio Holdings Corporation+@ | 1,706 | 7,945 | ||||||
Nortek, Inc.@D | 184 | 561 | ||||||
|
| |||||||
Total Rights/Warrants | ||||||||
(Cost $50,348) | 11,092 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 30.5% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 22,824,499 | 22,824,499 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 34,312,294 | 34,312,294 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $57,136,793) | 57,136,793 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 119.6% | ||||||||
(Cost $212,604,492) | 223,761,949 | |||||||
Liabilities in Excess of Other Assets — (19.6)% |
| (36,672,358 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 187,089,591 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Foreign Bonds | 39.9 | |||
Corporate Bonds | 39.7 | |||
Money Market Funds | 30.5 | |||
Mortgage-Backed Securities | 3.4 | |||
U.S. Treasury Obligations | 2.7 | |||
Preferred Stocks | 1.4 | |||
Common Stocks | 1.2 | |||
Foreign Common Stocks | 0.6 | |||
Municipal Bond | 0.2 | |||
Forward Foreign Currency Contracts | 0.1 | |||
Purchased Option | — | ** | ||
Rights/Warrants | — | ** | ||
Futures Contracts | (3.6 | ) | ||
|
| |||
116.1 | ||||
|
|
** Rounds to less than 0.005%.
See Notes to Financial Statements.
91
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks | $ | 2,165,669 | $ | 2,165,669 | $ | — | $ | — | ||||||||
Corporate Bonds | 74,233,421 | — | 69,686,089 | 4,547,332 | ||||||||||||
Foreign Common Stocks | 1,108,595 | 966,835 | — | 141,760 | ||||||||||||
Foreign Bonds | 74,729,568 | — | 72,950,087 | 1,779,481 | ||||||||||||
Money Market Funds | 57,136,793 | 57,136,793 | — | — | ||||||||||||
Mortgage-Backed Securities | 6,448,310 | — | 6,448,310 | — | ||||||||||||
Municipal Bond | 411,597 | — | 411,597 | — | ||||||||||||
Preferred Stocks | 2,553,927 | 2,553,927 | — | — | ||||||||||||
Purchased Option | 4,095 | — | 4,095 | — | ||||||||||||
Rights/Warrants | 11,092 | 3,146 | — | 7,946 | ||||||||||||
U.S. Treasury Obligations | 4,958,882 | — | 4,958,882 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 223,761,949 | $ | 62,826,369 | $ | 154,459,061 | $ | 6,476,519 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 378,405 | $ | — | $ | 378,405 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 378,405 | $ | — | $ | 378,405 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (46,202 | ) | $ | (46,202 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (46,202 | ) | $ | (46,202 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
Management has determined that the amount of Level 3 assets compared to total net assets is not material; therefore, the reconciliation of Level 3 assets is not shown for the period ending June 30, 2012.
See Notes to Financial Statements.
92
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93
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2012 (Unaudited) |
Assets | Money Market Fund | Low-Duration Bond Fund | ||||||
Investments in securities of unaffiliated issuers, at value | $ | 1,288,345,443 | $ | 797,543,634 | ||||
Investments in repurchase agreements, at value | — | 101,400,000 | ||||||
Investments in securities of affiliated issuers, at value | — | 21,455,441 | ||||||
|
|
|
| |||||
Total investments(1)(2) | 1,288,345,443 | 920,399,075 | ||||||
Cash | 187 | 670,531 | ||||||
Cash collateral for derivatives | — | 692,000 | ||||||
Foreign currency(3) | — | 4,632,680 | ||||||
Receivables: | ||||||||
Dividends and reclaims | — | 270 | ||||||
Interest | 547,389 | 4,121,007 | ||||||
Securities lending | — | 4,351 | ||||||
Investment securities sold | — | 53,513,828 | ||||||
Maturities | — | 64,718 | ||||||
Fund shares sold | 3,388,581 | 607,971 | ||||||
Variation margin on financial futures contracts | — | 87,071 | ||||||
Unrealized appreciation on foreign currency exchange contracts | — | 1,354,566 | ||||||
Unrealized appreciation on swap agreements | — | 2,955,850 | ||||||
Prepaid expenses and other assets | 37,786 | 18,999 | ||||||
|
|
|
| |||||
Total Assets | 1,292,319,386 | 989,122,917 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Cash overdraft | — | — | ||||||
TBA sale commitments, at value(5) | — | 15,152,500 | ||||||
Options written at value(6) | — | 416,036 | ||||||
Unrealized depreciation on foreign currency exchange contracts | — | 944,808 | ||||||
Unrealized depreciation on swap agreements | — | 177,050 | ||||||
Collateral held for securities on loan at value | — | 63,148,921 | ||||||
Collateral held for derivatives | — | 2,690,000 | ||||||
Payables: | ||||||||
Investment securities purchased | — | 116,738,530 | ||||||
Fund shares redeemed | 3,532,849 | 5 | ||||||
Variation margin on exchange traded swaps | — | 740,779 | ||||||
Variation margin on financial futures contracts | — | 21,459 | ||||||
Distributions | 6,888 | — | ||||||
Securities lending | — | 869 | ||||||
Accrued expenses: | ||||||||
Investment advisory fees | 166,593 | 168,150 | ||||||
Shareholder servicing fees | 84,800 | 129,356 | ||||||
Other expenses | 63,307 | 110,823 | ||||||
|
|
|
| |||||
Total Liabilities | 3,854,437 | 200,439,286 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,288,464,949 | $ | 788,683,631 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in-capital | $ | 1,288,444,404 | $ | 790,736,400 | ||||
Undistributed (distributions in excess of) net investment income | 38 | (210,026 | ) | |||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions | 20,507 | (1,995,499 | ) | |||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | — | 152,756 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,288,464,949 | $ | 788,683,631 | ||||
|
|
|
| |||||
Net Asset Value: | ||||||||
$0.001 par value, unlimited shares authorized | ||||||||
Net assets applicable to the GS2 Class | $ | 109,863,156 | $ | 127,373,564 | ||||
|
|
|
| |||||
GS2 shares outstanding | 109,857,196 | 14,741,006 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS2 share | $ | 1.00 | $ | 8.64 | ||||
|
|
|
| |||||
Net assets applicable to the GS4 Class | $ | 1,178,601,793 | $ | 661,310,067 | ||||
|
|
|
| |||||
GS4 shares outstanding | 1,178,552,561 | 49,504,861 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS4 share | $ | 1.00 | $ | 13.36 | ||||
|
|
|
|
(1) | Investments in securities of unaffiliated issuers, at cost | $ | 1,288,345,443 | $ | 798,734,455 | |||||||
Investments in repurchase agreements, at cost | — | 101,400,000 | ||||||||||
Investments in securities of affiliated issuers, at cost | — | 21,455,441 | ||||||||||
|
|
|
| |||||||||
Total investments at cost | $ | 1,288,345,443 | $ | 921,589,896 | ||||||||
|
|
|
| |||||||||
(2) | Includes securities loaned of: | $ | — | $ | 56,638,978 | |||||||
|
|
|
| |||||||||
(3) | Foreign currency at cost | $ | — | $ | 4,623,625 | |||||||
|
|
|
| |||||||||
(5) | TBA sale commitments at cost | $ | — | $ | 15,118,750 | |||||||
|
|
|
| |||||||||
(6) | Premiums received on options written | $ | — | $ | 494,906 | |||||||
|
|
|
|
See Notes to Financial Statements.
94
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Inflation Protected Bond Fund | Global Bond Fund | |||||||||||||
$ | 1,000,028,301 | $ | 456,420,445 | $ | 166,015,643 | $ | 200,937,450 | |||||||||
107,700,000 | — | — | — | |||||||||||||
117,948,781 | 7,613,260 | 10,479,228 | 22,824,499 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
1,225,677,082 | 464,033,705 | 176,494,871 | 223,761,949 | |||||||||||||
— | — | — | 75 | |||||||||||||
399,966 | — | — | 500,000 | |||||||||||||
1,008,412 | — | — | 363,376 | |||||||||||||
931 | 3,239 | 72 | 26,851 | |||||||||||||
5,262,029 | 5,348,891 | 813,318 | 2,609,065 | |||||||||||||
3,737 | 2,232 | — | 6,112 | |||||||||||||
249,583,064 | — | 18,221 | — | |||||||||||||
24,518 | — | — | — | |||||||||||||
213,453 | 80,580 | 174,480 | 10,392 | |||||||||||||
273,234 | — | 114,142 | 45,941 | |||||||||||||
813,591 | — | — | 939,937 | |||||||||||||
3,127,048 | — | — | — | |||||||||||||
18,862 | 15,767 | 18,220 | 12,382 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
1,486,405,927 | 469,484,414 | 177,633,324 | 228,276,080 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
563,230 | — | — | — | |||||||||||||
14,736,844 | — | — | — | |||||||||||||
392,108 | — | — | — | |||||||||||||
974,604 | — | — | 561,532 | |||||||||||||
877,189 | — | — | — | |||||||||||||
60,749,614 | 29,153,001 | — | 34,312,294 | |||||||||||||
3,340,019 | — | — | — | |||||||||||||
472,361,752 | — | 931,110 | 6,111,489 | |||||||||||||
171,018 | 48,210 | — | 33,749 | |||||||||||||
601,265 | — | — | — | |||||||||||||
381,814 | — | — | 1,594 | |||||||||||||
— | — | — | — | |||||||||||||
746 | 446 | — | 1,222 | |||||||||||||
248,017 | 158,135 | 43,432 | 67,219 | |||||||||||||
135,697 | 70,333 | 34,493 | 36,427 | |||||||||||||
144,161 | 62,664 | 39,076 | 60,963 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
555,678,078 | 29,492,789 | 1,048,111 | 41,186,489 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 930,727,849 | $ | 439,991,625 | $ | 176,585,213 | $ | 187,089,591 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 909,976,685 | $ | 377,346,224 | $ | 162,520,357 | $ | 187,189,971 | |||||||||
(954,987 | ) | 891,835 | 202,313 | (530,052 | ) | |||||||||||
1,842,569 | 3,294,480 | 3,239,028 | (11,026,696 | ) | ||||||||||||
19,863,582 | 58,459,086 | 10,623,515 | 11,456,368 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 930,727,849 | $ | 439,991,625 | $ | 176,585,213 | $ | 187,089,591 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 239,336,271 | $ | 81,149,606 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
| |||||||||
32,430,674 | 12,249,288 | N/A | N/A | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 7.38 | $ | 6.62 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 691,391,578 | $ | 358,842,019 | $ | 176,585,213 | $ | 187,089,591 | |||||||||
|
|
|
|
|
|
|
| |||||||||
47,670,134 | 19,892,216 | 15,638,432 | 18,797,472 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 14.50 | $ | 18.04 | $ | 11.29 | $ | 9.95 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 981,927,686 | $ | 397,953,957 | $ | 155,540,504 | $ | 189,779,993 | |||||||||
107,700,000 | — | — | — | |||||||||||||
117,948,781 | 7,613,260 | 10,479,228 | 22,824,499 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,207,576,467 | $ | 405,567,217 | $ | 166,019,732 | $ | 212,604,492 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 58,243,587 | $ | 38,776,939 | $ | — | $ | 28,934,451 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,001,071 | $ | — | $ | — | $ | 359,195 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 14,731,125 | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 615,223 | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
95
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2012 (Unaudited) |
Investment Income | Money Market Fund | Low-Duration Bond Fund | ||||||
Dividends | $ | — | $ | — | ||||
Income distributions received from affiliated funds | — | 1,485 | ||||||
Interest | 1,818,056 | 8,439,657 | ||||||
Securities lending | 2,239 | 34,554 | ||||||
Less foreign taxes withheld | — | — | ||||||
|
|
|
| |||||
Total Investment Income | 1,820,295 | 8,475,696 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory fees | 990,021 | 1,297,120 | ||||||
Transfer agent fees: | ||||||||
GS2 shares | 2,014 | 2,004 | ||||||
GS4 shares | 19,931 | 12,699 | ||||||
Custodian fees | 14,827 | 54,855 | ||||||
Shareholder servicing fees: | ||||||||
GS4 shares | 1,398,964 | 770,099 | ||||||
Accounting and administration fees | 135,456 | 131,278 | ||||||
Professional fees | 26,104 | 42,378 | ||||||
Blue sky fees: | ||||||||
GS2 shares | 1,034 | 633 | ||||||
GS4 shares | 17,934 | 9,576 | ||||||
Shareholder reporting fees: | ||||||||
GS2 shares | 429 | 372 | ||||||
GS4 shares | 22,016 | 8,641 | ||||||
Trustee expenses | 6,330 | 3,852 | ||||||
Line of credit facility fees | 7,495 | 4,385 | ||||||
Other expenses | 18,318 | 25,027 | ||||||
|
|
|
| |||||
Total expenses | 2,660,873 | 2,362,919 | ||||||
Expenses waived/reimbursed net of amount recaptured(2) | (956,482 | ) | (319,447 | ) | ||||
|
|
|
| |||||
Net expenses | 1,704,391 | 2,043,472 | ||||||
|
|
|
| |||||
Net Investment Income | 115,904 | 6,432,224 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Investment securities and securities sold short | 20,507 | (1,573,271 | ) | |||||
Futures transactions | — | 80,879 | ||||||
Swap agreements | — | 334,206 | ||||||
Option contracts written | — | 32,765 | ||||||
Option contracts purchased | — | — | ||||||
Foreign currency transactions | — | (806,911 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 20,507 | (1,932,332 | ) | |||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment securities and securities sold short | — | 13,042,172 | ||||||
Futures | — | (117,542 | ) | |||||
Swap agreements | — | (141,859 | ) | |||||
Option contracts written | — | 46,270 | ||||||
Option contracts purchased | — | 208,429 | ||||||
Foreign currency translation | — | (628,627 | ) | |||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | — | 12,408,843 | ||||||
|
|
|
| |||||
Net Realized and Unrealized Gain | 20,507 | 10,476,511 | ||||||
|
|
|
| |||||
Net Increase in Net Assets Resulting from Operations | $ | 136,411 | $ | 16,908,735 | ||||
|
|
|
|
(1) | Inception date was September 1, 2011. |
(2) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
96
Table of Contents
Medium- Duration Bond Fund | Extended- Duration Bond Fund | Inflation Protected Bond Fund | Global Bond Fund | |||||||||||||
$ | 90,000 | $ | 10,048 | $ | — | $ | 194,141 | |||||||||
3,926 | 411 | 599 | 934 | |||||||||||||
13,616,035 | 11,483,494 | 2,791,014 | 4,988,587 | |||||||||||||
37,492 | 16,159 | 4,340 | 35,324 | |||||||||||||
— | — | — | (6,386 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
13,747,453 | 11,510,112 | 2,795,953 | 5,212,600 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
1,883,855 | 990,364 | 265,824 | 426,059 | |||||||||||||
2,015 | 1,968 | — | — | |||||||||||||
13,298 | 12,978 | 11,962 | 10,796 | |||||||||||||
106,526 | 12,800 | 11,071 | 24,059 | |||||||||||||
799,546 | 414,714 | 201,742 | 218,210 | |||||||||||||
180,916 | 63,452 | 22,506 | 53,867 | |||||||||||||
41,962 | 31,856 | 27,802 | 33,159 | |||||||||||||
633 | 511 | — | — | |||||||||||||
9,557 | 9,050 | 9,865 | 6,437 | |||||||||||||
385 | 276 | — | — | |||||||||||||
9,954 | 9,481 | 5,784 | 3,104 | |||||||||||||
4,420 | 2,276 | 1,146 | 1,189 | |||||||||||||
5,099 | 2,391 | 969 | 1,020 | |||||||||||||
68,292 | 8,296 | 5,370 | 15,209 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
3,126,458 | 1,560,413 | 564,041 | 793,109 | |||||||||||||
(482,605) | (60,382 | ) | (14,268 | ) | (22,291 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
2,643,853 | 1,500,031 | 549,773 | 770,818 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
11,103,600 | 10,010,081 | 2,246,180 | 4,441,782 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
4,065,995 | 3,585,163 | 3,099,379 | 1,399,942 | |||||||||||||
307,762 | — | 134,963 | (195,154 | ) | ||||||||||||
350,277 | — | — | — | |||||||||||||
136,993 | — | — | — | |||||||||||||
(32,787) | — | — | 99,065 | |||||||||||||
(526,595) | (20,603 | ) | 1,027 | 439,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
4,301,645 | 3,564,560 | 3,235,369 | 1,743,022 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
21,351,863 | 17,568,702 | 93,485 | 3,630,136 | |||||||||||||
(223,887) | — | 177,230 | (55,229 | ) | ||||||||||||
959,030 | — | — | — | |||||||||||||
175,041 | — | — | — | |||||||||||||
(115,879) | — | — | (50,661 | ) | ||||||||||||
224,654 | 7,735 | 7,760 | (385,759 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
22,370,822 | 17,576,437 | 278,475 | 3,138,487 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
26,672,467 | 21,140,997 | 3,513,844 | 4,881,509 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 37,776,067 | $ | 31,151,078 | $ | 5,760,024 | $ | 9,323,291 | |||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
97
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Money Market Fund | ||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 115,904 | $ | 236,938 | ||||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | 20,507 | 6,991 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | — | — | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 136,411 | 243,929 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | (57,446 | ) | (112,938 | ) | ||||
GS4 shares | (58,458 | ) | (124,000 | ) | ||||
Distributions from net realized capital gains | ||||||||
GS2 shares | — | (1,243 | ) | |||||
GS4 shares | — | (12,969 | ) | |||||
|
|
|
| |||||
Total dividends and distributions | (115,904 | ) | (251,150 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 38,228,419 | 154,616,809 | ||||||
GS4 shares | 1,679,988,835 | 3,912,748,853 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 50,773 | 100,970 | ||||||
GS4 shares | 22,851 | 61,686 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 1,718,290,878 | 4,067,528,318 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
GS2 shares | (44,715,547 | ) | (157,730,463 | ) | ||||
GS4 shares | (1,663,058,601 | ) | (3,931,314,442 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (1,707,774,148 | ) | (4,089,044,905 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(1) | 10,516,730 | (21,516,587 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 10,537,237 | (21,523,808 | ) | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 1,277,927,712 | 1,299,451,520 | ||||||
|
|
|
| |||||
End of Period* | $ | 1,288,464,949 | $ | 1,277,927,712 | ||||
|
|
|
| |||||
*Including undistributed (distributions in excess of) net investment income | $ | 38 | $ | 38 | ||||
|
|
|
|
(1) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
98
Table of Contents
Low-Duration Bond Fund | Bond Fund Medium-Duration | |||||||||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
$ | 6,432,224 | $ | 12,392,085 | $ | 11,103,600 | $ | 23,025,976 | |||||||||
(1,932,332 | ) | 5,973,137 | 4,301,645 | 18,058,795 | ||||||||||||
12,408,843 | (6,790,004 | ) | 22,370,822 | 14,043,152 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
16,908,735 | 11,575,218 | 37,776,067 | 55,127,923 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
(1,952,030 | ) | (3,504,911 | ) | (4,657,772 | ) | (11,027,359 | ) | |||||||||
(5,904,125 | ) | (9,679,718 | ) | (6,397,412 | ) | (14,780,466 | ) | |||||||||
(181,052 | ) | (435,539 | ) | (912,456 | ) | (4,078,282 | ) | |||||||||
(604,569 | ) | (1,363,124 | ) | (1,347,069 | ) | (5,778,384 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(8,641,776 | ) | (14,983,292 | ) | (13,314,709 | ) | (35,664,491 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
6,166,592 | 16,099,588 | 13,269,705 | 21,121,078 | |||||||||||||
35,709,456 | 78,836,387 | 39,122,994 | 64,360,174 | |||||||||||||
2,127,579 | 3,936,833 | 5,565,574 | 15,099,539 | |||||||||||||
6,506,498 | 11,038,772 | 7,742,745 | 20,555,211 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
50,510,125 | 109,911,580 | 65,701,018 | 121,136,002 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
(4,123,560 | ) | (24,039,673 | ) | (11,874,744 | ) | (44,591,542 | ) | |||||||||
(10,145,036 | ) | (46,883,049 | ) | (11,801,437 | ) | (82,217,273 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(14,268,596 | ) | (70,922,722 | ) | (23,676,181 | ) | (126,808,815 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
36,241,529 | 38,988,858 | 42,024,837 | (5,672,813 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
44,508,488 | 35,580,784 | 66,486,195 | 13,790,619 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
744,175,143 | 708,594,359 | 864,241,654 | 850,451,035 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 788,683,631 | $ | 744,175,143 | $ | 930,727,849 | $ | 864,241,654 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (210,026 | ) | $ | 1,213,905 | $ | (954,987 | ) | $ | (1,003,403 | ) | ||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
99
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Extended-Duration Bond Fund | ||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 10,010,081 | $ | 20,862,046 | ||||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | 3,564,560 | 16,889,053 | ||||||
Net change in unrealized appreciation on investment securities, foreign currency trans-lations and derivative transactions | 17,576,437 | 11,984,957 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 31,151,078 | 49,736,056 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | (3,588,540 | ) | (7,964,758 | ) | ||||
GS4 shares | (5,636,112 | ) | (13,885,510 | ) | ||||
Distributions from net realized capital gains | ||||||||
GS2 shares | (487,324 | ) | (6,179,790 | ) | ||||
GS4 shares | (823,981 | ) | (10,868,828 | ) | ||||
|
|
|
| |||||
Total dividends and distributions | (10,535,957 | ) | (38,898,886 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 6,477,923 | 9,682,470 | ||||||
GS4 shares | 33,815,576 | 58,099,153 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 4,071,801 | 14,128,478 | ||||||
GS4 shares | 6,456,596 | 24,748,569 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 50,821,896 | 106,658,670 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
GS2 shares | (5,714,180 | ) | (17,170,249 | ) | ||||
GS4 shares | (31,200,820 | ) | (105,356,290 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (36,915,000 | ) | (122,526,539 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(2) | 13,906,896 | (15,867,869 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 34,522,017 | (5,030,699 | ) | |||||
|
|
|
| |||||
Beginning of Period | ||||||||
Beginning of Period | 405,469,608 | 410,500,307 | ||||||
|
|
|
| |||||
End of Period* | $ | 439,991,625 | $ | 405,469,608 | ||||
|
|
|
| |||||
*Including undistributed (distributions in excess of) net investment income | $ | 891,835 | $ | 106,406 | ||||
|
|
|
|
(2) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
100
Table of Contents
Inflation Protected Bond Fund | Global Bond Fund | |||||||||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
$ | 2,246,180 | $ | 3,531,837 | $ | 4,441,782 | $ | 8,725,553 | |||||||||
3,235,369 | 3,591,541 | 1,743,022 | (2,617,065 | ) | ||||||||||||
278,475 | 7,829,782 | 3,138,487 | 999,234 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
5,760,024 | 14,953,160 | 9,323,291 | 7,107,722 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
— | — | — | — | |||||||||||||
(2,010,618 | ) | (3,711,792 | ) | (5,425,368 | ) | (8,997,511 | ) | |||||||||
— | — | — | — | |||||||||||||
(1,806,254 | ) | (2,460,477 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(3,816,872 | ) | (6,172,269 | ) | (5,425,368 | ) | (8,997,511 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
— | — | — | ||||||||||||||
25,467,754 | 75,023,418 | 13,606,433 | 31,454,693 | |||||||||||||
— | — | — | — | |||||||||||||
3,814,918 | 6,171,549 | 5,425,319 | 8,996,898 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
29,282,672 | 81,194,967 | 19,031,752 | 40,451,591 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
— | — | — | — | |||||||||||||
(17,796,340 | ) | (34,645,081 | ) | (6,007,314 | ) | (29,464,225 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(17,796,340 | ) | (34,645,081 | ) | (6,007,314 | ) | (29,464,225 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
11,486,332 | 46,549,886 | 13,024,438 | 10,987,366 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
13,429,484 | 55,330,777 | 16,922,361 | 9,097,577 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
163,155,729 | 107,824,952 | 170,167,230 | 161,069,653 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 176,585,213 | $ | 163,155,729 | $ | 187,089,591 | $ | 170,167,230 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 202,313 | $ | (33,249 | ) | $ | (530,052 | ) | $ | 453,534 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
101
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross(1) | Investment Income, Net(2) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||
Money Market Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 1.00 | $ | — | †# | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 0.05 | % | $ | 109,863 | 0.18 | % | 0.19 | % | 0.10 | % | N/A | ||||||||||||||||||||||
2011 | 1.00 | — | †# | — | † | — | † | — | † | 1.00 | 0.10 | 116,298 | 0.18 | 0.19 | 0.09 | N/A | ||||||||||||||||||||||||||||||||
2010 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.18 | 119,311 | 0.17 | 0.18 | 0.17 | N/A | ||||||||||||||||||||||||||||||||
2009 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.47 | 133,323 | 0.23 | (4) | 0.23 | (4) | 0.49 | N/A | ||||||||||||||||||||||||||||||
2008 | 1.00 | 0.03 | — | † | (0.03 | ) | — | 1.00 | 2.95 | 171,739 | 0.20 | 0.20 | 2.86 | N/A | ||||||||||||||||||||||||||||||||||
2007 | 1.00 | 0.05 | — | † | (0.05 | ) | — | 1.00 | 5.23 | 112,581 | 0.23 | 0.23 | 5.11 | N/A | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 1.00 | $ | — | †# | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 0.01 | % | $ | 1,178,602 | 0.28 | % | 0.44 | % | 0.01 | % | N/A | ||||||||||||||||||||||
2011 | 1.00 | — | †# | — | † | — | † | — | † | 1.00 | 0.01 | 1,161,630 | 0.27 | 0.42 | 0.01 | N/A | ||||||||||||||||||||||||||||||||
2010 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.02 | 1,180,141 | 0.33 | 0.37 | 0.01 | N/A | ||||||||||||||||||||||||||||||||
2009 | 1.00 | — | † | — | † | — | † | — | † | 1.00 | 0.29 | 1,064,934 | 0.41 | (4) | 0.43 | (4) | 0.28 | N/A | ||||||||||||||||||||||||||||||
2008 | 1.00 | 0.03 | — | † | (0.03 | ) | — | 1.00 | 2.75 | 970,146 | 0.40 | (4) | 0.40 | (4) | 2.72 | N/A | ||||||||||||||||||||||||||||||||
2007 | 1.00 | 0.05 | — | † | (0.05 | ) | — | 1.00 | 5.03 | 939,596 | 0.43 | 0.43 | 4.92 | N/A | ||||||||||||||||||||||||||||||||||
Low-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 8.59 | $ | 0.08 | # | $ | 0.11 | $ | (0.13 | ) | $ | (0.01 | ) | $ | 8.64 | 2.30 | % | $ | 127,374 | 0.36 | % | 0.41 | % | 1.85 | % | 118 | % | |||||||||||||||||||||
2011 | 8.70 | 0.16 | # | (0.01 | )(5) | (0.23 | ) | (0.03 | ) | 8.59 | 1.77 | 122,462 | 0.36 | 0.42 | 1.84 | 221 | ||||||||||||||||||||||||||||||||
2010 | 8.70 | 0.20 | # | 0.17 | (0.28 | ) | (0.09 | ) | 8.70 | 4.35 | 128,143 | 0.36 | 0.41 | 2.27 | 257 | |||||||||||||||||||||||||||||||||
2009 | 8.11 | 0.29 | # | 0.69 | (0.39 | ) | — | 8.70 | 12.29 | 115,741 | 0.36 | 0.42 | 3.47 | 322 | ||||||||||||||||||||||||||||||||||
2008 | 8.90 | 0.36 | # | (0.60 | ) | (0.55 | ) | — | 8.11 | (2.76 | ) | 105,223 | 0.36 | 0.41 | 4.19 | 427 | ||||||||||||||||||||||||||||||||
2007 | 8.89 | 0.42 | # | 0.12 | (0.53 | ) | — | 8.90 | 6.22 | 133,374 | 0.42 | 0.45 | 4.71 | 248 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 13.20 | $ | 0.11 | # | $ | 0.18 | $ | (0.12 | ) | $ | (0.01 | ) | $ | 13.36 | 2.24 | % | $ | 661,310 | 0.57 | % | 0.66 | % | 1.64 | % | 118 | % | |||||||||||||||||||||
2011 | 13.23 | 0.22 | # | (0.01 | )(5) | (0.21 | ) | (0.03 | ) | 13.20 | 1.58 | 621,713 | 0.55 | 0.65 | 1.64 | 221 | ||||||||||||||||||||||||||||||||
2010 | 13.04 | 0.28 | # | 0.26 | (0.26 | ) | (0.09 | ) | 13.23 | 4.20 | 580,452 | 0.52 | 0.61 | 2.11 | 257 | |||||||||||||||||||||||||||||||||
2009 | 11.99 | 0.42 | # | 1.00 | (0.37 | ) | — | 13.04 | 11.97 | 569,316 | 0.52 | 0.62 | 3.30 | 322 | ||||||||||||||||||||||||||||||||||
2008 | 12.88 | 0.51 | # | (0.87 | ) | (0.53 | ) | — | 11.99 | (2.84 | ) | 515,996 | 0.52 | 0.61 | 4.03 | 427 | ||||||||||||||||||||||||||||||||
2007 | 12.63 | 0.58 | # | 0.17 | (0.50 | ) | — | 12.88 | 6.11 | 665,292 | 0.58 | 0.64 | 4.54 | 248 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The Money Market Fund participated in the U.S. Department of the Treasury (the “Treasury”) Temporary Guarantee Program for Money Market Funds (the “Program”). The Fund bore the expense of its participation in the Program without regard to any expense limitation in effect. The Program expired on September 18, 2009. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
See Notes to Financial Statements.
102
Table of Contents
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Excess Distribution/ Return of Capital | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross(1) | Investment Income, Net(2) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
Medium-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 7.24 | $ | 0.09 | # | $ | 0.23 | $ | (0.15 | ) | $ | (0.03 | ) | $ | — | $ | 7.38 | 4.39 | % | $ | 239,336 | 0.48 | % | 0.51 | % | 2.58 | % | 299 | % | |||||||||||||||||||||||
2011 | 7.25 | 0.20 | # | 0.27 | (4) | (0.35 | ) | (0.13 | ) | — | 7.24 | 6.56 | 228,024 | 0.48 | 0.52 | 2.76 | 609 | |||||||||||||||||||||||||||||||||||
2010 | 7.47 | 0.25 | # | 0.40 | (0.41 | ) | (0.46 | ) | — | 7.25 | 8.86 | 236,369 | 0.48 | 0.49 | 3.21 | 487 | ||||||||||||||||||||||||||||||||||||
2009 | 7.13 | 0.31 | # | 0.85 | (0.51 | ) | (0.31 | ) | — | 7.47 | 17.07 | 139,917 | 0.48 | 0.51 | 4.17 | 427 | ||||||||||||||||||||||||||||||||||||
2008 | 8.42 | 0.40 | # | (0.72 | ) | (0.65 | ) | (0.32 | ) | — | 7.13 | (3.88 | ) | 112,240 | 0.47 | 0.48 | 5.07 | 566 | ||||||||||||||||||||||||||||||||||
2007 | 8.52 | 0.42 | # | 0.12 | (0.64 | ) | — | † | — | 8.42 | 6.65 | 151,466 | 0.48 | 0.49 | 5.02 | 428 | ||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 14.07 | $ | 0.17 | # | $ | 0.43 | $ | (0.14 | ) | $ | (0.03 | ) | $ | — | $ | 14.50 | 4.25 | % | $ | 691,392 | 0.63 | % | 0.76 | % | 2.43 | % | 299 | % | |||||||||||||||||||||||
2011 | 13.65 | 0.37 | # | 0.51 | (4) | (0.33 | ) | (0.13 | ) | — | 14.07 | 6.49 | 636,218 | 0.61 | 0.75 | 2.62 | 609 | |||||||||||||||||||||||||||||||||||
2010 | 13.36 | 0.43 | # | 0.71 | (0.39 | ) | (0.46 | ) | — | 13.65 | 8.65 | 614,082 | 0.58 | 0.68 | 3.11 | 487 | ||||||||||||||||||||||||||||||||||||
2009 | 12.16 | 0.53 | # | 1.48 | (0.50 | ) | (0.31 | ) | — | 13.36 | 16.97 | 868,800 | 0.58 | 0.70 | 4.08 | 427 | ||||||||||||||||||||||||||||||||||||
2008 | 13.64 | 0.65 | # | (1.18 | ) | (0.63 | ) | (0.32 | ) | — | 12.16 | (3.89 | ) | 738,610 | 0.58 | 0.67 | 4.96 | 566 | ||||||||||||||||||||||||||||||||||
2007 | 13.42 | 0.66 | # | 0.18 | (0.62 | ) | — | † | — | 13.64 | 6.46 | 1,079,034 | 0.61 | 0.68 | 4.88 | 428 | ||||||||||||||||||||||||||||||||||||
Extended-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 6.48 | $ | 0.16 | # | $ | 0.32 | $ | (0.30 | ) | $ | (0.04 | ) | $ | — | $ | 6.62 | 7.68 | % | 81,150 | 0.53 | % | 0.53 | % | 4.92 | % | 10 | % | ||||||||||||||||||||||||
2011 | 6.93 | 0.37 | # | 0.49 | (4) | (0.74 | ) | (0.57 | ) | — | 6.48 | 13.33 | 74,591 | 0.54 | 0.55 | 5.32 | 41 | |||||||||||||||||||||||||||||||||||
2010 | 7.01 | 0.40 | # | 0.43 | (0.80 | ) | (0.11 | ) | — | 6.93 | 12.25 | 72,741 | 0.53 | 0.53 | 5.60 | 39 | ||||||||||||||||||||||||||||||||||||
2009 | 6.31 | 0.44 | # | 1.04 | (0.76 | ) | (0.02 | ) | — | 7.01 | 25.27 | 67,699 | 0.53 | 0.53 | 6.78 | 41 | ||||||||||||||||||||||||||||||||||||
2008 | 7.95 | 0.47 | # | (1.11 | ) | (0.85 | ) | (0.15 | ) | — | 6.31 | (8.12 | ) | 64,834 | 0.52 | 0.52 | 6.66 | 40 | ||||||||||||||||||||||||||||||||||
2007 | 8.13 | 0.41 | # | 0.23 | (0.69 | ) | (0.13 | ) | — | 7.95 | 8.45 | 75,841 | 0.53 | 0.53 | 5.21 | 101 | ||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 17.08 | $ | 0.41 | # | $ | 0.87 | $ | (0.28 | ) | $ | (0.04 | ) | $ | — | $ | 18.04 | 7.61 | % | $ | 358,842 | 0.75 | % | 0.78 | % | 4.69 | % | 10 | % | |||||||||||||||||||||||
2011 | 16.28 | 0.86 | # | 1.22 | (4) | (0.71 | ) | (0.57 | ) | — | 17.08 | 13.14 | 330,879 | 0.73 | 0.78 | 5.13 | 41 | |||||||||||||||||||||||||||||||||||
2010 | 15.34 | 0.88 | # | 0.94 | (0.77 | ) | (0.11 | ) | — | 16.28 | 12.05 | 337,760 | 0.69 | 0.72 | 5.43 | 39 | ||||||||||||||||||||||||||||||||||||
2009 | 12.97 | 0.91 | # | 2.22 | (0.74 | ) | (0.02 | ) | — | 15.34 | 24.97 | 392,962 | 0.69 | 0.73 | 6.60 | 41 | ||||||||||||||||||||||||||||||||||||
2008 | 15.20 | 0.90 | # | (2.15 | ) | (0.83 | ) | (0.15 | ) | — | 12.97 | (8.28 | ) | 357,073 | 0.69 | 0.71 | 6.45 | 40 | ||||||||||||||||||||||||||||||||||
2007 | 14.81 | 0.74 | # | 0.44 | (0.66 | ) | (0.13 | ) | — | 15.20 | 8.29 | 500,252 | 0.72 | 0.72 | 5.02 | 101 | ||||||||||||||||||||||||||||||||||||
Inflation Protected Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 11.16 | $ | 0.15 | # | $ | 0.23 | $ | (0.13 | ) | $ | (0.12 | ) | $ | — | $ | 11.29 | 3.47 | % | $ | 176,585 | 0.65 | % | 0.67 | % | 2.67 | % | 63 | % | |||||||||||||||||||||||
2011 | 10.43 | 0.29 | # | 0.94 | (4) | (0.31 | ) | (0.19 | ) | — | 11.16 | 12.00 | 163,156 | 0.66 | 0.68 | 2.65 | 114 | |||||||||||||||||||||||||||||||||||
2010 | 10.32 | 0.20 | # | 0.40 | (0.21 | ) | (0.28 | ) | — | 10.43 | 5.82 | 107,825 | 0.65 | 0.66 | 1.90 | 113 | ||||||||||||||||||||||||||||||||||||
2009(5)(6) | 10.00 | 0.19 | # | 0.32 | (0.18 | ) | (0.01 | ) | — | 10.32 | 5.12 | 87,994 | 0.67 | 0.70 | 3.53 | 55 | ||||||||||||||||||||||||||||||||||||
Global Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 9.73 | $ | 0.24 | # | $ | 0.28 | $ | (0.30 | ) | $ | — | $ | — | $ | 9.95 | 5.33 | % | $ | 187,090 | 0.85 | % | 0.87 | % | 4.89 | % | 16 | % | ||||||||||||||||||||||||
2011 | 9.83 | 0.51 | # | (0.09 | )(4) | (0.52 | ) | — | — | 9.73 | 4.35 | 170,167 | 0.86 | 0.88 | 5.09 | 68 | ||||||||||||||||||||||||||||||||||||
2010 | 9.36 | 0.52 | # | 0.51 | (0.56 | ) | — | — | 9.83 | 11.29 | 161,070 | 0.79 | 0.81 | 5.40 | 40 | |||||||||||||||||||||||||||||||||||||
2009 | 7.34 | 0.56 | # | 2.07 | (0.61 | ) | — | — | 9.36 | 37.35 | 221,555 | 0.79 | 0.81 | 6.81 | 96 | |||||||||||||||||||||||||||||||||||||
2008 | 10.14 | 0.64 | # | (2.59 | ) | (0.75 | ) | (0.10 | ) | — | 7.34 | (20.28 | ) | 167,465 | 0.78 | 0.80 | 7.20 | 176 | ||||||||||||||||||||||||||||||||||
2007 | 10.12 | 0.61 | 0.08 | (0.64 | ) | (0.03 | ) | — | 10.14 | 7.00 | 125,333 | 0.79 | 0.80 | 6.07 | 255 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(5) | Inception date was June 26, 2009. |
(6) | Total return and portfolio turnover are not annualized. Ratios are annualized. |
See Notes to Financial Statements.
103
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 51.4% | ||||||||
Consumer Discretionary — 6.3% | ||||||||
Aeropostale, Inc.* | 11,060 | $ | 197,200 | |||||
Amazon.com, Inc.* | 3,800 | 867,730 | ||||||
American Eagle Outfitters, Inc. | 21,010 | 414,527 | ||||||
Arctic Cat, Inc.D* | 4,500 | 164,520 | ||||||
Ascena Retail Group, Inc.* | 7,520 | 140,022 | ||||||
AutoZone, Inc.* | 2,660 | 976,672 | ||||||
Bed Bath & Beyond, Inc.* | 3,000 | 185,400 | ||||||
Big Lots, Inc.* | 3,100 | 126,449 | ||||||
Bravo Brio Restaurant Group, Inc.D* | 5,710 | 101,809 | ||||||
Brunswick Corporation | 5,520 | 122,654 | ||||||
Buckle, Inc. (The)D | 1,000 | 39,570 | ||||||
Career Education Corporation* | 15,100 | 101,019 | ||||||
Carnival CorporationD | 5,100 | 174,777 | ||||||
CBS Corporation Class B | 17,740 | 581,517 | ||||||
Chipotle Mexican Grill, Inc.D* | 1,700 | 645,915 | ||||||
Coach, Inc. | 6,740 | 394,155 | ||||||
Coldwater Creek, Inc.* | 238,940 | 130,461 | ||||||
Costco Wholesale Corporation | 12,800 | 1,216,000 | ||||||
Dollar Thrifty Automotive Group, Inc.D* | 1,140 | 92,294 | ||||||
Dollar Tree, Inc.* | 14,600 | 785,480 | ||||||
eBay, Inc.* | 11,980 | 503,280 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 3,100 | 167,772 | ||||||
Family Dollar Stores, Inc. | 7,560 | 502,589 | ||||||
Fossil, Inc.* | 2,520 | 192,881 | ||||||
Gap, Inc. (The)D | 9,610 | 262,930 | ||||||
Genuine Parts Co. | 9,700 | 584,425 | ||||||
Guess ?, Inc.D | 7,510 | 228,079 | ||||||
Hasbro, Inc.D | 8,241 | 279,123 | ||||||
Hibbett Sports, Inc.D* | 5,750 | 331,833 | ||||||
Home Depot, Inc. (The) | 13,710 | 726,493 | ||||||
Kohl’s Corporation | 3,800 | 172,862 | ||||||
Lennar Corporation Class A | 2,790 | 86,239 | ||||||
Lowe’s Cos., Inc.D | 54,500 | 1,549,980 | ||||||
McDonald’s Corporation | 10,100 | 894,153 | ||||||
McGraw-Hill Co., Inc. (The) | 5,600 | 252,000 | ||||||
NIKE, Inc. Class B | 2,400 | 210,672 | ||||||
O’Reilly Automotive, Inc.D* | 1,600 | 134,032 | ||||||
Panera Bread Co. Class AD* | 3,900 | 543,816 | ||||||
PetSmart, Inc.D | 3,900 | 265,902 | ||||||
Polaris Industries, Inc. | 1,360 | 97,213 | ||||||
RadioShack CorporationD | 36,700 | 140,928 | ||||||
Ralph Lauren Corporation | 1,845 | 258,411 | ||||||
Ross Stores, Inc. | 3,100 | 193,657 | ||||||
Scripps Networks Interactive, Inc. Class A | 2,300 | 130,778 | ||||||
Stamps.com, Inc.D* | 6,750 | 166,522 | ||||||
Starbucks Corporation | 10,820 | 576,922 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 17,290 | 917,062 | ||||||
Target Corporation | 19,480 | 1,133,541 | ||||||
Teavana Holdings, Inc.* | 4,330 | 58,585 | ||||||
Tempur-Pedic International, Inc.D* | 7,890 | 184,547 | ||||||
TJX Cos., Inc. | 2,200 | 94,446 | ||||||
Tupperware Brands Corporation | 2,400 | 131,424 | ||||||
Vitamin Shoppe, Inc.D* | 2,090 | 114,804 | ||||||
Wal-Mart Stores, Inc. | 23,000 | 1,603,560 | ||||||
Whirlpool CorporationD | 10,093 | 617,288 | ||||||
Yum! Brands, Inc.D | 15,830 | 1,019,769 | ||||||
|
| |||||||
22,786,689 | ||||||||
|
|
Shares | Value | |||||||
Consumer Staples — 5.1% | ||||||||
Campbell Soup Co.D | 9,700 | 323,786 | ||||||
Church & Dwight Co., Inc.D | 22,310 | 1,237,536 | ||||||
Clorox Co. (The)D | 7,900 | 572,434 | ||||||
Coca-Cola Co. (The) | 11,500 | 899,185 | ||||||
Colgate-Palmolive Co. | 11,100 | 1,155,510 | ||||||
Crumbs Bake Shop, Inc.D* | 13,390 | 29,458 | ||||||
CVS Caremark Corporation | 6,400 | 299,072 | ||||||
Dr. Pepper Snapple Group, Inc.D | 18,050 | 789,687 | ||||||
General Mills, Inc. | 9,300 | 358,422 | ||||||
GNC Holdings, Inc. Class AD | 4,230 | 165,816 | ||||||
H.J. Heinz Co. | 9,900 | 538,362 | ||||||
Hershey Co. (The) | 9,950 | 716,698 | ||||||
Hormel Foods CorporationD | 6,800 | 206,856 | ||||||
Kellogg Co. | 12,400 | 611,692 | ||||||
Kimberly-Clark CorporationD | 15,100 | 1,264,927 | ||||||
Kraft Foods, Inc. Class A | 1,100 | 42,482 | ||||||
Kroger Co. (The) | 36,700 | 851,073 | ||||||
McCormick & Co., Inc.D | 10,100 | 612,565 | ||||||
Monster Beverage Corporation* | 3,300 | 234,960 | ||||||
PepsiCo, Inc. | 16,370 | 1,156,704 | ||||||
Procter & Gamble Co. (The) | 75,800 | 4,642,750 | ||||||
Safeway, Inc.D | 4,000 | 72,600 | ||||||
Sanderson Farms, Inc. | 1,570 | 71,937 | ||||||
Sysco CorporationD | 14,000 | 417,340 | ||||||
Walgreen Co. | 7,400 | 218,892 | ||||||
Whole Foods Market, Inc. | 8,400 | 800,688 | ||||||
|
| |||||||
18,291,432 | ||||||||
|
| |||||||
Energy — 3.4% | ||||||||
Anadarko Petroleum | ||||||||
Corporation | 9,830 | 650,746 | ||||||
Cabot Oil & Gas CorporationD | 5,200 | 204,880 | ||||||
Chevron Corporation | 15,500 | 1,635,250 | ||||||
Cobalt International Energy, Inc.* | 9,810 | 230,535 | ||||||
Comstock Resources, Inc.D* | 6,600 | 108,372 | ||||||
Concho Resources, Inc.* | 1,690 | 143,853 | ||||||
Edgen Group, Inc.* | 4,480 | 33,690 | ||||||
EOG Resources, Inc. | 1,490 | 134,264 | ||||||
EQT Corporation | 15,400 | 825,902 | ||||||
Exxon Mobil Corporation | 69,600 | 5,955,672 | ||||||
FMC Technologies, Inc.* | 2,340 | 91,798 | ||||||
Halcon Resources CorporationD* | 1 | 9 | ||||||
Hercules Offshore, Inc.* | 12,870 | 45,560 | ||||||
Kinder Morgan, Inc.D | 11,343 | 365,472 | ||||||
National Oilwell Varco, Inc. | 1,640 | 105,682 | ||||||
Occidental Petroleum | ||||||||
Corporation | 6,810 | 584,094 | ||||||
Peabody Energy Corporation | 3,120 | 76,502 | ||||||
Schlumberger, Ltd. | 7,140 | 463,457 | ||||||
Spectra Energy CorporationD | 8,000 | 232,480 | ||||||
Stone Energy Corporation* | 2,630 | 66,644 | ||||||
Williams Cos., Inc. (The) | 10,000 | 288,200 | ||||||
|
| |||||||
12,243,062 | ||||||||
|
| |||||||
Financial Services — 9.4% | ||||||||
Affiliated Managers Group, Inc.* | 4,510 | 493,620 |
See Notes to Financial Statements.
104
Table of Contents
Shares | Value | |||||||
Allstate Corporation (The)D | 11,000 | $ | 385,990 | |||||
American Express Co. | 8,390 | 488,382 | ||||||
American Tower Corporation REIT | 12,780 | 893,450 | ||||||
Annaly Capital Management, Inc. REITD | 76,500 | 1,283,670 | ||||||
Bank of Hawaii CorporationD | 16,500 | 758,175 | ||||||
BlackRock, Inc. | 590 | 100,194 | ||||||
Brown & Brown, Inc. | 7,000 | 190,890 | ||||||
Camden Property Trust REIT | 2,930 | 198,273 | ||||||
Capitol Federal Financial, Inc.D | 186,900 | 2,220,372 | ||||||
Cardinal Financial CorporationD | 5,590 | 68,645 | ||||||
Cardtronics, Inc.* | 6,190 | 187,000 | ||||||
CBRE Group, Inc. Class A* | 1,100 | 17,996 | ||||||
Chubb Corporation (The) | 42,000 | 3,058,440 | ||||||
City National CorporationD | 2,900 | 140,882 | ||||||
Commerce Bancshares, Inc.D | 41,910 | 1,588,389 | ||||||
Cullen/Frost Bankers, Inc.D | 13,400 | 770,366 | ||||||
Duke Realty Corporation REIT | 3,260 | 47,727 | ||||||
Dun & Bradstreet Corporation (The)D | 5,400 | 384,318 | ||||||
Equifax, Inc. | 10,300 | 479,980 | ||||||
Factset Research Systems, Inc.D | 4,100 | 381,054 | ||||||
Fidelity National Information Services, Inc. | 14,070 | 479,506 | ||||||
First Connecticut Bancorp, Inc. | 6,490 | 87,615 | ||||||
First Niagara Financial Group, Inc. | 7,500 | 57,375 | ||||||
First Republic BankD* | 8,740 | 293,664 | ||||||
Fiserv, Inc.* | 300 | 21,666 | ||||||
Fortegra Financial CorporationD* | 19,390 | 155,120 | ||||||
Hanover Capital Mortgage Holdings, Inc.* | 6,030 | 141,343 | ||||||
IntercontinentalExchange, Inc.* | 3,240 | 440,575 | ||||||
JPMorgan Chase & Co. | 54,456 | 1,945,713 | ||||||
KeyCorp | 38,900 | 301,086 | ||||||
LaSalle Hotel Properties REITD | 5,510 | 160,561 | ||||||
M&T Bank Corporation | 5,900 | 487,163 | ||||||
MarketAxess Holdings, Inc. | 7,620 | 202,997 | ||||||
Marsh & McLennan Cos., Inc. | 70,200 | 2,262,546 | ||||||
Mastercard, Inc. Class A | 400 | 172,044 | ||||||
MetroCorp Bancshares, Inc.D* | 20,920 | 223,216 | ||||||
New York Community Bancorp, Inc.D | 14,400 | 180,432 | ||||||
Northern Trust CorporationD | 74,100 | 3,410,082 | ||||||
Ocwen Financial Corporation* | 19,450 | 365,271 | ||||||
OmniAmerican Bancorp, Inc.D* | 5,160 | 110,579 | ||||||
People’s United Financial, Inc.D | 72,400 | 840,564 | ||||||
Piedmont Office Realty Trust, Inc. REIT | 46,900 | 807,149 | ||||||
PNC Financial Services Group, Inc. | 12,700 | 776,097 | ||||||
ProAssurance Corporation | 4,780 | 425,850 | ||||||
Progressive Corporation (The)D | 4,800 | 99,984 | ||||||
Prologis, Inc. REIT | 2,960 | 98,361 | ||||||
Prudential Financial, Inc. | 6,010 | 291,064 | ||||||
Signature BankD* | 4,460 | 271,926 | ||||||
Summit Hotel Properties, Inc. REITD | 15,890 | 132,999 | ||||||
SunTrust Banks, Inc. | 13,100 | 317,413 | ||||||
T Rowe Price Group, Inc. | 1,900 | 119,624 | ||||||
TD Ameritrade Holding Corporation | 6,030 | 102,510 |
Shares | Value | |||||||
Texas Capital Bancshares, Inc.D* | 4,580 | $ | 184,986 | |||||
Total System Services, Inc. | 2,100 | 50,253 | ||||||
Travelers Cos., Inc. (The) | 10,310 | 658,190 | ||||||
US Bancorp | 73,400 | 2,015,428 | ||||||
Visa, Inc. Class A | 2,890 | 357,291 | ||||||
W.R. Berkley CorporationD | 11,400 | 443,688 | ||||||
West Coast BancorpD* | 8,070 | 158,576 | ||||||
|
| |||||||
33,788,320 | ||||||||
|
| |||||||
Healthcare — 9.2% | ||||||||
Abbott Laboratories | 14,830 | 956,090 | ||||||
ABIOMED, Inc.* | 2,030 | 46,326 | ||||||
Acadia Healthcare Co., Inc.D* | 7,560 | 132,602 | ||||||
Aetna, Inc. | 1,000 | 38,770 | ||||||
Air Methods CorporationD* | 1,070 | 105,127 | ||||||
Akorn, Inc.D* | 11,550 | 182,144 | ||||||
Alexion Pharmaceuticals, Inc.D* | 3,480 | 345,564 | ||||||
Allergan, Inc. | 4,340 | 401,754 | ||||||
AmerisourceBergen CorporationD | 22,470 | 884,194 | ||||||
Amgen, Inc. | 10,600 | 774,224 | ||||||
Amicus Therapeutics, Inc.* | 5,990 | 32,945 | ||||||
Analogic Corporation | 2,580 | 159,960 | ||||||
Ariad Pharmaceuticals, Inc.D* | 4,240 | 72,970 | ||||||
ArthroCare CorporationD* | 10,730 | 314,174 | ||||||
Baxter International, Inc. | 9,750 | 518,212 | ||||||
Becton, Dickinson and Co. | 7,300 | 545,675 | ||||||
Biogen Idec, Inc.* | 10,260 | 1,481,339 | ||||||
Bristol-Myers Squibb Co. | 49,180 | 1,768,021 | ||||||
C.R. Bard, Inc. | 6,700 | 719,848 | ||||||
Cardinal Health, Inc. | 6,600 | 277,200 | ||||||
Catalyst Health Solutions, Inc.* | 1,880 | 175,667 | ||||||
Celgene Corporation* | 7,500 | 481,200 | ||||||
Cepheid, Inc.D* | 1,570 | 70,258 | ||||||
Cerner Corporation* | 6,720 | 555,475 | ||||||
Cigna Corporation | 1,090 | 47,960 | ||||||
Cubist Pharmaceuticals, Inc.D* | 2,490 | 94,396 | ||||||
Cyberonics, Inc.D* | 2,010 | 90,329 | ||||||
DaVita, Inc.* | 100 | 9,821 | ||||||
Edwards Lifesciences Corporation* | 1,100 | 113,630 | ||||||
Eli Lilly & Co.D | 44,700 | 1,918,077 | ||||||
Express Scripts Holding Co.* | 7,640 | 426,541 | ||||||
Forest Laboratories, Inc.* | 3,000 | 104,970 | ||||||
Gilead Sciences, Inc.* | 8,100 | 415,368 | ||||||
HCA Holdings, Inc.* | 3,730 | 113,504 | ||||||
Health Management Associates, Inc. Class A* | 7,780 | 61,073 | ||||||
Health Net, Inc.* | 2,900 | 70,383 | ||||||
Healthsouth Corporation* | 3,380 | 78,619 | ||||||
Henry Schein, Inc.* | 2,400 | 188,376 | ||||||
Humana, Inc. | 600 | 46,464 | ||||||
IDEXX Laboratories, Inc.D* | 2,700 | 259,551 | ||||||
Incyte Corporation, Ltd.D* | 850 | 19,295 | ||||||
Intuitive Surgical, Inc.* | 740 | 409,805 | ||||||
Johnson & JohnsonD | 85,000 | 5,742,600 | ||||||
Laboratory Corporation of America Holdings* | 8,500 | 787,185 | ||||||
MAKO Surgical Corporation* | 2,870 | 73,501 | ||||||
McKesson Corporation | 7,400 | 693,750 | ||||||
Medicis Pharmaceutical Corporation Class AD | 500 | 17,075 | ||||||
Medivation, Inc.D* | 730 | 66,722 |
See Notes to Financial Statements.
105
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND |
SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
Merck & Co., Inc. | 67,470 | $ | 2,816,872 | |||||
Metropolitan Health Networks, Inc.D* | 15,270 | 146,134 | ||||||
Myriad Genetics, Inc.* | 15,300 | 363,681 | ||||||
OncoGenex Pharmaceutical, Inc.D* | 2,770 | 37,229 | ||||||
Onyx Pharmaceuticals, Inc.* | 1,660 | 110,307 | ||||||
Optimer Pharmaceuticals, Inc.D* | 3,130 | 48,578 | ||||||
Patterson Cos., Inc. | 13,400 | 461,898 | ||||||
Perrigo Co.D | 900 | 106,137 | ||||||
Pfizer, Inc.D | 125,370 | 2,883,510 | ||||||
PSS World Medical, Inc.D* | 10,990 | 230,680 | ||||||
Quest Diagnostics, Inc. | 1,900 | 113,810 | ||||||
Questcor Pharmaceuticals, Inc.D* | 5,360 | 285,366 | ||||||
Regeneron Pharmaceuticals, Inc.* | 420 | 47,972 | ||||||
Santarus, Inc.D* | 15,330 | 108,690 | ||||||
Spectrum Pharmaceuticals, Inc.D* | 23,530 | 366,127 | ||||||
Stryker Corporation | 5,650 | 311,315 | ||||||
SXC Health Solutions Corporation* | 870 | 86,313 | ||||||
Synageva Biopharma Corporation* | 720 | 29,203 | ||||||
United Therapeutics Corporation* | 1,900 | 93,822 | ||||||
UnitedHealth Group, Inc. | 13,200 | 772,200 | ||||||
Universal Health Services, Inc. Class B | 2,260 | 97,542 | ||||||
WellCare Health Plans, Inc.* | 3,030 | 160,590 | ||||||
WellPoint, Inc. | 700 | 44,653 | ||||||
Zimmer Holdings, Inc. | 4,000 | 257,440 | ||||||
|
| |||||||
32,868,803 | ||||||||
|
| |||||||
Materials & Processing — 1.4% | ||||||||
Air Products & | ||||||||
Chemicals, Inc. | 18,400 | 1,485,432 | ||||||
CF Industries Holdings, Inc.D | 540 | 104,620 | ||||||
Crown Holdings, Inc.* | 11,170 | 385,253 | ||||||
E.I. du Pont de Nemours & Co. | 14,900 | 753,493 | ||||||
Eastman Chemical Co. | 5,860 | 295,168 | ||||||
Fastenal Co. | 4,800 | 193,488 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 3,400 | 115,838 | ||||||
Monsanto Co. | 3,890 | 322,014 | ||||||
Newmont Mining Corporation | 11,800 | 572,418 | ||||||
Nucor Corporation | 2,690 | 101,951 | ||||||
Olin Corporation | 6,200 | 129,518 | ||||||
PPG Industries, Inc. | 2,190 | 232,403 | ||||||
Sherwin-Williams Co. (The)D | 2,500 | 330,875 | ||||||
|
| |||||||
5,022,471 | ||||||||
|
| |||||||
Producer Durables — 4.7% | ||||||||
3M Co. | 4,200 | 376,320 | ||||||
Agilent Technologies, Inc. | 5,800 | 227,592 | ||||||
Automatic Data Processing, Inc. | 19,300 | 1,074,238 | ||||||
BE Aerospace, Inc.D* | 7,550 | 329,633 | ||||||
Boeing Co. (The) | 4,280 | 318,004 | ||||||
C.H. Robinson Worldwide, Inc. | 5,100 | 298,503 | ||||||
Caterpillar, Inc. | 1,245 | 105,713 | ||||||
Chart Industries, Inc.* | 2,170 | 149,209 | ||||||
Clean Harbors, Inc.D* | 8,410 | 474,492 |
Shares | Value | |||||||
Delta Air Lines, Inc.* | 16,540 | $ | 181,113 | |||||
Emerson Electric Co. | 6,400 | 298,112 | ||||||
General Dynamics Corporation | 2,700 | 178,092 | ||||||
General Electric Co. | 5,200 | 108,368 | ||||||
Honeywell International, Inc. | 3,010 | 168,078 | ||||||
Hub Group, Inc. Class AD* | 1,860 | 67,332 | �� | |||||
Huron Consulting Group, Inc.D* | 11,640 | 368,406 | ||||||
JB Hunt Transport Services, Inc. | 3,250 | 193,700 | ||||||
Joy Global, Inc. | 2,830 | 160,546 | ||||||
Knight Transportation, Inc.D | 9,400 | 150,306 | ||||||
Lockheed Martin CorporationD | 5,200 | 452,816 | ||||||
Mettler Toledo International, Inc.D* | 200 | 31,170 | ||||||
Middleby CorporationD* | 1,700 | 169,337 | ||||||
Molex, Inc. | 102,000 | 2,063,460 | ||||||
MSC Industrial Direct Co., Inc. Class A | 1,100 | 72,105 | ||||||
Northrop Grumman Corporation | 1,400 | 89,306 | ||||||
OSI Systems, Inc.* | 4,550 | 288,197 | ||||||
Paychex, Inc. | 14,700 | 461,727 | ||||||
Raytheon Co. | 18,000 | 1,018,620 | ||||||
Republic Services, Inc.D | 59,200 | 1,566,432 | ||||||
Rockwell Automation, Inc. | 3,200 | 211,392 | ||||||
SPX Corporation | 4,170 | 272,384 | ||||||
Stericycle, Inc.D* | 7,800 | 715,026 | ||||||
Titan International, Inc.D | 2,620 | 64,269 | ||||||
Trimble Navigation, Ltd.* | 3,140 | 144,471 | ||||||
Union Pacific Corporation | 100 | 11,931 | ||||||
United Parcel Service, Inc. Class B | 9,000 | 708,840 | ||||||
United Technologies Corporation | 800 | 60,424 | ||||||
Waste Management, Inc.D | 97,200 | 3,246,480 | ||||||
Werner Enterprises, Inc.D | 1,700 | 40,613 | ||||||
|
| |||||||
16,916,757 | ||||||||
|
| |||||||
Technology — 3.9% | ||||||||
Altera Corporation | 9,190 | 310,990 | ||||||
Analog Devices, Inc. | 9,300 | 350,331 | ||||||
ANSYS, Inc.* | 1,920 | 121,171 | ||||||
Apple, Inc.* | 1,430 | 835,120 | ||||||
Applied Materials, Inc. | 127,500 | 1,461,150 | ||||||
Broadcom Corporation Class A* | 17,520 | 592,176 | ||||||
Cirrus Logic, Inc.* | 4,470 | 133,564 | ||||||
Cisco Systems, Inc. | 29,700 | 509,949 | ||||||
Citrix Systems, Inc.* | 4,070 | 341,636 | ||||||
Corning, Inc. | 24,100 | 311,613 | ||||||
Digimarc Corporation | 9,270 | 237,868 | ||||||
Electronic Arts, Inc.* | 12,420 | 153,387 | ||||||
EMC Corporation* | 6,770 | 173,515 | ||||||
F5 Networks, Inc.* | 700 | 69,692 | ||||||
Facebook, Inc.D* | 2,410 | 74,999 | ||||||
Fortinet, Inc.* | 7,920 | 183,903 | ||||||
Google, Inc. Class A* | 1,905 | 1,105,033 | ||||||
GSI Group, Inc.D* | 16,700 | 191,382 | ||||||
IAC/InterActiveCorp | 12,100 | 551,760 | ||||||
Intel Corporation | 21,200 | 564,980 | ||||||
International Business Machines Corporation | 5,300 | 1,036,574 | ||||||
Intuit, Inc. | 8,600 | 510,410 | ||||||
Jabil Circuit, Inc. | 3,200 | 65,056 | ||||||
Juniper Networks, Inc.* | 10,320 | 168,319 |
See Notes to Financial Statements.
106
Table of Contents
Shares | Value | |||||||
Kenexa Corporation* | 2,230 | $ | 64,737 | |||||
Linear Technology CorporationD | 11,400 | 357,162 | ||||||
Manhattan Associates, Inc.* | 1,440 | 65,822 | ||||||
Maxim Integrated Products, Inc. | 8,900 | 228,196 | ||||||
MEMC Electronic Materials, Inc.D* | 60,500 | 131,285 | ||||||
Microsoft Corporation | 27,800 | 850,402 | ||||||
NETGEAR, Inc.* | 3,030 | 104,565 | ||||||
ON Semiconductor Corporation* | 19,360 | 137,456 | ||||||
Power Intergrations, Inc. | 1,820 | 67,886 | ||||||
Red Hat, Inc.* | 200 | 11,296 | ||||||
Remark Media, Inc.* | 13,030 | 44,302 | ||||||
Riverbed Technology, Inc.* | 9,300 | 150,195 | ||||||
Silicon Laboratories, Inc.* | 8,400 | 318,360 | ||||||
Synopsys, Inc.* | 8,600 | 253,098 | ||||||
Tech Data Corporation* | 1,100 | 52,987 | ||||||
Teradata Corporation* | 3,500 | 252,035 | ||||||
Texas Instruments, Inc. | 2,300 | 65,987 | ||||||
TIBCO Software, Inc.* | 4,310 | 128,955 | ||||||
Ubiquiti Networks, Inc.D* | 6,150 | 87,638 | ||||||
VeriSign, Inc.D* | 3,300 | 143,781 | ||||||
VMware, Inc.* | 1,210 | 110,159 | ||||||
Xilinx, Inc.D | 10,100 | 339,057 | ||||||
|
| |||||||
14,019,939 | ||||||||
|
| |||||||
Utilities — 8.0% | ||||||||
AES Corporation (The)* | 3,870 | 49,652 | ||||||
AGL Resources, Inc.D | 52,956 | 2,052,045 | ||||||
American Electric Power Co., Inc. | 11,600 | 462,840 | ||||||
American Water Works Co., Inc. | 15,600 | 534,768 | ||||||
AT&T, Inc. | 104,600 | 3,730,036 | ||||||
CenterPoint Energy, Inc. | 10,800 | 223,236 | ||||||
CenturyLink, Inc.D | 49,100 | 1,938,959 | ||||||
Consolidated Edison, Inc.D | 44,200 | 2,748,798 | ||||||
Dominion Resources, Inc. | 21,000 | 1,134,000 | ||||||
DTE Energy Co. | 4,600 | 272,918 | ||||||
Duke Energy Corporation | 2,400 | 55,344 | ||||||
Entergy Corporation | 3,600 | 244,404 | ||||||
Exelon Corporation | 5,400 | 203,148 | ||||||
NextEra Energy, Inc. | 4,100 | 282,121 | ||||||
NiSource, Inc.D | 5,100 | 126,225 | ||||||
NV Energy, Inc. | 61,900 | 1,088,202 | ||||||
ONEOK, Inc. | 8,700 | 368,097 | ||||||
PG&E Corporation | 56,500 | 2,557,755 | ||||||
Piedmont Natural Gas Co., Inc. | 53,210 | 1,712,830 | ||||||
Pinnacle West Capital Corporation | 6,100 | 315,614 | ||||||
Public Service Enterprise Group, Inc. | 13,200 | 429,000 | ||||||
Questar Corporation | 26,600 | 554,876 | ||||||
Sempra Energy | 16,600 | 1,143,408 | ||||||
Southern Co. (The)D | 22,200 | 1,027,860 | ||||||
tw telecom, Inc.D* | 9,300 | 238,638 | ||||||
UGI Corporation | 11,600 | 341,388 | ||||||
Verizon Communications, Inc. | 25,900 | 1,150,996 | ||||||
WGL Holdings, Inc.D | 81,900 | 3,255,525 | ||||||
Wisconsin Energy CorporationD |
| 2,600 |
| 102,882 | ||||
Xcel Energy, Inc.D | 8,500 | 241,485 | ||||||
|
| |||||||
28,587,050 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $171,317,003) | 184,524,523 | |||||||
|
|
Shares | Value | |||||||
EQUITY LINKED SECURITIES — 0.7% |
| |||||||
Credit Suisse New York NY | 20,500 | $ | 1,298,903 | |||||
Goldman Sachs Group, Inc. @ | 9,200 | 611,929 | ||||||
UBS AG | 48,536 | 614,174 | ||||||
Total Equity Linked Securities | ||||||||
|
| |||||||
(Cost $2,566,934) | 2,525,006 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 4.9% |
| |||||||
Australia — 0.0% | ||||||||
Whitehaven Coal, Ltd.* | 4,680 | 20,120 | ||||||
|
| |||||||
Bermuda — 0.4% | ||||||||
Alterra Capital | ||||||||
Holdings, Ltd.D | 5,890 | 137,532 | ||||||
American Safety Insurance | ||||||||
Holdings, Ltd.D* | 10,440 | 195,750 | ||||||
Everest Re Group, Ltd. | 8,800 | 910,712 | ||||||
Invesco, Ltd. | 7,160 | 161,816 | ||||||
|
| |||||||
1,405,810 | ||||||||
|
| |||||||
Canada — 0.3% | ||||||||
Agnico-Eagle Mines, Ltd. | 2,570 | 103,982 | ||||||
AuRico Gold, Inc.D* | 7,870 | 63,039 | ||||||
Bellatrix Exploration, Ltd.* | 9,590 | 29,860 | ||||||
Cameco CorporationD | 6,000 | 131,700 | ||||||
CGX Energy, Inc.* | 48,455 | 23,321 | ||||||
Enbridge, Inc. | 4,320 | 172,454 | ||||||
Epsilon Energy, Ltd.D* | 21,860 | 42,299 | ||||||
Niko Resources, Ltd. | 5,250 | 69,202 | ||||||
QLT, Inc.D* | 4,130 | 31,471 | ||||||
Silvercrest Mines, Inc.* | 16,323 | 27,897 | ||||||
Trioil Resources, Ltd.* | 15,950 | 21,776 | ||||||
Yamana Gold, Inc. | 17,380 | 267,652 | ||||||
YM Biosciences, Inc.* | 3,720 | 7,366 | ||||||
|
| |||||||
992,019 | ||||||||
|
| |||||||
Cayman Islands — 0.0% | ||||||||
Herbalife, Ltd. | 1,580 | 76,361 | ||||||
|
| |||||||
China — 0.0% | ||||||||
China Petroleum & Chemical | ||||||||
Corporation Class H | 199,440 | 176,870 | ||||||
|
| |||||||
France — 0.5% | ||||||||
Total SA | 36,500 | 1,642,829 | ||||||
|
| |||||||
Germany — 0.2% | ||||||||
Siemens AG | 8,200 | 689,024 | ||||||
|
| |||||||
Guernsey — 0.0% | ||||||||
Chariot Oil & Gas, Ltd.* | 17,500 | 28,186 | ||||||
|
| |||||||
Hong Kong — 0.1% | ||||||||
AIA Group, Ltd. | 56,616 | 195,555 | ||||||
|
| |||||||
Ireland — 0.2% | ||||||||
Accenture PLC, Class A | 8,900 | 534,801 | ||||||
Covidien PLC | 1,910 | 102,185 | ||||||
Elan Corporation PLCD* | 5,520 | 80,537 | ||||||
Jazz Pharmaceuticals PLCD* | 2,800 | 126,028 | ||||||
|
| |||||||
843,551 | ||||||||
|
| |||||||
Japan — 0.4% | ||||||||
Astellas Pharma, Inc. | 2,930 | 127,861 | ||||||
Honda Motor Co., Ltd. | 13,800 | 481,559 | ||||||
Honda Motor Co., Ltd. ADRD | 18,480 | 640,517 | ||||||
Ono Pharmaceutical Co., Ltd. | 860 | 54,042 | ||||||
|
| |||||||
1,303,979 | ||||||||
|
|
See Notes to Financial Statements.
107
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
Luxembourg — 0.1% | ||||||||
Flagstone Reinsurance | ||||||||
Holdings SAD | 31,180 | $ | 249,752 | |||||
Pacific Drilling SAD* | 9,130 | 77,696 | ||||||
|
| |||||||
327,448 | ||||||||
|
| |||||||
Mexico — 0.0% | ||||||||
Compartamos SAB de CV | 118,570 | 138,750 | ||||||
|
| |||||||
Netherlands — 0.7% | ||||||||
Koninklijke Philips Electronics NV | — | 9 | ||||||
Royal Dutch Shell PLC Class A | 67,300 | 2,271,426 | ||||||
Ziggo NV | 2,950 | 94,021 | ||||||
|
| |||||||
2,365,456 | ||||||||
|
| |||||||
Philippines — 0.1% | ||||||||
Metropolitan Bank & Trust | 106,410 | 234,859 | ||||||
|
| |||||||
Puerto Rico — 0.0% | ||||||||
Oriental Financial Group, Inc. | 9,880 | 109,470 | ||||||
|
| |||||||
South Korea — 0.0% | ||||||||
Korea Electric Power Corporation ADR* | 9,230 | 103,191 | ||||||
|
| |||||||
Switzerland — 0.9% | ||||||||
ABB, Ltd. ADRD | 14,300 | 233,376 | ||||||
ACE, Ltd. | 4,800 | 355,824 | ||||||
Transocean, Ltd.* | 12,850 | 574,780 | ||||||
Tyco International, Ltd. | 40,400 | 2,135,140 | ||||||
|
| |||||||
3,299,120 | ||||||||
|
| |||||||
United Kingdom — 1.0% | ||||||||
Aon PLC | 4,700 | 219,866 | ||||||
BHP Billiton PLC | 6,690 | 190,146 | ||||||
BP PLC | 72,100 | 481,497 | ||||||
Ophir Energy PLC* | 16,494 | 149,724 | ||||||
Rockhopper Exploration PLC* | 13,979 | 56,474 | ||||||
Rowan Cos. PLC* | 10,480 | 338,818 | ||||||
Vodafone Group PLC | 587,100 | 1,650,190 | ||||||
Vodafone Group PLC ADR | 18,500 | 521,330 | ||||||
|
| |||||||
3,608,045 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $17,083,686) | 17,560,643 | |||||||
|
| |||||||
EXCHANGE TRADED NOTE — 0.0% |
| |||||||
iPath S&P 500 VIX Short-Term Futures ETND* (Cost $39,625) | 2,370 | 36,048 | ||||||
|
| |||||||
PREFERRED STOCKS — 3.8% | ||||||||
Apache CorporationD* | 2,400 | 120,576 | ||||||
Bank of America Corporation* | 200 | 195,000 | ||||||
Health Care REIT, Inc.* | 28,500 | 1,539,000 | ||||||
Lucent Technologies Capital Trust I | 1,600 | 1,080,000 | ||||||
MetLife, Inc.* | 4,800 | 296,976 | ||||||
National City Capital Trust IVD* | 53,900 | 1,359,897 | ||||||
Stanley Black & Decker, Inc.* | 27,500 | 3,217,775 | ||||||
United Technologies Corporation* | 2,144 | 112,967 | ||||||
Wells Fargo & Co.* | 5,000 | 5,625,000 | ||||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Cost $13,418,022) | 13,547,191 | |||||||
|
|
Shares | Value | |||||||
RIGHT/WARRANT — 0.0% | ||||||||
Kinder Morgan, Inc.* | 8,672 | $ | 18,732 | |||||
|
| |||||||
MASTER LIMITED PARTNERSHIPS — 0.7% |
| |||||||
El Paso Pipeline Partners LP | 29,600 | 1,000,480 | ||||||
Spectra Energy Partners LP | 54,100 | 1,646,263 | ||||||
|
| |||||||
Total Master Limited Partnerships |
| |||||||
(Cost $2,675,661) | 2,646,743 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 23.1% |
| |||||||
GuideStone Money Market | ||||||||
Fund (GS4 Class)¥ | 25,361,993 | 25,361,993 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 57,575,888 | 57,575,888 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $82,937,881) | 82,937,881 | |||||||
|
| |||||||
Par | ||||||||
CORPORATE BONDS — 24.1% |
| |||||||
Advanced Micro Devices, Inc. | ||||||||
6.00%, 05/01/15D | $ | 1,850,000 | 1,875,438 | |||||
Affiliated Managers Group, Inc. | ||||||||
3.95%, 08/15/38 | 1,500,000 | 1,625,625 | ||||||
Alere, Inc. | ||||||||
3.00%, 05/15/16D | 1,200,000 | 1,083,000 | ||||||
Alliant Techsystems, Inc. | ||||||||
3.00%, 08/15/24D | 350,000 | 352,188 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
7.88%, 03/01/17 | 350,000 | 362,250 | ||||||
AmeriGas Finance LLC | ||||||||
6.75%, 05/20/20D | 300,000 | 306,750 | ||||||
Amgen, Inc. | ||||||||
0.38%, 02/01/13D | 1,000,000 | 1,045,000 | ||||||
ARAMARK Corporation | ||||||||
8.50%, 02/01/15 | 500,000 | 512,505 | ||||||
ArcelorMittal | ||||||||
5.00%, 05/15/14 | 500,000 | 515,000 | ||||||
Archer-Daniels-Midland Co. | ||||||||
0.88%, 02/15/14 | 1,000,000 | 1,010,000 | ||||||
Arris Group, Inc. | ||||||||
2.00%, 11/15/26 | 1,250,000 | 1,335,937 | ||||||
Avis Budget Group, Inc. | ||||||||
3.50%, 10/01/14 | 1,400,000 | 1,753,500 | ||||||
Bill Barrett Corporation | ||||||||
5.00%, 03/15/28 | 1,500,000 | 1,507,500 | ||||||
Boston Properties LP | ||||||||
3.63%, 02/15/14 144A | 900,000 | 981,000 | ||||||
Bristow Group, Inc. | ||||||||
3.00%, 06/15/38 | 1,500,000 | 1,518,750 | ||||||
CenturyLink, Inc. | ||||||||
5.80%, 03/15/22 | 200,000 | 199,466 | ||||||
Charles River Laboratories | ||||||||
International, Inc. | ||||||||
2.25%, 06/15/13 | 1,500,000 | 1,507,500 | ||||||
Chesapeake Energy Corporation | ||||||||
2.50%, 05/15/37D | 2,000,000 | 1,722,500 | ||||||
CIT Group, Inc. | ||||||||
5.00%, 05/15/17 | 240,000 | 247,350 | ||||||
5.25%, 03/15/18D | 400,000 | 413,500 | ||||||
Covanta Holding Corporation | ||||||||
3.25%, 06/01/14 | 850,000 | 1,001,937 |
See Notes to Financial Statements.
