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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)
Cherika N. Latham, 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: 214-720-4640
Date of fiscal year end: December 31
Date of reporting period: June 30, 2013
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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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, Suite 110, Berwyn, PA 19312.
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Dear Shareholder:
We are pleased to present you with the 2013 GuideStone Funds Semi-Annual Report. This report reflects our unwavering commitment to integrity in financial reporting so you may stay fully informed of your investments. We hope that you will find this information valuable when making investment decisions.
For the second consecutive year, GuideStone Funds was recognized by the Lipper Fund Awards. Ranking No. 1 out of 92 similar funds, the MyDestination 2025 Fund was named the Best Fund Over Three Years (Mixed-Asset Target 2025 Funds) for the fund’s performance over the three-year period ended November 30, 2012. Lipper awarded the Best Overall Small Fund Group in the U.S. to GuideStone Funds in March 2012.
We continue to work diligently to enhance the products and services delivered to our shareholders. Several examples of our ongoing commitment are noted below:
The Real Assets Fund was added as an investment option in July. This Fund seeks long-term capital appreciation and income consistent with protection from inflation. The Real Assets Fund may be suitable for investors who have a medium- to long-term investment horizon, possess a moderate tolerance for risk and seek to participate in the return potential of real return related securities. This Fund is available for direct investment by participants.
The Flexible Income Fund and Global Natural Resources Equity Fund were launched. The Flexible Income Fund seeks a high level of current income; the Global Natural Resources Equity Fund seeks long-term capital appreciation. The Flexible Income Fund may be suitable for investors who have a medium- to long-term investment horizon, possess a moderate tolerance for risk and are seeking income which may be more sensitive to interest rates than traditional bonds. The Global Natural Resources Equity Fund may be suitable for institutional investors who have a medium- to long-term investment horizon, possess a high tolerance for risk and seek to participate in the return potential of natural resources-related equity securities. These two Funds are not available for direct investment at the participant level.
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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Lipper, a Thomson Reuters company, provides independent insight on global collective investments including mutual funds, retirement funds, hedge funds, fund fees and expenses to the asset management and media communities. Lipper is the world’s leading fund research and analysis organization, covering over 231,000 share classes and over 122,000 funds in 61 registered for sale (RFS) universes. It provides the free Lipper Leader ratings for mutual funds registered for sale in over 30 countries. Additional information is available at www.lipperweb.com.
About the 2013 Mixed-Asset Target 2025 Funds Award (three-year): Classification averages are calculated with all eligible share classes for each eligible classification. The calculation periods extend over 36, 60 and 120 months. The highest Lipper Leader for Consistent Return (Effective Return) value within each eligible classification determines the fund classification winner over three, five or 10 years. The GuideStone MyDestination 2025 Fund-GS4 won for the three-year period ended November 30, 2012. 92 funds were eligible for this award.
About the 2012 Best Overall Small Company Lipper Award: Fund groups with at least three equity, three bond and three mixed-asset classes are eligible for a group award. The lowest average decile rank of the three years’ Consistent Return measure of the eligible funds per asset class and group will determine the award winner over the three-year period ended November 30, 2011. In cases of identical results, the lower average percentile rank will determine the winner. 182 firms were eligible for this award.
The MyDestination Funds® (“Funds”) attempt to achieve their objectives by investing in the GuideStone Select Funds and other investments. The Funds are managed to a retirement date (“target date”) by adjusting the percentage of fixed income securities and equity securities to become more conservative each year until reaching the retirement year and then approximately 15 years thereafter. The target date in the name of the Funds is the approximate date when an investor plans to start withdrawing money. By investing in the Funds, you will also incur the expenses and risks of the underlying Select Funds and other investments. The principal risks of the Funds will change depending on the asset mix of the Select Funds in which they invest. You may directly invest in the Select Funds and other investments, except the Flexible Income Fund and Global Natural Resources Equity Fund. The Funds’ value will go up and down in response to changes in the share prices of the investments that they own. The amount invested in the Fund is not guaranteed to increase, is not guaranteed against loss, nor is the amount of the original investment guaranteed at the target date. It is possible to lose money by investing in the Funds.
The Flexible Income Fund invests primarily in secured and unsecured floating rate loans. Floating rate loans entail special risks: collateral, if any, may be insufficient to cover a default; the Fund may have limited remedies when a borrower defaults; and the Fund may not be able to sell its interest in a failing loan promptly or at an acceptable price. The Fund may also invest in high-yield securities, which involve greater risks of default and are more volatile than securities rated investment grade.
With respect to the Global Natural Resources Equity Fund, concentration in the natural resources sector potentially increases the risk of loss due to developments adversely affecting the sector, including market, economic, political or regulatory developments. Smaller companies may involve even greater risk and their securities may be volatile or illiquid. Precious metals and precious metal-related securities especially have been historically very volatile.
The Real Assets Fund is subject to the same risks discussed above for the Flexible Income Fund and the Global Natural Resources Equity Fund. In addition, the Real Assets Fund is subject to the periodic adjustment of interest and/or principal payments on inflation-indexed bonds due to changes in inflation. The Fund’s value will fluctuate due to factors affecting the real estate market, including, among others, overbuilding, change in rental fees, limited diversification and change in laws. Exposure to the commodities markets and/or a particular sector of the commodities markets may subject the Fund to greater volatility than investments in traditional securities.
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FROM THE CHIEF INVESTMENT OFFICER
Rodric E. Cummins, CFA | Barring a major setback in economic growth, investors got a glimpse in the second quarter as to what the future holds for Federal Reserve policy. We know that the Fed has made extensive use of policy guidance since 2008 and this guidance has been successful in calming fears and stabilizing markets during uncertain times. In more recent periods, Fed leaders have provided assurances and been very open about their intentions to do “whatever it takes” to restore economic growth and put Americans back to work.
Now that the economy is showing signs of sustained improvement, the Fed takes on the next challenging job - that of weaning the economy and markets from the antidote of market intervention and massive stimulus. The first step in this process is reducing the Fed’s open market bond purchases, a strategy that until now has been an important control mechanism for keeping interest rates low. The program reduction was announced in June by Fed Chairman Ben Bernanke, and as we experienced, the markets reacted quickly and sharply. |
U.S. stocks ended the quarter higher, albeit with a lot of volatility. The S&P 500® Index absorbed a near 6% correction but posted 17 new all-time highs on the way to a return of 2.91% during the quarter, bringing the year-to-date return to an impressive 13.82%. For stocks outside the U.S., the prospects for slower economic growth in other major regions of the world, including emerging markets, led to a widening gap in stock returns compared to those in the U.S. For the second quarter, non-U.S. stocks as measured by the MSCI ACWI Ex-U.S. Index returned -3.11%. With interest rates rising sharply in May and June, bond returns suffered during the period with the Barclays Aggregate Bond Index returning a disappointing -2.32%.
We believe the recent announcement by the Fed represents the beginning of an important new phase in managing the economic recovery. What will this look like for investors? First, if the economy continues on its path of improvement, investors should expect the Fed to stay true to the recently announced plan to shift its interest rate objectives and policies. Indeed, the bond market is now clearly indicating expectations of higher interest rates over the next few years. Secondly, if June is any indication, this transition of Fed policy will likely introduce more volatility into equity markets. If the economy continues to improve toward normalization, moderating Fed policy could be met with resistance from equity investors that have enjoyed a financial windfall on the back of the last four years of aggressive monetary policy.
Lastly, despite the transition toward less monetary stimulus, we believe that a shift in Fed policy is not only inevitable, but in the long-term is good for investors. We believe the Fed will continue strong economic growth policies, which provides strong support and opportunities for risky assets held by investors that have patience, an appropriate risk tolerance and the discipline to ride out periods of high volatility.
Sincerely,
Rodric E. Cummins, CFA
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Asset Class Performance Comparison
The following graph illustrates the performance of the major assets classes during 2013.
1 | The Barclays 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. |
2 | 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 (excluding the United States) and emerging markets. |
3 | The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. |
4 | The S&P 500® Index is an unmanaged index (with no defined investment objective) of common stocks, includes reinvestment of dividends and is a registered trademark of McGraw-Hill Co., Inc. The S&P 500® Index includes 500 of the largest stocks (in terms of market value) in the United States. |
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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, 2013 to June 30, 2013.
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 01/01/13 | Ending Account Value 06/30/13 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
MyDestination 2005 | GS4 | $ | 1,000.00 | $ | 1,014.63 | 0.20 | % | $ | 1.00 | |||||||||||
MyDestination 2015 | GS4 | 1,000.00 | 1,030.36 | 0.14 | 0.73 | |||||||||||||||
MyDestination 2025 | GS4 | 1,000.00 | 1,049.80 | 0.14 | 0.72 | |||||||||||||||
MyDestination 2035 | GS4 | 1,000.00 | 1,068.09 | 0.20 | 1.03 | |||||||||||||||
MyDestination 2045 | GS4 | 1,000.00 | 1,076.58 | 0.20 | 1.03 | |||||||||||||||
MyDestination 2055 | GS4 | 1,000.00 | 1,075.00 | 0.20 | 1.01 | |||||||||||||||
Conservative Allocation | GS4 | 1,000.00 | 1,006.53 | 0.12 | 0.60 | |||||||||||||||
Balanced Allocation | GS4 | 1,000.00 | 1,030.64 | 0.12 | 0.60 | |||||||||||||||
Growth Allocation | GS4 | 1,000.00 | 1,059.81 | 0.12 | 0.61 | |||||||||||||||
Aggressive Allocation | GS4 | 1,000.00 | 1,081.06 | 0.12 | 0.62 | |||||||||||||||
Conservative Allocation I | GS2 | 1,000.00 | 1,007.18 | 0.15 | 0.75 | |||||||||||||||
Balanced Allocation I | GS2 | 1,000.00 | 1,030.82 | 0.13 | 0.67 | |||||||||||||||
Growth Allocation I | GS2 | 1,000.00 | 1,060.75 | 0.14 | 0.74 | |||||||||||||||
Aggressive Allocation I | GS2 | 1,000.00 | 1,082.74 | 0.15 | 0.78 | |||||||||||||||
Money Market | GS2 | 1,000.00 | 1,000.27 | 0.19 | 0.92 | |||||||||||||||
GS4 | 1,000.00 | 1,000.06 | 0.23 | 1.14 | ||||||||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 992.97 | 0.36 | 1.78 | |||||||||||||||
GS4 | 1,000.00 | 992.27 | 0.57 | 2.81 | ||||||||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 975.92 | 0.48 | 2.35 | |||||||||||||||
GS4 | 1,000.00 | 975.02 | 0.63 | 3.08 |
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Actual | ||||||||||||||||||||
Fund | Class | Beginning Account Value 01/01/13 | Ending Account Value 06/30/13 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
Extended-Duration Bond | GS2 | $ | 1,000.00 | $ | 927.80 | 0.53 | % | $ | 2.54 | |||||||||||
GS4 | 1,000.00 | 926.91 | 0.75 | 3.58 | ||||||||||||||||
Inflation Protected Bond | GS4 | 1,000.00 | 928.83 | 0.64 | 3.06 | |||||||||||||||
Global Bond | GS4 | 1,000.00 | 974.75 | 0.81 | 3.96 | |||||||||||||||
Defensive Market Strategies (3) | GS2 | 1,000.00 | 1,089.16 | 1.11 | 5.73 | |||||||||||||||
GS4 | 1,000.00 | 1,088.07 | 1.37 | 7.08 | ||||||||||||||||
Equity Index | GS2 | 1,000.00 | 1,137.23 | 0.23 | 1.22 | |||||||||||||||
GS4 | 1,000.00 | 1,136.07 | 0.38 | 2.01 | ||||||||||||||||
Real Estate Securities | GS4 | 1,000.00 | 1,049.40 | 1.03 | 5.23 | |||||||||||||||
Value Equity | GS2 | 1,000.00 | 1,168.22 | 0.66 | 3.55 | |||||||||||||||
GS4 | 1,000.00 | 1,166.47 | 0.90 | 4.84 | ||||||||||||||||
Growth Equity | GS2 | 1,000.00 | 1,109.77 | 0.84 | 4.38 | |||||||||||||||
GS4 | 1,000.00 | 1,107.97 | 1.06 | 5.52 | ||||||||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,149.95 | 0.89 | 4.72 | |||||||||||||||
GS4 | 1,000.00 | 1,148.68 | 1.13 | 6.00 | ||||||||||||||||
International Equity (3) | GS2 | 1,000.00 | 1,001.01 | 1.18 | 5.84 | |||||||||||||||
GS4 | 1,000.00 | 1,000.00 | 1.42 | 7.02 | ||||||||||||||||
HYPOTHETICAL (assuming a 5% return before expenses) | ||||||||||||||||||||
Fund | Class | Beginning Account Value 01/01/13 | Ending Account Value 06/30/13 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
MyDestination 2005 | GS4 | $ | 1,000.00 | $ | 1,023.80 | 0.20 | % | $ | 1.00 | |||||||||||
MyDestination 2015 | GS4 | 1,000.00 | 1,024.08 | 0.14 | 0.72 | |||||||||||||||
MyDestination 2025 | GS4 | 1,000.00 | 1,024.09 | 0.14 | 0.72 | |||||||||||||||
MyDestination 2035 | GS4 | 1,000.00 | 1,023.80 | 0.20 | 1.00 | |||||||||||||||
MyDestination 2045 | GS4 | 1,000.00 | 1,023.80 | 0.20 | 1.00 | |||||||||||||||
MyDestination 2055 | GS4 | 1,000.00 | 1,023.82 | 0.20 | 1.00 | |||||||||||||||
Conservative Allocation | GS4 | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||||||||||||
Balanced Allocation | GS4 | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||||||||||||
Growth Allocation | GS4 | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||||||||||||
Aggressive Allocation | GS4 | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||||||||||||
Conservative Allocation I | GS2 | 1,000.00 | 1,024.05 | 0.15 | 0.75 | |||||||||||||||
Balanced Allocation I | GS2 | 1,000.00 | 1,024.13 | 0.13 | 0.67 | |||||||||||||||
Growth Allocation I | GS2 | 1,000.00 | 1,024.08 | 0.14 | 0.73 | |||||||||||||||
Aggressive Allocation I | GS2 | 1,000.00 | 1,024.05 | 0.15 | 0.75 | |||||||||||||||
Money Market | GS2 | 1,000.00 | 1,023.87 | 0.19 | 0.93 | |||||||||||||||
GS4 | 1,000.00 | 1,023.65 | 0.23 | 1.15 | ||||||||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 1,023.01 | 0.36 | 1.80 | |||||||||||||||
GS4 | 1,000.00 | 1,021.97 | 0.57 | 2.86 | ||||||||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 1,022.41 | 0.48 | 2.41 | |||||||||||||||
GS4 | 1,000.00 | 1,021.67 | 0.63 | 3.16 | ||||||||||||||||
Extended-Duration Bond | GS2 | 1,000.00 | 1,022.16 | 0.53 | 2.66 | |||||||||||||||
GS4 | 1,000.00 | 1,021.08 | 0.75 | 3.76 | ||||||||||||||||
Inflation Protected Fund | GS4 | 1,000.00 | 1,021.63 | 0.64 | 3.20 |
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About Your Expenses (Continued)
HYPOTHETICAL (assuming a 5% return before expenses) | ||||||||||||||||||||
Fund | Class | Beginning Account Value 01/01/13 | Ending Account Value 06/30/13 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||||||||
Global Bond | GS4 | $ | 1,000.00 | $ | 1,020.79 | 0.81 | % | $ | 4.05 | |||||||||||
Defensive Market Strategies (3) | GS2 | 1,000.00 | 1,019.31 | 1.11 | 5.54 | |||||||||||||||
GS4 | 1,000.00 | 1,018.01 | 1.37 | 6.84 | ||||||||||||||||
Equity Index | GS2 | 1,000.00 | 1,023.65 | 0.23 | 1.15 | |||||||||||||||
GS4 | 1,000.00 | 1,022.91 | 0.38 | 1.90 | ||||||||||||||||
Real Estate Securities Fund | GS4 | 1,000.00 | 1,019.69 | 1.03 | 5.16 | |||||||||||||||
Value Equity | GS2 | 1,000.00 | 1,021.52 | 0.66 | 3.31 | |||||||||||||||
GS4 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||||||||
Growth Equity | GS2 | 1,000.00 | 1,020.64 | 0.84 | 4.20 | |||||||||||||||
GS4 | 1,000.00 | 1,019.55 | 1.06 | 5.29 | ||||||||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,020.40 | 0.89 | 4.44 | |||||||||||||||
GS4 | 1,000.00 | 1,019.21 | 1.13 | 5.64 | ||||||||||||||||
International Equity (3) | GS2 | 1,000.00 | 1,018.96 | 1.18 | 5.89 | |||||||||||||||
GS4 | 1,000.00 | 1,017.77 | 1.42 | 7.08 |
(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, 2013 through June 30, 2013, multiplied by the average account value over the period, multiplied by 181/365 (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 and interest expense on securities sold short. |
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INVESTMENT ABBREVIATIONS:
ADR | — | American Depository Receipt | ||
AGM | — | Assured Guaranty Municipal Corporation | ||
CDX | — | Indices representing North American Investment Grade (NA.IG), HighYield (NA.HY) and Emerging Markets (NA.EM) single name credit default swaps. | ||
CMBX | — | Indices made up of 25 tranches of commercial mortgage-backed securities, each with different credit ratings. | ||
CONV | — | Convertible | ||
ETF | — | Exchange Traded Fund | ||
EURIBOR | — | Euro Interbank Offered Rate is a reference rate based on the rate at which euro interbank term deposits are offered by one prime bank to another prime bank. | ||
GDR | — | Global Depository Receipt | ||
IO | — | Interest Only (Principal amount shown is notional) | ||
iTraxx | — | Rule based Credit Derivative Swap indices comprised of the most liquid names in each of their respective market, Europe, Asia, Australia and Japan. | ||
LIBOR | — | London Interbank Offered Rate is the interest rate at which banks can borrow funds from other banks in the London interbank market. | ||
LLC | — | Limited Liability Company | ||
LOC | — | Letter of Credit | ||
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 | ||
SPDR | — | Standard & Poor’s Depositary Receipt | ||
STEP | — | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. | ||
STRIP | — | Stripped Security | ||
TBA | — | To be announced | ||
VVPR | — | Voter Verified Paper Record | ||
144A | — | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of June 30, 2013, the total market values and percentages of net assets for 144A securities by fund were as follows: |
Fund | Value of 144A Securities | Percentage of Net Assets | ||||||
Money Market | $ | 70,406,288 | 5.03 | % | ||||
Low-Duration Bond | 159,232,089 | 19.18 | ||||||
Medium-Duration Bond | 95,806,583 | 11.41 | ||||||
Extended-Duration Bond | 30,855,554 | 8.60 | ||||||
Global Bond | 35,509,541 | 13.31 | ||||||
Defensive Market Strategies | 15,600,471 | 3.46 | ||||||
Small Cap Equity | 4,571,214 | 0.91 | ||||||
International Equity | 307,230 | 0.02 |
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, 2013. | ||
¥ | — | Affiliated fund. | ||
D | — | Security either partially or fully on loan. | ||
+ | — | Security is valued at fair value. As of June 30, 2013, 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 | $ | 11,158,490 | 1.34 | % | ||||
Medium-Duration Bond | 391,284 | 0.05 | ||||||
Global Bond | 1,291,838 | 0.48 | ||||||
Defensive Market Strategies | 2,077,341 | 0.46 | ||||||
Equity Index | — | — | ||||||
Growth Equity | 30,560 | — | ||||||
Small Cap Equity | 598,161 | 0.12 | ||||||
International Equity | 642,909 | 0.04 |
9
Table of Contents
ABBREVIATIONS AND FOOTNOTES
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). | ||
(J) | — | Par is denominated in Japanese Yen (JPY). | ||
(K) | — | Par is denominated in Norwegian Krone (NOK). | ||
(M) | — | Par is denominated in Mexican Pesos (MXN). | ||
(N) | — | Par is denominated in Indonesian Rupiahs (IDR). | ||
(R) | — | Par is denominated in Malaysian Ringgits (MYR). | ||
(S) | — | Par is denominated in South African Rand (ZAR). | ||
(T) | — | Par is denominated in Turkish Lira (TRL). | ||
(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:
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. | ||
CME | — | Counterparty to contract is Chicago Mercantile Exchange. | ||
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 | — | Counterparty to contract is Hong Kong & Shanghai Bank. | ||
HSBC | — | Counterparty to contract is HSBC Securities. | ||
JPM | — | Counterparty 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. | ||
NT | — | Counterparty to contract is Northern Trust Corporation. | ||
RBC | — | Counterparty to contract is Royal Bank of Canada. | ||
RBS | — | Counterparty to contract is Royal Bank of Scotland. | ||
SC | — | Counterparty to contract is Standard Chartered PLC. | ||
SS | — | Counterparty to contract is State Street Global Markets. | ||
UBS | — | Counterparty to contract is UBS AG. | ||
WEST | — | Counterparty to contract is Westpac Pollock. |
10
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 97.8% | ||||||||
GuideStone Money Market Fund | 1,158,236 | $ | 1,158,236 | |||||
GuideStone Low-Duration | 1,905,268 | 25,416,274 | ||||||
GuideStone Medium-Duration | 831,844 | 11,828,823 | ||||||
GuideStone Inflation Protected | 1,123,065 | 11,634,957 | ||||||
GuideStone Global Bond Fund | 74,219 | 741,450 | ||||||
GuideStone Defensive Market | 901,825 | 10,307,859 | ||||||
GuideStone Real Estate | 134,725 | 1,477,932 | ||||||
GuideStone Value Equity Fund | 271,112 | 5,064,374 | ||||||
GuideStone Growth Equity | 228,886 | 5,056,097 | ||||||
GuideStone Small Cap Equity | 63,955 | 1,171,019 | ||||||
GuideStone International | 496,133 | 6,484,453 | ||||||
|
| |||||||
Total Mutual Funds | 80,341,474 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 97.8% | 80,341,474 | |||||||
Other Assets in Excess of Liabilities — 2.2% | 1,820,289 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 82,161,763 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 60.4 | |||
Domestic Equity Funds | 28.1 | |||
International Equity Fund | 7.9 | |||
Futures Contracts | 3.4 | |||
Money Market Fund | 1.4 | |||
|
| |||
101.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 80,341,474 | $ | 80,341,474 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 80,341,474 | $ | 80,341,474 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (14,292 | ) | $ | (14,292 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (14,292 | ) | $ | (14,292 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 98.1% | ||||||||
GuideStone Money Market | 5,768,669 | $ | 5,768,669 | |||||
GuideStone Low-Duration | 2,926,021 | 39,033,122 | ||||||
GuideStone Medium-Duration | 3,320,524 | 47,217,858 | ||||||
GuideStone Extended-Duration | 604,983 | 10,218,166 | ||||||
GuideStone Inflation Protected | 4,442,984 | 46,029,315 | ||||||
GuideStone Global Bond Fund | 1,542,312 | 15,407,698 | ||||||
GuideStone Defensive Market | 6,468,649 | 73,936,656 | ||||||
GuideStone Real Estate | 1,689,186 | 18,530,366 | ||||||
GuideStone Value | 1,964,272 | 36,692,610 | ||||||
GuideStone Growth Equity | 1,553,436 | 34,315,402 | ||||||
GuideStone Small Cap | 525,842 | 9,628,165 | ||||||
GuideStone International | 3,334,305 | 43,579,366 | ||||||
|
| |||||||
Total Mutual Funds | 380,357,393 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.1% | 380,357,393 | |||||||
Other Assets in Excess of Liabilities — 1.9% | 7,249,346 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 387,606,739 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 44.7 | |||
Bond Funds | 40.7 | |||
International Equity Fund | 11.2 | |||
Futures Contracts | 3.2 | |||
Money Market Fund | 1.5 | |||
|
| |||
101.3 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 380,357,393 | $ | 380,357,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 380,357,393 | $ | 380,357,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (145,887 | ) | $ | (145,887 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (145,887 | ) | $ | (145,887 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 98.7% | ||||||||
GuideStone Money Market | 7,776,283 | $ | 7,776,283 | |||||
GuideStone Low-Duration | 1,136,873 | 15,165,882 | ||||||
GuideStone Medium-Duration | 2,801,693 | 39,840,079 | ||||||
GuideStone Extended-Duration | 1,242,465 | 20,985,231 | ||||||
GuideStone Inflation Protected | 1,320,965 | 13,685,194 | ||||||
GuideStone Global Bond Fund | 2,854,189 | 28,513,347 | ||||||
GuideStone Defensive Market | 6,501,143 | 74,308,062 | ||||||
GuideStone Real Estate | 2,530,780 | 27,762,657 | ||||||
GuideStone Value Equity | 3,096,953 | 57,851,089 | ||||||
GuideStone Growth Equity | 2,563,433 | 56,626,226 | ||||||
GuideStone Small Cap Equity | 938,941 | 17,192,007 | ||||||
GuideStone International | 5,580,153 | 72,932,602 | ||||||
|
| |||||||
Total Mutual Funds | 432,638,659 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.7% | 432,638,659 | |||||||
Other Assets in Excess of Liabilities — 1.3% | 5,692,136 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 438,330,795 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 53.3 | |||
Bond Funds | 27.0 | |||
International Equity Fund | 16.6 | |||
Futures Contracts | 3.1 | |||
Money Market Fund | 1.8 | |||
|
| |||
101.8 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 432,638,659 | $ | 432,638,659 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 432,638,659 | $ | 432,638,659 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (173,994 | ) | $ | (173,994 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (173,994 | ) | $ | (173,994 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 98.9% | ||||||||
GuideStone Money Market | 5,109,711 | $ | 5,109,711 | |||||
GuideStone Medium-Duration | 473,722 | 6,736,327 | ||||||
GuideStone Extended-Duration | 388,570 | 6,562,955 | ||||||
GuideStone Global Bond Fund | 1,606,704 | 16,050,975 | ||||||
GuideStone Real Estate | 1,421,200 | 15,590,558 | ||||||
GuideStone Value Equity Fund | 2,575,093 | 48,102,736 | ||||||
GuideStone Growth Equity | 2,141,452 | 47,304,665 | ||||||
GuideStone Small Cap Equity | 903,503 | 16,543,134 | ||||||
GuideStone International | 4,840,099 | 63,260,089 | ||||||
|
| |||||||
Total Mutual Funds | 225,261,150 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.9% | 225,261,150 | |||||||
Other Assets in Excess of Liabilities — 1.1% | 2,471,654 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 227,732,804 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 56.0 | |||
International Equity Fund | 27.8 | |||
Bond Funds | 12.9 | |||
Futures Contracts | 3.3 | |||
Money Market Fund | 2.2 | |||
|
| |||
102.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 225,261,150 | $ | 225,261,150 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 225,261,150 | $ | 225,261,150 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (107,265 | ) | $ | (107,265 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (107,265 | ) | $ | (107,265 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 98.9% | ||||||||
GuideStone Money Market | 3,809,957 | $ | 3,809,957 | |||||
GuideStone Extended-Duration | 93,689 | 1,582,402 | ||||||
GuideStone Global Bond Fund | 838,775 | 8,379,365 | ||||||
GuideStone Real Estate | 1,211,331 | 13,288,297 | ||||||
GuideStone Value Equity Fund | 1,961,815 | 36,646,706 | ||||||
GuideStone Growth Equity | 1,651,045 | 36,471,583 | ||||||
GuideStone Small Cap Equity | 745,176 | 13,644,175 | ||||||
GuideStone International | 3,741,842 | 48,905,871 | ||||||
|
| |||||||
Total Mutual Funds | 162,728,356 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.9% | 162,728,356 | |||||||
Other Assets in Excess of Liabilities — 1.1% | 1,859,201 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 164,587,557 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 60.8 | |||
International Equity Fund | 29.7 | |||
Bond Funds | 6.1 | |||
Futures Contracts | 3.3 | |||
Money Market Fund | 2.3 | |||
|
| |||
102.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 162,728,356 | $ | 162,728,356 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 162,728,356 | $ | 162,728,356 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (82,386 | ) | $ | (82,386 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (82,386 | ) | $ | (82,386 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
15
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.0% | ||||||||
GuideStone Money Market | 176,488 | $ | 176,488 | |||||
GuideStone Global Bond | 49,596 | 495,466 | ||||||
GuideStone Real Estate | 83,313 | 913,944 | ||||||
GuideStone Value Equity Fund | 120,716 | 2,254,981 | ||||||
GuideStone Growth Equity | 102,211 | 2,257,832 | ||||||
GuideStone Small Cap Equity | 46,666 | 854,454 | ||||||
GuideStone International | 237,558 | 3,104,888 | ||||||
|
| |||||||
Total Mutual Funds | 10,058,053 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.0% | 10,058,053 | |||||||
Other Assets in Excess of Liabilities — 1.0% | 104,487 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 10,162,540 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 61.8 | |||
International Equity Fund | 30.6 | |||
Bond Funds | 4.9 | |||
Money Market Fund | 1.7 | |||
|
| |||
99.0 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 10,058,053 | $ | 10,058,053 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 10,058,053 | $ | 10,058,053 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
16
Table of Contents
(This page intentionally left blank)
17
Table of Contents
June 30, 2013 (Unaudited) |
MyDestination 2005 Fund | MyDestination 2015 Fund | |||||||
Assets | ||||||||
Investments in securities of affiliated issuers, at value(1) | $ | 80,341,474 | $ | 380,357,393 | ||||
Cash collateral for derivatives | 77,200 | 237,000 | ||||||
Receivables: | ||||||||
Dividends from affiliated funds | 11 | 51 | ||||||
Investment securities sold | 2,549,850 | 11,953,800 | ||||||
Fund shares sold | 8,053 | 113,542 | ||||||
Receivable from advisor | — | — | ||||||
Prepaid expenses and other assets | 9,542 | 9,910 | ||||||
|
|
|
| |||||
Total Assets | 82,986,130 | 392,671,696 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Payables: | ||||||||
Investment securities purchased | 792,300 | 4,983,834 | ||||||
Fund shares redeemed | — | 1,752 | ||||||
Variation margin on financial futures contracts | 987 | 10,553 | ||||||
Accrued expenses: | ||||||||
Investment advisory fees | 3,445 | 32,725 | ||||||
Other expenses | 27,635 | 36,093 | ||||||
|
|
|
| |||||
Total Liabilities | 824,367 | 5,064,957 | ||||||
|
|
|
| |||||
Net Assets | $ | 82,161,763 | $ | 387,606,739 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in capital | $ | 80,911,648 | $ | 358,584,156 | ||||
Undistributed net investment income | 391,847 | 3,035,549 | ||||||
Undistributed (accumulated) net realized gain (loss) on investments and futures transactions | (3,532,707 | ) | (17,904,526 | ) | ||||
Net unrealized appreciation on investments and futures | 4,390,975 | 43,891,560 | ||||||
|
|
|
| |||||
Net Assets | $ | 82,161,763 | $ | 387,606,739 | ||||
|
|
|
| |||||
Net Asset Value: | ||||||||
$0.001 par value, unlimited shares authorized | ||||||||
Net assets applicable to the GS4 Class | $ | 82,161,763 | $ | 387,606,739 | ||||
|
|
|
| |||||
GS4 shares outstanding | 7,898,653 | 36,838,825 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS4 share | $ | 10.40 | $ | 10.52 | ||||
|
|
|
| |||||
(1) Investments in securities of affiliated issuers, at cost | $ | 75,936,207 | $ | 336,319,946 | ||||
|
|
|
|
See Notes to Financial Statements.