108
Table of Contents
Par | Value | |||||||
DaVita, Inc. | ||||||||
6.63%, 11/01/20 | $ | 500,000 | $ | 523,750 | ||||
Electronic Arts, Inc. | ||||||||
0.75%, 07/15/16 144A | 1,350,000 | 1,188,000 | ||||||
Euronet Worldwide, Inc. | ||||||||
3.50%, 10/15/25D | 1,000,000 | 1,010,000 | ||||||
Exterran Holdings, Inc. | ||||||||
4.25%, 06/15/14 | 1,900,000 | 1,845,375 | ||||||
Frontier Communications Corporation | ||||||||
8.50%, 04/15/20D | 450,000 | 479,250 | ||||||
General Cable Corporation | ||||||||
0.88%, 11/15/13 | 1,600,000 | 1,530,000 | ||||||
Gilead Sciences, Inc. | ||||||||
1.00%, 05/01/14D | 925,000 | 1,153,938 | ||||||
Goodrich Petroleum Corporation | ||||||||
5.00%, 10/01/29D | 2,000,000 | 1,872,500 | ||||||
Goodyear Tire & Rubber Co. | ||||||||
7.00%, 05/15/22D | 225,000 | 225,844 | ||||||
Griffon Corporation | ||||||||
4.00%, 01/15/17 144A | 350,000 | 327,687 | ||||||
Group 1 Automotive, Inc. | ||||||||
2.25%, 06/15/36 STEP | 1,400,000 | 1,449,000 | ||||||
Hanesbrands, Inc. | ||||||||
6.38%, 12/15/20D | 500,000 | 528,750 | ||||||
Health Care REIT, Inc. | ||||||||
3.00%, 12/01/29 | 1,000,000 | 1,188,750 | ||||||
Helix Energy Solutions Group, Inc. | ||||||||
3.25%, 12/15/25D | 1,250,000 | 1,256,250 | ||||||
Hercules Offshore, Inc. | ||||||||
3.38%, 06/01/38 STEP | 700,000 | 696,500 | ||||||
Hologic, Inc. | ||||||||
2.00%, 12/15/37 STEPD | 1,009,000 | 991,342 | ||||||
2.00%, 03/01/42 STEPD | 1,650,000 | 1,536,563 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
1.63%, 11/15/26 STEPD | 1,500,000 | 1,578,750 | ||||||
Host Hotels & Resorts LP | ||||||||
3.25%, 04/15/24 144A@D | 2,876,000 | 3,170,790 | ||||||
Iconix Brand Group, Inc. | ||||||||
2.50%, 06/01/16 144A | 1,500,000 | 1,453,125 | ||||||
Illumina, Inc. | ||||||||
0.25%, 03/15/16 144A | 1,300,000 | 1,166,750 | ||||||
Integra Lifesciences Holdings Corporation | ||||||||
1.63%, 12/15/16D | 975,000 | 939,656 | ||||||
Intel Corporation | ||||||||
2.95%, 12/15/35D | 101,000 | 114,761 | ||||||
Janus Capital Group, Inc. | ||||||||
3.25%, 07/15/14D | 1,465,000 | 1,499,794 | ||||||
Jarden Corporation | ||||||||
7.50%, 05/01/17D | 500,000 | 562,500 | ||||||
L-3 Communications Holdings, Inc. | ||||||||
3.00%, 08/01/35D | 1,568,000 | 1,536,640 | ||||||
Leap Wireless International, Inc. | ||||||||
4.50%, 07/15/14D | 2,150,000 | 2,050,562 | ||||||
Lennar Corporation | ||||||||
2.00%, 12/01/20 144A | 1,600,000 | 2,016,000 | ||||||
Liberty Interactive LLC | ||||||||
3.13%, 03/30/23 | 750,000 | 919,688 |
Par | Value | |||||||
LifePoint Hospitals, Inc. | ||||||||
3.50%, 05/15/14 | $ | 3,890,000 | $ | 4,176,888 | ||||
Limited Brands, Inc. | ||||||||
5.63%, 02/15/22D | 200,000 | 207,000 | ||||||
Lincare Holdings, Inc. | ||||||||
2.75%, 11/01/37 | 251,000 | 300,886 | ||||||
Linear Technology Corporation | ||||||||
3.00%, 05/01/27D | 1,250,000 | 1,296,875 | ||||||
Live Nation Entertainment, Inc. | ||||||||
2.88%, 07/15/27 | 1,000,000 | 957,500 | ||||||
Mediacom LLC | ||||||||
7.25%, 02/15/22D | 350,000 | 357,875 | ||||||
Medtronic, Inc. | ||||||||
1.63%, 04/15/13 | 1,589,000 | 1,600,918 | ||||||
Meritor, Inc. | ||||||||
4.63%, 03/01/26 STEPD | 1,300,000 | 1,135,875 | ||||||
Microchip Technology, Inc. | ||||||||
2.13%, 12/15/37 | 121,000 | 151,552 | ||||||
Micron Technology, Inc. | ||||||||
1.88%, 06/01/14 | 1,250,000 | 1,231,250 | ||||||
Navistar International Corporation | ||||||||
3.00%, 10/15/14D | 375,000 | 351,562 | ||||||
NBTY, Inc. | ||||||||
9.00%, 10/01/18D | 500,000 | 555,000 | ||||||
NuVasive, Inc. | ||||||||
2.75%, 07/01/17D | 1,100,000 | 1,090,375 | ||||||
Omnicare, Inc. | ||||||||
3.25%, 12/15/35 | 1,350,000 | 1,290,938 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
3.00%, 06/01/15 144A | 1,800,000 | 1,728,000 | ||||||
Peabody Energy Corporation | ||||||||
4.75%, 12/15/41 | 521,000 | 425,266 | ||||||
Prologis LP | ||||||||
3.25%, 03/15/15 | 1,250,000 | 1,379,688 | ||||||
Rayonier TRS Holdings, Inc. | ||||||||
3.75%, 10/15/12 | 302,000 | 378,255 | ||||||
Reynolds Group Issuer LLC | ||||||||
9.88%, 08/15/19 144AD | 250,000 | 259,688 | ||||||
Rovi Corporation | ||||||||
2.63%, 02/15/40D | 1,400,000 | 1,354,500 | ||||||
Sally Holdings LLC | ||||||||
5.75%, 06/01/22D | 200,000 | 210,250 | ||||||
SanDisk Corporation | ||||||||
1.00%, 05/15/13 | 1,100,000 | 1,089,000 | ||||||
SBA Communications Corporation | ||||||||
1.88%, 05/01/13 | 700,000 | 973,000 | ||||||
Terex Corporation | ||||||||
6.50%, 04/01/20 | 250,000 | 253,750 | ||||||
Teva Pharmaceutical Finance Co. LLC | ||||||||
0.25%, 02/01/26 | 1,000,000 | 1,047,500 | ||||||
Trinity Industries, Inc. | ||||||||
3.88%, 06/01/36D | 2,000,000 | 1,982,500 | ||||||
tw telecom, Inc. | ||||||||
2.38%, 04/01/26 | 2,134,000 | 3,003,605 | ||||||
WebMD Health Corporation | ||||||||
2.50%, 01/31/18 | 1,700,000 | 1,436,500 | ||||||
Xm Satellite Radio, Inc. | ||||||||
7.00%, 12/01/14 144A | 300,000 | 392,250 | ||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost $83,027,435) | 86,307,457 | |||||||
|
|
See Notes to Financial Statements.
109
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND |
SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||||
FOREIGN BONDS — 0.7% | ||||||||
Canada — 0.3% | ||||||||
PetroBakken Energy, Ltd. | ||||||||
3.13%, 02/08/16 | $ | 1,300,000 | $ | 1,287,000 | ||||
|
|
|
| |||||
Netherlands — 0.3% | ||||||||
Siemens Financierings-maatschappij NV | ||||||||
1.05%, 08/16/17 | 1,000,000 | 962,450 | ||||||
|
| |||||||
United Kingdom — 0.1% | ||||||||
Virgin Media Finance PLC | ||||||||
5.25%, 02/15/22D | 400,000 | 411,000 | ||||||
|
| |||||||
Total Foreign Bonds | ||||||||
(Cost $2,683,359) | 2,660,450 | |||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTION — 0.0% | ||||||||
SPDR US, Strike Price $134.00, Expires 07/21/12 (KS) (Cost $12,556) | 86 | 9,632 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 109.4% | ||||||||
(Cost $375,779,087) | 392,774,306 | |||||||
|
| |||||||
Shares | ||||||||
COMMON STOCKS SOLD SHORT — (6.4)% |
| |||||||
Consumer Discretionary — (1.3)% | ||||||||
Advance Auto Parts, Inc. | (5,030 | ) | (343,147 | ) | ||||
AutoNation, Inc.* | (1,900 | ) | (67,032 | ) | ||||
Cheesecake Factory, Inc. (The)* | (4,120 | ) | (131,675 | ) | ||||
Chipotle Mexican Grill, Inc.* | (390 | ) | (148,180 | ) | ||||
Columbia Sportswear Co. | (1,830 | ) | (98,125 | ) | ||||
Dollar General Corporation* | (1,400 | ) | (76,146 | ) | ||||
Dunkin’ Brands Group, Inc. | (7,820 | ) | (268,539 | ) | ||||
Foot Locker, Inc. | (8,680 | ) | (265,434 | ) | ||||
Genesco, Inc.* | (1,370 | ) | (82,406 | ) | ||||
Hasbro, Inc. | (6,540 | ) | (221,510 | ) | ||||
Jos. A. Bank Clothiers, Inc.* | (1,650 | ) | (70,059 | ) | ||||
LKQ Corporation* | (3,070 | ) | (102,538 | ) | ||||
Lowes Cos., Inc. | (7,190 | ) | (204,484 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (1,600 | ) | (54,064 | ) | ||||
Marriott International, Inc. Class A | (14,450 | ) | (566,440 | ) | ||||
McDonald’s Corporation | (1,380 | ) | (122,171 | ) | ||||
Netflix, Inc.* | (750 | ) | (51,353 | ) | ||||
Omnicom Group, Inc. | (4,450 | ) | (216,270 | ) | ||||
Papa John’s International, Inc.* | (2,250 | ) | (107,032 | ) | ||||
PetSmart, Inc. | (4,180 | ) | (284,992 | ) | ||||
PulteGroup, Inc.* | (7,310 | ) | (78,217 | ) | ||||
Skechers USA, Inc. Class A* | (4,590 | ) | (93,498 | ) | ||||
Thor Industries, Inc. | (3,290 | ) | (90,179 | ) | ||||
Time Warner, Inc. | (8,980 | ) | (345,730 | ) | ||||
TJX Cos., Inc. | (5,700 | ) | (244,701 | ) | ||||
Tractor Supply Co. | (720 | ) | (59,803 | ) | ||||
Voxx International Corporation* | (2,830 | ) | (26,376 | ) | ||||
Wal-Mart Stores Inc | (3,300 | ) | (230,076 | ) | ||||
|
| |||||||
(4,650,177 | ) | |||||||
|
| |||||||
Consumer Staples — (0.4)% | ||||||||
Coca-Cola Enterprises, Inc. | (4,410 | ) | (123,656 | ) | ||||
CVS Caremark Corporation | (5,420 | ) | (253,277 | ) |
Shares | Value | |||||||
Dean Foods Co.* | (17,130 | ) | $ | (291,724 | ) | |||
H.J. Hienz Co. | (6,050 | ) | (328,999 | ) | ||||
J.M. Smucker Co. (The) | (3,460 | ) | (261,299 | ) | ||||
Kraft Foods, Inc. Class A | (2,300 | ) | (88,826 | ) | ||||
|
| |||||||
(1,347,781 | ) | |||||||
|
| |||||||
Energy — (0.7)% | ||||||||
Apache Corporation | (6,610 | ) | (580,953 | ) | ||||
Arch Coal, Inc. | (10,480 | ) | (72,207 | ) | ||||
Berry Petroleum Co. | (1,770 | ) | (70,198 | ) | ||||
CARBO Ceramics, Inc. | (2,270 | ) | (174,177 | ) | ||||
ConocoPhillips | (1,840 | ) | (102,819 | ) | ||||
Continental Resources, Inc.* | (1,970 | ) | (131,242 | ) | ||||
Devon Energy Corporation | (1,580 | ) | (91,624 | ) | ||||
Diamond Offshore Drilling, Inc. | (5,310 | ) | (313,980 | ) | ||||
Dresser-Rand Group, Inc.* | (1,570 | ) | (69,928 | ) | ||||
Helmerich & Payne, Inc. | (7,280 | ) | (316,534 | ) | ||||
Oasis Petroleum, Inc.* | (3,350 | ) | (81,003 | ) | ||||
Patterson-UTI Energy, Inc. | (5,780 | ) | (84,157 | ) | ||||
Ultra Petroleum Corporation* | (8,460 | ) | (195,172 | ) | ||||
Whiting Petroleum Corporation* | (5,430 | ) | (223,282 | ) | ||||
|
| |||||||
(2,507,276 | ) | |||||||
|
| |||||||
Financial Services — (1.4)% | ||||||||
Aflac, Inc. | (4,360 | ) | (185,692 | ) | ||||
Allstate Corporation (The) | (5,810 | ) | (203,873 | ) | ||||
Ameriprise Financial, Inc. | (5,140 | ) | (268,616 | ) | ||||
Bank of America Corporation | (16,000 | ) | (130,880 | ) | ||||
Bank of New York Mellon Corporation (The) | (6,530 | ) | (143,333 | ) | ||||
BankUnited, Inc. | (3,520 | ) | (83,002 | ) | ||||
Charles Schwab Corporation (The) | (8,080 | ) | (104,474 | ) | ||||
CME Group, Inc. | (650 | ) | (174,271 | ) | ||||
DCT Industrial Trust, Inc. REIT | (8,860 | ) | (55,818 | ) | ||||
Dun & Bradstreet Corporation (The) | (4,510 | ) | (320,977 | ) | ||||
Factset Research Systems, Inc. | (1,620 | ) | (150,563 | ) | ||||
Government Properties Income Trust REIT | (3,263 | ) | (73,809 | ) | ||||
Green Dot Corporation Class A* | (4,730 | ) | (104,628 | ) | ||||
Host Hotels & Resorts, Inc. REIT | (9,140 | ) | (144,595 | ) | ||||
Jack Henry & Associates, Inc. | (16,710 | ) | (576,829 | ) | ||||
Jefferies Group, Inc. | (10,020 | ) | (130,160 | ) | ||||
KBW, Inc. | (6,120 | ) | (100,674 | ) | ||||
Legg Mason, Inc. | (6,070 | ) | (160,066 | ) | ||||
MSCI, Inc.* | (5,410 | ) | (184,048 | ) | ||||
Pebblebrook Hotel Trust REIT | (5,580 | ) | (130,070 | ) | ||||
Portfolio Recovery Associates, Inc.* | (1,280 | ) | (116,813 | ) | ||||
StanCorp Financial Group, Inc. | (4,490 | ) | (166,848 | ) | ||||
Sunstone Hotel Investors, Inc. REIT* | (9,100 | ) | (100,009 | ) | ||||
T Rowe Price Group, Inc. | (2,650 | ) | (166,844 | ) | ||||
Trustmark Corporation | (7,830 | ) | (191,678 | ) | ||||
UDR, Inc. REIT | (3,990 | ) | (103,102 | ) | ||||
W.R. Berkley Corporation | (5,830 | ) | (226,904 | ) | ||||
Waddell & Reed Financial, Inc. Class A | (4,810 | ) | (145,647 | ) | ||||
Zions Bancorporation | (12,440 | ) | (241,585 | ) | ||||
|
| |||||||
(4,885,808 | ) | |||||||
|
|
See Notes to Financial Statements.
110
Table of Contents
Shares | Value | |||||||
Healthcare — (1.0)% | ||||||||
Amgen, Inc. | (3,920 | ) | $ | (286,317 | ) | |||
Becton, Dickinson and Co. | (2,650 | ) | (198,088 | ) | ||||
Celgene Corporation* | (380 | ) | (24,381 | ) | ||||
Charles River Laboratories International, Inc.* | (2,330 | ) | (76,331 | ) | ||||
DENTSPLY International, Inc. | (4,040 | ) | (152,752 | ) | ||||
Edwards Lifesciences Corporation | (4,060 | ) | (419,398 | ) | ||||
Henry Schein, Inc.* | (2,580 | ) | (202,504 | ) | ||||
Humana, Inc. | (1,220 | ) | (94,477 | ) | ||||
Immunogen, Inc.* | (2,560 | ) | (42,957 | ) | ||||
Insulet Corporation* | (1,890 | ) | (40,389 | ) | ||||
Laboratory Corporation of America Holdings* | (1,620 | ) | (150,028 | ) | ||||
Nektar Therapeutics* | (7,790 | ) | (62,865 | ) | ||||
Patterson Cos., Inc. | (4,590 | ) | (158,217 | ) | ||||
Quest Diagnostics, Inc. | (1,260 | ) | (75,474 | ) | ||||
Seattle Genetics, Inc.* | (2,320 | ) | (58,905 | ) | ||||
Thermo Fisher Scientific, Inc. | (13,410 | ) | (696,113 | ) | ||||
Varian Medical Systems, Inc.* | (4,280 | ) | (260,096 | ) | ||||
Watson Pharmaceuticals, Inc.* | (7,130 | ) | (527,549 | ) | ||||
|
| |||||||
(3,526,841 | ) | |||||||
|
| |||||||
Materials & Processing — (0.4)% | ||||||||
Alcoa, Inc. | (4,670 | ) | (40,862 | ) | ||||
Allegheny Technologies, Inc. | (2,610 | ) | (83,233 | ) | ||||
Ball Corporation | (8,180 | ) | (335,789 | ) | ||||
Celanese Corporation | (2,340 | ) | (81,011 | ) | ||||
Dow Chemical Co. (The) | (4,530 | ) | (142,695 | ) | ||||
International Flavors & Fragrances, Inc. | (2,080 | ) | (113,984 | ) | ||||
International Paper Co. | (2,190 | ) | (63,313 | ) | ||||
Royal Gold, Inc. | (640 | ) | (50,176 | ) | ||||
Sherwin Williams Co. (The) | (2,800 | ) | (370,580 | ) | ||||
Steel Dynamics, Inc. | (7,730 | ) | (90,827 | ) | ||||
Titanium Metals Corporation | (14,780 | ) | (167,162 | ) | ||||
|
| |||||||
(1,539,632 | ) | |||||||
|
| |||||||
Producer Durables — (0.8)% | ||||||||
3M Co. | (1,170 | ) | (104,832 | ) | ||||
Albany International Corporation Class A | (1,670 | ) | (31,246 | ) | ||||
Cintas Corporation | (1,510 | ) | (58,301 | ) | ||||
Copart, Inc.* | (3,650 | ) | (86,469 | ) | ||||
CoStar Group, Inc.* | (710 | ) | (57,652 | ) | ||||
Gardner Denver, Inc. | (2,480 | ) | (131,217 | ) | ||||
General Dynamics Corporation | (2,820 | ) | (186,007 | ) | ||||
Graco, Inc. | (1,400 | ) | (64,512 | ) | ||||
Kansas City Southern | (3,480 | ) | (242,069 | ) | ||||
Lindsay Corporation | (690 | ) | (44,781 | ) | ||||
Mettler-Toledo International, Inc.* | (2,480 | ) | (386,508 | ) | ||||
PACCAR, Inc. | (4,660 | ) | (182,626 | ) | ||||
Parker Hannifin Corporation | (3,440 | ) | (264,467 | ) | ||||
Paychex, Inc. | (3,140 | ) | (98,627 | ) | ||||
Rockwell Automation, Inc. | (4,020 | ) | (265,561 | ) | ||||
Southwest Airlines Co. | (14,790 | ) | (136,364 | ) | ||||
Stanley Black & Decker, Inc. | (1,040 | ) | (66,934 | ) | ||||
Stericycle, Inc.* | (1,893 | ) | (173,531 | ) | ||||
Tidewater, Inc. | (3,740 | ) | (173,386 | ) | ||||
Waste Management, Inc. | (5,660 | ) | (189,044 | ) | ||||
|
| |||||||
(2,944,134 | ) | |||||||
|
|
Shares | Value | |||||||
Technology — (0.4)% | ||||||||
Informatica Corporation* | (1,870 | ) | $ | (79,213 | ) | |||
Intel Corporation | (5,910 | ) | (157,502 | ) | ||||
Parametric Technology | ||||||||
Corporation* | (3,050 | ) | (63,928 | ) | ||||
Polycom, Inc.* | (15,880 | ) | (167,058 | ) | ||||
QLogic Corporation* | (5,500 | ) | (75,295 | ) | ||||
Rackspace Hosting, Inc.* | (1,230 | ) | (54,046 | ) | ||||
Rovi Corporation* | (3,120 | ) | (61,214 | ) | ||||
Sapient Corporation* | (6,360 | ) | (64,045 | ) | ||||
Syntel, Inc. | (720 | ) | (43,704 | ) | ||||
Tech Data Corporation* | (7,210 | ) | (347,306 | ) | ||||
TriQuint Semiconductor, Inc.* | (11,600 | ) | (63,800 | ) | ||||
Vishay Intertechnology, Inc.* | (6,430 | ) | (60,635 | ) | ||||
Western Digital Corporation* | (4,910 | ) | (149,657 | ) | ||||
|
| |||||||
(1,387,403 | ) | |||||||
|
| |||||||
Total Common Stocks Sold Short | ||||||||
(Cost $(22,489,003)) | (22,789,052 | ) | ||||||
|
| |||||||
FOREIGN COMMON STOCKS SOLD SHORT — (1.2)% |
| |||||||
Bermuda — (0.1)% | ||||||||
Nabors Industries, Ltd.* | (9,050 | ) | (130,320 | ) | ||||
Signet Jewelers, Ltd. | (1,340 | ) | (58,973 | ) | ||||
|
| |||||||
(189,293 | ) | |||||||
|
| |||||||
British Virgin Islands — 0.0% | ||||||||
Michael Kors Holdings, Ltd.* | (1,630 | ) | (68,199 | ) | ||||
|
| |||||||
Canada — (0.3)% | ||||||||
Agrium, Inc. | (3,040 | ) | (268,949 | ) | ||||
Detour Gold Corporation* | (2,130 | ) | (42,910 | ) | ||||
EnCana Corporation | (15,410 | ) | (320,990 | ) | ||||
Gildan Activewear, Inc. | (2,290 | ) | (63,021 | ) | ||||
Royal Bank of Canada | (2,320 | ) | (118,830 | ) | ||||
Tim Hortons, Inc. | (2,290 | ) | (120,546 | ) | ||||
|
| |||||||
(935,246 | ) | |||||||
|
| |||||||
China — (0.2)% | ||||||||
Great Wall Motor Co., Ltd. | ||||||||
Class H | (33,668 | ) | (67,880 | ) | ||||
Health Net, Inc. | (4,400 | ) | (106,788 | ) | ||||
Mindray Medical International, Ltd. ADR | (4,460 | ) | (135,093 | ) | ||||
Netease, Inc. ADR* | (2,020 | ) | (118,877 | ) | ||||
PetroChina Co., Ltd. Class H | (139,280 | ) | (178,634 | ) | ||||
|
| |||||||
(607,272 | ) | |||||||
|
| |||||||
Germany — (0.2)% | ||||||||
Bayer AG | (881 | ) | (63,485 | ) | ||||
Daimler AG | (6,135 | ) | (275,704 | ) | ||||
Muenchener Rueckversicherungs AG | (720 | ) | (101,595 | ) | ||||
SAP AG ADR | (3,850 | ) | (228,536 | ) | ||||
SGL Carbon SE | (1,720 | ) | (67,319 | ) | ||||
|
| |||||||
(736,639 | ) | |||||||
|
| |||||||
Hong Kong — (0.1)% | ||||||||
Focus Media Holding, Ltd. ADR | (7,140 | ) | (167,647 | ) | ||||
Hong Kong Exchanges and Clearing, Ltd. | (14,940 | ) | (214,968 | ) | ||||
|
| |||||||
(382,615 | ) | |||||||
|
| |||||||
India — 0.0% | ||||||||
Infosys, Ltd. ADR | (1,450 | ) | (65,337 | ) | ||||
|
| |||||||
Ireland — 0.0% | ||||||||
Shire PLC ADR | (580 | ) | (50,106 | ) | ||||
|
|
See Notes to Financial Statements.
111
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND |
SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
Japan — 0.0% | ||||||||
Takeda Pharmaceutical Co., Ltd. | (1,650 | ) | $ | (74,913 | ) | |||
|
| |||||||
Luxembourg — 0.0% | ||||||||
ArcelorMittal | (6,800 | ) | (103,836 | ) | ||||
|
| |||||||
Mexico — 0.0% | ||||||||
Coca-Cola Femsa SAB de CV ADR | (570 | ) | (74,602 | ) | ||||
Grupo Financiero Banorte SAB de CV | (14,310 | ) | (73,954 | ) | ||||
|
| |||||||
(148,556 | ) | |||||||
|
| |||||||
Netherlands — (0.1)% | ||||||||
LyondellBasell Industries N.V. | ||||||||
Class A | (5,440 | ) | (219,069 | ) | ||||
Tornier NV* | (1,790 | ) | (40,132 | ) | ||||
VistaPrint NV* | (6,420 | ) | (207,366 | ) | ||||
|
| |||||||
(466,567 | ) | |||||||
|
| |||||||
South Africa — (0.1)% | ||||||||
AngloGold Ashanti, Ltd. ADR | (4,780 | ) | (164,145 | ) | ||||
|
| |||||||
Sweden — 0.0% | ||||||||
Telefonaktiebolaget LM | ||||||||
Ericsson ADR | (11,820 | ) | (107,917 | ) | ||||
|
| |||||||
United Kingdom — (0.1)% | ||||||||
Anglo American PLC | (5,655 | ) | (185,853 | ) | ||||
Weir Group PLC (The) | (4,030 | ) | (96,840 | ) | ||||
|
| |||||||
(282,693 | ) | |||||||
|
| |||||||
Total Foreign Common Stocks Sold Short | ||||||||
(Cost $(4,337,866)) | (4,383,334 | ) | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS SOLD SHORT — (1.0)% |
| |||||||
iShares Nasdaq Biotechnology Index Fund | (1,040 | ) | (135,153 | ) | ||||
Market Vectors Semiconductor* | (6,040 | ) | (194,669 | ) | ||||
Materials Select Sector SPDR Fund | (7,270 | ) | (256,558 | ) | ||||
SPDR S&P 500 ETF Trust | (7,090 | ) | (966,154 | ) | ||||
SPDR S&P Oil & Gas Exploration & Production ETF | (8,040 | ) | (405,216 | ) | ||||
SPDR S&P Retail ETF | (3,280 | ) | (193,619 | ) | ||||
|
| |||||||
Select Sector SPDR Fund | (2,850 | ) | (124,773 | ) | ||||
|
| |||||||
Energy Select Sector SPDR Fund | (1,120 | ) | (74,334 | ) | ||||
Vanguard Small-Cap ETF | (8,140 | ) | (618,966 | ) | ||||
Vanguard Small-Cap Growth ETF | (8,360 | ) | (700,150 | ) | ||||
|
| |||||||
SPDR S&P Biotech ETF* | (540 | ) | (47,774 | ) | ||||
|
| |||||||
Total Exchange Traded Funds Sold Short |
| |||||||
(Cost $(3,594,461)) | (3,717,366 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT — (8.6)% |
| |||||||
(Cost $(30,421,330)) | (30,889,752 | ) | ||||||
|
| |||||||
Other Assets in Excess of Liabilities — (0.8)% | (2,895,606 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 358,988,948 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Corporate Bonds | 24.1 | |||
Money Market Funds | 23.1 | |||
Financial Services | 9.4 | |||
Healthcare | 9.2 | |||
Utilities | 8.0 | |||
Consumer Discretionary | 6.3 | |||
Consumer Staples | 5.1 | |||
Foreign Common Stocks | 4.9 | |||
Producer Durables | 4.7 | |||
Technology | 3.9 | |||
Preferred Stocks | 3.8 | |||
Energy | 3.4 | |||
Futures Contract | 3.1 | |||
Materials & Processing | 1.4 | |||
Equity Linked Securities | 0.7 | |||
Foreign Bonds | 0.7 | |||
Master Limited Partnerships | 0.7 | |||
Exhange Traded Note | — | ** | ||
Purchased Option | — | ** | ||
Right/Warrant | — | ** | ||
Exchange Traded Funds Sold Short | (1.0 | ) | ||
Foreign Common Stocks Sold Short | (1.2 | ) | ||
Forward Foreign Currency Contracts | (1.7 | ) | ||
Common Stocks Sold Short | (6.4 | ) | ||
|
| |||
102.2 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
112
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks | $ | 184,524,523 | $ | 184,524,523 | $ | — | $ | — | ||||||||
Corporate Bonds | 86,307,457 | — | 78,959,779 | 7,347,678 | ||||||||||||
Equity Linked Securities | 2,525,006 | — | — | 2,525,006 | ||||||||||||
Exchange Traded Note | 36,048 | 36,048 | — | — | ||||||||||||
Foreign Common Stocks | 17,560,643 | 9,110,272 | 8,450,371 | — | ||||||||||||
Foreign Bonds | 2,660,450 | — | 2,660,450 | — | ||||||||||||
Master Limited Partnerships | 2,646,743 | 2,646,743 | — | — | ||||||||||||
Money Market Funds | 82,937,881 | 82,937,881 | — | — | ||||||||||||
Preferred Stocks | 13,547,191 | 13,547,191 | — | — | ||||||||||||
Purchased Option | 9,632 | 9,632 | — | — | ||||||||||||
Right/Warrant | 18,732 | 18,732 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 392,774,306 | $ | 292,831,022 | $ | 90,070,600 | $ | 9,872,684 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 344,378 | $ | 344,378 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 344,378 | $ | 344,378 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks Sold Short | $ | (22,789,052 | ) | $ | (22,789,052 | ) | $ | — | $ | — | ||||||
Exchange Traded Funds Sold Short | (3,717,366 | ) | (3,717,366 | ) | — | — | ||||||||||
Foreign Common Stocks Sold Short | (4,383,334 | ) | (3,056,143 | ) | (1,327,191 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (30,889,752 | ) | $ | (29,562,561 | ) | $ | (1,327,191 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | (49,762 | ) | $ | — | $ | (49,762 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (49,762 | ) | $ | — | $ | (49,762 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
Management has determined that the amount of Level 3 assets compared to total net assets is not material; therefore, the reconciliation of Level 3 assets is not shown for the period ending June 30, 2012.
See Notes to Financial Statements.
113
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 92.9% | ||||||||
Consumer Discretionary — 12.1% | ||||||||
Amazon.com, Inc.* | 6,913 | $ | 1,578,584 | |||||
Apollo Group, Inc. Class A* | 2,129 | 77,049 | ||||||
AutoNation, Inc.D* | 696 | 24,555 | ||||||
AutoZone, Inc.* | 524 | 192,397 | ||||||
Avon Products, Inc.D | 8,252 | 133,765 | ||||||
Bed Bath & Beyond, Inc.* | 4,460 | 275,628 | ||||||
Best Buy Co., Inc.D | 5,352 | 112,178 | ||||||
Big Lots, Inc.* | 1,340 | 54,659 | ||||||
BorgWarner, Inc.* | 2,193 | 143,839 | ||||||
Cablevision Systems Corporation Class AD | 4,428 | 58,848 | ||||||
CarMax, Inc.D* | 4,332 | 112,372 | ||||||
Carnival Corporation | 8,611 | 295,099 | ||||||
CBS Corporation Class B | 12,459 | 408,406 | ||||||
Chipotle Mexican Grill, Inc.* | 598 | 227,210 | ||||||
Coach, Inc. | 5,543 | 324,155 | ||||||
Comcast Corporation Class AD | 51,638 | 1,650,867 | ||||||
Costco Wholesale Corporation | 8,261 | 784,795 | ||||||
D.R. Horton, Inc. | 5,490 | 100,906 | ||||||
Darden Restaurants, Inc.D | 2,510 | 127,081 | ||||||
DeVry, Inc.D | 1,239 | 38,372 | ||||||
DIRECTV Class A* | 12,569 | 613,619 | ||||||
Discovery Communications, Inc. Class A* | 4,909 | 265,086 | ||||||
Dollar Tree, Inc.* | 4,412 | 237,366 | ||||||
eBay, Inc.* | 22,157 | 930,816 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 4,352 | 235,530 | ||||||
Expedia, Inc.D | 1,715 | 82,440 | ||||||
Family Dollar Stores, Inc. | 2,176 | 144,660 | ||||||
Ford Motor Co. | 72,774 | 697,903 | ||||||
Fossil, Inc.* | 993 | 76,004 | ||||||
GameStop Corporation Class AD | 2,459 | 45,147 | ||||||
Gannett Co., Inc.D | 4,704 | 69,290 | ||||||
Gap, Inc. (The) | 6,351 | 173,763 | ||||||
Genuine Parts Co.D | 2,997 | 180,569 | ||||||
Goodyear Tire & Rubber Co. (The)D* | 4,943 | 58,377 | ||||||
H&R Block, Inc. | 5,850 | 93,483 | ||||||
Harley-Davidson, Inc. | 4,340 | 198,468 | ||||||
Harman International Industries, Inc. | 1,346 | 53,302 | ||||||
Hasbro, Inc.D | 2,303 | 78,003 | ||||||
Home Depot, Inc. (The) | 29,386 | 1,557,164 | ||||||
Interpublic Group of Cos., Inc. (The) | 8,293 | 89,979 | ||||||
J.C. Penney Co., Inc.D | 2,818 | 65,688 | ||||||
Johnson Controls, Inc. | 12,987 | 359,870 | ||||||
Kohl’s Corporation | 4,566 | 207,707 | ||||||
Leggett & Platt, Inc.D | 2,803 | 59,227 | ||||||
Lennar Corporation Class AD | 3,110 | 96,130 | ||||||
Limited Brands, Inc. | 4,599 | 195,595 | ||||||
Lowe’s Cos., Inc. | 22,582 | 642,232 | ||||||
Macy’s, Inc. | 7,898 | 271,296 | ||||||
Marriott International, Inc. Class AD | 5,050 | 197,960 | ||||||
Marriott International, Ltd. | ||||||||
Placeholder Shares+ | 82,125 | — | ||||||
Mattel, Inc. | 6,607 | 214,331 | ||||||
McDonald’s Corporation | 19,519 | 1,728,017 | ||||||
McGraw-Hill Co., Inc. (The) | 5,336 | 240,120 |
Shares | Value | |||||||
Netflix, Inc.D* | 1,014 | $ | 69,429 | |||||
Newell Rubbermaid, Inc. | 5,589 | 101,384 | ||||||
News Corporation Class A | 40,543 | 903,703 | ||||||
NIKE, Inc. Class B | 7,079 | 621,395 | ||||||
Nordstrom, Inc. | 3,020 | 150,064 | ||||||
Omnicom Group, Inc. | 5,159 | 250,727 | ||||||
O’Reilly Automotive, Inc.* | 2,424 | 203,058 | ||||||
priceline.com, Inc.* | 960 | 637,939 | ||||||
PulteGroup, Inc.* | 6,461 | 69,133 | ||||||
Ralph Lauren Corporation | 1,237 | 173,254 | ||||||
Ross Stores, Inc. | 4,284 | 267,621 | ||||||
Scripps Networks Interactive, Inc. Class A | 1,727 | 98,197 | ||||||
Sears Holdings CorporationD* | 673 | 40,178 | ||||||
Snap-on, Inc. | 1,158 | 72,085 | ||||||
Staples, Inc.D | 12,983 | 169,428 | ||||||
Starbucks Corporation | 14,477 | 771,914 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3,729 | 197,786 | ||||||
Target Corporation | 12,756 | 742,272 | ||||||
Tiffany & Co.D | 2,450 | 129,728 | ||||||
Time Warner Cable, Inc. | 5,969 | 490,055 | ||||||
Time Warner, Inc. | 18,271 | 703,434 | ||||||
TJX Cos., Inc. | 14,225 | 610,679 | ||||||
TripAdvisor, Inc.D* | 1,715 | 76,643 | ||||||
Urban Outfitters, Inc.D* | 2,249 | 62,050 | ||||||
VF Corporation | 1,637 | 218,458 | ||||||
Wal-Mart Stores, Inc. | 33,065 | 2,305,292 | ||||||
Walt Disney Co. (The) | 34,333 | 1,665,150 | ||||||
Washington Post Co. (The) Class BD | 98 | 36,634 | ||||||
Whirlpool Corporation | 1,462 | 89,416 | ||||||
Wyndham Worldwide CorporationD | 2,882 | 151,997 | ||||||
Yum! Brands, Inc. | 8,750 | 563,675 | ||||||
|
| |||||||
29,522,685 | ||||||||
|
| |||||||
Consumer Staples — 7.3% | ||||||||
Archer-Daniels-Midland Co. | 12,738 | 376,026 | ||||||
Campbell Soup Co. | 3,495 | 116,663 | ||||||
Clorox Co. (The)D | 2,462 | 178,396 | ||||||
Coca-Cola Co. (The) | 43,255 | 3,382,108 | ||||||
Coca-Cola Enterprises, Inc. | 5,844 | 163,866 | ||||||
Colgate-Palmolive Co. | 9,128 | 950,225 | ||||||
ConAgra Foods, Inc. | 7,857 | 203,732 | ||||||
CVS Caremark Corporation | 24,565 | 1,147,922 | ||||||
Dean Foods Co.* | 3,527 | 60,065 | ||||||
Dr. Pepper Snapple Group, Inc. | 3,989 | 174,519 | ||||||
General Mills, Inc. | 12,261 | 472,539 | ||||||
H.J. Heinz Co. | 6,176 | 335,851 | ||||||
Hershey Co. (The) | 2,946 | 212,200 | ||||||
Hormel Foods CorporationD | 2,583 | 78,575 | ||||||
J.M. Smucker Co. (The) | 2,229 | 168,334 | ||||||
Kellogg Co. | 4,795 | 236,537 | ||||||
Kimberly-Clark Corporation | 7,497 | 628,024 | ||||||
Kraft Foods, Inc. Class A | 34,004 | 1,313,234 | ||||||
Kroger Co. (The) | 10,809 | 250,661 | ||||||
McCormick & Co., Inc. | 2,535 | 153,748 | ||||||
Mead Johnson Nutrition Co. | 3,925 | 316,002 | ||||||
Monster Beverage | ||||||||
Corporation* | 2,941 | 209,399 | ||||||
PepsiCo, Inc. | 29,903 | 2,112,946 | ||||||
Procter & Gamble Co. (The) | 52,475 | 3,214,094 | ||||||
Safeway, Inc.D | 4,601 | 83,508 |
See Notes to Financial Statements.
114
Table of Contents
Shares | Value | |||||||
Sysco CorporationD | 11,174 | $ | 333,097 | |||||
Tyson Foods, Inc. Class A | 5,763 | 108,517 | ||||||
Walgreen Co. | 16,492 | 487,833 | ||||||
Whole Foods Market, Inc. | 3,158 | 301,021 | ||||||
|
| |||||||
17,769,642 | ||||||||
|
| |||||||
Energy — 10.4% | ||||||||
Alpha Natural Resources, Inc.* | 4,345 | 37,845 | ||||||
Anadarko Petroleum Corporation | 9,544 | 631,813 | ||||||
Apache Corporation | 7,610 | 668,843 | ||||||
Baker Hughes, Inc. | 8,341 | 342,815 | ||||||
Cabot Oil & Gas CorporationD | 4,014 | 158,152 | ||||||
Cameron International Corporation* | 4,706 | 200,993 | ||||||
Chesapeake Energy CorporationD | 12,636 | 235,030 | ||||||
Chevron Corporation | 37,814 | 3,989,377 | ||||||
ConocoPhillips | 24,319 | 1,358,946 | ||||||
Consol Energy, Inc. | 4,348 | 131,484 | ||||||
Denbury Resources, Inc.* | 7,628 | 115,259 | ||||||
Devon Energy Corporation | 7,668 | 444,667 | ||||||
Diamond Offshore Drilling, Inc.D | 1,330 | 78,643 | ||||||
EOG Resources, Inc. | 5,154 | 464,427 | ||||||
EQT Corporation | 2,869 | 153,864 | ||||||
Exterran Holdings, Inc.* | 13 | 166 | ||||||
Exxon Mobil Corporation | 89,729 | 7,678,111 | ||||||
First Solar, Inc.D* | 1,151 | 17,334 | ||||||
FMC Technologies, Inc.* | 4,610 | 180,850 | ||||||
Halliburton Co. | 17,660 | 501,367 | ||||||
Helmerich & Payne, Inc.D | 2,051 | 89,177 | ||||||
Hess Corporation | 5,789 | 251,532 | ||||||
Kinder Morgan, Inc. | 9,665 | 311,406 | ||||||
Marathon Oil Corporation | 13,606 | 347,905 | ||||||
Marathon Petroleum Corporation | 6,614 | 297,101 | ||||||
Murphy Oil Corporation | 3,710 | 186,576 | ||||||
National Oilwell Varco, Inc. | 8,120 | 523,253 | ||||||
Newfield Exploration Co.* | 2,539 | 74,418 | ||||||
Noble Energy, Inc. | 3,378 | 286,522 | ||||||
Occidental Petroleum Corporation | 15,526 | 1,331,665 | ||||||
Peabody Energy CorporationD | 5,193 | 127,332 | ||||||
Phillips 66* | 11,947 | 397,118 | ||||||
Pioneer Natural Resources Co. | 2,343 | 206,676 | ||||||
QEP Resources, Inc.D | 3,403 | 101,988 | ||||||
Range Resources CorporationD | 3,052 | 188,827 | ||||||
Schlumberger, Ltd. | 25,518 | 1,656,373 | ||||||
Southwestern Energy Co.* | 6,691 | 213,644 | ||||||
Spectra Energy CorporationD | 12,446 | 361,681 | ||||||
Sunoco, Inc. | 1,977 | 93,908 | ||||||
Tesoro Corporation* | 2,765 | 69,014 | ||||||
Valero Energy Corporation | 10,458 | 252,561 | ||||||
Williams Cos., Inc. (The) | 11,975 | 345,120 | ||||||
WPX Energy, Inc.D* | 3,762 | 60,869 | ||||||
|
| |||||||
25,164,652 | ||||||||
|
| |||||||
Financial Services — 14.7% | ||||||||
Aflac, Inc. | 8,950 | 381,180 | ||||||
Allstate Corporation (The) | 9,364 | 328,583 | ||||||
American Express Co. | 19,198 | 1,117,516 | ||||||
American International Group, Inc.* | 12,237 | 392,685 | ||||||
American Tower Corporation | ||||||||
REIT | 7,600 | 531,316 |
Shares | Value | |||||||
Ameriprise Financial, Inc. | 4,099 | $ | 214,214 | |||||
Apartment Investment & Management Co. Class A REIT | 2,688 | 72,657 | ||||||
Assurant, Inc. | 1,697 | 59,123 | ||||||
AvalonBay Communities, Inc. REIT | 1,834 | 259,474 | ||||||
Bank of America Corporation | 206,717 | 1,690,945 | ||||||
Bank of New York Mellon Corporation (The) | 22,829 | 501,097 | ||||||
BB&T Corporation | 13,288 | 409,935 | ||||||
Berkshire Hathaway, Inc. Class B* | 33,741 | 2,811,638 | ||||||
BlackRock, Inc. | 2,448 | 415,719 | ||||||
Boston Properties, Inc. REIT | 2,892 | 313,406 | ||||||
Capital One Financial Corporation | 11,136 | 608,694 | ||||||
CBRE Group, Inc. Class A* | 6,321 | 103,412 | ||||||
Charles Schwab Corporation (The) | 20,892 | 270,134 | ||||||
Chubb Corporation (The) | 5,228 | 380,703 | ||||||
Cincinnati Financial Corporation | 3,141 | 119,578 | ||||||
Citigroup, Inc. | 56,035 | 1,535,919 | ||||||
CME Group, Inc.D | 1,283 | 343,985 | ||||||
Comerica, Inc. | 3,797 | 116,606 | ||||||
Discover Financial Services | 10,143 | 350,745 | ||||||
Dun & Bradstreet Corporation (The)D | 881 | 62,701 | ||||||
E*TRADE Financial Corporation* | 4,860 | 39,074 | ||||||
Equifax, Inc. | 2,346 | 109,324 | ||||||
Equity Residential REIT | 5,667 | 353,394 | ||||||
Federated Investors, Inc. Class BD | 1,746 | 38,150 | ||||||
Fidelity National Information Services, Inc. | 4,463 | 152,099 | ||||||
Fifth Third Bancorp | 17,546 | 235,116 | ||||||
First Horizon National Corporation | 5,011 | 43,345 | ||||||
First Horizon National Corporation Placeholder Shares+ | 271,852 | — | ||||||
Fiserv, Inc.D* | 2,605 | 188,133 | ||||||
Franklin Resources, Inc. | 2,687 | 298,230 | ||||||
Genworth Financial, Inc. Class A* | 8,940 | 50,600 | ||||||
Goldman Sachs Group, Inc. (The) | 9,473 | 908,082 | ||||||
Hartford Financial Services Group, Inc. | 8,562 | 150,948 | ||||||
HCP, Inc. REIT | 8,079 | 356,688 | ||||||
Health Care REIT, Inc.D | 4,156 | 242,295 | ||||||
Host Hotels & Resorts, Inc. REITD | 13,804 | 218,379 | ||||||
Hudson City Bancorp, Inc. | 10,716 | 68,261 | ||||||
Huntington Bancshares, Inc. | 16,431 | 105,158 | ||||||
IntercontinentalExchange, Inc.* | 1,413 | 192,140 | ||||||
JPMorgan Chase & Co. | 73,038 | 2,609,648 | ||||||
KeyCorp | 18,137 | 140,380 | ||||||
Kimco Realty Corporation REIT | 7,829 | 148,986 | ||||||
Legg Mason, Inc. | 2,496 | 65,820 | ||||||
Leucadia National CorporationD | 3,799 | 80,805 | ||||||
Lincoln National Corporation | 5,427 | 118,688 | ||||||
Loews Corporation | 5,922 | 242,269 |
See Notes to Financial Statements.
115
Table of Contents
EQUITY INDEX FUND |
SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
M&T Bank CorporationD | 2,358 | $ | 194,700 | |||||
Marsh & McLennan Cos., Inc. | 10,499 | 338,383 | ||||||
Mastercard, Inc. Class A | 2,047 | 880,435 | ||||||
MetLife, Inc. | 20,277 | 625,545 | ||||||
Moody’s CorporationD | 3,806 | 139,109 | ||||||
Morgan Stanley | 29,154 | 425,357 | ||||||
NASDAQ OMX Group, Inc. (The) | 2,495 | 56,562 | ||||||
Northern Trust Corporation | 4,698 | 216,202 | ||||||
NYSE EuronextD | 5,035 | 128,795 | ||||||
People’s United Financial, Inc.D | 7,109 | 82,535 | ||||||
Plum Creek Timber Co., Inc. REITD | 3,098 | 122,991 | ||||||
PNC Financial Services Group, Inc. | 10,085 | 616,294 | ||||||
Principal Financial Group, Inc. | 5,746 | 150,718 | ||||||
Progressive Corporation (The) | 11,522 | 240,003 | ||||||
Prologis, Inc. REITD | 8,739 | 290,397 | ||||||
Prudential Financial, Inc. | 9,029 | 437,274 | ||||||
Public Storage REIT | 2,754 | 397,705 | ||||||
Regions Financial Corporation | 27,045 | 182,554 | ||||||
Simon Property Group, Inc. REIT | 5,780 | 899,715 | ||||||
SLM Corporation | 9,277 | 145,742 | ||||||
State Street Corporation | 9,427 | 420,821 | ||||||
SunTrust Banks, Inc. | 10,272 | 248,891 | ||||||
T Rowe Price Group, Inc.D | 4,978 | 313,415 | ||||||
Torchmark CorporationD | 1,806 | 91,293 | ||||||
Total System Services, Inc. | 3,083 | 73,776 | ||||||
Travelers Cos., Inc. (The) | 7,477 | 477,332 | ||||||
Unum Group | 5,644 | 107,970 | ||||||
US Bancorp | 36,353 | 1,169,112 | ||||||
Ventas, Inc. REIT | 5,474 | 345,519 | ||||||
Visa, Inc. Class A | 9,530 | 1,178,194 | ||||||
Vornado Realty Trust REIT | 3,551 | 298,213 | ||||||
Wells Fargo & Co. | 101,932 | 3,408,606 | ||||||
Western Union Co. (The) | 11,487 | 193,441 | ||||||
Weyerhaeuser Co. REIT | 10,357 | 231,583 | ||||||
Zions BancorporationD | 3,603 | 69,970 | ||||||
|
| |||||||
35,747,129 | ||||||||
|
| |||||||
Healthcare — 11.3% | ||||||||
Abbott Laboratories | 30,122 | 1,941,965 | ||||||
Aetna, Inc. | 6,732 | 261,000 | ||||||
Alexion Pharmaceuticals, Inc.D* | 3,693 | 366,715 | ||||||
Allergan, Inc. | 5,931 | 549,033 | ||||||
AmerisourceBergen CorporationD | 4,708 | 185,260 | ||||||
Amgen, Inc. | 14,894 | 1,087,858 | ||||||
Baxter International, Inc. | 10,545 | 560,467 | ||||||
Becton, Dickinson and Co. | 3,843 | 287,264 | ||||||
Biogen Idec, Inc.* | 4,566 | 659,239 | ||||||
Boston Scientific Corporation* | 27,489 | 155,863 | ||||||
Bristol-Myers Squibb Co. | 32,276 | 1,160,322 | ||||||
C.R. Bard, Inc. | 1,644 | 176,631 | ||||||
Cardinal Health, Inc. | 6,730 | 282,660 | ||||||
CareFusion Corporation* | 4,289 | 110,142 | ||||||
Celgene Corporation* | 8,488 | 544,590 | ||||||
Cerner Corporation* | 2,776 | 229,464 | ||||||
Cigna Corporation | 5,494 | 241,736 | ||||||
Conventry Health Care, Inc. | 2,858 | 90,856 | ||||||
DaVita, Inc.* | 1,794 | 176,189 |
Shares | Value | |||||||
DENTSPLY International, Inc.D | 2,702 | $ | 102,163 | |||||
Edwards Lifesciences Corporation* | 2,204 | 227,673 | ||||||
Eli Lilly & Co. | 19,550 | 838,890 | ||||||
Express Scripts Holding Co.* | 15,526 | 866,817 | ||||||
Forest Laboratories, Inc.D* | 5,187 | 181,493 | ||||||
Gilead Sciences, Inc.* | 14,498 | 743,457 | ||||||
Hospira, Inc.D* | 3,221 | 112,671 | ||||||
Humana, Inc. | 3,117 | 241,380 | ||||||
Intuitive Surgical, Inc.* | 755 | 418,111 | ||||||
Johnson & JohnsonD | 52,711 | 3,561,155 | ||||||
Laboratory Corporation of America HoldingsD* | 1,810 | 167,624 | ||||||
Life Technologies Corporation* | 3,431 | 154,361 | ||||||
McKesson Corporation | 4,505 | 422,344 | ||||||
Medtronic, Inc. | 19,962 | 773,128 | ||||||
Merck & Co., Inc. | 58,284 | 2,433,357 | ||||||
Mylan, Inc.* | 8,423 | 179,999 | ||||||
Patterson Cos., Inc. | 1,538 | 53,015 | ||||||
PerkinElmer, Inc. | 2,160 | 55,728 | ||||||
Perrigo Co. | 1,800 | 212,274 | ||||||
Pfizer, Inc. | 143,298 | 3,295,854 | ||||||
Quest Diagnostics, Inc. | 3,019 | 180,838 | ||||||
St. Jude Medical, Inc. | 6,016 | 240,099 | ||||||
Stryker Corporation | 6,196 | 341,400 | ||||||
Tenet Healthcare Corporation* | 7,097 | 37,188 | ||||||
Thermo Fisher Scientific, Inc. | 6,962 | 361,397 | ||||||
UnitedHealth Group, Inc. | 19,847 | 1,161,049 | ||||||
Varian Medical Systems, Inc.D* | 2,193 | 133,269 | ||||||
Watson Pharmaceuticals, Inc.* | 2,430 | 179,796 | ||||||
WellPoint, Inc. | 6,419 | 409,468 | ||||||
Zimmer Holdings, Inc. | 3,364 | 216,507 | ||||||
|
| |||||||
27,369,759 | ||||||||
|
| |||||||
Materials & Processing — 3.6% | ||||||||
Air Products & | ||||||||
Chemicals, Inc. | 4,073 | 328,813 | ||||||
Airgas, Inc. | 1,340 | 112,573 | ||||||
Alcoa, Inc.D | 20,431 | 178,771 | ||||||
Allegheny Technologies, Inc. | 2,039 | 65,024 | ||||||
Ball Corporation | 2,964 | 121,672 | ||||||
Bemis Co., Inc.D | 2,125 | 66,598 | ||||||
CF Industries Holdings, Inc. | 1,261 | 244,306 | ||||||
Cliffs Natural Resources, Inc. | 2,719 | 134,020 | ||||||
Dow Chemical Co. (The) | 23,003 | 724,594 | ||||||
E.I. du Pont de Nemours & Co. | 18,067 | 913,648 | ||||||
Eastman Chemical Co. | 2,748 | 138,417 | ||||||
Ecolab, Inc. | 5,598 | 383,631 | ||||||
Fastenal Co. | 5,653 | 227,872 | ||||||
FMC Corporation | 2,546 | 136,160 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 18,159 | 618,677 | ||||||
International Flavors & Fragrances, Inc.D | 1,535 | 84,118 | ||||||
International Paper Co. | 8,374 | 242,092 | ||||||
Masco CorporationD | 7,193 | 99,767 | ||||||
MeadWestvaco Corporation | 3,222 | 92,633 | ||||||
Monsanto Co. | 10,192 | 843,694 | ||||||
Mosaic Co. (The) | 5,733 | 313,939 | ||||||
Newmont Mining Corporation | 9,519 | 461,767 | ||||||
Nucor Corporation | 6,111 | 231,607 | ||||||
Owens-Illinois, Inc.* | 3,309 | 63,434 | ||||||
PPG Industries, Inc. | 2,912 | 309,021 | ||||||
Praxair, Inc. | 5,707 | 620,522 | ||||||
Precision Castparts Corporation | 2,782 | 457,611 |
See Notes to Financial Statements.
116
Table of Contents
Shares | Value | |||||||
Sealed Air Corporation | 3,755 | $ | 57,977 | |||||
Sherwin-Williams Co. (The) | 1,611 | 213,216 | ||||||
Sigma-Aldrich CorporationD | 2,332 | 172,405 | ||||||
Titanium Metals Corporation | 1,727 | 19,532 | ||||||
United States Steel CorporationD | 2,762 | 56,897 | ||||||
Vulcan Materials Co. | 2,491 | 98,918 | ||||||
|
| |||||||
8,833,926 | ||||||||
|
| |||||||
Producer Durables — 10.0% | ||||||||
3M Co. | 13,302 | 1,191,859 | ||||||
Agilent Technologies, Inc. | 6,683 | 262,241 | ||||||
Automatic Data Processing, Inc. | 9,390 | 522,647 | ||||||
Avery Dennison Corporation | 2,140 | 58,508 | ||||||
Boeing Co. (The) | 14,429 | 1,072,075 | ||||||
C.H. Robinson Worldwide, Inc. | 3,124 | 182,848 | ||||||
Caterpillar, Inc. | 12,568 | 1,067,149 | ||||||
Cintas CorporationD | 2,141 | 82,664 | ||||||
Cooper Industries PLC | 3,038 | 207,131 | ||||||
CSX Corporation | 19,740 | 441,386 | ||||||
Cummins, Inc. | 3,651 | 353,818 | ||||||
Danaher Corporation | 10,973 | 571,474 | ||||||
Deere & Co. | 7,560 | 611,377 | ||||||
Dover Corporation | 3,420 | 183,346 | ||||||
Eaton CorporationD | 6,436 | 255,059 | ||||||
Emerson Electric Co. | 14,029 | 653,471 | ||||||
Expeditors International of Washington, Inc. | 4,070 | 157,712 | ||||||
FedEx Corporation | 6,075 | 556,531 | ||||||
FLIR Systems, Inc. | 3,049 | 59,455 | ||||||
Flowserve Corporation | 1,067 | 122,438 | ||||||
Fluor Corporation | 3,302 | 162,921 | ||||||
General Dynamics Corporation | 6,973 | 459,939 | ||||||
General Electric Co. | 203,250 | 4,235,730 | ||||||
Goodrich Corporation | 2,400 | 304,560 | ||||||
Honeywell International, Inc. | 14,876 | 830,676 | ||||||
Illinois Tool Works, Inc. | 9,157 | 484,314 | ||||||
Iron Mountain, Inc.D | 3,159 | 104,121 | ||||||
Jacobs Engineering Group, Inc.* | 2,431 | 92,038 | ||||||
Joy Global, Inc. | 2,010 | 114,027 | ||||||
L-3 Communications Holdings, Inc. | 1,883 | 139,361 | ||||||
Lexmark International, Inc. Class AD | 1,212 | 32,215 | ||||||
Lockheed Martin Corporation | 5,043 | 439,144 | ||||||
Norfolk Southern Corporation | 6,186 | 443,969 | ||||||
Northrop Grumman Corporation | 4,844 | 308,999 | ||||||
PACCAR, Inc. | 6,910 | 270,803 | ||||||
Pall CorporationD | 2,222 | 121,788 | ||||||
Parker Hannifin Corporation | 2,901 | 223,029 | ||||||
Paychex, Inc.D | 6,174 | 193,925 | ||||||
Pitney Bowes, Inc.D | 3,922 | 58,712 | ||||||
Quanta Services, Inc.* | 4,125 | 99,289 | ||||||
Raytheon Co. | 6,423 | 363,478 | ||||||
Republic Services, Inc. | 6,110 | 161,671 | ||||||
Robert Half International, Inc. | 2,613 | 74,653 | ||||||
Rockwell Automation, Inc. | 2,758 | 182,193 | ||||||
Rockwell Collins, Inc.D | 2,786 | 137,489 | ||||||
Roper Industries, Inc. | 1,836 | 180,993 | ||||||
RR Donnelley & Sons Co.D | 3,600 | 42,372 | ||||||
Ryder System, Inc. | 987 | 35,542 | ||||||
Southwest Airlines Co. | 15,189 | 140,043 |
Shares | Value | |||||||
Stanley Black & Decker, Inc. | 3,226 | $ | 207,625 | |||||
Stericycle, Inc.D* | 1,646 | 150,889 | ||||||
Textron, Inc. | 5,310 | 132,060 | ||||||
Union Pacific Corporation | 9,130 | 1,089,300 | ||||||
United Parcel Service, Inc. Class B | 18,337 | 1,444,222 | ||||||
United Technologies Corporation | 17,435 | 1,316,866 | ||||||
W.W. Grainger, Inc. | 1,176 | 224,898 | ||||||
Waste Management, Inc.D | 8,786 | 293,452 | ||||||
Waters Corporation* | 1,651 | 131,205 | ||||||
Xerox Corporation | 25,524 | 200,874 | ||||||
Xylem, Inc. | 3,570 | 89,857 | ||||||
|
| |||||||
24,332,431 | ||||||||
|
| |||||||
Technology — 16.9% | ||||||||
Adobe Systems, Inc.* | 9,549 | 309,101 | ||||||
Advanced Micro Devices, Inc.D* | 10,882 | 62,354 | ||||||
Akamai Technologies, Inc.* | 3,314 | 105,220 | ||||||
Altera Corporation | 6,189 | 209,436 | ||||||
Amphenol Corporation Class A | 3,142 | 172,559 | ||||||
Analog Devices, Inc. | 5,749 | 216,565 | ||||||
Apple, Inc.* | 17,928 | 10,469,952 | ||||||
Applied Materials, Inc. | 24,332 | 278,845 | ||||||
Autodesk, Inc.* | 4,499 | 157,420 | ||||||
BMC Software, Inc.* | 3,093 | 132,009 | ||||||
Broadcom Corporation Class A* | 9,439 | 319,038 | ||||||
CA, Inc. | 6,776 | 183,562 | ||||||
Cisco Systems, Inc. | 102,526 | 1,760,371 | ||||||
Citrix Systems, Inc.* | 3,612 | 303,191 | ||||||
Cognizant Technology Solutions Corporation Class A* | 5,825 | 349,500 | ||||||
Computer Sciences Corporation | 2,971 | 73,740 | ||||||
Corning, Inc. | 29,121 | 376,535 | ||||||
Crown Castle International Corporation* | 4,944 | 290,015 | ||||||
Dell, Inc.* | 28,327 | 354,654 | ||||||
Electronic Arts, Inc.* | 6,387 | 78,880 | ||||||
EMC Corporation* | 40,356 | 1,034,324 | ||||||
F5 Networks, Inc.* | 1,535 | 152,825 | ||||||
Google, Inc. Class A* | 4,875 | 2,827,841 | ||||||
Harris Corporation | 2,146 | 89,810 | ||||||
Hewlett-Packard Co. | 38,025 | 764,683 | ||||||
Intel Corporation | 96,726 | 2,577,748 | ||||||
International Business Machines Corporation | 22,116 | 4,325,447 | ||||||
Intuit, Inc. | 5,659 | 335,862 | ||||||
Jabil Circuit, Inc. | 3,496 | 71,074 | ||||||
JDS Uniphase Corporation* | 4,366 | 48,026 | ||||||
Juniper Networks, Inc.D* | 10,243 | 167,063 | ||||||
KLA-Tencor Corporation | 3,228 | 158,979 | ||||||
Lam Research CorporationD* | 3,815 | 143,978 | ||||||
Linear Technology Corporation | 4,371 | 136,943 | ||||||
LSI Corporation* | 10,894 | 69,395 | ||||||
Microchip Technology, Inc.D | 3,659 | 121,040 | ||||||
Micron Technology, Inc.* | 18,405 | 116,136 | ||||||
Microsoft Corporation | 143,360 | 4,385,382 | ||||||
Molex, Inc.D | 2,666 | 63,824 | ||||||
Motorola Solutions, Inc. | 5,635 | 271,100 | ||||||
NetApp, Inc.* | 6,999 | 222,708 | ||||||
NVIDIA Corporation* | 11,538 | 159,455 | ||||||
Oracle Corporation | 74,394 | 2,209,502 |
See Notes to Financial Statements.
117
Table of Contents
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
QUALCOMM, Inc. | 32,921 | $ | 1,833,041 | |||||
Red Hat, Inc.* | 3,707 | 209,371 | ||||||
SAIC, Inc.D | 5,321 | 64,491 | ||||||
Salesforce.com, Inc.* | 2,628 | 363,347 | ||||||
SanDisk Corporation* | 4,586 | 167,297 | ||||||
Symantec Corporation* | 13,868 | 202,612 | ||||||
Teradata Corporation* | 3,237 | 233,096 | ||||||
Teradyne, Inc.D* | 3,577 | 50,293 | ||||||
Texas Instruments, Inc. | 21,932 | 629,229 | ||||||
VeriSign, Inc.* | 2,937 | 127,965 | ||||||
Western Digital Corporation* | 4,459 | 135,910 | ||||||
Xilinx, Inc.D | 5,102 | 171,274 | ||||||
Yahoo!, Inc.* | 23,651 | 374,395 | ||||||
|
| |||||||
41,218,413 | ||||||||
|
| |||||||
Utilities — 6.6% | ||||||||
AES Corporation (The)* | 12,613 | 161,825 | ||||||
AGL Resources, Inc. | 2,247 | 87,071 | ||||||
Ameren Corporation | 4,649 | 155,927 | ||||||
American Electric Power Co., Inc. | 9,306 | 371,309 | ||||||
AT&T, Inc. | 112,324 | 4,005,474 | ||||||
CenterPoint Energy, Inc. | 8,168 | 168,833 | ||||||
CenturyLink, Inc.D | 11,800 | 465,982 | ||||||
CMS Energy Corporation | 4,874 | 114,539 | ||||||
Consolidated Edison, Inc. | 5,655 | 351,684 | ||||||
Dominion Resources, Inc. | 11,043 | 596,322 | ||||||
DTE Energy Co. | 3,255 | 193,119 | ||||||
Duke Energy Corporation | 25,594 | 590,198 | ||||||
Edison International | 6,309 | 291,476 | ||||||
Entergy Corporation | 3,423 | 232,387 | ||||||
Exelon Corporation | 16,350 | 615,087 | ||||||
FirstEnergy CorporationD | 8,014 | 394,209 | ||||||
Frontier Communications CorporationD | 19,145 | 73,325 | ||||||
Integrys Energy Group, Inc.D | 1,387 | 78,879 | ||||||
MetroPCS Communications, Inc.* | 6,080 | 36,784 | ||||||
NextEra Energy, Inc. | 8,081 | 556,054 | ||||||
NiSource, Inc.D | 5,375 | 133,031 | ||||||
Northeast Utilities | 5,992 | 232,550 | ||||||
NRG Energy, Inc.* | 4,048 | 70,273 | ||||||
ONEOK, Inc. | 4,108 | 173,809 | ||||||
Pepco Holdings, Inc.D | 4,317 | 84,484 | ||||||
PG&E Corporation | 8,088 | 366,144 | ||||||
Pinnacle West Capital Corporation | 2,095 | 108,395 | ||||||
PPL Corporation | 11,037 | 306,939 | ||||||
Progress Energy, Inc. | 5,680 | 341,766 | ||||||
Public Service Enterprise Group, Inc. | 9,699 | 315,218 | ||||||
SCANA CorporationD | 2,190 | 104,770 | ||||||
Sempra Energy | 4,590 | 316,159 | ||||||
Southern Co. (The)D | 16,595 | 768,348 | ||||||
Sprint Nextel Corporation* | 57,575 | 187,694 | ||||||
TECO Energy, Inc.D | 3,986 | 71,987 | ||||||
Verizon Communications, Inc. | 54,440 | 2,419,314 | ||||||
Windstream CorporationD | 11,506 | 111,148 | ||||||
Wisconsin Energy CorporationD | 4,484 | 177,432 | ||||||
Xcel Energy, Inc.D | 9,302 | 264,270 | ||||||
|
| |||||||
16,094,215 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $175,788,237) | 226,052,852 | |||||||
|
|
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 1.5% |
| |||||||
Bermuda — 0.1% | ||||||||
Invesco, Ltd. | 8,362 | $ | 188,981 | |||||
Nabors Industries, Ltd.* | 5,522 | 79,517 | ||||||
|
| |||||||
268,498 | ||||||||
|
| |||||||
Ireland — 0.7% | ||||||||
Accenture PLC Class A | 12,404 | 745,356 | ||||||
Covidien PLC | 9,285 | 496,748 | ||||||
Ingersoll-Rand PLC | 5,825 | 245,699 | ||||||
Seagate Technology PLC | 7,254 | 179,391 | ||||||
XL Group PLC | 5,999 | 126,219 | ||||||
|
| |||||||
1,793,413 | ||||||||
|
| |||||||
Switzerland — 0.6% | ||||||||
ACE, Ltd. | 6,467 | 479,399 | ||||||
Noble Corporation | 4,840 | 157,445 | ||||||
TE Connectivity, Ltd. | 8,049 | 256,844 | ||||||
Tyco International, Ltd. | 8,943 | 472,637 | ||||||
|
| |||||||
1,366,325 | ||||||||
|
| |||||||
United Kingdom — 0.1% | ||||||||
Aon PLC | 6,338 | 296,491 | ||||||
Rowan Cos. PLC* | 2,445 | 79,047 | ||||||
|
| |||||||
375,538 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $3,628,374) | 3,803,774 | |||||||
|
| |||||||
RIGHTS/WARRANTS — 0.0% |
| |||||||
American International Group, Inc. Fractional Warrants+ | 65,600 | — | ||||||
|
| |||||||
MONEY MARKET FUNDS — 13.9% |
| |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 12,326,702 | 12,326,702 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 21,429,028 | 21,429,028 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $33,755,730) | 33,755,730 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bill | $ | 535,000 | 534,810 | |||||
|
| |||||||
TOTAL INVESTMENTS — 108.5% |
| |||||||
(Cost $213,707,094) | 264,147,166 | |||||||
Liabilities in Excess of Other Assets—(8.5)% | (20,788,263 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 243,358,903 | ||||||
|
|
See Notes to Financial Statements.
118
Table of Contents
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Technology | 16.9 | |||
Financial Services | 14.8 | |||
Money Market Funds | 13.9 | |||
Consumer Discretionary | 12.1 | |||
Healthcare | 11.3 | |||
Energy | 10.4 | |||
Producer Durables | 10.0 | |||
Consumer Staples | 7.3 | |||
Utilities | 6.6 | |||
Futures Contracts | 5.5 | |||
Materials & Processing | 3.6 | |||
Foreign Common Stocks | 1.4 | |||
U.S. Treasury Obligation | 0.2 | |||
Rights/Warrants | — | ** | ||
|
| |||
114.0 | ||||
|
|
** | Rounds to less than 0.005%. |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks | $ | 226,320,880 | $ | 226,320,880 | $ | — | $ | — | ||||||||
Foreign Common Stocks | 3,535,746 | 3,535,746 | — | — | ||||||||||||
Money Market Funds | 33,755,730 | 33,755,730 | — | — | ||||||||||||
Rights/Warrants | — | — | — | — | ||||||||||||
U.S. Treasury Obligation | 534,810 | — | 534,810 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 264,147,166 | $ | 263,612,356 | $ | 534,810 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 487,983 | $ | 487,983 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 487,983 | $ | 487,983 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
119
Table of Contents
REAL ESTATE SECURITIES FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 95.8% | ||||||||
Financial Services — 95.8% | ||||||||
Alexander’s, Inc. REITD | 3,875 | $ | 1,670,551 | |||||
Apartment Investment & Management Co. Class A REIT | 95,750 | 2,588,123 | ||||||
AvalonBay Communities, Inc. REITD | 21,863 | 3,093,177 | ||||||
Boston Properties, Inc. REIT | 88,642 | 9,606,134 | ||||||
BRE Properties, Inc. REIT | 106,100 | 5,307,122 | ||||||
Camden Property Trust REIT | 100,750 | 6,817,753 | ||||||
Chesapeake Lodging Trust REIT | 42,750 | 736,155 | ||||||
Colonial Properties Trust REITD | 90,050 | 1,993,707 | ||||||
CubeSmart REITD | 164,400 | 1,918,548 | ||||||
DDR Corporation REITD | 242,400 | 3,548,736 | ||||||
Douglas Emmett, Inc. REITD | 235,450 | 5,438,895 | ||||||
Duke Realty Corporation REITD | 288,350 | 4,221,444 | ||||||
DuPont Fabros Technology, Inc. REITD | 121,800 | 3,478,608 | ||||||
Education Realty Trust, Inc. REIT | 52,550 | 582,254 | ||||||
Equity Lifestyle Properties, Inc. REIT | 24,750 | 1,707,008 | ||||||
Equity Residential REIT | 78,800 | 4,913,968 | ||||||
Extra Space Storage, Inc. REITD | 103,850 | 3,177,810 | ||||||
Federal Realty Investment Trust REITD | 49,250 | 5,126,432 | ||||||
First Potomac Realty Trust REIT | 11,050 | 130,059 | ||||||
General Growth Properties, Inc. REIT | 86,050 | 1,556,644 | ||||||
Glimcher Realty Trust REIT | 384,500 | 3,929,590 | ||||||
Health Care REIT, Inc.D | 186,450 | 10,870,035 | ||||||
Healthcare Realty Trust, Inc. REITD | 147,800 | 3,523,552 | ||||||
Home Properties, Inc. REITD | 62,650 | 3,844,204 | ||||||
Hospitality Properties Trust REITD | 41,950 | 1,039,102 | ||||||
Host Hotels & Resorts, Inc. REITD | 74,800 | 1,183,336 | ||||||
Kilroy Realty Corporation REITD | 53,900 | 2,609,299 | ||||||
Kimco Realty Corporation REIT | 145,550 | 2,769,817 | ||||||
LaSalle Hotel Properties REITD | 60,500 | 1,762,970 | ||||||
LTC Properties, Inc. REIT | 44,600 | 1,618,088 | ||||||
Pebblebrook Hotel Trust REITD | 99,100 | 2,310,021 | ||||||
Pennsylvania Real Estate Investment Trust REIT | 21,950 | 328,811 | ||||||
Prologis, Inc. REITD | 80,423 | 2,672,456 |
Shares | Value | |||||||
PS Business Parks, Inc. REITD | 25,500 | $ | 1,726,860 | |||||
Public Storage REIT | 41,230 | 5,954,024 | ||||||
Regency Centers Corporation REITD | 30,300 | 1,441,371 | ||||||
Retail Properties of America, Inc.D | 116,150 | 1,128,978 | ||||||
Senior Housing Properties Trust REITD | 135,335 | 3,020,677 | ||||||
Simon Property Group, Inc. REIT | 149,650 | 23,294,519 | ||||||
SL Green Realty Corporation REIT | 69,950 | 5,612,788 | ||||||
Strategic Hotels & Resorts, Inc. REITD* | 430,050 | 2,778,123 | ||||||
Sunstone Hotel Investors, Inc. REIT* | 143,900 | 1,581,461 | ||||||
Taubman Centers, Inc. REITD | 45,700 | 3,526,212 | ||||||
UDR, Inc. REIT | 145,600 | 3,762,304 | ||||||
Ventas, Inc. REIT | 88,650 | 5,595,588 | ||||||
Vornado Realty Trust REITD | 39,600 | 3,325,608 | ||||||
Washington Real Estate Investment Trust REITD | 94,450 | 2,687,102 | ||||||
|
| |||||||
171,510,024 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $144,888,333) | 171,510,024 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 19.1% |
| |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 6,685,531 | 6,685,531 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 27,574,565 | 27,574,565 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $34,260,096) | 34,260,096 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 114.9% |
| |||||||
(Cost $179,148,429) | 205,770,120 | |||||||
Liabilities in Excess of Other Assets — (14.9)% | (26,722,978 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 179,047,142 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
|
| |||||
% | ||||||
Financial Services | 95.8 | |||||
Money Market Funds | 19.1 | |||||
Futures Contracts | 4.0 | |||||
|
| |||||
118.9 | ||||||
|
|
See Notes to Financial Statements.