18
Table of Contents
MyDestination | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||||||
$ | 432,638,659 | $ | 225,261,150 | $ | 162,728,356 | $ | 10,058,053 | |||||||
300,300 | 230,900 | 173,500 | — | |||||||||||
55 | 37 | 27 | 1 | |||||||||||
12,504,150 | 4,840,350 | 3,609,000 | 226,350 | |||||||||||
283,525 | 53,985 | 109,242 | 9,717 | |||||||||||
— | — | — | 4,239 | |||||||||||
10,734 | 9,375 | 9,214 | 13,992 | |||||||||||
|
|
|
|
|
|
|
| |||||||
445,737,423 | 230,395,797 | 166,629,339 | 10,312,352 | |||||||||||
|
|
|
|
|
|
|
| |||||||
7,314,600 | 2,591,550 | 1,984,650 | 129,150 | |||||||||||
20 | — | — | — | |||||||||||
18,152 | 14,279 | 11,944 | — | |||||||||||
36,656 | 25,857 | 15,629 | — | |||||||||||
37,200 | 31,307 | 29,559 | 20,662 | |||||||||||
|
|
|
|
|
|
|
| |||||||
7,406,628 | 2,662,993 | 2,041,782 | 149,812 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 438,330,795 | $ | 227,732,804 | $ | 164,587,557 | $ | 10,162,540 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 388,337,536 | $ | 195,680,239 | $ | 136,733,330 | $ | 9,219,950 | |||||||
2,533,888 | 752,061 | 473,847 | 29,022 | |||||||||||
(2,213,345) | 2,577,848 | 1,711,266 | 257,732 | |||||||||||
49,672,716 | 28,722,656 | 25,669,114 | 655,836 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 438,330,795 | $ | 227,732,804 | $ | 164,587,557 | $ | 10,162,540 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 438,330,795 | $ | 227,732,804 | $ | 164,587,557 | $ | 10,162,540 | |||||||
|
|
|
|
|
|
|
| |||||||
42,429,604 | 22,679,361 | 16,730,009 | 843,942 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.33 | $ | 10.04 | $ | 9.84 | $ | 12.04 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 382,791,949 | $ | 196,431,229 | $ | 136,976,856 | $ | 9,402,217 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
19
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2012 (Unaudited) |
MyDestination 2005 Fund | MyDestination 2015 Fund | |||||||
Investment Income | ||||||||
Income dividends received from affiliated funds | $ | 373,214 | $ | 1,927,800 | ||||
|
|
|
| |||||
Total Investment Income | 373,214 | 1,927,800 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory fees | 42,630 | 192,242 | ||||||
Transfer agent fees: | ||||||||
GS4 Shares | 9,733 | 11,401 | ||||||
Custodian fees | 8,568 | 11,559 | ||||||
Accounting and administration fees | 4,006 | 11,627 | ||||||
Professional fees | 21,868 | 21,868 | ||||||
Blue sky fees: | ||||||||
GS4 Shares | 8,832 | 10,030 | ||||||
Shareholder reporting fees: | ||||||||
GS4 Shares | 2,625 | 6,075 | ||||||
Trustee expenses | 390 | 1,719 | ||||||
Line of credit facility fees | 418 | 1,847 | ||||||
Other expenses | 4,410 | 4,410 | ||||||
|
|
|
| |||||
Total Expenses | 103,480 | 272,778 | ||||||
Expenses waived/reimbursed net of amount recaptured(1) | (19,982 | ) | — | |||||
|
|
|
| |||||
Net Expenses | 83,498 | 272,778 | ||||||
|
|
|
| |||||
Net investment income | 289,716 | 1,655,022 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Capital gain distributions received from affiliated funds | 215,122 | 1,316,719 | ||||||
Net realized gain on investment securities of affiliated issuers | 1,983,847 | 1,789,759 | ||||||
Net realized gain on futures transactions | 60,072 | 341,709 | ||||||
|
|
|
| |||||
Net realized gain | 2,259,041 | 3,448,187 | ||||||
|
|
|
| |||||
Change in unrealized appreciation on investment securities of affiliated issuers | (1,346,753 | ) | 5,678,762 | |||||
Change in unrealized appreciation (depreciation) on futures | (21,204 | ) | (162,266 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (1,367,957 | ) | 5,516,496 | |||||
|
|
|
| |||||
Net Realized and Unrealized Gain | 891,084 | 8,964,683 | ||||||
|
|
|
| |||||
Net Increase in Net Assets Resulting from Operations | $ | 1,180,800 | $ | 10,619,705 | ||||
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
20
Table of Contents
MyDestination | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||||||
$ | 2,223,111 | $ | 962,054 | $ | 626,611 | $ | 37,195 | |||||||
|
|
|
|
|
|
|
| |||||||
2,223,111 | 962,054 | 626,611 | 37,195 | |||||||||||
|
|
|
|
|
|
|
| |||||||
211,277 | 108,860 | 78,250 | 4,168 | |||||||||||
11,571 | 10,479 | 10,279 | 8,539 | |||||||||||
13,177 | 10,029 | 9,805 | 2,340 | |||||||||||
12,577 | 7,302 | 5,740 | 1,380 | |||||||||||
21,868 | 21,868 | 21,868 | 21,858 | |||||||||||
10,431 | 9,024 | 9,039 | 2,539 | |||||||||||
6,995 | 4,360 | 3,959 | 529 | |||||||||||
1,828 | 915 | 647 | 30 | |||||||||||
1,964 | 984 | 698 | 66 | |||||||||||
4,410 | 4,409 | 4,410 | 4,409 | |||||||||||
|
|
|
|
|
|
|
| |||||||
296,098 | 178,230 | 144,695 | 45,858 | |||||||||||
— | 34,850 | 8,376 | (37,685 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
296,098 | 213,080 | 153,071 | 8,173 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,927,013 | 748,974 | 473,540 | 29,022 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,611,949 | 884,295 | 670,274 | 40,954 | |||||||||||
1,471,848 | 567,807 | 1,416,482 | 90,600 | |||||||||||
454,859 | 383,645 | 317,743 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||
3,538,656 | 1,835,747 | 2,404,499 | 131,554 | |||||||||||
|
|
|
|
|
|
|
| |||||||
13,282,609 | 10,495,808 | 7,634,333 | 325,042 | |||||||||||
(201,346) | (126,703 | ) | (96,924 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||
13,081,263 | 10,369,105 | 7,537,409 | 325,042 | |||||||||||
|
|
|
|
|
|
|
| |||||||
16,619,919 | 12,204,852 | 9,941,908 | 456,596 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 18,546,932 | $ | 12,953,826 | $ | 10,415,448 | $ | 485,618 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
21
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
MyDestination 2005 Fund | MyDestination 2015 Fund | |||||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 289,716 | $ | 904,191 | $ | 1,655,022 | $ | 4,702,611 | ||||||||
Net realized gain on investment securities and futures transactions | 2,259,041 | 3,091,766 | 3,448,187 | 8,618,302 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (1,367,957 | ) | 2,098,167 | 5,516,496 | 20,301,429 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 1,180,800 | 6,094,124 | 10,619,705 | 33,622,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | — | (1,578,267 | ) | — | (7,838,073 | ) | ||||||||||
Distributions from net realized capital gains | ||||||||||||||||
Distributions from net realized capital gains | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Return of Capital | ||||||||||||||||
Total dividends and distributions | — | (1,578,267 | ) | — | (7,838,073 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold | ||||||||||||||||
Proceeds from GS4 shares sold | 11,671,758 | 22,149,640 | 38,278,086 | 71,866,425 | ||||||||||||
Reinvestment of dividends and distributions into GS4 shares | — | 1,578,267 | — | 7,838,073 | ||||||||||||
Value of GS4 shares redeemed | (11,273,019 | ) | (12,269,397 | ) | (13,867,430 | ) | (27,008,482 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from capital share transactions(2) | 398,739 | 11,458,510 | 24,410,656 | 52,696,016 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 1,579,539 | 15,974,367 | 35,030,361 | 78,480,285 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 80,582,224 | 64,607,857 | 352,576,378 | 274,096,093 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period* | $ | 82,161,763 | $ | 80,582,224 | $ | 387,606,739 | $ | 352,576,378 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Including undistributed net investment income | $ | 391,847 | $ | 102,131 | $ | 3,035,549 | $ | 1,380,527 | ||||||||
|
|
|
|
|
|
|
|
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
22
Table of Contents
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||||||||||||||||||||||
For the Six | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||||||||||||||||
$ | 1,927,013 | $ | 4,983,671 | $ | 748,974 | $ | 1,997,691 | $ | 473,540 | $ | 1,279,369 | $ | 29,022 | $ | 56,129 | |||||||||||||||
3,538,656 | 9,719,715 | 1,835,747 | 4,951,298 | 2,404,499 | 3,401,790 | 131,554 | 188,926 | |||||||||||||||||||||||
13,081,263 | 26,643,843 | 10,369,105 | 16,449,734 | 7,537,409 | 11,904,561 | 325,042 | 330,794 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
18,546,932 | 41,347,229 | 12,953,826 | 23,398,723 | 10,415,448 | 16,585,720 | 485,618 | 575,849 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
— | (7,215,597 | ) | — | (2,098,516 | ) | — | (1,290,110 | ) | �� | — | (56,171 | ) | ||||||||||||||||||
— | — | — | (1,022,785 | ) | — | (750,228 | ) | — | (62,706 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
— | (7,215,597 | ) | — | (3,121,301 | ) | — | (2,040,338 | ) | — | (118,877 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
51,380,516 | 75,379,767 | 29,080,798 | 40,637,718 | 20,949,005 | 31,566,664 | 4,400,121 | 13,215,155 | |||||||||||||||||||||||
— | 7,215,597 | — | 3,121,301 | — | 2,040,186 | — | 118,877 | |||||||||||||||||||||||
(6,834,580 | ) | (19,728,424 | ) | (2,544,292 | ) | (7,240,011 | ) | (1,972,799 | ) | (2,910,235 | ) | (1,039,619 | ) | (7,474,584 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
44,545,936 | 62,866,940 | 26,536,506 | 36,519,008 | 18,976,206 | 30,696,615 | 3,360,502 | 5,859,448 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
63,092,868 | 96,998,572 | 39,490,332 | 56,796,430 | 29,391,654 | 45,241,997 | 3,846,120 | 6,316,420 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
375,237,927 | 278,239,355 | 188,242,472 | 131,446,042 | 135,195,903 | 89,953,906 | 6,316,420 | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 438,330,795 | $ | 375,237,927 | $ | 227,732,804 | $ | 188,242,472 | $ | 164,587,557 | $ | 135,195,903 | $ | 10,162,540 | $ | 6,316,420 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 2,533,888 | $ | 606,875 | $ | 752,061 | $ | 3,087 | $ | 473,847 | $ | 307 | $ | 29,022 | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
23
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 Year | 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 Year | Total Return | Net Assets, End of Year (000) | Expenses, Net (3) | Expenses, Gross (3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
MyDestination 2005 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 10.25 | $ | 0.04 | # | $ | 0.03 | $ | 0.08 | $ | — | $ | — | $ | 10.40 | 1.46 | % | $ | 82,162 | 0.20 | % | 0.25 | % | 0.69 | % | 8 | % | |||||||||||||||||||||||||
2012 | 9.60 | 0.13 | # | 0.18 | 0.55 | (0.21 | ) | — | 10.25 | 8.92 | 80,582 | 0.20 | 0.27 | 1.24 | 8 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
MyDestination 2015 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 10.21 | $ | 0.05 | # | $ | 0.04 | $ | 0.22 | $ | — | $ | — | $ | 10.52 | 3.04 | % | $ | 387,607 | 0.14 | % | 0.14 | % | 0.88 | % | 3 | % | |||||||||||||||||||||||||
2012 | 9.37 | 0.15 | # | 0.22 | 0.70 | (0.23 | ) | — | 10.21 | 11.46 | 352,576 | 0.15 | 0.15 | 1.47 | 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 | ||||||||||||||||||||||||||||||||||
MyDestination 2025 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 9.84 | $ | 0.05 | # | $ | 0.04 | $ | 0.40 | $ | — | $ | — | $ | 10.33 | 4.98 | % | $ | 438,331 | 0.14 | % | 0.14 | % | 0.93 | % | 3 | % | |||||||||||||||||||||||||
2012 | 8.81 | 0.14 | # | 0.22 | 0.86 | (0.19 | ) | — | 9.84 | 13.90 | 375,238 | 0.15 | 0.15 | 1.51 | 2 | |||||||||||||||||||||||||||||||||||||
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 |
# | 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 (higher) than the ratio shown. |
(6) | For the six months ended June 30, 2013. 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.
24
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 Year | 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 Year | Total Return | Net Assets, End of Year (000) | Expenses, Net (3) | Expenses, Gross (3)(4) | Investment Income, Net (1)(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
MyDestination 2035 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 9.40 | $ | 0.03 | # | $ | 0.04 | $ | 0.57 | $ | — | $ | — | $ | 10.04 | 6.81 | % | $ | 227,733 | 0.20 | % | 0.17 | % | 0.70 | % | 3 | % | |||||||||||||||||||||||||
2012 | 8.22 | 0.11 | # | 0.21 | 1.02 | (0.11 | ) | (0.05 | ) | 9.40 | 16.30 | 188,242 | 0.20 | 0.18 | 1.23 | 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 | ||||||||||||||||||||||||||||||||||
MyDestination 2045 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 9.14 | $ | 0.03 | # | $ | 0.04 | $ | 0.63 | $ | — | $ | — | $ | 9.84 | 7.66 | % | $ | 164,588 | 0.20 | % | 0.19 | % | 0.62 | % | 3 | % | |||||||||||||||||||||||||
2012 | 7.96 | 0.10 | # | 0.21 | 1.01 | (0.09 | ) | (0.05 | ) | 9.14 | 16.60 | 135,196 | 0.20 | 0.21 | 1.14 | 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 | ||||||||||||||||||||||||||||||||||
MyDestination 2055 Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 11.20 | $ | 0.04 | # | $ | 0.06 | $ | 0.74 | $ | — | $ | — | $ | 12.04 | 7.50 | % | $ | 10,163 | 0.20 | % | 1.10 | % | 0.70 | % | 7 | % | |||||||||||||||||||||||||
2012* | 10.00 | 0.13 | # | 0.30 | 0.98 | (0.10 | ) | (0.11 | ) | 11.20 | 14.18 | 6,316 | 0.20 | 2.31 | 1.24 | 18 |
† | 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 (higher) than the ratio shown. |
(6) | For the six months ended June 30, 2013. 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.
25
Table of Contents
SCHEDULE OF INVESTMENTS |
June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 97.6% |
| |||||||
GuideStone Money Market | 5,223,825 | $ | 5,223,825 | |||||
GuideStone Low-Duration | 14,149,321 | 188,751,946 | ||||||
GuideStone Inflation Protected | 4,112,302 | 42,603,444 | ||||||
GuideStone Defensive Market | 2,141,646 | 24,479,014 | ||||||
GuideStone Real Estate | 97,329 | 1,067,700 | ||||||
GuideStone Value Equity Fund | 796,284 | 14,874,593 | ||||||
GuideStone Growth Equity Fund | 683,671 | 15,102,283 | ||||||
GuideStone Small Cap Equity Fund | 195,667 | 3,582,659 | ||||||
GuideStone International | 1,408,137 | 18,404,351 | ||||||
|
| |||||||
Total Mutual Funds | 314,089,815 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 97.6% | 314,089,815 | |||||||
Other Assets in Excess of | 7,810,824 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 321,900,639 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 71.9 | |||
Domestic Equity Funds | 18.4 | |||
International Equity Fund | 5.7 | |||
Futures Contracts | 3.8 | |||
Money Market Fund | 1.6 | |||
|
| |||
101.4 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 314,089,815 | $ | 314,089,815 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 314,089,815 | $ | 314,089,815 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (18,381 | ) | $ | (18,381 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (18,381 | ) | $ | (18,381 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
26
Table of Contents
SCHEDULE OF INVESTMENTS |
June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 97.2% |
| |||||||
GuideStone Money Market | 32,530,919 | $ | 32,530,919 | |||||
GuideStone Low-Duration | 12,348,450 | 164,728,323 | ||||||
GuideStone Medium-Duration | 16,275,803 | 231,441,912 | ||||||
GuideStone Extended-Duration | 4,958,027 | 83,741,082 | ||||||
GuideStone Inflation Protected | 2,116,332 | 21,925,200 | ||||||
GuideStone Global Bond Fund | 6,962,021 | 69,550,589 | ||||||
GuideStone Defensive Market | 10,039,008 | 114,745,863 | ||||||
GuideStone Real Estate | 908,478 | 9,966,000 | ||||||
GuideStone Value Equity Fund | 7,618,973 | 142,322,417 | ||||||
GuideStone Growth Equity | 6,234,506 | 137,720,232 | ||||||
GuideStone Small Cap Equity | 1,815,390 | 33,239,794 | ||||||
GuideStone International | 12,420,366 | 162,334,181 | ||||||
|
| |||||||
Total Mutual Funds | 1,204,246,512 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 97.2% | 1,204,246,512 | |||||||
Other Assets in Excess of | 34,942,208 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,239,188,720 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 46.1 | |||
Domestic Equity Funds | 35.4 | |||
International Equity Fund | 13.1 | |||
Futures Contracts | 5.0 | |||
Money Market Fund | 2.6 | |||
|
| |||
102.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 1,204,246,512 | $ | 1,204,246,512 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,204,246,512 | $ | 1,204,246,512 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (772,010 | ) | $ | (772,010 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (772,010 | ) | $ | (772,010 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
27
Table of Contents
SCHEDULE OF INVESTMENTS |
June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 98.0% |
| |||||||
GuideStone Money Market | 17,711,290 | $ | 17,711,290 | |||||
GuideStone Low-Duration | 4,496,919 | 59,988,897 | ||||||
GuideStone Medium-Duration | 5,879,284 | 83,603,423 | ||||||
GuideStone Extended-Duration | 1,864,809 | 31,496,617 | ||||||
GuideStone Global Bond Fund | 2,688,383 | 26,856,942 | ||||||
GuideStone Real Estate | 842,707 | 9,244,500 | ||||||
GuideStone Value Equity | 10,095,453 | 188,583,064 | ||||||
GuideStone Growth Equity Fund | 8,290,629 | 183,140,001 | ||||||
GuideStone Small Cap Equity | 2,259,335 | 41,368,424 | ||||||
GuideStone International | 16,681,660 | 218,029,294 | ||||||
|
| |||||||
Total Mutual Funds | 860,022,452 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.0% |
| 860,022,452 | ||||||
Other Assets in Excess of | 17,763,015 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 877,785,467 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 48.1 | |||
International Equity Fund | 24.9 | |||
Bond Funds | 23.0 | |||
Futures Contracts | 3.8 | |||
Money Market Fund | 2.0 | |||
|
| |||
101.8 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 860,022,452 | $ | 860,022,452 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 860,022,452 | $ | 860,022,452 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (439,384 | ) | $ | (439,384 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (439,384 | ) | $ | (439,384 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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 Schedules of Investments.