120
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks | $ | 171,510,024 | $ | 171,510,024 | $ | — | $ | — | ||||||||
Money Market Funds | 34,260,096 | 34,260,096 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 205,770,120 | $ | 205,770,120 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 176,270 | $ | 176,270 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 176,270 | $ | 176,270 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
121
Table of Contents
VALUE EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 91.4% | ||||||||
Consumer Discretionary — 9.3% | ||||||||
Apollo Group, Inc. Class AD* | 92,200 | $ | 3,336,718 | |||||
Best Buy Co., Inc.D | 46,900 | 983,024 | ||||||
Carnival CorporationD | 269,529 | 9,236,759 | ||||||
CBS Corporation Class B | 234,201 | 7,677,109 | ||||||
Coach, Inc. | 49,200 | 2,877,216 | ||||||
Comcast Corporation Class AD | 438,048 | 14,004,395 | ||||||
Dana Holding CorporationD | 257,000 | 3,292,170 | ||||||
DIRECTV Class A* | 75,900 | 3,705,438 | ||||||
Foot Locker, Inc. | 46,900 | 1,434,202 | ||||||
Ford Motor Co. | 146,651 | 1,406,383 | ||||||
Gap, Inc. (The)D | 304,400 | 8,328,384 | ||||||
General Motors Co.D* | 102,008 | 2,011,598 | ||||||
Home Depot, Inc. (The) | 186,500 | 9,882,635 | ||||||
Interpublic Group of Cos., Inc. (The) | 233,400 | 2,532,390 | ||||||
Johnson Controls, Inc. | 26,578 | 736,476 | ||||||
Lear Corporation | 34,400 | 1,297,912 | ||||||
Lennar Corporation Class AD | 217,951 | 6,736,865 | ||||||
Lowe’s Cos., Inc. | 40,688 | 1,157,167 | ||||||
News Corporation Class A | 53,652 | 1,195,903 | ||||||
Target Corporation | 172,580 | 10,042,430 | ||||||
Time Warner, Inc. | 126,955 | 4,887,768 | ||||||
Wal-Mart Stores, Inc. | 13,928 | 971,060 | ||||||
Walt Disney Co. (The) | 44,115 | 2,139,578 | ||||||
Whirlpool Corporation | 38,100 | 2,330,196 | ||||||
Wyndham Worldwide CorporationD | 48,000 | 2,531,520 | ||||||
|
| |||||||
104,735,296 | ||||||||
|
| |||||||
Consumer Staples — 5.1% | ||||||||
Archer-Daniels-Midland Co. | 98,119 | 2,896,473 | ||||||
Colgate-Palmolive Co. | 1,548 | 161,147 | ||||||
CVS Caremark Corporation | 158,434 | 7,403,621 | ||||||
Dean Foods Co.D* | 139,000 | 2,367,170 | ||||||
Energizer Holdings, Inc.D* | 58,200 | 4,379,550 | ||||||
General Mills, Inc.D | 5,512 | 212,433 | ||||||
Kellogg Co. | 445 | 21,952 | ||||||
Kimberly-Clark Corporation | 39,922 | 3,344,266 | ||||||
Kraft Foods, Inc. Class A | 257,755 | 9,954,498 | ||||||
Kroger Co. (The) | 174,900 | 4,055,931 | ||||||
PepsiCo, Inc. | 52,300 | 3,695,518 | ||||||
Procter & Gamble Co. (The) | 99,201 | 6,076,061 | ||||||
Safeway, Inc.D | 64,600 | 1,172,490 | ||||||
Sysco CorporationD | 10,830 | 322,842 | ||||||
Tyson Foods, Inc. Class A | 58,600 | 1,103,438 | ||||||
Walgreen Co.D | 345,595 | 10,222,700 | ||||||
|
| |||||||
57,390,090 | ||||||||
|
| |||||||
Energy — 13.2% | ||||||||
Anadarko Petroleum Corporation | 19,500 | 1,290,900 | ||||||
Apache Corporation | 15,257 | 1,340,938 | ||||||
Baker Hughes, Inc. | 149,822 | 6,157,684 | ||||||
Chevron Corporation | 283,429 | 29,901,760 | ||||||
ConocoPhillips | 314,875 | 17,595,215 | ||||||
Devon Energy Corporation | 83,689 | 4,853,125 | ||||||
Exxon Mobil Corporation | 401,904 | 34,390,925 | ||||||
Halliburton Co. | 24,544 | 696,804 | ||||||
Hess Corporation | 44,847 | 1,948,602 | ||||||
Marathon Oil CorporationD | 238,226 | 6,091,439 | ||||||
Marathon Petroleum Corporation | 52,200 | 2,344,824 |
Shares | Value | |||||||
Murphy Oil Corporation | 79,600 | $ | 4,003,084 | |||||
National Oilwell Varco, Inc. | 12,845 | 827,732 | ||||||
Occidental Petroleum Corporation | 131,767 | 11,301,656 | ||||||
Phillips 66* | 157,269 | 5,227,622 | ||||||
Spectra Energy CorporationD | 278,511 | 8,093,529 | ||||||
Tesoro Corporation* | 174,400 | 4,353,024 | ||||||
Valero Energy Corporation | 332,700 | 8,034,705 | ||||||
|
| |||||||
148,453,568 | ||||||||
|
| |||||||
Financial Services — 20.6% | ||||||||
Aflac, Inc. | 46,272 | 1,970,724 | ||||||
Allstate Corporation (The) | 133,428 | 4,681,989 | ||||||
American Express Co.D | 327,962 | 19,090,668 | ||||||
American Financial Group, Inc. | 50,600 | 1,985,038 | ||||||
American International Group, Inc.* | 25,175 | 807,866 | ||||||
Ameriprise Financial, Inc. | 142,600 | 7,452,276 | ||||||
Assurant, Inc. | 101,500 | 3,536,260 | ||||||
Bank of America CorporationD | 1,100,968 | 9,005,918 | ||||||
Bank of New York Mellon Corporation (The) | 46,590 | 1,022,651 | ||||||
BB&T Corporation | 27,311 | 842,544 | ||||||
Berkshire Hathaway, Inc. Class B* | 69,552 | 5,795,768 | ||||||
BlackRock, Inc. | 2,315 | 393,133 | ||||||
Capital One Financial Corporation | 269,264 | 14,717,970 | ||||||
Charles Schwab Corporation (The) | 41,974 | 542,724 | ||||||
Chubb Corporation (The)D | 40,143 | 2,923,213 | ||||||
Citigroup, Inc. | 666,119 | 18,258,322 | ||||||
CME Group, Inc. | 2,594 | 695,477 | ||||||
Discover Financial Services | 166,802 | 5,768,013 | ||||||
Equity Residential REIT | 10,816 | 674,486 | ||||||
Fifth Third Bancorp | 249,700 | 3,345,980 | ||||||
Franklin Resources, Inc. | 4,178 | 463,716 | ||||||
Goldman Sachs Group, Inc. (The) | 19,212 | 1,841,662 | ||||||
Huntington Bancshares, Inc. | 645,900 | 4,133,760 | ||||||
Jones Lang LaSalle, Inc. | 24,800 | 1,745,176 | ||||||
JPMorgan Chase & Co. | 873,188 | 31,199,007 | ||||||
KeyCorp | 477,800 | 3,698,172 | ||||||
Lincoln National Corporation | 48,800 | 1,067,256 | ||||||
Loews Corporation | 12,184 | 498,448 | ||||||
Marsh & McLennan Cos., Inc. | 4,439 | 143,069 | ||||||
MetLife, Inc. | 76,619 | 2,363,696 | ||||||
Morgan Stanley | 59,866 | 873,445 | ||||||
PNC Financial Services Group, Inc. | 60,940 | 3,724,043 | ||||||
Prudential Financial, Inc. | 18,240 | 883,363 | ||||||
Regions Financial Corporation | 578,000 | 3,901,500 | ||||||
Reinsurance Group of America, Inc. | 22,800 | 1,213,188 | ||||||
Simon Property Group, Inc. REIT | 1,879 | 292,485 | ||||||
SLM Corporation | 461,000 | 7,242,310 | ||||||
State Street CorporationD | 321,185 | 14,337,698 | ||||||
Thomson Reuters Corporation | 14,504 | 412,639 | ||||||
Travelers Cos., Inc. (The) | 173,500 | 11,076,240 | ||||||
US BancorpD | 218,068 | 7,013,067 | ||||||
Visa, Inc. Class A | 13,200 | 1,631,916 | ||||||
Wells Fargo & Co. | 822,825 | 27,515,268 | ||||||
|
| |||||||
230,782,144 | ||||||||
|
|
See Notes to Financial Statements.
122
Table of Contents
Shares | Value | |||||||
Healthcare — 13.7% | ||||||||
Abbott Laboratories | 3,190 | $ | 205,659 | |||||
Aetna, Inc. | 117,988 | 4,574,395 | ||||||
AmerisourceBergen Corporation | 61,500 | 2,420,025 | ||||||
Amgen, Inc. | 19,500 | 1,424,281 | ||||||
Baxter International, Inc. | 152,426 | 8,101,442 | ||||||
Becton, Dickinson and Co.D | 538 | 40,216 | ||||||
Bristol-Myers Squibb Co. | 6,063 | 217,965 | ||||||
Cardinal Health, Inc. | 203,500 | 8,547,000 | ||||||
Eli Lilly & Co. | 25,439 | 1,091,587 | ||||||
Gilead Sciences, Inc.* | 63,000 | 3,230,640 | ||||||
Health Net, Inc.* | 52,400 | 1,271,748 | ||||||
Hologic, Inc.* | 266,750 | 4,812,170 | ||||||
Humana, Inc. | 27,800 | 2,152,832 | ||||||
Johnson & JohnsonD | 270,722 | 18,289,978 | ||||||
McKesson Corporation | 22,300 | 2,090,625 | ||||||
Medtronic, Inc. | 385,328 | 14,923,753 | ||||||
Merck & Co., Inc. | 233,975 | 9,768,456 | ||||||
Mylan, Inc.D* | 180,400 | 3,855,148 | ||||||
Pfizer, Inc. | 1,552,816 | 35,714,768 | ||||||
Stryker Corporation | 3,188 | 175,659 | ||||||
Thermo Fisher Scientific, Inc. | 57,042 | 2,961,050 | ||||||
UnitedHealth Group, Inc.D | 261,204 | 15,280,434 | ||||||
WellPoint, Inc. | 193,413 | 12,337,815 | ||||||
|
| |||||||
153,487,646 | ||||||||
|
| |||||||
Materials & Processing — 1.9% | ||||||||
Air Products & | ||||||||
Chemicals, Inc. | 8,256 | 666,507 | ||||||
CF Industries Holdings, Inc. | 24,300 | 4,707,882 | ||||||
Cliffs Natural Resources, Inc. | 43,800 | 2,158,902 | ||||||
Dow Chemical Co. (The) | 46,676 | 1,470,294 | ||||||
E.I. du Pont de Nemours & Co.D | 84,100 | 4,252,937 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 37,090 | 1,263,656 | ||||||
Huntsman Corporation | 167,000 | 2,160,980 | ||||||
MeadWestvaco Corporation | 78,400 | 2,254,000 | ||||||
Mosaic Co. (The) | 11,579 | 634,066 | ||||||
Newmont Mining Corporation | 19,060 | 924,601 | ||||||
Southern Copper Corporation | 1,631 | 51,393 | ||||||
Timken Co. | 24,600 | 1,126,434 | ||||||
|
| |||||||
21,671,652 | ||||||||
|
| |||||||
Producer Durables — 11.2% | ||||||||
3M Co. | 2,739 | 245,414 | ||||||
AGCO Corporation* | 31,000 | 1,417,630 | ||||||
Boeing Co. (The) | 2,829 | 210,195 | ||||||
CSX Corporation | 13,107 | 293,072 | ||||||
Danaher Corporation | 14,937 | 777,919 | ||||||
Delta Air Lines, Inc.* | 246,900 | 2,703,555 | ||||||
Emerson Electric Co.D | 178,356 | 8,307,822 | ||||||
FedEx Corporation | 11,541 | 1,057,271 | ||||||
General Dynamics Corporation | 38,501 | 2,539,526 | ||||||
General Electric Co. | 1,685,656 | 35,129,071 | ||||||
Honeywell International, Inc. | 310,400 | 17,332,736 | ||||||
Illinois Tool Works, Inc.D | 180,431 | 9,542,996 | ||||||
KBR, Inc. | 64,100 | 1,583,911 | ||||||
Lockheed Martin CorporationD | 33,598 | 2,925,714 | ||||||
Norfolk Southern Corporation | 12,721 | 912,986 | ||||||
Northrop Grumman CorporationD | 75,411 | 4,810,468 | ||||||
Raytheon Co.D | 261,488 | 14,797,606 | ||||||
Stanley Black & Decker, Inc. | 132,600 | 8,534,136 | ||||||
Terex CorporationD* | 220,600 | 3,933,298 |
Shares | Value | |||||||
Textron, Inc.D | 313,300 | $ | 7,791,771 | |||||
Waste Management, Inc.D | 18,084 | 604,006 | ||||||
|
| |||||||
125,451,103 | ||||||||
|
| |||||||
Technology — 7.9% | ||||||||
Adobe Systems, Inc.* | 8,263 | 267,473 | ||||||
Apple, Inc.* | 4,700 | 2,744,800 | ||||||
Broadcom Corporation Class A* | 8,174 | 276,281 | ||||||
Brocade Communications Systems, Inc.D* | 265,400 | 1,308,422 | ||||||
CA, Inc. | 196,500 | 5,323,185 | ||||||
Cisco Systems, Inc. | 747,792 | 12,839,589 | ||||||
Corning, Inc. | 59,266 | 766,310 | ||||||
Dell, Inc.* | 434,481 | 5,439,702 | ||||||
Hewlett-Packard Co.D | 223,522 | 4,495,027 | ||||||
Intel Corporation | 528,794 | 14,092,360 | ||||||
International Business Machines Corporation | 42,900 | 8,390,382 | ||||||
Lam Research CorporationD* | 60,500 | 2,283,270 | ||||||
Microsoft Corporation | 431,100 | 13,187,349 | ||||||
Oracle Corporation | 57,900 | 1,719,630 | ||||||
Symantec Corporation* | 339,600 | 4,961,556 | ||||||
Texas Instruments, Inc. | 177,164 | 5,082,835 | ||||||
Western Digital Corporation* | 38,500 | 1,173,480 | ||||||
Yahoo!, Inc.* | 230,038 | 3,641,502 | ||||||
|
| |||||||
87,993,153 | ||||||||
|
| |||||||
Utilities — 8.5% | ||||||||
AES Corporation (The)* | 564,200 | 7,238,685 | ||||||
Ameren Corporation | 29,700 | 996,138 | ||||||
American Electric Power Co., Inc. | 205,358 | 8,193,784 | ||||||
AT&T, Inc. | 1,025,621 | 36,573,645 | ||||||
CenturyLink, Inc.D | 24,263 | 958,146 | ||||||
Consolidated Edison, Inc. | 11,411 | 709,650 | ||||||
Dominion Resources, Inc. | 22,295 | 1,203,930 | ||||||
DTE Energy Co. | 30,400 | 1,803,632 | ||||||
Duke Energy Corporation | 52,245 | 1,204,770 | ||||||
Edison International | 93,200 | 4,305,840 | ||||||
Entergy CorporationD | 133,600 | 9,070,104 | ||||||
Exelon Corporation | 33,284 | 1,252,144 | ||||||
FirstEnergy Corporation | 16,401 | 806,765 | ||||||
NextEra Energy, Inc. | 16,278 | 1,120,089 | ||||||
NV Energy, Inc. | 123,700 | 2,174,646 | ||||||
PG&E Corporation | 16,524 | 748,041 | ||||||
Public Service Enterprise Group, Inc. | 132,341 | 4,301,082 | ||||||
Sempra Energy | 22,200 | 1,529,136 | ||||||
Southern Co. (The) | 33,905 | 1,569,802 | ||||||
Verizon Communications, Inc. | 205,824 | 9,146,819 | ||||||
|
| |||||||
94,906,848 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $971,008,252) | 1,024,871,500 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 6.2% |
| |||||||
Bermuda — 0.6% | ||||||||
Bunge, Ltd.D | 21,300 | 1,336,362 | ||||||
Everest Re Group, Ltd. | 28,700 | 2,970,163 | ||||||
Nabors Industries, Ltd.D* | 170,000 | 2,448,000 | ||||||
|
| |||||||
6,754,525 | ||||||||
|
| |||||||
Canada — 0.5% | ||||||||
Agrium, Inc.D | 44,600 | 3,945,762 | ||||||
Domtar Corporation | 16,400 | 1,258,044 | ||||||
|
| |||||||
5,203,806 | ||||||||
|
|
See Notes to Financial Statements.
123
Table of Contents
VALUE EQUITY FUND | ||
SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
Cayman Islands — 0.1% | ||||||||
Herbalife, Ltd. | 20,500 | $ | 990,765 | |||||
|
| |||||||
France — 0.7% | ||||||||
Sanofi-Aventis ADRD | 221,500 | 8,368,270 | ||||||
|
| |||||||
Ireland — 0.5% | ||||||||
Covidien PLC | 17,868 | 955,938 | ||||||
XL Group PLCD | 200,900 | 4,226,936 | ||||||
|
| |||||||
5,182,874 | ||||||||
|
| |||||||
Netherlands — 0.5% | ||||||||
LyondellBasell Industries N.V. Class AD | 11,684 | 470,515 | ||||||
Royal Dutch Shell PLC ADRD | 82,000 | 5,529,260 | ||||||
|
| |||||||
5,999,775 | ||||||||
|
| |||||||
Switzerland — 1.9% | ||||||||
ACE, Ltd.D | 77,932 | 5,777,099 | ||||||
TE Connectivity, Ltd.D | 174,475 | 5,567,497 | ||||||
Tyco International, Ltd. | 171,447 | 9,060,974 | ||||||
Weatherford International, Ltd.* | 101,900 | 1,286,997 | ||||||
|
| |||||||
21,692,567 | ||||||||
|
| |||||||
United Kingdom — 1.4% | ||||||||
BP PLC ADRD | 100,000 | 4,054,000 | ||||||
Ensco PLC Class A | 136,900 | 6,430,193 | ||||||
Vodafone Group PLC ADRD | 185,400 | 5,224,572 | ||||||
|
| |||||||
15,708,765 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $72,849,983) | 69,901,347 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 9.6% |
| |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 23,448,975 | 23,448,975 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 83,958,936 | 83,958,936 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $107,407,911) | 107,407,911 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY | ||||||||
U.S. Treasury Bill 0.14%, 11/01/12 (Cost $649,698) | $ | 650,000 | 649,769 | |||||
|
| |||||||
TOTAL INVESTMENTS — 107.3% |
| |||||||
(Cost $1,151,915,844) | 1,202,830,527 | |||||||
Liabilities in Excess of Other | (81,578,901 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,121,251,626 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
| ||||||
% | ||||||
Financial Services | 20.6 | |||||
Healthcare | 13.7 | |||||
Energy | 13.2 | |||||
Producer Durables | 11.2 | |||||
Money Market Funds | 9.6 | |||||
Consumer Discretionary | 9.3 | |||||
Utilities | 8.5 | |||||
Technology | 7.9 | |||||
Foreign Common Stocks | 6.2 | |||||
Consumer Staples | 5.1 | |||||
Futures Contracts | 2.3 | |||||
Materials & Processing | 1.9 | |||||
U.S. Treasury Obligation | 0.1 | |||||
|
| |||||
109.6 | ||||||
|
|
See Notes to Financial Statements.
124
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks | $ | 1,024,871,500 | $ | 1,024,871,500 | $ | — | $ | — | ||||||||
Foreign Common Stocks | 69,901,347 | 69,901,347 | — | — | ||||||||||||
Money Market Funds | 107,407,911 | 107,407,911 | — | — | ||||||||||||
U.S. Treasury Obligation | 649,769 | — | 649,769 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,202,830,527 | $ | 1,202,180,758 | $ | 649,769 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 912,853 | $ | 912,853 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 912,853 | $ | 912,853 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
125
Table of Contents
GROWTH EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 88.7% | ||||||||
Consumer Discretionary — 21.9% | ||||||||
Amazon.com, Inc.* | 125,491 | $ | 28,655,870 | |||||
AutoZone, Inc.D* | 6,456 | 2,370,450 | ||||||
Bed Bath & Beyond, Inc.* | 100,050 | 6,183,090 | ||||||
BorgWarner, Inc.D* | 52,600 | 3,450,034 | ||||||
Chipotle Mexican Grill, Inc.D* | 3,200 | 1,215,840 | ||||||
Coach, Inc. | 241,226 | 14,106,896 | ||||||
Comcast Corporation Class AD | 60,700 | 1,940,579 | ||||||
Costco Wholesale Corporation | 94,720 | 8,998,400 | ||||||
Dick’s Sporting Goods, Inc.D | 31,320 | 1,503,360 | ||||||
DIRECTV Class A* | 77,840 | 3,800,149 | ||||||
Dollar General Corporation* | 64,565 | 3,511,690 | ||||||
Dollar Tree, Inc.* | 25,748 | 1,385,242 | ||||||
eBay, Inc.* | 290,640 | 12,209,786 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 185,648 | 10,047,270 | ||||||
Ford Motor Co. | 379,294 | 3,637,430 | ||||||
Home Depot, Inc. (The)D | 224,671 | 11,905,316 | ||||||
Limited Brands, Inc.D | 226,756 | 9,643,933 | ||||||
Macy’s, Inc. | 27,750 | 953,213 | ||||||
McDonald’s Corporation | 81,985 | 7,258,132 | ||||||
Netflix, Inc.D* | 58,900 | 4,032,883 | ||||||
NIKE, Inc. Class B | 245,708 | 21,568,248 | ||||||
Nordstrom, Inc. | 35,460 | 1,762,007 | ||||||
O’Reilly Automotive, Inc.D* | 80,003 | 6,701,851 | ||||||
PetSmart, Inc. | 23,980 | 1,634,956 | ||||||
priceline.com, Inc.* | 37,418 | 24,865,009 | ||||||
Ralph Lauren Corporation | 28,520 | 3,994,511 | ||||||
Starbucks Corporation | 510,094 | 27,198,212 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 180,370 | 9,566,825 | ||||||
TJX Cos., Inc. | 275,295 | 11,818,414 | ||||||
Tractor Supply Co.D | 34,190 | 2,839,821 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.D* | 16,700 | 1,559,446 | ||||||
Wal-Mart Stores, Inc. | 17,050 | 1,188,726 | ||||||
Yum! Brands, Inc. | 144,100 | 9,282,922 | ||||||
|
| |||||||
260,790,511 | ||||||||
|
| |||||||
Consumer Staples — 3.6% | ||||||||
Church & Dwight Co., Inc.D | 19,970 | 1,107,736 | ||||||
Coca-Cola Co. (The)D | 290,140 | 22,686,047 | ||||||
Kraft Foods, Inc. Class A | 87,260 | 3,369,981 | ||||||
Mead Johnson Nutrition Co. | 71,194 | 5,731,829 | ||||||
Monster Beverage Corporation* | 32,510 | 2,314,712 | ||||||
Whole Foods Market, Inc. | 82,600 | 7,873,432 | ||||||
|
| |||||||
43,083,737 | ||||||||
|
| |||||||
Energy — 5.8% | ||||||||
Anadarko Petroleum | ||||||||
Corporation | 44,270 | 2,930,674 | ||||||
Cabot Oil & Gas CorporationD | 65,754 | 2,590,708 | ||||||
Chevron Corporation | 75,470 | 7,962,085 | ||||||
Denbury Resources, Inc.* | 109,820 | 1,659,380 | ||||||
FMC Technologies, Inc.* | 195,400 | 7,665,542 | ||||||
Halliburton Co.D | 95,901 | 2,722,629 | ||||||
National Oilwell Varco, Inc. | 218,519 | 14,081,364 | ||||||
Noble Energy, Inc. | 26,400 | 2,239,248 | ||||||
Occidental Petroleum Corporation | 46,830 | 4,016,609 | ||||||
Pioneer Natural Resources Co. | 18,030 | 1,590,426 | ||||||
Plains Exploration & Production Co.* | 58,660 | 2,063,659 |
Shares | Value | |||||||
Schlumberger, Ltd. | 215,380 | $ | 13,980,316 | |||||
Southwestern Energy Co.* | 157,900 | 5,041,747 | ||||||
|
| |||||||
68,544,387 | ||||||||
|
| |||||||
Financial Services — 11.2% | ||||||||
Alliance Data Systems CorporationD* | 7,480 | 1,009,800 | ||||||
American Express Co.D | 172,840 | 10,061,016 | ||||||
American Tower Corporation REIT | 118,830 | 8,307,405 | ||||||
Ameriprise Financial, Inc. | 36,790 | 1,922,645 | ||||||
Capital One Financial Corporation | 108,705 | 5,941,815 | ||||||
CBRE Group, Inc. Class A* | 81,430 | 1,332,195 | ||||||
Discover Financial Services | 169,191 | 5,850,625 | ||||||
Fifth Third Bancorp | 71,750 | 961,450 | ||||||
IntercontinentalExchange, Inc.* | 57,000 | 7,750,860 | ||||||
Invesco, Ltd. | 126,780 | 2,865,228 | ||||||
JPMorgan Chase & Co.D | 130,330 | 4,656,691 | ||||||
Mastercard, Inc. Class A | 33,910 | 14,585,030 | ||||||
Raymond James Financial, Inc. | 29,850 | 1,022,064 | ||||||
T Rowe Price Group, Inc.D | 65,840 | 4,145,286 | ||||||
US Bancorp | 236,080 | 7,592,333 | ||||||
Vantiv, Inc. Class AD* | 29,370 | 684,027 | ||||||
Visa, Inc. Class A | 347,388 | 42,947,578 | ||||||
Wells Fargo & Co. | 367,302 | 12,282,579 | ||||||
|
| |||||||
133,918,627 | ||||||||
|
| |||||||
Healthcare — 12.0% | ||||||||
Abbott Laboratories | 11,360 | 734,198 | ||||||
Alexion Pharmaceuticals, Inc.D* | 198,408 | 19,701,915 | ||||||
Allergan, Inc. | 265,820 | 24,606,957 | ||||||
athenahealth, Inc.D* | 46,300 | 3,665,571 | ||||||
Biogen Idec, Inc.* | 115,217 | 16,635,030 | ||||||
Bristol-Myers Squibb Co. | 98,463 | 3,539,745 | ||||||
Celgene Corporation* | 36,410 | 2,336,065 | ||||||
Cerner CorporationD* | 126,350 | 10,444,091 | ||||||
Cooper Cos., Inc. (The) | 23,030 | 1,836,873 | ||||||
Edwards Lifesciences Corporation* | 19,200 | 1,983,360 | ||||||
Express Scripts Holding Co.* | 158,972 | 8,875,407 | ||||||
Gilead Sciences, Inc.* | 136,900 | 7,020,232 | ||||||
Hologic, Inc.* | 59,250 | 1,068,870 | ||||||
Intuitive Surgical, Inc.* | 24,850 | 13,761,682 | ||||||
McKesson Corporation | 12,540 | 1,175,625 | ||||||
Merck & Co., Inc. | 36,100 | 1,507,175 | ||||||
Perrigo Co.D | 33,720 | 3,976,600 | ||||||
Pfizer, Inc.D | 307,600 | 7,074,800 | ||||||
Regeneron Pharmaceuticals, Inc.D* | 91,900 | 10,496,818 | ||||||
Watson Pharmaceuticals, Inc.D* | 39,880 | 2,950,721 | ||||||
|
| |||||||
143,391,735 | ||||||||
|
| |||||||
Materials & Processing — 5.0% | ||||||||
Airgas, Inc. | 16,190 | 1,360,123 | ||||||
E.I. du Pont de Nemours & Co. | 46,880 | 2,370,722 | ||||||
Ecolab, Inc. | 80,710 | 5,531,056 | ||||||
Masco CorporationD | 85,800 | 1,190,046 | ||||||
Monsanto Co. | 203,316 | 16,830,498 | ||||||
Praxair, Inc. | 173,101 | 18,821,272 | ||||||
Precision Castparts Corporation | 75,021 | 12,340,204 | ||||||
Sherwin-Williams Co. (The)D | 11,800 | 1,561,730 | ||||||
|
| |||||||
60,005,651 | ||||||||
|
|
See Notes to Financial Statements.
126
Table of Contents
Shares | Value | |||||||
Producer Durables — 7.0% | ||||||||
Agilent Technologies, Inc. | 71,370 | $ | 2,800,560 | |||||
AMETEK, Inc. | 100,850 | 5,033,424 | ||||||
BE Aerospace, Inc.* | 37,080 | 1,618,913 | ||||||
Caterpillar, Inc. | 59,900 | 5,086,109 | ||||||
Cummins, Inc. | 66,021 | 6,398,095 | ||||||
Danaher Corporation | 45,176 | 2,352,766 | ||||||
Deere & Co. | 61,763 | 4,994,774 | ||||||
Eaton CorporationD | 115,430 | 4,574,491 | ||||||
FedEx Corporation | 108,030 | 9,896,628 | ||||||
Fluor Corporation | 70,200 | 3,463,668 | ||||||
Honeywell International, Inc. | 100,660 | 5,620,854 | ||||||
Joy Global, Inc.D | 57,100 | 3,239,283 | ||||||
Stericycle, Inc.D* | 20,500 | 1,879,235 | ||||||
Trimble Navigation, Ltd.* | 60,070 | 2,763,821 | ||||||
Union Pacific Corporation | 69,534 | 8,296,102 | ||||||
Verisk Analytics, Inc. Class AD* | 79,520 | 3,917,155 | ||||||
W.W. Grainger, Inc. | 58,701 | 11,225,979 | ||||||
|
| |||||||
83,161,857 | ||||||||
|
| |||||||
Technology — 21.2% | ||||||||
Altera Corporation | 29,760 | 1,007,079 | ||||||
Apple, Inc.* | 150,796 | 88,064,864 | ||||||
Autodesk, Inc.* | 89,350 | 3,126,356 | ||||||
Cisco Systems, Inc. | 177,260 | 3,043,554 | ||||||
Citrix Systems, Inc.D* | 70,860 | 5,947,988 | ||||||
Cognizant Technology Solutions Corporation Class A* | 19,940 | 1,196,400 | ||||||
EMC Corporation* | 413,738 | 10,604,105 | ||||||
F5 Networks, Inc.* | 100,820 | 10,037,639 | ||||||
Facebook, Inc.D* | 238,497 | 7,422,027 | ||||||
Google, Inc. Class A* | 56,475 | 32,759,453 | ||||||
Informatica Corporation* | 22,970 | 973,009 | ||||||
Intuit, Inc. | 62,680 | 3,720,058 | ||||||
JDS Uniphase CorporationD* | 90,460 | 995,060 | ||||||
LinkedIn CorporationD* | 29,884 | 3,175,773 | ||||||
Microsoft Corporation | 341,490 | 10,446,179 | ||||||
QUALCOMM, Inc. | 554,137 | 30,854,348 | ||||||
Red Hat, Inc.D* | 39,100 | 2,208,368 | ||||||
Riverbed Technology, Inc.* | 62,900 | 1,015,835 | ||||||
Rovi Corporation* | 7 | 137 | ||||||
Salesforce.com, Inc.D* | 169,520 | 23,437,835 | ||||||
Teradata Corporation* | 87,340 | 6,289,353 | ||||||
VeriFone Systems, Inc.D* | 61,300 | 2,028,417 | ||||||
VMware, Inc.* | 46,120 | 4,198,765 | ||||||
|
| |||||||
252,552,602 | ||||||||
|
| |||||||
Utilities — 1.0% | ||||||||
AES Corporation (The)* | 85,650 | 1,098,890 | ||||||
American Water Works Co., Inc. | 31,640 | 1,084,619 | ||||||
AT&T, Inc.D | 182,400 | 6,504,384 | ||||||
ITC Holdings CorporationD | 22,050 | 1,519,466 | ||||||
NiSource, Inc.D | 64,430 | 1,594,642 | ||||||
|
| |||||||
11,802,001 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $802,497,110) | 1,057,251,108 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 5.6% |
| |||||||
Canada — 0.5% | ||||||||
Lululemon Athletica, Inc.D* | 63,704 | 3,798,670 | ||||||
Valeant Pharmaceuticals International, Inc.D* | 52,471 | 2,350,176 | ||||||
|
| |||||||
6,148,846 | ||||||||
|
|
Shares | Value | |||||||
China — 0.5% | ||||||||
Baidu, Inc. ADRD* | 54,581 | $ | 6,275,723 | |||||
|
| |||||||
Denmark — 0.3% | ||||||||
Novo Nordisk A/S ADRD | 27,610 | 4,012,837 | ||||||
|
| |||||||
Hong Kong — 0.2% | ||||||||
Michael Kors Holdings, Ltd.* | 50,685 | 2,120,660 | ||||||
|
| |||||||
Ireland — 1.6% | ||||||||
Accenture PLC Class AD | 219,871 | 13,212,049 | ||||||
Shire PLC ADR | 62,850 | 5,429,612 | ||||||
|
| |||||||
18,641,661 | ||||||||
|
| |||||||
Israel — 0.5% | ||||||||
Check Point Software Technologies, Ltd.* | 125,367 | 6,216,950 | ||||||
|
| |||||||
Netherlands — 1.0% | ||||||||
ASML Holding N.V.D | 174,800 | 8,988,216 | ||||||
LyondellBasell Industries N.V. Class AD | 59,000 | 2,375,930 | ||||||
|
| |||||||
11,364,146 | ||||||||
|
| |||||||
Singapore — 0.7% | ||||||||
Avago Technologies, Ltd.D | 169,080 | 6,069,972 | ||||||
Hutchison Port Holdings Trust | 3,282,000 | 2,346,007 | ||||||
|
| |||||||
8,415,979 | ||||||||
|
| |||||||
Switzerland — 0.1% | ||||||||
Compagnie Financiere Richemont SA ADR | 229,473 | 1,241,449 | ||||||
|
| |||||||
United Kingdom — 0.2% | ||||||||
Ensco PLC Class A | 63,370 | 2,976,489 | ||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $59,555,142) | 67,414,740 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Wells Fargo & Co.D* (Cost $678,134) | 35,400 | 1,069,080 | ||||||
|
| |||||||
MONEY MARKET FUNDS — 13.9% |
| |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 57,075,395 | 57,075,395 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 108,131,663 | 108,131,663 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $165,207,058) | 165,207,058 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 108.3% |
| |||||||
(Cost $1,027,937,444) | 1,290,941,986 | |||||||
Liabilities in Excess of Other | (98,817,516 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,192,124,470 | ||||||
|
|
See Notes to Financial Statements.
127
Table of Contents
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Consumer Discretionary | 21.9 | |||
Technology | 21.2 | |||
Money Market Funds | 13.9 | |||
Healthcare | 12.0 | |||
Financial Services | 11.2 | |||
Producer Durables | 7.0 | |||
Energy | 5.8 | |||
Foreign Common Stocks | 5.6 | |||
Futures Contracts | 5.1 | |||
Materials & Processing | 5.0 | |||
Consumer Staples | 3.6 | |||
Utilities | 1.0 | |||
Preferred Stock | 0.1 | |||
|
| |||
113.4 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks | $ | 1,057,251,108 | $ | 1,057,251,108 | $ | — | $ | — | ||||||||
Foreign Common Stocks | 67,414,740 | 65,068,734 | 2,346,006 | — | ||||||||||||
Money Market Funds | 165,207,058 | 165,207,058 | — | — | ||||||||||||
Preferred Stock | 1,069,080 | 1,069,080 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,290,941,986 | $ | 1,288,595,980 | $ | 2,346,006 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 2,024,443 | $ | 2,024,443 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 2,024,443 | $ | 2,024,443 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
See Notes to Financial Statements.
128
Table of Contents
SMALL CAP EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 78.9% | ||||||||
Consumer Discretionary — 11.2% | ||||||||
Aaron’s, Inc.D | 94,300 | $ | 2,669,633 | |||||
Aeropostale, Inc.* | 32,900 | 586,607 | ||||||
AMERCO, Inc.D* | 11,200 | 1,007,664 | ||||||
American Public Education, Inc.D* | 19,200 | 614,400 | ||||||
ANN, Inc.D* | 43,800 | 1,116,462 | ||||||
Apollo Group, Inc. Class AD* | 43,000 | 1,556,170 | ||||||
Arbitron, Inc.D | 34,200 | 1,197,000 | ||||||
Arctic Cat, Inc.D* | 36,500 | 1,334,440 | ||||||
Asbury Automotive Group, Inc.* | 28,600 | 677,534 | ||||||
Cabela’s, Inc.* | 8,912 | 336,963 | ||||||
Capella Education Co.D* | 23,000 | 799,480 | ||||||
Carter’s, Inc.D* | 7,600 | 399,760 | ||||||
Chico’s FAS, Inc. | 76,300 | 1,132,292 | ||||||
Coinstar, Inc.D* | 12,500 | 858,250 | ||||||
Constant Contact, Inc.D* | 60,100 | 1,074,588 | ||||||
CROCS, Inc.* | 77,300 | 1,248,395 | ||||||
Dana Holding CorporationD | 103,600 | 1,327,116 | ||||||
Destination Maternity Corporation | 35,600 | 768,960 | ||||||
Domino’s Pizza, Inc.D* | 19,308 | 596,810 | ||||||
DSW, Inc. | 30,100 | 1,637,440 | ||||||
Elizabeth Arden, Inc.D* | 15,850 | 615,138 | ||||||
Foot Locker, Inc. | 22,000 | 672,760 | ||||||
Francesca’s Holdings CorporationD* | 15,600 | 421,356 | ||||||
Hot Topic, Inc.D | 60,000 | 581,400 | ||||||
Inter Parfums, Inc.D | 36,200 | 625,174 | ||||||
Interpublic Group of Cos., Inc. (The) | 146,700 | 1,591,695 | ||||||
ITT Educational Services, Inc.D* | 19,900 | 1,208,925 | ||||||
John Wiley & Sons, Inc.D | 20,200 | 989,598 | ||||||
Jos. A. Bank Clothiers, Inc.D* | 19,100 | 810,986 | ||||||
LeapFrog Enterprises, Inc.* | 87,400 | 896,724 | ||||||
Lear Corporation | 12,700 | 479,171 | ||||||
Life Time Fitness, Inc.D* | 26,300 | 1,223,213 | ||||||
Lumber Liquidators Holdings, Inc.D* | 20,100 | 679,179 | ||||||
Meritor, Inc.D* | 118,400 | 618,048 | ||||||
Monro Muffler Brake, Inc.D | 33,600 | 1,116,864 | ||||||
National American University Holdings, Inc.D | 54,700 | 235,210 | ||||||
Pier 1 Imports, Inc.D | 30,060 | 493,886 | ||||||
PulteGroup, Inc.D* | 37,000 | 395,900 | ||||||
Ryland Group, Inc. (The)D | 35,600 | 910,648 | ||||||
Select Comfort Corporation* | 25,400 | 531,368 | ||||||
Six Flags Entertainment Corporation | 4,900 | 265,482 | ||||||
Stamps.com, Inc.* | 3,900 | 96,213 | ||||||
Steven Madden, Ltd.* | 7,134 | 226,505 | ||||||
Tenneco, Inc.D* | 48,500 | 1,300,770 | ||||||
Thor Industries, Inc.D | 19,700 | 539,977 | ||||||
TripAdvisor, Inc.D* | 15,250 | 681,523 | ||||||
Tumi Holdings, Inc.D* | 66,400 | 1,162,000 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 7,184 | 670,842 | ||||||
Under Armour, Inc. Class AD* | 2,350 | 222,028 | ||||||
Vera Bradley, Inc.D* | 40,700 | 857,956 | ||||||
Vitamin Shoppe, Inc.D* | 29,250 | 1,606,702 | ||||||
WABCO Holdings, Inc.* | 32,800 | 1,736,104 | ||||||
Whirlpool CorporationD | 18,300 | 1,119,228 |
Shares | Value | |||||||
Wolverine World Wide, Inc.D | 39,900 | $ | 1,547,322 | |||||
Zumiez, Inc.D* | 20,987 | 831,085 | ||||||
|
| |||||||
48,900,944 | ||||||||
|
| |||||||
Consumer Staples — 3.6% | ||||||||
Annie’s, Inc.D* | 13,200 | 552,552 | ||||||
Cal-Maine Foods, Inc.D | 17,800 | 695,980 | ||||||
Casey’s General Stores, Inc. | 25,700 | 1,516,043 | ||||||
Chef’s Warehouse, Inc. (The)D* | 68,800 | 1,241,840 | ||||||
Dean Foods Co.* | 158,100 | 2,692,443 | ||||||
Fresh Market, Inc. (The)* | 14,600 | 782,998 | ||||||
GNC Holdings, Inc. Class AD | 12,423 | 486,982 | ||||||
Hain Celestial Group, Inc. (The)* | 11,100 | 610,944 | ||||||
Harris Teeter Supermarkets, Inc. | 31,600 | 1,295,284 | ||||||
J & J Snack Foods CorporationD | 24,052 | 1,421,473 | ||||||
PetMed Express, Inc.D | 94,000 | 1,143,040 | ||||||
Smart Balance, Inc.D* | 27,038 | 253,887 | ||||||
United Natural Foods, Inc.D* | 40,700 | 2,232,802 | ||||||
USANA Health Sciences, Inc.D* | 15,100 | 620,912 | ||||||
|
| |||||||
15,547,180 | ||||||||
|
| |||||||
Energy — 4.4% | ||||||||
American Standard Energy Corporation@* | 158,702 | 250,749 | ||||||
Dril-Quip, Inc.D* | 13,700 | 898,583 | ||||||
Gulfport Energy Corporation* | 32,000 | 660,160 | ||||||
Helix Energy Solutions Group, Inc.* | 152,300 | 2,499,243 | ||||||
Hornbeck Offshore Services, Inc.D* | 55,200 | 2,140,656 | ||||||
ION Geophysical CorporationD* | 71,000 | 467,890 | ||||||
Key Energy Services, Inc.D* | 87,900 | 668,040 | ||||||
Matador Resources Co.* | 45,800 | 491,892 | ||||||
McMoRan Exploration Co.D* | 48,500 | 614,495 | ||||||
Oasis Petroleum, Inc.D* | 44,996 | 1,088,003 | ||||||
Patterson-UTI Energy, Inc.D | 51,500 | 749,840 | ||||||
Rex Energy CorporationD* | 40,310 | 451,875 | ||||||
Sanchez Energy CorporationD* | 19,000 | 395,200 | ||||||
Sunoco, Inc. | 37,500 | 1,781,250 | ||||||
Swift Energy Co.D* | 42,300 | 787,203 | ||||||
Tesoro Corporation* | 90,200 | 2,251,392 | ||||||
Vaalco Energy, Inc.D* | 114,400 | 987,272 | ||||||
Western Refining, Inc.D | 58,300 | 1,298,341 | ||||||
World Fuel Services CorporationD | 18,000 | 684,540 | ||||||
|
| |||||||
19,166,624 | ||||||||
|
| |||||||
Financial Services — 17.6% | ||||||||
Allied World Assurance Company Holdings AG | 22,400 | 1,780,128 | ||||||
American Campus Communities, Inc. REIT | 30,700 | 1,380,886 | ||||||
American Equity Investment Life Holding Co.D | 88,500 | 974,385 | ||||||
American Financial Group, Inc. | 42,200 | 1,655,506 | ||||||
Assurant, Inc. | 51,300 | 1,787,292 | ||||||
Brown & Brown, Inc. | 31,900 | 869,913 | ||||||
Calamos Asset Management, Inc. Class A | 46,100 | 527,845 | ||||||
CapitalSource, Inc. | 216,100 | 1,452,192 |
See Notes to Financial Statements.
129
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Cardtronics, Inc.D* | 108,000 | $ | 3,262,680 | |||||
Columbia Banking System, Inc.D | 27,000 | 508,140 | ||||||
Comerica, Inc. | 36,500 | 1,120,915 | ||||||
CommonWealth REIT | 100,300 | 1,917,736 | ||||||
Duff & Phelps CorporationD | 46,400 | 672,800 | ||||||
East West Bancorp, Inc. | 47,700 | 1,119,042 | ||||||
Encore Capital Group, Inc.D* | 38,600 | 1,143,332 | ||||||
Euronet Worldwide, Inc.* | 11,100 | 190,032 | ||||||
Evercore Partners, Inc. Class AD | 22,600 | 528,614 | ||||||
First Citizens BancShares, Inc. Class AD | 6,600 | 1,099,890 | ||||||
FleetCor Technologies, Inc.* | 32,800 | 1,149,312 | ||||||
Global Payments, Inc. | 27,700 | 1,197,471 | ||||||
Heartland Payment Systems, Inc. | 54,300 | 1,633,344 | ||||||
Higher One Holdings, Inc.D* | 37,600 | 459,472 | ||||||
Hospitality Properties Trust REIT | 82,200 | 2,036,094 | ||||||
Huntington Bancshares, Inc. | 352,600 | 2,256,640 | ||||||
IBERIABANK CorporationD | 19,700 | 993,865 | ||||||
Inland Real Estate Corporation REITD | 79,700 | 667,886 | ||||||
Interactive Brokers Group, Inc. Class A | 56,600 | 833,152 | ||||||
International Bancshares Corporation | 28,400 | 554,368 | ||||||
Jack Henry & Associates, Inc. | 43,700 | 1,508,524 | ||||||
Jones Lang LaSalle, Inc. | 44,600 | 3,138,502 | ||||||
LaSalle Hotel Properties REIT | 25,400 | 740,156 | ||||||
Lender Processing Services, Inc. | 25,200 | 637,056 | ||||||
Lincoln National Corporation | 32,700 | 715,149 | ||||||
MarketAxess Holdings, Inc. | 21,800 | 580,752 | ||||||
Mid-America Apartment Communities, Inc. REIT | 21,700 | 1,480,808 | ||||||
National Health Investors, Inc. REITD | 24,300 | 1,237,356 | ||||||
NBH Holdings Corporation PIPE+@ | 30,300 | 537,825 | ||||||
Nelnet, Inc. Class AD | 25,200 | 579,600 | ||||||
Ocwen Financial Corporation* | 138,100 | 2,593,518 | ||||||
Pacwest BancorpD | 109,800 | 2,598,966 | ||||||
Pebblebrook Hotel Trust REIT | 58,300 | 1,358,973 | ||||||
Pennsylvania Real Estate Investment Trust REIT | 40,000 | 599,200 | ||||||
Popular, Inc.D* | 27,450 | 455,945 | ||||||
Portfolio Recovery Associates, Inc.* | 22,100 | 2,016,846 | ||||||
Post Properties, Inc. REIT | 21,800 | 1,067,110 | ||||||
PrivateBancorp, Inc.D | 22,700 | 335,052 | ||||||
ProAssurance Corporation | 7,200 | 641,448 | ||||||
Prosperity Bancshares, Inc. | 6,372 | 267,815 | ||||||
Protective Life Corporation | 26,400 | 776,424 | ||||||
PS Business Parks, Inc. REITD | 26,100 | 1,767,492 | ||||||
Reinsurance Group of America, Inc. | 39,200 | 2,085,832 | ||||||
Republic Bancorp, Inc. Class AD | 27,600 | 614,100 | ||||||
RLI CorporationD | 23,700 | 1,616,340 | ||||||
Safety Insurance Group, Inc.D | 16,900 | 686,816 | ||||||
SCBT Financial CorporationD | 12,000 | 423,000 | ||||||
Signature Bank* | 15,140 | 923,086 | ||||||
StanCorp Financial Group, Inc. | 15,900 | 590,844 | ||||||
Stifel Financial CorporationD* | 42,000 | 1,297,800 |
Shares | Value | |||||||
Sunstone Hotel Investors, Inc. REIT* | 55,600 | $ | 611,044 | |||||
Texas Capital Bancshares, Inc.D* | 9,700 | 391,783 | ||||||
Umpqua Holdings Corporation | 64,400 | 847,504 | ||||||
Urstadt Biddle Properties, Inc. Class A REITD | 14,800 | 292,596 | ||||||
Washington Federal, Inc. | 111,200 | 1,878,168 | ||||||
Webster Financial CorporationD | 42,900 | 929,214 | ||||||
Wilshire Bancorp, Inc.* | 116,700 | 639,516 | ||||||
Wintrust Financial CorporationD | 33,700 | 1,196,350 | ||||||
Wright Express Corporation* | 30,600 | 1,888,632 | ||||||
Zillow, Inc. Class AD* | 9,900 | 382,437 | ||||||
|
| |||||||
76,702,511 | ||||||||
|
| |||||||
Healthcare — 8.5% | ||||||||
Air Methods CorporationD* | 8,600 | 844,950 | ||||||
Align Technology, Inc.D* | 32,679 | 1,093,439 | ||||||
AVANIR Pharmaceuticals, Inc.D* | 103,400 | 405,328 | ||||||
BioMarin Pharmaceuticals, Inc.D* | 17,800 | 704,524 | ||||||
Bio-Rad Laboratories, Inc. Class A* | 6,400 | 640,064 | ||||||
Brookdale Senior Living, Inc.* | 45,900 | 814,266 | ||||||
Centene CorporationD* | 35,600 | 1,073,696 | ||||||
Community Health Systems, Inc.* | 81,700 | 2,290,051 | ||||||
Cooper Cos., Inc. (The) | 8,866 | 707,152 | ||||||
Covance, Inc.* | 28,200 | 1,349,370 | ||||||
Cubist Pharmaceuticals, Inc.D* | 10,434 | 395,553 | ||||||
Cyberonics, Inc.D* | 6,100 | 274,134 | ||||||
Endologix, Inc.D* | 35,497 | 548,074 | ||||||
ExamWorks Group, Inc.D* | 70,400 | 931,392 | ||||||
Five Star Quality Care, Inc.+ | 2,086 | — | ||||||
Haemonetics CorporationD* | 15,500 | 1,148,705 | ||||||
Hanger, Inc.* | 31,800 | 815,352 | ||||||
Health Management Associates, Inc. Class AD* | 55,078 | 432,362 | ||||||
Health Net, Inc.D* | 50,900 | 1,235,343 | ||||||
HeartWare International, Inc.D* | 2,400 | 213,120 | ||||||
Hill-Rom Holdings, Inc. | 39,700 | 1,224,745 | ||||||
HMS Holdings CorporationD* | 17,817 | 593,484 | ||||||
Incyte Corporation, Ltd.D* | 43,300 | 982,910 | ||||||
IPC The Hospitalist Co., Inc.D* | 43,600 | 1,975,952 | ||||||
Magellan Health Services, Inc.D* | 15,600 | 707,148 | ||||||
Masimo CorporationD* | 46,000 | 1,029,480 | ||||||
Medivation, Inc.D* | 7,800 | 712,920 | ||||||
Myriad Genetics, Inc.D* | 53,100 | 1,262,187 | ||||||
NuVasive, Inc.* | 20,700 | 524,952 | ||||||
PAREXEL International Corporation* | 33,300 | 940,059 | ||||||
PDL BioPharma, Inc.D | 228,900 | 1,517,607 | ||||||
Pharmacyclics, Inc.D* | 5,400 | 294,894 | ||||||
Providence Service Corporation (The)* | 52,300 | 717,033 | ||||||
Questcor Pharmaceuticals, Inc.* | 4,500 | 239,580 | ||||||
Salix Pharmaceuticals, Ltd.* | 7,100 | 386,524 | ||||||
Sirona Dental Systems, Inc.* | 23,700 | 1,066,737 | ||||||
Sun Healthcare Group, Inc.D* | 222,700 | 1,863,999 | ||||||
SXC Health Solutions Corporation* | 8,041 | 797,748 | ||||||
Team Health Holdings, Inc.* | 28,300 | 681,747 | ||||||
Tenet Healthcare Corporation* | 192,000 | 1,006,080 |
See Notes to Financial Statements.
130
Table of Contents
Shares | Value | |||||||
Thoratec Corporation* | 19,800 | $ | 664,884 | |||||
United Therapeutics Corporation* | 18,300 | 903,654 | ||||||
Vivus, Inc.* | 8,600 | 245,444 | ||||||
Volcano CorporationD* | 26,800 | 767,820 | ||||||
|
| |||||||
37,024,463 | ||||||||
|
| |||||||
Materials & Processing — 4.2% | ||||||||
A. Schulman, Inc. | 55,600 | 1,103,660 | ||||||
Acuity Brands, Inc.D | 4,900 | 249,459 | ||||||
Airgas, Inc. | 6,400 | 537,664 | ||||||
Boise, Inc.* | 79,400 | 522,452 | ||||||
Chemtura Corporation* | 34,300 | 497,350 | ||||||
Coeur d’Alene Mines Corporation* | 26,100 | 458,316 | ||||||
Cytec Industries, Inc. | 12,800 | 750,592 | ||||||
Eagle Materials, Inc. | 25,900 | 967,106 | ||||||
Eastman Chemical Co.D | 17,700 | 891,549 | ||||||
Georgia Gulf Corporation | 37,300 | 957,491 | ||||||
H.B. Fuller Co. | 30,400 | 933,280 | ||||||
Huntsman CorporationD | 97,600 | 1,262,944 | ||||||
Innospec, Inc.* | 35,000 | 1,036,350 | ||||||
Kronos Worldwide, Inc. | 59,100 | 933,189 | ||||||
Lennox International, Inc.D | 14,000 | 652,820 | ||||||
Louisiana-Pacific Corporation* | 32,200 | 350,336 | ||||||
PH Glatfelter Co.D | 83,700 | 1,370,169 | ||||||
RBC Bearings, Inc.D* | 17,000 | 804,100 | ||||||
Reliance Steel & Aluminum Co.D | 18,100 | 914,050 | ||||||
Sensient Technologies CorporationD | 24,700 | 907,231 | ||||||
ServiceNow, Inc. | 9,200 | 226,320 | ||||||
Timken Co. | 30,400 | 1,392,016 | ||||||
Wausau Paper CorporationD | 60,800 | 591,584 | ||||||
|
| |||||||
18,310,028 | ||||||||
|
| |||||||
Producer Durables — 13.8% | ||||||||
A.O. Smith CorporationD | 30,847 | 1,508,110 | ||||||
Advisory Board Co. (The)D* | 26,000 | 1,289,340 | ||||||
AGCO Corporation* | 44,500 | 2,034,985 | ||||||
Alaska Air Group, Inc.* | 18,800 | 674,920 | ||||||
Albany International Corporation Class AD | 59,000 | 1,103,890 | ||||||
Allegiant Travel Co.* | 16,000 | 1,114,880 | ||||||
Alliant Techsystems, Inc.D | 27,900 | 1,410,903 | ||||||
Angie’s List, Inc.D* | 34,700 | 549,648 | ||||||
Applied Industrial Technologies, Inc.D | 23,900 | 880,715 | ||||||
BE Aerospace, Inc.* | 17,900 | 781,514 | ||||||
Chart Industries, Inc.D* | 13,400 | 921,384 | ||||||
Clean Harbors, Inc.D* | 38,500 | 2,172,170 | ||||||
Colfax Corporation* | 8,700 | 239,859 | ||||||
Columbus McKinnon CorporationD* | 36,700 | 553,803 | ||||||
Corporate Executive Board Co. (The)D | 32,200 | 1,316,336 | ||||||
CoStar Group, Inc.* | 23,657 | 1,920,948 | ||||||
Dycom Industries, Inc.* | 28,500 | 530,385 | ||||||
EMCOR Group, Inc. | 24,000 | 667,680 | ||||||
Esterline Technologies CorporationD* | 22,300 | 1,390,405 | ||||||
ExlService Holdings, Inc.D* | 48,200 | 1,187,648 | ||||||
Generac Holdings, Inc.D* | 29,000 | 697,740 | ||||||
Genesee & Wyoming, Inc. Class AD* | 37,850 | 1,999,994 |
Shares | Value | |||||||
Gulfmark Offshore, Inc. Class AD* | 21,800 | $ | 742,072 | |||||
Healthcare Services Group, Inc.D | 46,550 | 902,139 | ||||||
HEICO Corporation Class AD | 36,461 | 1,294,214 | ||||||
Herman Miller, Inc.D | 56,600 | 1,048,232 | ||||||
Huron Consulting Group, Inc.D* | 11,700 | 370,305 | ||||||
IDEX Corporation | 33,111 | 1,290,667 | ||||||
Itron, Inc.D* | 29,800 | 1,228,952 | ||||||
Kaman CorporationD | 35,800 | 1,107,652 | ||||||
KBR, Inc. | 56,000 | 1,383,760 | ||||||
Kennametal, Inc. | 21,700 | 719,355 | ||||||
Liquidity Services, Inc.D* | 18,835 | 964,163 | ||||||
MAXIMUS, Inc.D | 22,800 | 1,179,900 | ||||||
McGrath RentCorpD | 36,600 | 969,900 | ||||||
Middleby CorporationD* | 17,000 | 1,693,370 | ||||||
Mistras Group, Inc.* | 37,800 | 993,384 | ||||||
NACCO Industries, Inc. Class AD | 11,700 | 1,360,125 | ||||||
Old Dominion Freight Line, Inc.D* | 20,000 | 865,800 | ||||||
On Assignment, Inc.D* | 87,000 | 1,388,520 | ||||||
Orbital Sciences Corporation* | 52,600 | 679,592 | ||||||
Oshkosh CorporationD* | 49,300 | 1,032,835 | ||||||
OSI Systems, Inc.D* | 8,517 | 539,467 | ||||||
PHH CorporationD* | 58,700 | 1,026,076 | ||||||
Resources Connection, Inc.D | 52,300 | 643,290 | ||||||
Standard Parking CorporationD* | 34,000 | 731,680 | ||||||
Titan International, Inc.D | 47,100 | 1,155,363 | ||||||
Titan Machinery, Inc.D* | 52,400 | 1,591,388 | ||||||
Trinity Industries, Inc. | 22,200 | 554,556 | ||||||
Triumph Group, Inc.D | 41,500 | 2,335,205 | ||||||
United Rentals, Inc.D* | 14,500 | 493,580 | ||||||
URS Corporation | 29,600 | 1,032,448 | ||||||
US Airways Group, Inc.D* | 86,895 | 1,158,310 | ||||||
WageWorks, Inc.* | 41,700 | 628,002 | ||||||
Watts Water Technologies, Inc.D | 23,400 | 780,156 | ||||||
WESCO International, Inc.D* | 17,900 | 1,030,145 | ||||||
|
| |||||||
59,861,860 | ||||||||
|
| |||||||
Technology — 11.8% | ||||||||
ACI Worldwide, Inc.* | 14,900 | 658,729 | ||||||
Active Network, Inc. (The)D* | 30,400 | 467,856 | ||||||
Amdocs, Ltd.D | 38,000 | 1,129,360 | ||||||
Amkor Technology, Inc.D* | 117,100 | 571,448 | ||||||
Anixter International, Inc.D* | 24,100 | 1,278,505 | ||||||
Avnet, Inc.* | 44,000 | 1,357,840 | ||||||
Bankrate, Inc.* | 6,163 | 113,338 | ||||||
Bottomline Technologies, Inc.D* | 67,200 | 1,212,960 | ||||||
BroadSoft, Inc.D* | 19,800 | 573,408 | ||||||
Brocade Communications Systems, Inc.* | 113,000 | 557,090 | ||||||
CACI International, Inc. Class AD* | 34,200 | 1,881,684 | ||||||
Cadence Design Systems, Inc.* | 117,700 | 1,293,523 | ||||||
CommVault Systems, Inc.D* | 41,900 | 2,076,983 | ||||||
Cree, Inc.* | 8,600 | 220,762 | ||||||
Cymer, Inc.D* | 16,700 | 984,465 | ||||||
Cypress Semiconductor Corporation* | 101,800 | 1,345,796 | ||||||
DealerTrack Holdings, Inc.D* | 47,300 | 1,424,203 |
See Notes to Financial Statements.
131
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Demandware, Inc.* | 2,300 | $ | 54,487 | |||||
DigitalGlobe, Inc.D* | 40,500 | 613,980 | ||||||
Ebix, Inc.D | 40,400 | 805,980 | ||||||
Hittite Microwave CorporationD* | 16,500 | 843,480 | ||||||
IAC/InterActiveCorp | 23,100 | 1,053,360 | ||||||
Informatica Corporation* | 21,500 | 910,740 | ||||||
Ingram Micro, Inc. Class A* | 56,700 | 990,549 | ||||||
Kenexa Corporation* | 8,800 | 255,464 | ||||||
LSI Corporation* | 258,900 | 1,649,193 | ||||||
Monotype Imaging Holdings, Inc.* | 43,500 | 729,495 | ||||||
NeuStar, Inc. Class AD* | 26,500 | 885,100 | ||||||
NIC, Inc.D* | 158,500 | 2,012,950 | ||||||
Polycom, Inc.D* | 104,000 | 1,094,080 | ||||||
Power Intergrations, Inc.D | 22,200 | 828,060 | ||||||
QLIK Technologies, Inc.* | 20,200 | 446,824 | ||||||
RealPage, Inc.D* | 31,000 | 717,960 | ||||||
Saba Software, Inc.D* | 45,400 | 421,312 | ||||||
SAIC, Inc.D | 58,900 | 713,868 | ||||||
Sanmina-SCI Corporation* | 54,000 | 442,260 | ||||||
ScanSource, Inc.* | 34,800 | 1,066,272 | ||||||
Semtech CorporationD* | 69,067 | 1,679,709 | ||||||
Silicon Laboratories, Inc.D* | 31,700 | 1,201,430 | ||||||
Solera Holdings, Inc.D | 39,100 | 1,633,989 | ||||||
Splunk, Inc.D* | 10,500 | 295,050 | ||||||
SS&C Technologies Holdings, Inc.* | 107,300 | 2,682,500 | ||||||
Stratasys, Inc.D* | 8,000 | 396,400 | ||||||
Tangoe, Inc.D* | 24,709 | 526,549 | ||||||
Tech Data Corporation* | 23,000 | 1,107,910 | ||||||
Ultimate Software Group, Inc.D* | 25,100 | 2,236,912 | ||||||
Ultratech, Inc.* | 17,356 | 546,714 | ||||||
Unisys CorporationD* | 96,000 | 1,876,800 | ||||||
United Online, Inc.D | 293,500 | 1,238,570 | ||||||
Universal Display CorporationD* | 10,225 | 367,486 | ||||||
Veeco Instruments, Inc.D* | 14,300 | 491,348 | ||||||
Vocera Communications, Inc.* | 29,000 | 776,910 | ||||||
Volterra Semiconductor Corporation* | 29,700 | 696,465 | ||||||
|
| |||||||
51,438,106 | ||||||||
|
| |||||||
Utilities — 3.8% | ||||||||
Alliant Energy Corporation | 42,000 | 1,913,941 | ||||||
American Water Works Co., Inc. | 52,600 | 1,803,128 | ||||||
Cbeyond, Inc.D* | 96,500 | 653,305 | ||||||
General Communication, Inc. Class AD* | 52,400 | 435,444 | ||||||
j2 Global, Inc.D | 39,600 | 1,046,232 | ||||||
Lumos Networks CorporationD | 30,350 | 286,808 | ||||||
Neutral Tandem, Inc.D* | 92,300 | 1,216,514 | ||||||
NTELOS Holdings CorporationD | 23,650 | 445,802 | ||||||
NV Energy, Inc. | 98,200 | 1,726,356 | ||||||
OGE Energy CorporationD | 30,100 | 1,558,879 | ||||||
Pinnacle West Capital Corporation | 45,400 | 2,348,996 | ||||||
PNM Resources, Inc.D | 76,500 | 1,494,810 | ||||||
Portland General Electric Co.D | 51,600 | 1,375,656 | ||||||
|
| |||||||
16,305,871 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $307,068,813) | 343,257,587 | |||||||
|
|
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 7.6% |
| |||||||
Bermuda — 3.0% | ||||||||
Assured Guaranty, Ltd. | 51,300 | $ | 723,330 | |||||
Endurance Specialty Holdings, Ltd. | 12,200 | 467,504 | ||||||
Energy XXI Bermuda, Ltd.D | 48,100 | 1,505,049 | ||||||
Everest Re Group, Ltd. | 22,500 | 2,328,525 | ||||||
Maiden Holdings, Ltd.D | 79,000 | 685,720 | ||||||
Montpelier Re Holdings, Ltd.D | 173,500 | 3,693,815 | ||||||
Nabors Industries, Ltd.D* | 129,400 | 1,863,360 | ||||||
PartnerRe, Ltd. | 8,400 | 635,628 | ||||||
RenaissanceRe Holdings, Ltd. | 16,900 | 1,284,569 | ||||||
|
| |||||||
13,187,500 | ||||||||
|
| |||||||
British Virgin Islands — 0.2% | ||||||||
UTi Worldwide, Inc.D | 64,500 | 942,345 | ||||||
|
| |||||||
Canada — 1.1% | ||||||||
AuRico Gold, Inc.D* | 134,400 | 1,076,544 | ||||||
Domtar CorporationD | 16,000 | 1,227,360 | ||||||
Franco-Nevada CorporationD | 9,900 | 447,480 | ||||||
Gran Tierra Energy, Inc.* | 109,200 | 536,172 | ||||||
New Gold, Inc.D* | 118,800 | 1,128,600 | ||||||
Westport Innovations, Inc.D* | 10,700 | 393,225 | ||||||
|
| |||||||
4,809,381 | ||||||||
|
| |||||||
Cayman Islands — 0.2% | ||||||||
Herbalife, Ltd.D | 13,300 | 642,789 | ||||||
Home Loan Servicing Solutions, Ltd. | 12,500 | 167,500 | ||||||
|
| |||||||
810,289 | ||||||||
|
| |||||||
China — 0.1% | ||||||||
Lihua International, Inc.D* | 87,600 | 480,048 | ||||||
|
| |||||||
Greece — 0.1% | ||||||||
Aegean Marine Petroleum Network, Inc.D | 92,500 | 494,875 | ||||||
|
| |||||||
Ireland — 0.1% | ||||||||
Amarin Corporation PLC ADRD* | 36,000 | 520,560 | ||||||
|
| |||||||
Israel — 0.7% | ||||||||
Allot Communications, Ltd.* | 35,700 | 994,602 | ||||||
EZchip Semiconductor, Ltd.D* | 13,184 | 527,887 | ||||||
Mellanox Technologies, Ltd.D* | 12,700 | 899,668 | ||||||
Radware, Ltd.* | 6,900 | 264,201 | ||||||
SodaStream International, Ltd.D* | 13,600 | 557,192 | ||||||
|
| |||||||
3,243,550 | ||||||||
|
| |||||||
Luxembourg — 0.3% | ||||||||
Altisource Portfolio Solutions SA* | 16,600 | 1,215,618 | ||||||
|
| |||||||
Netherlands — 0.4% | ||||||||
Chicago Bridge & Iron Co. NV | 41,000 | 1,556,360 | ||||||
|
| |||||||
Panama — 0.3% | ||||||||
Banco Latinoamericano de Commercio Exterior SA, Class ED | 60,600 | 1,298,658 | ||||||
|
| |||||||
South Africa — 0.1% | ||||||||
Net 1 UEPS Technologies, Inc.D* | 72,100 | 603,477 | ||||||
|
| |||||||
Switzerland — 0.6% | ||||||||
Foster Wheeler AG* | 142,000 | 2,460,860 | ||||||
|
|
See Notes to Financial Statements.
132
Table of Contents
Shares | Value | |||||||
Taiwan — 0.1% | ||||||||
Silicon Motion Technology Corporation ADRD* | 24,733 | $ | 348,983 | |||||
|
| |||||||
United Kingdom — 0.3% | ||||||||
Xyratex, Ltd. | 120,200 | 1,359,462 | ||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $33,197,878) | 33,331,966 | |||||||
|
| |||||||
RIGHTS/WARRANTS — 0.0% |
| |||||||
Asen Warrants A+ | 25,000 | 7,250 | ||||||
Asen Warrants B+ | 25,000 | 4,500 | ||||||
Asen Warrants C+ | 25,000 | 11,750 | ||||||
|
| |||||||
Total Rights/Warrants | ||||||||
(Cost $0) | 23,500 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 35.3% |
| |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 12,911,520 | 12,911,520 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 140,541,498 | 140,541,498 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $153,453,018) | 153,453,018 | |||||||
|
| |||||||
Par | ||||||||
AGENCY OBLIGATIONS — 0.3% |
| |||||||
Federal Home Loan Bank | ||||||||
5.50%, 07/15/36 | $ | 120,000 | 162,468 | |||||
Federal National Mortgage Association | ||||||||
5.25%, 08/01/12 | 110,000 | 110,443 | ||||||
2.91%, 10/09/19W†D | 480,000 | 389,771 | ||||||
6.25%, 05/15/29 | 110,000 | 158,865 | ||||||
6.63%, 11/15/30D | 200,000 | 304,355 | ||||||
Tennessee Valley Authority | ||||||||
5.25%, 09/15/39 | 50,000 | 65,456 | ||||||
|
| |||||||
Total Agency Obligations | ||||||||
(Cost $1,078,223) | 1,191,358 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.4% |
| |||||||
Ameriquest Mortgage Securities, Inc. | ||||||||
0.59%, 04/25/34† | 38,874 | 32,400 | ||||||
Asset Backed Securities Corporation Home Equity | ||||||||
1.22%, 12/15/33† | 28,312 | 22,134 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.80%, 05/20/18 144A | 25,000 | 25,781 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
1.15%, 10/27/32† | 10,235 | 8,789 | ||||||
0.70%, 12/25/33† | 152,056 | 126,692 | ||||||
Education Funding Capital Trust I | ||||||||
2.43%, 12/15/42† | 100,000 | 94,286 | ||||||
1.52%, 06/15/43† | 100,000 | 92,604 | ||||||
2.00%, 06/15/43† | 100,000 | 87,068 | ||||||
EFS Volunteer No 2 LLC | ||||||||
1.59%, 03/25/36 144A† | 100,000 | 99,998 | ||||||
EMC Mortgage Loan Trust | ||||||||
0.90%, 02/25/41 144A† | 48,791 | 40,767 | ||||||
Greenpoint Manufactured Housing | ||||||||
2.99%, 03/18/29† | 75,000 | 60,963 | ||||||
3.64%, 06/19/29† | 50,000 | 39,963 | ||||||
3.74%, 02/20/30† | 50,000 | 39,811 |
Par | Value | |||||||
GSAA Trust | ||||||||
0.52%, 07/25/37† | $ | 200,000 | $ | 140,580 | ||||
Hertz Vehicle Financing LLC | ||||||||
5.29%, 03/25/16 144A | 90,000 | 98,793 | ||||||
KeyCorporation Student Loan Trust | ||||||||
0.73%, 10/25/32† | 56,593 | 52,170 | ||||||
Lehman XS Trust | ||||||||
0.55%, 11/25/35† | 181,425 | 122,934 | ||||||
0.55%, 12/25/35† | 93,033 | 26,552 | ||||||
MASTR Specialized Loan Trust | ||||||||
0.60%, 05/25/37 144A† | 193,426 | 82,684 | ||||||
Option One Mortgage Loan Trust | ||||||||
1.05%, 11/25/32† | 17,132 | 13,425 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
1.11%, 06/25/33† | 20,767 | 16,280 | ||||||
Securitized Asset-Backed Receivables LLC | ||||||||
0.48%, 02/25/37† | 211,290 | 71,633 | ||||||
SLM Student Loan Trust | ||||||||
0.90%, 09/16/24† | 100,000 | 91,021 | ||||||
1.22%, 03/15/33 144A† | 88,298 | 85,403 | ||||||
SunTrust Student Loan Trust | ||||||||
0.59%, 01/30/23 144A† | 100,000 | 97,638 | ||||||
|
| |||||||
Total Asset-Backed Securities | ||||||||
(Cost $2,072,290) | 1,670,369 | |||||||
|
| |||||||
CORPORATE BONDS — 2.7% | ||||||||
AES Corporation | ||||||||
7.75%, 10/15/15D | 30,000 | 33,825 | ||||||
8.00%, 06/01/20D | 190,000 | 218,975 | ||||||
Ally Financial, Inc. | ||||||||
1.75%, 10/30/12 | 100,000 | 100,496 | ||||||
American Express Co. | ||||||||
6.80%, 09/01/66† | 150,000 | 155,513 | ||||||
American International Group, Inc. | ||||||||
5.85%, 01/16/18 | 180,000 | 199,468 | ||||||
6.40%, 12/15/20 | 30,000 | 34,001 | ||||||
Amgen, Inc. | ||||||||
3.88%, 11/15/21 | 150,000 | 158,690 | ||||||
Apache Corporation | ||||||||
5.63%, 01/15/17D | 110,000 | 130,076 | ||||||
Arch Coal, Inc. | ||||||||
7.00%, 06/15/19 144AD | 70,000 | 59,500 | ||||||
AT&T, Inc. | ||||||||
5.50%, 02/01/18 | 180,000 | 214,148 | ||||||
3.88%, 08/15/21D | 30,000 | 32,741 | ||||||
6.30%, 01/15/38 | 60,000 | 74,997 | ||||||
BAC Capital Trust XIV | ||||||||
4.00%, 09/29/49† | 10,000 | 7,160 | ||||||
Baker Hughes, Inc. | ||||||||
7.50%, 11/15/18 | 60,000 | 79,339 | ||||||
Bank of America Corporation | ||||||||
5.42%, 03/15/17 | 60,000 | 62,190 | ||||||
3.88%, 03/22/17D | 20,000 | 20,396 | ||||||
5.75%, 12/01/17 | 190,000 | 203,003 | ||||||
5.00%, 05/13/21 | 50,000 | 51,677 | ||||||
5.88%, 02/07/42D | 50,000 | 54,970 | ||||||
Boeing Capital Corporation | ||||||||
4.70%, 10/27/19 | 40,000 | 47,177 | ||||||
Boeing Co. | ||||||||
4.88%, 02/15/20 | 60,000 | �� | 72,098 |
See Notes to Financial Statements.