28
Table of Contents
SCHEDULE OF INVESTMENTS |
June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% |
| |||||||
GuideStone Money Market | 15,024,116 | $ | 15,024,116 | |||||
GuideStone Value Equity Fund | 11,238,604 | 209,937,123 | ||||||
GuideStone Growth Equity | 9,316,324 | 205,797,602 | ||||||
GuideStone Small Cap Equity | 2,532,039 | 46,361,631 | ||||||
GuideStone International | 21,954,480 | 286,945,055 | ||||||
|
| |||||||
Total Mutual Funds | 764,065,527 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 764,065,527 | |||||||
Other Assets in Excess of | 505,173 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 764,570,700 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 60.4 | |||
International Equity Fund | 37.5 | |||
Futures Contracts | 2.0 | |||
Money Market | 2.0 | |||
|
| |||
101.9 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 764,065,527 | $ | 764,065,527 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 764,065,527 | $ | 764,065,527 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (406,899 | ) | $ | (406,899 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (406,899 | ) | $ | (406,899 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
29
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2013 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated issuers, at value (1) | $ | 314,089,815 | $ | 1,204,246,512 | $ | 860,022,452 | $ | 764,065,527 | ||||||||
Cash collateral for derivatives | 82,200 | 947,600 | 730,400 | 785,200 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends from affiliated funds | 36 | 262 | 138 | 116 | ||||||||||||
Investment securities sold | 9,109,000 | 79,131,600 | 37,940,400 | 4,130,100 | ||||||||||||
Fund shares sold | 19,195 | 36,313 | 59,867 | 13,203 | ||||||||||||
Prepaid expenses and other assets | 16,662 | 13,872 | 15,862 | 14,445 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 323,316,908 | 1,284,376,159 | 898,769,119 | 769,008,591 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 1,067,700 | 44,583,300 | 20,771,400 | 4,130,700 | ||||||||||||
Fund shares redeemed | 279,890 | 387,821 | 39,040 | 159,916 | ||||||||||||
Variation margin on financial futures contracts | 5,332 | 35,530 | 41,751 | 34,100 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | 16,817 | 97,742 | 67,589 | 58,088 | ||||||||||||
Other expenses | 46,530 | 83,046 | 63,872 | 55,087 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 1,416,269 | 45,187,439 | 20,983,652 | 4,437,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 321,900,639 | $ | 1,239,188,720 | $ | 877,785,467 | $ | 764,570,700 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 291,410,380 | $ | 1,084,320,493 | $ | 744,431,672 | $ | 651,492,206 | ||||||||
Undistributed net investment income | 1,260,107 | 6,009,963 | 3,157,289 | 1,701,830 | ||||||||||||
Undistributed net realized gain on investments and futures transactions | 4,918,758 | 26,849,124 | 30,322,252 | 29,906,233 | ||||||||||||
Net unrealized appreciation (depreciation) on investments and futures | 24,311,394 | 122,009,140 | 99,874,254 | 81,470,431 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 321,900,639 | $ | 1,239,188,720 | $ | 877,785,467 | $ | 764,570,700 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the GS4 Class | $ | 321,900,639 | $ | 1,239,188,720 | $ | 877,785,467 | $ | 764,570,700 | ||||||||
|
|
|
|
|
|
|
| |||||||||
GS4 shares outstanding | 26,063,576 | 94,483,640 | 63,507,118 | 56,747,030 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per GS4 share | $ | 12.35 | $ | 13.12 | $ | 13.82 | $ | 13.47 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 289,760,040 | $ | 1,081,465,362 | $ | 759,708,814 | $ | 682,188,197 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
30
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2013 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Investment Income | ||||||||||||||||
Income dividends received from affiliated funds | $ | 1,453,207 | $ | 6,748,912 | $ | 3,675,083 | $ | 2,157,043 | ||||||||
Interest | — | 820 | 413 | 565 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 1,453,207 | 6,749,732 | 3,675,496 | 2,157,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 164,712 | 634,919 | 448,391 | 387,972 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
GS4 shares | 16,021 | 29,193 | 19,601 | 17,638 | ||||||||||||
Custodian fees | 9,233 | 16,311 | 13,727 | 12,178 | ||||||||||||
Accounting and administration fees | 10,590 | 34,242 | 24,928 | 21,746 | ||||||||||||
Professional fees | 21,868 | 21,868 | 21,868 | 21,868 | ||||||||||||
Blue sky fees: | ||||||||||||||||
GS4 shares | 8,037 | 7,197 | 7,438 | 6,537 | ||||||||||||
Shareholder reporting fees: | ||||||||||||||||
GS4 shares | 14,476 | 29,934 | 19,838 | 16,956 | ||||||||||||
Trustee expenses | 1,572 | 5,951 | 4,235 | 3,653 | ||||||||||||
Line of credit facility fees | 1,683 | 6,368 | 4,531 | 3,908 | ||||||||||||
Other expenses | 4,410 | 5,710 | 5,661 | 5,209 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 252,602 | 791,693 | 570,218 | 497,665 | ||||||||||||
Expenses waived/reimbursed(1) | (58,313 | ) | (50,229 | ) | (44,751 | ) | (41,887 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 194,289 | 741,464 | 525,467 | 455,778 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 1,258,918 | 6,008,268 | 3,150,029 | 1,701,830 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 704,031 | 3,660,483 | 3,357,857 | 3,261,642 | ||||||||||||
Net realized gain on investment securities of affiliated issuers | 4,794,403 | 13,843,851 | 10,744,668 | 4,781,773 | ||||||||||||
Net realized gain on futures transactions | 131,934 | 1,584,144 | 1,686,461 | 1,567,996 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | 5,630,368 | 19,088,478 | 15,788,986 | 9,611,411 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation on investment securities of affiliated issuers | (4,710,434 | ) | 11,886,987 | 32,269,062 | 48,071,638 | |||||||||||
Change in unrealized appreciation (depreciation) on futures | (30,114 | ) | (842,315 | ) | (541,914 | ) | (509,224 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | (4,740,548 | ) | 11,044,672 | 31,727,148 | 47,562,414 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain | 889,820 | 30,133,150 | 47,516,134 | 57,173,825 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 2,148,738 | $ | 36,141,418 | $ | 50,666,163 | $ | 58,875,655 | ||||||||
|
|
|
|
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
31
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund | Balanced Allocation Fund | |||||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 1,258,918 | $ | 3,981,573 | $ | 6,008,268 | $ | 17,917,465 | ||||||||
Net realized gain on investment securities and futures transactions | 5,630,368 | 4,388,403 | 19,088,478 | 33,920,005 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (4,740,548 | ) | 12,269,712 | 11,044,672 | 76,537,794 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 2,148,738 | 20,639,688 | 36,141,418 | 128,375,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | — | (5,748,208 | ) | — | (25,053,190 | ) | ||||||||||
Distributions from net realized capital gains | — | (780,975 | ) | — | (14,173,968 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | — | (6,529,183 | ) | — | (39,227,158 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS4 shares sold | 23,532,382 | 45,857,397 | 46,793,127 | 60,529,162 | ||||||||||||
Reinvestment of dividends and distributions into GS4 shares | — | 6,526,106 | — | 39,204,104 | ||||||||||||
Value of GS4 shares redeemed | (31,101,333 | ) | (32,409,160 | ) | (48,614,454 | ) | (81,287,742 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(2) | (7,568,951 | ) | 19,974,343 | (1,821,327 | ) | 18,445,524 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (5,420,213 | ) | 34,084,848 | 34,320,091 | 107,593,630 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 327,320,852 | 293,236,004 | 1,204,868,629 | 1,097,274,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period* | $ | 321,900,639 | $ | 327,320,852 | $ | 1,239,188,720 | $ | 1,204,868,629 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Including undistributed net investment income | $ | 1,260,107 | $ | 1,189 | $ | 6,009,963 | $ | 1,695 | ||||||||
|
|
|
|
|
|
|
|
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
32
Table of Contents
Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||
(Unaudited) | (Unaudited) | |||||||||||||
$ |
3,150,029 |
| $ | 9,759,054 | $ | 1,701,830 | $ | 6,546,308 | ||||||
|
15,788,986 |
| 24,287,794 | 9,611,411 | 30,188,593 | |||||||||
31,727,148 | 79,796,586 | 47,562,414 | 75,596,122 | |||||||||||
|
|
|
|
|
|
|
| |||||||
|
50,666,163 |
| 113,843,434 | 58,875,655 | 112,331,023 | |||||||||
|
|
|
|
|
|
|
| |||||||
— | (11,303,246 | ) | — | (6,549,181 | ) | |||||||||
|
— |
| (6,704,077 | ) | — | (10,630,919 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
— | (18,007,323 | ) | — | (17,180,100 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
19,785,407 | 31,477,784 | 13,485,584 | 76,004,191 | |||||||||||
— | 18,005,817 | — | 17,178,628 | |||||||||||
|
(45,898,761 |
) | (75,431,090 | ) | (34,455,847 | ) | (136,458,221 | ) | ||||||
|
|
|
|
|
|
|
| |||||||
(26,113,354 | ) | (25,947,489 | ) | (20,970,263 | ) | (43,275,402 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
|
24,552,809 |
| 69,888,622 | 37,905,392 | 51,875,521 | |||||||||
|
|
|
|
|
|
|
| |||||||
853,232,658 | 783,344,036 | 726,665,308 | 674,789,787 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ |
877,785,467 |
| $ | 853,232,658 | $ | 764,570,700 | $ | 726,665,308 | ||||||
|
|
|
|
|
|
|
| |||||||
$ |
3,157,289 |
| $ | 7,260 | $ | 1,701,830 | $ | — | ||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
33
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 12.27 | $ | 0.05 | # | $ | 0.03 | $ | — | $ | — | $ | — | $ | 12.35 | 0.65 | % | $ | 321,901 | 0.12 | % | 0.16 | % | 0.78 | % | 1 | % | |||||||||||||||||||||||||
2012 | 11.70 | 0.16 | # | 0.16 | 0.50 | (0.22 | ) | (0.03 | ) | 12.27 | 7.02 | 327,321 | 0.12 | 0.16 | 1.29 | 3 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Balanced Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 12.73 | $ | 0.06 | # | $ | 0.04 | $ | 0.29 | $ | — | $ | — | $ | 13.12 | 3.06 | % | $ | 1,239,189 | 0.12 | % | 0.13 | % | 0.97 | % | 5 | % | |||||||||||||||||||||||||
2012 | 11.77 | 0.19 | # | 0.22 | 0.97 | (0.27 | ) | (0.15 | ) | 12.73 | 11.79 | 1,204,869 | 0.12 | 0.13 | 1.54 | 3 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Growth Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 13.04 | $ | 0.05 | # | $ | 0.05 | $ | 0.68 | $ | — | $ | — | $ | 13.82 | 5.98 | % | $ | 877,785 | 0.12 | % | 0.13 | % | 0.72 | % | 3 | % | |||||||||||||||||||||||||
2012 | 11.60 | 0.15 | # | 0.26 | 1.30 | (0.17 | ) | (0.10 | ) | 13.04 | 14.84 | 853,233 | 0.12 | 0.13 | 1.17 | 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 | ||||||||||||||||||||||||||||||||||
Aggressive Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 12.46 | $ | 0.03 | # | $ | 0.06 | $ | 0.92 | $ | — | $ | — | $ | 13.47 | 8.11 | % | $ | 764,571 | 0.12 | % | 0.13 | % | 0.45 | % | 1 | % | |||||||||||||||||||||||||
2012 | 10.89 | 0.11 | # | 0.26 | 1.50 | (0.11 | ) | (0.19 | ) | 12.46 | 17.19 | 726,665 | 0.12 | 0.13 | 0.91 | 5 | ||||||||||||||||||||||||||||||||||||
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 |
† | 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 (higher) than the ratio shown. |
(6) | For the six months ended June 30, 2013. 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.
34
Table of Contents
CONSERVATIVE ALLOCATION FUND I SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.3% | ||||||||
GuideStone Money Market | 630,787 | $ | 630,787 | |||||
GuideStone Low-Duration | 5,869,535 | 50,243,218 | ||||||
GuideStone Inflation Protected | 1,094,687 | 11,340,955 | ||||||
GuideStone Defensive Market | 569,897 | 6,519,622 | ||||||
GuideStone Real Estate Securities Fund | 25,889 | 284,000 | ||||||
GuideStone Value Equity Fund | 434,359 | 3,961,358 | ||||||
GuideStone Growth Equity Fund | 305,547 | 4,024,059 | ||||||
GuideStone Small Cap Equity Fund | 80,804 | 954,297 | ||||||
GuideStone International Equity Fund | 491,830 | 4,903,548 | ||||||
|
| |||||||
Total Mutual Funds | 82,861,844 | |||||||
|
| |||||||
TOTAL INVESTMENTS—99.3% | 82,861,844 | |||||||
Other Assets in Excess of | 617,381 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 83,479,225 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 73.7 | |||
Domestic Equity Funds | 18.9 | |||
International Equity Fund | 5.9 | |||
Futures Contracts | 1.3 | |||
Money Market Fund | 0.8 | |||
|
| |||
100.6 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 82,861,844 | $ | 82,861,844 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 82,861,844 | $ | 82,861,844 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (2,559 | ) | $ | (2,559 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (2,559 | ) | $ | (2,559 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
35
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.7% | ||||||||
GuideStone Money Market | 6,371,316 | $ | 6,371,316 | |||||
GuideStone Low-Duration | 5,931,659 | 50,775,001 | ||||||
GuideStone Medium-Duration | 10,132,867 | 71,335,384 | ||||||
GuideStone Extended-Duration | 4,650,676 | 25,811,251 | ||||||
GuideStone Inflation Protected | 652,124 | 6,756,000 | ||||||
GuideStone Global Bond Fund | 2,145,564 | 21,434,185 | ||||||
GuideStone Defensive Market | 3,094,869 | 35,405,301 | ||||||
GuideStone Real Estate | 279,672 | 3,068,000 | ||||||
GuideStone Value Equity Fund | 4,810,526 | 43,871,997 | ||||||
GuideStone Growth Equity | 3,224,614 | 42,468,167 | ||||||
GuideStone Small Cap Equity | 867,756 | 10,248,196 | ||||||
GuideStone International | 5,020,797 | 50,057,346 | ||||||
|
| |||||||
Total Mutual Funds | 367,602,144 | |||||||
|
| |||||||
TOTAL INVESTMENTS —99.7% | 367,602,144 | |||||||
Other Assets in Excess of | 968,642 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 368,570,786 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Bond Funds | 47.8 | |||
Domestic Equity Funds | 36.6 | |||
International Equity Fund | 13.6 | |||
Futures Contracts | 1.8 | |||
Money Market Fund | 1.7 | |||
|
| |||
101.5 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 367,602,144 | $ | 367,602,144 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 367,602,144 | $ | 367,602,144 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (148,386 | ) | $ | (148,386 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (148,386 | ) | $ | (148,386 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
36
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market | 4,919,895 | $ | 4,919,895 | |||||
GuideStone Low-Duration | 2,008,920 | 17,196,355 | ||||||
GuideStone Medium-Duration | 3,404,168 | 23,965,341 | ||||||
GuideStone Extended-Duration | 1,627,034 | 9,030,040 | ||||||
GuideStone Global Bond Fund | 770,608 | 7,698,375 | ||||||
GuideStone Real Estate | 241,386 | 2,648,000 | ||||||
GuideStone Value Equity Fund | 5,928,105 | 54,064,317 | ||||||
GuideStone Growth Equity | 3,988,132 | 52,523,693 | ||||||
GuideStone Small Cap Equity | 1,004,468 | 11,862,766 | ||||||
GuideStone International | 6,271,953 | 62,531,367 | ||||||
|
| |||||||
Total Mutual Funds | 246,440,149 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 246,440,149 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 169,231 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 246,609,380 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 49.1 | |||
International Equity Fund | 25.4 | |||
Bond Funds | 23.4 | |||
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, 2013, 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 | $ | 246,440,149 | $ | 246,440,149 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 246,440,149 | $ | 246,440,149 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (121,485 | ) | $ | (121,485 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (121,485 | ) | $ | (121,485 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
37
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
MUTUAL FUNDS — 99.7% | ||||||||
GuideStone Money Market | 2,711,775 | $ | 2,711,775 | |||||
GuideStone Value Equity | 4,881,267 | 44,517,154 | ||||||
GuideStone Growth Equity | 3,314,912 | 43,657,392 | ||||||
GuideStone Small Cap Equity | 832,454 | 9,831,279 | ||||||
GuideStone International | 6,106,003 | 60,876,855 | ||||||
|
| |||||||
Total Mutual Funds | 161,594,455 | |||||||
|
| |||||||
TOTAL INVESTMENTS —99.7% | 161,594,455 | |||||||
Other Assets in Excess of | 529,509 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 162,123,964 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Domestic Equity Funds | 60.5 | |||
International Equity Fund | 37.5 | |||
Futures Contracts | 1.9 | |||
Money Market Fund | 1.7 | |||
|
| |||
101.6 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 161,594,455 | $ | 161,594,455 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 161,594,455 | $ | 161,594,455 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (68,742 | ) | $ | (68,742 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (68,742 | ) | $ | (68,742 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
38
Table of Contents
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39
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2013 (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) | $ | 82,861,844 | $ | 367,602,144 | $ | 246,440,149 | $ | 161,594,455 | ||||||||
Cash collateral for derivatives | 50,400 | 211,550 | 221,950 | 164,000 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends from affiliated funds | 31 | 182 | 123 | 79 | ||||||||||||
Investment securities sold | 1,552,000 | 15,376,000 | 8,092,000 | 1,120,000 | ||||||||||||
Fund shares sold | — | — | 3,144 | 6,956 | ||||||||||||
Prepaid expenses and other assets | 337 | 257 | 257 | 257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 84,464,612 | 383,190,133 | 254,757,623 | 162,885,747 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 952,083 | 14,528,626 | 8,088,000 | 720,000 | ||||||||||||
Fund shares redeemed | 8,755 | 25,544 | 3,000 | — | ||||||||||||
Variation margin on financial futures contracts | 496 | 7,162 | 11,367 | 7,498 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | 2,745 | 31,236 | 20,880 | 12,024 | ||||||||||||
Other expenses | 21,308 | 26,779 | 24,996 | 22,261 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 985,387 | 14,619,347 | 8,148,243 | 761,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 83,479,225 | $ | 368,570,786 | $ | 246,609,380 | $ | 162,123,964 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 84,518,917 | $ | 380,956,367 | $ | 250,379,189 | $ | 171,568,075 | ||||||||
Undistributed net investment income | 1,312,788 | 9,454,103 | 3,614,725 | 3,479,236 | ||||||||||||
Accumulated net realized loss on investments and futures transactions | (3,986,183 | ) | (43,281,624 | ) | (20,578,596 | ) | (18,194,406 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments and futures | 1,633,703 | 21,441,940 | 13,194,062 | 5,271,059 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 83,479,225 | $ | 368,570,786 | $ | 246,609,380 | $ | 162,123,964 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the GS2 Class | $ | 83,479,225 | $ | 368,570,786 | $ | 246,609,380 | $ | 162,123,964 | ||||||||
|
|
|
|
|
|
|
| |||||||||
GS2 shares outstanding | 8,498,260 | 35,546,549 | 21,724,748 | 13,318,700 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per GS2 share | $ | 9.82 | $ | 10.37 | $ | 11.35 | $ | 12.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 81,225,582 | $ | 346,011,818 | $ | 233,124,602 | $ | 156,254,654 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
40
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2013 (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 | $ | 671,695 | $ | 4,424,011 | $ | 2,324,282 | $ | 1,026,300 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 671,695 | 4,424,011 | 2,324,282 | 1,026,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 43,475 | 186,296 | 123,003 | 81,249 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
GS2 Shares | 1,951 | 2,008 | 1,929 | 1,932 | ||||||||||||
Custodian fees | 6,231 | 10,998 | 9,611 | 6,620 | ||||||||||||
Accounting and administration fees | 4,236 | 11,592 | 8,348 | 6,073 | ||||||||||||
Professional fees | 21,868 | 21,868 | 21,868 | 21,868 | ||||||||||||
Blue sky fees: | ||||||||||||||||
GS2 Shares | 3,419 | 3,222 | 3,222 | 3,222 | ||||||||||||
Shareholder reporting fees | 247 | 396 | 202 | 220 | ||||||||||||
Trustee expenses | 410 | 1,727 | 1,112 | 734 | ||||||||||||
Line of credit facility fees | 438 | 1,847 | 1,188 | 785 | ||||||||||||
Other expenses | 4,410 | 4,410 | 4,410 | 4,410 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 86,685 | 244,364 | 174,893 | 127,113 | ||||||||||||
Expenses waived/reimbursed net of amount recaptured(1) | (22,373 | ) | — | — | (7,503 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 64,312 | 244,364 | 174,893 | 119,610 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 607,383 | 4,179,647 | 2,149,389 | 906,690 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 249,929 | 1,911,833 | 1,631,156 | 1,150,972 | ||||||||||||
Net realized gain (loss) on investment securities of affiliated issuers | 1,483,938 | (1,539,833 | ) | (786,616 | ) | (784,541 | ) | |||||||||
Net realized gain on futures transactions | 23,070 | 325,736 | 374,085 | 262,909 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | 1,756,937 | 697,736 | 1,218,625 | 629,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation on investment securities of affiliated issuers | (1,731,002 | ) | 6,050,069 | 10,315,652 | 10,657,813 | |||||||||||
Change in unrealized depreciation on futures | (4,014 | ) | (162,056 | ) | (142,121 | ) | (86,473 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | (1,735,016 | ) | 5,888,013 | 10,173,531 | 10,571,340 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain | 21,921 | 6,585,749 | 11,392,156 | 11,200,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 629,304 | $ | 10,765,396 | $ | 13,541,545 | $ | 12,107,370 | ||||||||
|
|
|
|
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
41
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund I | Balanced Allocation Fund I | |||||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 607,383 | $ | 1,649,298 | $ | 4,179,647 | $ | 10,157,308 | ||||||||
Net realized gain on investment securities and futures transactions | 1,756,937 | 2,170,590 | 697,736 | 7,558,339 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (1,735,016 | ) | 1,520,272 | 5,888,013 | 19,489,434 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 629,304 | 5,340,160 | 10,765,396 | 37,205,081 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | — | (2,141,071 | ) | — | (13,614,253 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends | — | (2,141,071 | ) | — | (13,614,253 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS2 shares sold | 6,757,289 | 12,716,837 | 22,872,520 | 20,064,388 | ||||||||||||
Reinvestment of dividends and distributions into GS2 shares | — | 2,125,628 | — | 13,566,365 | ||||||||||||
Value of GS2 shares redeemed | (6,625,530 | ) | (9,464,251 | ) | (10,321,617 | ) | (22,233,722 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(2) | 131,759 | 5,378,214 | 12,550,903 | 11,397,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 761,063 | 8,577,303 | 23,316,299 | 34,987,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 82,718,162 | 74,140,859 | 345,254,487 | 310,266,628 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period* | $ | 83,479,225 | $ | 82,718,162 | $ | 368,570,786 | $ | 345,254,487 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Including undistributed net investment income | $ | 1,312,788 | $ | 705,405 | $ | 9,454,103 | $ | 5,274,456 | ||||||||
|
|
|
|
|
|
|
|
(1) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(2) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
42
Table of Contents
Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||
(Unaudited) | (Unaudited) | |||||||||||||
$ | 2,149,389 | $ | 5,051,180 | $ | 906,690 | $ | 2,573,267 | |||||||
1,218,625 | 3,596,208 | 629,340 | 2,229,394 | |||||||||||
10,173,531 | 20,569,665 | 10,571,340 | 17,103,003 | |||||||||||
|
|
|
|
|
|
|
| |||||||
13,541,545 | 29,217,053 | 12,107,370 | 21,905,664 | |||||||||||
|
|
|
|
|
|
|
| |||||||
— | (5,883,636 | ) | — | (2,288,303 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
— | (5,883,636 | ) | — | (2,288,303 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
23,461,742 | 10,082,428 | 13,724,188 | 6,044,994 | |||||||||||
— | 5,877,919 | — | 2,286,963 | |||||||||||
(6,724,787 | ) | (20,845,946 | ) | (6,538,371 | ) | (14,584,673 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
16,736,955 | (4,885,599 | ) | 7,185,817 | (6,252,716 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
30,278,500 | 18,447,818 | 19,293,187 | 13,364,645 | |||||||||||
|
|
|
|
|
|
|
| |||||||
216,330,880 | 197,883,062 | 142,830,777 | 129,466,132 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 246,609,380 | $ | 216,330,880 | $ | 162,123,964 | $ | 142,830,777 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,614,725 | $ | 1,465,336 | $ | 3,479,236 | $ | 2,572,546 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
43
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 9.75 | $ | 0.07 | # | $ | 0.03 | $ | (0.03 | ) | $ | — | $ | — | $ | 9.82 | 0.72 | % | $ | 83,479 | 0.15 | % | 0.20 | % | 1.42 | % | 8 | % | ||||||||||||||||||||||||
2012 | 9.35 | 0.20 | # | 0.15 | 0.31 | (0.26 | ) | — | 9.75 | 7.07 | 82,718 | 0.15 | 0.21 | 2.10 | 8 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
Balanced Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 10.06 | $ | 0.12 | # | $ | 0.05 | $ | 0.14 | $ | — | $ | — | $ | 10.37 | 3.08 | % | $ | 368,571 | 0.13 | % | 0.13 | % | 2.29 | % | 6 | % | |||||||||||||||||||||||||
2012 | 9.35 | 0.31 | # | 0.30 | 0.51 | (0.41 | ) | — | �� | 10.06 | 12.05 | 345,254 | 0.14 | 0.14 | 3.06 | 5 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Growth Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 10.70 | $ | 0.10 | # | $ | 0.08 | $ | 0.47 | $ | — | $ | — | $ | 11.35 | 6.08 | % | $ | 246,609 | 0.14 | % | 0.14 | % | 1.78 | % | 5 | % | |||||||||||||||||||||||||
2012 | 9.56 | 0.25 | # | 0.36 | 0.83 | (0.30 | ) | — | 10.70 | 15.09 | 216,331 | 0.15 | 0.15 | 2.41 | 4 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Aggressive Allocation Fund I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(6) | $ | 11.24 | $ | 0.07 | # | $ | 0.09 | $ | 0.77 | $ | — | $ | — | $ | 12.17 | 8.27 | % | $ | 162,124 | 0.15 | % | 0.16 | % | 1.14 | % | 3 | % | |||||||||||||||||||||||||
2012 | 9.74 | 0.20 | # | 0.37 | 1.11 | (0.18 | ) | — | 11.24 | 17.31 | 142,831 | 0.15 | 0.16 | 1.87 | 8 | |||||||||||||||||||||||||||||||||||||
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 |
† | 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 (higher) than the ratio shown. |
(6) | For the six months ended June 30, 2013. 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.