133
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SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Calpine Corporation | ||||||||
7.88%, 01/15/23 144AD | $ | 80,000 | $ | 87,600 | ||||
Caterpillar Financial Services Corporation | ||||||||
6.20%, 09/30/13 | 110,000 | 117,615 | ||||||
CCO Holdings LLC | ||||||||
7.00%, 01/15/19D | 70,000 | 75,950 | ||||||
6.50%, 04/30/21D | 10,000 | 10,700 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC | ||||||||
8.50%, 11/15/18 | 60,000 | 82,210 | ||||||
Citigroup, Inc. | ||||||||
6.00%, 12/13/13 | 110,000 | 115,645 | ||||||
6.38%, 08/12/14 | 20,000 | 21,419 | ||||||
5.00%, 09/15/14 | 170,000 | 174,351 | ||||||
5.50%, 10/15/14D | 50,000 | 52,967 | ||||||
3.95%, 06/15/16 | 70,000 | 71,791 | ||||||
6.00%, 08/15/17 | 30,000 | 32,898 | ||||||
5.38%, 08/09/20 | 50,000 | 54,119 | ||||||
6.88%, 03/05/38 | 60,000 | 73,635 | ||||||
Comcast Cable Communications Holdings, Inc. | ||||||||
9.46%, 11/15/22 | 30,000 | 43,752 | ||||||
Comcast Corporation | ||||||||
6.50%, 01/15/17D | 120,000 | 143,000 | ||||||
5.15%, 03/01/20 | 20,000 | 23,255 | ||||||
5.65%, 06/15/35D | 10,000 | 11,231 | ||||||
Community Health Systems, Inc. | ||||||||
8.88%, 07/15/15 | 15,000 | 15,413 | ||||||
Concho Resources Inc. | ||||||||
6.50%, 01/15/22 | 33,000 | 34,485 | ||||||
ConocoPhillips Holding Co. | ||||||||
6.95%, 04/15/29 | 60,000 | 82,537 | ||||||
CONSOL Energy, Inc. | ||||||||
6.38%, 03/01/21D | 50,000 | 47,250 | ||||||
Countrywide Financial Corporation | ||||||||
6.25%, 05/15/16D | 50,000 | 52,084 | ||||||
CVS Caremark Corporation | ||||||||
6.60%, 03/15/19 | 130,000 | 162,344 | ||||||
CVS Pass-Through Trust | ||||||||
6.94%, 01/10/30 | 63,037 | 74,852 | ||||||
Devon Energy Corporation | ||||||||
5.60%, 07/15/41 | 90,000 | 104,821 | ||||||
Dominion Resources, Inc. | ||||||||
5.70%, 09/17/12 | 120,000 | 121,234 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.63%, 11/30/12 | 130,000 | 132,640 | ||||||
5.30%, 02/15/40 | 50,000 | 61,944 | ||||||
Ecolab, Inc. | ||||||||
4.35%, 12/08/21D | 20,000 | 22,211 | ||||||
Energy Future Intermediate | ||||||||
Holding Co., LLC | ||||||||
10.00%, 12/01/20 | 270,000 | 294,975 | ||||||
Enterprise Products | ||||||||
Operating LLC | ||||||||
6.30%, 09/15/17 | 170,000 | 203,144 | ||||||
6.13%, 10/15/39 | 10,000 | 11,368 | ||||||
5.70%, 02/15/42 | 70,000 | 77,735 | ||||||
Express Scripts Holding Co. | ||||||||
3.50%, 11/15/16 144A | 150,000 | 158,090 |
Par | Value | |||||||
Farmer Mac Guaranteed Notes Trust | ||||||||
5.13%, 04/19/17 144A | $ | 250,000 | $ | 294,404 | ||||
FirstEnergy Corporation | ||||||||
7.38%, 11/15/31 | 130,000 | 163,645 | ||||||
Ford Motor Credit Co., LLC | ||||||||
12.00%, 05/15/15 | 140,000 | 175,000 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
3.55%, 03/01/22 | 145,000 | 142,951 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
6.88%, 07/15/17 | 40,000 | 44,600 | ||||||
General Electric Capital Corporation | ||||||||
6.00%, 08/07/19 | 260,000 | 304,668 | ||||||
4.63%, 01/07/21 | 30,000 | 33,056 | ||||||
5.30%, 02/11/21D | 110,000 | 123,678 | ||||||
6.38%, 11/15/67† | 130,000 | 135,688 | ||||||
Goldman Sachs Capital II | ||||||||
4.00%, 06/01/43† | 10,000 | 6,783 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.63%, 08/01/12D | 20,000 | 20,037 | ||||||
5.45%, 11/01/12 | 20,000 | 20,292 | ||||||
5.25%, 10/15/13D | 20,000 | 20,805 | ||||||
3.30%, 05/03/15D | 100,000 | 100,053 | ||||||
5.95%, 01/18/18 | 100,000 | 107,155 | ||||||
5.38%, 03/15/20 | 60,000 | 61,862 | ||||||
6.00%, 06/15/20 | 40,000 | 42,770 | ||||||
5.25%, 07/27/21 | 10,000 | 10,176 | ||||||
6.25%, 02/01/41 | 130,000 | 136,018 | ||||||
Hess Corporation | ||||||||
8.13%, 02/15/19 | 90,000 | 116,001 | ||||||
HSBC Finance Corporation | ||||||||
6.68%, 01/15/21 | 240,000 | 260,277 | ||||||
Humana, Inc. | ||||||||
7.20%, 06/15/18D | 60,000 | 72,191 | ||||||
International Lease Finance Corporation | ||||||||
6.50%, 09/01/14 144AD | 30,000 | 31,800 | ||||||
6.75%, 09/01/16 144AD | 150,000 | 162,000 | ||||||
John Deere Capital Corporation | ||||||||
2.25%, 04/17/19D | 150,000 | 153,556 | ||||||
JPMorgan Chase & Co. | ||||||||
6.13%, 06/27/17D | 200,000 | 222,863 | ||||||
4.40%, 07/22/20 | 60,000 | 63,391 | ||||||
4.25%, 10/15/20 | 100,000 | 105,235 | ||||||
4.35%, 08/15/21 | 10,000 | 10,574 | ||||||
4.50%, 01/24/22D | 100,000 | 107,932 | ||||||
Kerr-McGee Corporation | ||||||||
6.95%, 07/01/24 | 120,000 | 148,844 | ||||||
Kinder Morgan Energy | ||||||||
Partners LP | ||||||||
6.00%, 02/01/17 | 70,000 | 80,928 | ||||||
Kraft Foods Group, Inc. | ||||||||
3.50%, 06/06/22 144A | 60,000 | 61,698 | ||||||
Kraft Foods, Inc. | ||||||||
5.38%, 02/10/20 | 120,000 | 142,229 | ||||||
Lehman Escrow Bonds | ||||||||
0.00%, 03/01/42+ | �� | 120,000 | — | |||||
0.00%, 08/19/45+ | 50,000 | — | ||||||
0.00%, 07/19/47+ | 160,000 | — | ||||||
0.00%, 11/30/49+ | 10,000 | — |
See Notes to Financial Statements.
134
Table of Contents
Par | Value | |||||||
MarkWest Energy Partners LP | ||||||||
6.25%, 06/15/22D | $ | 10,000 | $ | 10,350 | ||||
Medtronic, Inc. | ||||||||
4.45%, 03/15/20D | 40,000 | 45,986 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
5.45%, 02/05/13 | 220,000 | 224,456 | ||||||
MetLife, Inc. | ||||||||
6.75%, 06/01/16 | 50,000 | 58,681 | ||||||
6.40%, 12/15/66D | 120,000 | 118,233 | ||||||
Morgan Stanley | ||||||||
4.75%, 03/22/17D | 10,000 | 9,988 | ||||||
Noble Energy, Inc. | ||||||||
4.15%, 12/15/21 | 90,000 | 94,820 | ||||||
Occidental Petroleum Corporation | ||||||||
3.13%, 02/15/22 | 50,000 | 52,232 | ||||||
2.70%, 02/15/23 | 30,000 | 30,257 | ||||||
Pacific Gas & Electric Co. | ||||||||
5.63%, 11/30/17 | 30,000 | 36,026 | ||||||
6.05%, 03/01/34 | 90,000 | 113,790 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.63%, 06/15/35D | 90,000 | 107,550 | ||||||
PepsiCo, Inc. | ||||||||
7.90%, 11/01/18 | 13,000 | 17,391 | ||||||
Pfizer, Inc. | ||||||||
6.20%, 03/15/19 | 70,000 | 87,859 | ||||||
Raytheon Co. | ||||||||
3.13%, 10/15/20 | 30,000 | 31,543 | ||||||
Reed Elsevier Capital, Inc. | ||||||||
8.63%, 01/15/19 | 80,000 | 101,625 | ||||||
Regency Energy Partners LP | ||||||||
6.50%, 07/15/21 | 42,000 | 44,310 | ||||||
Roche Holdings, Inc. | ||||||||
6.00%, 03/01/19 144A | 50,000 | 62,280 | ||||||
Safeway, Inc. | ||||||||
3.95%, 08/15/20D | 30,000 | 28,997 | ||||||
4.75%, 12/01/21D | 140,000 | 139,103 | ||||||
SESI LLC | ||||||||
7.13%, 12/15/21 144A | 10,000 | 10,925 | ||||||
Sprint Capital Corporation | ||||||||
6.90%, 05/01/19D | 100,000 | 94,500 | ||||||
State Street Corporation | ||||||||
4.96%, 03/15/18 | 100,000 | 107,228 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/39 144A | 60,000 | 77,748 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.60%, 08/15/21D | 20,000 | 21,554 | ||||||
Time Warner Cable, Inc. | ||||||||
6.75%, 07/01/18 | 110,000 | 134,170 | ||||||
8.25%, 04/01/19D | 50,000 | 65,424 | ||||||
4.13%, 02/15/21D | 10,000 | 10,633 | ||||||
5.88%, 11/15/40 | 80,000 | 89,861 | ||||||
Time Warner, Inc. | ||||||||
4.70%, 01/15/21 | 30,000 | 33,489 | ||||||
6.25%, 03/29/41 | 10,000 | 11,670 | ||||||
United Parcel Service, Inc. | ||||||||
4.50%, 01/15/13 | 50,000 | 51,109 | ||||||
United Technologies | ||||||||
Corporation | ||||||||
3.10%, 06/01/22 | 20,000 | 21,002 | ||||||
4.50%, 06/01/42 | 40,000 | 44,124 |
Par | Value | |||||||
UnitedHealth Group, Inc. | ||||||||
4.88%, 02/15/13 | $ | 100,000 | $ | 102,559 | ||||
Verizon Communications, Inc. | ||||||||
6.10%, 04/15/18 | 30,000 | 36,595 | ||||||
8.75%, 11/01/18 | 10,000 | 13,763 | ||||||
3.50%, 11/01/21 | 30,000 | 32,004 | ||||||
6.00%, 04/01/41 | 50,000 | 63,630 | ||||||
Wachovia Capital Trust III | ||||||||
5.57%, 03/29/49† | 50,000 | 47,938 | ||||||
Wachovia Corporation | ||||||||
5.63%, 10/15/16 | 270,000 | 304,650 | ||||||
Wal-Mart Stores, Inc. | ||||||||
6.50%, 08/15/37D | 100,000 | 141,549 | ||||||
Waste Management, Inc. | ||||||||
7.38%, 05/15/29 | 20,000 | 26,566 | ||||||
WellPoint, Inc. | ||||||||
5.88%, 06/15/17 | 110,000 | 129,880 | ||||||
Wells Fargo & Co. | ||||||||
3.68%, 06/15/16 STEP | 50,000 | 53,269 | ||||||
2.10%, 05/08/17D | 100,000 | 100,339 | ||||||
4.60%, 04/01/21 | 10,000 | 11,177 | ||||||
Williams Cos., Inc. | ||||||||
7.88%, 09/01/21 | 24,000 | 30,362 | ||||||
7.50%, 01/15/31 | 15,000 | 18,315 | ||||||
7.75%, 06/15/31 | 24,000 | 29,873 | ||||||
8.75%, 03/15/32 | 5,000 | 6,803 | ||||||
Williams Partners LP | ||||||||
5.25%, 03/15/20D | 20,000 | 22,507 | ||||||
WPX Energy, Inc. | ||||||||
6.00%, 01/15/22 144AD | 20,000 | 20,000 | ||||||
Wyeth | ||||||||
5.95%, 04/01/37 | 10,000 | 13,173 | ||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost $10,988,807) | 11,936,731 | |||||||
|
| |||||||
FOREIGN BONDS — 1.1% | ||||||||
Australia — 0.1% | ||||||||
BHP Billiton Finance (USA), Ltd. | ||||||||
6.50%, 04/01/19 | 110,000 | 140,221 | ||||||
3.25%, 11/21/21 | 10,000 | 10,457 | ||||||
Commonwealth Bank of Australia | ||||||||
3.75%, 10/15/14 144A | 60,000 | 62,844 | ||||||
5.00%, 10/15/19 144AD | 20,000 | 22,006 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
9.00%, 05/01/19 | 180,000 | 246,444 | ||||||
|
| |||||||
481,972 | ||||||||
|
| |||||||
Canada — 0.2% | ||||||||
Anadarko Finance Co. | ||||||||
7.50%, 05/01/31D | 60,000 | 75,744 | ||||||
Barrick Gold Corporation | ||||||||
6.95%, 04/01/19 | 100,000 | 124,589 | ||||||
Hydro Quebec | ||||||||
1.38%, 06/19/17D | 240,000 | 240,103 | ||||||
Potash Corporation of Saskatchewan, Inc. | ||||||||
4.88%, 03/30/20 | 20,000 | 23,116 | ||||||
Province of Ontario | ||||||||
4.40%, 04/14/20D | 280,000 | 326,055 | ||||||
2.45%, 06/29/22D | 140,000 | 138,490 | ||||||
|
| |||||||
928,097 | ||||||||
|
|
See Notes to Financial Statements.
135
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Cayman Islands — 0.2% | ||||||||
Petrobras International Finance Co. | ||||||||
3.88%, 01/27/16 | $ | 50,000 | $ | 51,872 | ||||
6.13%, 10/06/16 | 40,000 | 44,935 | ||||||
5.75%, 01/20/20 | 32,000 | 35,164 | ||||||
5.38%, 01/27/21 | 150,000 | 162,416 | ||||||
Resona Preferred Global | ||||||||
7.19%, 12/29/49 144A†D | 60,000 | 61,783 | ||||||
Vale Overseas, Ltd. | ||||||||
4.38%, 01/11/22 | 195,000 | 199,548 | ||||||
6.88%, 11/21/36D | 60,000 | 69,897 | ||||||
|
| |||||||
625,615 | ||||||||
|
| |||||||
Chile — 0.0% | ||||||||
Celulosa Arauco y Constitucion SA | ||||||||
4.75%, 01/11/22 144A | 40,000 | 41,091 | ||||||
|
| |||||||
France — 0.0% | ||||||||
Credit Agricole SA | ||||||||
8.38%, 10/29/49 144A† | 120,000 | 99,900 | ||||||
|
| |||||||
Iceland — 0.0% | ||||||||
Glitnir Banki HF | ||||||||
6.69%, 06/15/16+ 144A# | 130,000 | 1 | ||||||
Kaupthing Bank HF | ||||||||
7.63%, 02/28/15 144A#@ | 310,000 | 80,600 | ||||||
|
| |||||||
80,601 | ||||||||
|
| |||||||
India — 0.0% | ||||||||
ICICI Bank, Ltd. | ||||||||
6.38%, 04/30/22 144A† | 110,000 | 99,000 | ||||||
|
| |||||||
Japan — 0.0% | ||||||||
Sumitomo Mitsui Banking Corporation | ||||||||
3.15%, 07/22/15 144A | 100,000 | 105,101 | ||||||
|
| |||||||
Jersey — 0.0% | ||||||||
UBM PLC | ||||||||
5.75%, 11/03/20 144A | 30,000 | 30,928 | ||||||
|
| |||||||
Mexico — 0.1% | ||||||||
America Movil SAB de CV | ||||||||
5.63%, 11/15/17 | 30,000 | 35,421 | ||||||
Mexican Bonos | ||||||||
8.00%, 06/11/20(M) | 2,670,000 | 237,372 | ||||||
6.50%, 06/09/22(M) | 2,660,000 | 216,452 | ||||||
Mexico Government International Bond | ||||||||
6.75%, 09/27/34 | 40,000 | 54,800 | ||||||
6.05%, 01/11/40 | 10,000 | 12,950 | ||||||
|
| |||||||
556,995 | ||||||||
|
| |||||||
Netherlands — 0.2% | ||||||||
Achmea Hypotheekbank NV | ||||||||
3.20%, 11/03/14 144A | 370,000 | 386,175 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
3.38%, 01/19/17 | 220,000 | 226,659 | ||||||
Deutsche Telekom International Finance BV | ||||||||
5.75%, 03/23/16 | 75,000 | 84,175 |
Par | Value | |||||||
Shell International Finance BV | ||||||||
4.38%, 03/25/20 | $ | 90,000 | $ | 104,977 | ||||
|
| |||||||
801,986 | ||||||||
|
| |||||||
Spain — 0.1% | ||||||||
BBVA US Senior SA Unipersonal | ||||||||
3.25%, 05/16/14 | 100,000 | 96,247 | ||||||
Santander US Debt SA Unipersonal | ||||||||
3.72%, 01/20/15 144A | 100,000 | 93,067 | ||||||
Telefonica Emisiones SA Unipersonal | ||||||||
5.88%, 07/15/19D | 30,000 | 26,870 | ||||||
|
| |||||||
216,184 | ||||||||
|
| |||||||
United Kingdom — 0.2% | ||||||||
BP Capital Markets PLC | ||||||||
5.25%, 11/07/13 | 90,000 | 95,396 | ||||||
3.88%, 03/10/15D | 30,000 | 32,169 | ||||||
3.56%, 11/01/21 | 10,000 | 10,542 | ||||||
3.25%, 05/06/22 | 50,000 | 51,878 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.85%, 05/08/22 | 60,000 | 61,163 | ||||||
Lloyds TSB Bank PLC | ||||||||
6.38%, 01/21/21 | 50,000 | 56,759 | ||||||
Royal Bank of Scotland PLC | ||||||||
4.88%, 03/16/15 | 100,000 | 103,540 | ||||||
3.95%, 09/21/15 | 50,000 | 50,967 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.65%, 08/29/49† | 10,000 | 8,100 | ||||||
WPP Finance UK | ||||||||
8.00%, 09/15/14 | 100,000 | 112,835 | ||||||
|
| |||||||
583,349 | ||||||||
|
| |||||||
Total Foreign Bonds | ||||||||
(Cost $4,709,713) | 4,650,819 | |||||||
|
| |||||||
MORTGAGE-BACKED | ||||||||
American Home Mortgage Investment Trust | ||||||||
0.95%, 04/25/44† | 32,864 | 25,519 | ||||||
0.54%, 11/25/45† | 174,434 | 109,995 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc. | ||||||||
4.73%, 07/10/43 | 10,000 | 10,396 | ||||||
5.42%, 09/10/45† | 17,000 | 18,359 | ||||||
5.63%, 07/10/46 | 90,000 | 101,453 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
2.83%, 02/25/35† | 64,294 | 40,782 | ||||||
2.81%, 08/25/35† | 180,446 | 121,386 | ||||||
Bear Stearns Mortgage Funding Trust | ||||||||
0.46%, 12/25/46† | 179,741 | 32,713 | ||||||
Commercial Mortgage Lease-Backed Certificates | ||||||||
6.75%, 06/20/31 144A | 174,343 | 185,344 | ||||||
Countrywide Alternative Loan Trust | ||||||||
0.49%, 07/25/35† | 169,414 | 94,956 | ||||||
0.51%, 07/25/35† | 224,238 | 131,337 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
6.00%, 10/25/35 | 101,956 | 58,039 |
See Notes to Financial Statements.
136
Table of Contents
Par | Value | |||||||
Federal Home Loan Mortgage | ||||||||
4.00%, 10/01/25 | $ | 600,000 | $ | 634,445 | ||||
2.50%, 07/01/27 TBA | 600,000 | 616,688 | ||||||
3.00%, 07/01/27 TBA | 500,000 | 522,734 | ||||||
3.10%, 05/01/37† | 9,511 | 10,186 | ||||||
5.50%, 12/01/38 | 236,130 | 256,940 | ||||||
5.50%, 07/01/39 TBA | 100,000 | 108,672 | ||||||
6.00%, 11/01/39 | 397,465 | 437,335 | ||||||
3.50%, 07/01/41 TBA | 400,000 | 419,625 | ||||||
4.00%, 07/01/41 TBA | 100,000 | 106,109 | ||||||
4.50%, 06/01/42 | 100,000 | 110,157 | ||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||
6.00%, 05/15/36 | 143,920 | 168,523 | ||||||
20.08%, 04/15/39 IOW† | 100,000 | 21,323 | ||||||
10.22%, 01/15/40 IOW† | 108,065 | 15,489 | ||||||
Federal National Mortgage | ||||||||
2.50%, 07/01/27 TBA | 200,000 | 206,063 | ||||||
3.00%, 07/16/27 TBA | 400,000 | 419,062 | ||||||
4.50%, 05/01/31 | 82,856 | 89,834 | ||||||
5.00%, 07/01/33 | 34,592 | 37,642 | ||||||
5.00%, 09/01/33 | 38,060 | 41,415 | ||||||
2.44%, 09/01/35† | 63,013 | 67,065 | ||||||
5.00%, 10/01/35 | 71,932 | 78,274 | ||||||
7.00%, 04/01/37 | 92,623 | 105,373 | ||||||
6.50%, 07/01/37 TBA | 100,000 | 112,531 | ||||||
6.50%, 11/01/37 | 96,724 | 109,900 | ||||||
5.50%, 08/01/38 | 79,095 | 87,301 | ||||||
7.00%, 02/01/39 | 441,358 | 508,437 | ||||||
4.00%, 07/13/39 TBA | 100,000 | 106,422 | ||||||
4.50%, 07/13/40 TBA | 300,000 | 321,797 | ||||||
4.00%, 09/01/41 | 589,403 | 628,479 | ||||||
4.00%, 11/01/41 | 183,901 | 196,093 | ||||||
4.00%, 06/01/42 | 500,000 | 539,868 | ||||||
3.00%, 07/01/42 TBA | 500,000 | 512,734 | ||||||
6.50%, 07/25/42 | 290,000 | 338,019 | ||||||
Federal National Mortgage Association Interest Strip | ||||||||
3.00%, 04/25/27 IO | 200,000 | 21,436 | ||||||
4.50%, 11/25/39 IO | 100,000 | 12,065 | ||||||
3.50%, 11/25/41 IO | 100,000 | 16,608 | ||||||
4.00%, 04/25/42 IO | 200,000 | 31,340 | ||||||
Federal National Mortgage Association REMIC | ||||||||
5.10%, 03/25/39 IOW† | 99,739 | 23,516 | ||||||
6.50%, 06/25/39 | 100,000 | 112,313 | ||||||
11.96%, 12/25/39 IOW† | 37,990 | 4,622 | ||||||
10.11%, 10/25/40 IOW† | 64,646 | 9,442 | ||||||
4.74%, 12/25/40 IOW† | 140,346 | 22,246 | ||||||
8.25%, 01/25/41 IOW† | 74,373 | 12,207 | ||||||
5.50%, 07/25/41 | 105,641 | 125,614 | ||||||
9.21%, 07/25/41 IOW† | 75,597 | 11,788 | ||||||
5.70%, 09/25/41 IO† | 189,195 | 29,447 | ||||||
6.30%, 10/25/41 IO† | 260,888 | 49,208 | ||||||
6.40%, 03/25/42 IOW† | 100,000 | 24,180 | ||||||
6.50%, 03/25/42 | 300,000 | 355,112 | ||||||
5.50%, 04/25/42 | 400,000 | 452,331 | ||||||
6.00%, 05/25/42 | 200,000 | 226,738 | ||||||
7.00%, 05/25/42 | 200,000 | 238,169 | ||||||
8.53%, 06/25/42 IOW† | 295,533 | 54,100 |
Par | Value | |||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
5.36%, 08/25/18 IOW† | $ | 259,735 | $ | 26,019 | ||||
5.13%, 01/25/20 IOW† | 215,524 | 13,226 | ||||||
5.13%, 04/25/20 IOW† | 724,560 | 50,227 | ||||||
5.27%, 06/25/20 IOW† | 669,710 | 64,748 | ||||||
5.45%, 08/25/20 IOW† | 206,747 | 17,538 | ||||||
5.07%, 04/25/21 IOW† | 526,060 | 44,464 | ||||||
5.11%, 07/25/21 IOW† | 209,264 | 23,806 | ||||||
5.11%, 10/25/21 IOW† | 184,513 | 20,264 | ||||||
5.18%, 12/25/21 IOW† | 109,845 | 10,999 | ||||||
5.27%, 06/25/46 IOW† | 275,505 | 23,370 | ||||||
First Horizon Alternative Mortgage Securities | ||||||||
2.56%, 02/25/36† | 147,428 | 103,306 | ||||||
0.62%, 02/25/37† | 67,841 | 34,250 | ||||||
General Electric Capital Commercial Mortgage Corporation | ||||||||
5.48%, 03/10/44† | 100,000 | 111,444 | ||||||
5.54%, 12/10/49 | 40,000 | 43,736 | ||||||
Government National Mortgage Association | ||||||||
7.93%, 12/16/36 IOW† | 83,328 | 12,211 | ||||||
8.81%, 05/20/37 IOW† | 88,172 | 13,264 | ||||||
6.00%, 07/01/37 TBA | 200,000 | 224,531 | ||||||
6.50%, 10/20/37 | 69,646 | 79,726 | ||||||
5.50%, 07/01/38 TBA | 100,000 | 110,984 | ||||||
6.00%, 07/20/38 | 94,798 | 106,321 | ||||||
6.00%, 09/20/38 | 647,592 | 726,312 | ||||||
5.26%, 11/20/38 IOW† | 123,781 | 18,242 | ||||||
5.00%, 07/01/39 TBA | 300,000 | 331,313 | ||||||
5.00%, 10/20/39 | 128,333 | 142,149 | ||||||
5.00%, 01/15/40 | 396,263 | 438,820 | ||||||
4.50%, 01/20/40 | 77,613 | 85,510 | ||||||
12.12%, 01/20/40 IOW† | 84,062 | 12,943 | ||||||
9.72%, 03/20/40 IOW† | 77,277 | 12,332 | ||||||
10.01%, 03/20/40 IOW† | 228,913 | 36,223 | ||||||
4.50%, 05/20/40 | 80,820 | 89,301 | ||||||
4.50%, 07/20/40 | 79,487 | 87,828 | ||||||
5.00%, 08/20/40 | 149,792 | 165,964 | ||||||
9.75%, 09/20/40 IOW† | 72,466 | 11,393 | ||||||
9.80%, 09/20/40 IOW† | 72,846 | 11,352 | ||||||
6.00%, 10/20/40 | 71,175 | 80,227 | ||||||
4.50%, 01/20/41 | 83,675 | 92,412 | ||||||
9.79%, 01/20/41 IOW† | 76,385 | 11,664 | ||||||
4.50%, 03/20/41 | 491,158 | 541,014 | ||||||
4.00%, 07/01/41 TBA | 200,000 | 218,156 | ||||||
4.50%, 07/01/41 TBA | 300,000 | 329,766 | ||||||
3.50%, 07/01/42 TBA | 400,000 | 427,578 | ||||||
1.39%, 11/20/59† | 289,221 | 296,600 | ||||||
1.24%, 05/20/60† | 161,670 | 164,719 | ||||||
0.74%, 01/20/61† | 225,900 | 225,443 | ||||||
0.69%, 02/20/61† | 230,406 | 229,298 | ||||||
0.74%, 03/20/61† | 96,215 | 96,012 | ||||||
Granite Mortgages PLC | ||||||||
0.97%, 07/20/43† | 25,817 | 25,122 | ||||||
Greenpoint Mortgage Funding Trust | ||||||||
0.51%, 10/25/45† | 46,805 | 29,221 | ||||||
GS Mortgage Securities Corporation II | ||||||||
3.55%, 04/01/34 144A | 26,000 | 26,877 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
0.60%, 03/25/35 144A† | 29,289 | 24,222 | ||||||
0.60%, 09/25/35 144A† | 88,591 | 69,435 |
See Notes to Financial Statements.
137
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Harborview Mortgage Loan Trust | ||||||||
0.48%, 06/19/35† | $ | 217,565 | $ | 140,873 | ||||
Homestar Mortgage Acceptance Corporation | ||||||||
0.70%, 07/25/34† | 86,003 | 80,696 | ||||||
Impac CMB Trust | ||||||||
1.05%, 03/25/33† | 15,099 | 12,440 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corporation | ||||||||
5.44%, 05/15/45 | 16,000 | 17,175 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
5.86%, 07/15/40† | 40,000 | 45,683 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
0.95%, 12/25/46† | 242,430 | 92,002 | ||||||
Merrill Lynch Mortgage Investors, Inc. | ||||||||
4.96%, 05/25/34† | 18,081 | 18,068 | ||||||
Morgan Stanley Capital I | ||||||||
5.69%, 04/15/49† | 200,000 | 220,122 | ||||||
RBSSP Resecuritization Trust | ||||||||
3.34%, 12/26/35 144A† | 30,742 | 30,769 | ||||||
Residential Accredit Loans, Inc. | ||||||||
3.24%, 12/26/34† | 229,321 | 157,727 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.79%, 11/25/34† | 65,287 | 55,415 | ||||||
Structured Asset Securities Corporation | ||||||||
0.55%, 10/25/27† | 21,010 | 19,478 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
2.45%, 02/25/33† | 28,366 | 27,226 | ||||||
2.44%, 10/25/33† | 83,285 | 83,103 | ||||||
2.45%, 01/25/35† | 94,097 | 91,199 | ||||||
2.25%, 11/25/36† | 175,130 | 124,273 | ||||||
0.57%, 08/25/45† | 115,912 | 94,642 | ||||||
Wells Fargo Mortgage Loan Trust | ||||||||
2.77%, 08/27/35 144A† | 82,639 | 79,614 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
2.66%, 04/25/36† | 59,665 | 45,411 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $19,111,935) | 18,325,094 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.1% | ||||||||
American Municipal Power, Inc., Revenue Bond, Series E | ||||||||
6.27%, 02/15/50 | 10,000 | 11,516 | ||||||
Cook County, General Obligation, Series D | ||||||||
6.23%, 11/15/34 | 10,000 | 11,026 | ||||||
Los Angeles Department of Water & Power, Revenue Bond | ||||||||
6.57%, 07/01/45 | 30,000 | 43,245 | ||||||
Municipal Electric Authority of Georgia, Revenue Bond, Series B | ||||||||
6.64%, 04/01/57 | 30,000 | 34,836 | ||||||
6.66%, 04/01/57 | 10,000 | 11,472 | ||||||
Northstar Education Finance, Inc. Revenue Bond | ||||||||
0.45%, 01/29/46† | 75,000 | 61,935 |
Par | Value | |||||||
Santa Clara Valley Transportation Authority, Revenue Bond | ||||||||
5.88%, 04/01/32 | $ | 40,000 | $ | 49,173 | ||||
State of California, General Obligation | ||||||||
7.30%, 10/01/39 | 20,000 | 24,849 | ||||||
State of Illinois, General Obligation | ||||||||
5.88%, 03/01/19 | 10,000 | 11,099 | ||||||
University of California, Revenue Bond, Series AD | ||||||||
4.86%, 05/15/12 | 50,000 | 51,338 | ||||||
|
| |||||||
Total Municipal Bonds | ||||||||
(Cost $278,329) | 310,489 | |||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Call Option — 0.0% | ||||||||
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $147.00, Expires | ||||||||
08/24/12 (MLCS) | 6 | 17,437 | ||||||
|
| |||||||
Put Option — 0.0% | ||||||||
December 2012 90-Day Eurodollar Futures, Strike Price $98.75, Expires | ||||||||
12/15/12 (MLCS) | 20 | 2,000 | ||||||
|
| |||||||
Total Purchased Options | ||||||||
(Cost $34,315) | 19,437 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY | ||||||||
U.S. Treasury Bonds | ||||||||
4.38%, 05/15/41 | $ | 40,000 | 53,432 | |||||
3.13%, 11/15/41 | 1,200,000 | 1,290,187 | ||||||
3.13%, 02/15/42 | 165,000 | 177,246 | ||||||
3.00%, 05/15/42 | 100,000 | 104,750 | ||||||
|
| |||||||
1,625,615 | ||||||||
|
| |||||||
U.S. Treasury Inflationary Index Bond | ||||||||
0.75%, 02/15/42 | 480,000 | 514,433 | ||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
2.75%, 10/31/13 | 150,000 | 154,904 | ||||||
1.88%, 02/28/14 | 50,000 | 51,291 | ||||||
0.38%, 06/15/15 | 200,000 | 199,859 | ||||||
0.63%, 05/31/17 | 350,000 | 348,442 | ||||||
1.50%, 03/31/19 | 270,000 | 277,636 | ||||||
1.25%, 04/30/19 | 40,000 | 40,450 | ||||||
1.13%, 05/31/19 | 20,000 | 20,034 | ||||||
2.00%, 02/15/22 | 370,000 | 382,516 | ||||||
1.75%, 05/15/22 | 180,000 | 181,491 | ||||||
|
| |||||||
1,656,623 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $3,650,456) | 3,796,671 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 131.5% | ||||||||
(Cost $535,643,777) | 571,967,039 | |||||||
|
|
See Notes to Financial Statements.
138
Table of Contents
Number of Contracts | Value | |||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $151.00, Expires 08/24/12 (MLCS) | (6 | ) | $ | (7,312 | ) | |||
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $154.00, Expires 08/24/12 (MLCS) | (6 | ) | (3,469 | ) | ||||
|
| |||||||
(10,781 | ) | |||||||
|
| |||||||
Put Options — 0.0% | ||||||||
December 2012 90-Day Eurodollar Futures, Strike Price $98.25, Expires 12/15/12 (MLCS) | (20 | ) | (750 | ) | ||||
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $138.00, Expires 08/24/12 (MLCS) | (6 | ) | (1,031 | ) | ||||
|
| |||||||
(1,781 | ) | |||||||
|
| |||||||
Total Written Options | ||||||||
(Premiums received $(28,219)) | (12,562 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | (137,164,361 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 434,790,116 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Money Market Funds | 35.3 | |||
Financial Services | 17.6 | |||
Producer Durables | 13.8 | |||
Technology | 11.8 | |||
Consumer Discretionary | 11.2 | |||
Healthcare | 8.5 | |||
Foreign Common Stocks | 7.6 | |||
Futures Contracts | 4.6 | |||
Energy | 4.4 | |||
Materials & Processing | 4.2 | |||
Mortgage-Backed Securities | 4.2 | |||
Utilities | 3.8 | |||
Consumer Staples | 3.6 | |||
Corporate Bonds | 2.7 | |||
Foreign Bonds | 1.1 | |||
U.S. Treasury Obligations | 0.9 | |||
Asset-Backed Securities | 0.4 | |||
Agency Obligations | 0.3 | |||
Municipal Bonds | 0.1 | |||
Purchased Options | — | ** | ||
Rights/Warrants | — | ** | ||
Written Options | — | ** | ||
Forward Foreign Currency Contracts | (0.3 | ) | ||
|
| |||
135.8 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
139
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Agency Obligations | $ | 1,191,358 | $ | — | $ | 1,191,358 | $ | — | ||||||||
Asset-Backed Securities | 1,670,369 | — | 1,396,411 | 273,958 | ||||||||||||
Common Stocks | 343,257,587 | 341,522,291 | — | 1,735,296 | ||||||||||||
Corporate Bonds | 11,936,731 | — | 11,936,731 | — | ||||||||||||
Foreign Common Stocks | 33,331,966 | 33,331,966 | — | — | ||||||||||||
Foreign Bonds | 4,650,819 | — | 4,650,818 | 1 | ||||||||||||
Money Market Funds | 153,453,018 | 153,453,018 | — | — | ||||||||||||
Mortgage-Backed Securities | 18,325,094 | — | 18,057,603 | 267,491 | ||||||||||||
Municipal Bonds | 310,489 | — | 310,489 | — | ||||||||||||
Purchased Options | 19,437 | 19,437 | — | — | ||||||||||||
Rights/Warrants | 23,500 | — | — | 23,500 | ||||||||||||
U.S. Treasury Obligations | 3,796,671 | — | 3,796,671 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 571,967,039 | $ | 528,326,712 | $ | 41,340,081 | $ | 2,300,246 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 36,590 | $ | — | $ | 36,590 | $ | — | ||||||||
Futures Contracts | 2,297,333 | 2,297,333 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 2,333,923 | $ | 2,297,333 | $ | 36,590 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Written Options | $ | (12,562 | ) | $ | (12,562 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (12,562 | ) | $ | (12,562 | ) | $ | — | $ | — | ||||||
|
| �� |
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
Management has determined that the amount of Level 3 assets compared to total net assets is not material; therefore, the reconciliation of Level 3 assets is not shown for the period ending June 30, 2012.
See Notes to Financial Statements.
140
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) |
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 94.4% | ||||||||
Argentina — 0.0% | ||||||||
Banco Macro SA ADRD* | 11,078 | $ | 143,571 | |||||
|
| |||||||
Australia — 3.6% | ||||||||
AGL Energy, Ltd. | 19,011 | 288,905 | ||||||
Alumina, Ltd. | 34,920 | 28,641 | ||||||
Amcor, Ltd. | 606,382 | 4,426,648 | ||||||
AMP, Ltd. | 833,453 | 3,316,574 | ||||||
Ansell, Ltd. | 11,934 | 162,211 | ||||||
Asciano, Ltd. | 11,884 | 53,378 | ||||||
ASX, Ltd. | 2,537 | 77,876 | ||||||
Australia & New Zealand Banking Group, Ltd. | 50,263 | 1,144,996 | ||||||
Bendigo and Adelaide Bank, Ltd. | 57,171 | 436,900 | ||||||
BHP Billiton, Ltd. | 56,705 | 1,847,014 | ||||||
Billabong International, Ltd. | 110,815 | 123,610 | ||||||
BlueScope Steel, Ltd.* | 1,982,017 | 616,222 | ||||||
Boart Longyear, Ltd. | 139,834 | 409,323 | ||||||
Brambles, Ltd. | 238,276 | 1,511,219 | ||||||
Caltex Australia, Ltd. | 34,969 | 488,407 | ||||||
CFS Retail Property Trust REIT | 37,629 | 75,104 | ||||||
Coca-Cola Amatil, Ltd. | 6,420 | 88,226 | ||||||
Cochlear, Ltd.D | 23,994 | 1,629,503 | ||||||
Commonwealth Bank of Australia | 23,783 | 1,302,469 | ||||||
Computershare, Ltd. | 6,176 | 47,207 | ||||||
CSL, Ltd. | 6,238 | 253,024 | ||||||
David Jones, Ltd. | 7,628 | 20,397 | ||||||
Dexus Property Group REIT | 84,924 | 81,264 | ||||||
Downer EDI, Ltd.* | 554,105 | 1,792,452 | ||||||
Fairfax Media, Ltd. | 89,241 | 51,191 | ||||||
Flight Centre, Ltd. | 13,988 | 273,421 | ||||||
Fortescue Metals Group, Ltd.D | 538,076 | 2,749,372 | ||||||
Goodman Group REIT | 19,815 | 75,028 | ||||||
GPT Group+* | 63,198 | — | ||||||
GPT Group REIT | 26,294 | 88,941 | ||||||
GrainCorp, Ltd. | 25,447 | 249,133 | ||||||
Harvey Norman Holdings, Ltd. | 66,748 | 134,213 | ||||||
Iluka Resources, Ltd. | 13,679 | 161,444 | ||||||
Incitec Pivot, Ltd. | 137,785 | 407,063 | ||||||
Leighton Holdings, Ltd. | 19,271 | 324,590 | ||||||
Lend Lease Group | 7,753 | 57,660 | ||||||
Macquarie Group, Ltd. | 21,266 | 574,265 | ||||||
Mirvac Group REIT | 47,808 | 62,819 | ||||||
Monadelphous Group, Ltd. | 5,824 | 131,647 | ||||||
Mount Gibson Iron, Ltd. | 1,099,870 | 982,764 | ||||||
Myer Holdings, Ltd. | 84,500 | 140,572 | ||||||
National Australia Bank, Ltd. | 119,079 | 2,900,479 | ||||||
Newcrest Mining, Ltd. | 13,780 | 320,676 | ||||||
Nufarm, Ltd. | 73,846 | 385,686 | ||||||
OZ Minerals, Ltd. | 4,583 | 37,391 | ||||||
Pacific Brands, Ltd. | 630,117 | 325,070 | ||||||
Primary Health Care, Ltd. | 145,706 | 443,448 | ||||||
Qantas Airways, Ltd.* | 401,270 | 445,788 | ||||||
QBE Insurance Group, Ltd. | 244,626 | 3,380,913 | ||||||
QR National, Ltd. | 4,409 | 15,444 | ||||||
Ramsay Health Care, Ltd. | 8,205 | 190,645 | ||||||
Rio Tinto, Ltd. | 1,222 | 71,740 | ||||||
Santos, Ltd. | 23,966 | 263,950 | ||||||
Sims Metal Management, Ltd. | 62,804 | 617,730 | ||||||
Sonic Healthcare, Ltd. | 34,559 | 452,000 | ||||||
SP AusNet | 157,887 | 165,467 |
Shares | Value | |||||||
Spark Infrastructure Group 144A | 165,168 | $ | 258,960 | |||||
Stockland REIT | 46,149 | 146,472 | ||||||
Suncorp Group, Ltd. | 50,481 | 421,823 | ||||||
Telstra Corporation, Ltd. | 731,564 | 2,771,837 | ||||||
Toll Holdings, Ltd. | 320,167 | 1,316,416 | ||||||
Wesfarmers, Ltd. | 17,338 | 533,692 | ||||||
Westfield Group REIT | 40,245 | 394,054 | ||||||
Westfield Retail Trust REIT | 59,197 | 173,636 | ||||||
Westpac Banking Corporation | 38,069 | 831,284 | ||||||
Woodside Petroleum, Ltd. | 52,222 | 1,673,509 | ||||||
|
| |||||||
45,223,803 | ||||||||
|
| |||||||
Austria — 0.0% | ||||||||
Wiener Versicherung Gruppe | 14,958 | 604,663 | ||||||
|
| |||||||
Belgium — 0.1% | ||||||||
Ageas* | 106,120 | 134 | ||||||
Belgacom SA | 1,422 | 40,438 | ||||||
Groupe Bruxelles Lambert SA | 457 | 31,021 | ||||||
Nyrstar | 14,734 | 84,092 | ||||||
UCB SA | 14,378 | 726,312 | ||||||
Umicore SA | 17,989 | 831,725 | ||||||
|
| |||||||
1,713,722 | ||||||||
|
| |||||||
Bermuda — 0.3% | ||||||||
Catlin Group, Ltd. | 731 | 4,878 | ||||||
Kosmos Energy, Ltd.D* | 28,468 | 314,571 | ||||||
Seadrill, Ltd.D | 82,228 | 2,927,231 | ||||||
Signet Jewelers, Ltd. | 19,891 | 877,753 | ||||||
|
| |||||||
4,124,433 | ||||||||
|
| |||||||
Brazil — 3.2% | ||||||||
AES Tiete SA | 6,500 | 92,557 | ||||||
All America Latina Logistica SA | 174,700 | 737,593 | ||||||
Amil Participacoes SA | 105,190 | 1,031,737 | ||||||
Banco Bradesco SA ADRD | 8,800 | 130,856 | ||||||
Banco do Brasil SA | 39,500 | 382,512 | ||||||
Banco do Brasil SA ADRD | 85,840 | 842,090 | ||||||
Banco Santander Brasil SA | 170,783 | 1,307,763 | ||||||
Banco Santander Brasil SA ADR | 246,661 | 1,911,623 | ||||||
BM&FBovespa SA | 400,000 | 2,017,426 | ||||||
BR Malls Participacoes SA | 92,800 | 1,051,133 | ||||||
Brookfield Incorporacoes SA | 560,200 | 937,153 | ||||||
CCR SA | 6,500 | 52,718 | ||||||
Cido SA | 39,900 | 1,167,102 | ||||||
Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADRD | 13,300 | 531,867 | ||||||
Companhia de Saneamento Basico do Estado de Sao Paulo | 44,300 | 1,678,481 | ||||||
Companhia Energetica de Minas Gerais ADRD | 33,700 | 620,754 | ||||||
Companhia Hering | 11,700 | 222,233 | ||||||
Cosan SA Industria e Comercio | 49,700 | 760,409 | ||||||
Diagnosticos da America SA | 52,500 | 343,204 | ||||||
Duratex SA | 3,000 | 15,997 | ||||||
EDP — Energias do Brasil SA | 1,900 | 12,288 | ||||||
Embraer SA ADR | 68,900 | 1,827,917 | ||||||
Hypermarcas SA* | 104,900 | 617,858 | ||||||
Itau Unibanco Holding SA ADRD | 229,294 | 3,191,772 |
See Notes to Financial Statements.
141
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
JBS SA* | 68,900 | $ | 206,854 | |||||
Lojas Americanas SA | 31,300 | 205,238 | ||||||
Lojas Renner SA | 27,268 | 762,309 | ||||||
Magnesita Refratarios SA | 52,339 | 166,776 | ||||||
Marfrig Alimentos SA* | 43,367 | 205,985 | ||||||
Metalurgica Gerdau SA | 60,200 | 659,398 | ||||||
OGX Petroleo e Gas Participacoes SA* | 686,120 | 1,878,845 | ||||||
PDG Realty SA Empreendimentos e Participacoes ADR | 89,500 | 308,775 | ||||||
Petroleo Brasileiro SA ADRD | 176,750 | 3,252,140 | ||||||
Porto Seguro SA | 36,100 | 307,529 | ||||||
Tim Participacoes SA ADRD | 152,261 | 4,181,087 | ||||||
Totvs SA | 35,611 | 686,157 | ||||||
Tractebel Energia SA | 28,014 | 513,416 | ||||||
Ultrapar Participacoes SA | 54,968 | 1,250,156 | ||||||
Vale SA ADRD | 187,400 | 3,656,174 | ||||||
|
| |||||||
39,725,882 | ||||||||
|
| |||||||
Canada — 1.2% | ||||||||
Agrium, Inc.D | 15,890 | 1,405,788 | ||||||
Canadian National Railway Co.D | 51,380 | 4,335,444 | ||||||
Enbridge, Inc.D | 39,900 | 1,593,492 | ||||||
First Quantum Minerals, Ltd.D | 221,439 | 3,915,040 | ||||||
Nexen, Inc. | 113,701 | 1,925,356 | ||||||
Potash Corporation of Saskatchewan, Inc.D | 35,610 | 1,555,801 | ||||||
Westjet Airlines, Ltd. | 22,305 | 352,507 | ||||||
|
| |||||||
15,083,428 | ||||||||
|
| |||||||
Chile — 0.2% | ||||||||
Banco Santander Chile ADR | 400 | 30,996 | ||||||
Cap SA | 7,000 | 257,913 | ||||||
Embotelladora Andina SA ADR Class AD | 8,434 | 223,923 | ||||||
Embotelladora Andina SA ADR Class BD | 14,724 | 475,585 | ||||||
Empresas COPEC SA | 11,100 | 163,812 | ||||||
Enersis SA ADR | 16,700 | 312,290 | ||||||
Entel Chile SA | 31,900 | 605,192 | ||||||
Sociedad Quimica y Minera de Chile SA ADRD | 13,800 | 768,246 | ||||||
|
| |||||||
2,837,957 | ||||||||
|
| |||||||
China — 3.3% | ||||||||
Agricultural Bank of China, Ltd.D | 452,000 | 183,067 | ||||||
Anhui Conch Cement Co., Ltd. Class H | 650,096 | 1,788,719 | ||||||
Anta Sports Products, Ltd.D | 164,000 | 99,989 | ||||||
Baidu, Inc. ADR* | 64,100 | 7,370,218 | ||||||
Bank of China, Ltd. Class H | 2,328,000 | 894,243 | ||||||
Bank of Communications Co., Ltd. | 249,000 | 169,002 | ||||||
China BlueChemical, Ltd. | 416,000 | 237,929 | ||||||
China CITIC Bank Corporation, Ltd.D | 49,000 | 25,329 | ||||||
China Coal Energy Co., Ltd. | 235,000 | 195,114 | ||||||
China Communications Construction Co., Ltd. Class H | 304,000 | 269,854 | ||||||
China Construction Bank Corporation Class H | 2,044,000 | 1,412,148 | ||||||
China Life Insurance Co., Ltd. Class H | 249,000 | 655,743 |
Shares | Value | |||||||
China Merchants Bank Co., Ltd.D | 1,396,190 | $ | 2,647,300 | |||||
China Merchants Bank Co., Ltd. Class HD | 96,500 | 182,973 | ||||||
China Minsheng Banking Corporation, Ltd.D | 353,500 | 316,548 | ||||||
China National Building Material Co., Ltd. | 970,000 | 1,059,746 | ||||||
China Petroleum & Chemical Corporation Class HD | 610,000 | 545,173 | ||||||
China Railway Construction Corporation, Ltd.D | 655,500 | 549,573 | ||||||
China Shenhua Energy Co., Ltd. Class H | 30,500 | 107,918 | ||||||
China Shenhua Energy Co., Ltd. | 250,651 | 886,880 | ||||||
China Telecom Corporation, Ltd. Class H | 384,000 | 168,555 | ||||||
China Yurun Food Group, Ltd.D | 165,000 | 145,741 | ||||||
Chongqing Rural Commercial Bank | 127,000 | 51,828 | ||||||
CNinsure, Inc. ADRD* | 14,236 | 97,374 | ||||||
CNOOC, Ltd.D | 1,230,900 | 2,481,641 | ||||||
Ctrip.com International, Ltd. ADRD* | 38,257 | 641,187 | ||||||
Dongyue GroupD | 1,605,000 | 754,974 | ||||||
ENN Energy Holdings, Ltd. | 274,433 | 968,754 | ||||||
Evergrande Real | ||||||||
Estate Group, Ltd. | 169,000 | 87,524 | ||||||
Industrial & Commercial Bank of China Class H | 3,850,750 | 2,158,686 | ||||||
Jiangsu Express Co., Ltd. Class HD | 128,000 | 120,509 | ||||||
Lenovo Group, Ltd. | 1,430,000 | 1,220,264 | ||||||
Li Ning Co, Ltd.D | 638,842 | 359,443 | ||||||
Longfor Properties Co., Ltd. | 521,458 | 822,382 | ||||||
Parkson Retail Group, Ltd.D | 1,261,927 | 1,127,286 | ||||||
PetroChina Co., Ltd. Class H | 46,000 | 59,536 | ||||||
Tencent Holdings, Ltd. | 239,900 | 7,084,555 | ||||||
Tingyi Cayman Islands Holding Corporation | 12,000 | 30,917 | ||||||
Want Want China Holdings, Ltd.D | 1,032,283 | 1,276,563 | ||||||
West China Cement, Ltd. | 1,675,528 | 330,870 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 331,800 | 266,089 | ||||||
Youku, Inc. ADRD* | 28,040 | 607,907 | ||||||
Zhejiang Expressway Co., Ltd. | 128,000 | 84,947 | ||||||
|
| |||||||
40,544,998 | ||||||||
|
| |||||||
Colombia — 0.1% | ||||||||
BanColombia SA | 64,300 | 972,988 | ||||||
BanColombia SA ADRD | 8,246 | 509,933 | ||||||
|
| |||||||
1,482,921 | ||||||||
|
| |||||||
Cyprus — 0.1% | ||||||||
Eurasia Drilling Co., Ltd. GDR | 15,112 | 385,356 | ||||||
Global Ports Investment, Ltd. GDR | 18,486 | 252,334 | ||||||
Global Ports Investment, Ltd. GDR 144A | 18,105 | 247,133 | ||||||
|
| |||||||
884,823 | ||||||||
|
| |||||||
Denmark — 0.7% | ||||||||
AP Moller — Maersk A/S Class B | 82 | 537,717 | ||||||
Coloplast A/S | 295 | 53,043 | ||||||
Danske Bank A/S* | 58,611 | 814,952 |
See Notes to Financial Statements.
142
Table of Contents
Shares | Value | |||||||
DSV A/S | 44,739 | $ | 887,085 | |||||
Novo Nordisk A/S Class B | 35,486 | 5,146,778 | ||||||
Novozymes A/S | 36,890 | 956,609 | ||||||
Vestas Wind Systems A/SD* | 26,737 | 148,234 | ||||||
|
| |||||||
8,544,418 | ||||||||
|
| |||||||
Egypt — 0.2% | ||||||||
ElSwedy Electric Co. | 80,671 | 318,691 | ||||||
Orascom Construction Industries | 54,630 | 2,280,269 | ||||||
|
| |||||||
2,598,960 | ||||||||
|
| |||||||
Estonia — 0.0% | ||||||||
Tallink Group AS* | 491,560 | 382,744 | ||||||
|
| |||||||
Finland — 0.3% | ||||||||
Kone OYJ | 8,457 | 510,747 | ||||||
Metso OYJ | 45,531 | 1,569,873 | ||||||
Nokia OYJ | 140,059 | 285,720 | ||||||
Outotec OYJ | 23,201 | 1,060,074 | ||||||
Sampo OYJ | 12,161 | 315,516 | ||||||
|
| |||||||
3,741,930 | ||||||||
|
| |||||||
France — 6.9% | ||||||||
Arkema SA | 11,687 | 766,298 | ||||||
AtoS | 12,728 | 761,175 | ||||||
AXA SA | 30,296 | 405,019 | ||||||
BNP Paribas SA | 58,782 | 2,266,329 | ||||||
Bouygues SA | 17,919 | 480,833 | ||||||
Cap Gemini SA | 28,716 | 1,056,915 | ||||||
Carrefour SAD | 203,625 | 3,760,025 | ||||||
Casino Guichard Perrachon SA | 42,681 | 3,751,607 | ||||||
Christian Dior SA | 27,889 | 3,835,498 | ||||||
Cie de St-Gobain | 171,281 | 6,328,711 | ||||||
Cie Generale des Etablissements Michelin Class B | 8,351 | 546,377 | ||||||
Cie Generale d’Optique Essilor International SA | 8,954 | 831,826 | ||||||
Credit Agricole SA* | 29,800 | 131,491 | ||||||
Danone SA | 62,966 | 3,913,132 | ||||||
Edenred | 9,332 | 264,557 | ||||||
Eramet | 1,938 | 223,985 | ||||||
Etablissements Maurel et Prom | 33,321 | 482,625 | ||||||
Faurecia | 27,650 | 459,911 | ||||||
France Telecom SA | 446,344 | 5,868,721 | ||||||
GDF Suez | 119,136 | 2,841,142 | ||||||
Hermes International | 2,547 | 782,548 | ||||||
Klepierre REIT | 623 | 20,474 | ||||||
Lagardere SCA | 15,526 | 433,389 | ||||||
L’Oreal SA | 45,608 | 5,336,389 | ||||||
Natixis | 44,299 | 119,327 | ||||||
Nexans SA | 9,540 | 370,053 | ||||||
PPR | 30,192 | 4,303,320 | ||||||
Publicis Groupe SA | 7,064 | 323,062 | ||||||
Sanofi | 158,162 | 11,973,022 | ||||||
Schneider Electric SA | 71,544 | 3,976,689 | ||||||
Societe BIC SA | 8,271 | 854,395 | ||||||
Societe Generale SA* | 67,847 | 1,590,988 | ||||||
Total SA | 158,546 | 7,136,001 | ||||||
UBISOFT Entertainment* | 122,900 | 823,928 | ||||||
Unibail-Rodamco SE REIT | 1,611 | 296,763 | ||||||
Valeo SA | 25,703 | 1,061,896 |
Shares | Value | |||||||
Vallourec SAD | 40,179 | $ | 1,641,765 | |||||
Vinci SA | 76,812 | 3,589,827 | ||||||
Vivendi SAD | 93,357 | 1,734,660 | ||||||
Zodiac Aerospace | 3,470 | 352,986 | ||||||
|
| |||||||
85,697,659 | ||||||||
|
| |||||||
Germany — 7.4% | ||||||||
Adidas AG | 34,282 | 2,457,268 | ||||||
Aixtron SE NAD | 63,889 | 915,615 | ||||||
Allianz SE | 22,111 | 2,224,037 | ||||||
Aurubis AG | 20,734 | 1,001,281 | ||||||
Axel Springer AGD | 14,402 | 618,769 | ||||||
BASF SE | 70,340 | 4,891,062 | ||||||
Bayer AGD | 151,220 | 10,896,833 | ||||||
Bayerische Motoren Werke AG | 34,364 | 2,486,856 | ||||||
Beiersdorf AGD | 65,901 | 4,272,209 | ||||||
Bilfinger Berger SE | 14,223 | 1,159,258 | ||||||
Brenntag AG | 425 | 47,034 | ||||||
Continental AGD | 29,965 | 2,497,912 | ||||||
Daimler AG | 86,461 | 3,885,516 | ||||||
Deutsche Bank AG | 43,398 | 1,566,378 | ||||||
Deutsche Lufthansa AGD | 94,678 | 1,094,555 | ||||||
Deutsche Post AG | 94,688 | 1,675,363 | ||||||
Deutsche Telekom AG | 413,059 | 4,526,905 | ||||||
E.ON AG | 45,275 | 978,356 | ||||||
Fresenius Medical Care AG & Co. KGaA | 22,202 | 1,568,091 | ||||||
Fresenius SE & Co KGaA | 1,995 | 206,558 | ||||||
GEA Group AGD | 75,079 | 2,001,074 | ||||||
Hannover Rueckversicherung AGD | 45,654 | 2,719,547 | ||||||
HeidelbergCement AGD | 19,305 | 926,823 | ||||||
Hugo Boss AG* | 8,930 | 884,719 | ||||||
Johnson & Johnson | 1,969 | 133,053 | ||||||
Kabel Deutschland Holding AGD | 15,900 | 990,887 | ||||||
Leoni AG | 22,341 | 852,279 | ||||||
Linde AGD | 36,865 | 5,741,392 | ||||||
Merck KGaA | 15,358 | 1,533,753 | ||||||
Metro AG | 43,230 | 1,260,595 | ||||||
MTU Aero Engines Holding AG | 51,000 | 3,753,584 | ||||||
Rheinmetall AG | 8,633 | 424,375 | ||||||
RWE AG | 137,493 | 5,622,729 | ||||||
Salzgitter AG | 14,059 | 578,742 | ||||||
SAP AGD | 153,350 | 9,080,704 | ||||||
Siemens AG | 12,559 | 1,055,299 | ||||||
SMA Solar Technology AGD | 31,541 | 1,081,831 | ||||||
Suedzucker AGD | 56,913 | 2,019,020 | ||||||
TUI AG* | 118,191 | 707,025 | ||||||
Volkswagen AGD | 8,637 | 1,305,169 | ||||||
|
| |||||||
91,642,456 | ||||||||
|
| |||||||
Greece — 0.1% | ||||||||
Coca Cola Hellenic Bottling Co. SA | 50,754 | 899,210 | ||||||
|
| |||||||
Guernsey — 0.0% | ||||||||
Resolution, Ltd. | 7,614 | 23,422 | ||||||
|
| |||||||
Hong Kong — 2.6% | ||||||||
AIA Group, Ltd. | 1,088,800 | 3,760,780 | ||||||
ASM Pacific Technology, Ltd.D | 58,957 | 753,610 | ||||||
Belle International Holdings, Ltd. | 359,000 | 615,025 | ||||||
BOC Hong Kong Holdings, Ltd. | 169,500 | 521,798 | ||||||
Cathay Pacific Airways, Ltd. | 57,000 | 92,411 |
See Notes to Financial Statements.
143
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Cheung Kong Holdings, Ltd. | 51,000 | $ | 629,661 | |||||
Cheung Kong Infrastructure Holdings, Ltd. | 7,000 | 42,377 | ||||||
China Mengniu Dairy Co., Ltd. | 269,000 | 712,311 | ||||||
China Mobile, Ltd. | 510,118 | 5,599,816 | ||||||
China Overseas Land & Investment, Ltd.D | 818,372 | 1,927,283 | ||||||
China Resources Cement Holdings, Ltd.D | 920,782 | 540,297 | ||||||
China Resources Gas Group, Ltd. | 333,469 | 577,454 | ||||||
China Resources Land, Ltd. | 64,000 | 132,337 | ||||||
CLP Holdings, Ltd. | 45,000 | 382,448 | ||||||
COSCO Pacific, Ltd. | 446,000 | 611,956 | ||||||
Esprit Holdings, Ltd. | 77 | 100 | ||||||
First Pacific Co., Ltd. | 38,000 | 39,416 | ||||||
Foxconn International Holdings, Ltd.* | 16,000 | 5,845 | ||||||
GOME Electrical Appliances Holdings, Ltd. | 5,896,000 | 788,846 | ||||||
Guangdong Investment, Ltd. | 272,000 | 196,902 | ||||||
Hang Lung Group, Ltd. | 15,000 | 92,748 | ||||||
Hang Seng Bank, Ltd. | 12,000 | 164,976 | ||||||
HKT Trust | 954 | 749 | ||||||
Hong Kong & China Gas Co., Ltd. | 101,200 | 214,979 | ||||||
Hong Kong Exchanges and Clearing, Ltd.D | 97,600 | 1,404,344 | ||||||
Hopewell Holdings, Ltd. | 32,000 | 91,609 | ||||||
Hutchison Whampoa, Ltd. | 37,000 | 320,934 | ||||||
Hysan Development Co., Ltd. | 86,000 | 327,815 | ||||||
Jardine Matheson Holdings, Ltd. | 61,540 | 2,997,632 | ||||||
Kerry Properties, Ltd. | 66,100 | 284,440 | ||||||
Kingboard Chemical Holdings, Ltd. | 114,400 | 222,807 | ||||||
Li & Fung, Ltd.D | 2,052,924 | 3,974,976 | ||||||
Lifestyle International Holdings, Ltd. | 33,000 | 72,716 | ||||||
Link (The) REIT | 39,500 | 161,905 | ||||||
Minmetals Resources, Ltd.* | 492,000 | 207,848 | ||||||
MTR Corporation, Ltd. | 69,500 | 238,583 | ||||||
New World Department Store China, Ltd. | 463,337 | 250,388 | ||||||
New World Development Co., Ltd. | 64,000 | 75,415 | ||||||
NWS Holdings, Ltd. | 21,000 | 30,714 | ||||||
PCCW, Ltd. | 68,000 | 25,078 | ||||||
Ports Design, Ltd.+D | 133,000 | 139,141 | ||||||
Power Assets Holdings, Ltd. | 127,500 | 956,784 | ||||||
Shangri-La Asia, Ltd. | 1,000 | 1,921 | ||||||
Shimao Property Holdings, Ltd. | 42,500 | 65,873 | ||||||
Shougang Fushan Resources Group, Ltd. | 1,608,000 | 419,238 | ||||||
Sino Land Co., Ltd. | 82,000 | 124,514 | ||||||
Sun Hung Kai Properties, Ltd. | 2,000 | 23,778 | ||||||
Swire Pacific, Ltd. Class A | 13,000 | 151,201 | ||||||
Swire Properties, Ltd. | 100 | 301 | ||||||
Television Broadcasts, Ltd. | 800 | 5,577 | ||||||
Wharf Holdings, Ltd. | 17,000 | 94,536 | ||||||
Wing Hang Bank, Ltd. | 3,000 | 29,171 | ||||||
Yue Yuen Industrial | ||||||||
Holdings, Ltd. | 411,800 | 1,294,725 | ||||||
|
| |||||||
32,398,089 | ||||||||
|
|
Shares | Value | |||||||
Hungary — 0.1% | ||||||||
MOL Hungarian Oil and Gas PLC | 24,620 | $ | 1,783,021 | |||||
OTP Bank PLC | 5,200 | 82,685 | ||||||
|
| |||||||
1,865,706 | ||||||||
|
| |||||||
India — 1.9% | ||||||||
ACC, Ltd. | 20,600 | 470,239 | ||||||
Ambuja Cements, Ltd. | 294,998 | 925,673 | ||||||
Andhra Bank | 214,848 | 457,468 | ||||||
Axis Bank, Ltd. | 88,770 | 1,633,151 | ||||||
Bank of India | 16,700 | 104,319 | ||||||
Canara Bank | 8,600 | 64,082 | ||||||
Container Corporation of India | 12,622 | 208,806 | ||||||
Dabur India, Ltd. | 335,826 | 691,970 | ||||||
GAIL India, Ltd.* | 4,800 | 30,488 | ||||||
HCL Technologies, Ltd. | 16,600 | 142,549 | ||||||
Hero MotoCorp, Ltd. | 1,900 | 73,717 | ||||||
Hindustan Unilever, Ltd. | 69,900 | 570,804 | ||||||
Housing Development Finance Corporation | 96,100 | 1,133,226 | ||||||
ICICI Bank, Ltd. ADRD | 87,190 | 2,825,828 | ||||||
Infosys, Ltd. ADR | 26,326 | 1,193,495 | ||||||
Infosys, Ltd. ADR D | 103,109 | 4,646,092 | ||||||
JSW Steel, Ltd. | 16,500 | 202,325 | ||||||
Kotak Mahindra Bank, Ltd. | 150,208 | 1,606,380 | ||||||
Lupin, Ltd. | 139,207 | 1,345,263 | ||||||
Oil & Natural Gas Corporation, Ltd.* | 69,100 | 354,508 | ||||||
Opto Circuits India, Ltd.* | 101,293 | 281,182 | ||||||
Ranbaxy Laboratories, Ltd.* | 39,500 | 350,397 | ||||||
Reliance Capital, Ltd.* | 58,236 | 377,950 | ||||||
Rural Electrification Corporation, Ltd.* | 256,800 | 887,324 | ||||||
Shriram Transport Finance Co., Ltd. | 115,811 | 1,104,737 | ||||||
SKS Microfinance, Ltd.* | 17,272 | 21,530 | ||||||
Tata Consultancy Services, Ltd. | 31,334 | 723,101 | ||||||
Tata Motors, Ltd. ADRD | 10,600 | 232,776 | ||||||
Tata Steel, Ltd. | 48,000 | 383,339 | ||||||
Ultratech Cement, Ltd. | 10,700 | 291,461 | ||||||
Welspun Corporation, Ltd. | 67,687 | 144,889 | ||||||
|
| |||||||
23,479,069 | ||||||||
|
| |||||||
Indonesia — 0.8% | ||||||||
Media Nusantara Citra Tbk PT | 4,365,000 | 930,070 | ||||||
PT Bank Danamon Indonesia Tbk | 254,897 | 163,707 | ||||||
PT Bank Negara Indonesia Persero Tbk | 596,000 | 245,058 | ||||||
PT Bank Rakyat Indonesia Tbk | 2,103,634 | 1,440,790 | ||||||
PT Indo Tambangraya Megah Tbk | 39,500 | 152,965 | ||||||
PT Indocement Tunggal Prakarsa Tbk | 940,780 | 1,753,388 | ||||||
PT Indofood Sukses Makmur Tbk | 722,000 | 375,527 | ||||||
PT Ramayana Lestari Sentosa Tbk | 2,831,000 | 285,860 | ||||||
PT Semen Gresik Persero Tbk | 537,637 | 652,498 | ||||||
PT Telekomunikasi Indonesia Tbk | 2,833,194 | 2,475,317 | ||||||
PT Telekomunikasi Indonesia Tbk ADRD | 18,500 | 644,355 | ||||||
PT Unilever Indonesia Tbk | 166,500 | 408,346 |
See Notes to Financial Statements.
144
Table of Contents
Shares | Value | |||||||
PT United Tractors Tbk | 36,000 | $ | 82,831 | |||||
|
| |||||||
9,610,712 | ||||||||
|
| |||||||
Ireland — 0.4% | ||||||||
Experian PLC | 132,929 | 1,875,379 | ||||||
James Hardie Industries SE | 134,257 | 1,106,945 | ||||||
Shire PLC | 60,960 | 1,753,808 | ||||||
WPP PLC | 51,727 | 627,951 | ||||||
|
| |||||||
5,364,083 | ||||||||
|
| |||||||
Israel — 0.7% | ||||||||
Check Point Software Technologies, Ltd.D* | 22,700 | 1,125,693 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR | 184,100 | 7,260,904 | ||||||
|
| |||||||
8,386,597 | ||||||||
|
| |||||||
Italy — 1.7% | ||||||||
Assicurazioni Generali SpA | 20,976 | 284,411 | ||||||
Enel SpA | 436,063 | 1,407,988 | ||||||
Eni SpA | 412,138 | 8,755,953 | ||||||
Fiat Industrial SpA | 17,752 | 174,734 | ||||||
Fiat SpAD* | 341,067 | 1,719,595 | ||||||
Finmeccanica SpAD* | 113,400 | 458,521 | ||||||
Intesa Sanpaolo SpA | 1,515,622 | 2,157,109 | ||||||
Prysmian SpA | 22,562 | 336,536 | ||||||
Snam SpA | �� | 403,300 | 1,806,837 | |||||
Telecom Italia SpA | 2,427,501 | 2,398,722 | ||||||
UniCredit SpA* | 283,627 | 1,075,405 | ||||||
Unione di Banche Italiane SCPA | 14,202 | 46,401 | ||||||
|
| |||||||
20,622,212 | ||||||||
|
| |||||||
Japan — 13.3% | ||||||||
Acom Co., Ltd.* | 20,230 | 401,368 | ||||||
Aeon Co., Ltd. | 39,800 | 496,030 | ||||||
Aisin Seiki Co., Ltd. | 57,100 | 1,908,732 | ||||||
Ajinomoto Co., Inc. | 40,000 | 556,704 | ||||||
Amada Co., Ltd. | 194,000 | 1,147,864 | ||||||
Anritsu Corporation | 16,000 | 181,346 | ||||||
Aozora Bank, Ltd. | 56,600 | 134,786 | ||||||
Asahi Glass Co., Ltd. | 5,200 | 35,080 | ||||||
Asahi Kasei Corporation | 50,200 | 272,115 | ||||||
Astellas Pharma, Inc. | 141,900 | 6,192,333 | ||||||
Azbil Corporation | 21,000 | 430,407 | ||||||
Bridgestone Corporation | 2,200 | 50,521 | ||||||
Brother Industries, Ltd. | 48,900 | 559,858 | ||||||
Calsonic Kansei Corporation | 141,000 | 767,174 | ||||||
Canon, Inc. | 202,950 | 8,099,841 | ||||||
Casio Computer Co., Ltd. | 30,400 | 199,334 | ||||||
Central Japan Railway Co. | 93 | 732,456 | ||||||
Chiyoda Corporation | 69,000 | 845,411 | ||||||
Chubu Electric Power Co., Inc. | 22,500 | 364,852 | ||||||
COMSYS Holdings Corporation | 42,200 | 496,346 | ||||||
Credit Saison Co., Ltd. | 13,600 | 302,383 | ||||||
Daicel Corporation | 31,000 | 190,699 | ||||||
Daihatsu Motor Co., Ltd. | 47,000 | 822,837 | ||||||
Daiichi Sankyo Co., Ltd. | 5,100 | 85,995 | ||||||
Dainippon Screen Manufacturing Co., Ltd. | 78,000 | 571,585 | ||||||
Dainippon Sumitomo Pharma Co., Ltd. | 10,700 | 109,325 | ||||||
Daito Trust Construction Co., Ltd. | 17,400 | 1,649,383 |
Shares | Value | |||||||
Daiwa House Industry Co., Ltd. | 3,000 | $ | 42,555 | |||||
Dena Co., Ltd.D | 59,700 | 1,571,396 | ||||||
Denso Corporation | 151,000 | 5,159,824 | ||||||
East Japan Railway Co. | 6,000 | 376,747 | ||||||
Ebara Corporation | 79,000 | 305,917 | ||||||
Exedy Corporation | 11,600 | 253,029 | ||||||
FamilyMart Co., Ltd. | 19,100 | 874,187 | ||||||
FANUC Corporation | 11,000 | 1,808,192 | ||||||
Fuji Heavy Industries, Ltd. | 101,900 | 825,601 | ||||||
Fuji Media Holdings, Inc. | 138 | 237,229 | ||||||
Fujikura, Ltd. | 59,000 | 176,590 | ||||||
Fujitsu, Ltd.D | 343,000 | 1,641,500 | ||||||
Fukuoka Financial Group, Inc. | 128,000 | 499,831 | ||||||
Furukawa Electric Co., Ltd. | 52,000 | 122,994 | ||||||
Gree, Inc.D | 59,400 | 1,181,613 | ||||||
Hino Motors, Ltd. | 60,000 | 434,271 | ||||||
Hitachi High-Technologies Corporation | 6,000 | 147,744 | ||||||
Hitachi, Ltd. | 334,000 | 2,059,391 | ||||||
Hokuetsu Kishu Paper Co., Ltd. | 25,000 | 134,065 | ||||||
Honda Motor Co., Ltd. | 8,500 | 296,612 | ||||||
Hoya Corporation | 124,500 | 2,742,737 | ||||||
Ibiden Co., Ltd. | 32,600 | 590,526 | ||||||
Idemitsu Kosan Co., Ltd. | 3,700 | 331,896 | ||||||
IHI Corporation | 268,000 | 573,249 | ||||||
Inpex Corporation | 761 | 4,274,158 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 39,400 | 418,600 | ||||||
Isuzu Motors, Ltd. | 122,100 | 654,014 | ||||||
ITOCHU Corporation | 354,700 | 3,728,131 | ||||||
J Front Retailing Co., Ltd. | 78,000 | 392,071 | ||||||
Japan Petroleum Exploration Co. | 5,400 | 205,600 | ||||||
Japan Real Estate Investment Corporation REIT | 7 | 64,181 | ||||||
Japan Retail Fund Investment Corporation REIT | 20 | 31,725 | ||||||
JGC Corporation | 81,000 | 2,348,299 | ||||||
JTEKT Corporation | 43,300 | 448,312 | ||||||
JX Holdings, Inc. | 2,770 | 14,277 | ||||||
Kao Corporation | 155,800 | 4,296,713 | ||||||
KDDI Corporation | 158 | 1,019,244 | ||||||
Keisei Electric Railway Co., Ltd. | 54,000 | 456,167 | ||||||
Kobe Steel, Ltd. | 305,000 | 366,900 | ||||||
Komatsu, Ltd.D | 111,900 | 2,671,203 | ||||||
Konami Corporation | 4,500 | 101,965 | ||||||
Konica Minolta Holdings, Inc. | 97,500 | 768,101 | ||||||
Kuraray Co., Ltd. | 64,500 | 835,886 | ||||||
KYB Co., Ltd. | 99,000 | 445,647 | ||||||
Kyocera Corporation | 5,900 | 510,586 | ||||||
Lawson, Inc. | 40,000 | 2,797,259 | ||||||
Mabuchi Motor Co., Ltd. | 40,700 | 1,622,388 | ||||||
Marubeni Corporation | 78,800 | 525,036 | ||||||
Marui Group Co., Ltd. | 38,800 | 296,754 | ||||||
Miraca Holdings, Inc. | 8,700 | 361,210 | ||||||
Mitsubishi Corporation | 109,800 | 2,219,529 | ||||||
Mitsubishi Electric Corporation | 800 | 6,693 | ||||||
Mitsubishi Estate Co., Ltd. | 108,000 | 1,937,607 | ||||||
Mitsubishi Heavy Industries, Ltd. | 108,000 | 439,038 | ||||||
Mitsubishi Motors Corporation* | 25,000 | 25,210 |
See Notes to Financial Statements.