44
Table of Contents
MONEY MARKET FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 5.2% |
| |||||||
Federal Home Loan Mortgage |
| |||||||
0.32%, 07/01/13† | $ | 15,500,000 | $ | 15,499,452 | ||||
0.13%, 07/15/13† | 36,800,000 | 36,795,477 | ||||||
0.13%, 02/03/14 | 10,550,000 | 10,541,733 | �� | |||||
0.13%, 02/04/14 | 9,000,000 | 8,993,188 | ||||||
|
| |||||||
Total Agency Obligations | 71,829,850 | |||||||
|
| |||||||
CERTIFICATES OF DEPOSIT — 28.2% |
| |||||||
Bank of Montreal CHI | ||||||||
0.34%, 07/12/13† | 6,000,000 | 6,000,000 | ||||||
Bank of Nova Scotia Houston | ||||||||
0.33%, 07/02/13† | 11,500,000 | 11,500,000 | ||||||
0.70%, 07/18/13† | 7,350,000 | 7,359,647 | ||||||
Bank of Tokyo Mitsubishi | ||||||||
0.22%, 09/27/13 | 16,000,000 | 16,000,000 | ||||||
Canadian Imperial Bank of Commerce NY | ||||||||
0.31%, 06/29/13† | 13,000,000 | 13,000,000 | ||||||
0.28%, 07/01/13† | 10,000,000 | 10,000,000 | ||||||
0.31%, 07/01/13† | 10,000,000 | 10,000,000 | ||||||
0.27%, 09/13/13† | 3,750,000 | 3,750,000 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA NY | ||||||||
0.40%, 07/29/13† | 20,500,000 | 20,500,000 | ||||||
0.28%, 09/20/13† | 8,000,000 | 8,000,000 | ||||||
Credit Suisse NY | ||||||||
0.24%, 07/01/13† | 10,000,000 | 10,000,000 | ||||||
0.29%, 10/10/13 | 12,000,000 | 12,000,000 | ||||||
Deutsche Bank AG NY | ||||||||
0.24%, 06/29/13† | 13,000,000 | 13,000,000 | ||||||
HSBC Bank PLC | ||||||||
0.30%, 01/15/14 | 15,000,000 | 15,000,000 | ||||||
Mitsubishi UFJ Trust & Banking Corporation | ||||||||
0.29%, 08/20/13 | 15,000,000 | 15,000,000 | ||||||
National Australia Bank, | ||||||||
1.70%, 12/10/13 144A | 3,985,000 | 4,008,527 | ||||||
Nordea Bank AB | ||||||||
1.75%, 10/04/13 144A | 15,000,000 | 15,055,480 | ||||||
Nordea Bank Finland PLC NY | ||||||||
0.28%, 07/17/13 | 13,000,000 | 12,999,971 | ||||||
Norinchukin Bank NY | ||||||||
0.13%, 07/03/13 | 39,000,000 | 39,000,000 | ||||||
Rabobank Nederland NV NY | ||||||||
0.41%, 01/08/14 | 5,000,000 | 5,000,000 | ||||||
Royal Bank of Canada NY | ||||||||
0.24%, 07/01/13† | 9,250,000 | 9,250,000 | ||||||
Sumitomo Mitsui Banking Corporation NY | ||||||||
2.15%, 07/22/13 144A | 8,500,000 | 8,508,808 | ||||||
0.23%, 07/30/13 | 15,000,000 | 15,000,000 | ||||||
0.24%, 08/02/13 | 5,000,000 | 5,000,000 | ||||||
0.24%, 08/28/13 | 10,000,000 | 9,999,920 | ||||||
Sumitomo Mitsui Trust | ||||||||
0.24%, 08/01/13 | 11,000,000 | 11,000,000 | ||||||
0.24%, 08/05/13 | 10,000,000 | 10,000,000 | ||||||
Svenska Handelsbanken AB | ||||||||
0.28%, 07/15/13 144A† | 9,800,000 | 9,800,000 |
Par | Value | |||||||
Toronto Dominion Bank NY | ||||||||
0.28%, 07/19/13† | $ | 8,000,000 | $ | 8,000,000 | ||||
0.24%, 07/20/13† | 14,000,000 | 14,000,000 | ||||||
0.30%, 07/23/13 | 7,000,000 | 7,000,000 | ||||||
0.18%, 07/29/13† | 22,000,000 | 22,000,000 | ||||||
Westpac Banking Corporation | ||||||||
0.28%, 07/08/13 144A | 18,000,000 | 18,000,000 | ||||||
|
| |||||||
Total Certificates of Deposit | ||||||||
(Cost $394,732,353) | 394,732,353 | |||||||
|
| |||||||
COMMERCIAL PAPER — 43.8% |
| |||||||
Antalis US Funding Corporation | ||||||||
0.26%, 08/02/13 | 12,000,000 | 11,997,227 | ||||||
ASB Finance, Ltd. | ||||||||
0.25%, 07/30/13 | 15,000,000 | 14,996,979 | ||||||
Atlantic Asset Securitization Corporation | ||||||||
0.10%, 07/01/13 | 57,160,000 | 57,160,000 | ||||||
Bank of Tokyo Mitsubishi | ||||||||
1.60%, 09/11/13 144AD | 15,000,000 | 15,033,473 | ||||||
Commonwealth Bank of Australia | ||||||||
0.24%, 07/22/13 | 20,000,000 | 19,997,200 | ||||||
0.28%, 08/12/13† | 7,500,000 | 7,500,000 | ||||||
0.27%, 08/21/13† | 13,000,000 | 12,999,388 | ||||||
CPPIB Capital, Inc. | ||||||||
0.24%, 01/03/14 | 12,000,000 | 11,985,120 | ||||||
DNB Bank ASA | ||||||||
0.07%, 07/05/13 | 30,000,000 | 29,999,767 | ||||||
0.27%, 07/19/13 | 18,000,000 | 17,997,570 | ||||||
0.27%, 08/05/13 | 7,000,000 | 6,998,162 | ||||||
Erste Abwicklungsanstalt | ||||||||
0.25%, 08/20/13 | 10,000,000 | 9,996,528 | ||||||
0.25%, 08/23/13 | 15,000,000 | 14,994,479 | ||||||
0.25%, 09/10/13 | 18,000,000 | 17,991,125 | ||||||
0.25%, 09/27/13 | 13,000,000 | 12,992,055 | ||||||
General Electric Capital Corporation | ||||||||
0.24%, 08/12/13 | 15,000,000 | 14,995,800 | ||||||
0.24%, 09/04/13 | 27,000,000 | 26,988,300 | ||||||
HSBC Bank PLC | ||||||||
0.30%, 08/12/13 | 12,500,000 | 12,519,191 | ||||||
Kells Funding LLC | ||||||||
0.26%, 08/19/13 | 24,000,000 | 23,991,507 | ||||||
0.29%, 10/04/13 | 14,000,000 | 13,989,286 | ||||||
0.25%, 11/01/13 | 12,500,000 | 12,500,000 | ||||||
LMA Americas LLC | ||||||||
0.13%, 07/03/13 | 7,000,000 | 6,999,949 | ||||||
National Australia Funding Delaware, Inc. | ||||||||
0.29%, 10/07/13 | 8,645,000 | 8,638,175 | ||||||
Natixis US Finance Co. LLC | ||||||||
0.11%, 07/01/13 | 41,971,000 | 41,971,000 | ||||||
Nieuw Amsterdam | ||||||||
0.21%, 07/08/13 | 25,000,000 | 24,998,979 | ||||||
0.22%, 07/22/13 | 10,000,000 | 9,998,717 | ||||||
0.26%, 10/15/13 | 13,000,000 | 12,990,048 | ||||||
Old Line Funding LLC | ||||||||
0.25%, 09/16/13 | 14,000,000 | 13,992,514 | ||||||
0.24%, 12/10/13 | 20,000,000 | 19,978,400 | ||||||
Svenska Handelsbanken, Inc. | ||||||||
0.28%, 07/26/13 | 28,000,000 | 27,994,555 |
See Notes to Financial Statements.
45
Table of Contents
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Sydney Capital Corporation | ||||||||
0.25%, 08/14/13 | $ | 15,000,000 | $ | 14,995,417 | ||||
0.24%, 09/12/13 | 14,000,000 | 13,993,187 | ||||||
0.24%, 09/17/13 | 19,000,000 | 18,990,120 | ||||||
Westpac Banking Corporation | ||||||||
0.28%, 07/24/13 | 30,000,000 | 30,001,662 | ||||||
|
| |||||||
Total Commercial Paper | ||||||||
(Cost $613,165,880) | 613,165,880 | |||||||
|
| |||||||
MUNICIPAL BONDS — 13.5% | ||||||||
California Housing Finance | 4,900,000 | 4,900,000 | ||||||
California Housing Finance | 9,500,000 | 9,500,000 | ||||||
California Statewide | 6,420,000 | 6,420,000 | ||||||
California Statewide | 17,100,000 | 17,100,000 | ||||||
Connecticut State Health & | 11,930,000 | 11,930,000 | ||||||
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 | 7,600,000 | 7,600,000 | ||||||
New York City Municipal Water | 5,000,000 | 5,000,000 | ||||||
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 | ||||||
New York State Dormitory | 10,000,000 | 10,000,000 | ||||||
New York State Housing | 18,000,000 | 18,000,000 | ||||||
Pennsylvania Higher | 4,700,000 | 4,700,000 | ||||||
Sacramento Housing Authority, | 10,190,000 | 10,190,000 | ||||||
State of Texas, Veterans’ | 7,700,000 | 7,700,000 | ||||||
Wisconsin Housing & | 6,100,000 | 6,100,000 | ||||||
|
| |||||||
Total Municipal Bonds | ||||||||
(Cost $189,014,000) | 189,014,000 | |||||||
|
|
See Notes to Financial Statements.