145
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INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Mitsubishi UFJ Financial Group, Inc. | 407,100 | $ | 1,950,367 | |||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 14,760 | 613,952 | ||||||
Mitsui & Co., Ltd. | 85,200 | 1,266,059 | ||||||
Mitsui Chemicals, Inc. | 135,000 | 338,065 | ||||||
Mitsui Engineering & Shipbuilding Co., Ltd. | 144,000 | 207,534 | ||||||
Mitsui Fudosan Co., Ltd. | 18,000 | 349,251 | ||||||
Mitsui Mining & Smelting Co., Ltd. | 137,000 | 300,550 | ||||||
Mizuho Financial Group, Inc. | 234,440 | 396,026 | ||||||
Mori Seiki Co., Ltd.D | 100,800 | 877,417 | ||||||
Namco Bandai Holdings, Inc. | 10,300 | 141,251 | ||||||
NET One Systems Co., Ltd. | 112,400 | 1,500,428 | ||||||
NHK Spring Co., Ltd. | 64,000 | 691,124 | ||||||
Nintendo Co., Ltd.D | 16,200 | 1,891,852 | ||||||
Nippon Building Fund, Inc. REIT | 8 | 77,349 | ||||||
Nippon Electric Glass Co., Ltd. | 49,100 | 293,252 | ||||||
Nippon Kayaku Co., Ltd. | 43,000 | 404,736 | ||||||
Nippon Meat Packers, Inc. | 11,000 | 145,602 | ||||||
Nippon Shokubai Co., Ltd. | 17,000 | 205,734 | ||||||
Nippon Telegraph & Telephone Corporation | 6,900 | 321,751 | ||||||
Nippon Yusen KK | 33,800 | 89,396 | ||||||
Nishi-Nippon City Bank, Ltd. (The) | 200 | 486 | ||||||
Nissan Motor Co., Ltd. | 454,600 | 4,316,759 | ||||||
Nisshin Seifun Group, Inc. | 19,500 | 228,291 | ||||||
Nitto Denko Corporation | 19,000 | 814,050 | ||||||
NKSJ Holdings, Inc. | 66,250 | 1,410,319 | ||||||
Nomura Holdings, Inc. | 68,200 | 254,968 | ||||||
Nomura Research Institute, Ltd.D | 44,000 | 968,244 | ||||||
NSK, Ltd. | 19,000 | 123,110 | ||||||
NTT DOCOMO, Inc. | 306 | 509,185 | ||||||
OKUMA Corporation | 93,000 | 631,230 | ||||||
Ono Pharmaceutical Co., Ltd. | 1,400 | 87,975 | ||||||
ORIX Corporation | 1,590 | 148,181 | ||||||
Osaka Gas Co., Ltd. | 77,000 | 322,608 | ||||||
Pacific Metals Co., Ltd. | 59,000 | 242,757 | ||||||
Pioneer Corporation* | 216,800 | 767,211 | ||||||
Rakuten, Inc. | 354,600 | 3,666,093 | ||||||
Rengo Co., Ltd. | 4,000 | 24,971 | ||||||
Resona Holdings, Inc. | 204,100 | 840,806 | ||||||
Rohm Co., Ltd. | 10,800 | 416,172 | ||||||
Seiko Epson Corporation | 30,800 | 312,562 | ||||||
Sekisui Chemical Co., Ltd. | 74,000 | 687,516 | ||||||
Sekisui House, Ltd. | 8,000 | 75,536 | ||||||
Seven & I Holdings Co., Ltd. | 201,700 | 6,080,317 | ||||||
Shimadzu Corporation | 3,000 | 25,959 | ||||||
Shimamura Co., Ltd. | 12,100 | 1,398,219 | ||||||
Shin-Etsu Chemical Co., Ltd. | 120,000 | 6,608,160 | ||||||
Shinko Electric Industries Co., Ltd. | 31,700 | 253,177 | ||||||
Shinsei Bank, Ltd. | 546,000 | 664,264 | ||||||
SMC Corporation | 12,000 | 2,080,533 | ||||||
Softbank Corporation | 10,700 | 398,293 | ||||||
Sojitz Corporation | 4,700 | 7,776 | ||||||
Sumitomo Corporation | 210,800 | 2,949,473 | ||||||
Sumitomo Heavy Industries, Ltd. | 121,000 | 544,858 |
Shares | Value | |||||||
Sumitomo Metal Industries, Ltd. | 18,000 | $ | 29,693 | |||||
Sumitomo Metal Mining Co., Ltd. | 15,000 | 169,037 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 35,600 | 1,176,044 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 562,900 | 1,682,295 | ||||||
Sumitomo Osaka Cement Co., Ltd. | 48,000 | 159,431 | ||||||
Sumitomo Realty & Development Co., Ltd. | 10,000 | 245,964 | ||||||
Suzuki Motor Corporation | 20,700 | 425,031 | ||||||
T&D Holdings, Inc. | 3,000 | 31,959 | ||||||
Taisei Corporation | 292,000 | 782,648 | ||||||
Takeda Pharmaceutical Co., Ltd. | 116,400 | 5,284,777 | ||||||
TDK Corporation | 500 | 20,354 | ||||||
Teijin, Ltd. | 15,000 | 45,662 | ||||||
THK Co., Ltd. | 5,000 | 94,524 | ||||||
Tohoku Electric Power Co., Inc. | 2,300 | 23,110 | ||||||
Tokai Carbon Co., Ltd. | 38,000 | 167,569 | ||||||
Tokio Marine Holdings, Inc. | 163,100 | 4,092,685 | ||||||
Tokuyama Corporation | 155,000 | 382,875 | ||||||
Tokyo Electric Power Co., Inc.* | 8,900 | 17,227 | ||||||
Tokyo Electron, Ltd. | 36,600 | 1,716,354 | ||||||
Tokyo Gas Co., Ltd. | 30,000 | 153,331 | ||||||
Tokyo Steel Manufacturing Co., Ltd. | 27,000 | 159,726 | ||||||
Toshiba Corporation | 330,300 | 1,257,240 | ||||||
Toshiba TEC Corporation | 132,000 | 497,821 | ||||||
Tosoh Corporation | 56,000 | 152,722 | ||||||
Toyo Seikan Kaisha, Ltd. | 5,000 | 60,681 | ||||||
Toyo Suisan Kaisha, Ltd. | 32,000 | 853,345 | ||||||
Toyota Boshoku Corporation | 7,500 | 91,144 | ||||||
Toyota Motor Corporation | 105,500 | 4,258,214 | ||||||
Trend Micro, Inc. | 23,600 | 695,264 | ||||||
Ube Industries, Ltd. | 154,000 | 358,203 | ||||||
UNY Co., Ltd. | 77,700 | 851,073 | ||||||
USS Co., Ltd. | 4,040 | 435,923 | ||||||
West Japan Railway Co. | 10,200 | 419,607 | ||||||
Yamada Denki Co., Ltd.D | 21,160 | 1,083,358 | ||||||
Yamaha Corporation | 7,900 | 81,296 | ||||||
Yamato Holdings Co., Ltd. | 5,200 | 83,729 | ||||||
Yokogawa Electric Corporation | 292,300 | 3,021,904 | ||||||
|
| |||||||
165,258,540 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
Randgold Resources, Ltd. | 1,533 | 137,636 | ||||||
|
| |||||||
Luxembourg — 0.5% | ||||||||
APERAM | 110,083 | 1,453,312 | ||||||
ArcelorMittal | 44,700 | 683,889 | ||||||
Millicom International Cellular SA ADR | 8,205 | 774,355 | ||||||
O’key Group SA | 8,377 | 64,922 | ||||||
Oriflame Cosmetics SA ADRD | 65,186 | 2,186,101 | ||||||
Ternium SA ADRD | 32,137 | 628,921 | ||||||
|
| |||||||
5,791,500 | ||||||||
|
| |||||||
Malaysia — 0.6% | ||||||||
AirAsia Bhd | 815,065 | 922,516 | ||||||
Alliance Financial Group Bhd | 158,100 | 208,605 | ||||||
AMMB Holdings Bhd | 745,800 | 1,484,825 | ||||||
Axiata Group Bhd | 575,900 | 996,908 | ||||||
CIMB Group Holdings Bhd | 416,496 | 998,091 |
See Notes to Financial Statements.
146
Table of Contents
Shares | Value | |||||||
Kuala Lumpur Kepong Bhd | 49,700 | $ | 361,153 | |||||
Lafarge Malayan Cement Bhd | 148,480 | 342,694 | ||||||
Malayan Banking Bhd | 80,700 | 221,960 | ||||||
Public Bank Bhd | 88,500 | 384,650 | ||||||
RHB Capital Bhd | 223,036 | 522,340 | ||||||
Tenaga Nasional Bhd | 297,800 | 634,646 | ||||||
UMW Holdings Bhd | 232,500 | 672,541 | ||||||
|
| |||||||
7,750,929 | ||||||||
|
| |||||||
Mexico — 1.1% | ||||||||
Alfa SAB de CV | 47,200 | 754,368 | ||||||
America Movil SAB de CV | 1,715,600 | 2,242,934 | ||||||
America Movil SAB de CV ADRD | 187,006 | 4,873,376 | ||||||
Arca Continental SAB de CV | 11,200 | 64,985 | ||||||
Corporacion Moctezuma SAB de CV | 164,707 | 376,587 | ||||||
Genomma Lab Internacional SAB de CVD* | 409,214 | 808,323 | ||||||
Grupo Bimbo SAB de CV | 120,100 | 295,215 | ||||||
Grupo Financiero Banorte SAB de CV | 166,279 | 859,335 | ||||||
Grupo Financiero Inbursa SAB de CV | 609,686 | 1,370,682 | ||||||
Grupo Mexico SAB de CV Series B | 228,800 | 680,069 | ||||||
Grupo Televisa SAB ADR | 12,100 | 259,908 | ||||||
Industrias Penoles SAB de CVD | 8,500 | 364,476 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 170,400 | 333,782 | ||||||
Megacable Holdings | ||||||||
SAB de CV* | 174,095 | 351,069 | ||||||
|
| |||||||
13,635,109 | ||||||||
|
| |||||||
Mongolia — 0.0% | ||||||||
Mongolian Mining | ||||||||
CorporationD* | 688,180 | 390,512 | ||||||
|
| |||||||
Netherlands — 4.4% | ||||||||
Aegon NV | 214,602 | 995,237 | ||||||
ASML Holding NV | 11,261 | 578,322 | ||||||
Corio NV REIT | 368 | 16,202 | ||||||
European Aeronautic Defence and Space Co. NVD | 59,670 | 2,117,736 | ||||||
ING Groep NV* | 1,381,112 | 9,259,134 | ||||||
Koninklijke Ahold NV | 660,737 | 8,184,768 | ||||||
Koninklijke DSM NV | 16,819 | 829,170 | ||||||
Koninklijke KPN NVD | 145,000 | 1,386,493 | ||||||
QIAGEN NV* | 4,199 | 70,311 | ||||||
Randstad Holding NVD | 115,844 | 3,415,888 | ||||||
Reed Elsevier NVD | 473,709 | 5,404,303 | ||||||
Royal Dutch Shell PLC Class A | 330,323 | 11,144,914 | ||||||
Royal Dutch Shell PLC Class B | 198,782 | 6,942,190 | ||||||
SBM Offshore NV* | 136,699 | 1,894,414 | ||||||
Unilever NVD | 74,697 | 2,495,292 | ||||||
|
| |||||||
54,734,374 | ||||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
Telecom Corporation of New Zealand, Ltd. | 314,777 | 608,195 | ||||||
|
| |||||||
Nigeria — 0.1% | ||||||||
First City Monument Bank PLC* | 9,211,834 | 182,822 | ||||||
Guaranty Trust Bank PLC | 6,797,739 | 628,631 | ||||||
Guaranty Trust Bank PLC GDR | 73,563 | 404,596 |
Shares | Value | |||||||
United Bank for Africa PLC* | 10,931,249 | $ | 246,985 | |||||
|
| |||||||
1,463,034 | ||||||||
|
| |||||||
Norway — 1.1% | ||||||||
Aker Solutions ASA | 5,503 | 78,084 | ||||||
DNB ASA | 209,295 | 2,081,121 | ||||||
Marine Harvest ASA* | 3,864,500 | 2,750,741 | ||||||
Orkla ASA | 274,183 | 1,989,729 | ||||||
Petroleum Geo-Services ASA | 87,060 | 1,064,054 | ||||||
Statoil ASA | 62,416 | 1,488,530 | ||||||
Telenor ASA | 62,891 | 1,051,430 | ||||||
TGS Nopec Geophysical Co. ASAD | 86,586 | 2,337,882 | ||||||
Yara International ASA | 9,914 | 433,854 | ||||||
|
| |||||||
13,275,425 | ||||||||
|
| |||||||
Peru — 0.3% | ||||||||
Companhia de Minas Buenaventura SA ADR | 4,800 | 182,304 | ||||||
Credicorp, Ltd.D | 24,188 | 3,045,027 | ||||||
Southern Copper CorporationD | 4,200 | 132,342 | ||||||
|
| |||||||
3,359,673 | ||||||||
|
| |||||||
Philippines — 0.2% | ||||||||
International Container Terminal Services, Inc. | 660,920 | 1,160,158 | ||||||
Megaworld Corporation | 14,916,000 | 781,595 | ||||||
Metropolitan Bank & Trust | 347,100 | 766,090 | ||||||
|
| |||||||
2,707,843 | ||||||||
|
| |||||||
Poland — 0.1% | ||||||||
KGHM Polska Miedz SA | 5,300 | 231,953 | ||||||
PGE SA | 88,200 | 516,453 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 7,000 | 72,942 | ||||||
Powszechny Zaklad Ubezpieczen SA | 1,000 | 100,560 | ||||||
Tauron Polska Energia SA | 196,500 | 270,165 | ||||||
|
| |||||||
1,192,073 | ||||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Jeronimo Martins SGPS SA | 58,249 | 984,805 | ||||||
|
| |||||||
Russia — 1.2% | ||||||||
Gazprom OAO ADR | 180,900 | 1,718,550 | ||||||
LSR Group | 3,640 | 62,831 | ||||||
LSR Group GDR | 89,320 | 384,821 | ||||||
Lukoil OAO ADR* | 22,800 | 1,278,624 | ||||||
Magnit OJSC | 16,108 | 1,938,456 | ||||||
NOMOS-BANK GDR* | 11,774 | 141,288 | ||||||
NOMOS-BANK GDR144A* | 19,426 | 218,354 | ||||||
NovaTek OAO GDR | 18,813 | 2,008,812 | ||||||
Novorossiysk Commercial Sea Port GDRD | 68,934 | 435,684 | ||||||
Novorossiysk Commercial Sea Port GDR 144A | 10,302 | 65,734 | ||||||
Raspadskaya OAO | 194,773 | 461,612 | ||||||
Rosneft Oil Co. GDR | 42,000 | 264,558 | ||||||
Sberbank of Russia | 954,685 | 2,539,462 | ||||||
Severstal OAO GDRD | 25,800 | 301,295 | ||||||
Surgutneftegas OJSC | 55,500 | 462,870 | ||||||
Tatneft ADR | 18,900 | 634,851 | ||||||
X5 Retail Group NV GDR* | 64,753 | 1,481,216 | ||||||
|
| |||||||
14,399,018 | ||||||||
|
| |||||||
Singapore — 1.5% | ||||||||
Ascendas Real Estate Investment Trust REIT | 30,000 | 51,178 |
See Notes to Financial Statements.
147
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
CapitaMall Trust REIT | 33,000 | $ | 49,985 | |||||
ComfortDelgro Corporation, Ltd. | 199,000 | 243,690 | ||||||
DBS Group Holdings, Ltd. | 54,000 | 596,467 | ||||||
Global Logistic Properties, Ltd. | 34,000 | 56,602 | ||||||
Golden Agri-Resources, Ltd. | 454,300 | 242,630 | ||||||
Hutchison Port Holdings Trust | 95,000 | 67,907 | ||||||
Jardine Cycle & Carriage, Ltd. | 108,000 | 3,980,461 | ||||||
Keppel Corporation, Ltd. | 156,700 | 1,283,768 | ||||||
Keppel Land, Ltd. | 39,000 | 100,361 | ||||||
Neptune Orient Lines, Ltd.* | 150,000 | 132,375 | ||||||
Oversea-Chinese Banking Corporation, Ltd. | 2,000 | 13,986 | ||||||
SembCorp Industries, Ltd. | 514,300 | 2,105,071 | ||||||
Singapore Exchange, Ltd. | 205,000 | 1,029,888 | ||||||
Singapore Press Holdings, Ltd. | 12,000 | 37,070 | ||||||
Singapore Technologies Engineering, Ltd. | 26,000 | 64,097 | ||||||
Singapore Telecom-munications, Ltd. | 1,242,700 | 3,254,336 | ||||||
StarHub, Ltd. | 3,000 | 8,131 | ||||||
United Overseas Bank, Ltd. | 375,417 | 5,574,768 | ||||||
UOL Group, Ltd. | 3,186 | 12,489 | ||||||
|
| |||||||
18,905,260 | ||||||||
|
| |||||||
South Africa — 0.9% | ||||||||
ABSA Group, Ltd.D | 21,300 | 369,023 | ||||||
African Bank Investments, Ltd. | 143,100 | 636,920 | ||||||
Aveng, Ltd. | 52,200 | 228,709 | ||||||
Barloworld, Ltd. | 40,600 | 402,507 | ||||||
Bidvest Group, Ltd. | 117,272 | 2,618,656 | ||||||
FirstRand, Ltd. | 59,100 | 191,298 | ||||||
Gold Fields, Ltd. ADR | 12,400 | 158,844 | ||||||
Growthpoint Properties, Ltd. | 48,500 | 136,554 | ||||||
Impala Platinum Holdings, Ltd. | 27,100 | 449,993 | ||||||
Imperial Holdings, Ltd. | 45,500 | 960,418 | ||||||
Liberty Holdings, Ltd. | 43,700 | 464,545 | ||||||
Life Healthcare Group Holdings, Ltd.D | 39,000 | 148,736 | ||||||
MTN Group, Ltd. | 75,074 | 1,300,035 | ||||||
Naspers, Ltd. | 8,700 | 464,688 | ||||||
Nedbank Group, Ltd. | 300 | 6,398 | ||||||
Pick’n Pay Stores, Ltd. | 113,226 | 608,955 | ||||||
Redefine Properties, Ltd.* | 82,300 | 86,277 | ||||||
Royal Bafokeng Platinum, Ltd.* | 14,696 | 96,194 | ||||||
Standard Bank Group, Ltd. | 66,547 | 902,109 | ||||||
Woolworths Holdings, Ltd. | 122,100 | 752,133 | ||||||
|
| |||||||
10,982,992 | ||||||||
|
| |||||||
South Korea — 3.0% | ||||||||
Celltrion, Inc.D | 33,856 | 905,128 | ||||||
Daelim Industrial Co., Ltd. | 8,000 | 639,450 | ||||||
DGB Financial Group, Inc. | 2,400 | 29,347 | ||||||
Dongbu Insurance Co., Ltd. | 6,500 | 239,974 | ||||||
Hana Financial Group, Inc. | 8,000 | 255,745 | ||||||
Hyundai Motor Co. | 3,500 | 718,530 | ||||||
Hyundai Securities Co., Ltd. | 25,700 | 192,994 | ||||||
Industrial Bank of Korea | 900 | 10,142 | ||||||
KCC Corporation | 600 | 147,086 | ||||||
Kia Motors Corporation | 11,600 | 764,552 | ||||||
KIWOOM Securities Co., Ltd. | 5,133 | 275,857 | ||||||
Korea Electric Power Corporation* | 137,786 | 3,104,400 | ||||||
Korea Exchange Bank | 31,800 | 227,860 | ||||||
Korea Life Insurance Co., Ltd. | 56,500 | 318,603 |
Shares | Value | |||||||
Korean Air Lines Co., Ltd.* | 2,300 | $ | 102,039 | |||||
KP Chemical Corporation | 27,300 | 321,621 | ||||||
KTB Investment & Securities Co., Ltd.* | 6,209 | 11,542 | ||||||
LG Display Co., Ltd.* | 19,100 | 360,597 | ||||||
LG Electronics, Inc. | 14,000 | 754,356 | ||||||
LG Uplus Corporation | 5,700 | 27,769 | ||||||
MegaStudy Co., Ltd. | 3,215 | 220,297 | ||||||
Mirae Asset Securities Co., Ltd. | 2,900 | 79,512 | ||||||
NHN Corporation | 6,434 | 1,411,196 | ||||||
POSCO ADRD | 16,131 | 1,297,578 | ||||||
Samsung Card Co., Ltd. | 5,200 | 145,946 | ||||||
Samsung Electronics Co., Ltd. | 14,620 | 15,482,397 | ||||||
Samsung Electronics Co., Ltd. (Non-Voting Shares) GDR 144A | 1,020 | 333,514 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 11,443 | 2,270,760 | ||||||
Samsung Heavy Industries Co., Ltd. | 16,000 | 529,856 | ||||||
Shinhan Financial Group Co., Ltd. | 109,311 | 3,832,180 | ||||||
Shinsegae Co., Ltd. | 1,000 | 184,289 | ||||||
SK Holdings Co., Ltd. | 4,500 | 528,614 | ||||||
SK Telecom Co., Ltd. ADRD | 70,200 | 849,420 | ||||||
Woongjin Coway Co., Ltd. | 1,300 | 40,592 | ||||||
Woori Finance Holdings Co., Ltd. | 49,900 | 550,057 | ||||||
Woori Investment & Securities Co., Ltd. | 4,700 | 46,103 | ||||||
|
| |||||||
37,209,903 | ||||||||
|
| |||||||
Spain — 2.9% | ||||||||
Amadeus IT Holding SAD | 259,346 | 5,494,574 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 202,885 | 1,448,877 | ||||||
Banco Santander SAD | 1,510,095 | 9,989,684 | ||||||
Distribuidora Internacional de Alimentacion SA | 113,651 | 534,359 | ||||||
Ebro Foods SA | 104,100 | 1,792,172 | ||||||
Endesa SA | 50,391 | 884,918 | ||||||
Gas Natural SDG SA | 946 | 12,146 | ||||||
Grifols SA* | 2,523 | 63,918 | ||||||
Iberdrola SA | 1,111,075 | 5,245,644 | ||||||
Inditex SA | 44,603 | 4,610,409 | ||||||
Mediaset Espana Comunicacion SA | 2,861 | 13,904 | ||||||
Red Electrica Corporacion SA | 18,800 | 820,537 | ||||||
Sacyr Vallehermoso SA* | 365,058 | 674,663 | ||||||
Tecnicas Reunidas SA | 21,324 | 891,700 | ||||||
Telefonica SA | 305,568 | 4,022,336 | ||||||
|
| |||||||
36,499,841 | ||||||||
|
| |||||||
Sri Lanka — 0.0% | ||||||||
Dialog Axiata PLC | 2,452,710 | 113,188 | ||||||
|
| |||||||
Sweden — 1.9% | ||||||||
Alfa Laval AB | 77,624 | 1,330,069 | ||||||
Atlas Copco AB Class A | 214,189 | 4,609,514 | ||||||
Boliden AB | 22,034 | 307,459 | ||||||
Electrolux AB | 10,514 | 209,233 | ||||||
Hennes & Mauritz AB Class B | 96,631 | 3,468,468 | ||||||
Investor AB | 3,383 | 64,592 | ||||||
Lundin Petroleum AB* | 83,101 | 1,555,679 | ||||||
NCC AB | 20,443 | 367,866 |
See Notes to Financial Statements.
148
Table of Contents
Shares | Value | |||||||
Nordea Bank AB | 125,373 | $ | 1,080,457 | |||||
Sandvik AB | 237,897 | 3,050,962 | ||||||
Scania AB | 18,275 | 313,182 | ||||||
Skandinaviska Enskilda Banken AB | 50,367 | 327,107 | ||||||
Skanska AB | 2,880 | 44,134 | ||||||
SKF AB | 41,425 | 816,569 | ||||||
Svenska Cellulosa AB | 49,304 | 739,730 | ||||||
Svenska Handelsbanken AB | 69,290 | 2,277,964 | ||||||
Swedbank AB | 145,414 | 2,290,847 | ||||||
TeliaSonera AB | 37,643 | 240,491 | ||||||
Trelleborg AB | 10,805 | 99,697 | ||||||
|
| |||||||
23,194,020 | ||||||||
|
| |||||||
Switzerland — 6.2% | ||||||||
ABB, Ltd. | 381,058 | 6,221,991 | ||||||
ABB, Ltd. ADRD | 32,100 | 523,872 | ||||||
Actelion, Ltd.* | 2,037 | 83,786 | ||||||
Adecco SA | 17,151 | 762,702 | ||||||
Aryzta AG* | 776 | 38,625 | ||||||
Cie Financiere Richemont SAD | 104,824 | 5,755,865 | ||||||
Credit Suisse Group AG | 74,407 | 1,361,428 | ||||||
Ferrexpo PLC | 62,007 | 209,965 | ||||||
Geberit AG | 7,310 | 1,442,103 | ||||||
Givaudan SA | 1,180 | 1,158,128 | ||||||
Glencore International PLC | 10,000 | 46,372 | ||||||
Helvetia Holding AGD | 4,600 | 1,391,649 | ||||||
Holcim, Ltd. | 3,616 | 200,346 | ||||||
Julius Baer Group, Ltd.* | 126,494 | 4,586,254 | ||||||
Logitech International SA* | 88,043 | 952,925 | ||||||
Nestle SA | 163,959 | 9,784,724 | ||||||
Novartis AG | 215,823 | 12,066,948 | ||||||
OC Oerlikon Corporation AG* | 147,181 | 1,223,044 | ||||||
Roche Holding AG | 52,770 | 9,115,121 | ||||||
STMicroelectronics NV | 7,032 | 38,266 | ||||||
Swatch Group AG (The) | 5,396 | 2,132,723 | ||||||
Swiss Life Holding AG* | 3,667 | 345,625 | ||||||
Swiss Re AG | 26,460 | 1,668,086 | ||||||
Syngenta AGD | 12,126 | 4,151,035 | ||||||
Transocean, Ltd.* | 4,575 | 205,160 | ||||||
UBS AG* | 27,569 | 322,617 | ||||||
Wolseley PLC | 53,638 | 1,999,226 | ||||||
Xstrata PLC | 134,717 | 1,693,847 | ||||||
Zurich Financial Services AG | 34,265 | 7,748,139 | ||||||
|
| |||||||
77,230,572 | ||||||||
|
| |||||||
Taiwan — 2.1% | ||||||||
Acer, Inc. | 69,000 | 72,009 | ||||||
Asustek Computer, Inc. | 54,000 | 496,350 | ||||||
Catcher Technology Co., Ltd. | 208,000 | 1,403,911 | ||||||
China Petrochemical Development Corporation | 787,000 | 666,256 | ||||||
Chroma ATE, Inc. | 131,573 | 300,356 | ||||||
Eva Airways Corporation | 577,000 | 354,121 | ||||||
Far Eastone | ||||||||
Telecommunications Co., Ltd. | 144,000 | 313,295 | ||||||
Feng Hsin Iron & Steel Co. | 66,000 | 111,124 | ||||||
Foxconn Technology Co., Ltd. | 163,000 | 593,469 | ||||||
Hon Hai Precision Industry Co., Ltd. | 87,000 | 263,049 | ||||||
HTC Corporation | 34,000 | 448,903 | ||||||
Kinsus Interconnect Technology Corporation | 4,000 | 11,039 |
Shares | Value | |||||||
Lite-On Technology Corporation | 92,000 | $ | 115,880 | |||||
MediaTek, Inc. | 103,719 | 957,964 | ||||||
MStar Semiconductor, Inc. | 96,000 | 647,556 | ||||||
Nan Ya Printed Circuit Board Corporation | 148,000 | 251,871 | ||||||
President Chain Store Corporation | 34,000 | 181,410 | ||||||
Quanta Computer, Inc. | 239,000 | 641,816 | ||||||
Realtek Semiconductor Corporation | 346,000 | 634,583 | ||||||
Richtek Technology Corporation | 54,337 | 322,408 | ||||||
Siliconware Precision Industries Co. ADRD | 59,100 | 306,729 | ||||||
Sinopac Financial Holdings Co., Ltd. | 243,000 | 92,118 | ||||||
Taiwan Cooperative Financial Holding* | 52,000 | 30,933 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3,287,011 | 8,998,088 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD | 408,036 | 5,696,183 | ||||||
Teco Electric and Machinery Co., Ltd. | 1,598,300 | 1,041,296 | ||||||
Uni-President Enterprises Corporation | 861,000 | 1,388,028 | ||||||
Walsin Lihwa Corporation | 379,000 | 105,916 | ||||||
Wistron Corporation | 70,000 | 86,410 | ||||||
|
| |||||||
26,533,071 | ||||||||
|
| |||||||
Thailand — 1.0% | ||||||||
Advanced Info Service PCL | 47,000 | 275,006 | ||||||
Advanced Info Service PCL | 216,000 | 1,254,786 | ||||||
Bangkok Bank PCL NVDR | 162,600 | 989,248 | ||||||
Bangkok Dusit Medical Services PCL | 294,700 | 904,699 | ||||||
Bank of Ayudhya PCL ADR | 2,512,548 | 2,353,856 | ||||||
Big C Supercenter PCL NVDR | 16,800 | 113,706 | ||||||
Central Pattana PCLD | 755,766 | 1,106,521 | ||||||
Central Pattana PCL ADR | 81,300 | 120,070 | ||||||
Charoen Pokphand Foods PCL | 877,700 | 1,063,963 | ||||||
Kasikornbank PCL NVDR | 90,700 | 467,682 | ||||||
Krung Thai Bank PCL NVDR | 829,900 | 424,589 | ||||||
Siam Commercial Bank PCL NVDRD | 530,526 | 2,456,576 | ||||||
Thai Oil PCL NVDR | 180,500 | 330,253 | ||||||
|
| |||||||
11,860,955 | ||||||||
|
| |||||||
Turkey — 0.8% | ||||||||
Akfen Holding AS* | 46,621 | 241,040 | ||||||
Asya Katilim Bankasi AS* | 243,800 | 244,381 | ||||||
BIM Birlesik Magazalar AS | 22,407 | 924,991 | ||||||
Coca-Cola Icecek AS | 65,888 | 1,022,321 | ||||||
TAV Havalimanlari Holding AS | 47,600 | 256,428 | ||||||
Turk Hava Yollari* | 282,600 | 498,296 | ||||||
Türkiye Garanti Bankasi AS | 924,346 | 3,638,694 | ||||||
Türkiye Halk Bankasi AS | 179,040 | 1,404,659 | ||||||
Turkiye Vakiflar Bankasi Tao | 100,600 | 209,755 | ||||||
Yapi ve Kredi Bankasi AS* | 506,890 | 1,042,761 | ||||||
|
| |||||||
9,483,326 | ||||||||
|
| |||||||
United Kingdom — 15.2% | ||||||||
Aberdeen Asset | ||||||||
Management PLC | 244,200 | 994,622 | ||||||
AMEC PLC | 70,000 | 1,103,508 |
See Notes to Financial Statements.
149
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Anglo American PLCD | 390,275 | $ | 12,946,383 | |||||
ARM Holdings PLC | 344,246 | 2,727,321 | ||||||
AstraZeneca PLC | 55,099 | 2,462,239 | ||||||
Aviva PLC | 446,370 | 1,911,330 | ||||||
Babcock International Group PLC | 46,176 | 618,446 | ||||||
BAE Systems PLC | 64,369 | 291,825 | ||||||
Barclays PLC | 951,167 | 2,430,465 | ||||||
Barratt Developments PLC* | 142,093 | 310,739 | ||||||
Berkeley Group Holdings PLC* | 37,888 | 838,162 | ||||||
BG Group PLC | 301,002 | 6,161,937 | ||||||
BHP Billiton PLC | 314,274 | 8,932,406 | ||||||
BP PLC | 1,951,116 | 13,029,906 | ||||||
British Land Co. PLC REIT | 11,811 | 94,576 | ||||||
Britvic PLC | 241,594 | 1,249,433 | ||||||
BT Group PLC | 386,964 | 1,282,213 | ||||||
Cairn Energy PLC* | 7,744 | 32,246 | ||||||
Capital Shopping Centres Group PLC REIT | 3,152 | 15,923 | ||||||
Centrica PLC | 553,555 | 2,767,745 | ||||||
Cobham PLC | 11,978 | 43,637 | ||||||
Compass Group PLC | 899,692 | 9,444,067 | ||||||
Cookson Group PLC | 44,530 | 412,052 | ||||||
Daily Mail & General | ||||||||
Trust PLC | 50,246 | 333,480 | ||||||
Dairy Crest Group PLC | 218,900 | 1,133,924 | ||||||
Dixons Retail PLC* | 549,506 | 158,000 | ||||||
Drax Group PLC | 21,021 | 184,922 | ||||||
DS Smith PLC | 427,100 | 986,090 | ||||||
easyJet PLC | 49,991 | 416,637 | ||||||
Eurasian Natural Resources Corporation PLC | 4,582 | 29,905 | ||||||
G4S PLC | 71,267 | 311,472 | ||||||
GKN PLC | 731,937 | 2,075,166 | ||||||
GlaxoSmithKline PLC | 532,997 | 12,106,481 | ||||||
Hammerson PLC REIT | 6,134 | 42,602 | ||||||
Hikma Pharmaceuticals PLC | 17,326 | 177,139 | ||||||
HSBC Holdings PLC | 1,469,049 | 12,944,986 | ||||||
Inchcape PLC | 20,341 | 105,587 | ||||||
Inmarsat PLC | 215,369 | 1,662,048 | ||||||
Intercontinental Hotels Group PLC | 18,737 | 451,083 | ||||||
Intermediate Capital Group PLC | 146,620 | 621,403 | ||||||
International Consolidated Airlines Group SA* | 116,233 | 291,628 | ||||||
Invensys PLC | 111,900 | 389,999 | ||||||
Investec PLC | 30,806 | 179,835 | ||||||
ITV PLC | 772,579 | 929,637 | ||||||
J Sainsbury PLC | 144,927 | 684,945 | ||||||
John Wood Group PLC | 10,025 | 108,127 | ||||||
Kazakhmys PLC | 61,620 | 698,637 | ||||||
Kesa Electricals PLC | 214,584 | 166,616 | ||||||
Kingfisher PLC | 57,471 | 259,252 | ||||||
Land Securities Group PLC REIT | 10,536 | 122,069 | ||||||
Legal & General Group PLC | 483,970 | 967,585 | ||||||
Lloyds Banking Group PLC* | 473,736 | 231,424 | ||||||
London Stock Exchange Group PLC | 82,400 | 1,300,822 | ||||||
Meggitt PLC | 490,424 | 2,967,571 | ||||||
Mondi PLC | 87,827 | 752,271 | ||||||
National Grid PLC | 271,368 | 2,875,958 | ||||||
Next PLC | 8,314 | 417,463 | ||||||
Pearson PLC | 85,552 | 1,697,497 |
Shares | Value | |||||||
Pennon Group PLC | 9,525 | $ | 114,015 | |||||
Persimmon PLC | 119,249 | 1,141,673 | ||||||
Petrofac, Ltd. | 20,262 | 442,263 | ||||||
Polyus Gold International, Ltd.* | 28,367 | 88,854 | ||||||
Provident Financial PLC | 1,710 | 32,558 | ||||||
Prudential PLC | 571,028 | 6,621,062 | ||||||
Reckitt Benckiser Group PLC | 18,477 | 976,636 | ||||||
Reed Elsevier PLC | 17,027 | 136,474 | ||||||
Rentokil Initial PLC | 572,366 | 659,768 | ||||||
Rexam PLC | 214,371 | 1,414,830 | ||||||
Rio Tinto PLC | 107,021 | 5,086,015 | ||||||
Rolls-Royce Holdings PLC | 480,319 | 6,473,601 | ||||||
Rotork PLC | 59,458 | 1,838,934 | ||||||
Royal Bank of Scotland Group PLC* | 349,827 | 1,184,979 | ||||||
RSA Insurance Group PLC | 262,850 | 446,210 | ||||||
Sage Group PLC (The) | 269,404 | 1,172,518 | ||||||
Segro PLC REIT | 12,232 | 41,674 | ||||||
Severn Trent PLC | 6,537 | 169,458 | ||||||
Smith & Nephew PLC | 144,419 | 1,444,541 | ||||||
Spirax-Sarco Engineering PLC | 49,416 | 1,540,056 | ||||||
SSE PLC | 20,478 | 446,737 | ||||||
Standard Chartered PLC | 361,052 | 7,843,106 | ||||||
Tate & Lyle PLC | 111,262 | 1,129,966 | ||||||
TESCO PLC | 1,478,770 | 7,186,542 | ||||||
Thomas Cook Group PLC | 40,467 | 9,487 | ||||||
TUI Travel PLC | 67,031 | 178,202 | ||||||
Tullow Oil PLC | 223,958 | 5,176,231 | ||||||
Unilever PLC | 158,456 | 5,319,946 | ||||||
Vodafone Group PLC | 3,285,914 | 9,235,877 | ||||||
WM Morrison Supermarkets PLC | 472,379 | 1,971,128 | ||||||
|
| |||||||
188,406,783 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $1,223,640,823) | 1,173,736,045 | |||||||
|
| |||||||
FOREIGN PREFERRED | ||||||||
Brazil — 0.1% | ||||||||
Banco do Estado do Rio Grande do Sul | 7,900 | 55,853 | ||||||
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA | 40,700 | 512,473 | ||||||
Itau Unibanco Holding SA | 15,200 | 212,429 | ||||||
Usinas Siderurgicas de Minas Gerais SA | 70,900 | 225,920 | ||||||
|
| |||||||
1,006,675 | ||||||||
|
| |||||||
Chile — 0.0% | ||||||||
Embotelladora Andina SA Class A | 38,000 | 166,191 | ||||||
Embotelladora Andina SA Class B | 22,900 | 125,304 | ||||||
|
| |||||||
291,495 | ||||||||
|
| |||||||
Germany — 0.2% | ||||||||
Porsche Automobil Holding SED | 25,162 | 1,251,654 | ||||||
ProSiebenSat.1 Media AG | 36,168 | 810,788 | ||||||
Volkswagen AG | 2,052 | 325,095 | ||||||
|
| |||||||
2,387,537 | ||||||||
|
| |||||||
South Korea — 0.2% | ||||||||
Samsung Electronics Co., Ltd. | 3,127 | 2,064,294 | ||||||
|
|
See Notes to Financial Statements.
150
Table of Contents
Shares | Value | |||||||
United Kingdom — 0.0% | ||||||||
Rolls-Royce Holdings PLC +* | 38,960,088 | $ | 61,023 | |||||
|
| |||||||
Total Foreign Preferred Stocks | ||||||||
(Cost $5,230,004) | 5,811,024 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Billabong International, Ltd.+ | 94,984 | — | ||||||
Brambles, Ltd.+ | 11,914 | 2,073 | ||||||
|
| |||||||
Total Rights | ||||||||
(Cost $0) | 2,073 | |||||||
|
| |||||||
MONEY MARKET | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 80,565,749 | 80,565,749 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 96,481,005 | 96,481,005 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $177,046,754) | 177,046,754 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 109.1% | ||||||||
(Cost $1,405,917,581) | 1,356,595,896 | |||||||
|
| |||||||
SECURITIES SOLD SHORT — (5.2)% | ||||||||
Australia — (0.4)% | ||||||||
Adelaide Brighton, Ltd. | (34,079 | ) | (111,802 | ) | ||||
AMP, Ltd. | (37,948 | ) | (151,007 | ) | ||||
APA Group | (40,709 | ) | (208,978 | ) | ||||
Bank of Queensland, Ltd. | (14,518 | ) | (99,324 | ) | ||||
Bradken, Ltd. | (77,231 | ) | (414,872 | ) | ||||
Brambles, Ltd. | (105,847 | ) | (671,314 | ) | ||||
Campbell Brothers, Ltd. | (4,492 | ) | (251,830 | ) | ||||
Challenger, Ltd. | (55,449 | ) | (186,235 | ) | ||||
Cochlear, Ltd. | (2,253 | ) | (153,008 | ) | ||||
DUET Group | (71,863 | ) | (136,153 | ) | ||||
Insurance Australia Group, Ltd. | (62,030 | ) | (222,478 | ) | ||||
IOOF Holdings, Ltd. | (27,305 | ) | (170,938 | ) | ||||
Mineral Resources, Ltd. | (20,000 | ) | (185,524 | ) | ||||
OneSteel, Ltd. | (263,968 | ) | (238,048 | ) | ||||
Orica, Ltd. | (9,274 | ) | (236,225 | ) | ||||
Origin Energy, Ltd. | (10,533 | ) | (132,652 | ) | ||||
Seek, Ltd. | (121,245 | ) | (794,396 | ) | ||||
Ten Network Holdings, Ltd.+* | (130,712 | ) | (68,073 | ) | ||||
Transfield Services, Ltd. | (51,852 | ) | (97,179 | ) | ||||
Transurban Group | (20,500 | ) | (119,741 | ) | ||||
UGL, Ltd. | (6,790 | ) | (86,943 | ) | ||||
Whitehaven Coal, Ltd.* | (16,010 | ) | (68,829 | ) | ||||
Woodside Petroleum, Ltd. | (4,632 | ) | (148,437 | ) | ||||
|
| |||||||
(4,953,986 | ) | |||||||
|
| |||||||
Belgium — 0.0% | ||||||||
Delhaize Group SA | (6,408 | ) | (234,738 | ) | ||||
Solvay SA | (74 | ) | (7,306 | ) | ||||
|
| |||||||
(242,044 | ) | |||||||
|
| |||||||
Bermuda — 0.0% | ||||||||
Seadrill, Ltd. | (9,431 | ) | (336,361 | ) | ||||
|
| |||||||
Denmark — (0.2)% | ||||||||
FLSmidth & Co. A/S | (16,519 | ) | (903,798 | ) | ||||
Novozymes A/S | (47,933 | ) | (1,242,969 | ) | ||||
|
| |||||||
(2,146,767 | ) | |||||||
|
| |||||||
Finland — (0.2)% | ||||||||
Cargotec OYJ Class B | (2,512 | ) | (57,747 | ) | ||||
Konecranes OYJ | (2,781 | ) | (73,112 | ) |
Shares | Value | |||||||
Nokian Renkaat OYJ | (19,971 | ) | $ | (758,643 | ) | |||
Outokumpu OYJ* | (488,326 | ) | (475,337 | ) | ||||
Rautaruukki OYJ | (59,757 | ) | (376,863 | ) | ||||
Wartsila OYJ Abp | (5,500 | ) | (180,191 | ) | ||||
YIT OYJ | (34,657 | ) | (588,776 | ) | ||||
|
| |||||||
(2,510,669 | ) | |||||||
|
| |||||||
France — (0.4)% | ||||||||
Alcatel-Lucent* | (614,872 | ) | (1,012,014 | ) | ||||
Alstom SA | (14,738 | ) | (466,290 | ) | ||||
Carrefour SA | (12,079 | ) | (223,044 | ) | ||||
Cie Generale de Geophysique- Veritas* | (10,326 | ) | (267,080 | ) | ||||
Electricite de France SA | (11,274 | ) | (250,842 | ) | ||||
Lafarge SA | (12,301 | ) | (549,342 | ) | ||||
Neopost SA | (8,286 | ) | (442,198 | ) | ||||
Vallourec SA | (16,216 | ) | (662,606 | ) | ||||
Veolia Environnement SA | (57,718 | ) | (730,894 | ) | ||||
|
| |||||||
(4,604,310 | ) | |||||||
|
| |||||||
Germany — (0.5)% | ||||||||
Commerzbank AG* | (448,990 | ) | (762,585 | ) | ||||
Dialog Semiconductor PLC* | (61,860 | ) | (1,122,972 | ) | ||||
Fraport AG | (8,899 | ) | (479,159 | ) | ||||
Hamburger Hafen Und Logistik AG | (3,846 | ) | (98,210 | ) | ||||
Hochtief AG* | (4,089 | ) | (198,211 | ) | ||||
K+S AG | (23,895 | ) | (1,093,938 | ) | ||||
Porsche Automobil Holding SE | (3,697 | ) | (183,903 | ) | ||||
Puma SE | (125 | ) | (36,102 | ) | ||||
Sky Deutschland AG* | (287,313 | ) | (1,043,944 | ) | ||||
Symrise AG | (3,086 | ) | (94,052 | ) | ||||
ThyssenKrupp AG | (77,705 | ) | (1,265,791 | ) | ||||
|
| |||||||
(6,378,867 | ) | |||||||
|
| |||||||
Ireland — 0.0% | ||||||||
Shire PLC | (3,767 | ) | (108,376 | ) | ||||
|
| |||||||
Italy — (0.2)% | ||||||||
A2A SpA | (1,505,383 | ) | (807,294 | ) | ||||
Autogrill SpA | (40,230 | ) | (365,010 | ) | ||||
Enel Green Power SpA | (154,518 | ) | (244,858 | ) | ||||
Fiat SpA* | (60,431 | ) | (304,682 | ) | ||||
Finmeccanica SpA* | (45,732 | ) | (184,913 | ) | ||||
Impregilo SpA | (44,495 | ) | (190,392 | ) | ||||
Pirelli & C SpA | (24,060 | ) | (253,757 | ) | ||||
|
| |||||||
(2,350,906 | ) | |||||||
|
| |||||||
Japan — (1.2)% | ||||||||
ABC-Mart, Inc. | (1,200 | ) | (44,899 | ) | ||||
Advantest Corporation | (18,200 | ) | (284,511 | ) | ||||
Cyberagent, Inc. | (232 | ) | (596,051 | ) | ||||
Daikin Industries, Ltd. | (5,700 | ) | (160,525 | ) | ||||
Daiwa Securities Group, Inc. | (52,000 | ) | (195,974 | ) | ||||
Denki Kagaku Kogyo KK | (76,000 | ) | (265,674 | ) | ||||
Denso Corporation | (300 | ) | (10,251 | ) | ||||
Disco Corporation | (13,200 | ) | (747,554 | ) | ||||
Don Quijote Co., Ltd. | (2,400 | ) | (82,656 | ) | ||||
Dowa Holdings Co., Ltd. | (26,000 | ) | (161,232 | ) | ||||
GS Yuasa Corporation | (130,000 | ) | (594,357 | ) | ||||
Hisamitsu Pharmaceutical Co., Inc. | (1,300 | ) | (63,979 | ) | ||||
Hitachi Construction Machinery Co., Ltd. | (4,700 | ) | (88,765 | ) | ||||
Hitachi Metals, Ltd. | (37,000 | ) | (441,561 | ) | ||||
JS Group Corporation | (4,400 | ) | (92,858 | ) |
See Notes to Financial Statements.
151
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Kakaku.com, Inc. | (16,500 | ) | $ | (559,902 | ) | |||
Kansai Paint Co., Ltd. | (20,000 | ) | (214,316 | ) | ||||
Kawasaki Heavy Industries, Ltd. | (49,000 | ) | (134,380 | ) | ||||
Komatsu, Ltd. | (9,000 | ) | (214,842 | ) | ||||
Mabuchi Motor Co., Ltd. | (3,100 | ) | (123,573 | ) | ||||
Makita Corporation | (12,700 | ) | (445,510 | ) | ||||
Minebea Co., Ltd. | (22,000 | ) | (87,673 | ) | ||||
Mitsubishi Gas Chemical Co., Inc. | (37,000 | ) | (210,345 | ) | ||||
Mitsui OSK Lines, Ltd. | (84,000 | ) | (302,809 | ) | ||||
Murata Manufacturing Co., Ltd. | (9,900 | ) | (520,746 | ) | ||||
Nabtesco Corporation | (25,200 | ) | (562,063 | ) | ||||
NGK Insulators, Ltd. | (51,000 | ) | (564,750 | ) | ||||
Nidec Corporation | (8,500 | ) | (646,287 | ) | ||||
Nintendo Co., Ltd. | (1,600 | ) | (186,850 | ) | ||||
Nitori Holdings Co., Ltd. | (550 | ) | (52,007 | ) | ||||
NTN Corporation | (84,000 | ) | (264,425 | ) | ||||
OSAKA Titanium Technologies Co. | (23,100 | ) | (710,808 | ) | ||||
Rakuten, Inc. | (92,400 | ) | (955,293 | ) | ||||
SBI Holdings, Inc. | (12,914 | ) | (959,614 | ) | ||||
Sharp Corporation | (41,000 | ) | (208,893 | ) | ||||
SMC Corporation | (1,000 | ) | (173,378 | ) | ||||
Start Today Co., Ltd. | (46,900 | ) | (655,404 | ) | ||||
Sumco Corporation* | (22,000 | ) | (200,126 | ) | ||||
Sumitomo Chemical Co., Ltd. | (33,000 | ) | (101,437 | ) | ||||
Taiyo Nippon Sanso Corporation | (21,000 | ) | (122,697 | ) | ||||
Terumo Corporation | (11,500 | ) | (472,612 | ) | ||||
Toho Titanium Co., Ltd. | (3,900 | ) | (42,269 | ) | ||||
Trend Micro, Inc. | (1,100 | ) | (32,406 | ) | ||||
Tsumura & Co. | (6,900 | ) | (182,731 | ) | ||||
Ushio, Inc. | (13,500 | ) | (167,327 | ) | ||||
Yahoo! Japan Corporation | (694 | ) | (224,692 | ) | ||||
Yaskawa Electric Corporation | (53,000 | ) | (403,792 | ) | ||||
|
| |||||||
(14,534,804 | ) | |||||||
|
| |||||||
Liberia — 0.0% | ||||||||
Royal Caribbean Cruises, Ltd. | (8,768 | ) | (226,251 | ) | ||||
|
| |||||||
Luxembourg — 0.0% | ||||||||
ArcelorMittal | (13,734 | ) | (210,124 | ) | ||||
|
| |||||||
Netherlands — (0.1)% | ||||||||
Fugro NV | (7,718 | ) | (468,166 | ) | ||||
SBM Offshore NV* | (51,138 | ) | (708,685 | ) | ||||
Wolters Kluwer NV | (6,095 | ) | (96,909 | ) | ||||
|
| |||||||
(1,273,760 | ) | |||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
Fletcher Building, Ltd. | (86,596 | ) | (410,604 | ) | ||||
|
| |||||||
Norway — (0.1)% | ||||||||
Norsk Hydro ASA | (43,198 | ) | (194,809 | ) | ||||
Storebrand ASA* | (149,433 | ) | (585,568 | ) | ||||
Veripos, Inc.* | (3,977 | ) | (1,269 | ) | ||||
|
| |||||||
(781,646 | ) | |||||||
|
| |||||||
Papua New Guinea — 0.0% | ||||||||
Oil Search, Ltd. | (75,951 | ) | (517,343 | ) | ||||
|
| |||||||
Spain — (0.1)% | ||||||||
Actividades de Construccion y Servicios SA | (17,430 | ) | (373,361 | ) | ||||
Enagas SA | (23,191 | ) | (423,148 | ) | ||||
Indra Sistemas SA | (32,625 | ) | (303,741 | ) |
Shares | Value | |||||||
Obrascon Huarte Lain SA | (14,173 | ) | $ | (293,243 | ) | |||
|
| |||||||
(1,393,493 | ) | |||||||
|
| |||||||
Sweden — (0.2)% | ||||||||
Elekta AB | (10,717 | ) | (489,721 | ) | ||||
Hexagon AB | (43,506 | ) | (746,777 | ) | ||||
Husqvarna AB | (169,301 | ) | (798,509 | ) | ||||
Modern Times Group AB | (19,129 | ) | (885,405 | ) | ||||
SSAB AB | (8,126 | ) | (67,540 | ) | ||||
|
| |||||||
(2,987,952 | ) | |||||||
|
| |||||||
Switzerland — (0.3)% | ||||||||
Clariant AG* | (58,683 | ) | (579,928 | ) | ||||
Informa PLC | (78,111 | ) | (466,084 | ) | ||||
Kuehne + Nagel International AG | (3,261 | ) | (345,481 | ) | ||||
Sika AG | (308 | ) | (594,754 | ) | ||||
Sonova Holding AG | (4,556 | ) | (440,677 | ) | ||||
Sulzer AG | (2,393 | ) | (283,719 | ) | ||||
Swiss Re AG* | (1,886 | ) | (118,897 | ) | ||||
Temenos Group AG* | (36,576 | ) | (604,738 | ) | ||||
|
| |||||||
(3,434,278 | ) | |||||||
|
| |||||||
United Kingdom — (1.3)% | ||||||||
Admiral Group PLC | (64,001 | ) | (1,193,886 | ) | ||||
Aegis Group PLC | (126,674 | ) | (320,918 | ) | ||||
Aggreko PLC | (4,505 | ) | (146,505 | ) | ||||
AMEC PLC | (43,008 | ) | (677,995 | ) | ||||
Antofagasta PLC | (30,526 | ) | (522,172 | ) | ||||
Burberry Group PLC | (3,089 | ) | (64,315 | ) | ||||
Capita PLC | (109,503 | ) | (1,125,209 | ) | ||||
Carnival PLC | (7,122 | ) | (243,504 | ) | ||||
Firstgroup PLC | (12,958 | ) | (45,734 | ) | ||||
Home Retail Group PLC | (249,546 | ) | (331,478 | ) | ||||
ICAP PLC | (3,412 | ) | (18,060 | ) | ||||
IMI PLC | (22,837 | ) | (298,344 | ) | ||||
Intertek Group PLC | (16,341 | ) | (684,618 | ) | ||||
Invensys PLC | (152,751 | ) | (532,374 | ) | ||||
Johnson Matthey PLC | (4,230 | ) | (146,695 | ) | ||||
Lonmin PLC | (44,187 | ) | (537,514 | ) | ||||
Man Group PLC | (1,286,869 | ) | (1,539,825 | ) | ||||
Marks & Spencer Group PLC | (94,683 | ) | (482,848 | ) | ||||
Michael Page International PLC | (61,047 | ) | (357,763 | ) | ||||
Old Mutual PLC | (238,956 | ) | (568,298 | ) | ||||
Rolls-Royce Holdings PLC+* | (942,234 | ) | (1,476 | ) | ||||
Smith & Nephew PLC | (44,495 | ) | (445,058 | ) | ||||
Smiths Group PLC | (15,465 | ) | (245,605 | ) | ||||
Standard Chartered PLC | (9,701 | ) | (210,734 | ) | ||||
Subsea 7 SA | (39,776 | ) | (787,171 | ) | ||||
Travis Perkins PLC | (41,461 | ) | (631,274 | ) | ||||
United Utilities Group PLC | (53,745 | ) | (569,330 | ) | ||||
Vedanta Resources PLC | (59,912 | ) | (858,748 | ) | ||||
Weir Group PLC (The) | (70,204 | ) | (1,686,980 | ) | ||||
Whitbread PLC | (9,429 | ) | (299,795 | ) | ||||
|
| |||||||
(15,574,226 | ) | |||||||
|
| |||||||
Total Securities Sold Short | ||||||||
(Cost $(71,008,379)) | (64,976,767 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | ||||||||
Assets — (3.9)% | (48,903,172 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,242,715,957 | ||||||
|
|
See Notes to Financial Statements.
152
Table of Contents
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Financial | 18.9 | |||
Consumer Discretionary | 14.4 | |||
Money Market Funds | 14.2 | |||
Technology | 13.7 | |||
Materials & Processing | 12.3 | |||
Futures Contracts | 10.1 | |||
Energy | 9.0 | |||
Producer Durables | 8.7 | |||
Health Care | 7.4 | |||
Consumer Staples | 6.4 | |||
Utilities | 3.6 | |||
Foreign Preferred Stocks | 0.5 | |||
Rights/Warrant | — | ** | ||
Forward Foreign Currency Contracts | (1.7 | ) | ||
Securities Sold Short | (5.2 | ) | ||
|
| |||
112.3 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
153
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Foreign Common Stocks | $ | 1,173,736,045 | $ | 133,812,627 | $ | 1,039,784,278 | $ | 139,140 | ||||||||
Foreign Preferred Stocks | 5,811,024 | 1,298,170 | 4,451,831 | 61,023 | ||||||||||||
Money Market Funds | 177,046,754 | 177,046,754 | — | — | ||||||||||||
Rights | 2,073 | — | — | 2,073 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,356,595,896 | $ | 312,157,551 | $ | 1,044,236,109 | $ | 202,236 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 685,656 | $ | — | $ | 685,656 | $ | — | ||||||||
Futures Contracts | 6,138,660 | 6,138,660 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 6,824,316 | $ | 6,138,660 | $ | 685,656 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Securities Sold Short | $ | (64,976,767 | ) | $ | (226,251 | ) | $ | (64,747,771 | ) | $ | (2,745 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (64,976,767 | ) | $ | (226,251 | ) | $ | (64,747,771 | ) | $ | (2,745 | ) | ||||
|
|
|
|
|
|
|
|
*** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements. |
Management has determined that the amount of Level 3 assets compared to total net assets is not material; therefore, the reconciliation of Level 3 assets is not shown for the period ending June 30, 2012.
See Notes to Financial Statements.
154
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155
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2012 (Unaudited) |
Defensive Market Strategies Fund | Equity Index Fund | |||||||
Assets | ||||||||
Investments in securities of unaffiliated issuers, at value | $ | 367,412,313 | $ | 251,820,464 | ||||
Investments in securities of affiliated issuers, at value | 25,361,993 | 12,326,702 | ||||||
|
|
|
| |||||
Total investments(1)(2) | 392,774,306 | 264,147,166 | ||||||
Cash | 226 | — | ||||||
Cash collateral for derivatives | 651,000 | 462,000 | ||||||
Deposits with broker for securities sold short | 49,020,846 | — | ||||||
Foreign currency(3) | — | — | ||||||
Receivables: | ||||||||
Dividends and reclaims | 479,996 | 257,888 | ||||||
Interest | 596,789 | — | ||||||
Securities lending | 17,048 | 2,365 | ||||||
Investment securities sold | 16,423,562 | 208,666 | ||||||
Fund shares sold | 128,932 | 19,464 | ||||||
Variation margin on financial futures contracts | 275,400 | 322,225 | ||||||
Unrealized appreciation on foreign currency exchange contracts | 2,399 | — | ||||||
Prepaid expenses and other assets | 14,552 | 13,882 | ||||||
|
|
|
| |||||
Total Assets | 460,385,056 | 265,433,656 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Cash overdraft | — | 33,744 | ||||||
Foreign currency overdraft(3) | 57,085 | — | ||||||
Securities sold short, at value(4) | 30,889,752 | — | ||||||
Options written at value(6) | — | — | ||||||
Unrealized depreciation on foreign currency exchange contracts | 52,161 | — | ||||||
Collateral held for securities on loan at value | 57,575,888 | 21,429,028 | ||||||
Collateral held for derivatives | — | — | ||||||
Payables: | ||||||||
Investment securities purchased | 12,456,499 | 381,138 | ||||||
Dividends on short sales | 8,797 | — | ||||||
Fund shares redeemed | — | 41,516 | ||||||
Variation margin on financial futures contracts | — | — | ||||||
Securities lending | 3,405 | 472 | ||||||
Deferred foreign capital gains taxes | — | — | ||||||
Accrued expenses: | ||||||||
Investment advisory fees | 228,098 | 11,269 | ||||||
Shareholder servicing fees | 53,853 | 38,596 | ||||||
Other expenses | 70,570 | 138,990 | ||||||
|
|
|
| |||||
Total Liabilities | 101,396,108 | 22,074,753 | ||||||
|
|
|
| |||||
Net Assets | $ | 358,988,948 | $ | 243,358,903 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in-capital | $ | 339,905,871 | $ | 198,157,185 | ||||
Undistributed (distributions in excess of) net investment income | 151,511 | 93,748 | ||||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions | 2,110,902 | (5,820,085 | ) | |||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations | 16,820,664 | 50,928,055 | ||||||
|
|
|
| |||||
Net Assets | $ | 358,988,948 | $ | 243,358,903 | ||||
|
|
|
| |||||
Net Asset Value: | ||||||||
$0.001 par value, unlimited shares authorized | ||||||||
Net assets applicable to the GS2 Class | $ | 77,679,925 | $ | 39,758,240 | ||||
|
|
|
| |||||
GS2 shares outstanding | 7,315,833 | 5,910,014 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS2 share | $ | 10.62 | $ | 6.73 | ||||
|
|
|
| |||||
Net assets applicable to the GS4 Class | $ | 281,309,023 | $ | 203,600,663 | ||||
|
|
|
| |||||
GS4 shares outstanding | 26,501,764 | 13,202,595 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS4 share | $ | 10.61 | $ | 15.42 | ||||
|
|
|
|
(1) | Investments in securities of unaffiliated issuers, at cost | $ | 350,417,094 | $ | 201,380,392 | |||||
Investments in securities of affiliated issuers, at cost | 25,361,993 | 12,326,702 | ||||||||
|
|
|
| |||||||
Total investments at cost | $ | 375,779,087 | $ | 213,707,094 | ||||||
|
|
|
| |||||||
(2) | Includes securities loaned of: | $ | 57,465,697 | $ | 18,278,281 | |||||
|
|
|
| |||||||
(3) | Foreign currency at cost | $ | (56,145 | ) | $ | — | ||||
|
|
|
| |||||||
(5) | TBA sale commitments at cost | $ | 30,421,330 | $ | — | |||||
|
|
|
| |||||||
(6) | Premiums received on options written | $ | — | $ | — | |||||
|
|
|
| |||||||
(6) | Net of $(44,882) accrued foreign capital gains taxes on appreciated securities |
See Notes to Financial Statements.
156
Table of Contents
Real Estate Securities Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | ||||||||||||||||
$ | 199,084,589 | $ | 1,179,381,552 | $ | 1,233,866,591 | $ | 559,055,519 | $ | 1,276,030,147 | |||||||||||
6,685,531 | 23,448,975 | 57,075,395 | 12,911,520 | 80,565,749 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
205,770,120 | 1,202,830,527 | 1,290,941,986 | 571,967,039 | 1,356,595,896 | ||||||||||||||||
4,313 | — | — | — | 2,990,270 | ||||||||||||||||
395,250 | 1,274,000 | 3,238,000 | 7,477,465 | 10,428,340 | ||||||||||||||||
— | — | — | — | 11,516,713 | ||||||||||||||||
— | — | — | 42,976 | 12,206,528 | ||||||||||||||||
414,192 | 1,529,785 | 739,565 | 219,354 | 4,430,447 | ||||||||||||||||
— | — | — | 290,833 | — | ||||||||||||||||
2,028 | 5,894 | 14,993 | 67,903 | 141,993 | ||||||||||||||||
1,621,740 | 875,033 | 16,846,002 | 4,380,717 | 6,820,428 | ||||||||||||||||
178,183 | 48,909 | 59,542 | 5,079 | 2,950 | ||||||||||||||||
206,360 | 647,700 | 1,531,700 | 1,808,676 | 5,094,881 | ||||||||||||||||
— | — | — | 44,828 | 3,180,013 | ||||||||||||||||
11,341 | 18,638 | 21,683 | 15,178 | 19,142 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
208,603,527 | 1,207,230,486 | 1,313,393,471 | 586,320,048 | 1,413,427,601 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
— | — | — | 1,559 | — | ||||||||||||||||
— | — | — | — | — | ||||||||||||||||
— | — | — | — | 64,976,767 | ||||||||||||||||
— | — | — | 12,562 | — | ||||||||||||||||
— | — | — | 8,238 | 2,494,357 | ||||||||||||||||
27,574,565 | 83,958,936 | 108,131,663 | 140,541,498 | 96,481,005 | ||||||||||||||||
— | — | — | — | 210,000 | ||||||||||||||||
1,792,949 | 1,106,681 | 12,000,314 | 10,003,120 | 4,179,121 | ||||||||||||||||
— | — | — | — | 187,891 | ||||||||||||||||
15,000 | 101,101 | 110,021 | 494,480 | 57,146 | ||||||||||||||||
— | — | — | — | 801,714 | ||||||||||||||||
404 | 1,178 | 2,998 | 13,566 | 28,399 | ||||||||||||||||
— | — | — | — | 56,026 | ||||||||||||||||
97,127 | 565,288 | 752,089 | 294,754 | 789,552 | ||||||||||||||||
33,386 | 172,759 | 191,941 | 69,577 | 189,670 | ||||||||||||||||
42,954 | 72,917 | 79,975 | 90,578 | 259,996 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
29,556,385 | 85,978,860 | 121,269,001 | 151,529,932 | 170,711,644 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 179,047,142 | $ | 1,121,251,626 | $ | 1,192,124,470 | $ | 434,790,116 | $ | 1,242,715,957 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 162,038,601 | $ | 1,208,183,865 | $ | 900,895,562 | $ | 387,427,021 | $ | 1,452,218,887 | |||||||||||
95,300 | 452,633 | (608,822 | ) | 603,927 | 16,438,614 | |||||||||||||||
(9,884,720) | (139,212,408 | ) | 26,808,745 | 8,095,690 | (189,517,935 | ) | ||||||||||||||
26,797,961 | 51,827,536 | 265,028,985 | 38,663,478 | (36,423,609 | )(6) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 179,047,142 | $ | 1,121,251,626 | $ | 1,192,124,470 | $ | 434,790,116 | $ | 1,242,715,957 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N/A | $ | 210,992,588 | $ | 196,682,191 | $ | 65,836,453 | $ | 232,883,397 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N/A | 28,419,319 | 15,016,087 | 6,350,372 | 26,230,901 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N/A | $ | 7.42 | $ | 13.10 | $ | 10.37 | $ | 8.88 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 179,047,142 | $ | 910,259,038 | $ | 995,442,279 | $ | 368,953,663 | $ | 1,009,832,560 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
17,173,323 | 60,758,313 | 48,005,070 | 23,627,233 | 87,166,402 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 10.43 | $ | 14.98 | $ | 20.74 | $ | 15.62 | $ | 11.59 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 172,462,898 | $ | 1,128,466,869 | $ | 970,862,049 | $ | 522,732,257 | $ | 1,325,351,832 | |||||||||||
6,685,531 | 23,448,975 | 57,075,395 | 12,911,520 | 80,565,749 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 179,148,429 | $ | 1,151,915,844 | $ | 1,027,937,444 | $ | 535,643,777 | $ | 1,405,917,581 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 21,685,047 | $ | 83,861,352 | $ | 136,274,158 | $ | 131,106,756 | $ | 134,841,485 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 43,531 | $ | 12,171,399 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 71,008,379 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 28,219 | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
See Notes to Financial Statements.
157
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2012 (Unaudited) |
Defensive Market Strategies Fund | Equity Index Fund | |||||||
Investment Income | ||||||||
Dividends | $ | 3,307,683 | $ | 2,324,190 | ||||
Income distributions received from affiliated funds | 1,428 | 542 | ||||||
Interest | 1,220,369 | 55 | ||||||
Securities lending | 82,183 | 17,159 | ||||||
Less foreign taxes withheld | (22,614 | ) | — | |||||
|
|
|
| |||||
Total Investment Income | 4,589,049 | 2,341,946 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory fees | 1,466,652 | 184,801 | ||||||
Transfer agent fees: | ||||||||
GS2 shares | 1,866 | 1,915 | ||||||
GS4 shares | 9,290 | 12,325 | ||||||
Custodian fees | 113,274 | 21,541 | ||||||
Shareholder servicing fees: | ||||||||
GS4 shares | 314,836 | 237,863 | ||||||
Accounting and administration fees | 71,556 | 38,756 | ||||||
Professional fees | 30,471 | 29,253 | ||||||
Blue sky fees: | ||||||||
GS2 shares | 1,083 | 635 | ||||||
GS4 shares | 8,530 | 8,800 | ||||||
Shareholder reporting fees: | ||||||||
GS2 shares | 120 | 179 | ||||||
GS4 shares | 482 | 7,935 | ||||||
Trustee expenses | 1,885 | 1,429 | ||||||
Line of credit facility fees | 1,890 | 1,312 | ||||||
Other expenses | 92,415 | 8,557 | ||||||
|
|
|
| |||||
Total expenses | 2,114,350 | 555,301 | ||||||
Dividends on securities sold short | 89,699 | — | ||||||
Expenses waived/reimbursed net of amount recaptured(1) | (94,053 | ) | (135,676 | ) | ||||
Fees paid indirectly | — | — | ||||||
|
|
|
| |||||
Net expenses | 2,109,996 | 419,625 | ||||||
|
|
|
| |||||
Net Investment Income (Loss) | 2,479,053 | 1,922,321 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Investment securities and securities sold short | 5,570,483 | 885,206 | ||||||
Futures transactions | 306,334 | 686,606 | ||||||
Option contracts written | 49,010 | — | ||||||
Option contracts purchased | (159,048 | ) | — | |||||
Foreign currency transactions | 153,799 | — | ||||||
|
|
|
| |||||
Net realized gain (loss) | 5,920,578 | 1,571,812 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment securities and securities sold short (net of estimated capital gains taxes of $(29,169) for International Equity) | 7,667,643 | 16,579,076 | ||||||
Futures | 230,911 | 233,425 | ||||||
Option contracts written | (3,192 | ) | — | |||||
Option contracts purchased | 28,201 | — | ||||||
Foreign currency translation | (66,647 | ) | — | |||||
|
|
|
| |||||
Net change in unrealized appreciation | 7,856,916 | 16,812,501 | ||||||
|
|
|
| |||||
Net Realized and Unrealized Gain | 13,777,494 | 18,384,313 | ||||||
|
|
|
| |||||
Net Increase in Net Assets Resulting from Operations | $ | 16,256,547 | $ | 20,306,634 | ||||
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements. |
158
Table of Contents
Real Estate Securities Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | ||||||||||||||||
$ | 1,664,466 | $ | 13,839,792 | $ | 5,484,277 | $ | 2,089,205 | $ | 27,156,842 | |||||||||||
260 | 1,154 | 2,546 | 944 | 4,022 | ||||||||||||||||
— | 200 | 267 | 732,147 | — | ||||||||||||||||
19,203 | 68,607 | 101,003 | 336,060 | 776,851 | ||||||||||||||||
— | (73,724 | ) | (30,912 | ) | (615 | ) | (2,325,657 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
1,683,929 | 13,836,029 | 5,557,181 | 3,157,741 | 25,612,058 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
578,045 | 3,573,295 | 5,106,293 | 2,017,481 | 5,835,033 | ||||||||||||||||
— | 2,015 | 2,029 | 2,042 | 2,043 | ||||||||||||||||
13,247 | 13,530 | 13,318 | 14,388 | 15,457 | ||||||||||||||||
17,882 | 25,971 | 44,355 | 69,242 | 510,473 | ||||||||||||||||
196,809 | 1,086,563 | 1,207,986 | 447,982 | 1,209,302 | ||||||||||||||||
21,092 | 123,474 | 129,145 | 86,517 | 307,311 | ||||||||||||||||
29,169 | 29,228 | 29,121 | 31,332 | 30,837 | ||||||||||||||||
— | 650 | 697 | 637 | 618 | ||||||||||||||||
6,391 | 10,131 | 9,387 | 9,552 | 9,223 | ||||||||||||||||
— | 391 | 322 | 453 | 518 | ||||||||||||||||
8,480 | 10,223 | 10,184 | 12,004 | 13,750 | ||||||||||||||||
1,093 | 5,381 | 5,719 | 2,381 | 6,006 | ||||||||||||||||
900 | 6,327 | 6,746 | 2,529 | 7,113 | ||||||||||||||||
5,643 | 18,964 | 20,497 | 13,736 | 206,239 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
878,751 | 4,906,143 | 6,585,799 | 2,710,276 | 8,153,923 | ||||||||||||||||
— | — | — | — | 1,377,494 | ||||||||||||||||
(6,183 | ) | (27,510 | ) | (399,402 | ) | (126,431 | ) | (1,061,708 | ) | |||||||||||
— | (37,272 | ) | (20,934 | ) | (57,912 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
872,568 | 4,841,361 | 6,165,463 | 2,525,933 | 8,469,709 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
811,361 | 8,994,668 | (608,282 | ) | 631,808 | 17,142,349 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
11,987,091 | 11,479,203 | 46,867,404 | 20,403,237 | (18,091,050 | ) | |||||||||||||||
330,858 | 1,807,776 | 3,673,828 | 3,613,330 | (8,984,359 | ) | |||||||||||||||
— | — | — | 29,778 | — | ||||||||||||||||
— | — | — | (12,754 | ) | — | |||||||||||||||
— | — | 152 | 93,693 | (36,035 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
12,317,949 | 13,286,979 | 50,541,384 | 24,127,284 | (27,111,444 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
8,318,663 | 64,227,700 | 73,867,817 | 2,778,604 | 32,595,660 | ||||||||||||||||
122,650 | 199,167 | 1,270,359 | 1,126,456 | 4,951,152 | ||||||||||||||||
— | — | — | 15,305 | — | ||||||||||||||||
— | — | — | (14,524 | ) | — | |||||||||||||||
— | — | 1,906 | (57,546 | ) | 332,962 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
8,441,313 | 64,426,867 | 75,140,082 | 3,848,295 | 37,879,774 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
20,759,262 | 77,713,846 | 125,681,466 | 27,975,579 | 10,768,330 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 21,570,623 | $ | 86,708,514 | $ | 125,073,184 | $ | 28,607,387 | $ | 27,910,679 | |||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
159
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Defensive Market Strategies Fund | Equity Index Fund | |||||||||||||||
For the Six Months Ended 06/30/12 | For the Period 09/01/11(1) - 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 2,479,053 | $ | 936,692 | $ | 1,922,321 | $ | 5,258,974 | ||||||||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | 5,920,578 | (2,374,664 | ) | 1,571,812 | 32,991,580 | |||||||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | 7,856,916 | 8,963,748 | 16,812,501 | (32,744,998 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 16,256,547 | 7,525,776 | 20,306,634 | 5,505,556 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income | ||||||||||||||||
GS2 shares | (566,936 | ) | (318,933 | ) | (606,612 | ) | (1,954,809 | ) | ||||||||
GS4 shares | (1,741,514 | ) | (817,166 | ) | (1,221,961 | ) | (4,382,332 | ) | ||||||||
Distributions from net realized capital gains | ||||||||||||||||
GS2 shares | (221,119 | ) | (59,110 | ) | (213,962 | ) | (9,790,218 | ) | ||||||||
GS4 shares | (793,964 | ) | (180,504 | ) | (481,104 | ) | (25,535,709 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (3,323,533 | ) | (1,375,713 | ) | (2,523,639 | ) | (41,663,068 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold | ||||||||||||||||
GS2 shares | 2,401,002 | 79,296,691 | 2,247,860 | 2,712,853 | ||||||||||||
GS4 shares | 31,468,127 | 237,229,968 | 15,253,166 | 22,558,530 | ||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
GS2 shares | 787,126 | 377,748 | 819,199 | 11,720,330 | ||||||||||||
GS4 shares | 2,535,478 | 997,670 | 1,702,437 | 29,913,775 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total proceeds from shares sold and reinvested | 37,191,733 | 317,902,077 | 20,022,662 | 66,905,488 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Value of shares redeemed | ||||||||||||||||
GS2 shares | (3,091,297 | ) | (6,649,396 | ) | (2,603,010 | ) | (38,120,249 | ) | ||||||||
GS4 shares | (3,089,650 | ) | (2,357,596 | ) | (11,640,238 | ) | (179,783,388 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
GS8 shares | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total value of shares redeemed | (6,180,947 | ) | (9,006,992 | ) | (14,243,248 | ) | (217,903,637 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(1) | 31,010,786 | 308,895,085 | 5,779,414 | (150,998,149 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 43,943,800 | 315,045,148 | 23,562,409 | (187,155,661 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 315,045,148 | — | 219,796,494 | 406,952,155 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period* | $ | 358,988,948 | $ | 315,045,148 | $ | 243,358,903 | $ | 219,796,494 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Including undistributed (distributions in excess of) net investment income | $ | 151,511 | $ | (19,092 | ) | $ | 93,748 | $ | — | |||||||
|
|
|
|
|
|
|
|
(1) | Inception date was September 1, 2011. |
See Notes to Financial Statements.
160
Table of Contents
Real Estate Securities Fund | Value Equity Fund | |||||||||||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||
$ | 811,361 | $ | 1,263,887 | $ | 8,994,668 | $ | 16,621,802 | |||||||||||
12,317,949 | 17,066,499 | 13,286,979 | 26,274,574 | |||||||||||||||
8,441,313 | (7,100,897 | ) | 64,426,867 | (40,133,852 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
21,570,623 | 11,229,489 | 86,708,514 | 2,762,524 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
— | — | (5,445,810 | ) | (5,981,447 | ) | |||||||||||||
(900,558 | ) | (1,079,417 | ) | (10,780,401 | ) | (10,675,839 | ) | |||||||||||
— | — | — | — | |||||||||||||||
— | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
(900,558 | ) | (1,079,417 | ) | (16,226,211 | ) | (16,657,286 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
— | — | 4,982,896 | 18,209,835 | |||||||||||||||
22,278,350 | 43,753,345 | 22,386,512 | 78,987,992 | |||||||||||||||
— | — | 5,440,943 | 5,976,208 | |||||||||||||||
900,433 | 1,079,272 | 10,779,279 | 10,674,516 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
23,178,783 | 44,832,617 | 43,589,630 | 113,848,551 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
— | — | (10,998,397 | ) | (49,726,476 | ) | |||||||||||||
(15,028,568 | ) | (46,656,025 | ) | (35,088,383 | ) | (186,250,779 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
— | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
(15,028,568 | ) | (46,656,025 | ) | (46,086,780 | ) | (235,977,255 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
8,150,215 | (1,823,408 | ) | (2,497,150 | ) | (122,128,704 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
28,820,280 | 8,326,664 | 67,985,153 | (136,023,466 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
150,226,862 | 141,900,198 | 1,053,266,473 | 1,189,289,939 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
$ | 179,047,142 | $ | 150,226,862 | $ | 1,121,251,626 | $ | 1,053,266,473 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
$ | 95,300 | $ | 184,497 | $ | 452,633 | $ | 7,684,176 | |||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
161
Table of Contents
Growth Equity Fund | ||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (608,282 | ) | $ | (1,251,646 | ) | ||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | 50,541,384 | 112,048,038 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | 75,140,082 | (129,401,549 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 125,073,184 | (18,605,157 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | — | — | ||||||
GS4 shares | — | |||||||
|
|
|
| |||||
Total dividends | — | — | ||||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 3,784,156 | 12,614,849 | ||||||
GS4 shares | 32,446,732 | 84,754,555 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | — | — | ||||||
GS4 shares | — | — | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 36,230,888 | 97,369,404 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
GS2 shares | (12,738,102 | ) | (41,012,966 | ) | ||||
GS4 shares | (56,819,613 | ) | (197,296,374 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (69,557,715 | ) | (238,309,340 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(2) | (33,326,827 | ) | (140,939,936 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 91,746,357 | (159,545,093 | ) | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 1,100,378,113 | 1,259,923,206 | ||||||
|
|
|
| |||||
End of Period* | $ | 1,192,124,470 | $ | 1,100,378,113 | ||||
|
|
|
| |||||
*Including undistributed (distributions in excess of) net investment income | $ | (608,822 | ) | $ | (540 | ) | ||
|
|
|
|
(1) | See Note 7 in Notes to Financial Statements. |
See Notes to Financial Statements.
162
Table of Contents
Small Cap Equity Fund | International Equity Fund | |||||||||||||||||
For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | For the Six Months Ended 06/30/12 | For the Year Ended 12/31/11 | |||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||
$ | 631,808 | $ | 588,385 | $ | 17,142,349 | $ | 25,408,601 | |||||||||||
24,127,284 | 55,393,288 | (27,111,444 | ) | 55,235,655 | ||||||||||||||
3,848,295 | (48,864,420 | ) | 37,879,774 | (266,338,287 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
28,607,387 | 7,117,253 | 27,910,679 | (185,694,031 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
— | (296,485 | ) | — | (6,224,885 | ) | |||||||||||||
— | (407,452 | ) | — | (18,014,995 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
— | (703,937 | ) | — | (24,239,880 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
1,868,289 | 5,576,712 | 9,349,343 | 34,462,759 | |||||||||||||||
15,736,545 | 47,768,412 | 50,389,971 | 181,280,843 | |||||||||||||||
— | 296,176 | — | 6,222,532 | |||||||||||||||
— | 407,371 | — | 18,014,075 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
17,604,834 | 54,048,671 | 59,739,314 | 239,980,209 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
(4,373,145 | ) | (17,341,615 | ) | (5,737,246 | ) | (35,990,466 | ) | |||||||||||
(24,964,400 | ) | (99,700,166 | ) | (18,179,080 | ) | (106,493,355 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
(29,337,545 | ) | (117,041,781 | ) | (23,916,326 | ) | (142,483,821 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
(11,732,711 | ) | (62,993,110 | ) | 35,822,988 | 97,496,388 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
16,874,676 | (56,579,794 | ) | 63,733,667 | (112,437,523 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
417,915,440 | 474,495,234 | 1,178,982,290 | 1,291,419,813 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
$ | 434,790,116 | $ | 417,915,440 | $ | 1,242,715,957 | $ | 1,178,982,290 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
$ | 603,927 | $ | (27,881 | ) | $ | 16,438,614 | $ | (703,735 | ) | |||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
163
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Excess Distribution/ Return of Capital | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross(1) | Investment Income/ (Loss), Net(2) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
Defensive Market Strategies Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 10.20 | $ | 0.09 | # | $ | 0.44 | $ | (0.08 | ) | $ | (0.03 | ) | $ | — | $ | 10.62 | 5.20 | % | $ | 77,680 | 0.99 | %(4) | 1.11 | % | 1.71 | % | 170 | % | |||||||||||||||||||||||
2011(5) | 10.00 | 0.04 | # | 0.21 | (6) | (0.04 | ) | (0.01 | ) | — | 10.20 | 2.51 | 74,516 | 0.99 | (4) | 1.10 | 1.11 | 120 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 10.20 | $ | 0.08 | # | $ | 0.43 | $ | (0.07 | ) | $ | (0.03 | ) | $ | — | $ | 10.61 | 4.99 | % | $ | 281,309 | 1.25 | %(4) | 1.36 | % | 1.46 | % | 170 | % | |||||||||||||||||||||||
2011(5) | 10.00 | 0.03 | # | 0.21 | (6) | (0.03 | ) | (0.01 | ) | — | 10.20 | 2.43 | 240,529 | 1.25 | (4) | 1.35 | 0.86 | 120 | ||||||||||||||||||||||||||||||||||
Equity Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 6.29 | $ | 0.06 | # | $ | 0.52 | $ | (0.10 | ) | $ | (0.04 | ) | $ | — | $ | 6.73 | 9.29 | % | $ | 39,758 | 0.23 | % | 0.25 | % | 1.74 | % | 1 | % | |||||||||||||||||||||||
2011 | 8.63 | 0.15 | # | 0.04 | (6) | (0.31 | ) | (2.22 | ) | — | 6.29 | 3.00 | 36,721 | 0.23 | 0.24 | 1.71 | 4 | |||||||||||||||||||||||||||||||||||
2010 | 7.77 | 0.14 | # | 0.97 | (0.25 | ) | — | — | 8.63 | 14.57 | 71,093 | 0.22 | 0.22 | 1.77 | 5 | |||||||||||||||||||||||||||||||||||||
2009 | 6.36 | 0.14 | # | 1.49 | (0.22 | ) | — | — | 7.77 | 26.38 | 65,217 | 0.22 | 0.24 | 2.05 | 4 | |||||||||||||||||||||||||||||||||||||
2008 | 10.57 | 0.18 | # | (4.06 | ) | (0.24 | ) | (0.09 | ) | — | 6.36 | (37.32 | ) | 49,472 | 0.21 | 0.22 | 2.11 | 5 | ||||||||||||||||||||||||||||||||||
2007 | 11.08 | 0.20 | # | 0.39 | (0.32 | ) | (0.78 | ) | — | 10.57 | 5.19 | 81,104 | 0.22 | 0.22 | 1.77 | 5 | ||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 14.24 | $ | 0.12 | # | $ | 1.19 | $ | (0.09 | ) | $ | (0.04 | ) | $ | — | $ | 15.42 | 9.22 | % | $ | 203,601 | 0.38 | % | 0.51 | % | 1.59 | % | 1 | % | |||||||||||||||||||||||
2011 | 16.36 | 0.26 | # | 0.12 | (6) | (0.28 | ) | (2.22 | ) | — | 14.24 | 2.75 | 183,076 | 0.38 | 0.47 | 1.57 | 4 | |||||||||||||||||||||||||||||||||||
2010 | 14.51 | 0.24 | # | 1.84 | (0.23 | ) | — | — | 16.36 | 14.45 | 335,859 | 0.37 | 0.41 | 1.60 | 5 | |||||||||||||||||||||||||||||||||||||
2009 | 11.70 | 0.24 | # | 2.77 | (0.20 | ) | — | — | 14.51 | 26.14 | 321,486 | 0.37 | 0.43 | 1.90 | 4 | |||||||||||||||||||||||||||||||||||||
2008 | 19.07 | 0.31 | # | (7.37 | ) | (0.22 | ) | (0.09 | ) | — | 11.70 | (37.37 | ) | 247,077 | 0.37 | 0.42 | 1.95 | 5 | ||||||||||||||||||||||||||||||||||
2007 | 19.17 | 0.32 | # | 0.64 | (0.28 | ) | (0.78 | ) | — | 19.07 | 4.95 | 429,423 | 0.39 | 0.42 | 1.59 | 5 | ||||||||||||||||||||||||||||||||||||
Real Estate Securities Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 9.18 | $ | 0.05 | # | $ | 1.25 | $ | (0.05 | ) | $ | — | $ | — | $ | 10.43 | 14.22 | % | $ | 179,047 | 1.06 | % | 1.07 | % | 0.99 | % | 51 | % | ||||||||||||||||||||||||
2011 | 8.52 | 0.08 | # | 0.65 | (6) | (0.07 | ) | — | — | 9.18 | 8.51 | 150,227 | 1.14 | 1.14 | 0.85 | 90 | ||||||||||||||||||||||||||||||||||||
2010 | 6.74 | 0.11 | # | 1.82 | (0.15 | ) | — | — | 8.52 | 28.80 | 141,900 | 1.19 | 1.19 | 1.41 | 105 | |||||||||||||||||||||||||||||||||||||
2009 | 5.25 | 0.12 | # | 1.49 | (0.12 | ) | — | — | † | 6.74 | 31.21 | 121,533 | 1.27 | 1.28 | 2.29 | 128 | ||||||||||||||||||||||||||||||||||||
2008 | 9.04 | 0.18 | # | (3.80 | ) | (0.16 | ) | — | (0.01 | ) | 5.25 | (40.35 | ) | 80,579 | 1.26 | 1.25 | 2.21 | 94 | ||||||||||||||||||||||||||||||||||
2007 | 12.55 | 0.11 | # | (2.12 | ) | (0.11 | ) | (1.39 | ) | — | 9.04 | (16.23 | ) | 96,775 | 1.20 | 1.22 | 0.94 | 119 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. The ratio for the Defensive Market Strategies Fund includes the effect of dividend expense on securities sold short increased the ratio by 0.04% and 0.05% for the year 2011 and the period ended June 30, 2012, respectively. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. The ratio for the Defensive Market Strategies Fund excludes the effect of dividend expense on securities sold short. |
(5) | Inception date was September 1, 2011. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
See Notes to Financial Statements.
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Table of Contents
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Excess Distribution/ Return of Capital | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross(1) | Investment Income/ (Loss), Net(2) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
Value Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 7.03 | $ | 0.07 | # | $ | 0.52 | $ | (0.20 | ) | $ | — | $ | — | $ | 7.42 | 8.39 | % | $ | 210,993 | 0.67 | %(4) | 0.68 | % | 1.81 | % | 16 | % | ||||||||||||||||||||||||
2011 | 7.18 | 0.12 | # | (0.07 | )(5) | (0.20 | ) | — | — | 7.03 | 0.57 | 200,308 | 0.67 | (4) | 0.68 | 1.62 | 35 | |||||||||||||||||||||||||||||||||||
2010 | 6.46 | 0.10 | # | 0.78 | (0.16 | ) | — | — | 7.18 | 14.01 | 231,079 | 0.67 | 0.68 | 1.52 | 36 | |||||||||||||||||||||||||||||||||||||
2009 | 5.52 | 0.11 | # | 1.02 | (0.19 | ) | — | — | 6.46 | 21.35 | 181,123 | 0.68 | 0.69 | 2.06 | 32 | |||||||||||||||||||||||||||||||||||||
2008 | 9.10 | 0.17 | # | (3.46 | ) | (0.22 | ) | (0.07 | ) | — | 5.52 | (36.81 | ) | 143,506 | 0.66 | (4) | 0.67 | 2.29 | 52 | |||||||||||||||||||||||||||||||||
2007 | 10.62 | 0.18 | # | (0.27 | ) | (0.28 | ) | (1.15 | ) | — | 9.10 | (1.18 | ) | 230,436 | 0.69 | 0.69 | 1.70 | 45 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 14.00 | $ | 0.12 | # | $ | 1.04 | $ | (0.18 | ) | $ | — | $ | — | $ | 14.98 | 8.30 | % | $ | 910,259 | 0.91 | %(4) | 0.93 | % | 1.57 | % | 16 | % | ||||||||||||||||||||||||
2011 | 14.12 | 0.20 | # | (0.16 | )(5) | (0.16 | ) | — | — | 14.00 | 0.27 | 852,958 | 0.90 | (4) | 0.91 | 1.39 | 35 | |||||||||||||||||||||||||||||||||||
2010 | 12.54 | 0.17 | # | 1.56 | (0.15 | ) | — | — | 14.12 | 13.96 | 958,211 | 0.85 | (4) | 0.87 | 1.35 | 36 | ||||||||||||||||||||||||||||||||||||
2009 | 10.53 | 0.20 | # | 1.98 | (0.17 | ) | — | — | 12.54 | 21.16 | 1,001,814 | 0.85 | (4) | 0.88 | 1.89 | 32 | ||||||||||||||||||||||||||||||||||||
2008 | 17.03 | 0.30 | # | (6.54 | ) | (0.19 | ) | (0.07 | ) | — | 10.53 | (36.95 | ) | 844,459 | 0.85 | (4) | 0.86 | 2.09 | 52 | |||||||||||||||||||||||||||||||||
2007 | 18.65 | 0.29 | # | (0.52 | ) | (0.24 | ) | (1.15 | ) | — | 17.03 | (1.39 | ) | 1,407,534 | 0.88 | 0.88 | 1.50 | 45 | ||||||||||||||||||||||||||||||||||
Growth Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 11.76 | $ | — | †# | $ | 1.34 | $ | — | $ | — | $ | — | $ | 13.10 | 11.40 | % | $ | 196,682 | 0.87 | %(4) | 0.89 | % | 0.05 | % | 29 | % | |||||||||||||||||||||||||
2011 | 11.91 | — | †# | (0.15 | )(5) | — | — | — | 11.76 | (1.26 | ) | 184,418 | 0.88 | (4) | 0.89 | 0.02 | 60 | |||||||||||||||||||||||||||||||||||
2010 | 10.00 | — | † | 1.91 | — | † | — | — | 11.91 | 19.13 | 215,863 | 0.88 | (4) | 0.89 | 0.06 | 63 | ||||||||||||||||||||||||||||||||||||
2009 | 7.26 | 0.02 | 2.74 | (0.02 | ) | — | — | 10.00 | 38.14 | 196,026 | 0.88 | (4) | 0.89 | 0.22 | 78 | |||||||||||||||||||||||||||||||||||||
2008 | 12.76 | 0.03 | (5.49 | ) | (0.04 | ) | — | — | 7.26 | (42.84 | ) | 141,138 | 0.87 | (4) | 0.87 | 0.26 | 99 | |||||||||||||||||||||||||||||||||||
2007 | 11.23 | 0.02 | 1.55 | (0.04 | ) | — | — | 12.76 | 13.99 | 242,557 | 0.89 | 0.88 | 0.24 | 51 | ||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 18.63 | $ | (0.01 | )# | $ | 2.12 | $ | — | $ | — | $ | — | $ | 20.74 | 11.33 | % | $ | 995,442 | 1.05 | %(4) | 1.13 | % | (0.13 | )% | 29 | % | |||||||||||||||||||||||||
2011 | 18.90 | (0.02 | )# | (0.25 | )(5) | — | — | — | 18.63 | (1.43 | ) | 915,960 | 1.03 | (4) | 1.11 | (0.13 | ) | 60 | ||||||||||||||||||||||||||||||||||
2010 | 15.88 | (0.01 | ) | 3.03 | — | † | — | — | 18.90 | 19.03 | 1,044,060 | 0.97 | (4) | 1.08 | (0.04 | ) | 63 | |||||||||||||||||||||||||||||||||||
2009 | 11.52 | 0.01 | 4.36 | (0.01 | ) | — | — | 15.88 | 37.99 | 1,067,654 | 0.97 | (4) | 1.09 | 0.13 | 78 | |||||||||||||||||||||||||||||||||||||
2008 | 20.22 | 0.02 | (8.70 | ) | (0.02 | ) | — | — | 11.52 | (42.92 | ) | 817,315 | 0.97 | (4) | 1.06 | 0.16 | 99 | |||||||||||||||||||||||||||||||||||
2007 | 17.77 | 0.02 | 2.45 | (0.02 | ) | — | — | 20.22 | 13.90 | 1,488,091 | 1.00 | 1.07 | 0.13 | 51 | ||||||||||||||||||||||||||||||||||||||
Small Cap Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 9.70 | $ | 0.02 | # | $ | 0.65 | $ | — | $ | — | $ | — | $ | 10.37 | 6.91 | % | $ | 65,836 | 0.98 | %(4) | 1.02 | % | 0.45 | % | 69 | % | |||||||||||||||||||||||||
2011 | 9.61 | 0.03 | # | 0.11 | (5) | (0.05 | ) | — | — | 9.70 | 1.40 | 63,903 | 1.01 | (4) | 1.03 | 0.27 | 165 | |||||||||||||||||||||||||||||||||||
2010 | 7.57 | 0.03 | # | 2.06 | (0.05 | ) | — | — | 9.61 | 27.64 | 74,424 | 1.00 | (4) | 1.02 | 0.42 | 177 | ||||||||||||||||||||||||||||||||||||
2009 | 5.94 | 0.03 | # | 1.64 | (0.04 | ) | — | — | 7.57 | 28.12 | 64,033 | 1.04 | (4) | 1.05 | 0.44 | 130 | ||||||||||||||||||||||||||||||||||||
2008 | 9.60 | 0.05 | # | (3.61 | ) | (0.08 | ) | — | (0.02 | ) | 5.94 | (37.05 | ) | 48,159 | 1.03 | (4) | 1.04 | 0.66 | 147 | |||||||||||||||||||||||||||||||||
2007 | 11.33 | 0.06 | # | 0.09 | (0.07 | ) | (1.81 | ) | — | 9.60 | 1.05 | 76,792 | 1.05 | 1.05 | 0.48 | 119 | ||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 14.62 | $ | 0.02 | # | $ | 0.98 | $ | — | $ | — | $ | — | $ | 15.62 | 6.84 | % | $ | 368,954 | 1.18 | %(4) | 1.27 | % | 0.26 | % | 69 | % | |||||||||||||||||||||||||
2011 | 14.46 | 0.01 | # | 0.17 | (5) | (0.02 | ) | — | — | 14.62 | 1.22 | 354,013 | 1.19 | (4) | 1.26 | 0.10 | 165 | |||||||||||||||||||||||||||||||||||
2010 | 11.37 | 0.03 | # | 3.09 | (0.03 | ) | — | — | 14.46 | 27.47 | 400,072 | 1.15 | (4) | 1.21 | 0.27 | 177 | ||||||||||||||||||||||||||||||||||||
2009 | 8.91 | 0.03 | # | 2.46 | (0.03 | ) | — | — | 11.37 | 27.93 | 356,043 | 1.15 | (4) | 1.25 | 0.33 | 130 | ||||||||||||||||||||||||||||||||||||
2008 | 14.31 | 0.07 | # | (5.39 | ) | (0.06 | ) | — | (0.02 | ) | 8.91 | (37.19 | ) | 272,588 | 1.15 | (4) | 1.24 | 0.55 | 147 | |||||||||||||||||||||||||||||||||
2007 | 16.00 | 0.06 | # | 0.11 | (0.05 | ) | (1.81 | ) | — | 14.31 | 0.87 | 466,522 | 1.18 | 1.25 | 0.34 | 119 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
See Notes to Financial Statements.
165
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
For a Share Outstanding For the Years Ended December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Excess Distribution/ Return of Capital | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross(1) | Investment Income/ (Loss), Net(2) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 8.67 | $ | 0.12 | # | $ | 0.09 | $ | — | $ | — | $ | — | $ | 8.88 | 2.42 | % | $ | 232,883 | 0.95 | %(4) | 1.33 | % | 2.95 | % | 35 | % | |||||||||||||||||||||||||
2011 | 10.35 | 0.22 | # | (1.66 | )(5) | (0.24 | ) | — | — | 8.67 | (13.86 | ) | 223,677 | 0.94 | (4) | 1.22 | 2.17 | 82 | ||||||||||||||||||||||||||||||||||
2010 | 9.64 | 0.17 | # | 0.83 | (0.29 | ) | — | — | 10.35 | 10.45 | 262,103 | 0.94 | (4) | 1.19 | 1.81 | 56 | ||||||||||||||||||||||||||||||||||||
2009 | 7.32 | 0.17 | # | 2.42 | (0.27 | ) | — | † | — | 9.64 | 35.81 | 240,483 | 0.94 | (4) | 1.21 | 2.12 | 59 | |||||||||||||||||||||||||||||||||||
2008 | 14.61 | 0.34 | # | (6.89 | ) | (0.39 | ) | (0.35 | ) | — | 7.32 | (44.72 | ) | 193,281 | 0.94 | (4) | 1.08 | 2.92 | 88 | |||||||||||||||||||||||||||||||||
2007 | 15.80 | 0.26 | # | 1.79 | (0.27 | ) | (2.97 | ) | — | 14.61 | 13.21 | 279,652 | 0.96 | 1.07 | 1.55 | 66 | ||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2012(3) | $ | 11.33 | $ | 0.15 | # | $ | 0.11 | $ | — | $ | — | $ | — | $ | 11.59 | 2.29 | % | $ | 1,009,833 | 1.19 | %(4) | 1.58 | % | 2.71 | % | 35 | % | |||||||||||||||||||||||||
2011 | 13.43 | 0.25 | # | (2.13 | )(5) | (0.22 | ) | — | — | 11.33 | (14.01 | ) | 955,305 | 1.16 | (4) | 1.45 | 1.95 | 82 | ||||||||||||||||||||||||||||||||||
2010 | 12.44 | 0.21 | # | 1.05 | (0.27 | ) | — | — | 13.43 | 10.14 | 1,029,317 | 1.12 | (4) | 1.38 | 1.67 | 56 | ||||||||||||||||||||||||||||||||||||
2009 | 9.38 | 0.20 | # | 3.11 | (0.25 | ) | — | † | — | 12.44 | 35.61 | 1,101,628 | 1.12 | (4) | 1.40 | 1.98 | 59 | |||||||||||||||||||||||||||||||||||
2008 | 18.32 | 0.40 | # | (8.63 | ) | (0.36 | ) | (0.35 | ) | — | 9.38 | (44.81 | ) | 873,618 | 1.12 | (4) | 1.28 | 2.46 | 88 | |||||||||||||||||||||||||||||||||
2007 | 19.09 | 0.28 | # | 2.16 | (0.24 | ) | (2.97 | ) | — | 18.32 | 12.96 | 1,400,548 | 1.14 | 1.27 | 1.11 | 66 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. The ratio has been revised to include the effect of dividend expense on securities sold short which increased the ratio by 0.04% for the year 2009. The effect of dividend expense on securities sold short increased the ratio by 0.04%, 0.08% and 0.22% for the years 2010 and 2011 and the period ended June 30, 2012, respectively. |
(2) | The ratio has been revised to include expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. The ratio excludes the effect of dividend expense on securities sold short. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
See Notes to Financial Statements.
166
Table of Contents
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. DESCRIPTION OF THE FUNDS
GuideStone Funds (the “Trust”) was organized as a Delaware statutory trust on March 2, 2000. The Trust has established twenty-seven series (each, a “Fund” and together, the “Funds”). Each Fund is a diversified, open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The MyDestination 2005, MyDestination 2015, MyDestination 2025, MyDestination 2035, MyDestination 2045 and MyDestination 2055 Funds, each referred to as a “Date Target Fund” and together as the “Date Target Funds.” The Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund, Aggressive Allocation Fund, Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I and Aggressive Allocation Fund I are each referred to as an “Asset Allocation Fund” and together as the “Asset Allocation Funds.” The remaining Funds are each referred to as a “Select Fund” and are together referred to as the “Select Funds.” The Money Market Fund is referred to as the “Money Market Fund.” The Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund and Global Bond Fund are together referred to as the “Bond Funds.” The Defensive Market Strategies Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund and International Equity Fund are together referred to as the “Equity Funds.” The Inflation Protected Bond Fund and the Real Estate Securities Fund may also be referenced as the “Real Return Select Fund(s).” The Defensive Market Strategies Fund commenced operations as a registered investment company on September 1, 2011. The MyDestination 2055 Fund commenced operations as a registered investment company on January 1, 2012.
There are two classes of shares issued by the Funds — the GS2 Class and the GS4 Class (each, a “Class” and together the “Classes”), except for the Date Target Funds, the Inflation Protected Bond Fund, the Global Bond Fund, and the Real Estate Securities Fund, which issued the GS4 Class only. The Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I and Aggressive Allocation Fund I issued the GS2 Class only. All Classes of shares have identical voting, dividend and liquidation rights. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses on investments are allocated to each Class of shares based upon its relative net assets.
Each Fund is a separate mutual fund with its own investment objective, strategies and risks. The Select Funds invest directly in particular types of fixed-income obligations, stocks and other investments. The Asset Allocation and Date Target Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Asset Allocation and Date Target Funds are commonly referred to as “Fund of Funds.”
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with generally accepted accounting principles (“GAAP”) in the United States of America which require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
a. Valuation of Securities
The Funds (except the Money Market Fund) each value securities traded on national securities exchanges or included in national market systems at the last quoted sale price, or official close price, on the principal exchange on which they were traded, or, in the absence of any sale or official close price, at the closing bid price. Securities which are primarily traded on foreign exchanges are generally valued at the closing values of such securities on their respective exchanges, except that when an occurrence subsequent to the time when the foreign security is valued is likely to have changed such value, then the fair value of those securities will be determined through procedures established by or under the direction of the Board of Trustees of the Trust (the ‘‘Board of Trustees”). Non-exchange traded securities for which an over-the-counter quotation is readily available are valued at the last quoted bid price.
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Debt securities, excluding asset-backed and mortgage-backed securities, are valued at the mean of the last bid and ask prices available. Asset-backed and mortgage-backed securities are generally valued at the last bid price, if available. Certain debt securities may be valued on the basis of broker quotations, valuations provided by a pricing service which may use a matrix, formula or other objective methods that take into consideration market indices, matrices, yield curves and other specific adjustments or by a sub-adviser using various methodologies approved by the Board of Trustees.
Short-term securities maturing in more than 60 days from the valuation date are valued at the mean of the last bid and ask prices; those maturing in 60 days or less are generally valued at amortized cost which approximates current market value in accordance with Rule 2a-7 of the 1940 Act.
Forward foreign exchange contracts are valued based upon closing exchange rates from each respective foreign market.
Futures contracts are valued at the closing settlement price on the exchange on which they are primarily traded.
Options, rights and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options, rights and warrants not traded on a national securities exchange are valued at the last quoted bid price.
Swap agreements are valued daily based upon the terms specific to each agreement with its counterparty.
To the extent available, valuations of portfolio securities are provided by independent pricing services approved by the Board of Trustees. Securities for which market quotations are not readily available are valued at fair value according to methods established in good faith by the Board of Trustees. Due to the potential excessive volatility at the time valuations are developed, pricing techniques may materially vary from the actual amounts realized upon sale of the securities.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its NAV. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates its NAV if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that the Fund calculates its NAV. A Significant Event may relate to a single issuer or to an entire market sector. If a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its NAV, a Valuation Committee meeting may be called. The Trust uses Interactive Data Corporation (“IDC”) as a third party fair valuation vendor. IDC provides a fair value for foreign equity securities held by the Trust based on certain factors and methodologies applied by IDC in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Valuation Committee in consultation with, and approved by, the Board of Trustees. Such methodologies generally involve tracking valuation correlations between the U.S. market and each non-U.S. security. As part of the valuation procedures, a “confidence interval” is used, when the threshold is exceeded, to determine the level of correlation between the value of a foreign equity security and movements in the U.S. market before a particular security will be fair valued. In the event that the threshold established by the Valuation Committee is exceeded on a specific day, the Trust will typically value non-U.S. equity securities in its portfolio that exceed the applicable confidence interval based upon the fair values provided by IDC.
The Asset Allocation and Date Target Funds value their investments in the underlying Select Funds daily at the closing NAV of each respective Select Fund.
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The Financial Accounting Standards Board’s (“FASB”) “Fair Value Measurements and Disclosures” defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, which segregates fair value measurements into levels (Levels 1, 2, and 3). Categorizations of fair value measurements, and the criteria used to determine each categorization, are as follows:
Level 1 – quoted prices in active markets for identical securities which include:
Equity securities, including restricted securities, for which market quotations are readily available, that are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded; and
Investments in open-end mutual funds, including the GuideStone Funds and the Northern Institutional Liquid Assets Portfolio, which are valued at their closing net asset value each business day.
Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) which include: |
Equity securities for which there were no sales or closing prices for that day, that are valued at the last quoted bid price or that may be valued using the last available price;
Foreign equity securities for which a Significant Event has occurred and a fair value price is provided by IDC;
Debt securities, including restricted securities that are valued based on evaluated quotations received from independent pricing. For corporate bonds, pricing services that utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices; and
Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available and are valued at amortized cost.
Level 3 – | prices determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) which include: |
Restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used; and
Debt securities, including restricted securities that are valued based on evaluated quotations received from dealers who make markets in such securities.
Valuation levels are not necessarily an indication of the risk associated with investing in those securities and changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Management has determined that the amount of transfers between Level 1 and Level 2 and between Level 2 and Level 3 compared to total net assets of the applicable Funds is not material; therefore, the transfers between Level 1 and Level 2 and between Level 2 and Level 3 are not shown for the six months ended June 30, 2012.
b. Equity Linked Securities
The Defensive Market Strategies Fund invests in equity-linked securities. Equity-linked securities are hybrid financial instruments that generally combine both debt and equity characteristics into a single note form. Income received from equity linked securities will be recorded as realized gains in the Statement of Operations and may be based on the performance of an underlying equity security, an equity index, or an option position. The risks of investing in equity-linked securities include
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unfavorable price movements in the underlying security and the credit risk of the issuing financial institution. There may be no guarantee of a return of principal with equity linked securities and the appreciation potential may be limited. Equity-linked securities may be more volatile and less liquid than other investments held by the Fund.
c. Fixed Income Securities
The Bond Funds, Defensive Market Strategies Fund and the Small Cap Equity Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related and other asset-backed securities are interests in pools of loans or other receivables. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of pre-payments on underlying mortgages will affect the price and volatility of a mortgage-related security and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the United States Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by mortgages and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including pre-payments. Commercial Mortgage-Backed Securities (“CMBS”) include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants. CMOs and CMBS may be less liquid and may exhibit greater price volatility than other types of mortgage- or asset-backed securities. Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. A common type of SMBS will have one class receiving some of the interest and most of the principal from the mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme case, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because little to no principal will be received at the maturity of an IO, adjustments are made to the book value of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity.
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“TBA” (to be announced) purchase commitments are commitments to purchase securities for a fixed price at a future date, typically not exceeding 45 days. TBAs may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. This risk is in addition to the risk of decline in each Fund’s other assets. Unsettled TBAs are valued at the current market value of the underlying securities, according to the procedures described in the section entitled “Valuation of Securities”.
During the six months ended June 30, 2012, the Low-Duration Bond Fund and Medium-Duration Bond Fund entered into dollar roll transactions, pursuant to which they sell a mortgage-backed TBA or security and simultaneously purchase a similar, but not identical, TBA with the same issuer, rate and terms. The Funds may execute a “roll” to obtain better underlying mortgage securities or to increase yield. The Funds account for dollar roll transactions as purchases and sales, which has the effect of increasing their portfolio turnover rates. Risks associated with dollar rolls are that actual mortgages received by the Funds may be less favorable than those anticipated or that counterparties may fail to perform under the terms of the contracts.
TBA sale commitments are commitments to sell mortgage-backed securities for a fixed price at a future date. TBAs may be considered securities in themselves and involve a risk of loss if the value of the security to be sold increases prior to settlement date of the Fund’s other assets.
U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. The U.S. Government does not guarantee the NAV of the Funds’ shares. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the United States Government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the United States Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation, the common stock of which is owned entirely by private stockholders. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the United States Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the United States Government.
The U.S. Treasury has historically had the authority to purchase obligations of Fannie Mae and Freddie Mac (collectively, the “GSEs”). However, in 2008, due to capitalization concerns, Congress provided the U.S. Treasury with additional authority to lend the GSEs emergency funds and to purchase their stock. In September 2008, those capital concerns led the U.S. Treasury and the Federal Housing Finance Authority (“FHFA”) to announce that the GSEs had been placed in conservatorship.
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Since that time, the GSEs have received significant capital support through U.S. Treasury preferred stock purchases, as well as Treasury and Federal Reserve purchases, of their mortgage backed securities (“MBS”). The FHFA and the U.S. Treasury (through its agreement to purchase GSE preferred stock) have imposed strict limits on the size of their mortgage portfolios. While the MBS purchase programs ended in 2010, the U.S. Treasury announced in December 2009 that it would continue its support for the entities’ capital as necessary to prevent a negative net worth through at least 2012. While the U.S. Treasury is committed to offset negative equity at the GSEs through its preferred stock purchases through 2012, no assurance can be given that the Federal Reserve, U.S. Treasury, or FHFA initiatives will ensure that the GSEs will remain successful in meeting their obligations with respect to the debt and MBS they issue beyond that date.
The problems faced by the GSEs resulting in their being placed into federal conservatorship and receiving significant U.S. Government support have sparked serious debate among federal policy makers regarding the continued role of the U.S. Government in providing liquidity for mortgage loans. The Obama Administration produced a report to Congress on February 11, 2011 outlining a proposal to wind down the GSEs by increasing their guarantee fees, reducing their conforming loan limits (the maximum amount of each loan they are authorized to purchase), and continuing progressive limits on the size of their investment portfolio. Congress is currently considering several pieces of legislation that would reform the GSEs and possibly wind down their existence, addressing portfolio limits and guarantee fees, among other issues.
Based on quarterly loss figures, in August 2011, both GSEs requested additional support from the U.S. Treasury (Fannie Mae requested $2.8 billion and Freddie Mac requested $1.5 billion, net of dividend payments to the U.S. Treasury). In November 2011, Freddie Mac also requested an additional $6 billion in aid from the U.S. Treasury. Further, when a ratings agency down graded long-term U.S. government debt in August 2011, the agency also down graded the GSEs’ bond ratings, from AAA to AA+, based on their direct reliance on the U.S. Government (although that rating did not directly relate to their MBS). The U.S. Government’s commitment to ensure that the GSEs have sufficient capital to meet their obligations is, however, unaffected by the down grade.
Serious discussions among policymakers continue, however, as to whether the GSEs should be nationalized, privatized, restructured, or eliminated altogether. Fannie Mae and Freddie Mac also are the subject to several continuing legal actions and investigations over certain accounting, disclosure or corporate governance matters, which (along with any resulting financial restatements) may continue to have an adverse effect on the guaranteeing entities. Importantly, the future of the GSEs is in serious question as the U.S. Government considers multiple options.
Importantly, the future of the GSEs is in serious question as the U.S. Government considers multiple options.
d. Foreign Currency Translations
Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Funds isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.
Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in the exchange rate.
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e. Loan Participations
The Bond Funds and the Small Cap Equity Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate borrowers. A Fund’s investments in loans may be in the form of participations in loans. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, a Fund may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense on the Statements of Operations.
f. PIPEs
The Small Cap Equity Fund invests in Private Investment in Public Equity (“PIPE”) securities. PIPES involve the purchase of securities directly from a publicly traded company by a Fund. PIPES are restricted securities and cannot be immediately resold into the public markets. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. Risks include the potential decline in the value of the publicly traded company, the potential dilution of shareholder equity and the inability of the Fund to liquidate the position quickly.
g. REITs
The Real Estate Securities Fund invests substantial assets in real estate investment trusts (“REITs”) that involve risks not associated with investing in stocks. Risks include declines in the value of real estate, general and economic conditions, changes in the value of the underlying property and defaults by borrowers. The value of assets in the real estate industry may go through cycles of relative underperformance and outperformance in comparison to equity securities markets in general.
Dividend income is recorded using management’s estimate of the income included in distributions received from REIT investments. The actual amounts of income, return of capital and capital gains are only determined by each REIT after its fiscal year-end and may differ from the estimated amount. Estimates of income are adjusted in the Funds to the actual amounts when the amounts are determined.
h. Repurchase Agreements
Each Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
i. Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by cash equivalents deposited in an account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss; and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs.
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The Equity Funds may sell short exchange-listed equity futures contracts to reduce market exposure. The Date Target Funds, Asset Allocation Funds, Bond Funds and Small Cap Equity Fund may sell short U.S. Treasury securities and exchange-listed U.S. Treasury futures contracts to reduce market exposure. The Low-Duration Bond and Medium-Duration Bond Funds will occasionally enter into a short sale to initiate a dollar roll transaction. The Defensive Market Strategies Fund may establish short positions in stocks of companies with a market value of up to 30% of the Fund’s assets. The International Equity Fund may establish short positions in stocks of foreign companies with a market value of up to 5% of the Fund’s assets.
At June 30, 2012, the value of securities sold short in the Defensive Market Strategies and International Equity Fund amounted to $30,889,752 and $64,976,767, respectively.
j. Derivative Financial Instruments
The Funds may engage in various portfolio strategies to seek to increase its return by hedging its portfolio against adverse movements in the equity, debt and currency markets. Losses may arise due to changes in the value of the contract if the counterparty does not perform under the contract. The Funds, in their normal course of business, may enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ exposure may include future claims that may be made against the Funds that have not yet occurred.
Financial Futures Contracts — The Funds (except the Money Market Fund) may purchase or sell financial futures contracts and the options on such futures contracts for the purpose of hedging risk on existing securities, demonstrating purchase of securities or gaining market exposure on cash balances. Financial futures contracts are contracts for the delivery of securities at a specified future date at an agreed upon price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such payments or receipts are known as variation margin and are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a futures position prior to its maturity date. Third, the purchase of a futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
Foreign Currency Options and Futures — The Bond Funds, Defensive Market Strategies Fund, Small Cap Equity Fund and International Equity Fund may also enter into futures contracts on foreign currencies and related options on transactions as a short or long hedge against possible variations in foreign exchange rates.
Forward Foreign Exchange Contracts — Certain Funds may enter into forward foreign currency exchange contracts to hedge against adverse exchange rate fluctuation to the U.S. dollar or between different foreign currencies in connection with either specific security transactions or portfolio positions. Each contract is valued daily and the change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the opening value and the closing value of the contract. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
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Options — Certain Funds are authorized to write and purchase put and call options. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party and that party’s ability to perform. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Options purchased are recorded as an asset, and written options are recorded as liabilities to the extent of premiums paid or received. Each Fund will realize a gain or loss when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of the premium received or paid.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities.
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed-rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked-to-market daily based upon quotations from market makers. When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption. Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk in excess of the associated option and swap contract amounts reported in the Statement of Assets and Liabilities. The Funds bear the market risk arising from any change in index values or interest rates.
Swap Agreements — Each Select Fund, except the Money Market Fund, may enter into swap agreements. The Defensive Market Strategies Fund and Equity Funds may enter into equity swap contracts and the Bond Funds and the Small Cap Equity Fund may enter into interest rate and credit default swaps. The Bond Funds and International Equity Fund may enter into cross-currency swaps, and each Select Fund may enter into total return swaps.
Swap agreements are privately negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. A swap may be entered into in order to, among other things, change the maturity of a Fund’s portfolio, to protect a Fund’s value from changes in interest rates, to expose a Fund to a different security or market, or to help a Fund achieve a strategy relative to an index or other benchmark. By entering into a swap agreement, a Fund is exposed to the risk of unanticipated movements in interest rates or in the value of an underlying security or index (or the risk that the counterparty will not fulfill its obligation under the agreement). Credit default swaps involve the payment of amounts based on a specified rate multiplied by a notional amount as well as upon an event of default. In connection with these agreements, securities are set aside as collateral by the Fund’s custodian.
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Swaps are marked-to-market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statements of Assets and Liabilities. In the event that market quotations are not readily available or deemed reliable, certain swap agreements may be valued pursuant to guidelines established by the Board of Trustees. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Valuation Committee of the Board of Trustees, generally based upon recommendations provided by the Fund’s sub-adviser.
Payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.
Certain of the Fund’s derivative agreements contain provisions that require the Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over one-month, three-month and 12-month periods. If a Fund were to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. For the six months ended June 30, 2012, all of the Funds maintained the required level of net assets and/or the NAV of the Fund did not decline below the limits set forth in the derivative agreements.
Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
Credit Default Swaps — Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
Any upfront payments made or received upon entering a credit default swap contract are treated as part of the cost and are reflected as part of the unrealized gain (loss) on valuation. Upon termination of the swap contract, the amount included in the cost is reversed and becomes part of the swap’s realized gain (loss).
The sub-advisers monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of its ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. Any current or future declines in the fair value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. The change in value is recorded within unrealized appreciation (depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain (loss) is recorded.
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If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swap agreements on corporate issues or sovereign issues of an emerging country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other write down or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector.
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Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit-default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Credit default swaps involve greater risks than if the Funds had invested in the referenced obligation directly. In addition to general market risks, credit default swaps are subject to liquidity risk and counterparty credit risk. The Funds enter into credit default swaps with counterparties meeting defined criteria for financial strength. A buyer also may lose its investment and recover nothing should a credit event not occur. If a credit event did occur, the value of the referenced obligation received by the seller, coupled with the periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value.
Exchange Traded Swap Agreements — Exchange traded swaps are either interest rate or credit default swap agreements brokered by the Chicago Mercantile Exchange (the “CME”) where the CME is the counterparty to both the buyer and seller of protection. Exchange traded swaps involve a lesser degree of risk because the CME, as counterparty, monitors risk factors for the involved parties. Exchange traded swaps are subject to general market risks and to liquidity risk. Pursuant to the agreement, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract (the “Margin”) and daily interest on the margin. In the case of exchange traded interest rate swaps, the daily settlement also includes the daily portion of interest. Such payments are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.
Exchange traded swaps require no payments at the beginning of the measurement period nor are there liquidation payments at the termination of the swap.
Cross-Currency Swap Agreements — Cross-currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take
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place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows but only for exchanging interest cash flows.
Interest Rate Swap Agreements — Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date, (v) spread locks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swap, under which two parties can exchange variable interest rates based on different money markets.
Total Return Swap Agreements — Total return swap agreements on commodities involve commitments where exchanged cash flows are based on the price of a commodity and in return receives either fixed or determined by floating price or rate. One party would receive payments based on the market value of the commodity involved and pay a fixed amount. Total return swap agreements on indices involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may be an equity, index, or bond, and in return receives a regular stream of payments. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.
FASB “Derivatives and Hedging” includes required disclosure for (i) the nature and terms of the derivative, reasons for entering into the derivative, the events or circumstances that would require the seller to perform under the derivative, and the current status of the payment/performance risk of the derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the derivative, (iii) the fair value of the derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. FASB “Guarantees” require additional disclosures about the current status of the payment/performance risk of a guarantee. All of this information has been incorporated for the current period as part of the Schedules of Investments within the Swap agreements outstanding disclosure and in the Notes to Financial Statements.
As of June 30, 2012, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $39,041,121 and $46,132,000, respectively, and the sellers (“providing protection”) on a total notional amount of $700,000 and $18,250,000, respectively. The notional amounts of the swaps are not recorded in the financial statements; however, the notional amount does approximate the maximum potential amount of future payments that the Funds could be required to make if the Funds were the seller of protection and a credit event were to occur. Those credit default swaps for which the Funds are providing protection at balance sheet date are summarized as follows:
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Written Credit Derivative Contracts | Single Name Credit Default Swaps | Credit Default Swap Index | ||||||||||||||||||
Reference Asset | Corporate Debt | Sovereign Debt | Asset-Backed Securities | Corporate Debt | Total | |||||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||
Fair value of written credit derivatives | $ | 2,072 | $ | — | $ | — | $ | — | $ | 2,072 | ||||||||||
Maximum potential amount of future payments | 700,000 | — | — | — | 700,000 | |||||||||||||||
Recourse provisions with third parties to recover | — | — | — | — | — | |||||||||||||||
Collateral held by the Funds or other third parties | — | — | — | — | — | |||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
Fair value of written credit derivatives | $ | (72,365 | ) | $ | (18,280 | ) | $ | (59,035 | ) | $ | — | $ | (149,680 | ) | ||||||
Maximum potential amount of future payments | 5,000,000 | 1,000,000 | 12,250,000 | — | 18,250,000 | |||||||||||||||
Recourse provisions with third parties to recover | — | — | — | — | — | |||||||||||||||
Collateral held by the Funds or other third parties | — | — | — | — | — |
The credit spread disclosed below for each referenced obligation where the Funds are the seller of protection is a representation of the current payment/performance risk of the swap.
Maximum Potential Amount of Future Payments by Contract Term | ||||||||||||||||||||||||
Current credit spread on underlying (in basis points) | 0-6 Months | 6-12 Months | 1-5 Years | 5-10 Years | More Than 10 Years | Total | ||||||||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||||||
0 - 100 | $ | — | $ | — | $ | 700,000 | $ | — | $ | — | $ | 700,000 | ||||||||||||
101 - 250 | — | — | — | — | — | — | ||||||||||||||||||
251 - 500 | — | — | — | — | — | — | ||||||||||||||||||
501 - 1,000 | — | — | — | — | — | — | ||||||||||||||||||
Greater than 1,000 | — | — | — | — | — | |||||||||||||||||||
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Total | $ | — | $ | — | $ | 700,000 | $ | — | $ | — | $ | 700,000 | ||||||||||||
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Medium-Duration Bond Fund | ||||||||||||||||||||||||
0 - 100 | $ | — | $ | — | $ | 13,150,000 | $ | — | $ | — | $ | 13,150,000 | ||||||||||||
101 - 250 | — | — | 1,000,000 | — | — | 1,000,000 | ||||||||||||||||||
251 - 500 | — | — | — | 4,100,000 | — | 4,100,000 | ||||||||||||||||||
501 - 1,000 | — | — | — | — | — | — | ||||||||||||||||||
Greater than 1,000 | — | — | — | — | — | |||||||||||||||||||
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Total | $ | — | $ | — | $ | 14,150,000 | $ | 4,100,000 | $ | — | $ | 18,250,000 | ||||||||||||
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Derivative Holdings Categorized by Risk Exposure
FASB “Derivatives and Hedging” also requires all companies to disclose information intended to enable financial statement users to understand how and why the entity uses derivative instruments, how derivatives are accounted for, and how derivative instruments affect the entity’s financial position, results of operations, and cash flows.
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Interest rate contracts | Investments in securities of unaffiliated issuers, | Options written at value | ||
at value | ||||
Receivables: Variation margin on financial futures | Payables: Variation margin on financial futures | |||
contracts* | contracts* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | |||
Foreign exchange contracts | Investments in securities of unaffiliated issuers, | Options written at value | ||
at value | ||||
Receivables: Variation margin on financial futures | Payables: Variation margin on financial futures | |||
contracts* | contracts* | |||
Unrealized appreciation on foreign currency | Unrealized depreciation on foreign currency | |||
exchange contracts | exchange contracts | |||
Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | ||
Equity contracts | Investments in securities of unaffiliated issuers, | Options written at value | ||
at value | ||||
Receivables: Variation margin on financial futures | Payables: Variation margin on financial futures | |||
contracts* | contracts* |
* | The variation margin shown on the Statements of Assets and Liabilities is the daily change in the unrealized appreciation (depreciation) for open futures and exchange traded swap contracts. The variation margin presented below is the cumulative change in unrealized appreciation (depreciation) from the date the contract was opened until June 30, 2012. |
Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
MyDestination 2005 Futures | $ | 15,550 | $ | (297 | ) | $ | — | $ | — | $ | 15,847 | |||||||||
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MyDestination 2015 Futures | $ | 108,114 | $ | 156 | $ | — | $ | — | $ | 107,958 | ||||||||||
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MyDestination 2025 Futures | $ | 123,273 | $ | 1,328 | $ | — | $ | — | $ | 121,945 | ||||||||||
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MyDestination 2035 Futures | $ | 104,653 | $ | 1,781 | $ | — | $ | — | $ | 102,872 | ||||||||||
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MyDestination 2045 Futures | $ | 61,614 | $ | 594 | $ | — | $ | — | $ | 61,020 | ||||||||||
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Conservative Allocation Futures | $ | 44,212 | $ | (1,778 | ) | $ | — | $ | — | $ | 45,990 | |||||||||
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Balanced Allocation Futures | $ | 519,007 | $ | 16,455 | $ | — | $ | — | $ | 502,552 | ||||||||||
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Growth Allocation Futures | $ | 446,393 | $ | 5,235 | $ | — | $ | — | $ | 441,158 | ||||||||||
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Aggressive Allocation Futures | $ | 649,996 | $ | — | $ | — | $ | — | $ | 649,996 | ||||||||||
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Conservative Allocation I Futures | $ | 10,550 | $ | (250 | ) | $ | — | $ | — | $ | 10,800 | |||||||||
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Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Balanced Allocation I Futures | $ | 119,526 | $ | 2,666 | $ | — | $ | — | $ | 116,860 | ||||||||||
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Growth Allocation I Futures | $ | 99,243 | $ | 1,249 | $ | — | $ | — | $ | 97,994 | ||||||||||
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Aggressive Allocation I Futures | $ | 87,633 | $ | — | $ | — | $ | — | $ | 87,633 | ||||||||||
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Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 1,354,566 | $ | — | $ | 1,354,566 | $ | — | $ | — | ||||||||||
Futures | (27,333 | ) | (27,333 | ) | — | — | — | |||||||||||||
Purchased Options | 301,916 | — | 301,916 | — | — | |||||||||||||||
Swaps | 2,955,850 | 895,188 | — | 2,060,662 | — | |||||||||||||||
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Totals | $ | 4,584,999 | $ | 867,855 | $ | 1,656,482 | $ | 2,060,662 | $ | — | ||||||||||
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Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 813,591 | $ | — | $ | 813,591 | $ | — | $ | — | ||||||||||
Futures | 171,738 | 171,738 | — | — | — | |||||||||||||||
Purchased Options | 53,519 | 53,519 | — | — | — | |||||||||||||||
Swaps | 3,127,048 | 2,539,215 | — | 587,833 | — | |||||||||||||||
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Totals | $ | 4,165,896 | $ | 2,764,472 | $ | 813,591 | $ | 587,833 | $ | — | ||||||||||
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Inflation Protected Bond Futures | $ | (17,144 | ) | $ | (17,144 | ) | $ | — | $ | — | $ | — | ||||||||
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Global Bond Fund | ||||||||||||||||||||
Forwards | $ | 939,937 | $ | — | $ | 939,937 | $ | — | $ | — | ||||||||||
Futures | 2,146 | 2,146 | — | — | — | |||||||||||||||
Purchased Options | 4,095 | — | 4,095 | — | — | |||||||||||||||
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Total | $ | 946,178 | $ | 2,146 | $ | 944,032 | $ | — | $ | — | ||||||||||
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Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 2,399 | $ | — | $ | 2,399 | $ | — | $ | — | ||||||||||
Futures | 344,378 | — | — | — | 344,378 | |||||||||||||||
Purchased Options | 9,632 | — | — | — | 9,632 | |||||||||||||||
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Total | $ | 356,409 | $ | — | $ | 2,399 | $ | — | $ | 354,010 | ||||||||||
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Equity Index Futures | $ | 487,983 | $ | — | $ | — | $ | — | $ | 487,983 | ||||||||||
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Real Estate Securities Futures | $ | 176,270 | $ | — | $ | — | $ | — | $ | 176,270 | ||||||||||
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Value Equity Futures | $ | 912,853 | $ | — | $ | — | $ | — | $ | 912,853 | ||||||||||
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Growth Equity Fund Futures | $ | 2,024,443 | $ | — | $ | — | $ | — | $ | 2,024,443 | ||||||||||
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Small Cap Equity | ||||||||||||||||||||
Forwards | $ | 44,828 | $ | — | $ | 44,828 | $ | — | $ | — | ||||||||||
Futures | 2,396,557 | (1,698 | ) | — | — | 2,398,255 | ||||||||||||||
Purchased Options | 19,437 | 19,437 | — | — | — | |||||||||||||||
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Total | $ | 2,460,822 | $ | 17,739 | $ | 44,828 | $ | — | $ | 2,398,255 | ||||||||||
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Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 3,180,013 | $ | — | $ | 3,180,013 | $ | — | $ | — | ||||||||||
Futures | 6,294,778 | — | 269,925 | — | 6,024,853 | |||||||||||||||
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Total | $ | 9,474,791 | $ | — | $ | 3,449,938 | $ | — | $ | 6,024,853 | ||||||||||
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Liability Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 944,808 | $ | — | $ | 944,808 | $ | — | $ | — | ||||||||||
Futures | 50,089 | 50,089 | — | — | — | |||||||||||||||
Written Options | 416,036 | 307,713 | 108,323 | — | — | |||||||||||||||
Swaps | 177,050 | 101,034 | — | 76,016 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,587,983 | $ | 458,836 | $ | 1,053,131 | $ | 76,016 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 974,604 | $ | — | $ | 974,604 | $ | — | $ | — | ||||||||||
Futures | 237,325 | 237,325 | — | — | — | |||||||||||||||
Written Options | 392,108 | 392,108 | — | — | — | |||||||||||||||
Swaps | 877,189 | 448,033 | — | 429,156 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 2,481,226 | $ | 1,077,466 | $ | 974,604 | $ | 429,156 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Futures | $ | (156,604 | ) | $ | (156,604 | ) | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Forwards | $ | 561,532 | $ | — | $ | 561,532 | $ | — | $ | — | ||||||||||
Futures | 48,348 | 48,348 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 609,880 | $ | 48,348 | $ | 561,532 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 52,161 | $ | — | $ | 52,161 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 52,161 | $ | — | $ | 52,161 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | 8,238 | $ | — | $ | 8,238 | $ | — | $ | — | ||||||||||
Futures | 99,224 | 99,224 | — | — | — | |||||||||||||||
Written Options | 12,562 | 12,562 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 120,024 | $ | 111,786 | $ | 8,238 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 2,494,357 | $ | — | $ | 2,494,357 | $ | — | $ | — | ||||||||||
Futures | 156,118 | — | — | — | 156,118 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 2,650,475 | $ | — | $ | 2,494,357 | $ | — | $ | 156,118 | ||||||||||
|
|
|
|
|
|
|
|
|
|
183
Table of Contents
Derivative Type | Location on the Statements of Operations | |
Interest rate contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Swap agreements | ||
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Foreign exchange contracts | Net realized gain (loss) from: Foreign currency transactions | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net realized gain (loss) from: Futures transactions | ||
Net change in unrealized appreciation (depreciation) on: Foreign currency translations | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Credit contracts | Net realized gain (loss) from: Swap agreements | |
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Equity contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
MyDestination 2005 Futures | $ | 24,122 | $ | 9,126 | $ | — | $ | — | $ | 14,996 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 Futures | $ | 186,394 | $ | 63,730 | $ | — | $ | — | $ | 122,664 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 Futures | $ | 148,071 | $ | 51,087 | $ | — | $ | — | $ | 96,984 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 Futures | $ | 161,520 | $ | 10,526 | $ | — | $ | — | $ | 150,994 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 Futures | $ | 85,590 | $ | 3,518 | $ | — | $ | — | $ | 82,072 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Futures | $ | 74,544 | $ | 1,312 | $ | — | $ | — | $ | 73,232 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Futures | $ | 905,644 | $ | 261,185 | $ | — | $ | — | $ | 644,459 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Futures | $ | 1,120,507 | $ | 67,956 | $ | — | $ | — | $ | 1,052,551 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Futures | $ | 969,834 | $ | — | $ | — | $ | — | $ | 969,834 | ||||||||||
|
|
|
|
|
|
|
|
|
|
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Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
Conservative Allocation I Futures | $ | 6,130 | $ | (307 | ) | $ | — | $ | — | $ | 6,437 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation I Futures | $ | 276,318 | $ | 33,187 | $ | — | $ | — | $ | 243,131 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation I Futures | $ | 223,575 | $ | 10,714 | $ | — | $ | — | $ | 212,861 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation I Futures | $ | 128,731 | $ | — | $ | — | $ | — | $ | 128,731 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 1,518,884 | $ | — | $ | 1,518,884 | $ | — | $ | — | ||||||||||
Futures | 80,879 | 80,879 | — | — | — | |||||||||||||||
Swaps | 334,206 | 392,282 | — | (58,076 | ) | — | ||||||||||||||
Written Options | 32,765 | 32,765 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,966,734 | $ | 505,926 | $ | 1,518,884 | $ | (58,076 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 73,888 | $ | — | $ | 73,888 | $ | — | $ | — | ||||||||||
Futures | 307,762 | 307,762 | — | — | — | |||||||||||||||
Purchased Options | (32,787 | ) | (32,787 | ) | — | — | — | |||||||||||||
Swaps | 350,277 | 679,281 | — | (329,004 | ) | — | ||||||||||||||
Written Options | 136,993 | 136,993 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 836,133 | $ | 1,091,249 | $ | 73,888 | $ | (329,004 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Futures | $ | 134,963 | $ | 134,963 | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Forwards | $ | 493,717 | $ | — | $ | 493,717 | $ | — | $ | — | ||||||||||
Futures | (195,154 | ) | (195,154 | ) | — | — | — | |||||||||||||
Purchased Options | 99,065 | (21,398 | ) | 120,463 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 397,628 | $ | (216,552 | ) | $ | 614,180 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 178,557 | $ | — | $ | 178,557 | $ | — | $ | — | ||||||||||
Futures | 306,334 | — | — | — | 306,334 | |||||||||||||||
Purchased Options | (159,048 | ) | — | — | — | (159,048 | ) | |||||||||||||
Written Options | 49,010 | — | — | — | 49,010 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 374,853 | $ | — | $ | 178,557 | $ | — | $ | 196,296 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index | ||||||||||||||||||||
Futures | $ | 686,606 | $ | — | $ | — | $ | — | $ | 686,606 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities | ||||||||||||||||||||
Futures | $ | 330,858 | $ | — | $ | — | $ | — | $ | 330,858 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity | ||||||||||||||||||||
Futures | $ | 1,807,776 | $ | — | $ | — | $ | — | $ | 1,807,776 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity | ||||||||||||||||||||
Futures | $ | 3,673,828 | $ | — | $ | — | $ | — | $ | 3,673,828 | ||||||||||
|
|
|
|
|
|
|
|
|
|
185
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | 93,488 | $ | — | $ | 93,488 | $ | — | $ | — | ||||||||||
Futures | 3,613,330 | (302,574 | ) | — | — | 3,915,904 | ||||||||||||||
Purchased Options | (12,754 | ) | (12,754 | ) | — | — | — | |||||||||||||
Written Options | 29,778 | 29,778 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,723,842 | $ | (285,550 | ) | $ | 93,488 | $ | — | $ | 3,915,904 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 1,269,525 | $ | — | $ | 1,269,525 | $ | — | $ | — | ||||||||||
Futures | (8,984,359 | ) | 153,089 | 262,886 | — | (9,400,334 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (7,714,834 | ) | $ | 153,089 | $ | 1,532,411 | $ | — | $ | (9,400,334 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
MyDestination 2005 Futures | $ | 10,523 | $ | (2,750 | ) | $ | — | $ | — | $ | 13,273 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 Futures | $ | 80,547 | $ | (15,345 | ) | $ | — | $ | — | $ | 95,892 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 Futures | $ | 78,762 | $ | (8,423 | ) | $ | — | $ | — | $ | 87,185 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 Futures | $ | 78,450 | $ | (172 | ) | $ | — | $ | — | $ | 78,622 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 Futures | $ | 48,893 | $ | 110 | $ | — | $ | — | $ | 48,783 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Futures | $ | 32,727 | $ | (4,029 | ) | $ | — | $ | — | $ | 36,756 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Futures | $ | 309,841 | $ | (38,443 | ) | $ | — | $ | — | $ | 348,284 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Futures | $ | 168,845 | $ | (8,215 | ) | $ | — | $ | — | $ | 177,060 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Futures | $ | 260,877 | $ | — | $ | — | $ | — | $ | 260,877 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation I Futures | $ | 6,353 | $ | 125 | $ | — | $ | — | $ | 6,228 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation I Futures | $ | 9,166 | $ | 4,682 | $ | — | $ | — | $ | 4,484 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation I Futures | $ | 3,893 | $ | 2,202 | $ | — | $ | — | $ | 1,691 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation I Futures | $ | 8,490 | $ | — | $ | — | $ | — | $ | 8,490 | ||||||||||
|
|
|
|
|
|
|
|
|
|
186
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/12 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | (507,756 | ) | $ | — | $ | (507,756 | ) | $ | — | $ | — | ||||||||
Futures | (117,542 | ) | (117,542 | ) | — | — | — | |||||||||||||
Purchased Options | 208,429 | — | 208,429 | — | — | |||||||||||||||
Swaps | (141,859 | ) | 131,134 | — | (272,993 | ) | — | |||||||||||||
Written Options | 46,270 | 93,937 | (47,667 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (512,458 | ) | $ | 107,529 | $ | (346,994 | ) | $ | (272,993 | ) | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 378,481 | $ | — | $ | 378,481 | $ | — | $ | — | ||||||||||
Futures | (223,887 | ) | (223,887 | ) | — | — | — | |||||||||||||
Purchased Options | (115,879 | ) | (115,879 | ) | — | — | — | |||||||||||||
Swaps | 958,967 | 778,749 | — | 180,218 | — | |||||||||||||||
Written Options | 175,041 | 175,041 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,172,723 | $ | 614,024 | $ | 378,481 | $ | 180,218 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Futures | $ | 177,230 | $ | 177,230 | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Forwards | $ | (425,972 | ) | $ | — | $ | (425,972 | ) | $ | — | $ | — | ||||||||
Futures | (55,229 | ) | (55,229 | ) | — | — | — | |||||||||||||
Purchased Options | (50,661 | ) | — | (50,661 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (531,862 | ) | $ | (55,229 | ) | $ | (476,633 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | (67,657 | ) | $ | — | $ | (67,657 | ) | $ | — | $ | — | ||||||||
Futures | 230,911 | — | — | — | 230,911 | |||||||||||||||
Purchased Options | 28,201 | — | — | — | 28,201 | |||||||||||||||
Written Options | (3,192 | ) | — | — | — | (3,192 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 188,263 | $ | — | $ | (67,657 | ) | $ | — | $ | 255,920 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index | ||||||||||||||||||||
Futures | $ | 233,425 | $ | — | $ | — | $ | — | $ | 233,425 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities | ||||||||||||||||||||
Futures | $ | 122,650 | $ | — | $ | — | $ | — | $ | 122,650 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity | ||||||||||||||||||||
Futures | $ | 199,167 | $ | — | $ | — | $ | — | $ | 199,167 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity | ||||||||||||||||||||
Futures | $ | 1,270,359 | $ | — | $ | — | $ | — | $ | 1,270,359 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | (57,180 | ) | $ | — | $ | (57,180 | ) | $ | — | $ | — | ||||||||
Futures | 1,126,456 | (128,773 | ) | — | — | 1,255,229 | ||||||||||||||
Purchased Options | (14,524 | ) | (14,524 | ) | — | — | — | |||||||||||||
Written Options | 15,305 | 15,305 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,070,057 | $ | (127,992 | ) | $ | (57,180 | ) | $ | — | $ | 1,255,229 | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 224,517 | $ | — | $ | 224,517 | $ | — | $ | — | ||||||||||
Futures | 4,951,152 | — | (179,954 | ) | — | 5,131,106 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 5,175,669 | $ | — | $ | 44,563 | $ | — | $ | 5,131,106 | ||||||||||
|
|
|
|
|
|
|
|
|
|
187
Table of Contents
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by fund during the six months ended June 30, 2012. The average balance of derivatives held is indicative of the trading volume of each Fund.
Asset Derivative Volume | ||||||||||||||||
Forward Foreign Currency Contracts (Average Cost) | Futures Contracts (Average Notional Value) | Purchased Option Contracts (Average Notional Cost) | Swap Contracts (Average Notional Amount) | |||||||||||||
MyDestination 2005 | $ | — | $ | 1,345,827 | $ | — | $ | — | ||||||||
MyDestination 2015 | — | 4,722,858 | — | — | ||||||||||||
MyDestination 2025 | — | 5,048,065 | — | — | ||||||||||||
MyDestination 2035 | — | 3,212,870 | — | — | ||||||||||||
MyDestination 2045 | — | 2,165,896 | — | — | ||||||||||||
Conservative Allocation | — | 4,296,227 | — | — | ||||||||||||
Balanced Allocation | — | 22,944,769 | — | — | ||||||||||||
Growth Allocation | — | 15,630,039 | — | — | ||||||||||||
Aggressive Allocation | — | 14,549,305 | — | — | ||||||||||||
Conservative Allocation I | — | 1,020,841 | — | — | ||||||||||||
Balanced Allocation I | — | 5,392,457 | — | — | ||||||||||||
Growth Allocation I | — | 3,670,122 | — | — | ||||||||||||
Aggressive Allocation I | — | 2,412,139 | — | — | ||||||||||||
Low-Duration Bond | 25,685,150 | 134,739,333 | 58,392 | 65,332,804 | ||||||||||||
Medium-Duration Bond | 41,332,965 | 72,607,165 | 88,765 | 134,057,183 | ||||||||||||
Inflation Protected Bond | — | 22,170,773 | — | — | ||||||||||||
Global Bond | 41,568,270 | 1,998,384 | 39,559 | — | ||||||||||||
Defensive Market Strategies | 602,288 | 8,978,803 | 55,753 | — | ||||||||||||
Equity Index | — | 26,580,565 | — | — | ||||||||||||
Real Estate Securities | — | 5,433,665 | — | — | ||||||||||||
Value Equity | — | 25,181,394 | — | — | ||||||||||||
Growth Equity | — | 53,020,485 | — | — | ||||||||||||
Small Cap Equity | 659,832 | 63,158,791 | 23,611 | — | ||||||||||||
International Equity | 194,824,597 | 155,113,587 | — | — | ||||||||||||
Liability Derivative Volume | ||||||||||||||||
Forward Foreign Currency Contracts (Average Cost) | Futures Contracts (Average Notional Value) | Written Option Contracts (Average Notional Cost) | Swap Contracts (Average Notional Amount) | |||||||||||||
Low-Duration Bond | $ | 80,448,439 | $ | 26,409,128 | $ | 273,453 | $ | — | ||||||||
Medium-Duration Bond | 82,025,276 | 75,754,382 | 367,266 | — | ||||||||||||
Inflation Protected Bond | — | 16,822,714 | — | — | ||||||||||||
Global Bond | 41,908,123 | 7,399,276 | — | — | ||||||||||||
Defensive Market Strategies | 4,570,419 | — | 22,472 | — | ||||||||||||
Small Cap Equity | 1,781,750 | 21,747,665 | 21,175 | — | ||||||||||||
International Equity | 209,016,366 | 38,276,458 | — | — |
k. Dividends and Distributions to Shareholders
Dividends from net investment income for the Money Market Fund are declared daily and paid monthly. Dividends from net investment income for the Bond Funds are declared and paid monthly. Dividends from net investment income, if any, for the Defensive Market Strategies Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund and Growth Equity Fund are declared and paid semi-annually. Dividends from net investment income, if any, for the Small Cap Equity Fund, International
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Equity Fund, the Asset Allocation Funds and the Date Target Funds are declared and paid annually. Net realized capital gains, if any, will be distributed at least annually by each of the Funds. Dividends and distributions to shareholders are recorded on the ex-dividend date.
l. Expenses
Expenses arising in connection with a Fund are charged directly to that Fund. Expenses common to all Funds are generally allocated to each Fund in proportion to their relative net assets. Each Class of shares bears its pro-rata portion of expenses attributable to its Class, except that each Class separately bears expenses related specifically to that Class, such as shareholder reporting, registration, transfer agent, shareholder servicing and distribution fees.
m. Security Transactions, Income and Realized Gains and Losses
Security transactions are accounted for on the date securities are purchased or sold (the trade date). Dividend income is recognized on the ex-dividend date, except certain dividends from foreign securities where the ex-date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Interest income is accrued daily, including the amortization of market premium and the accretion of market discount. Realized gains and losses from security transactions are on an identified cost basis.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
a. Investment Advisory Fees
Pursuant to a separate investment advisory agreement, GuideStone Capital Management (“GSCM” or “Adviser”) acts as the Adviser to the Funds. As Adviser, it supervises the investments of the Funds and for such services is paid a fee. GSCM and the Trust have entered into sub-advisory agreements with various sub-advisers to manage each Select Fund’s investments. Under the general supervision of GSCM, the sub-advisers make the day-to-day investment decisions for the Select Funds, and for such services, each sub-adviser receives a fee from the Funds.
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The advisory fees paid to GSCM and aggregate sub-advisory fees paid to the sub-advisers, listed at the end of this report, are computed daily based upon the net assets of each Fund. The actual advisory fees accrued and the sub-advisory fees accrued during the six months ended June 30, 2012, based upon average daily net assets, were as follows:
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2005 | 0.10% | 0.00% | ||
MyDestination 2015 | 0.10% | 0.00% | ||
MyDestination 2025 | 0.10% | 0.00% | ||
MyDestination 2035 | 0.10% | 0.00% | ||
MyDestination 2045 | 0.10% | 0.00% | ||
MyDestination 2055 | 0.10% | 0.00% | ||
Conservative Allocation | 0.10% | 0.00% | ||
Balanced Allocation | 0.10% | 0.00% | ||
Growth Allocation | 0.10% | 0.00% | ||
Aggressive Allocation | 0.10% | 0.00% | ||
Conservative Allocation I | 0.10% | 0.00% | ||
Balanced Allocation I | 0.10% | 0.00% | ||
Growth Allocation I | 0.10% | 0.00% | ||
Aggressive Allocation I | 0.10% | 0.00% | ||
Money Market | 0.09% | 0.07% | ||
Low-Duration Bond | 0.13% | 0.21% | ||
Medium-Duration Bond | 0.21% | 0.21% | ||
Extended-Duration Bond | 0.25% | 0.22% | ||
Inflation Protected Bond | 0.20% | 0.12% | ||
Global Bond | 0.21% | 0.26% | ||
Defensive Market Strategies | 0.37% | 0.50% | ||
Equity Index | 0.13% | 0.03% | ||
Real Estate Securities | 0.28% | 0.43% | ||
Value Equity | 0.40% | 0.24% | ||
Growth Equity | 0.45% | 0.40% | ||
Small Cap Equity | 0.27% | 0.65% | ||
International Equity | 0.47% | 0.47% |
For the six months ended June 30, 2012, advisory fees (excluding sub-advisory fees) and waivers for each Fund were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee (Reimbursement) | ||||||||||
MyDestination 2005 | $ | 34,329 | $ | (29,951 | ) | $ | 4,378 | |||||
MyDestination 2015 | 150,258 | — | 150,258 | |||||||||
MyDestination 2025 | 153,650 | — | 153,650 | |||||||||
MyDestination 2035 | 74,842 | 5,981 | 80,823 | |||||||||
MyDestination 2045 | 51,190 | (14,750 | ) | 36,440 | ||||||||
MyDestination 2055 | 1,883 | (54,706 | ) | (52,823 | ) | |||||||
Conservative Allocation | 149,595 | (68,145 | ) | 81,450 | ||||||||
Balanced Allocation | 570,622 | (73,051 | ) | 497,571 | ||||||||
Growth Allocation | 411,507 | (64,085 | ) | 347,422 | ||||||||
Aggressive Allocation | 355,597 | (59,387 | ) | 296,210 | ||||||||
Conservative Allocation I | 38,381 | (26,194 | ) | 12,187 | ||||||||
Balanced Allocation I | 162,338 | — | 162,338 | |||||||||
Growth Allocation I | 102,906 | (1,737 | ) | 101,169 | ||||||||
Aggressive Allocation I | 68,180 | (11,072 | ) | 57,108 | ||||||||
Money Market | 574,851 | — | 574,851 | |||||||||
Low-Duration Bond | 498,531 | (319,447 | ) | 179,084 | ||||||||
Medium-Duration Bond | 944,155 | (482,605 | ) | 461,550 | ||||||||
Extended-Duration Bond | 528,844 | (60,382 | ) | 468,462 | ||||||||
Inflation Protected Bond | 168,119 | (14,268 | ) | 153,851 |
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Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee (Reimbursement) | ||||||||||
Global Bond | $ | 190,934 | $ | (22,291 | ) | $ | 168,643 | |||||
Defensive Market Strategies | 627,584 | (94,053 | ) | 533,531 | ||||||||
Equity Index | 154,363 | (135,676 | ) | 18,687 | ||||||||
Real Estate Securities | 229,611 | (6,183 | ) | 223,428 | ||||||||
Value Equity | 2,233,279 | (27,510 | ) | 2,205,769 | ||||||||
Growth Equity | 2,716,082 | (399,402 | ) | 2,316,680 | ||||||||
Small Cap Equity | 594,117 | (126,431 | ) | 467,686 | ||||||||
International Equity | 2,921,617 | (1,061,708 | ) | 1,859,909 |
b. Distribution and Shareholder Servicing Fees
The Board of Trustees has adopted a Shareholder Service Plan for the GS4 Class of each Select Fund. Under this Plan, the GS4 Class of each Select Fund is authorized to pay fees to parties that provide services for and maintain shareholder accounts. The GS4 Class of each Select Fund was authorized to pay service fees of 0.24% of average daily net assets.