46 |
Table of Contents
Par | Value | |||||||
TIME DEPOSIT — 1.2% | ||||||||
ING Bank NV | ||||||||
0.15%, 07/03/13 (Cost $16,000,000) | $ | 16,000,000 | $ | 16,000,000 | ||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 8.0% |
| |||||||
U.S. Treasury Bills | ||||||||
0.04%, 09/26/13D | 60,000,000 | 59,994,200 | ||||||
0.11%, 10/03/13 | 15,000,000 | 14,995,887 | ||||||
0.09%, 10/24/13D | 20,000,000 | 19,994,505 | ||||||
|
| |||||||
94,984,592 | ||||||||
|
| |||||||
U.S. Treasury Note | ||||||||
0.38%, 06/30/13D | 17,000,000 | 17,000,000 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $111,984,592) | 111,984,592 | |||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUND — 0.1% | ||||||||
Northern Institutional Liquid | 1,804,428 | 1,804,428 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $1,398,531,103) | 1,398,531,103 | |||||||
Other Assets in Excess of | 330,650 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,398,861,753 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Commercial Paper | 43.8 | |||
Certificates of Deposit | 28.2 | |||
Municipal Bonds | 13.5 | |||
U.S. Treasury Obligations | 8.0 | |||
Agency Obligations | 5.2 | |||
Time Deposit | 1.2 | |||
Money Market Fund | 0.1 | |||
|
| |||
100.0 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 71,829,850 | $ | — | $ | 71,829,850 | $ | — | ||||||||
Certificates of Deposit | 394,732,353 | — | 394,732,353 | — | ||||||||||||
Commercial Paper | 613,165,880 | — | 613,165,880 | — | ||||||||||||
Money Market Fund | 1,804,428 | 1,804,428 | — | — | ||||||||||||
Municipal Bonds | 189,014,000 | — | 189,014,000 | — | ||||||||||||
Time Deposit | 16,000,000 | — | 16,000,000 | — | ||||||||||||
U.S. Treasury Obligations | 111,984,592 | — | 111,984,592 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,398,531,103 | $ | 1,804,428 | $ | 1,396,726,675 | $ | — | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
47
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 1.4% | ||||||||
Federal Home Loan Bank | ||||||||
0.07%, 08/07/13 | $ | 6,600,000 | $ | 6,599,535 | ||||
Federal Home Loan Mortgage Corporation | ||||||||
0.08%, 09/16/13 | 1,400,000 | 1,399,910 | ||||||
0.16%, 02/11/14 | 3,600,000 | 3,597,750 | ||||||
Small Business Administration | ||||||||
6.95%, 11/01/16 | 136,976 | 145,057 | ||||||
|
| |||||||
Total Agency Obligations | 11,742,252 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 8.5% | ||||||||
Aircraft Certificate Owner Trust | ||||||||
6.46%, 09/20/22+ 144A | 199,331 | 197,338 | ||||||
Ally Master Owner Trust | ||||||||
0.64%, 02/15/18† | 1,100,000 | 1,095,053 | ||||||
0.64%, 04/15/18† | 1,400,000 | 1,392,931 | ||||||
AmeriCredit Automobile | ||||||||
4.04%, 07/10/17 | 1,226,000 | 1,279,386 | ||||||
1.31%, 11/08/17 | 370,000 | 369,289 | ||||||
1.19%, 05/08/18 | 785,000 | 777,006 | ||||||
1.79%, 03/08/19 | 980,000 | 957,305 | ||||||
Apidos CDO | ||||||||
1.42%, 04/15/25+ 144A† | 2,090,000 | 2,069,100 | ||||||
1.88%, 04/15/25+ 144A† | 250,000 | 247,500 | ||||||
Asset-Backed Securities Corporation Home Equity Loan Trust | ||||||||
0.47%, 09/25/34† | 100,868 | 100,170 | ||||||
Babson CLO, Ltd. | ||||||||
1.31%, 04/20/25 144A† | 2,300,000 | 2,253,595 | ||||||
Bear Stearns Asset-Backed | ||||||||
1.19%, 10/25/37† | 829,212 | 715,248 | ||||||
0.38%, 01/25/47† | 413,362 | 407,395 | ||||||
BNC Mortgage Loan Trust | ||||||||
0.31%, 11/25/36† | 161,979 | 159,917 | ||||||
0.25%, 03/25/37† | 327,249 | 318,888 | ||||||
Capital Auto Receivables Asset Trust | ||||||||
1.29%, 04/20/18 | 260,000 | 256,736 | ||||||
1.74%, 10/22/18 | 270,000 | 264,914 | ||||||
CenterPoint Energy Transition Bond Co., LLC | ||||||||
0.90%, 04/15/18 | 1,281,213 | 1,281,986 | ||||||
Chester Asset Receivables | ||||||||
0.70%, 04/15/16(U)† | 730,000 | 1,110,147 | ||||||
Conseco Financial Corporation | ||||||||
6.04%, 11/01/29 | 10,436 | 10,897 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
2.61%, 03/15/19 144A | 1,120,000 | 1,131,662 | ||||||
Crusade ABS Trust | ||||||||
3.80%, 07/12/23(A)† | 1,600,000 | 1,466,150 | ||||||
CSAB Mortgage Backed Trust | ||||||||
5.72%, 09/25/36 STEP | 635,338 | 515,141 | ||||||
Discover Card Execution Note Trust | ||||||||
0.81%, 08/15/17 | 1,100,000 | 1,102,413 | ||||||
Dryden XXII Senior Loan Fund | ||||||||
1.38%, 08/15/25+ 144A† | 930,000 | 920,700 | ||||||
1.83%, 08/15/25+ 144A† | 1,175,000 | 1,163,250 |
Par | Value | |||||||
DT Auto Owner Trust | ||||||||
1.85%, 04/17/17 144A | $ | 1,620,000 | $ | 1,623,075 | ||||
Enterprise Fleet Financing LLC | ||||||||
1.14%, 11/20/17 144A | 1,845,744 | 1,854,833 | ||||||
FHLMC Structured Pass-Through Securities | ||||||||
0.45%, 08/25/31† | 677,405 | 660,798 | ||||||
First Investors Auto Owner Trust | ||||||||
3.40%, 03/15/16 144A | 700,000 | 703,215 | ||||||
Ford Credit Floorplan Master | ||||||||
2.37%, 09/15/15 | 445,000 | 446,600 | ||||||
2.86%, 09/15/15 | 450,000 | 452,389 | ||||||
1.39%, 09/15/16 | 790,000 | 792,748 | ||||||
GE Capital Credit Card Master | ||||||||
1.03%, 01/15/18 | 1,500,000 | 1,505,771 | ||||||
Globaldrive Auto Receivables | ||||||||
0.87%, 04/20/19 144A(E)† | 403,653 | 528,556 | ||||||
Gracechurch Card Funding PLC | ||||||||
0.89%, 02/15/17 144A† | 1,050,000 | 1,051,721 | ||||||
0.92%, 02/15/17 144A(E)† | 800,000 | 1,050,016 | ||||||
Great America Leasing Receivables | ||||||||
1.83%, 06/17/19 144A | 200,000 | 197,010 | ||||||
HLSS Servicer Advance Receivables Backed Notes | ||||||||
1.50%, 01/16/46 144A | 700,000 | 690,830 | ||||||
1.79%, 05/15/46 144A | 900,000 | 899,037 | ||||||
Huntington Auto Trust | ||||||||
0.38%, 09/15/15 | 2,322,282 | 2,320,376 | ||||||
IFC SBA Loan-Backed Adjustable Rate Certificate | ||||||||
1.25%, 01/15/24 144A† | 110,771 | 110,771 | ||||||
LA Arena Funding LLC | ||||||||
7.66%, 12/15/26 144A | 384,304 | 428,706 | ||||||
Mercedes-Benz Master Owner Trust | ||||||||
0.79%, 11/15/17 144A | 1,230,000 | 1,225,649 | ||||||
MMAF Equipment Finance LLC | ||||||||
1.27%, 09/15/15 144A | 1,141,041 | 1,144,650 | ||||||
Motor 2012 PLC | ||||||||
1.29%, 02/25/20 144A | 252,000 | 252,922 | ||||||
Nissan Master Owner Trust Receivables | ||||||||
0.49%, 02/15/18† | 2,525,000 | 2,513,327 | ||||||
Oaktree Enhanced Income Funding Ltd. | ||||||||
1.48%, 07/20/23+ 144A† | 900,000 | 891,000 | ||||||
1.98%, 07/20/23+ 144A† | 1,300,000 | 1,287,000 | ||||||
OHA Intrepid Leveraged Loan | ||||||||
1.20%, 04/20/21+ 144A† | 1,965,000 | 1,962,052 | ||||||
Red & Black Auto France | ||||||||
0.98%, 12/28/21(E)† | 682,790 | 892,348 | ||||||
Santander Consumer Acquired Receivables Trust | ||||||||
1.66%, 08/15/16 144A | 556,315 | 558,430 | ||||||
2.01%, 08/15/16 144A | 420,659 | 422,087 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
2.06%, 06/15/17 144A | 128,798 | 129,192 |
See Notes to Financial Statements.
48
Table of Contents
Par | Value | |||||||
2.86%, 06/15/17 144A | $ | 132,835 | $ | 133,439 | ||||
1.94%, 03/15/18 | 270,000 | 268,104 | ||||||
2.70%, 08/15/18 | 300,000 | 301,647 | ||||||
1.78%, 11/15/18 144A | 770,000 | 753,171 | ||||||
1.76%, 01/15/19 | 580,000 | 565,738 | ||||||
SLC Private Student Loan Trust | ||||||||
0.40%, 01/15/19† | 231,613 | 231,269 | ||||||
SLM Private Credit Student | ||||||||
0.47%, 06/15/21† | 844,291 | 827,626 | ||||||
0.67%, 03/15/22† | 582,555 | 571,059 | ||||||
SLM Private Education Loan Trust | ||||||||
1.84%, 12/15/17 144A† | 157,773 | 158,209 | ||||||
1.29%, 12/15/21 144A† | 324,699 | 326,174 | ||||||
1.29%, 08/15/23 144A† | 1,255,819 | 1,262,669 | ||||||
0.94%, 10/16/23 144A† | 440,257 | 440,418 | ||||||
3.50%, 08/17/43 144A†@ | 3,904,899 | 3,690,059 | ||||||
3.44%, 05/16/44 144A† | 2,794,669 | 2,891,504 | ||||||
SLM Student Loan Trust | ||||||||
0.28%, 07/25/17† | 494,582 | 492,759 | ||||||
0.39%, 10/25/24† | 750,000 | 744,186 | ||||||
Soundview Home Loan Trust | ||||||||
1.04%, 08/25/31† | 95,100 | 94,694 | ||||||
Structured Asset Securities | ||||||||
1.70%, 04/25/35† | 743,605 | 691,114 | ||||||
Turbo Finance 2 PLC | ||||||||
5.50%, 02/20/19(U) | 848,000 | 1,366,951 | ||||||
Tyron Park CLO, Ltd. | ||||||||
1.39%, 07/15/25+ 144A† | 1,270,000 | 1,257,300 | ||||||
1.82%, 07/15/25+ 144A† | 1,175,000 | 1,163,250 | ||||||
Volkswagen Auto Loan | ||||||||
0.46%, 01/20/17 | 3,375,000 | 3,361,125 | ||||||
Wells Fargo Home Equity Trust | ||||||||
0.28%, 04/25/37† | 123,734 | 122,938 | ||||||
World Omni Master Owner Trust | ||||||||
0.54%, 02/15/18 144A† | 750,000 | 746,227 | ||||||
|
| |||||||
Total Asset-Backed Securities | ||||||||
(Cost $71,416,791) | 70,620,856 | |||||||
|
| |||||||
CORPORATE BONDS — 19.6% | ||||||||
AbbVie, Inc. | ||||||||
1.20%, 11/06/15 144A | 1,150,000 | 1,151,926 | ||||||
1.75%, 11/06/17 144A | 1,130,000 | 1,108,229 | ||||||
AEP Texas Central Transition Funding LLC | ||||||||
4.98%, 07/01/15 | 67,509 | 67,534 | ||||||
American Express Credit Corporation | ||||||||
1.75%, 06/12/15 | 240,000 | 243,372 | ||||||
American Express, Co. | ||||||||
0.86%, 05/22/18† | 1,240,000 | 1,239,865 | ||||||
American Honda Finance Corporation | ||||||||
0.65%, 05/26/16 144A† | 1,200,000 | 1,198,961 | ||||||
American International Group, Inc. | ||||||||
0.39%, 07/19/13(E)† | 400,000 | 520,982 | ||||||
3.75%, 11/30/13 144A | 400,000 | 404,977 | ||||||
3.00%, 03/20/15 | 1,050,000 | 1,082,551 |
Par | Value | |||||||
2.38%, 08/24/15 | $ | 320,000 | $ | 325,217 | ||||
4.88%, 09/15/16D | 100,000 | 109,618 | ||||||
AmeriGas Partners LP | ||||||||
6.25%, 08/20/19 | 500,000 | 505,000 | ||||||
Apple, Inc. | ||||||||
0.45%, 05/03/16D | 540,000 | 534,576 | ||||||
0.52%, 05/03/18† | 1,250,000 | 1,246,126 | ||||||
1.00%, 05/03/18 | 605,000 | 581,662 | ||||||
ArcelorMittal USA LLC | ||||||||
6.50%, 04/15/14D | 500,000 | 518,938 | ||||||
Ashland, Inc. | ||||||||
3.00%, 03/15/16 144A | 770,000 | 777,700 | ||||||
Astoria Financial Corporation | ||||||||
5.00%, 06/19/17 | 770,000 | 809,907 | ||||||
AT&T, Inc. | ||||||||
0.88%, 02/13/15 | 1,040,000 | 1,040,960 | ||||||
0.66%, 02/12/16† | 940,000 | 935,418 | ||||||
Autodesk, Inc. | ||||||||
1.95%, 12/15/17D | 350,000 | 341,828 | ||||||
Aviation Capital Group Corporation | ||||||||
4.63%, 01/31/18 144A | 850,000 | 836,719 | ||||||
Bank of America Corporation | ||||||||
3.75%, 07/12/16 | 920,000 | 965,110 | ||||||
3.88%, 03/22/17 | 1,860,000 | 1,949,726 | ||||||
6.00%, 09/01/17 | 885,000 | 992,966 | ||||||
1.34%, 03/22/18† | 1,200,000 | 1,188,840 | ||||||
5.65%, 05/01/18 | 420,000 | 467,109 | ||||||
Bank of New York Mellon Corporation | ||||||||
4.30%, 05/15/14D | 790,000 | 816,716 | ||||||
Baxter International, Inc. | ||||||||
0.95%, 06/01/16D | 230,000 | 229,084 | ||||||
BB&T Corporation | ||||||||
1.60%, 08/15/17 | 340,000 | 332,830 | ||||||
Capital One Financial Corporation | ||||||||
2.13%, 07/15/14 | 600,000 | 607,187 | ||||||
1.00%, 11/06/15 | 920,000 | 908,046 | ||||||
Caterpillar Financial Services Corporation | ||||||||
0.70%, 11/06/15 | 1,160,000 | 1,158,194 | ||||||
CC Holdings GS V LLC | ||||||||
2.38%, 12/15/17 | 300,000 | 295,544 | ||||||
Citigroup, Inc. | ||||||||
2.28%, 08/13/13† | 700,000 | 701,523 | ||||||
2.25%, 08/07/15D | 730,000 | 742,650 | ||||||
1.25%, 01/15/16D | 500,000 | 494,330 | ||||||
1.07%, 04/01/16†D | 1,160,000 | 1,163,626 | ||||||
3.95%, 06/15/16 | 3,842,000 | 4,052,565 | ||||||
4.45%, 01/10/17 | 450,000 | 482,249 | ||||||
CMS Energy Corporation | ||||||||
4.25%, 09/30/15 | 255,000 | 270,588 | ||||||
CNOOC Finance 2013, Ltd. | ||||||||
1.13%, 05/09/16 | 4,800,000 | 4,725,533 | ||||||
Computer Sciences Corporation | ||||||||
2.50%, 09/15/15 | 210,000 | 214,218 | ||||||
ConAgra Foods, Inc. | ||||||||
1.35%, 09/10/15 | 160,000 | 161,183 | ||||||
1.30%, 01/25/16 | 240,000 | 240,547 | ||||||
Continental Airlines 2010-1 Class B Pass Through Trust | ||||||||
6.00%, 07/12/20 | 599,670 | 622,158 |
See Notes to Financial Statements.
49
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Daimler Finance North America LLC | ||||||||
0.89%, 03/28/14 144A† | $ | 2,600,000 | $ | 2,607,998 | ||||
1.30%, 07/31/15 144A | 500,000 | 501,356 | ||||||
1.25%, 01/11/16 144A | 530,000 | 526,871 | ||||||
Danaher Corporation | ||||||||
1.30%, 06/23/14 | 300,000 | 302,158 | ||||||
Dell, Inc. | ||||||||
5.63%, 04/15/14 | 1,150,000 | 1,188,087 | ||||||
Delta Air Lines 2010-2 Class B Pass Through Trust | ||||||||
6.75%, 05/23/17 | 300,000 | 309,750 | ||||||
Digital Realty Trust LP | ||||||||
4.50%, 07/15/15 | 425,000 | 446,075 | ||||||
DIRECTV Holdings LLC | ||||||||
4.75%, 10/01/14 | 360,000 | 376,846 | ||||||
3.13%, 02/15/16 | 320,000 | 332,292 | ||||||
Discover Bank | ||||||||
2.00%, 02/21/18 | 1,380,000 | 1,337,139 | ||||||
Dollar General Corporation | ||||||||
4.13%, 07/15/17 | 850,000 | 897,399 | ||||||
Duke Energy Corporation | ||||||||
1.63%, 08/15/17D | 1,500,000 | 1,473,915 | ||||||
Duke Realty LP | ||||||||
5.40%, 08/15/14 | 440,000 | 460,194 | ||||||
Eaton Corporation | ||||||||
0.95%, 11/02/15 144A | 450,000 | 448,479 | ||||||
Enterprise Products Operating LLC | ||||||||
1.25%, 08/13/15 | 230,000 | 230,875 | ||||||
EOG Resources, Inc. | ||||||||
1.02%, 02/03/14† | 2,900,000 | 2,910,747 | ||||||
Equifax, Inc. | ||||||||
4.45%, 12/01/14 | 140,000 | 146,312 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 07/01/13 144AD | 370,000 | 370,000 | ||||||
2.25%, 01/10/14 144A | 330,000 | 332,515 | ||||||
1.40%, 04/15/16 144A | 180,000 | 178,783 | ||||||
Express Scripts Holding, Co. | ||||||||
2.10%, 02/12/15 | 280,000 | 284,868 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
0.21%, 10/25/13 144AW† | 2,300,000 | 2,298,705 | ||||||
Federal Express Corporation 2012 Pass-Through Trust | ||||||||
2.63%, 01/15/18 144A | 484,832 | 489,193 | ||||||
Fidelity National Information | ||||||||
2.00%, 04/15/18 | 340,000 | 328,524 | ||||||
Ford Motor Credit Co., LLC | ||||||||
7.00%, 10/01/13 | 3,000,000 | 3,047,889 | ||||||
3.88%, 01/15/15 | 505,000 | 520,720 | ||||||
12.00%, 05/15/15D | 500,000 | 593,339 | ||||||
1.53%, 05/09/16† | 610,000 | 614,692 | ||||||
8.00%, 12/15/16 | 1,820,000 | 2,136,019 | ||||||
3.00%, 06/12/17 | 560,000 | 561,699 | ||||||
6.63%, 08/15/17 | 830,000 | 940,245 | ||||||
2.38%, 01/16/18D | 2,000,000 | 1,927,742 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
1.40%, 02/13/15D | 200,000 | 199,153 | ||||||
2.15%, 03/01/17D | 210,000 | 205,725 | ||||||
General Electric Capital Corporation | ||||||||
3.75%, 11/14/14 | 660,000 | 686,104 |
Par | Value | |||||||
2.15%, 01/09/15 | $ | 960,000 | $ | 979,247 | ||||
1.00%, 12/11/15D | 2,000,000 | 1,998,212 | ||||||
General Motors Financial Co., Inc. | ||||||||
2.75%, 05/15/16 144AD | 1,303,000 | 1,284,269 | ||||||
4.75%, 08/15/17 144A | 800,000 | 824,000 | ||||||
Genworth Holdings, Inc. | ||||||||
6.52%, 05/22/18D | 1,261,000 | �� | 1,395,260 | |||||
Genzyme Corporation | ||||||||
3.63%, 06/15/15 | 395,000 | 417,676 | ||||||
Glencore Funding LLC | ||||||||
1.57%, 01/15/19 144A† | 1,200,000 | 1,116,762 | ||||||
Goldman Sachs Group, Inc. | ||||||||
1.60%, 11/23/15 | 640,000 | 641,836 | ||||||
3.63%, 02/07/16D | 135,000 | 141,009 | ||||||
5.75%, 10/01/16D | 135,000 | 150,285 | ||||||
6.25%, 09/01/17D | 2,003,000 | 2,271,913 | ||||||
5.95%, 01/18/18 | 3,350,000 | 3,751,879 | ||||||
1.48%, 04/30/18† | 1,250,000 | 1,239,874 | ||||||
Harley-Davidson Financial | ||||||||
1.15%, 09/15/15 144A | 340,000 | 339,578 | ||||||
Hartford Financial Services | ||||||||
4.00%, 03/30/15 | 320,000 | 334,729 | ||||||
HCA, Inc. | ||||||||
7.88%, 02/15/20D | 687,000 | 741,531 | ||||||
7.25%, 09/15/20 | 360,000 | 387,450 | ||||||
HCP, Inc. | ||||||||
2.70%, 02/01/14 | 210,000 | 212,127 | ||||||
Health Care REIT, Inc. | ||||||||
6.00%, 11/15/13 | 540,000 | 550,235 | ||||||
3.63%, 03/15/16 | 400,000 | 419,695 | ||||||
Hewlett-Packard Co. | ||||||||
2.63%, 12/09/14 | 590,000 | 602,358 | ||||||
2.35%, 03/15/15D | 800,000 | 811,807 | ||||||
2.20%, 12/01/15 | 625,000 | 635,063 | ||||||
HSBC USA, Inc. | ||||||||
2.38%, 02/13/15 | 400,000 | 408,914 | ||||||
Hyundai Capital America | ||||||||
1.63%, 10/02/15 144A | 500,000 | 498,656 | ||||||
3.75%, 04/06/16 144A | 190,000 | 197,254 | ||||||
ING US, Inc. | ||||||||
2.90%, 02/15/18 144AD | 2,000,000 | 2,012,224 | ||||||
Ingredion, Inc. | ||||||||
3.20%, 11/01/15 | 200,000 | 209,119 | ||||||
International Lease Finance Corporation | ||||||||
4.88%, 04/01/15D | 550,000 | 561,000 | ||||||
Jabil Circuit, Inc. | ||||||||
7.75%, 07/15/16D | 295,000 | 335,563 | ||||||
JB Hunt Transport Services, Inc. | ||||||||
3.38%, 09/15/15 | 550,000 | 573,724 | ||||||
JPMorgan Chase & Co. | ||||||||
3.70%, 01/20/15D | 1,000,000 | 1,039,034 | ||||||
0.89%, 02/26/16† | 1,100,000 | 1,098,446 | ||||||
3.45%, 03/01/16 | 487,000 | 508,306 | ||||||
2.00%, 08/15/17D | 1,260,000 | 1,251,712 | ||||||
6.00%, 01/15/18D | 1,000,000 | 1,142,310 | ||||||
1.18%, 01/25/18† | 610,000 | 609,333 | ||||||
Kellogg Co. | ||||||||
1.13%, 05/15/15 | 760,000 | 763,619 | ||||||
KeyCorp | ||||||||
3.75%, 08/13/15 | 360,000 | 379,331 |
See Notes to Financial Statements.