The Board of Trustees voluntarily agreed to waive shareholder servicing fees and/or reimburse expenses for the GS4 Class of the Money Market Fund to the extent necessary to maintain a minimum daily net yield of at least 0.01%. This voluntary shareholder servicing fee waiver and expense reimbursement may be changed or terminated by the Board of Trustees at any time.
c. Expense Limitation
GSCM has agreed, through April 30, 2013, to waive fees and reimburse expenses of the GS2 Class and GS4 Class of each Fund (excluding interest, taxes, brokerage commissions, dividend expense on securities sold short and extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of each Class’s average daily net assets as follows:
For the Period January 1, 2012 to June 30, 2012 | ||||
Fund | GS2 Class | GS4 Class | ||
MyDestination 2005 | NA | 0.20% | ||
MyDestination 2015 | NA | 0.20% | ||
MyDestination 2025 | NA | 0.20% | ||
MyDestination 2035 | NA | 0.20% | ||
MyDestination 2045 | NA | 0.20% | ||
MyDestination 2055 | NA | 0.20% | ||
Conservative Allocation | NA | 0.12% | ||
Balanced Allocation | NA | 0.12% | ||
Growth Allocation | NA | 0.12% | ||
Aggressive Allocation | NA | 0.12% | ||
Conservative Allocation I | 0.15% | NA | ||
Balanced Allocation I | 0.15% | NA | ||
Growth Allocation I | 0.15% | NA | ||
Aggressive Allocation I | 0.15% | NA | ||
Money Market | 0.20% | 0.39% | ||
Low-Duration Bond | 0.36% | 0.57% | ||
Medium-Duration Bond | 0.48% | 0.63% | ||
Extended-Duration Bond | 0.63% | 0.75% | ||
Inflation Protected Bond | NA | 0.67% | ||
Global Bond | NA | 1.02% | ||
Defensive Market Strategies | 0.99% | 1.25% | ||
Equity Index | 0.23% | 0.38% | ||
Real Estate Securities | NA | 1.29% |
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For the Period January 1, 2012 to June 30, 2012 | ||||
Fund | GS2 Class | GS4 Class | ||
Value Equity | 0.74% | 0.94% | ||
Growth Equity | 0.88% | 1.06% | ||
Small Cap Equity | 1.12% | 1.21% | ||
International Equity(1) | 0.96% | 1.20% |
(1) | Expense limitation for the period May 1, 2012 to June 30, 2012. For the period January 1, 2012 to April 30, 2012, the expense limitation was 0.94% for GS2 Class and 1.18% for GS4 Class. |
Each Fund in turn agrees to reimburse GSCM for any operating expenses in excess of the expense limitation paid, waived or assumed by GSCM for that Fund during the limitation period, provided GSCM would not be entitled to reimbursement for any amount that would cause operating expenses to exceed the expense limitation during the year in which the reimbursement would be made, and provided further that no amount will be reimbursed by the Fund more than three years after the year in which it was incurred or waived by GSCM.
At June 30, 2012, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
GS2 Class | GS4 Class | |||||||||||||||||||||||||||||||
2009 | 2010 | 2011 | 2012 | 2009 | 2010 | 2011 | 2012 | |||||||||||||||||||||||||
MyDestination 2005 | NA | NA | NA | NA | $ | 34,663 | $ | 37,982 | $ | 91,223 | $ | 29,951 | ||||||||||||||||||||
MyDestination 2015 | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||
MyDestination 2025 | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||
MyDestination 2035 | NA | NA | NA | NA | 36,941 | 29,344 | 40,727 | NA | ||||||||||||||||||||||||
MyDestination 2045 | NA | NA | NA | NA | 60,981 | 53,661 | 74,220 | 14,750 | ||||||||||||||||||||||||
MyDestination 2055 | NA | NA | NA | NA | NA | NA | NA | 54,706 | ||||||||||||||||||||||||
Conservative Allocation | NA | NA | NA | NA | 94,137 | 85,986 | 148,927 | 68,145 | ||||||||||||||||||||||||
Balanced Allocation | NA | NA | NA | NA | 97,716 | 44,858 | 157,363 | 73,051 | ||||||||||||||||||||||||
Growth Allocation | NA | NA | NA | NA | 102,990 | 65,662 | 133,967 | 64,085 | ||||||||||||||||||||||||
Aggressive Allocation | NA | NA | NA | NA | 116,674 | 59,666 | 129,580 | 59,387 | ||||||||||||||||||||||||
Conservative Allocation I | $ | 41,261 | $ | 33,009 | $ | 66,248 | $ | 26,194 | NA | NA | NA | NA | ||||||||||||||||||||
Balanced Allocation I | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||
Growth Allocation I | NA | NA | 2,458 | 1,737 | NA | NA | NA | NA | ||||||||||||||||||||||||
Aggressive Allocation I | 14,709 | 7,100 | 38,072 | 11,072 | NA | NA | NA | NA | ||||||||||||||||||||||||
Money Market | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||
Low-Duration Bond | 62,697 | 55,742 | 59,610 | 27,560 | 480,368 | 468,377 | 501,417 | 256,462 | ||||||||||||||||||||||||
Medium-Duration Bond | 21,118 | 962 | 34,814 | 16,052 | 829,796 | 799,436 | 701,423 | 372,292 | ||||||||||||||||||||||||
Extended-Duration Bond | NA | NA | NA | NA | 112,701 | 108,124 | 141,631 | 50,542 | ||||||||||||||||||||||||
Inflation Protected Bond | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||
Global Bond | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||
Defensive Market Strategies | NA | NA | 8,654 | 18,863 | NA | NA | 20,289 | 48,675 | ||||||||||||||||||||||||
Equity Index | NA | NA | 963 | 2,911 | 152,180 | 128,840 | 240,739 | 119,836 | ||||||||||||||||||||||||
Real Estate Securities | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||
Value Equity | NA | NA | NA | NA | 233,562 | 159,664 | NA | NA | ||||||||||||||||||||||||
Growth Equity | 4,179 | NA | NA | 2,253 | 990,164 | 1,049,330 | 775,619 | 335,761 | ||||||||||||||||||||||||
Small Cap Equity | NA | NA | NA | NA | 244,965 | 188,066 | 232,755 | 103,957 | ||||||||||||||||||||||||
International Equity | 451,372 | 483,790 | 494,427 | 178,445 | 2,302,219 | 2,260,849 | 2,083,992 | 787,243 |
During | the six months ended June 30, 2012, GSCM recaptured the following amounts: |
GS2 Class | GS4 Class | |||||
MyDestination 2035 | NA | $ | 5,982 |
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d. Brokerage Service Arrangements
The Adviser directs the sub-advisers to place a certain percentage of security trades (if feasible) with designated brokers who have agreed to pay certain custody, transfer agency or other operating expenses through the use of Brokerage Service Arrangements on behalf of the Funds shown below.
Fund | Expenses Paid Through Brokerage Service Arrangements | |||
Value Equity | $ | 37,272 | ||
Growth Equity | 20,934 | |||
Small Cap Equity | 57,912 |
e. Administrator, Transfer Agent and Distributor
For its services as Administrator, BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) is entitled to receive fees, computed daily and paid monthly, based upon the average daily net assets of each Fund. The fees, excluding out of pocket expenses, currently range between 0.004% and 0.02% of average daily net assets. For its services as Transfer Agent, BNY Mellon receives a fee based mainly upon the number of accounts serviced. Certain minimum fees and transaction charges may apply. For the six months ended June 30, 2012, BNY Mellon received $1,831,424 in aggregate fees and expenses for services rendered under the various agreements described above.
Certain employees of BNY Mellon are officers of the Funds. BNY Mellon serves as Administrator and Transfer Agent of the Funds.
Effective March 31, 2012, the Bank of New York Mellon Corporation sold BNY Mellon Distributors LLC and its four subsidiaries to Foreside Distributors, a subsidiary of Foreside Financial Group (the “Transaction”). Upon the closing of the Transaction, the Distributor became an indirect, wholly owned subsidiary of Foreside Financial Group, and the Distributor was named Foreside Funds Distributors LLC.
Foreside Funds Distributors LLC serves as the Underwriter and does not receive any fees in its capacity as Underwriter from GuideStone Funds. The fees are paid by GSCM.
f. Investments in Affiliates
A summary of the Fund of Fund’s total long-term and short-term purchases and sales of the shares of the underlying Select Funds during the six months ended June 30, 2012 is as follows:
Total Value at 12/31/11 | Total Value at 06/30/12 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2005 | ||||||||||||||||||||||||
Money Market | $ | 1,386,612 | $ | 1,427,361 | $ | 10,768,014 | $ | 10,727,265 | $ | 62 | $ | — | ||||||||||||
Low-Duration Bond | 16,235,367 | 19,887,205 | 3,693,442 | 250,000 | 169,419 | 17,104 | ||||||||||||||||||
Medium-Duration Bond | 11,308,110 | 12,252,756 | 1,204,311 | 620,000 | 114,760 | 24,291 | ||||||||||||||||||
Inflation Protected Bond | 9,377,236 | 10,585,429 | 1,719,031 | 625,000 | 122,528 | 110,128 | ||||||||||||||||||
Global Bond | 52,899 | — | 233 | 55,583 | 233 | — | ||||||||||||||||||
Defensive Market Strategies | 9,038,741 | 9,756,033 | 550,993 | 198,840 | 60,446 | 27,557 | ||||||||||||||||||
Real Estate Securities | 1,702,039 | 1,673,899 | 123,487 | 369,000 | 8,607 | — | ||||||||||||||||||
Value Equity | 4,541,842 | 4,986,919 | 462,002 | 340,000 | 60,002 | — | ||||||||||||||||||
Growth Equity | 4,431,783 | 4,954,946 | 360,000 | 347,500 | — | — | ||||||||||||||||||
Small Cap Equity | 1,126,770 | 1,233,501 | 134,000 | 109,000 | — | — | ||||||||||||||||||
International Equity | 5,341,531 | 6,103,776 | 994,700 | 390,000 | — | — | ||||||||||||||||||
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$ | 64,542,930 | $ | 72,861,825 | $ | 20,010,213 | $ | 14,032,188 | $ | 536,057 | $ | 179,080 | |||||||||||||
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Total Value at 12/31/11 | Total Value at 06/30/12 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2015 | ||||||||||||||||||||||||
Money Market | $ | 4,844,410 | $ | 4,679,270 | $ | 29,149,507 | $ | 29,314,647 | $ | 238 | $ | — | ||||||||||||
Low-Duration Bond | 21,071,512 | 26,597,050 | 5,485,605 | 240,000 | 227,661 | 22,943 | ||||||||||||||||||
Medium-Duration Bond | 32,459,757 | 38,627,410 | 5,249,971 | 175,000 | 354,689 | 73,802 | ||||||||||||||||||
Extended-Duration Bond | 11,127,277 | 12,037,354 | 545,112 | 275,000 | 188,897 | 27,715 | ||||||||||||||||||
Inflation Protected Bond | 31,725,979 | 38,358,536 | 8,036,369 | 1,787,000 | 438,699 | 392,030 | ||||||||||||||||||
Global Bond | 11,504,217 | 12,936,511 | 1,342,603 | 165,000 | 370,603 | — | ||||||||||||||||||
Defensive Market Strategies | 52,836,889 | 62,618,098 | 7,663,474 | — | 387,212 | 176,532 | ||||||||||||||||||
Real Estate Securities | 15,453,303 | 17,452,374 | 1,092,385 | 1,153,000 | 88,385 | — | ||||||||||||||||||
Value Equity | 27,702,598 | 30,700,540 | 1,523,445 | 500,000 | 363,445 | — | ||||||||||||||||||
Growth Equity | 26,610,921 | 29,964,559 | 810,000 | 500,000 | — | — | ||||||||||||||||||
Small Cap Equity | 7,117,321 | 7,934,986 | 317,500 | — | — | — | ||||||||||||||||||
International Equity | 31,421,274 | 37,696,747 | 5,738,650 | 177,000 | — | — | ||||||||||||||||||
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$ | 273,875,458 | $ | 319,603,435 | $ | 66,954,621 | $ | 34,286,647 | $ | 2,419,829 | $ | 693,022 | |||||||||||||
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MyDestination 2025 | ||||||||||||||||||||||||
Money Market | $ | 4,563,617 | $ | 5,237,362 | $ | 31,001,439 | $ | 30,327,694 | $ | 251 | $ | — | ||||||||||||
Low-Duration Bond | 3,907,553 | 6,088,051 | 2,122,743 | — | 48,474 | 4,738 | ||||||||||||||||||
Medium-Duration Bond | 22,775,602 | 27,209,485 | 4,145,819 | 500,000 | 253,495 | 52,824 | ||||||||||||||||||
Extended-Duration Bond | 18,932,605 | 21,063,723 | 1,863,269 | 855,000 | 332,700 | 49,569 | ||||||||||||||||||
Inflation Protected Bond | 5,127,095 | 7,589,122 | 2,545,033 | 153,935 | 84,850 | 71,683 | ||||||||||||||||||
Global Bond | 18,375,272 | 21,063,085 | 2,449,662 | 175,000 | 606,312 | — | ||||||||||||||||||
Defensive Market Strategies | 42,253,683 | 52,912,587 | 8,960,436 | — | 326,811 | 148,995 | ||||||||||||||||||
Real Estate Securities | 18,463,641 | 21,101,634 | 1,274,769 | 1,130,000 | 106,769 | — | ||||||||||||||||||
Value Equity | 41,020,132 | 45,994,866 | 2,094,505 | — | 544,505 | — | ||||||||||||||||||
Growth Equity | 39,763,711 | 45,008,305 | 735,000 | — | — | — | ||||||||||||||||||
Small Cap Equity | 12,987,798 | 14,180,511 | 296,000 | — | — | — | ||||||||||||||||||
International Equity | 49,595,383 | 56,636,740 | 6,483,100 | 475,000 | — | — | ||||||||||||||||||
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$ | 277,766,092 | $ | 324,085,471 | $ | 63,971,775 | $ | 33,616,629 | $ | 2,304,167 | $ | 327,809 | |||||||||||||
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MyDestination 2035 | ||||||||||||||||||||||||
Money Market | $ | 3,087,962 | $ | 3,517,075 | $ | 15,244,755 | $ | 14,815,642 | $ | 161 | $ | — | ||||||||||||
Medium-Duration Bond | 2,765,813 | 3,877,272 | 1,005,178 | — | 34,630 | 7,048 | ||||||||||||||||||
Extended-Duration Bond | 2,903,731 | 3,825,851 | 857,894 | 130,000 | 57,405 | 8,489 | ||||||||||||||||||
Global Bond | 8,136,904 | 10,373,509 | 2,316,079 | 260,000 | 293,399 | — | ||||||||||||||||||
Real Estate Securities | 9,369,933 | 11,118,425 | 1,192,896 | 765,000 | 55,396 | — | ||||||||||||||||||
Value Equity | 29,263,689 | 35,084,079 | 3,817,833 | — | 412,308 | — | ||||||||||||||||||
Growth Equity | 28,653,926 | 34,617,500 | 2,696,480 | — | — | — | ||||||||||||||||||
Small Cap Equity | 10,461,907 | 12,520,691 | 1,351,500 | — | — | — | ||||||||||||||||||
International Equity | 36,407,178 | 44,645,928 | 7,622,508 | — | — | — | ||||||||||||||||||
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$ | 131,051,043 | $ | 159,580,330 | $ | 36,105,123 | $ | 15,970,642 | $ | 853,299 | $ | 15,537 | |||||||||||||
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Total Value at 12/31/11 | Total Value at 06/30/12 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2045 | ||||||||||||||||||||||||
Money Market | $ | 2,134,540 | $ | 2,104,251 | $ | 10,685,729 | $ | 10,716,018 | $ | 110 | $ | — | ||||||||||||
Extended-Duration Bond Fund | 823,344 | 1,076,860 | 240,279 | 43,500 | 16,686 | 2,492 | ||||||||||||||||||
Global Bond Fund | 4,414,133 | 5,258,938 | 872,978 | 125,000 | 152,478 | — | ||||||||||||||||||
Real Estate Securities | 7,964,747 | 9,755,257 | 1,095,060 | 448,000 | 48,560 | — | ||||||||||||||||||
Value Equity | 20,375,280 | 24,720,686 | 2,925,848 | — | 290,848 | — | ||||||||||||||||||
Growth Equity | 20,022,846 | 24,408,133 | 2,099,930 | 35,500 | — | — | ||||||||||||||||||
Small Cap Equity | 7,707,387 | 9,395,437 | 1,192,500 | 19,500 | — | — | ||||||||||||||||||
International Equity | 26,136,474 | 31,865,231 | 5,502,311 | 270,000 | — | — | ||||||||||||||||||
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$ | 89,578,751 | $ | 108,584,793 | $ | 24,614,635 | $ | 11,657,518 | $ | 508,682 | $ | 2,492 | |||||||||||||
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MyDestination 2055 Fund | ||||||||||||||||||||||||
Money Market | $ | — | $ | 118,951 | $ | 4,256,705 | $ | 4,137,755 | $ | 2 | $ | — | ||||||||||||
Global Bond Fund | — | 221,690 | 219,345 | — | 5,549 | — | ||||||||||||||||||
Real Estate Securities Fund | — | 452,149 | 408,948 | 1,500 | 2,191 | — | ||||||||||||||||||
Value Equity | — | 1,034,006 | 1,002,091 | — | 11,778 | — | ||||||||||||||||||
Growth Equity | — | 1,016,824 | 953,900 | — | — | — | ||||||||||||||||||
Small Cap Equity | — | 394,059 | 380,700 | — | — | — | ||||||||||||||||||
International Equity | — | 1,329,704 | 1,349,900 | — | — | — | ||||||||||||||||||
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$ | — | $ | 4,567,383 | $ | 8,571,589 | $ | 4,139,255 | $ | 19,520 | $ | — | |||||||||||||
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Conservative Allocation | ||||||||||||||||||||||||
Money Market | $ | 6,146,479 | $ | 4,451,845 | $ | 14,529,673 | $ | 16,224,307 | $ | 186 | $ | — | ||||||||||||
Low-Duration Bond | 171,140,785 | 179,250,469 | 7,065,761 | 1,050,000 | 1,611,472 | 165,709 | ||||||||||||||||||
Inflation Protected Bond | 42,477,796 | 44,092,767 | 1,700,328 | 590,000 | 512,220 | 469,108 | ||||||||||||||||||
Defensive Market Strategies | 21,686,756 | 22,746,944 | 606,898 | 425,000 | 142,110 | 64,788 | ||||||||||||||||||
Value Equity | 15,809,176 | 16,149,884 | 441,188 | 1,250,000 | 191,188 | — | ||||||||||||||||||
Growth Equity | 15,024,688 | 15,779,311 | 250,000 | 1,250,000 | — | — | ||||||||||||||||||
Small Cap Equity | 3,594,583 | 3,587,235 | 340,000 | 650,000 | — | — | ||||||||||||||||||
International Equity | 17,324,412 | 19,518,527 | 1,650,000 | — | — | — | ||||||||||||||||||
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$ | 293,204,675 | $ | 305,576,982 | $ | 26,583,848 | $ | 21,439,307 | $ | 2,457,176 | $ | 699,605 | |||||||||||||
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Balanced Allocation | ||||||||||||||||||||||||
Money Market | $ | 27,644,304 | $ | 23,489,350 | $ | 24,517,460 | $ | 28,672,414 | $ | 1,349 | $ | — | ||||||||||||
Low-Duration Bond | 158,119,436 | 164,186,593 | 4,132,360 | — | 1,480,280 | 152,080 | ||||||||||||||||||
Medium-Duration Bond | 224,775,387 | 240,819,294 | 9,718,194 | 700,000 | 2,243,810 | 474,385 | ||||||||||||||||||
Extended-Duration Bond | 91,687,129 | 97,199,361 | 4,377,787 | 4,120,000 | 1,549,824 | 225,963 | ||||||||||||||||||
Global Bond | 52,881,287 | 56,407,210 | 2,339,664 | — | 1,639,664 | — | ||||||||||||||||||
Defensive Market Strategies | 108,238,087 | 112,597,599 | 1,024,148 | 1,000,000 | 703,445 | 320,704 | ||||||||||||||||||
Value Equity | 130,871,501 | 137,794,629 | 1,631,265 | 3,800,000 | 1,631,265 | — | ||||||||||||||||||
Growth Equity | 126,729,193 | 133,373,260 | — | 7,850,000 | — | — | ||||||||||||||||||
Small Cap Equity | 29,331,011 | 30,370,053 | — | 1,000,000 | — | — | ||||||||||||||||||
International Equity | 146,063,033 | 151,832,044 | 4,050,000 | 2,000,000 | — | — | ||||||||||||||||||
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$ | 1,096,340,368 | $ | 1,148,069,393 | $ | 51,790,878 | $ | 49,142,414 | $ | 9,249,637 | $ | 1,173,132 | |||||||||||||
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Total Value at 12/31/11 | Total Value at 06/30/12 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Growth Allocation | ||||||||||||||||||||||||
Money Market | $ | 19,900,650 | $ | 13,832,923 | $ | 20,756,461 | $ | 26,824,189 | $ | 862 | $ | — | ||||||||||||
Low-Duration Bond | 56,051,733 | 57,421,618 | 2,082,887 | 1,400,000 | 528,401 | 54,487 | ||||||||||||||||||
Medium-Duration Bond | 79,774,068 | 86,922,993 | 4,981,201 | 350,000 | 809,780 | 171,421 | ||||||||||||||||||
Extended-Duration Bond | 31,171,733 | 32,393,317 | 2,606,271 | 3,200,000 | 529,449 | 76,823 | ||||||||||||||||||
Global Bond | 18,983,314 | 19,743,396 | 582,264 | 250,000 | 582,264 | — | ||||||||||||||||||
Value Equity | 173,231,995 | 180,732,428 | 2,139,579 | 6,600,000 | 2,139,579 | — | ||||||||||||||||||
Growth Equity | 167,612,841 | 175,408,649 | — | 11,350,000 | — | — | ||||||||||||||||||
Small Cap Equity | 39,738,385 | 41,489,286 | — | 1,000,000 | — | — �� | ||||||||||||||||||
International Equity | 195,689,851 | 205,956,095 | 5,450,000 | — | — | — | ||||||||||||||||||
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$ | 782,154,570 | $ | 813,900,705 | $ | 38,598,663 | $ | 50,974,189 | $ | 4,590,335 | $ | 302,731 | |||||||||||||
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Aggressive Allocation | ||||||||||||||||||||||||
Money Market | $ | 16,535,540 | $ | 15,194,581 | $ | 26,094,589 | $ | 27,435,547 | $ | 694 | $ | — | ||||||||||||
Value Equity | 197,124,381 | 205,244,868 | 2,429,767 | 7,900,000 | 2,429,767 | — | ||||||||||||||||||
Growth Equity | 192,888,334 | 199,284,990 | — | 15,750,000 | — | — | ||||||||||||||||||
Small Cap Equity | 44,228,930 | 45,169,661 | — | 2,078,000 | — | — | ||||||||||||||||||
International Equity | 225,653,215 | 234,254,827 | 3,250,000 | — | — | — | ||||||||||||||||||
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$ | 676,430,400 | $ | 699,148,927 | $ | 31,774,356 | $ | 53,163,547 | $ | 2,430,461 | $ | — | |||||||||||||
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Conservative Allocation I | ||||||||||||||||||||||||
Money Market | $ | 859,133 | $ | 1,097,170 | $ | 5,753,166 | $ | 5,515,129 | $ | 139 | $ | — | ||||||||||||
Low-Duration Bond | 43,559,455 | 45,645,750 | 2,952,350 | 1,121,000 | 702,944 | 65,406 | ||||||||||||||||||
Inflation Protected Bond | 10,807,705 | 11,221,879 | 734,851 | 450,000 | 131,262 | 120,589 | ||||||||||||||||||
Defensive Market Strategies | 5,515,960 | 5,796,932 | 282,891 | 232,000 | 42,367 | 16,524 | ||||||||||||||||||
Value Equity | 4,017,696 | 4,109,272 | 270,238 | 417,000 | 106,238 | — | ||||||||||||||||||
Growth Equity | 3,819,314 | 4,017,510 | 164,000 | 417,000 | — | — | ||||||||||||||||||
Small Cap Equity | 911,766 | 913,473 | 107,000 | 182,500 | — | — | ||||||||||||||||||
International Equity | 4,406,763 | 4,964,634 | 520,000 | 102,000 | — | — | ||||||||||||||||||
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$ | 73,897,792 | $ | 77,766,620 | $ | 10,784,496 | $ | 8,436,629 | $ | 982,950 | $ | 202,519 | |||||||||||||
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Balanced Allocation I | ||||||||||||||||||||||||
Money Market | $ | 7,010,111 | $ | 5,920,629 | $ | 11,001,412 | $ | 12,090,894 | $ | 3,172 | $ | — | ||||||||||||
Low-Duration Bond | 44,791,872 | 46,965,830 | 2,140,971 | 228,000 | 720,148 | 66,823 | ||||||||||||||||||
Medium-Duration Bond | 63,623,363 | 68,907,373 | 4,472,549 | 456,000 | 1,344,838 | 263,711 | ||||||||||||||||||
Extended-Duration Bond | 25,954,308 | 27,784,965 | 2,535,604 | 1,300,000 | 1,259,835 | 171,769 | ||||||||||||||||||
Global Bond | 14,982,036 | 16,131,140 | 929,178 | 116,000 | 469,178 | — | ||||||||||||||||||
Defensive Market Strategies | 30,655,348 | 32,227,670 | 803,555 | 493,000 | 235,647 | 91,908 | ||||||||||||||||||
Value Equity | 37,077,070 | 39,391,098 | 1,602,843 | 1,346,000 | 1,018,843 | — | ||||||||||||||||||
Growth Equity | 35,923,504 | 38,137,108 | 540,000 | 2,471,000 | — | — | ||||||||||||||||||
Small Cap Equity | 8,320,866 | 8,682,628 | 148,000 | 369,000 | — | — | ||||||||||||||||||
International Equity | 41,343,318 | 43,370,420 | 1,940,000 | 996,000 | — | — | ||||||||||||||||||
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$ | 309,681,796 | $ | 327,518,861 | $ | 26,114,112 | $ | 19,865,894 | $ | 5,051,661 | $ | 594,211 | |||||||||||||
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Total Value at 12/31/11 | Total Value at 06/30/12 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Growth Allocation I | ||||||||||||||||||||||||
Money Market | $ | 3,847,733 | $ | 3,205,733 | $ | 8,774,538 | $ | 9,416,538 | $ | 1,917 | $ | — | ||||||||||||
Low-Duration Bond | 14,239,026 | 14,455,680 | 800,798 | 668,000 | 223,991 | 20,807 | ||||||||||||||||||
Medium-Duration Bond | 20,245,166 | 21,893,212 | 1,767,036 | 520,000 | 423,286 | 82,750 | ||||||||||||||||||
Extended-Duration Bond | 7,916,608 | 8,150,766 | 978,996 | 932,000 | 377,254 | 50,742 | ||||||||||||||||||
Global Bond | 4,821,627 | 4,969,420 | 205,611 | 168,000 | 145,611 | — | ||||||||||||||||||
Value Equity | 44,000,680 | 45,473,566 | 1,663,573 | 2,647,000 | 1,171,558 | — | ||||||||||||||||||
Growth Equity | 42,565,649 | 44,148,841 | 228,000 | 3,526,000 | — | — | ||||||||||||||||||
Small Cap Equity | 10,088,993 | 10,438,801 | 138,000 | 500,000 | — | — | ||||||||||||||||||
International Equity | 49,669,938 | 51,785,957 | 2,008,000 | 1,256,000 | — | — | ||||||||||||||||||
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$ | 197,395,420 | $ | 204,521,976 | $ | 16,564,552 | $ | 19,633,538 | $ | 2,343,617 | $ | 154,299 | |||||||||||||
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Aggressive Allocation I | ||||||||||||||||||||||||
Money Market | $ | 2,463,786 | $ | 2,093,313 | $ | 6,246,491 | $ | 6,616,964 | $ | 1,180 | $ | — | ||||||||||||
Value Equity | 37,889,295 | 39,464,957 | 1,307,042 | 1,840,000 | 1,018,932 | — �� | ||||||||||||||||||
Growth Equity | 37,068,247 | 38,333,969 | 96,000 | 3,124,000 | — | — | ||||||||||||||||||
Small Cap Equity | 8,495,806 | 8,686,684 | 150,000 | 548,000 | — | — | ||||||||||||||||||
International Equity | 43,344,744 | 45,011,350 | 1,442,000 | 872,000 | — | — | ||||||||||||||||||
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$ | 129,261,878 | $ | 133,590,273 | $ | 9,241,533 | $ | 13,000,964 | $ | 1,020,112 | $ | — | |||||||||||||
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4. SECURITIES LENDING
Through an agreement with The Northern Trust Company (“Northern Trust”) (the Funds’ custodian) the Select Funds may lend portfolio securities to certain brokers, dealers and other financial institutions that pay the Select Funds a negotiated fee. The Select Funds receive cash or U.S. government securities as collateral against the loaned securities in an amount at least equal to the market value of the loaned securities. The Funds continue to own the loaned securities and the securities remain in the investment portfolio. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. Cash collateral has been invested in a short-term money market fund of Northern Trust, an affiliate of the Funds, that invests in securities that satisfy the quality requirements of Rule 2a-7 and have short maturities. At June 30, 2012, the market values of loaned securities and collateral received were as follows:
Fund | Value of Securities Loaned | Value of Cash Collateral | Value of Non-cash Collateral | Total Value of Collateral | ||||||||||||
Low-Duration Bond | $ | 56,638,978 | $ | (63,148,921 | ) | $ | — | $ | (63,148,921 | ) | ||||||
Medium-Duration Bond | 58,243,587 | (60,749,614 | ) | 104,680 | (60,644,934 | ) | ||||||||||
Extended-Duration Bond | 38,776,939 | (29,153,001 | ) | — | (29,153,001 | ) | ||||||||||
Global Bond | 28,934,451 | (34,312,294 | ) | 23,538 | (34,288,756 | ) | ||||||||||
Defensive Market Strategies | 57,465,697 | (57,575,888 | ) | 53,027 | (57,522,861 | ) | ||||||||||
Equity Index | 18,278,281 | (21,429,028 | ) | 122,507 | (21,306,521 | ) | ||||||||||
Real Estate Securities | 21,685,047 | (27,574,565 | ) | — | (27,574,565 | ) | ||||||||||
Value Equity | 83,861,352 | (83,958,936 | ) | — | (83,958,936 | ) | ||||||||||
Growth Equity | 136,274,158 | (108,131,663 | ) | 2,184,182 | (105,947,481 | ) | ||||||||||
Small Cap Equity | 131,106,756 | (140,541,498 | ) | 1,247,442 | (139,294,056 | ) | ||||||||||
International Equity | 134,841,485 | (96,481,005 | ) | 7,653,563 | (88,827,442 | ) |
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5. 10% SHAREHOLDERS
The Date Target and Asset Allocation Funds do not invest in the underlying Select Funds for the purpose of exercising management or control; however, investments made by each Date Target and Asset Allocation Fund within each of its principal investment strategies may represent a significant portion of an underlying Select Fund’s net assets. At June 30, 2012, the Date Target and Asset Allocation Funds were the owner of record of the following approximate percentages of the total outstanding shares of the underlying Select Funds as detailed below:
Fund | Low- Duration Bond | Medium- Duration Bond | Extended- Duration Bond | Inflation Protected Bond | Global Bond | Defensive Market Strategies | Real Estate Securities | Value Equity | Growth Equity | Small Cap Equity | International Equity | |||||||||||||||||||||||||||||||||
MyDestination 2005 | 2.32 | % | 1.05 | % | — | 6.00 | % | — | 2.72 | % | 0.93 | % | 0.37 | % | 0.38 | % | 0.26 | % | 0.46 | % | ||||||||||||||||||||||||
MyDestination 2015 | 3.10 | 3.33 | 2.08 | % | 21.73 | 6.92 | 17.45 | 9.74 | 2.30 | 2.29 | 1.69 | 2.87 | ||||||||||||||||||||||||||||||||
MyDestination 2025 | 0.71 | 2.34 | 3.63 | 4.30 | 11.26 | 14.75 | 11.78 | 3.44 | 3.44 | 3.03 | 4.31 | |||||||||||||||||||||||||||||||||
MyDestination 2035 | — | 0.33 | 0.66 | — | 5.55 | — | 6.21 | 2.63 | 2.65 | 2.67 | 3.40 | |||||||||||||||||||||||||||||||||
MyDestination 2045 | — | — | 0.19 | — | 2.81 | — | 5.45 | 1.85 | 1.87 | 2.01 | 2.42 | |||||||||||||||||||||||||||||||||
MyDestination 2055 | — | — | — | — | 0.12 | — | 0.25 | 0.08 | 0.08 | 0.08 | 0.10 | |||||||||||||||||||||||||||||||||
Conservative Allocation | 20.88 | — | — | 24.97 | — | 6.34 | — | 1.21 | 1.21 | 0.77 | 1.49 | |||||||||||||||||||||||||||||||||
Balanced Allocation | 19.13 | 20.73 | 16.76 | — | 30.16 | 31.38 | — | 10.31 | 10.20 | 6.49 | 11.55 | |||||||||||||||||||||||||||||||||
Growth Allocation | 6.69 | 7.48 | 5.59 | — | 10.56 | — | — | 13.53 | 13.42 | 8.86 | 15.67 | |||||||||||||||||||||||||||||||||
Aggressive Allocation | — | — | — | — | — | — | — | 15.36 | 15.25 | 9.65 | 17.82 | |||||||||||||||||||||||||||||||||
Conservative Allocation I | 8.22 | — | — | 6.36 | — | 1.61 | — | 0.62 | 0.49 | 0.29 | 0.49 | |||||||||||||||||||||||||||||||||
Balanced Allocation I | 8.46 | 11.66 | 13.06 | — | 8.62 | 8.97 | — | 5.95 | 4.62 | 2.79 | 4.31 | |||||||||||||||||||||||||||||||||
Growth Allocation I | 2.60 | 3.70 | 3.83 | — | 2.66 | — | — | 6.87 | 5.35 | 3.36 | 5.14 | |||||||||||||||||||||||||||||||||
Aggressive Allocation I | — | — | — | — | — | — | — | 5.96 | 4.64 | 2.79 | 4.47 |
6. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2012, the cost of purchases and proceeds from sales and maturities for each Fund were as follows:
Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) | Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S. Government Obligations | |||||||||||||||
Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | |||||||||||||
MyDestination 2005 | $ | 8,527,124 | $ | 3,304,923 | $ | — | $ | — | ||||||||
MyDestination 2015 | 34,692,500 | 4,972,000 | — | — | ||||||||||||
MyDestination 2025 | 30,338,612 | 3,288,935 | — | — | ||||||||||||
MyDestination 2035 | 19,991,693 | 1,155,000 | — | — | ||||||||||||
MyDestination 2045 | 13,417,841 | 941,500 | — | — | ||||||||||||
Conservative Allocation | 8,897,580 | 5,215,000 | — | — | ||||||||||||
Balanced Allocation | 16,852,000 | 20,470,000 | — | — | ||||||||||||
Growth Allocation | 12,950,000 | 24,150,000 | — | — | ||||||||||||
Aggressive Allocation | 3,250,000 | 25,728,000 | — | — | ||||||||||||
Conservative Allocation I | 3,486,000 | 2,921,500 | — | — | ||||||||||||
Balanced Allocation I | 9,470,000 | 7,775,000 | — | — | ||||||||||||
Growth Allocation I | 5,294,000 | 10,217,000 | — | — | ||||||||||||
Aggressive Allocation I | 1,976,000 | 6,384,000 | — | — | ||||||||||||
Low-Duration Bond | 607,916,244 | 606,218,841 | 242,979,565 | 230,966,780 | ||||||||||||
Medium-Duration Bond | 2,478,560,045 | 2,578,707,918 | 255,109,447 | 245,991,796 | ||||||||||||
Extended-Duration Bond | 44,903,293 | 37,859,611 | 9,341,656 | 4,944,107 | ||||||||||||
Inflation Protected Bond | — | — | 111,608,548 | 99,265,437 | ||||||||||||
Defensive Market Strategies | 585,464,357 | 567,641,825 | — | — | ||||||||||||
Equity Index | 4,085,031 | 3,213,546 | — | — | ||||||||||||
Real Estate Securities | 89,428,694 | 82,282,876 | — | — |
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Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) | Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S. Government Obligations | |||||||||||||||
Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | |||||||||||||
Value Equity | $ | 169,375,137 | ) | $ | 180,735,203 | ) | $ | — | $ | — | ||||||
Growth Equity | 329,195,054 | 371,591,489 | — | — | ||||||||||||
Small Cap Equity | 280,994,677 | 284,063,651 | 11,767,786 | 11,315,294 | ||||||||||||
International Equity | 466,969,882 | 434,896,567 | — | — |
Financial Futures Contracts
Investments as of June 30, 2012, included cash and securities that were valued and pledged as collateral to cover initial margin
deposits. The market value of the open futures contracts is as follows:
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
MyDestination 2005 Fund | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 2 | $ | 142,380 | GSC | $ | 3,714 | |||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 1 | 47,235 | GSC | 1,246 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 5 | 339,125 | GSC | 10,887 | |||||||||||||||
5-Year U.S. Treasury Note | 09/2012 | 7 | 867,781 | GSC | (297 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 1,396,521 | $ | 15,550 | |||||||||||||||||
|
|
|
| |||||||||||||||||
MyDestination 2015 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 13 | $ | 1,733,875 | GSC | $ | 156 | |||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 9 | 640,710 | GSC | 37,681 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 6 | 283,410 | GSC | 7,473 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 27 | 1,831,275 | GSC | 62,804 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 4,489,270 | $ | 108,114 | |||||||||||||||||
|
|
|
| |||||||||||||||||
MyDestination 2025 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 11 | $ | 1,467,125 | GSC | $ | 1,328 | |||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 15 | 1,067,850 | GSC | 43,859 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 8 | 377,880 | GSC | 6,573 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 39 | 2,645,175 | GSC | 71,513 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 5,558,030 | $ | 123,273 | |||||||||||||||||
|
|
|
| |||||||||||||||||
MyDestination 2035 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 3 | $ | 400,125 | GSC | $ | 1,781 | |||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 12 | 854,280 | GSC | 38,004 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 5 | 236,175 | GSC | 5,715 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 32 | 2,170,400 | GSC | 59,153 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 3,660,980 | $ | 104,653 | |||||||||||||||||
|
|
|
| |||||||||||||||||
MyDestination 2045 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 1 | $ | 133,375 | GSC | $ | 594 | |||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 7 | 498,330 | GSC | 23,268 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 4 | 188,940 | GSC | 4,982 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 19 | 1,288,675 | GSC | 32,770 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 2,109,320 | $ | 61,614 | |||||||||||||||||
|
|
|
|
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Table of Contents
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
Conservative Allocation Fund | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 5 | $ | 355,950 | GSC | $ | 21,193 | |||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 2 | 94,470 | GSC | 2,491 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 10 | 678,200 | GSC | 22,306 | |||||||||||||||
2-Year U.S. Treasury Note | 09/2012 | 13 | 2,862,438 | GSC | (1,778 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 3,991,058 | $ | 44,212 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Balanced Allocation Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 12 | $ | 1,600,500 | GSC | $ | 7,125 | |||||||||||||
Long U.S. Treasury Bond | 09/2012 | 15 | 2,219,531 | GSC | 4,080 | |||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 45 | 3,203,550 | GSC | 190,735 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 23 | 1,086,405 | GSC | 28,647 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 122 | 8,274,040 | GSC | 283,170 | |||||||||||||||
5-Year U.S. Treasury Note | 09/2012 | 42 | 5,206,688 | GSC | 5,250 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 21,590,714 | $ | 519,007 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Growth Allocation Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 4 | $ | 533,500 | GSC | $ | 2,375 | |||||||||||||
Long U.S. Treasury Bond | 09/2012 | 5 | 739,844 | GSC | 1,360 | |||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 41 | 2,918,790 | GSC | 173,781 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 19 | 897,465 | GSC | 23,665 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 105 | 7,121,100 | GSC | 243,712 | |||||||||||||||
5-Year U.S. Treasury Note | 09/2012 | 12 | 1,487,625 | GSC | 1,500 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 13,698,324 | $ | 446,393 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 61 | $ | 4,342,590 | GSC | $ | 252,361 | |||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 30 | 1,417,050 | GSC | 37,366 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 156 | 10,579,920 | GSC | 360,269 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 16,339,560 | $ | 649,996 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Conservative Allocation Fund I | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 1 | $ | 71,190 | GSC | $ | 4,239 | |||||||||||||
S&P 500® E-Mini | 09/2012 | 3 | 203,460 | GSC | 6,561 | |||||||||||||||
2-Year U.S. Treasury Note | 09/2012 | 3 | 660,562 | GSC | (250 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 935,212 | $ | 10,550 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Balanced Allocation Fund I | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 4 | $ | 533,500 | GSC | $ | 453 | |||||||||||||
Long U.S. Treasury Bond | 09/2012 | 4 | 591,875 | GSC | 1,088 | |||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 11 | 783,090 | GSC | 44,527 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 5 | 236,175 | GSC | 6,228 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 29 | 1,966,780 | GSC | 66,105 | |||||||||||||||
5-Year U.S. Treasury Note | 09/2012 | 9 | 1,115,719 | GSC | 1,125 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 5,227,139 | $ | 119,526 | |||||||||||||||||
|
|
|
|
200
Table of Contents
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
Growth Allocation Fund I | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 1 | $ | 133,375 | GSC | $ | 594 | |||||||||||||
Long U.S. Treasury Bond | 09/2012 | 1 | 147,969 | GSC | 272 | |||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 11 | 783,090 | GSC | 46,624 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 4 | 188,940 | GSC | 4,982 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 24 | 1,627,680 | GSC | 46,388 | |||||||||||||||
5-Year U.S. Treasury Note | 09/2012 | 3 | 371,906 | GSC | 383 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 3,252,960 | $ | 99,243 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Aggressive Allocation Fund I | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 8 | $ | 569,520 | GSC | $ | 33,909 | |||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 4 | 188,940 | GSC | 4,982 | |||||||||||||||
S&P 500® E-Mini | 09/2012 | 21 | 1,424,220 | GSC | 48,742 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 2,182,680 | $ | 87,633 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||
Euro-Bund | 09/2012 | (1 | ) | $ | (178,309 | ) | GSC | $ | 3,453 | |||||||||||
10-Year Japanese Bond | 09/2012 | (4 | ) | (7,190,342 | ) | GSC | (19,042 | ) | ||||||||||||
90-Day Euro | 09/2012 | 2 | 497,600 | CITI | 119 | |||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | (8 | ) | (1,067,000 | ) | CS | 3,737 | |||||||||||||
10-Year U.S. Treasury Note | 09/2012 | (9 | ) | (1,200,375 | ) | JPM | (952 | ) | ||||||||||||
2-Year U.S. Treasury Note | 09/2012 | 321 | 70,680,188 | UBS | (22,078 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 09/2012 | 56 | 12,330,500 | GSC | (7,106 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 09/2012 | 55 | 12,110,312 | CS | (10,403 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (14 | ) | (1,735,562 | ) | JPM | (461 | ) | ||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (29 | ) | (3,595,094 | ) | GSC | (5,717 | ) | ||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (33 | ) | (4,090,969 | ) | UBS | (3,148 | ) | ||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (55 | ) | (6,818,281 | ) | CITI | (6,427 | ) | ||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (81 | ) | (10,041,469 | ) | CS | 5,753 | |||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (101 | ) | (12,520,844 | ) | MLCS | (23,630 | ) | ||||||||||||
90-Day Euro | 12/2012 | 1 | 248,738 | CITI | 60 | |||||||||||||||
90-Day Euro | 06/2013 | 2 | 497,250 | CITI | 10,082 | |||||||||||||||
90-Day Euro | 06/2013 | 2 | 497,250 | CITI | 44 | |||||||||||||||
90-Day Euro | 09/2013 | 2 | 497,150 | CITI | 119 | |||||||||||||||
90-Day Euro | 09/2013 | 3 | 746,062 | CITI | 142 | |||||||||||||||
90-Day Euro | 12/2013 | 2 | 497,000 | CITI | 194 | |||||||||||||||
90-Day Euro | 06/2014 | (1 | ) | (248,312 | ) | CITI | (1,640 | ) | ||||||||||||
90-Day Euro | 09/2014 | (1 | ) | (248,175 | ) | CITI | (2,015 | ) | ||||||||||||
90-Day Euro | 12/2014 | 1 | 247,962 | CITI | 647 | |||||||||||||||
90-Day Euro | 12/2014 | — | GSC | — | ||||||||||||||||
90-Day Euro | 03/2015 | 1 | 247,762 | CITI | 847 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 50,163,042 | $ | (77,422 | ) | ||||||||||||||||
|
|
|
|
201
Table of Contents
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 124 | $ | 16,538,500 | CITI | $ | 1,876 | |||||||||||||
10-Year U.S. Treasury Note | 09/2012 | (2 | ) | (266,750 | ) | GSC | (1,366 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2012 | (35 | ) | (4,668,125 | ) | MLCS | (28,551 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2012 | (40 | ) | (5,335,000 | ) | MSCS | (13,255 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2012 | (134 | ) | (17,872,250 | ) | JPM | 736 | |||||||||||||
Long U.S. Treasury Bond | 09/2012 | 59 | 8,730,156 | CITI | (9,562 | ) | ||||||||||||||
Long U.S. Treasury Bond | 09/2012 | (7 | ) | (1,035,781 | ) | GSC | 10,040 | |||||||||||||
Long U.S. Treasury Bond | 09/2012 | (9 | ) | (1,331,719 | ) | MSCS | 5,877 | |||||||||||||
Long U.S. Treasury Bond | 09/2012 | (12 | ) | (1,775,625 | ) | MLCS | 11,055 | |||||||||||||
Long U.S. Treasury Bond | 09/2012 | (32 | ) | (4,735,000 | ) | JPM | (21,760 | ) | ||||||||||||
Ultra Long U.S. Treasury Bond | 09/2012 | 65 | 10,844,844 | CITI | 84,626 | |||||||||||||||
Ultra Long U.S. Treasury Bond | 09/2012 | (4 | ) | (667,375 | ) | GSC | 9,987 | |||||||||||||
2-Year U.S. Treasury Note | 09/2012 | (1 | ) | (220,187 | ) | CITI | 159 | |||||||||||||
2-Year U.S. Treasury Note | 09/2012 | (1 | ) | (220,188 | ) | MLCS | 28 | |||||||||||||
2-Year U.S. Treasury Note | 09/2012 | (1 | ) | (220,188 | ) | MSCS | 28 | |||||||||||||
5-Year U.S. Treasury Note | 09/2012 | 123 | 15,248,156 | CITI | (3,174 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (1 | ) | (123,969 | ) | CITI | 442 | |||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (2 | ) | (247,938 | ) | GSC | (491 | ) | ||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (54 | ) | (6,694,312 | ) | BAR | (7,613 | ) | ||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (91 | ) | (11,281,156 | ) | MSCS | (18,549 | ) | ||||||||||||
90-Day Euro | 09/2013 | 75 | 18,651,563 | GSC | 7,181 | |||||||||||||||
90-Day Euro | 03/2014 | 36 | 8,943,300 | CITI | 17,112 | |||||||||||||||
90-Day Euro | 03/2014 | (75 | ) | (18,631,875 | ) | GSC | (13,569 | ) | ||||||||||||
90-Day Euro | 09/2014 | 71 | 17,620,425 | CITI | 73,679 | |||||||||||||||
90-Day Euro | 03/2015 | (36 | ) | (8,919,450 | ) | CITI | (41,121 | ) | ||||||||||||
90-Day Euro | 09/2015 | (71 | ) | (17,549,425 | ) | CITI | (129,402 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
$ | (5,219,369 | ) | $ | (65,587 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||
Inflation Protected Bond Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | 129 | $ | 17,205,375 | UBS | $ | (21,586 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2012 | (45 | ) | (6,658,594 | ) | UBS | 52,487 | |||||||||||||
Ultra Long U.S. Treasury Bond | 09/2012 | (41 | ) | (6,840,594 | ) | UBS | 104,116 | |||||||||||||
2-Year U.S. Treasury Note | 09/2012 | 7 | 1,541,313 | UBS | (490 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2012 | 41 | 5,082,719 | UBS | 4,933 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 10,330,219 | $ | 139,460 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Global Bond Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2012 | (14 | ) | $ | (1,867,250 | ) | GSC | $ | (5,342 | ) | ||||||||||
10-Year U.S. Treasury Note | 09/2012 | (19 | ) | (2,534,125 | ) | BAR | (15,710 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2012 | 3 | 443,906 | BAR | 2,146 | |||||||||||||||
Ultra Long U.S. Treasury Bond | 09/2012 | (10 | ) | (1,668,438 | ) | BAR | (26,822 | ) | ||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (3 | ) | (371,906 | ) | BAR | (689 | ) | ||||||||||||
5-Year U.S. Treasury Note | 09/2012 | (6 | ) | (743,812 | ) | GSC | 215 | |||||||||||||
|
|
|
| |||||||||||||||||
$ | (6,741,625 | ) | $ | (46,202 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||
Defensive Market Strategies Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2012 | 162 | $ | 10,986,840 | GSC | $ | 344,378 | |||||||||||||
|
|
|
|
202
Table of Contents
Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||
Equity Index Fund | ||||||||||||||||||||
S&P 500® | 09/2012 | 14 | $ | 4,747,400 | GSC | $ | 228,866 | |||||||||||||
S&P 500® E-Mini | 09/2012 | 127 | 8,613,140 | GSC | 259,117 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 13,360,540 | $ | 487,983 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Real Estate Securities Fund | ||||||||||||||||||||
S&P 500® MidCap 400 | 09/2012 | 77 | $ | 7,234,150 | GSC | $ | 176,270 | |||||||||||||
|
|
|
| |||||||||||||||||
Value Equity Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2012 | 381 | $ | 25,839,420 | GSC | $ | 912,853 | |||||||||||||
|
|
|
| |||||||||||||||||
Growth Equity Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2012 | 901 | $ | 61,105,820 | GSC | $ | 2,024,443 | |||||||||||||
|
|
|
| |||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||
90-Day Euro | 09/2012 | (14 | ) | $ | (3,483,200 | ) | GSC | $ | (2,420 | ) | ||||||||||
10-Year U.S. Treasury Note | 09/2012 | (82 | ) | (10,936,750 | ) | GSC | (49,306 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2012 | (4 | ) | (591,875 | ) | GSC | 2,807 | |||||||||||||
Ultra Long U.S. Treasury Bond | 09/2012 | (14 | ) | (2,335,812 | ) | GSC | (29,530 | ) | ||||||||||||
Russell 2000® IMM-Mini | 09/2012 | 733 | 58,302,820 | GSC | 2,398,255 | |||||||||||||||
2-Year U.S. Treasury Note | 09/2012 | (51 | ) | (11,229,563 | ) | GSC | 1,475 | |||||||||||||
5-Year U.S. Treasury Note | 09/2012 | 20 | 2,479,375 | GSC | (1,698 | ) | ||||||||||||||
90-Day Euro | 06/2013 | (5 | ) | (1,243,125 | ) | GSC | (1,266 | ) | ||||||||||||
90-Day Euro | 12/2014 | (45 | ) | (11,158,312 | ) | GSC | (20,984 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
$ | 19,803,558 | $ | 2,297,333 | |||||||||||||||||
|
|
|
| |||||||||||||||||
International Equity Fund | ||||||||||||||||||||
AEX Index | 07/2012 | (21 | ) | $ | (1,633,067 | ) | BAR | $ | (85,203 | ) | ||||||||||
CAC40 Index | 07/2012 | 344 | 13,895,824 | BAR | 733,074 | |||||||||||||||
IBEX 35 | 07/2012 | 55 | 4,862,370 | BAR | 388,278 | |||||||||||||||
OMX 30 Index | 07/2012 | 140 | 2,082,053 | BAR | 98,176 | |||||||||||||||
Hang Seng Index | 07/2012 | (27 | ) | (3,384,418 | ) | BAR | (78,398 | ) | ||||||||||||
MSCI Singapore Index | 07/2012 | 11 | 576,767 | BAR | 13,195 | |||||||||||||||
TOPIX Index® | 09/2012 | 59 | 5,675,987 | BAR | 424,326 | |||||||||||||||
ASX SPI 200 Index | 09/2012 | (192 | ) | (19,931,230 | ) | BAR | 191,589 | |||||||||||||
S&P/TSE 60 Index | 09/2012 | 250 | 31,550,181 | GSC | 871,722 | |||||||||||||||
S&P/TSE 60 Index | 09/2012 | (140 | ) | (18,189,962 | ) | BAR | (359,185 | ) | ||||||||||||
Canadian Dollar | 09/2012 | 295 | 28,957,200 | GSC | 269,925 | |||||||||||||||
DAX Index | 09/2012 | 25 | 5,071,106 | BAR | 232,283 | |||||||||||||||
FTSE MIB Index | 09/2012 | 18 | 1,628,246 | BAR | 167,222 | |||||||||||||||
MSCI EAFE Index E-Mini | 09/2012 | 574 | 40,863,060 | GSC | 2,361,493 | |||||||||||||||
MSCI Emerging Markets E-Mini | 09/2012 | 300 | 14,170,500 | GSC | 369,809 | |||||||||||||||
FTSE 100 Index® | 09/2012 | 222 | 19,202,610 | BAR | 365,275 | |||||||||||||||
Swiss Market Index Future | 09/2012 | (127 | ) | (175,079 | ) | JPM | 175,079 | |||||||||||||
|
|
|
| |||||||||||||||||
$ | 125,222,148 | $ | 6,138,660 | |||||||||||||||||
|
|
|
|
Forward Foreign Currency Contracts
As of June 30, 2012, the following Funds have forward foreign currency exchange contracts that obligate them to deliver currencies at specified future dates. The unrealized appreciation and/or depreciation on these contracts is included in the accompanying financial statements. The terms of the open contracts are as follows.