50
Table of Contents
Par | Value | |||||||
Kraft Foods Group, Inc. | ||||||||
1.63%, 06/04/15 | $ | 350,000 | $ | 353,899 | ||||
Kroger Co. | ||||||||
2.20%, 01/15/17 | 500,000 | 502,412 | ||||||
Lehman Escrow Bonds | ||||||||
6.75%, 12/28/17+W†# | 2,600,000 | — | ||||||
6.63%, 12/31/99W†# | 600,000 | 147,750 | ||||||
Lexmark International, Inc. | ||||||||
5.13%, 03/15/20D | 310,000 | 312,098 | ||||||
Life Technologies Corporation | ||||||||
3.50%, 01/15/16 | 800,000 | 833,138 | ||||||
Lincoln National Corporation | ||||||||
4.30%, 06/15/15 | 1,210,000 | 1,283,834 | ||||||
Marathon Oil Corporation | ||||||||
0.90%, 11/01/15 | 490,000 | 487,560 | ||||||
Masco Corporation | ||||||||
4.80%, 06/15/15D | 365,000 | 375,950 | ||||||
MBNA Credit Card Master | ||||||||
5.45%, 02/17/16(U)† | 675,000 | 1,035,698 | ||||||
Merck & Co, Inc. | ||||||||
0.63%, 05/18/18† | 980,000 | 979,290 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
5.00%, 01/15/15 | 2,700,000 | 2,844,091 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.03%, 01/10/14 144A† | 1,000,000 | 1,003,664 | ||||||
Microsoft Corporation | ||||||||
2.95%, 06/01/14 | 900,000 | 921,956 | ||||||
Morgan Stanley | ||||||||
1.52%, 02/25/16† | 930,000 | 927,977 | ||||||
4.75%, 03/22/17 | 1,015,000 | 1,077,484 | ||||||
1.56%, 04/25/18†D | 1,520,000 | 1,492,494 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/17 STEP | 250,000 | 264,909 | ||||||
Mylan, Inc. | ||||||||
1.80%, 06/24/16 144A | 180,000 | 179,640 | ||||||
National Oilwell Varco, Inc. | ||||||||
1.35%, 12/01/17 | 660,000 | 643,675 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
1.00%, 02/02/15 | 390,000 | 392,037 | ||||||
NBCUniversal Enterprise, Inc. | ||||||||
0.97%, 04/15/18 144A† | 490,000 | 494,843 | ||||||
NBCUniversal Media LLC | ||||||||
3.65%, 04/30/15 | 550,000 | 578,162 | ||||||
NCUA Guaranteed Notes | ||||||||
1.40%, 06/12/15 | 1,180,000 | 1,199,081 | ||||||
New York Life Global Funding | ||||||||
0.54%, 04/04/14 144A† | 1,600,000 | 1,604,032 | ||||||
1.65%, 05/15/17 144A | 2,500,000 | 2,477,928 | ||||||
NextEra Energy Capital | ||||||||
1.20%, 06/01/15 | 170,000 | 170,941 | ||||||
Nissan Motor Acceptance Corporation | ||||||||
1.00%, 03/15/16 144A | 910,000 | 900,641 | ||||||
1.95%, 09/12/17 144A | 520,000 | 517,135 | ||||||
Northwest Airlines 2002-1 Class G-2 Pass Through Trust | ||||||||
6.26%, 05/20/23 | 265,542 | 282,803 | ||||||
Novus USA Trust | ||||||||
1.57%, 02/28/14 144A† | 2,000,000 | 1,997,000 |
Par | Value | |||||||
Omnicom Group, Inc. | ||||||||
5.90%, 04/15/16 | $ | 575,000 | $ | 640,541 | ||||
Overseas Private Investment Corporation | ||||||||
0.00%, 04/15/16W† | 1,550,720 | 2,084,208 | ||||||
PACCAR Financial Corporation | ||||||||
1.05%, 06/05/15 | 220,000 | 221,606 | ||||||
0.75%, 05/16/16 | 270,000 | 266,286 | ||||||
Parker Hannifin Corporation | ||||||||
4.13%, 11/11/15(E) | 700,000 | 975,427 | ||||||
Penske Truck Leasing Co. LP | ||||||||
2.50%, 07/11/14 144A | 230,000 | 233,337 | ||||||
3.13%, 05/11/15 144A | 600,000 | 620,261 | ||||||
2.50%, 03/15/16 144A | 300,000 | 305,353 | ||||||
3.38%, 03/15/18 144A | 1,115,000 | 1,132,939 | ||||||
2.88%, 07/17/18 144A | 1,350,000 | 1,365,017 | ||||||
Petrohawk Energy Corporation | ||||||||
6.25%, 06/01/19 | 1,000,000 | 1,100,000 | ||||||
Phillips 66 | ||||||||
1.95%, 03/05/15 | 210,000 | 213,344 | ||||||
2.95%, 05/01/17 | 210,000 | 216,625 | ||||||
Pioneer Natural Resources Co. | ||||||||
5.88%, 07/15/16 | 2,410,000 | 2,689,596 | ||||||
Plains Exploration & Production Co. | ||||||||
6.50%, 11/15/20 | 540,000 | 573,159 | ||||||
Principal Life Global Funding II | ||||||||
1.00%, 12/11/15 144A | 530,000 | 530,418 | ||||||
Procter & Gamble Co. | ||||||||
3.50%, 02/15/15D | 200,000 | 209,525 | ||||||
Prudential Covered Trust | ||||||||
3.00%, 09/30/15 144A | 720,000 | 743,386 | ||||||
Prudential Financial, Inc. | ||||||||
6.00%, 12/01/17 | 2,000,000 | 2,298,922 | ||||||
Regions Financial Corporation | ||||||||
2.00%, 05/15/18 | 1,250,000 | 1,182,991 | ||||||
Samsung Electronics America, Inc. | ||||||||
1.75%, 04/10/17 144A | 1,150,000 | 1,140,110 | ||||||
SBA Tower Trust | ||||||||
4.25%, 04/15/40 144A | 510,000 | 528,685 | ||||||
Simon Property Group LP REIT | ||||||||
4.20%, 02/01/15 | 140,000 | 145,882 | ||||||
SteelRiver Transmission Co., LLC | ||||||||
4.71%, 06/30/17 144A | 553,258 | 569,524 | ||||||
Stryker Corporation | ||||||||
3.00%, 01/15/15D | 450,000 | 466,057 | ||||||
TD Ameritrade Holding Corporation | ||||||||
4.15%, 12/01/14D | 660,000 | 691,272 | ||||||
Tesoro Corporation | ||||||||
4.25%, 10/01/17D | 550,000 | 566,500 | ||||||
Total System Services, Inc. | ||||||||
2.38%, 06/01/18D | 610,000 | 591,674 | ||||||
Trans-Canada Pipelines | ||||||||
0.95%, 06/30/16 | 580,000 | 580,000 | ||||||
Union Bank NA | ||||||||
1.22%, 06/06/14† | 3,000,000 | 3,018,717 | ||||||
United Air Lines 2009-1 Pass-Through Trust | ||||||||
10.40%, 05/01/18D | 529,208 | 608,590 |
See Notes to Financial Statements.
51
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
United Airline 2009-2A Pass Through Trust | ||||||||
9.75%, 07/15/18 | $ | 654,338 | $ | 752,489 | ||||
UnitedHealth Group, Inc. | ||||||||
1.40%, 10/15/17 | 210,000 | 206,400 | ||||||
Vesey Street Investment Trust I | ||||||||
4.40%, 09/01/16 STEP | 700,000 | 745,977 | ||||||
Vornado Realty LP | ||||||||
4.25%, 04/01/15 | 700,000 | 729,009 | ||||||
Wachovia Bank NA | ||||||||
4.80%, 11/01/14 | 360,000 | 379,040 | ||||||
Walgreen Co. | ||||||||
1.00%, 03/13/15D | 460,000 | 461,644 | ||||||
Wal-Mart Stores, Inc. | ||||||||
0.60%, 04/11/16 | 270,000 | 268,380 | ||||||
WellPoint, Inc. | ||||||||
1.25%, 09/10/15 | 440,000 | 440,972 | ||||||
2.38%, 02/15/17 | 1,060,000 | 1,070,176 | ||||||
Wells Fargo & Co. | ||||||||
0.91%, 04/23/18† | 270,000 | 268,925 | ||||||
Wells Fargo Bank NA | ||||||||
4.75%, 02/09/15 | 1,000,000 | 1,055,799 | ||||||
WPX Energy, Inc. | ||||||||
5.25%, 01/15/17D | 780,000 | 803,400 | ||||||
Xcel Energy, Inc. | ||||||||
0.75%, 05/09/16D | 410,000 | 404,058 | ||||||
|
| |||||||
Total Corporate Bonds | 162,790,679 | |||||||
|
| |||||||
FOREIGN BONDS — 12.7% | ||||||||
Australia — 1.6% | ||||||||
Asciano Finance, Ltd. | ||||||||
3.13%, 09/23/15 144A | 620,000 | 633,890 | ||||||
Australia & New Zealand Banking Group, Ltd. | ||||||||
0.90%, 02/12/16 | 1,200,000 | 1,193,251 | ||||||
0.84%, 05/15/18† | 1,230,000 | 1,226,191 | ||||||
Australia Government Bond | ||||||||
5.50%, 12/15/13(A) | 3,200,000 | 2,965,917 | ||||||
Macquarie Bank, Ltd. | ||||||||
3.45%, 07/27/15 144A | 750,000 | 777,628 | ||||||
National Australia Bank, Ltd. | ||||||||
0.90%, 01/20/16D | 2,500,000 | 2,486,890 | ||||||
Perpetual Trustee- Apollo | ||||||||
4.07%, 10/03/40(A) | 1,079,673 | 994,290 | ||||||
QBE Insurance Group, Ltd. | ||||||||
6.13%, 09/28/15(U) | 250,000 | 413,976 | ||||||
Rio Tinto Finance USA PLC | ||||||||
1.13%, 03/20/15 | 500,000 | 500,162 | ||||||
Westfield Capital | ||||||||
5.13%, 11/15/14 144A | 730,000 | 776,436 | ||||||
Westpac Banking Corporation | ||||||||
1.38%, 07/17/15 144A | 805,000 | 814,989 | ||||||
Woodside Finance, Ltd. | ||||||||
4.50%, 11/10/14 144A | 490,000 | 511,511 | ||||||
|
| |||||||
13,295,131 | ||||||||
|
| |||||||
Bermuda — 0.1% | ||||||||
Qtel International Finance, Ltd. | ||||||||
6.50%, 06/10/14 144A | 660,000 | 689,700 | ||||||
|
| |||||||
Brazil — 0.3% | ||||||||
Banco Bradesco SA | ||||||||
2.37%, 05/16/14 144A† | 520,000 | 524,951 |
Par | Value | |||||||
Banco do Nordeste do Brasil SA | ||||||||
3.63%, 11/09/15 144AD | $ | 710,000 | $ | 708,722 | ||||
BRF SA | ||||||||
7.75%, 05/22/18 144A(B) | 2,500,000 | 974,746 | ||||||
Caixa Economica Federal | ||||||||
2.38%, 11/06/17 144A | 680,000 | 629,000 | ||||||
|
| |||||||
2,837,419 | ||||||||
|
| |||||||
Canada — 1.5% | ||||||||
Bank of Montreal | ||||||||
0.88%, 04/09/18† | 610,000 | 609,289 | ||||||
Bank of Nova Scotia | ||||||||
1.85%, 01/12/15D | 970,000 | 985,108 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.55%, 01/23/18 | 890,000 | 867,788 | ||||||
Manulife Financial Corporation | ||||||||
3.40%, 09/17/15 | 5,000 | 5,227 | ||||||
Methanex Corporation | ||||||||
3.25%, 12/15/19 | 1,037,000 | 1,005,344 | ||||||
National Bank of Canada | ||||||||
1.50%, 06/26/15 | 550,000 | 556,820 | ||||||
Nexen, Inc. | ||||||||
5.20%, 03/10/15 | 790,000 | 841,654 | ||||||
NOVA Chemicals Corporation | ||||||||
8.38%, 11/01/16 | 1,250,000 | 1,328,125 | ||||||
Thomson Reuters Corporation | ||||||||
0.88%, 05/23/16 | 600,000 | 594,490 | ||||||
Toronto-Dominion Bank | ||||||||
1.63%, 09/14/16 144A | 3,459,000 | 3,516,043 | ||||||
Total Capital Canada, Ltd. | ||||||||
0.66%, 01/15/16† | 300,000 | 301,854 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
3.40%, 06/01/15 | 360,000 | 377,454 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
2.70%, 10/25/17 144A | 1,740,000 | 1,689,129 | ||||||
|
| |||||||
12,678,325 | ||||||||
|
| |||||||
Cayman Islands — 0.2% | ||||||||
Baidu, Inc. | ||||||||
2.25%, 11/28/17 | 440,000 | 429,128 | ||||||
Hutchison Whampoa | ||||||||
2.00%, 11/08/17 144AD | 370,000 | 360,175 | ||||||
International Petroleum | ||||||||
3.13%, 11/15/15 144A | 330,000 | 340,313 | ||||||
Petrobras International Finance Co. | ||||||||
3.88%, 01/27/16 | 590,000 | 609,957 | ||||||
Trafford Centre Finance, Ltd. | ||||||||
0.70%, 07/28/15(U)† | 71,116 | 106,550 | ||||||
|
| |||||||
1,846,123 | ||||||||
|
| |||||||
Chile — 0.7% | ||||||||
Banco del Estado de Chile | ||||||||
2.00%, 11/09/17 144A | 1,100,000 | 1,051,136 | ||||||
Banco Santander Chile | ||||||||
1.88%, 01/19/16 144A† | 2,500,000 | 2,507,538 | ||||||
Celulosa Arauco y Constitucion SA | ||||||||
5.63%, 04/20/15 | 1,260,000 | 1,320,038 |
See Notes to Financial Statements.