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Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||
07/16/12 | Euro | 77,000 | U.S. Dollars | 100,282 | RBC | $ | (2,824 | ) | ||||||||||||
07/18/12 | Norwegian Krone | 10,732,000 | U.S. Dollars | 1,794,103 | UBS | 8,739 | ||||||||||||||
10/17/12 | U.S. Dollars | 1,787,819 | Norwegian Krone | 10,732,000 | UBS | (8,862 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 2,090,196 | U.S. Dollars | 332,146 | DEUT | (4,851 | ) | |||||||||||||
07/02/12 | Euro | 7,300,000 | U.S. Dollars | 9,110,401 | HKSB | 127,996 | ||||||||||||||
07/03/12 | British Pounds | 434,000 | U.S. Dollars | 677,257 | UBS | 2,444 | ||||||||||||||
07/03/12 | U.S. Dollars | 342,453 | British Pounds | 217,000 | GSC | 2,603 | ||||||||||||||
07/03/12 | U.S. Dollars | 342,149 | British Pounds | 217,000 | HKSB | 2,299 | ||||||||||||||
07/11/12 | British Pounds | 564,000 | U.S. Dollars | 883,698 | HKSB | (416 | ) | |||||||||||||
07/11/12 | U.S. Dollars | 5,370,879 | Euro | 4,278,000 | CITI | (43,474 | ) | |||||||||||||
07/11/12 | U.S. Dollars | 1,120,491 | Norwegian Krone | 6,809,000 | RBS | (23,631 | ) | |||||||||||||
07/11/12 | U.S. Dollars | 871,910 | British Pounds | 564,000 | HKSB | (11,372 | ) | |||||||||||||
07/12/12 | South Korean Won | 3,119,000 | U.S. Dollars | 2,699 | BAR | 21 | ||||||||||||||
07/12/12 | U.S. Dollars | 2,767 | South Korean Won | 3,119,000 | UBS | 46 | ||||||||||||||
07/16/12 | Euro | 386,000 | U.S. Dollars | 491,423 | BAR | (2,871 | ) | |||||||||||||
07/16/12 | Euro | 76,000 | U.S. Dollars | 99,805 | BAR | (3,613 | ) | |||||||||||||
07/16/12 | Euro | 45,000 | U.S. Dollars | 56,098 | DEUT | 858 | ||||||||||||||
07/16/12 | U.S. Dollars | 9,676,116 | Euro | 7,413,000 | UBS | 293,634 | ||||||||||||||
07/18/12 | British Pounds | 1,320,000 | U.S. Dollars | 2,126,674 | RBS | (59,453 | ) | |||||||||||||
07/18/12 | U.S. Dollars | 6,679,158 | British Pounds | 4,185,500 | GSC | 124,345 | ||||||||||||||
07/18/12 | U.S. Dollars | 1,846,204 | Norwegian Krone | 10,732,000 | RBS | 43,362 | ||||||||||||||
07/19/12 | Australian Dollars | 2,887,000 | U.S. Dollars | 2,850,872 | UBS | 98,211 | ||||||||||||||
07/19/12 | Australian Dollars | 1,171,000 | U.S. Dollars | 1,158,002 | DEUT | 38,180 | ||||||||||||||
07/19/12 | Australian Dollars | 1,154,000 | U.S. Dollars | 1,148,501 | JPM | 30,315 | ||||||||||||||
07/19/12 | Australian Dollars | 1,005,000 | U.S. Dollars | 991,644 | RBC | 34,968 | ||||||||||||||
07/19/12 | Australian Dollars | 341,000 | U.S. Dollars | 337,573 | MSCS | 10,760 | ||||||||||||||
07/19/12 | U.S. Dollars | 9,807,910 | Australian Dollars | 10,078,000 | WEST | (486,810 | ) | |||||||||||||
07/19/12 | U.S. Dollars | 121,550 | Australian Dollars | 121,000 | CS | (2,052 | ) | |||||||||||||
07/25/12 | Euro | 1,025,000 | U.S. Dollars | 1,306,659 | RBS | (9,241 | ) | |||||||||||||
07/25/12 | U.S. Dollars | 11,431,738 | Euro | 8,660,000 | JPM | 470,138 | ||||||||||||||
07/27/12 | Norwegian Krone | 1,195,000 | U.S. Dollars | 198,225 | UBS | 2,453 | ||||||||||||||
07/27/12 | Norwegian Krone | 1,195,000 | U.S. Dollars | 198,620 | HKSB | 2,058 | ||||||||||||||
07/27/12 | Norwegian Krone | 1,195,000 | U.S. Dollars | 199,030 | BNP | 1,649 | ||||||||||||||
07/30/12 | Mexican Pesos | 7,800,000 | U.S. Dollars | 572,813 | RBS | 10,079 | ||||||||||||||
07/30/12 | U.S. Dollars | 1,811,000 | Chinese Yuan Renminbi | 11,481,740 | HSBC | 7,107 | ||||||||||||||
07/30/12 | U.S. Dollars | 1,496,000 | Chinese Yuan Renminbi | 9,486,136 | JPM | 5,635 | ||||||||||||||
07/30/12 | U.S. Dollars | 1,196,000 | Chinese Yuan Renminbi | 7,582,640 | UBS | 4,693 | ||||||||||||||
08/02/12 | U.S. Dollars | 677,198 | British Pounds | 434,000 | UBS | (2,453 | ) | |||||||||||||
08/02/12 | U.S. Dollars | 203,798 | Brazilian Reals | 398,465 | BAR | 6,861 | ||||||||||||||
08/03/12 | Singapore Dollars | 17,277 | U.S. Dollars | 13,841 | UBS | (202 | ) | |||||||||||||
08/15/12 | Mexican Pesos | 1,168,232 | U.S. Dollars | 89,369 | JPM | (2,208 | ) | |||||||||||||
09/20/12 | U.S. Dollars | 5,128,854 | Canadian Dollars | 5,272,000 | UBS | (39,652 | ) | |||||||||||||
09/20/12 | U.S. Dollars | 122,769 | Canadian Dollars | 126,000 | CS | (758 | ) | |||||||||||||
09/28/12 | U.S. Dollars | 2,686 | South Korean Won | 3,119,000 | BAR | (21 | ) | |||||||||||||
10/17/12 | Norwegian Krone | 10,732,000 | U.S. Dollars | 1,772,383 | CS | 24,299 | ||||||||||||||
11/30/12 | Taiwan Dollars | 36,726,480 | U.S. Dollars | 1,246,233 | BAR | (14,599 | ) | |||||||||||||
11/30/12 | U.S. Dollars | 580,000 | Taiwan Dollars | 17,278,200 | UBS | 570 | ||||||||||||||
11/30/12 | U.S. Dollars | 375,000 | Taiwan Dollars | 11,175,000 | CITI | 243 | ||||||||||||||
11/30/12 | U.S. Dollars | 270,000 | Taiwan Dollars | 8,051,400 | UBS | (6 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 39,210,806 | U.S. Dollars | 6,220,482 | UBS | (80,628 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 3,309,368 | U.S. Dollars | 522,229 | DEUT | (4,030 | ) |
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Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
02/01/13 | Chinese Yuan Renminbi | 2,490,150 | U.S. Dollars | 390,826 | JPM | $ | (904 | ) | ||||||||||||
02/01/13 | Chinese Yuan Renminbi | 1,254,600 | U.S. Dollars | 200,000 | GSC | (3,548 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 319,176 | U.S. Dollars | 50,832 | JPM | (854 | ) | |||||||||||||
09/13/13 | U.S. Dollars | 9,163,326 | Euro | 7,300,000 | HKSB | (135,475 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 409,758 | |||||||||||||||||||
|
| |||||||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
08/08/12 | U.S. Dollars | 911,403 | South African Rand | 7,660,072 | BAR | $ | (19,816 | ) | ||||||||||||
09/19/12 | Australian Dollars | 57,000 | U.S. Dollars | 56,765 | DEUT | 1,126 | ||||||||||||||
09/19/12 | Australian Dollars | 57,000 | U.S. Dollars | 56,916 | DEUT | 976 | ||||||||||||||
09/19/12 | Australian Dollars | 53,919 | U.S. Dollars | 53,787 | JPM | 975 | ||||||||||||||
09/19/12 | Australian Dollars | 50,000 | U.S. Dollars | 50,037 | JPM | 745 | ||||||||||||||
09/19/12 | Australian Dollars | 46,000 | New Zealand Dollars | 58,678 | MLCS | 14 | ||||||||||||||
09/19/12 | Australian Dollars | 32,000 | U.S. Dollars | 31,584 | DEUT | 917 | ||||||||||||||
09/19/12 | Australian Dollars | 28,679 | U.S. Dollars | 28,507 | MLCS | 621 | ||||||||||||||
09/19/12 | British Pounds | 44,000 | U.S. Dollars | 68,823 | DEUT | 72 | ||||||||||||||
09/19/12 | British Pounds | 39,368 | U.S. Dollars | 61,706 | BAR | (64 | ) | |||||||||||||
09/19/12 | British Pounds | 36,856 | U.S. Dollars | 57,243 | DEUT | 467 | ||||||||||||||
09/19/12 | British Pounds | 29,000 | U.S. Dollars | 45,011 | BAR | 398 | ||||||||||||||
09/19/12 | British Pounds | 18,666 | U.S. Dollars | 29,016 | MLCS | 211 | ||||||||||||||
09/19/12 | Canadian Dollars | 117,150 | U.S. Dollars | 115,000 | RBS | (147 | ) | |||||||||||||
09/19/12 | Canadian Dollars | 58,314 | U.S. Dollars | 57,000 | RBS | 170 | ||||||||||||||
09/19/12 | Canadian Dollars | 47,113 | U.S. Dollars | 46,000 | RBS | 189 | ||||||||||||||
09/19/12 | Euro | 50,800 | British Pounds | 40,933 | DEUT | 247 | ||||||||||||||
09/19/12 | Euro | 49,177 | U.S. Dollars | 61,701 | HKSB | 584 | ||||||||||||||
09/19/12 | Euro | 47,702 | U.S. Dollars | 59,841 | �� | DEUT | 575 | |||||||||||||
09/19/12 | Euro | 46,778 | U.S. Dollars | 59,029 | MLCS | 216 | ||||||||||||||
09/19/12 | Euro | 46,000 | U.S. Dollars | 57,331 | JPM | 929 | ||||||||||||||
09/19/12 | Japanese Yen | 2,230,226 | U.S. Dollars | 28,086 | MLCS | (154 | ) | |||||||||||||
09/19/12 | New Zealand Dollars | 290,000 | Japanese Yen | 18,184,305 | SS | 3,079 | ||||||||||||||
09/19/12 | New Zealand Dollars | 43,329 | Australian Dollars | 34,000 | WEST | (43 | ) | |||||||||||||
09/19/12 | Norwegian Krone | 615,000 | Swedish Kronor | 724,458 | DEUT | (1,349 | ) | |||||||||||||
09/19/12 | Norwegian Krone | 342,000 | Swedish Kronor | 401,761 | BAR | (591 | ) | |||||||||||||
09/19/12 | Swedish Kronor | 1,218,847 | Euro | 136,268 | HKSB | 3,084 | ||||||||||||||
09/19/12 | U.S. Dollars | 2,259,797 | Australian Dollars | 2,277,000 | WEST | (52,810 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 332,285 | Euro | 265,382 | SS | (3,830 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 229,000 | Japanese Yen | 18,182,187 | MLCS | 1,275 | ||||||||||||||
09/19/12 | U.S. Dollars | 117,085 | Australian Dollars | 119,328 | SS | (4,109 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 114,055 | Euro | 90,000 | CITIG | 67 | ||||||||||||||
09/19/12 | U.S. Dollars | 114,000 | Japanese Yen | 9,171,072 | RBS | (864 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 99,020 | British Pounds | 63,859 | RBS | (971 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 67,012 | Euro | 52,772 | MLCS | 175 | ||||||||||||||
09/19/12 | U.S. Dollars | 61,399 | British Pounds | 39,368 | BAR | (244 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 60,051 | British Pounds | 38,628 | MLCS | (433 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 59,732 | British Pounds | 38,128 | JPM | 31 | ||||||||||||||
09/19/12 | U.S. Dollars | 59,729 | Euro | 47,702 | CS | (687 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 59,565 | Canadian Dollars | 61,255 | DEUT | (489 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 58,861 | Euro | 46,778 | MLCS | (384 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,789 | Australian Dollars | 57,232 | DEUT | (338 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,616 | Euro | 46,000 | MLCS | (645 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,584 | Euro | 46,000 | MLCS | (676 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,537 | Euro | 46,000 | JPM | (724 | ) |
205
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/19/12 | U.S. Dollars | 57,466 | Euro | 46,000 | JPM | $ | (795 | ) | ||||||||||||
09/19/12 | U.S. Dollars | 57,427 | Euro | 46,000 | DEUT | (834 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,308 | Euro | 46,000 | DEUT | (953 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,200 | Euro | 46,000 | JPM | (1,060 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,044 | British Pounds | 36,856 | DEUT | (666 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,000 | Canadian Dollars | 58,675 | RBS | (524 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 57,000 | Canadian Dollars | 58,834 | UBS | (681 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,860 | Euro | 45,000 | MLCS | (134 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,786 | Euro | 45,000 | JPM | (208 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,678 | Australian Dollars | 57,000 | CS | (1,213 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,652 | Australian Dollars | 57,000 | DEUT | (1,240 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,641 | Australian Dollars | 57,000 | CS | (1,250 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,572 | Euro | 45,000 | CS | (422 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,339 | Australian Dollars | 56,000 | WEST | (536 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,160 | New Zealand Dollars | 71,859 | HKSB | (1,038 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 54,271 | Euro | 42,639 | MLCS | 267 | ||||||||||||||
09/19/12 | U.S. Dollars | 53,664 | Australian Dollars | 53,919 | UBS | (1,098 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 53,405 | Australian Dollars | 53,919 | MLCS | (1,357 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 50,987 | British Pounds | 32,830 | HKSB | (418 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 50,547 | Canadian Dollars | 52,313 | RBS | (740 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 50,155 | Australian Dollars | 50,000 | DEUT | (627 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 45,521 | Australian Dollars | 46,000 | JPM | (1,196 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 44,966 | British Pounds | 29,000 | BAR | (443 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 33,153 | Australian Dollars | 33,632 | HKSB | (1,005 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 28,976 | British Pounds | 18,666 | JPM | (251 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 27,575 | Australian Dollars | 27,768 | DEUT | (627 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 6,583,005 | U.S. Dollars | 1,048,750 | CITI | (17,945 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 4,127,477 | U.S. Dollars | 655,884 | DEUT | (9,580 | ) | |||||||||||||
08/15/13 | Chinese Yuan Renminbi | 1,000,000 | U.S. Dollars | 159,642 | DEUT | (3,522 | ) | |||||||||||||
07/03/12 | British Pounds | 1,193,000 | U.S. Dollars | 1,861,677 | UBS | 6,719 | ||||||||||||||
07/03/12 | U.S. Dollars | 941,305 | British Pounds | 597,000 | HKSB | 6,324 | ||||||||||||||
07/03/12 | U.S. Dollars | 940,563 | British Pounds | 596,000 | GSC | 7,148 | ||||||||||||||
07/12/12 | Indian Rupees | 56,916,480 | U.S. Dollars | 1,224,537 | JPM | (208,047 | ) | |||||||||||||
07/12/12 | Indian Rupees | 961,930 | U.S. Dollars | 16,861 | HKSB | 318 | ||||||||||||||
07/12/12 | South Korean Won | 14,660,600 | U.S. Dollars | 12,689 | BAR | 99 | ||||||||||||||
07/12/12 | U.S. Dollars | 290,000 | Indian Rupees | 15,819,500 | HSBC | 7,474 | ||||||||||||||
07/12/12 | U.S. Dollars | 290,000 | Indian Rupees | 15,819,500 | UBS | 7,474 | ||||||||||||||
07/12/12 | U.S. Dollars | 280,000 | Indian Rupees | 15,262,800 | HSBC | 7,417 | ||||||||||||||
07/12/12 | U.S. Dollars | 201,000 | Indian Rupees | 10,976,610 | DEUT | 4,965 | ||||||||||||||
07/12/12 | U.S. Dollars | 13,004 | South Korean Won | 14,660,600 | UBS | 216 | ||||||||||||||
07/16/12 | Euro | 506,000 | U.S. Dollars | 644,197 | BAR | (3,763 | ) | |||||||||||||
07/16/12 | Euro | 153,000 | U.S. Dollars | 201,334 | CS | (7,685 | ) | |||||||||||||
07/16/12 | Euro | 110,000 | U.S. Dollars | 136,278 | DEUT | 2,947 | ||||||||||||||
07/16/12 | Euro | 54,000 | U.S. Dollars | 67,317 | DEUT | 1,029 | ||||||||||||||
07/16/12 | Malaysian Ringgits | 8,484 | U.S. Dollars | 2,751 | JPM | (82 | ) | |||||||||||||
07/16/12 | U.S. Dollars | 12,113,092 | Euro | 9,280,000 | UBS | 367,586 | ||||||||||||||
07/16/12 | U.S. Dollars | 82,026 | Euro | 66,000 | BAR | (1,509 | ) | |||||||||||||
07/27/12 | Mexican Pesos | 806,978 | U.S. Dollars | 57,709 | DEUT | 2,615 | ||||||||||||||
07/27/12 | Norwegian Krone | 378,000 | U.S. Dollars | 62,702 | UBS | 776 | ||||||||||||||
07/27/12 | Norwegian Krone | 378,000 | U.S. Dollars | 62,957 | BNP | 521 | ||||||||||||||
07/27/12 | Norwegian Krone | 377,000 | U.S. Dollars | 62,661 | HSBC | 649 | ||||||||||||||
07/27/12 | U.S. Dollars | 885,361 | Mexican Pesos | 12,455,265 | DEUT | (45,699 | ) |
206
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
07/30/12 | U.S. Dollars | 3,313,000 | Chinese Yuan Renminbi | 21,004,420 | HKSB | $ | 13,000 | |||||||||||||
07/30/12 | U.S. Dollars | 2,736,000 | Chinese Yuan Renminbi | 17,348,976 | JPM | 10,306 | ||||||||||||||
07/30/12 | U.S. Dollars | 2,188,000 | Chinese Yuan Renminbi | 13,871,920 | UBS | 8,586 | ||||||||||||||
08/02/12 | U.S. Dollars | 1,861,515 | British Pounds | 1,193,000 | UBS | (6,744 | ) | |||||||||||||
08/02/12 | U.S. Dollars | 959,891 | Brazilian Reals | 1,876,778 | BAR | 32,314 | ||||||||||||||
08/03/12 | U.S. Dollars | 5,104 | Singapore Dollars | 6,371 | UBS | 75 | ||||||||||||||
08/09/12 | U.S. Dollars | 10,133,836 | Australian Dollars | 10,142,000 | DEUT | (204,968 | ) | |||||||||||||
08/15/12 | Brazilian Reals | 2,385,470 | U.S. Dollars | 1,196,324 | JPM | (20,002 | ) | |||||||||||||
08/15/12 | Brazilian Reals | 799,160 | U.S. Dollars | 393,094 | JPM | 987 | ||||||||||||||
08/15/12 | Mexican Pesos | 74,599 | U.S. Dollars | 5,707 | JPM | (141 | ) | |||||||||||||
08/16/12 | Canadian Dollars | 3,084,000 | U.S. Dollars | 3,086,546 | CITIC | (60,736 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 4,778,655 | Euro | 3,674,701 | CITIC | 126,231 | ||||||||||||||
08/16/12 | U.S. Dollars | 3,388,057 | Euro | 2,612,000 | MLCS | 81,085 | ||||||||||||||
08/16/12 | U.S. Dollars | 3,042,470 | Canadian Dollars | 3,084,000 | CITIC | 16,660 | ||||||||||||||
08/16/12 | U.S. Dollars | 1,083,153 | Euro | 824,514 | UBS | 39,262 | ||||||||||||||
09/10/12 | U.S. Dollars | 1,508,643 | Japanese Yen | 117,763,000 | CITI | 33,883 | ||||||||||||||
09/13/12 | U.S. Dollars | 11,171,726 | Euro | 8,900,000 | HKSB | (99,701 | ) | |||||||||||||
09/19/12 | British Pounds | 35,520 | U.S. Dollars | 55,863 | JPM | (245 | ) | |||||||||||||
09/19/12 | Danish Kroner | 682,557 | Euro | 92,000 | DEUT | (71 | ) | |||||||||||||
09/19/12 | Euro | 54,000 | U.S. Dollars | 68,150 | JPM | 243 | ||||||||||||||
09/19/12 | Euro | 44,998 | U.S. Dollars | 56,637 | JPM | 355 | ||||||||||||||
09/19/12 | Japanese Yen | 4,495,789 | U.S. Dollars | 57,000 | MLCS | (692 | ) | |||||||||||||
09/19/12 | Swedish Kronor | 411,392 | Norwegian Krone | 348,000 | BAR | 973 | ||||||||||||||
09/19/12 | U.S. Dollars | 243,540 | Norwegian Krone | 1,472,847 | MLCS | (3,290 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 114,000 | Canadian Dollars | 118,162 | RBS | (1,845 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 59,158 | British Pounds | 38,276 | BAR | (776 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,942 | Euro | 45,000 | DEUT | (52 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 56,635 | Australian Dollars | 58,000 | MLCS | (2,272 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 55,748 | British Pounds | 35,520 | SS | 130 | ||||||||||||||
09/20/12 | U.S. Dollars | 2,959,403 | Canadian Dollars | 3,042,000 | UBS | (22,879 | ) | |||||||||||||
09/28/12 | U.S. Dollars | 12,626 | South Korean Won | 14,660,600 | BAR | (98 | ) | |||||||||||||
10/03/12 | U.S. Dollars | 16,562 | Indian Rupees | 961,930 | HKSB | (343 | ) | |||||||||||||
11/30/12 | Taiwan Dollars | 48,062,980 | U.S. Dollars | 1,630,912 | BAR | (19,105 | ) | |||||||||||||
11/30/12 | U.S. Dollars | 754,000 | Taiwan Dollars | 22,461,660 | UBS | 741 | ||||||||||||||
11/30/12 | U.S. Dollars | 489,000 | Taiwan Dollars | 14,572,200 | CITI | 317 | ||||||||||||||
11/30/12 | U.S. Dollars | 352,000 | Taiwan Dollars | 10,496,640 | UBS | (8 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 49,659,451 | U.S. Dollars | 7,878,076 | UBS | (102,113 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 8,277,236 | U.S. Dollars | 1,299,103 | JPM | (3,006 | ) | |||||||||||||
02/01/13 | Chinese Yuan Renminbi | 3,959,304 | U.S. Dollars | 624,792 | DEUT | (4,821 | ) | |||||||||||||
08/05/13 | Chinese Yuan Renminbi | 3,364,650 | U.S. Dollars | 532,803 | UBS | (7,424 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (161,013 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Global Bond Fund | ||||||||||||||||||||
08/08/12 | Malaysian Ringgits | 2,640,000 | U.S. Dollars | 834,651 | CITIC | $ | (5,561 | ) | ||||||||||||
08/08/12 | South Korean Won | 590,596,400 | U.S. Dollars | 511,760 | DEUT | 2,436 | ||||||||||||||
08/08/12 | U.S. Dollars | 283,758 | Brazilian Reals | 565,190 | JPM | 4,712 | ||||||||||||||
08/16/12 | Australian Dollars | 745,608 | U.S. Dollars | 758,157 | DEUT | 1,397 | ||||||||||||||
08/16/12 | Australian Dollars | 630,000 | U.S. Dollars | 641,652 | CS | 131 | ||||||||||||||
08/16/12 | Australian Dollars | 587,221 | U.S. Dollars | 601,256 | MSCS | (3,053 | ) | |||||||||||||
08/16/12 | British Pounds | 1,277,800 | U.S. Dollars | 2,066,875 | SG | (65,898 | ) | |||||||||||||
08/16/12 | British Pounds | 1,051,619 | U.S. Dollars | 1,699,540 | JPM | (52,753 | ) | |||||||||||||
08/16/12 | Canadian Dollars | 2,271,498 | U.S. Dollars | 2,293,145 | JPM | (64,506 | ) |
207
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
08/16/12 | Canadian Dollars | 1,570,000 | U.S. Dollars | 1,590,751 | CS | $ | (50,374 | ) | ||||||||||||
08/16/12 | Canadian Dollars | 940,000 | U.S. Dollars | 917,521 | JPM | 4,743 | ||||||||||||||
08/16/12 | Canadian Dollars | 191,315 | U.S. Dollars | 193,552 | DEUT | (5,846 | ) | |||||||||||||
08/16/12 | Euro | 2,466,003 | U.S. Dollars | 3,250,032 | CS | (127,903 | ) | |||||||||||||
08/16/12 | Euro | 1,320,000 | U.S. Dollars | 1,734,067 | UBS | (62,856 | ) | |||||||||||||
08/16/12 | Euro | 1,000,000 | U.S. Dollars | 1,294,720 | CS | (28,651 | ) | |||||||||||||
08/16/12 | Euro | 400,000 | U.S. Dollars | 515,217 | CITIC | (8,789 | ) | |||||||||||||
08/16/12 | Euro | 200,000 | U.S. Dollars | 252,841 | JPM | 373 | ||||||||||||||
08/16/12 | Japanese Yen | 736,299,570 | U.S. Dollars | 9,198,283 | GSC | 19,336 | ||||||||||||||
08/16/12 | Japanese Yen | 193,977,460 | U.S. Dollars | 2,417,858 | DEUT | 10,516 | ||||||||||||||
08/16/12 | Japanese Yen | 87,020,000 | U.S. Dollars | 1,086,460 | UBS | 2,930 | ||||||||||||||
08/16/12 | Japanese Yen | 59,000,000 | U.S. Dollars | 734,758 | CS | 3,853 | ||||||||||||||
08/16/12 | Mexican Pesos | 12,880,000 | U.S. Dollars | 915,228 | CITIC | 45,644 | ||||||||||||||
08/16/12 | Mexican Pesos | 8,940,000 | U.S. Dollars | 615,236 | CITIC | 51,704 | ||||||||||||||
08/16/12 | Mexican Pesos | 4,650,275 | U.S. Dollars | 355,635 | GSC | (8,716 | ) | |||||||||||||
08/16/12 | Polish Zloty | 346,297 | U.S. Dollars | 107,606 | JPM | (4,296 | ) | |||||||||||||
08/16/12 | South African Rand | 988,065 | U.S. Dollars | 125,601 | GSC | (5,633 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 4,909,550 | Japanese Yen | 393,427,248 | JPM | (15,705 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 4,556,183 | Euro | 3,503,624 | CITIC | 120,354 | ||||||||||||||
08/16/12 | U.S. Dollars | 4,009,178 | Euro | 3,046,552 | SG | 152,033 | ||||||||||||||
08/16/12 | U.S. Dollars | 3,878,410 | Euro | 2,952,008 | JPM | 140,965 | ||||||||||||||
08/16/12 | U.S. Dollars | 2,560,315 | Euro | 1,947,319 | GSC | 94,876 | ||||||||||||||
08/16/12 | U.S. Dollars | 2,379,176 | Euro | 1,808,255 | MSCS | 89,800 | ||||||||||||||
08/16/12 | U.S. Dollars | 1,604,209 | Japanese Yen | 128,025,470 | CITIC | 1,478 | ||||||||||||||
08/16/12 | U.S. Dollars | 1,459,689 | Euro | 1,110,000 | BAR | 54,353 | ||||||||||||||
08/16/12 | U.S. Dollars | 1,344,952 | Australian Dollars | 1,324,802 | JPM | (4,628 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 1,050,507 | British Pounds | 650,000 | CS | 32,637 | ||||||||||||||
08/16/12 | U.S. Dollars | 935,847 | British Pounds | 580,000 | BAR | 27,594 | ||||||||||||||
08/16/12 | U.S. Dollars | 928,802 | Canadian Dollars | 930,000 | JPM | 16,349 | ||||||||||||||
08/16/12 | U.S. Dollars | 902,011 | Mexican Pesos | 12,450,000 | CITIC | (26,782 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 885,994 | British Pounds | 547,510 | BAR | 28,618 | ||||||||||||||
08/16/12 | U.S. Dollars | 744,614 | Japanese Yen | 59,645,180 | SG | (2,075 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 694,613 | Mexican Pesos | 9,420,000 | CITIC | (8,136 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 633,773 | Australian Dollars | 631,336 | CITIC | (9,371 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 406,315 | Euro | 309,451 | RBS | 14,529 | ||||||||||||||
08/16/12 | U.S. Dollars | 356,131 | Mexican Pesos | 4,659,275 | DEUT | 8,541 | ||||||||||||||
08/16/12 | U.S. Dollars | 323,226 | British Pounds | 200,000 | GSC | 10,035 | ||||||||||||||
|
| |||||||||||||||||||
$ | 378,405 | |||||||||||||||||||
|
| |||||||||||||||||||
Defensive Market Strategies Fund | ||||||||||||||||||||
07/31/12 | Japanese Yen | 760,320 | U.S. Dollars | 9,542 | CS | $ | (25 | ) | ||||||||||||
07/31/12 | U.S. Dollars | 3,520,842 | Euro | 2,817,868 | UBS | (46,137 | ) | |||||||||||||
07/31/12 | U.S. Dollars | 2,073,793 | British Pounds | 1,328,069 | CS | (5,999 | ) | |||||||||||||
07/31/12 | U.S. Dollars | 389,462 | Japanese Yen | 30,942,720 | CS | 2,181 | ||||||||||||||
07/31/12 | U.S. Dollars | 27,710 | Japanese Yen | 2,196,540 | CS | 218 | ||||||||||||||
|
| |||||||||||||||||||
$ | (49,762 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||
08/16/12 | Canadian Dollars | 409,000 | U.S. Dollars | 409,338 | CITIG | $ | (8,054 | ) | ||||||||||||
08/16/12 | Japanese Yen | 4,882,000 | U.S. Dollars | 61,173 | CITIG | (56 | ) | |||||||||||||
08/16/12 | U.S. Dollars | 937,862 | Euro | 721,200 | CITIG | 24,774 | ||||||||||||||
08/16/12 | U.S. Dollars | 472,796 | Euro | 359,341 | MSCS | 17,845 |
208
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
08/16/12 | U.S. Dollars | 403,492 | Canadian Dollars | 409,000 | CITIG | $ | 2,209 | |||||||||||||
08/16/12 | U.S. Dollars | 60,990 | Japanese Yen | 4,882,084 | GSC | (128 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 36,590 | |||||||||||||||||||
|
| |||||||||||||||||||
International Equity Fund | ||||||||||||||||||||
09/19/12 | Israeli Shekels | 4,487,000 | U.S. Dollars | 1,155,146 | RBS | $ | (11,058 | ) | ||||||||||||
07/31/12 | U.S. Dollars | 8,981,739 | Australian Dollars | 8,775,000 | RBS | 28,549 | ||||||||||||||
09/19/12 | Australian Dollars | 4,721,000 | U.S. Dollars | 4,744,888 | RBS | 49,937 | ||||||||||||||
09/19/12 | Australian Dollars | 2,114,000 | U.S. Dollars | 2,074,877 | RBS | 72,181 | ||||||||||||||
09/19/12 | Australian Dollars | 1,588,000 | U.S. Dollars | 1,582,767 | RBS | 30,065 | ||||||||||||||
09/19/12 | British Pounds | 18,885,000 | U.S. Dollars | 29,207,951 | RBS | 362,383 | ||||||||||||||
09/19/12 | British Pounds | 1,506,000 | U.S. Dollars | 2,312,602 | RBS | 45,509 | ||||||||||||||
09/19/12 | British Pounds | 281,000 | U.S. Dollars | 434,271 | RBS | 5,722 | ||||||||||||||
09/19/12 | Danish Kroner | 8,734,000 | U.S. Dollars | 1,485,277 | RBS | 4,806 | ||||||||||||||
09/19/12 | Danish Kroner | 297,000 | U.S. Dollars | 50,080 | RBS | 590 | ||||||||||||||
09/19/12 | Danish Kroner | 183,000 | U.S. Dollars | 30,863 | RBS | 358 | ||||||||||||||
09/19/12 | Danish Kroner | 117,000 | U.S. Dollars | 19,894 | RBS | 67 | ||||||||||||||
09/19/12 | Euro | 4,991,000 | U.S. Dollars | 6,218,200 | RBS | 103,064 | ||||||||||||||
09/19/12 | Euro | 1,129,000 | U.S. Dollars | 1,413,009 | RBS | 16,906 | ||||||||||||||
09/19/12 | Euro | 167,000 | U.S. Dollars | 210,559 | RBS | 952 | ||||||||||||||
09/19/12 | Hong Kong Dollars | 2,625,000 | U.S. Dollars | 338,007 | RBS | 451 | ||||||||||||||
09/19/12 | Hong Kong Dollars | 442,000 | U.S. Dollars | 56,991 | RBS | (1 | ) | |||||||||||||
09/19/12 | Hong Kong Dollars | 342,000 | U.S. Dollars | 44,102 | RBS | (5 | ) | |||||||||||||
09/19/12 | Hong Kong Dollars | 256,000 | U.S. Dollars | 33,008 | RBS | — | ||||||||||||||
09/19/12 | Hong Kong Dollars | 18,000 | U.S. Dollars | 2,321 | RBS | — | ||||||||||||||
09/19/12 | Israeli Shekels | 242,000 | U.S. Dollars | 61,416 | RBS | 289 | ||||||||||||||
09/19/12 | Israeli Shekels | 58,000 | U.S. Dollars | 14,885 | RBS | (97 | ) | |||||||||||||
09/19/12 | Japanese Yen | 351,144,000 | U.S. Dollars | 4,455,367 | RBS | (57,419 | ) | |||||||||||||
09/19/12 | Japanese Yen | 73,023,000 | U.S. Dollars | 933,512 | RBS | (18,926 | ) | |||||||||||||
09/19/12 | New Zealand Dollars | 6,059,000 | U.S. Dollars | 4,769,788 | RBS | 52,985 | ||||||||||||||
09/19/12 | New Zealand Dollars | 5,466,000 | U.S. Dollars | 4,308,974 | RBS | 41,790 | ||||||||||||||
09/19/12 | New Zealand Dollars | 2,565,000 | U.S. Dollars | 1,969,718 | RBS | 71,941 | ||||||||||||||
09/19/12 | Norwegian Krone | 219,560,000 | U.S. Dollars | 36,124,076 | RBS | 671,341 | ||||||||||||||
09/19/12 | Norwegian Krone | 1,354,000 | U.S. Dollars | 226,714 | RBS | 199 | ||||||||||||||
09/19/12 | Singapore Dollars | 651,000 | U.S. Dollars | 510,281 | RBS | 3,694 | ||||||||||||||
09/19/12 | Singapore Dollars | 53,000 | U.S. Dollars | 41,306 | RBS | 538 | ||||||||||||||
09/19/12 | Singapore Dollars | 38,000 | U.S. Dollars | 29,989 | RBS | 13 | ||||||||||||||
09/19/12 | Singapore Dollars | 28,000 | U.S. Dollars | 21,853 | RBS | 253 | ||||||||||||||
09/19/12 | Singapore Dollars | 21,000 | U.S. Dollars | 16,407 | RBS | 173 | ||||||||||||||
09/19/12 | Swedish Kronor | 242,348,000 | U.S. Dollars | 33,739,286 | RBS | 1,190,096 | ||||||||||||||
09/19/12 | Swedish Kronor | 19,798,000 | U.S. Dollars | 2,796,617 | RBS | 56,849 | ||||||||||||||
09/19/12 | Swedish Kronor | 1,185,000 | U.S. Dollars | 168,158 | RBS | 2,635 | ||||||||||||||
09/19/12 | Switzerland Francs | 1,564,000 | U.S. Dollars | 1,630,615 | RBS | 20,757 | ||||||||||||||
09/19/12 | Switzerland Francs | 1,564,000 | U.S. Dollars | 1,632,569 | RBS | 18,803 | ||||||||||||||
09/19/12 | Switzerland Francs | 1,365,000 | U.S. Dollars | 1,436,634 | RBS | 4,620 | ||||||||||||||
09/19/12 | U.S. Dollars | 40,299,836 | Euro | 32,200,000 | RBS | (482,506 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 31,302,236 | Japanese Yen | 2,473,838,000 | RBS | 318,338 | ||||||||||||||
09/19/12 | U.S. Dollars | 28,510,306 | Switzerland Francs | 27,355,000 | RBS | (372,864 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 16,034,549 | Australian Dollars | 16,419,000 | RBS | (641,205 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 6,447,281 | Canadian Dollars | 6,720,000 | RBS | (140,939 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 5,350,955 | Australian Dollars | 5,531,000 | RBS | (266,540 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 5,026,603 | New Zealand Dollars | 6,645,000 | RBS | (262,607 | ) |
209
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/19/12 | U.S. Dollars | 4,984,891 | Canadian Dollars | 5,110,000 | RBS | $ | (24,902 | ) | ||||||||||||
09/19/12 | U.S. Dollars | 4,863,935 | Euro | 3,854,000 | RBS | (17,281 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 4,704,843 | Euro | 3,759,000 | RBS | (56,052 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 2,464,978 | Norwegian Krone | 14,851,000 | RBS | (23,858 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 2,248,162 | Canadian Dollars | 2,322,000 | RBS | (28,303 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 2,137,711 | British Pounds | 1,380,000 | RBS | (23,108 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 1,620,626 | Danish Kroner | 9,545,000 | RBS | (7,820 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 1,047,138 | British Pounds | 672,000 | RBS | (5,087 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 966,927 | Swedish Kronor | 6,977,000 | RBS | (38,661 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 541,947 | Canadian Dollars | 556,000 | RBS | (3,149 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 384,672 | Australian Dollars | 389,000 | RBS | (10,411 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 268,011 | Japanese Yen | 21,211,000 | RBS | 2,351 | ||||||||||||||
09/19/12 | U.S. Dollars | 154,541 | Switzerland Francs | 147,000 | RBS | (671 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 91,026 | Hong Kong Dollars | 706,000 | RBS | (3 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 53,646 | Singapore Dollars | 69,000 | RBS | (830 | ) | |||||||||||||
09/19/12 | U.S. Dollars | 46,532 | Japanese Yen | 3,703,000 | RBS | 153 | ||||||||||||||
09/19/12 | U.S. Dollars | 44,124 | Israeli Shekels | 171,000 | RBS | 522 | ||||||||||||||
09/19/12 | U.S. Dollars | 24,611 | Israeli Shekels | 96,000 | RBS | 133 | ||||||||||||||
09/19/12 | U.S. Dollars | 4,552 | Danish Kroner | 27,000 | RBS | (54 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 685,656 | |||||||||||||||||||
|
|
Options Written
Transactions in options written during the six months ended June 30, 2012 were as follows:
Fund | Number of Contracts | Premiums Received | Notional Amount | Premiums Received | Total Premiums Received | |||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Options written, 12/31/11 | — | $ | — | $ | 5,300,000 | $ | 32,965 | $ | 32,965 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 375 | 60,656 | 28,000,000 | 434,250 | 494,906 | |||||||||||||||
Options expired | — | — | — | — | — | |||||||||||||||
Options closed | — | — | (5,300,000 | ) | (32,965 | ) | (32,965 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 06/30/12 | 375 | $ | 60,656 | $ | 28,000,000 | $ | 434,250 | $ | 494,906 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Options written, 12/31/11 | — | $ | — | $ | 7,800,000 | $ | 48,601 | $ | 48,601 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 616 | 229,279 | 33,400,000 | 517,840 | 747,119 | |||||||||||||||
Options expired | (68 | ) | (27,404 | ) | — | — | (27,404 | ) | ||||||||||||
Options closed | (166 | ) | (104,492 | ) | (7,800,000 | ) | (48,601 | ) | (153,093 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 06/30/12 | 382 | $ | 97,384 | $ | 33,400,000 | $ | 517,840 | $ | 615,223 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Options written, 12/31/11 | 168 | $ | 4,032 | $ | — | $ | — | $ | 4,032 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 849 | 115,410 | — | — | 115,410 | |||||||||||||||
Options expired | (212 | ) | (7,591 | ) | — | — | (7,591 | ) | ||||||||||||
Options closed | (805 | ) | (111,851 | ) | — | — | (111,851 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 06/30/12 | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
|
210
Table of Contents
Fund | Number of Contracts | Premiums Received | Notional Amount | Premiums Received | Total Premiums Received | |||||||||||||||
Small Cap Equity | ||||||||||||||||||||
Options written, 12/31/11 | 7 | $ | 2,015 | $ | — | $ | — | $ | 2,015 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 89 | 61,741 | — | — | 61,741 | |||||||||||||||
Options expired | (16 | ) | (5,323 | ) | — | — | (5,323 | ) | ||||||||||||
Options closed | (42 | ) | (30,214 | ) | — | — | (30,214 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 06/30/12 | 38 | $ | 28,219 | $ | — | $ | — | $ | 28,219 | |||||||||||
|
|
|
|
|
|
|
|
|
|
7. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
Six Months Ended 06/30/12 | Year Ended 12/31/11 | |||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||
MyDestination 2005 | ||||||||||||
Shares sold | 1,105,268 | 2,593,793 | ||||||||||
Shares reinvested | (1 | ) | 116,996 | |||||||||
Shares redeemed | (576,312 | ) | (1,716,136 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 528,955 | 994,653 | ||||||||||
|
|
|
| |||||||||
MyDestination 2015 | ||||||||||||
Shares sold | 3,938,793 | 5,730,134 | ||||||||||
Shares reinvested | 1 | 497,753 | ||||||||||
Shares redeemed | (964,646 | ) | (3,226,397 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 2,974,148 | 3,001,490 | ||||||||||
|
|
|
| |||||||||
MyDestination 2025 | ||||||||||||
Shares sold | 4,027,707 | 6,560,758 | ||||||||||
Shares reinvested | — | 466,906 | ||||||||||
Shares redeemed | (1,080,882 | ) | (1,915,678 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 2,946,825 | 5,111,986 | ||||||||||
|
|
|
| |||||||||
MyDestination 2035 | ||||||||||||
Shares sold | 2,393,968 | 3,815,906 | ||||||||||
Shares reinvested | — | 270,804 | ||||||||||
Shares redeemed | (242,368 | ) | (889,088 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 2,151,600 | 3,197,622 | ||||||||||
|
|
|
| |||||||||
MyDestination 2045 | ||||||||||||
Shares sold | 1,666,286 | 3,205,647 | ||||||||||
Shares reinvested | — | 342,765 | ||||||||||
Shares redeemed | (226,951 | ) | (1,142,646 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 1,439,335 | 2,405,766 | ||||||||||
|
|
|
| |||||||||
MyDestination 2055(1) | ||||||||||||
Shares sold | 440,625 | |||||||||||
Shares redeemed | (7,134 | ) | ||||||||||
|
| |||||||||||
Net increase (decrease) | 433,491 | |||||||||||
|
|
(1) | Inception date was January 1, 2012 |
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Six Months Ended 06/30/12 | Year Ended 12/31/11 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
Conservative Allocation | ||||||||||||||||
Shares sold | 1,611,264 | 4,736,842 | ||||||||||||||
Shares reinvested | — | 774,598 | ||||||||||||||
Shares redeemed | (1,432,712 | ) | (2,522,493 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 178,552 | 2,988,947 | ||||||||||||||
|
|
|
| |||||||||||||
Balanced Allocation | ||||||||||||||||
Shares sold | 2,357,974 | 4,925,459 | ||||||||||||||
Shares reinvested | (63 | ) | 3,591,708 | |||||||||||||
Shares redeemed | (3,023,342 | ) | (7,775,874 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (665,431 | ) | 741,293 | |||||||||||||
|
|
|
| |||||||||||||
Growth Allocation | ||||||||||||||||
Shares sold | 1,370,223 | 2,685,458 | ||||||||||||||
Shares reinvested | — | 2,175,136 | ||||||||||||||
Shares redeemed | (2,843,801 | ) | (5,925,560 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (1,473,578 | ) | (1,064,966 | ) | ||||||||||||
|
|
|
| |||||||||||||
Aggressive Allocation | ||||||||||||||||
Shares sold | 994,222 | 2,783,580 | ||||||||||||||
Shares reinvested | — | 1,630,524 | ||||||||||||||
Shares redeemed | (2,814,695 | ) | (5,718,840 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (1,820,473 | ) | (1,304,736 | ) | ||||||||||||
|
|
|
| |||||||||||||
Conservative Allocation I | ||||||||||||||||
Shares sold | 556,692 | 1,923,738 | ||||||||||||||
Shares reinvested | — | 206,197 | ||||||||||||||
Shares redeemed | (451,327 | ) | (1,832,819 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 105,365 | 297,116 | ||||||||||||||
|
|
|
| |||||||||||||
Balanced Allocation I | ||||||||||||||||
Shares sold | 1,039,837 | 2,078,500 | ||||||||||||||
Shares reinvested | — | 1,356,300 | ||||||||||||||
Shares redeemed | (1,028,324 | ) | (6,285,739 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 11,513 | (2,850,939 | ) | |||||||||||||
|
|
|
| |||||||||||||
Growth Allocation I | ||||||||||||||||
Shares sold | 502,894 | 1,070,053 | ||||||||||||||
Shares reinvested | — | 622,547 | ||||||||||||||
Shares redeemed | (1,082,289 | ) | (4,153,900 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (579,395 | ) | (2,461,300 | ) | ||||||||||||
|
|
|
| |||||||||||||
Aggressive Allocation I | ||||||||||||||||
Shares sold | 262,568 | 669,885 | ||||||||||||||
Shares reinvested | — | 247,967 | ||||||||||||||
Shares redeemed | (716,292 | ) | (2,692,430 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (453,724 | ) | (1,774,578 | ) | ||||||||||||
|
|
|
|
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Six Months Ended 06/30/12 | Year Ended 12/31/11 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
Money Market | ||||||||||||||||
Shares sold | 38,228,419 | 1,679,988,835 | 154,616,809 | 3,912,748,853 | ||||||||||||
Shares reinvested | 50,773 | 22,851 | 100,970 | 61,686 | ||||||||||||
Shares redeemed | (44,715,547 | ) | (1,663,058,601 | ) | (157,730,463 | ) | (3,931,314,442 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,436,355 | ) | 16,953,085 | (3,012,684 | ) | (18,503,903 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Low-Duration Bond | ||||||||||||||||
Shares sold | 712,853 | 2,681,587 | 1,843,874 | 5,924,041 | ||||||||||||
Shares reinvested | 247,243 | 490,197 | 453,647 | 831,464 | ||||||||||||
Shares redeemed | (476,705 | ) | (761,505 | ) | (2,767,300 | ) | (3,520,556 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 483,391 | 2,410,279 | (469,779 | ) | 3,234,949 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Medium-Duration Bond | ||||||||||||||||
Shares sold | 1,809,785 | 2,740,448 | 2,860,917 | 4,602,896 | ||||||||||||
Shares reinvested | 763,703 | 542,779 | 2,063,646 | 1,463,559 | ||||||||||||
Shares redeemed | (1,620,612 | ) | (823,120 | ) | (6,053,161 | ) | (5,830,313 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 952,876 | 2,460,107 | (1,128,598 | ) | 236,142 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Extended-Duration Bond | ||||||||||||||||
Shares sold | 985,786 | 1,924,929 | 1,402,230 | 3,436,087 | ||||||||||||
Shares reinvested | 624,556 | 368,642 | 2,118,633 | 1,472,133 | ||||||||||||
Shares redeemed | (867,684 | ) | (1,773,370 | ) | (2,508,010 | ) | (6,281,134 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 742,658 | 520,201 | 1,012,853 | (1,372,914 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation Protected Bond | ||||||||||||||||
Shares sold | 2,254,737 | 6,870,551 | ||||||||||||||
Shares reinvested | 339,544 | 571,192 | ||||||||||||||
Shares redeemed | (1,576,624 | ) | (3,163,833 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 1,017,657 | 4,277,910 | ||||||||||||||
|
|
|
| |||||||||||||
Global Bond | ||||||||||||||||
Shares sold | 1,362,496 | 3,165,430 | ||||||||||||||
Shares reinvested | 545,132 | 909,471 | ||||||||||||||
Shares redeemed | (600,745 | ) | (2,970,896 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 1,306,883 | 1,104,005 | ||||||||||||||
|
|
|
| |||||||||||||
Defensive Market Strategies (1) | ||||||||||||||||
Shares sold | 228,294 | 2,972,109 | 7,926,676 | 23,725,418 | ||||||||||||
Shares reinvested | 74,964 | 241,474 | 37,096 | 98,014 | ||||||||||||
Shares redeemed | (292,650 | ) | (294,712 | ) | (658,547 | ) | (240,539 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 10,608 | 2,918,871 | 7,305,225 | 23,582,893 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
(1) Inception date was September 1, 2011. | ||||||||||||||||
Equity Index | ||||||||||||||||
Shares sold | 333,445 | 999,057 | 317,917 | 1,368,781 | ||||||||||||
Shares reinvested | 123,560 | 112,002 | 1,795,569 | 2,092,530 | ||||||||||||
Shares redeemed | (387,189 | ) | (761,139 | ) | (4,509,217 | ) | (11,137,054 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 69,816 | 349,920 | (2,395,731 | ) | (7,675,743 | ) | ||||||||||
|
|
|
|
|
|
|
|
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Six Months Ended 06/30/12 | Year Ended 12/31/11 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
Real Estate Securities | ||||||||||||||||
Shares sold | 2,257,027 | 4,891,242 | ||||||||||||||
Shares reinvested | 89,417 | 116,999 | ||||||||||||||
Shares redeemed | (1,540,141 | ) | (5,295,002 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 806,303 | (286,761 | ) | |||||||||||||
|
|
|
| |||||||||||||
Value Equity | ||||||||||||||||
Shares sold | 661,193 | 1,492,890 | 2,589,631 | 5,616,574 | ||||||||||||
Shares reinvested | 745,335 | 731,791 | 826,519 | 741,275 | ||||||||||||
Shares redeemed | (1,476,876 | ) | (2,386,082 | ) | (7,091,548 | ) | (13,316,054 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (70,348 | ) | (161,401 | ) | (3,675,398 | ) | (6,958,205 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Growth Equity | ||||||||||||||||
Shares sold | 291,608 | 1,555,336 | 1,066,279 | 4,475,293 | ||||||||||||
Shares redeemed | (962,155 | ) | (2,718,989 | ) | (3,506,557 | ) | (10,551,276 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (670,547 | ) | (1,163,653 | ) | (2,440,278 | ) | (6,075,983 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Equity | ||||||||||||||||
Shares sold | 180,275 | 1,008,571 | 570,932 | 3,248,230 | ||||||||||||
Shares reinvested | — | — | 30,315 | 27,656 | ||||||||||||
Shares redeemed | (419,042 | ) | (1,593,778 | ) | (1,756,626 | ) | (6,727,792 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (238,767 | ) | (585,207 | ) | (1,155,379 | ) | (3,451,906 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity | ||||||||||||||||
Shares sold | 1,054,408 | 4,354,110 | 3,565,561 | 14,411,184 | ||||||||||||
Shares reinvested | — | — | 719,368 | 1,592,756 | ||||||||||||
Shares redeemed | (620,864 | ) | (1,516,595 | ) | (3,823,440 | ) | (8,324,290 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 433,544 | 2,837,515 | 461,489 | 7,679,650 | ||||||||||||
|
|
|
|
|
|
|
|
8. BANK BORROWINGS
On October 28, 2011, the Board of Trustees approved the renewal of a credit agreement with Bank of America, N.A. dated December 2, 2011 through December 1, 2012. The agreement permits up to $50 million, collectively. Interest is charged to each Fund based on its borrowings at a rate equal to the Bank Prime plus 0.60% or the Wall Street Journal LIBOR One Month Floating Rate plus 1.00%. Each Fund also pays a facility fee equal to its pro rata share of the amount of the credit facility at a rate of 0.30% per annum.
No Funds borrowed for the period ended June 30, 2012, and there were no outstanding loans at June 30, 2012.
9. FEDERAL INCOME TAXES
Each Fund’s policy is to comply with all sections of the Internal Revenue Code of 1986, as amended, that apply to regulated investment companies and to distribute substantially all of its taxable income and capital gains to shareholders. No provision for income or excise taxes is thus required. Each Fund is treated as a separate entity for federal income tax purposes.
The Funds may be subject to taxes imposed by countries in which they invest in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. Dividend and interest income is recorded net of non-U.S. taxes paid. Gains realized by the Funds on the sale of securities in certain countries
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are subject to non-U.S. taxes. The Funds record a liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities. For the six months ended June 30, 2012, the International Equity Fund accrued non-U.S. taxes on unrealized gains of $44,882.
Management has analyzed the Funds’ tax positions and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. However, management’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to new tax laws, regulations and administrative interpretations (including court decisions). Each of the Funds’ federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by the Funds. Income dividends and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments for futures and options transactions, foreign currency transactions, paydowns, losses deferred due to wash sales, straddles and investments in Passive Foreign Investment Companies (“PFIC’s”). Distributions during the year ended December 31, 2011, were characterized as follows for tax purposes:
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | ||||||||||||||||
MyDestination 2005 | 2011 | $ | 1,118,885 | $ | — | $ | — | $ | 1,118,885 | |||||||||||
2010 | 1,382,009 | — | — | 1,382,009 | ||||||||||||||||
MyDestination 2015 | 2011 | 4,639,060 | — | — | 4,639,060 | |||||||||||||||
2010 | 5,104,591 | — | — | 5,104,591 | ||||||||||||||||
MyDestination 2025 | 2011 | 4,085,427 | — | — | 4,085,427 | |||||||||||||||
2010 | 3,787,639 | — | — | 3,787,639 | ||||||||||||||||
MyDestination 2035 | 2011 | 1,557,736 | 641,898 | — | 2,199,634 | |||||||||||||||
2010 | 1,312,038 | — | — | 1,312,038 | ||||||||||||||||
MyDestination 2045 | 2011 | 778,529 | 1,902,435 | — | 2,680,964 | |||||||||||||||
2010 | 774,737 | 86,307 | — | 861,044 | ||||||||||||||||
Conservative Allocation | 2011 | 4,849,965 | 4,252,565 | — | 9,102,530 | |||||||||||||||
2010 | 6,148,217 | 1,177,999 | — | 7,326,216 | ||||||||||||||||
Balanced Allocation | 2011 | 24,215,019 | 18,074,022 | — | 42,289,041 | |||||||||||||||
2010 | 30,794,116 | — | — | 30,794,116 | ||||||||||||||||
Growth Allocation | 2011 | 12,007,052 | 13,021,185 | — | 25,028,237 | |||||||||||||||
2010 | 17,932,584 | 5,229,092 | — | 23,161,676 | ||||||||||||||||
Aggressive Allocation | 2011 | 7,015,783 | 10,439,039 | — | 17,454,822 | |||||||||||||||
2010 | 7,735,097 | 6,394,992 | — | 14,130,089 | ||||||||||||||||
Conservative Allocation I | 2011 | 1,925,326 | — | — | 1,925,326 | |||||||||||||||
2010 | 2,200,764 | — | — | 2,200,764 | ||||||||||||||||
Balanced Allocation I | 2011 | 12,643,249 | — | — | 12,643,249 | |||||||||||||||
2010 | 15,332,084 | — | — | 15,332,084 | ||||||||||||||||
Growth Allocation I | 2011 | 5,922,267 | — | — | 5,922,267 | |||||||||||||||
2010 | 6,706,135 | — | — | 6,706,135 | ||||||||||||||||
Aggressive Allocation I | 2011 | 2,389,446 | — | — | 2,389,446 | |||||||||||||||
2010 | 2,510,802 | — | — | 2,510,802 | ||||||||||||||||
Money Market | 2011 | 251,150 | — | — | 251,150 | |||||||||||||||
2010 | 408,875 | — | — | 408,875 | ||||||||||||||||
Low-Duration Bond | 2011 | 14,375,468 | 607,824 | — | 14,983,292 | |||||||||||||||
2010 | 19,384,900 | 1,577,570 | — | 20,962,470 |
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Table of Contents
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | ||||||||||||||||
Medium-Duration Bond | 2011 | $ | 35,664,491 | $ | — | $ | — | $ | 35,664,491 | |||||||||||
2010 | 56,868,924 | 6,383,322 | — | 63,252,246 | ||||||||||||||||
Extended-Duration Bond | 2011 | 22,914,621 | 15,984,265 | — | 38,898,886 | |||||||||||||||
2010 | 26,346,080 | 3,455,445 | — | 29,801,525 | ||||||||||||||||
Inflation Protected Bond | 2011 | 5,135,441 | 1,036,828 | — | 6,172,269 | |||||||||||||||
2010 | 4,258,151 | 498,839 | — | 4,756,990 | ||||||||||||||||
Global Bond | 2011 | 8,997,511 | — | — | 8,997,511 | |||||||||||||||
2010 | 12,273,443 | — | — | 12,273,443 | ||||||||||||||||
Defensive Market Strategies | 2011 | 1,375,713 | — | — | 1,375,713 | |||||||||||||||
Equity Index | 2011 | 6,801,014 | 34,862,054 | — | 41,663,068 | |||||||||||||||
2010 | 6,944,528 | — | — | 6,944,528 | ||||||||||||||||
Real Estate Securities | 2011 | 1,079,417 | — | — | 1,079,417 | |||||||||||||||
2010 | 2,634,670 | — | — | 2,634,670 | ||||||||||||||||
Value Equity | 2011 | 16,657,286 | — | — | 16,657,286 | |||||||||||||||
2010 | 16,090,315 | — | — | 16,090,315 | ||||||||||||||||
Growth Equity | 2011 | — | — | — | — | |||||||||||||||
2010 | 174,095 | — | — | 174,095 | ||||||||||||||||
Small Cap Equity | 2011 | 703,937 | — | — | 703,937 | |||||||||||||||
2010 | 1,340,931 | — | — | 1,340,931 | ||||||||||||||||
International Equity | 2011 | 24,239,880 | — | — | 24,239,880 | |||||||||||||||
2010 | 27,463,589 | — | — | 27,463,589 |
At December 31, 2011, the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain/(Capital Loss Carryforward) | Late Year Loss Deferrals | Net Unrealized Appreciation (Depreciation) on Investments | ||||||||||||
MyDestination 2005 | $ | 101,776 | $ | (3,901,075 | ) | $ | (4,204 | ) | $ | (643,039 | ) | |||||
MyDestination 2015 | 1,380,630 | (14,160,461 | ) | — | 5,398,440 | |||||||||||
MyDestination 2025 | 607,362 | (2,461,097 | ) | (9,889 | ) | (821,681 | ) | |||||||||
MyDestination 2035 | — | — | (19,797 | ) | (1,158,886 | ) | ||||||||||
MyDestination 2045 | — | 134,417 | (15,860 | ) | 2,774,840 | |||||||||||
Conservative Allocation | — | 247,642 | (4,648 | ) | 13,988,022 | |||||||||||
Balanced Allocation | 50,914 | 2,939,626 | — | 26,588,163 | ||||||||||||
Growth Allocation | 45,039 | 1,322,301 | — | (14,515,819 | ) | |||||||||||
Aggressive Allocation | 42,648 | 1,409,043 | — | (42,399,775 | ) | |||||||||||
Conservative Allocation I | 710,653 | (3,828,995 | ) | (1,003 | ) | (1,748,740 | ) | |||||||||
Balanced Allocation I | 5,272,598 | (20,642,924 | ) | (2,950,881 | ) | (28,420,598 | ) | |||||||||
Growth Allocation I | 1,464,387 | (7,718,852 | ) | (4,551,784 | ) | (29,838,522 | ) | |||||||||
Aggressive Allocation I | 2,287,519 | (9,405,198 | ) | (2,406,803 | ) | (31,644,360 | ) | |||||||||
Money Market | 38 | — | — | — | ||||||||||||
Low-Duration Bond | 3,023,788 | 430,869 | — | (13,774,385 | ) | |||||||||||
Medium-Duration Bond | 3,888,726 | — | — | (7,598,920 | ) | |||||||||||
Extended-Duration Bond | 220,138 | 1,194,165 | — | 40,615,977 | ||||||||||||
Inflation Protected Bond | 1,768,527 | 36,045 | — | 10,317,132 | ||||||||||||
Global Bond | 1,370,849 | (11,694,277 | ) | (970,419 | ) | 7,295,544 | ||||||||||
Defensive Market Strategies | 1,019,123 | — | (2,201 | ) | 5,133,141 | |||||||||||
Equity Index | 73,937 | 619,636 | — | 26,725,150 | ||||||||||||
Real Estate Securities | 184,497 | (18,541,454 | ) | — | 14,695,433 | |||||||||||
Value Equity | 7,684,176 | (115,825,440 | ) | (2,706,046 | ) | (46,567,232 | ) | |||||||||
Growth Equity | — | — | (1,718,911 | ) | 167,874,635 | |||||||||||
Small Cap Equity | 65,981 | (9,852,173 | ) | (3,110,962 | ) | 31,652,862 | ||||||||||
International Equity | — | (111,653,443 | ) | (12,118,261 | ) | (113,641,905 | ) |
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For Federal income tax purposes, realized capital losses may be carried forward and applied against future realized capital gains. Capital loss carryovers and their expiration dates, were as follows as of December 31, 2011:
Expiring December 31, | 2016 | 2017 | 2018 | Unlimited | Total | |||||||||||||||
MyDestination 2005 | $ | — | $ | 2,332,745 | $ | 1,568,330 | $ | — | $ | 3,901,075 | ||||||||||
MyDestination 2015 | 889,637 | 3,304,014 | 3,056,941 | 6,909,869 | 14,160,461 | |||||||||||||||
MyDestination 2025 | — | 1,284,239 | — | 1,176,858 | 2,461,097 | |||||||||||||||
Conservative Allocation I | 574,891 | 2,885,574 | 368,530 | — | 3,828,995 | |||||||||||||||
Balanced Allocation I | 4,262,186 | 5,929,663 | 3,461,879 | 6,989,196 | 20,642,924 | |||||||||||||||
Growth Allocation I | 412,556 | 2,508,443 | 1,253,278 | 3,544,575 | 7,718,852 | |||||||||||||||
Aggressive Allocation I | 3,489,043 | 902,289 | 2,119,350 | 2,894,516 | 9,405,198 | |||||||||||||||
Global Bond | — | 9,635,041 | — | 2,059,236 | 11,694,277 | |||||||||||||||
Real Estate Securities | — | 18,541,454 | — | — | 18,541,454 | |||||||||||||||
Value Equity | 12,474,679 | 103,350,761 | — | — | 115,825,440 | |||||||||||||||
Small Cap Equity | — | 9,852,173 | — | — | 9,852,173 | |||||||||||||||
International Equity | — | 111,653,443 | — | — | 111,653,443 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carryforward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. Such losses are presented in the table above under the column heading “Unlimited.” However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term losses as under previous law.
At June 30, 2012, the aggregate cost of investment securities for federal income tax purposes (excluding foreign currency, securities sold short and derivative related items) and the net unrealized appreciation from investments for those securities having an excess of value over cost and net unrealized depreciation from investments for those securities having an excess of cost over value (based on cost for federal income tax purposes) were as follows:
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||||||||||
MyDestination 2005 | $ | 72,049,925 | $ | 811,900 | $ | 811,907 | $ | (7 | ) | |||||||
MyDestination 2015 | 301,878,111 | 17,725,324 | 17,725,336 | (12 | ) | |||||||||||
MyDestination 2025 | 309,624,508 | 14,460,963 | 21,804,698 | (7,343,735 | ) | |||||||||||
MyDestination 2035 | 152,832,958 | 6,747,372 | 12,419,957 | (5,672,585 | ) | |||||||||||
MyDestination 2045 | 99,935,839 | 8,648,954 | 9,762,676 | (1,113,722 | ) | |||||||||||
MyDestination 2055 | 7,215,169 | (2,647,786 | ) | — | (2,647,786 | ) | ||||||||||
Conservative Allocation | 284,866,189 | 20,710,793 | 20,710,875 | (82 | ) | |||||||||||
Balanced Allocation | 1,077,196,366 | 70,873,027 | 91,940,307 | (21,067,280 | ) | |||||||||||
Growth Allocation | 786,488,957 | 27,411,748 | 61,972,926 | (34,561,178 | ) | |||||||||||
Aggressive Allocation | 701,567,047 | (2,418,120 | ) | 54,144,484 | (56,562,604 | ) | ||||||||||
Conservative Allocation I | 78,461,994 | (695,374 | ) | — | (695,374 | ) | ||||||||||
Balanced Allocation I | 343,211,705 | (15,692,844 | ) | — | (15,692,844 | ) | ||||||||||
Growth Allocation I | 222,735,922 | (18,213,946 | ) | — | (18,213,946 | ) | ||||||||||
Aggressive Allocation I | 156,361,525 | (22,771,252 | ) | — | (22,771,252 | ) | ||||||||||
Money Market | 1,288,345,443 | — | — | — | ||||||||||||
Low-Duration Bond | 922,081,919 | (1,682,844 | ) | 9,143,368 | (10,826,212 | ) | ||||||||||
Medium-Duration Bond | 1,212,771,070 | 12,906,012 | 31,167,858 | (18,261,846 | ) | |||||||||||
Extended-Duration Bond | 405,833,889 | 58,199,816 | 63,200,715 | (5,000,899 | ) |
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Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||||||||||
Inflation Protected Bond | $ | 166,052,162 | $ | 10,442,709 | $ | 11,141,148 | $ | (698,439 | ) | |||||||
Global Bond | 216,228,132 | 7,533,817 | 11,201,541 | (3,667,724 | ) | |||||||||||
Defensive Market Strategies | 379,404,088 | 13,370,218 | 17,353,626 | (3,983,408 | ) | |||||||||||
Equity Index | 220,662,940 | 43,484,226 | 60,344,338 | (16,860,112 | ) | |||||||||||
Real Estate Securities | 182,756,024 | 23,014,096 | 23,281,380 | (267,284 | ) | |||||||||||
Value Equity | 1,191,170,059 | 17,660,468 | 115,490,074 | (97,829,606 | ) | |||||||||||
Growth Equity | 1,049,197,628 | 241,744,358 | 270,698,687 | (28,954,329 | ) | |||||||||||
Small Cap Equity | 537,556,200 | 34,410,839 | 52,272,790 | (17,861,951 | ) | |||||||||||
International Equity | 1,444,948,266 | (88,352,370 | ) | 56,179,058 | (144,531,428 | ) |
The differences between book basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and investments in PFIC’s.
At December 31, 2011, capital contributions, accumulated undistributed net investment income and accumulated net realized gain (loss) from investments have been adjusted for current period permanent book/tax differences which arose principally from differing book/tax treatments of PFICs, paydown losses, net operating losses, swaps, foreign currency transactions, distributions received from regulated investment companies, defaulted bonds, reclassifications of dividends paid and non-deductible expenses. The following amounts were reclassified within the capital accounts:
Fund | Paid in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions | |||||||||
MyDestination 2005 | $ | (746 | ) | $ | 219,485 | $ | (218,739 | ) | ||||
MyDestination 2015 | (149 | ) | 669,804 | (669,655 | ) | |||||||
MyDestination 2025 | — | 326,670 | (326,670 | ) | ||||||||
MyDestination 2035 | (825 | ) | 31,033 | (30,208 | ) | |||||||
MyDestination 2045 | — | 1,504 | (1,504 | ) | ||||||||
Conservative Allocation | — | 643,918 | (643,918 | ) | ||||||||
Balanced Allocation | — | 2,533,832 | (2,533,832 | ) | ||||||||
Growth Allocation | — | 875,345 | (875,345 | ) | ||||||||
Aggressive Allocation | — | 94 | (94 | ) | ||||||||
Conservative Allocation I | — | 209,688 | (209,688 | ) | ||||||||
Balanced Allocation I | (37 | ) | 1,466,233 | (1,466,196 | ) | |||||||
Growth Allocation I | — | 460,458 | (460,458 | ) | ||||||||
Aggressive Allocation I | — | 19 | (19 | ) | ||||||||
Money Market | — | (7,221 | ) | 7,221 | ||||||||
Low-Duration Bond | — | 2,089,361 | (2,089,361 | ) | ||||||||
Medium-Duration Bond | — | 1,496,640 | (1,496,640 | ) | ||||||||
Extended-Duration Bond | — | 600,009 | (600,009 | ) | ||||||||
Inflation Protected Bond | — | 146,706 | (146,706 | ) | ||||||||
Global Bond | — | 60,396 | (60,396 | ) | ||||||||
Defensive Market Strategies | — | 180,315 | (180,315 | ) | ||||||||
Equity Index | — | 2,654 | (2,654 | ) | ||||||||
Real Estate Securities | — | 27 | (27 | ) | ||||||||
Value Equity | — | 214 | (214 | ) | ||||||||
Growth Equity | (1,254,162 | ) | 1,251,106 | 3,056 | ||||||||
Small Cap Equity | — | 82,768 | (82,768 | ) | ||||||||
International Equity | (401,193 | ) | 1,618,819 | (1,217,626 | ) |
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.
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10. MARKET AND CREDIT RISK
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where the risk of potential loss exists due to changes in the market (market risk) or due to the failure of the other party to a transaction to perform (credit and counterparty risks).
Market Risks — A Fund’s investments in derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.
If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the returns of the Fund.
The market values of equities, such as common stocks and preferred stocks, or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. Market values may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.
A Fund’s investments in commodity-linked derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Credit and Counterparty Risks — A Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. A Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
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Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. The investment advisers minimize counterparty risks to the Funds by performing extensive reviews of each counterparty and obtaining approval from the Counterparty Risk Committee prior to entering into transactions with a third party. All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
The Low-Duration Bond Fund, Medium-Duration Bond Fund and International Equity Fund are parties to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Funds is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s portfolio or Statements of Assets and Liabilities. Collateral posted to the Funds which can not be sold or repledged totaled $2,690,000, $3,340,020 and $210,000 in the Low-Duration Bond Fund, Medium-Duration Bond Fund and International Equity Fund, respectively, at June 30, 2012. Collateral can be in the form of cash, debt securities, equities or other securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the Fund’s net position with each counterparty.
11. LEHMAN BROTHERS
On September 15, 2008, Lehman Brothers Holdings Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code. On September 19, 2008, a proceeding under the Securities Investor Protection Act (SIPA) was commenced with respect to Lehman Brothers Inc., a broker-dealer. A trustee appointed under SIPA is administering the bankruptcy estate of Lehman Brothers Inc. Lehman Brothers International (Europe) was placed in administration under the UK Insolvency Act on September 15, 2008. Lehman Brothers Special Financing Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code on October 3, 2008. In connection with these filings, the Lehman Brothers group of companies (collectively “Lehman Brothers”) will be reorganized and/or liquidated in an orderly fashion, subject to court approval. Each Lehman Brothers entity is a separate legal entity that is subject to its own bankruptcy proceeding.
The Low-Duration Bond, Medium-Duration Bond, Global Bond and Small Cap Equity Funds had select holdings, credit default swap agreements, and securities and derivatives transactions outstanding with Lehman Brothers entities as issuer, referenced entity, counterparty or guarantor at the time the relevant Lehman Brothers entity filed for protection or was placed in administration. The security holdings, credit default swap agreements, and securities and derivatives transactions associated with Lehman Brothers have been written down to their estimated recoverable values. Anticipated losses for securities and derivatives transactions associated with Lehman Brothers have been incorporated as components of other receivables on the Statement of Assets and Liabilities and net changes in unrealized appreciation (depreciation) on the Statement of Operations. A facilitated auction occurred on October 10, 2008, comprising multiple pre-approved brokerage agencies to determine the estimated recovery rate for holdings and credit default swap agreements with Lehman Brothers Holdings Inc. as referenced entity. These recovery rates have been utilized in determining estimated recovery values. Claims against Lehman Brothers have been filed on behalf of GuideStone Funds in accordance with the filing requirements.
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The Funds’ Sub-Advisers, on behalf of GSCM, have delivered notices of default to the relevant Lehman Brothers entities in accordance with the terms of the applicable agreements. For transactions with Lehman Brothers’ counterparties, the Sub-Advisers have terminated the trades, have obtained quotations from brokers for replacement trades and, where deemed appropriate, have re-opened positions with new counterparties.
In March 2012, notification regarding the plan of bankruptcy for certain Lehman bonds was received. On March 30, 2012, these bonds held in Low-Duration Bond, Medium-Duration Bond and Small Cap Equity Funds were converted to escrow bonds at a 1:1 ratio. There was no impact to the net assets of the Funds.
12. SUBSEQUENT EVENTS
Subsequent events have been evaluated through the date that the financial statements were available to be issued. All subsequent events determined to be relevant and material to the financial statements have been appropriately recorded or disclosed.
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Information pertaining to the Trustees and officers of the Trust is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling 1-888-98-GUIDE (1-888-984-8433).
Name, (DOB), Address and Position(s) with Trust | Term of Office | Principal Occupation(s) During Past 5 Years | Number of | Other Trusteeships/ Directorships Held by Trustee | ||||
DISINTERESTED TRUSTEES2 | ||||||||
Michael R. Buster (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2005 | Executive Pastor, Prestonwood Baptist Church, 1989 – present. | 27 | Ouachita Baptist University – Board of Trustees Member | ||||
Peter L. Chamberlain, Ph.D. (1951) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2008 | Retired — Senior Financial Analyst, Summit Wealth Management, Inc., 2007 – 2010; President, B.R. Chamberlain & Sons, Inc., 1990 – 2006 Registered Investment Adviser. | 27 | First Baptist Church of Orlando — Board of Trustees Member and Strategy Team; Rollins College Board of Overseers/Corporate Council — Member; The B.R. Chamberlain Foundation for Public Entertainment — President | ||||
Carson L. Eddy (1943) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2011 | Partner in Charge (Orlando office), Carr, Riggs & Ingram, LLC, 2007 – present — Certified Public Accountants; President, Quantum Consulting Group LLC, 2000 – present; Managing Partner, Cuthill & Eddy LLC, 1993 – 2007 – Certified Public Accountants. | 27 | N/A | ||||
William Craig George (1958) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2004 | Chief Credit Officer, CapStone Bank, 2011 – present; Executive Vice President/ Regional Credit Officer, SunTrust Bank, 1995 – 2011. | 27 | N/A | ||||
Grady R. Hazel (1947) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2011 | G400 Field Representative, American Institute of Certified Public Accountants, 2012 – present; Executive Director, Society of Louisiana CPAs, 1995 – 2012. | 27 | Neighbors Federal Credit Union —Board of Directors Member and Chairman of Audit Committee; Stonetrust Commercial Insurance Company — Board of Directors Member and Member of Audit Committee | ||||
Joseph A. Mack (1939) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2002 | Retired — Director, Office of Public Policy, South Carolina Baptist Convention, 1999 – 2010. | 27 | N/A | ||||
Franklin R. Morgan (1943) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2005 | Retired — Senior Vice President, Director of International Administration, Prudential Securities, Inc., January 1962 – May 2003. | 27 | N/A | ||||
William T. Patterson (1939) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2009 | Managing Partner, Patterson Capital, LLC, October 2007 – present; Senior Vice President, Wachovia Securities LLC, July 2003 – January 2007; Senior Vice President, Prudential Financial Inc., October 2000 – July 2003. | 27 | Therizo Capital Management — Director and Chairman of Audit Committee | ||||
INTERESTED TRUSTEES23 | ||||||||
James W. Hixson (1931) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2010 | Retired | 27 | GuideStone Financial Resources — Board of Trustees Member, June 2008 — present; GuideStone Advisors — Board of Directors Member, July 2008 — present; GuideStone Financial Services — Board of Directors Member, July 2008 — present |
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FUND MANAGEMENT (Continued)
Name, (DOB), Address and Position(s) with Trust | Term of Office | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee | ||||
OFFICERS WHO ARE NOT TRUSTEES4 | ||||||||
Ron W. Bass (1966) 2401 Cedar Springs Road Dallas, TX 75201-1407 Chief Compliance Officer and AML Officer. | Since 2009 | Director of Broker/Dealer and RIA Compliance, GuideStone Financial Resources, June 2009 – present; Manager of Broker/Dealer and RIA Compliance, GuideStone Financial Resources, 2008 – May 2009; Marketing Compliance Manager, GuideStone Financial Resources, 2005 – present; Compliance Specialist, GuideStone Financial Resources, 2004 –2005. | N/A | N/A | ||||
Jeffrey P. Billinger (1946) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Treasurer | Since 2000 | Executive Officer and Treasurer, GuideStone Financial Resources, 1995 – present. | N/A | N/A | ||||
Rodric E. Cummins (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Investment Officer | Since 2000 | Executive Officer and Chief Investment Officer, GuideStone Financial Resources, 1998 – present. | N/A | N/A | ||||
John R. Jones (1953) 2401 Cedar Springs Road Dallas, TX 75201-1407 President | Since 2000 | Executive Vice President and Chief Operating Officer, GuideStone Financial Resources, 1995 – present. | N/A | N/A | ||||
Rodney R. Miller (1953) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President, Secretary and Chief Legal Officer | Since 2000 | General Counsel, Legal and Compliance, GuideStone Financial Resources, 1995 – present. | N/A | N/A | ||||
Patricia A. Weiland (1959) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President – Fund Operations and Sales | Since 2000 | Executive Officer, Financial Solutions and Services, GuideStone Financial Resources, 2006 – present; Director, Mutual Funds, GuideStone Financial Resources, 2000 – 2006. | N/A | N/A |
1 | Each Independent Trustee serves until his or her resignation, removal or mandatory retirement. Each Interested Trustee serves until his or her resignation, removal or mandatory retirement or until he or she ceases to be a member of the board of trustees of GuideStone Financial Resources. All Trustees must retire after reaching the age of seventy-seven years or after achieving ten years of service, whichever occurs last. Officers serve at the pleasure of the Board of Trustees. |
2 | The Trust pays no compensation to the Trustees. The Trust reimburses the Trustees for any expenses incurred in attending meetings. The Trust does not compensate the officers for the services they provide to the Funds. |
3 | Mr. Hixson is an “interested person” of the Trust as the term is defined in the Investment Company Act of 1940, due to his position on the Board of Trustees of GuideStone Financial Resources. |
4 | The executive officers of the Trust may be deemed to be affiliates of the Adviser due to their positions with the Adviser and/or GuideStone Financial Resources. |
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PROXY VOTING
A description of the policies and procedures that GuideStone Funds uses to determine how to vote proxies relating to their portfolio securities as well as information regarding how GuideStone Funds voted proxies during the most recent 12-month period ended June 30 is available without charge by calling 1-888-98-GUIDE (1-888-984-8433), by visiting our website at www.GuideStoneFunds.org or by visiting the SEC’s website at www.sec.gov.
FORM N-MFP
Beginning December 2009, the GuideStone Money Market Fund began filing Form N-MFP with the SEC. Form N-MFP is filed on a monthly basis by money market mutual funds and includes detailed information about a money market fund’s investments and the market-based price of its portfolio known as its “shadow NAV” or mark-to-market valuation. The portfolio holdings information is posted on our website, www.GuideStoneFunds.org within five business days after the end of the month. Form N-MFP is made available online with a 60-day delay at www.sec.gov.
QUARTERLY SCHEDULES OF INVESTMENTS
In addition to the semi-annual and annual reports that GuideStone Funds delivers to shareholders and makes available through its website, GuideStone Funds files a complete schedule of portfolio holdings with the SEC for each Fund’s first and third fiscal quarters on Form N-Q. GuideStone Funds does not deliver the schedule for the first and third fiscal quarters to shareholders, however the schedule is posted to our website, www.GuideStoneFunds.org. You may also obtain the Form N-Q filings by accessing the SEC’s website at www.sec.gov or copy them at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling the SEC at (800) 732-0330. You can also request copies of this information, upon payment of a fee for duplication, at the SEC’s email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.
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BOARD REVIEW OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENT FOR MYDESTINATION 2055 FUND (Unaudited)
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Trustees (the “Board”) of GuideStone Funds (the “Trust”), including all of the Trustees who are not “interested persons” of the Trust, as that term is defined within the meaning of Section 2(a)(19) of the 1940 Act (the “Independent Trustees”), considered the approval of the Advisory Agreement between GuideStone Capital Management (the “Adviser”) and the Trust on behalf of the MyDestination 2055 Fund (the “New Fund” or “2055 Fund”) (the “New Advisory Agreement”) and the approval of a sub-advisory agreement with The Clifton Group Investment Management Company (“Clifton”) for cash management services with respect to the cash overlay program (the “2055 Fund Sub-Advisory Agreement”). The Board approved the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement for a two-year term at an in-person meeting of the Board held on September 8-9, 2011. The New Fund commenced operations on January 1, 2012.
The Board’s decision to approve the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement reflects the exercise of its business judgment to enter into such agreements. In approving the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement, the Board considered information provided by the Adviser and Clifton to the New Fund with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.
The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement. The factors considered by the Board included, but were not limited to, the following: (i) the resources of the Adviser and Clifton; (ii) the experience and expertise of the Adviser and Clifton; (iii) the financial capability of the Adviser and Clifton; (iv) the compliance procedures and history of the Adviser and Clifton; (v) the amount of the contractual advisory and sub-advisory fees in comparison to similarly-managed funds and the Adviser’s and Clifton’s other clients and the effect of any fee waiver and expense reimbursement arrangement; (vi) the total expenses of the New Fund in comparison to similarly managed funds and the use of past and anticipated expense caps; (vii) the anticipated profitability of the Adviser and Clifton with respect to the New Fund and its overall business; (viii) the extent of any anticipated economies of scale and whether the fee structure reflects such economies of scale; (ix) the existence of any collateral benefits to be realized by the Adviser and Clifton; and (x) the existence of any collateral benefits to be realized by the New Fund. No one factor was determinative in the Board’s consideration of the agreements.
The Board undertook a review of the terms of the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement and the nature and quality of the services to be provided by the Adviser and Clifton. The Adviser provided the Board with substantial information in the form of reports about the New Fund, the Adviser and Clifton prior to the meeting which addressed most, if not all, of the factors listed previously. The Adviser also provided additional information about the Adviser and the sub-adviser in a presentation made during the meeting, discussed the screening process used to recommend Clifton and responded to questions from the Board. In addition, the Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement as well as the Board’s responsibilities and duties in approving each matter.
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT FOR MYDESTINATION 2055 FUND
In considering the approval of the New Advisory Agreement on behalf of the New Fund, the Board took into account all the materials provided prior to and during the meeting, the presentations made during the meeting and the discussions during the meeting, including the discussion the Independent Trustees had during their executive session with counsel to the Independent Trustees. More specifically, the Board examined the nature, extent and quality of the services to be provided by the Adviser to the New Fund. The Board evaluated the Adviser’s experience in serving as an investment adviser to the existing Date Target Funds. The Board noted the experience of key personnel in providing investment management and administrative services and the systems used by such persons and the Adviser’s ability to attract and retain capable personnel. The Board noted the reputation, compliance history, compliance program and financial condition of the Adviser. The Board noted the terms of the agreement and the responsibilities that the Adviser has as an investment adviser to the New Fund, including oversight of general fund compliance and compliance with social restrictions and the implementation of Board directives as they relate to the New
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Fund. The Board also noted that, except for the identity of the New Fund and its management fee, the New Advisory Agreement is identical in all material respects to the other advisory agreements entered into by the Trust. The Board concluded that the New Fund is likely to benefit from the extent and quality of these services as a result of the Adviser’s experience, personnel, operations and resources.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the New Advisory Agreement.
In considering the approval of the 2055 Fund Sub-Advisory Agreement on behalf of the New Fund, the Board took into account all the materials provided prior to and during the meeting, the presentations made during the meeting and the extensive discussions during the meeting, including the discussion the Independent Trustees had during their executive session with their independent legal counsel. The Board considered its responsibilities with respect to reviewing and approving the terms of the 2055 Fund Sub-Advisory Agreement, the investment management process at Clifton, the reasonableness of the sub-advisory fees and whether the appointment of Clifton would benefit the New Fund. The Board reviewed the factors that it should consider in evaluating whether to approve the 2055 Fund Sub-Advisory Agreement and the materials provided to support each factor.
The Board considered the reputation, compliance history, compliance program and financial condition of Clifton. The Board also considered the experience of key personnel at the sub-adviser in providing investment management services to the New Fund, the systems and resources used by such persons to implement and manage the strategy and the ability of Clifton to attract and retain capable personnel. The Board also noted the terms of the 2055 Fund Sub-Advisory Agreement and the responsibilities that the sub-adviser has to the New Fund. The Board noted the various dimensions that Clifton brought to the cash overlay program, namely the ability to use both U.S. Treasury futures and physical securities and the firm’s performance reporting capabilities. The Board noted that although Clifton’s fee schedule did not provide for any future breakpoints, the Adviser had been able to negotiate fees that were favorable to the Trust. The Board noted that the Sub-Advisory Agreement with Clifton would remain the same as the Trust’s other current contractual arrangements with Clifton. The Board considered the Adviser’s assessment of Clifton’s financial condition. The Board noted that the Adviser, after reviewing certain financial information provided by Clifton, felt comfortable that Clifton was financially sound.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the 2055 Fund Sub-Advisory Agreement.
BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR INTERNATIONAL EQUITY FUND
As required by the 1940 Act, the Board, including all the Independent Trustees, considered the approval of the following new sub-advisory agreements on behalf of the International Equity Fund: (i) Barrow, Hanley, Mewhinney & Strauss, LLC (“BHMS”) and (ii) AQR Capital Management, LLC (“AQR”). The Board approved the new sub-advisory agreement with BHMS for a two-year term at an in-person meeting of the Board held on February 24, 2012. The Board approved the new sub-advisory agreement with AQR for a two-year term at an in-person meeting of the Board held on May 22, 2012 (the sub-advisory agreements for BHMS and AQR are collectively referred to herein as the “New Sub-Advisory Agreements”).
The Board’s decision to approve the New Sub-Advisory Agreements reflects the exercise of its business judgment to enter into new or amended sub-advisory arrangements. In approving the New Sub-Advisory Agreements, the Board considered information provided by the Adviser and each of the aforementioned sub-advisers with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.
With respect to the International Equity Fund, the Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the New Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to, the following: (i) the resources of BHMS and AQR; (ii) the experience and expertise of BHMS and AQR; (iii) the financial capability of BHMS and AQR; (iv) the compliance procedures and history of BHMS and AQR; (v) the performance of similarly-managed funds and accounts in comparison to relevant benchmarks for the International Equity Fund; (vi) the costs of the services to be provided by AQR or BHMS; (vii) the amount of the contractual sub-advisory fee in comparison to similarly-managed funds and any available information for BHMS and AQR’s other similarly situated clients; (viii) the total expenses of the International Equity Fund in comparison to similarly-managed funds and the use of any anticipated expense caps; (ix) to the extent available, the anticipated profitability of BHMS
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and AQR with respect to the International Equity Fund and its overall business; (x) the extent of any economies of scale and whether the fee structure reflects such economies of scale; (xi) the existence of any collateral benefits to be realized by BHMS and AQR; and (xii) the existence of any collateral benefits to be realized by the International Equity Fund. No one factor was determinative in the Board’s consideration of the New Sub-Advisory Agreements.
The Board undertook a review of the terms of the New Sub-Advisory Agreements, and the nature and quality of the services to be provided by BHMS and AQR. The Adviser provided the Board with detailed information in the form of reports about BHMS and AQR prior to the meeting which addressed most, if not all, of the factors listed previously. The Adviser also provided additional information about BHMS and AQR in a presentation made during the meeting, discussed the comprehensive screening process used to recommend BHMS and AQR and responded to questions from the Board.
The Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the New Sub-Advisory Agreements, including the Board’s responsibilities and duties in approving each matter.
BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR INTERNATIONAL EQUITY FUND
In considering the approval of the New Sub-Advisory Agreements for the International Equity Fund, the Board took into account the materials provided prior to and during the meeting, the presentations made during the meeting and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with counsel to the Independent Trustees. The Board considered its responsibilities with respect to reviewing and approving the terms of the New Sub-Advisory Agreements, the investment management teams at BHMS and AQR, the reasonableness of the sub-advisory fees and whether the appointment of each sub-adviser would be reasonable and fair to the shareholders of the International Equity Fund. The Board reviewed the factors that it should consider in evaluating whether to approve the New Sub-Advisory Agreements and the materials provided to support each factor.
The Board considered the reputation, compliance history, compliance program and financial condition of BHMS and AQR. The Board also considered the experience of key personnel at each sub-adviser in providing investment management services to the International Equity Fund, the systems and resources used by such persons to implement and manage the strategy and the ability of each sub-adviser to attract and retain capable personnel. The Board also noted the terms of the New Sub-Advisory Agreements and the responsibilities that each sub-adviser has to the International Equity Fund, including the responsibility of day-to-day management and compliance with the Fund’s policies and objective. The Board concluded that the International Equity Fund is likely to benefit from the extent and quality of the services with respect to each sub-adviser’s experience, personnel, operations and resources.
More specifically, the Board examined the nature, extent and quality of the services to be provided by BHMS on behalf of the International Equity Fund. The Board noted the experience of BHMS in providing investment management services to another Fund in the Trust complex. In particular, the Board noted the experience BHMS provides in managing a portion of another Fund within the Trust. The Board considered the core value-oriented strategy to be implemented by BHMS and noted that the strategy will complement other strategies currently utilized in the International Equity Fund and, as such, will enhance the Fund’s valueoriented exposure. While noting that past performance does not indicate future results, the Trustees noted that the proposed BHMS International Value Equity strategy had outperformed its benchmark index (MSCI EAFE Index), which is not a specific value-oriented index, over the one-, three- and five-year and since inception periods ended December 31, 2011. The Trustees noted that the investment performance of the BHMS International Value Equity strategy ranked in the second quartile among peers for the one-, three and five-year and since inception periods ended December 31, 2011.
The Board examined the proposed fees, noting that the proposed sub-advisory fees to be paid to BHMS had been negotiated and included relationship pricing. The Board received and considered information about the potential of BHMS to contribute economies of scale as the Fund grows in size. The Board noted that the Fund’s aggregate management fees would increase by approximately 0.01% (one basis point), based on current Fund assets, as a result of the appointment of BHMS. The Board also noted that the Fund, and not the Adviser, pays fees to BHMS directly. Therefore, the appointment of BHMS is not expected to affect the Adviser’s profitability.
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The Board examined the nature, extent and quality of the services to be provided by AQR on behalf of the International Equity Fund. The Board noted the experience of key personnel at AQR in providing investment management services. In particular, the Board noted the experience AQR provides in managing a portion of other series within the Trust, including the International Equity Fund. While noting that past performance does not indicate future results, the Trustees noted that the proposed AQR Emerging Markets Equity Strategy had outperformed its benchmark index (MSCI EM Index), over the one-, two- and three-year and since inception periods ended March 31, 2012. The Board noted that the investment performance of the AQR Emerging Markets Equity Strategy ranked in the second quartile for the one-year period and in the first quartile for the two- and three-year and since inception periods ended March 31, 2012. The Board noted that although AQR had not yet managed the strategy for a registered investment company, the Adviser did not believe that the investment performance of the strategy would be adversely affected by restrictions that apply to registered investment companies. The Board noted that AQR’s Emerging Markets Equity Strategy would provide diversification benefits to the overall sub-adviser composite and, as such, will enhance the International Equity Fund’s emerging markets exposure. The Board noted that although AQR’s fee schedule did not provide for future breakpoints in the sub-advisory fee given the proposed allocation of assets to the Emerging Markets Equity Strategy, the Adviser had been able to negotiate fees that were favorable in comparison to AQR’s standard fee schedule. The Board considered that the aggregate management fee for the International Equity Fund would not increase, based on current fund assets, as a result of the appointment of AQR.
The Board noted the terms of the New Sub-Advisory Agreements and the responsibilities of each sub-adviser, including oversight of general fund compliance and compliance with the Trust’s social restrictions. The Board considered the Adviser’s assessment of each sub-adviser’s financial condition. The Board noted that the Adviser, after reviewing certain financial information provided by each sub-adviser, felt comfortable that each sub-adviser was financially sound.
Based on all the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the New Sub-Advisory Agreements.
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INVESTMENT SUB-ADVISERS (Assets under management as of June 30, 2012) (Unaudited)
GuideStone Funds employs a broad array of proven investment managers for the benefit of their investors. Each manager is distinctive in its investment management process and business approach.
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||||||
Money Market | BlackRock Advisors, LLC | 1994 | $ | 3.6Tr | ||||||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1988 | $ | 3.6Tr | ||||||
Payden & Rygel | 1983 | $ | 72.3B | |||||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | $ | 1.8Tr | |||||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ | 716.1B | ||||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | $ | 1.8Tr | |||||||
Western Asset Management Company | 1971 | $ | 346.1B | |||||||
Western Asset Management Company Limited | 1971 | $ | 40.2B | |||||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 171.4B | ||||||
STW Fixed Income Management Ltd. | 1977 | $ | 11.7B | |||||||
Inflation Protected Bond | BlackRock Financial Management, Inc. | 1988 | $ | 3.6Tr | ||||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 171.4B | ||||||
Western Asset Management Company | 1971 | $ | 346.1B | |||||||
Western Asset Management Company Limited | 1971 | $ | 40.2B | |||||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $ | 118.6B | ||||||
AQR Capital Management, LLC | 1998 | $ | 54.6B | |||||||
Shenkman Capital Management, Inc. | 1985 | $ | 20.3B | |||||||
Turner Investments, L.P. | 1990 | $ | 11.8B | |||||||
Equity Index | Northern Trust Investments, Inc. | 1889 | $ | 704.3B | ||||||
Real Estate Securities | RREEF America L.L.C. | 1975 | $ | 52.4B | ||||||
Value Equity | Aronson Johnson Ortiz, LP | 1984 | $ | 20.3B | ||||||
Barrow, Hanley, Mewhinney & Straus, LLC | 1979 | $ | 65.2B | |||||||
Northern Trust Investments, Inc. | 1889 | $ | 704.3B | |||||||
TCW Investment Management Company | 1971 | $ | 127.3B | |||||||
Growth Equity | Columbus Circle Investors | 1975 | $ | 14.8B | ||||||
Marsico Capital Management, LLC | 1997 | $ | 32.6B | |||||||
Rainier Investment Management, Inc.® | 1991 | $ | 14.5B | |||||||
Sands Capital Management, LLC | 1992 | $ | 23.5B | |||||||
Small Cap Equity | Aronson Johnson Ortiz, LP | 1984 | $ | 20.3B | ||||||
Columbus Circle Investors | 1975 | $ | 14.8B | |||||||
Lord, Abbett & Co. LLC | 1929 | $ | 117.4B | |||||||
TimesSquare Capital Management, LLC | 2000 | $ | 14.1B | |||||||
Western Asset Management Company | 1971 | $ | 346.1B | |||||||
Western Asset Management Company Limited | 1971 | $ | 40.2B | |||||||
International Equity | AQR Capital Management, LLC | 1998 | $ | 54.6B | ||||||
Baillie Gifford Overseas Limited | 1908 | $ | 119.2B | |||||||
Barrow, Hanley, Mewhinney & Strauss | 1979 | $ | 65.2B | |||||||
Genesis Asset Managers, LLP | 1989 | $ | 31.0B | |||||||
McKinley Capital Management, LLC | 1990 | $ | 7.6B | |||||||
MFS Institutional Advisors, Inc. | 1970 | $ | 277.3B | |||||||
Mondrian Investment Partners Ltd. | 1990 | $ | 66.1B | |||||||
Philadelphia International Advisors, L.P. | 1956 | $ | 3.2B | |||||||
The Clifton Group Investment Management Company | 1992 | $ | 30.8B | |||||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ | 4.6Tr | ||||||
Cash Overlay for Date Target, Asset Allocation, Bond and Equity Funds | The Clifton Group Investment Management Company | 1992 | $ | 30.8B |
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2401 Cedar Springs Road, Dallas, TX 75201-1498 1-888-98-GUIDE • www.GuideStoneFunds.org | Funds distributed by Foreside Funds Distributors LLC 400 Berwyn Park, 899 Cassatt Road, Berwyn, PA 19312 | |||
© 2012 GuideStone Funds 20176 6/12 2239 |
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
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Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Exhibits. |
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | GuideStone Funds |
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President (principal executive officer) |
Date | August 28, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President (principal executive officer) |
Date | August 28, 2012 |
By (Signature and Title)* | /s/ Jeffrey P. Billinger | |
Jeffrey P. Billinger, Vice President and Treasurer (principal financial officer) |
Date | August 28, 2012 |
* | Print the name and title of each signing officer under his or her signature. |