52
Table of Contents
Par | Value | |||||||
Corpbanca SA | ||||||||
3.13%, 01/15/18D | $ | 650,000 | $ | 619,192 | ||||
|
| |||||||
5,497,904 | ||||||||
|
| |||||||
Colombia — 0.0% | ||||||||
Bancolombia SA | ||||||||
4.25%, 01/12/16D | 210,000 | 216,300 | ||||||
|
| |||||||
Denmark — 0.1% | ||||||||
Danske Bank A/S | ||||||||
1.33%, 04/14/14 144A† | 450,000 | 452,013 | ||||||
|
| |||||||
France — 0.6% | ||||||||
Banque PSA Finance SA | ||||||||
2.18%, 04/04/14 144A†@ | 800,000 | 793,159 | ||||||
BPCE SA | ||||||||
2.02%, 02/07/14 144A†D | 2,300,000 | 2,318,621 | ||||||
Credit Agricole SA | ||||||||
1.44%, 04/15/16 144A† | 960,000 | 964,853 | ||||||
RCI Banque SA | ||||||||
1.11%, 04/07/15(E)† | 900,000 | 1,132,339 | ||||||
|
| |||||||
5,208,972 | ||||||||
|
| |||||||
Germany — 2.3% | ||||||||
Bundesschatzanweisungen | ||||||||
0.75%, 09/13/13(E) | 12,400,000 | 16,162,853 | ||||||
State of North Rhine-Westphalia | ||||||||
1.63%, 09/17/14 | 3,100,000 | 3,143,933 | ||||||
|
| |||||||
19,306,786 | ||||||||
|
| |||||||
Ireland — 0.3% | ||||||||
DanFin Funding, Ltd. | ||||||||
0.98%, 07/16/13 144A† | 2,800,000 | 2,800,557 | ||||||
|
| |||||||
Italy — 0.4% | ||||||||
Intesa Sanpaolo SpA | ||||||||
2.67%, 02/24/14 144A† | 2,300,000 | 2,308,818 | ||||||
3.88%, 01/16/18 | 250,000 | 240,299 | ||||||
Telecom Italia Capital SA | ||||||||
5.25%, 11/15/13D | 810,000 | 820,226 | ||||||
|
| |||||||
3,369,343 | ||||||||
|
| |||||||
Japan — 0.3% | ||||||||
Nomura Holdings, Inc. | ||||||||
1.72%, 09/13/16† | 1,060,000 | 1,059,518 | ||||||
Softbank Corporation | ||||||||
4.50%, 04/15/20 144A | 400,000 | 385,600 | ||||||
4.63%, 04/15/20 144A(E) | 250,000 | 326,633 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
0.90%, 01/18/16D | 390,000 | 386,408 | ||||||
|
| |||||||
2,158,159 | ||||||||
|
| |||||||
Luxembourg — 0.3% | ||||||||
ArcelorMittal | ||||||||
4.25%, 08/05/15 | 600,000 | 608,250 | ||||||
Gazprom OAO Via Gaz | ||||||||
9.25%, 04/23/19D | 700,000 | 847,000 | ||||||
6.00%, 01/23/21 144A | 1,300,000 | 1,352,000 | ||||||
|
| |||||||
2,807,250 | ||||||||
|
| |||||||
Mexico — 0.4% | ||||||||
Kansas City Southern de Mexico SA de CV | ||||||||
2.35%, 05/15/20 144A | 510,000 | 494,178 |
Par | Value | |||||||
Mexican Bonos | ||||||||
5.00%, 06/15/17(M) | $ | 21,500,000 | $ | 1,665,742 | ||||
Petroleos Mexicanos | ||||||||
5.50%, 01/21/21 | 1,400,000 | 1,498,000 | ||||||
|
| |||||||
3,657,920 | ||||||||
|
| |||||||
Netherlands — 0.7% | ||||||||
Achmea Hypotheekbank NV | ||||||||
3.20%, 11/03/14 144A | 881,000 | 914,779 | ||||||
ING Bank NV | ||||||||
3.75%, 03/07/17 144A | 900,000 | 942,785 | ||||||
LeasePlan Corporation NV | ||||||||
2.50%, 05/16/18 144A | 1,250,000 | 1,206,006 | ||||||
LyondellBasell Industries NV | ||||||||
5.00%, 04/15/19 | 1,000,000 | 1,089,469 | ||||||
Volkswagen International Finance NV | ||||||||
1.02%, 03/21/14 144A† | 100,000 | 100,410 | ||||||
0.88%, 04/01/14 144A† | 1,200,000 | 1,202,736 | ||||||
|
| |||||||
5,456,185 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
ANZ New Zealand International, Ltd. | ||||||||
1.13%, 03/24/16 144A | 580,000 | 575,855 | ||||||
|
| |||||||
Norway — 0.3% | ||||||||
Nordea Eiendomskreditt AS | ||||||||
2.13%, 09/22/17 144A | 1,250,000 | 1,276,767 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
1.25%, 05/02/19 144A | 1,000,000 | 954,708 | ||||||
|
| |||||||
2,231,475 | ||||||||
|
| |||||||
Panama — 0.0% | ||||||||
Carnival Corporation | ||||||||
1.20%, 02/05/16 | 310,000 | 307,964 | ||||||
|
| |||||||
Peru — 0.1% | ||||||||
BBVA Banco Continental SA | ||||||||
2.25%, 07/29/16 144AD | 500,000 | 487,500 | ||||||
|
| |||||||
Qatar — 0.1% | ||||||||
Qatar Government International Bond | ||||||||
3.13%, 01/20/17 144AD | 580,000 | 602,475 | ||||||
|
| |||||||
Singapore — 0.1% | ||||||||
Oversea-Chinese Banking | ||||||||
1.63%, 03/13/15 144A | 500,000 | 506,721 | ||||||
|
| |||||||
Slovenia — 0.1% | ||||||||
Slovenia Government Bond | ||||||||
4.38%, 04/02/14(E) | 450,000 | 589,106 | ||||||
|
| |||||||
South Korea — 0.8% | ||||||||
Export-Import Bank of Korea | ||||||||
1.23%, 07/26/13 144A | 700,000 | 700,071 | ||||||
1.42%, 09/21/13@ | 2,400,000 | 2,400,176 | ||||||
Hyundai Capital Services, Inc. | ||||||||
4.38%, 07/27/16 144A | 2,900,000 | 3,076,335 | ||||||
|
| |||||||
6,176,582 | ||||||||
|
| |||||||
Sweden — 1.0% | ||||||||
Nordea Bank AB | ||||||||
1.18%, 01/14/14 144A† | 2,900,000 | 2,913,926 | ||||||
0.88%, 05/13/16 144AD | 1,320,000 | 1,306,372 | ||||||
Stadshypotek AB | ||||||||
1.45%, 09/30/13 144A | 2,900,000 | 2,908,007 |
See Notes to Financial Statements.
53
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Svenska Handelsbanken AB | ||||||||
0.72%, 03/21/16† | $ | 1,220,000 | $ | 1,220,836 | ||||
|
| |||||||
8,349,141 | ||||||||
|
| |||||||
United Kingdom — 0.2% | ||||||||
Anglo American Capital PLC | ||||||||
2.15%, 09/27/13 144A | 360,000 | 361,065 | ||||||
Barclays Bank PLC | ||||||||
5.20%, 07/10/14 | 130,000 | 135,650 | ||||||
BP Capital Markets PLC | ||||||||
0.79%, 05/10/18† | 210,000 | 205,215 | ||||||
HSBC Bank PLC | ||||||||
0.92%, 05/15/18 144A† | 1,190,000 | 1,191,409 | ||||||
|
| |||||||
1,893,339 | ||||||||
|
| |||||||
Virgin Islands (British) — 0.1% | ||||||||
Sinopec Capital 2013, Ltd. | ||||||||
1.88%, 04/24/18 144A | 700,000 | 673,941 | ||||||
TSMC Global Ltd. | ||||||||
1.63%, 04/03/18 144A | 370,000 | 356,623 | ||||||
|
| |||||||
1,030,564 | ||||||||
|
| |||||||
Total Foreign Bonds | 105,028,809 | |||||||
|
| |||||||
LOAN AGREEMENT — 0.0% | ||||||||
H.J. Heinz Co. Bank Loan | ||||||||
3.50%, 06/05/20W† (Cost $209,489) | 210,000 | 209,761 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 21.9% |
| |||||||
Adjustable Rate Mortgage Trust | ||||||||
3.12%, 03/25/37† | 2,302,966 | 1,712,246 | ||||||
Alternative Loan Trust | ||||||||
6.00%, 10/25/32 | 33,453 | 32,537 | ||||||
American Home Mortgage Investment Trust | ||||||||
2.21%, 10/25/34† | 501,598 | 491,574 | ||||||
American Home Mortgage | ||||||||
1.10%, 11/25/46† | 1,001,471 | 550,079 | ||||||
Arkle Master Issuer PLC | ||||||||
1.52%, 05/17/60† | 250,000 | 250,326 | ||||||
Arkle Master Issuer PLC | ||||||||
1.52%, 05/17/60 144A† | 1,240,000 | 1,241,553 | ||||||
Arran Residential Mortgages Funding PLC | ||||||||
1.47%, 11/19/47 144A† | 16,337 | 16,355 | ||||||
1.72%, 11/19/47 144A† | 1,800,000 | 1,824,009 | ||||||
Banc of America Commercial Mortgage Trust | ||||||||
5.45%, 01/15/49 | 959,475 | 971,830 | ||||||
5.86%, 06/10/49† | 102,881 | 102,874 | ||||||
Banc of America Funding Trust | ||||||||
5.63%, 01/20/47† | 622,316 | 473,300 | ||||||
Banc of America Mortgage Trust | ||||||||
6.50%, 10/25/31 | 89,478 | 94,508 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
3.08%, 01/25/34† | 321,974 | 316,278 | ||||||
3.15%, 07/25/34† | 500,373 | 495,873 | ||||||
3.05%, 10/25/34† | 174,055 | 170,660 | ||||||
2.60%, 03/25/35† | 849,294 | 837,044 | ||||||
Bear Stearns Alt-A Trust | ||||||||
0.93%, 11/25/34† | 277,188 | 268,935 |
Par | Value | |||||||
Bear Stearns Commercial Mortgage Securities Trust | ||||||||
5.74%, 06/11/50 | $ | 700,598 | $ | 728,610 | ||||
CD 2007-CD4 Commercial | ||||||||
5.37%, 12/11/49† | 395,000 | 398,740 | ||||||
Ceclo | ||||||||
1.40%, 07/23/25† | 1,400,000 | 1,394,266 | ||||||
COMM 2010-C1 Mortgage Trust | ||||||||
3.16%, 07/10/46 144A | 1,248,811 | 1,297,577 | ||||||
COMM 2012-CCRE2 Mortgage Trust | ||||||||
4.95%, 08/15/45 IOW† | 2,075,395 | 243,098 | ||||||
COMM 2013-CCRE7 Mortgage Trust | ||||||||
2.86%, 03/10/46 IOW† | 5,922,796 | 567,049 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
1.87%, 04/12/23 144A | 766,911 | 735,133 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
5.95%, 09/15/39† | 1,155,000 | 1,191,485 | ||||||
5.62%, 09/15/40† | 703,049 | 738,605 | ||||||
6.25%, 02/15/41† | 560,300 | 563,749 | ||||||
4.80%, 11/15/45 IOW† | 4,128,469 | 546,882 | ||||||
Commercial Mortgage Trust | ||||||||
5.44%, 03/10/39 | 785,000 | 867,686 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
0.73%, 02/25/35† | 190,497 | 174,668 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
1.55%, 05/25/43† | 658,168 | 631,854 | ||||||
1.20%, 02/27/47 144A† | 1,239,286 | 1,231,012 | ||||||
Crusade Global Trust | ||||||||
0.40%, 11/19/37† | 392,667 | 392,149 | ||||||
CSMC Trust 2013-IVR2 | ||||||||
1.55%, 04/25/43 144A† | 1,329,140 | 1,262,568 | ||||||
DBRR Trust | ||||||||
0.95%, 09/25/45 144A | 1,180,539 | 1,182,857 | ||||||
5.94%, 06/17/49 144A† | 1,805,000 | 2,023,096 | ||||||
Del Coronado Trust 2013-DEL | ||||||||
0.99%, 03/15/26 144A† | 530,000 | 527,986 | ||||||
Deutsche Alt-B Securities Mortgage Loan Trust | ||||||||
5.87%, 10/25/36 STEP | 532,979 | 389,547 | ||||||
5.89%, 10/25/36 STEP | 532,979 | 389,964 | ||||||
Fannie Mae Grantor Trust | ||||||||
3.31%, 02/25/32 | 115,035 | 118,630 | ||||||
FDIC 2010-R1 Trust | ||||||||
2.18%, 05/25/50 144A | 967,268 | 927,008 | ||||||
FDIC Guaranteed Notes Trust | ||||||||
0.91%, 12/04/20 144A† | 1,814,957 | 1,820,314 | ||||||
3.25%, 04/25/38 144A | 557,556 | 579,859 | ||||||
0.74%, 02/25/48 144A† | 325,156 | 324,642 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
5.00%, 01/01/19 | 224,034 | 238,166 | ||||||
5.00%, 02/01/19 | 256,128 | 271,502 | ||||||
5.00%, 12/01/19 | 478,738 | 507,202 | ||||||
5.50%, 05/01/22 | 1,601,066 | 1,724,339 | ||||||
2.48%, 07/01/27† | 13,657 | 14,633 | ||||||
2.38%, 11/01/31† | 72,739 | 77,320 | ||||||
2.38%, 04/01/32† | 11,347 | 12,087 |
See Notes to Financial Statements.
54
Table of Contents
Par | Value | |||||||
2.17%, 06/01/33† | $ | 1,052,956 | $ | 1,113,172 | ||||
2.39%, 10/01/34† | 264,036 | 279,808 | ||||||
2.56%, 08/01/35† | 897,565 | 959,274 | ||||||
2.44%, 09/01/35† | 490,506 | 519,611 | ||||||
2.72%, 10/01/35† | 769,708 | 822,435 | ||||||
2.45%, 04/01/36† | 653,088 | 696,070 | ||||||
5.50%, 05/01/38 | 1,048,807 | 1,126,735 | ||||||
5.50%, 02/01/40 | 336,165 | 361,143 | ||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||
2.00%, 08/15/25 STEP | 506,355 | 531,826 | ||||||
4.50%, 09/15/41 | 1,135,723 | 1,251,285 | ||||||
4.50%, 11/15/41 | 1,240,103 | 1,344,004 | ||||||
Federal National Mortgage Association | ||||||||
5.00%, 01/01/18 | 480,271 | 512,754 | ||||||
5.00%, 07/01/19 | 109,606 | 117,049 | ||||||
5.00%, 05/01/21 | 997,481 | 1,064,969 | ||||||
5.00%, 11/01/21 | 413,575 | 441,689 | ||||||
2.29%, 12/01/24 CONV† | 32,357 | 32,849 | ||||||
9.00%, 05/01/25 | 10,480 | 10,533 | ||||||
9.00%, 07/01/25 | 27,181 | 27,316 | ||||||
2.50%, 07/01/27 TBA | 2,000,000 | 2,011,562 | ||||||
3.00%, 08/16/27 TBA | 7,750,000 | 7,954,649 | ||||||
3.50%, 08/16/27 TBA | 4,900,000 | 5,097,531 | ||||||
2.50%, 12/01/27 | 3,172,256 | 3,194,644 | ||||||
2.50%, 02/01/28 | 385,310 | 388,335 | ||||||
2.50%, 03/01/28 | 293,222 | 295,524 | ||||||
2.50%, 04/01/28 | 2,796,241 | 2,817,414 | ||||||
2.50%, 05/01/28 | 3,222,238 | 3,246,531 | ||||||
2.36%, 09/01/31† | 100,712 | 107,427 | ||||||
1.58%, 08/01/32† | 916,502 | 953,825 | ||||||
5.50%, 10/01/32 | �� | 460,351 | 506,439 | |||||
2.24%, 12/01/32† | 700,888 | 736,562 | ||||||
2.04%, 04/01/33† | 183,681 | 193,858 | ||||||
2.36%, 06/01/33† | 163,351 | 172,970 | ||||||
2.54%, 06/01/33† | 65,143 | 69,663 | ||||||
2.92%, 10/01/33† | 370,023 | 390,804 | ||||||
2.72%, 12/01/33† | 121,877 | 129,305 | ||||||
2.95%, 03/01/34† | 101,283 | 102,276 | ||||||
2.54%, 09/01/34† | 219,466 | 231,566 | ||||||
2.55%, 09/01/34† | 282,917 | 298,200 | ||||||
2.42%, 10/01/34† | 289,616 | 308,205 | ||||||
2.61%, 10/01/34† | 315,035 | 334,926 | ||||||
2.55%, 02/01/35† | 387,689 | 414,032 | ||||||
2.82%, 09/01/35† | 631,789 | 669,303 | ||||||
2.66%, 12/01/35† | 29,458 | 31,325 | ||||||
4.00%, 08/13/39 TBA | 2,000,000 | 2,079,141 | ||||||
1.37%, 08/01/42† | 557,207 | 567,023 | ||||||
3.00%, 08/01/42 TBA | 1,000,000 | 974,375 | ||||||
2.50%, 01/01/43 | 2,956,315 | 2,751,314 | ||||||
1.37%, 07/01/44† | 414,120 | 420,574 | ||||||
1.37%, 10/01/44† | 303,122 | 307,463 | ||||||
Federal National Mortgage Association REMIC | ||||||||
4.00%, 11/25/19 | 131,808 | 138,681 | ||||||
4.00%, 06/25/26 STEP | 934,460 | 987,827 | ||||||
0.79%, 05/25/30† | 236,627 | 236,840 | ||||||
0.84%, 05/25/30† | 187,101 | 187,194 | ||||||
(2.81)%, 10/25/40 IOW† | 3,735,460 | 451,376 | ||||||
0.74%, 09/25/41† | 4,913,556 | 4,981,196 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates | ||||||||
2.23%, 07/25/13 | 53,535 | 53,520 |
Par | Value | |||||||
3.61%, 06/25/14 | $ | 1,095,000 | $ | 1,104,747 | ||||
4.53%, 05/25/19 IOW† | 5,325,509 | 465,079 | ||||||
FHLMC Multifamily VRD Certificates | ||||||||
5.50%, 08/15/51 STEP | 3,000,000 | 3,266,007 | ||||||
FHLMC Structured Pass-Through Securities | ||||||||
1.19%, 05/25/43† | 932,296 | 954,791 | ||||||
1.57%, 07/25/44† | 1,404,613 | 1,442,055 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
2.33%, 06/25/34† | 523,709 | 513,734 | ||||||
GMAC Commercial Mortgage Securities, Inc. | ||||||||
5.30%, 08/10/38† | 1,520,000 | 1,565,983 | ||||||
Government National Mortgage Association | ||||||||
1.75%, 06/20/17† | 5,735 | 5,978 | ||||||
2.00%, 06/20/21† | 3,802 | 3,950 | ||||||
1.63%, 03/20/22† | 235,149 | 245,468 | ||||||
1.63%, 01/20/23† | 32,425 | 33,849 | ||||||
1.75%, 05/20/24† | 67,471 | 70,372 | ||||||
1.75%, 07/20/25† | 82,951 | 86,636 | ||||||
1.75%, 08/20/25† | 21,881 | 22,853 | ||||||
1.63%, 11/20/25† | 67,038 | 69,904 | ||||||
1.63%, 12/20/26† | 93,474 | 97,462 | ||||||
1.75%, 07/20/27† | 2,178 | 2,274 | ||||||
1.63%, 10/20/27† | 36,969 | 38,548 | ||||||
2.50%, 12/15/27 | 2,001,335 | 2,023,054 | ||||||
2.50%, 04/15/28 | 3,953,725 | 3,996,633 | ||||||
8.50%, 10/15/29 | 25,500 | 26,548 | ||||||
0.79%, 02/16/30† | 124,348 | 126,155 | ||||||
8.50%, 03/15/30 | 940 | 945 | ||||||
8.50%, 04/15/30 | 5,375 | 5,570 | ||||||
8.50%, 05/15/30 | 106,389 | 112,972 | ||||||
1.75%, 05/20/30† | 61,034 | 63,655 | ||||||
8.50%, 06/15/30 | 6,494 | 6,681 | ||||||
8.50%, 07/15/30 | 56,413 | 62,087 | ||||||
8.50%, 08/15/30 | 15,996 | 18,164 | ||||||
8.50%, 09/15/30 | 1,846 | 1,873 | ||||||
8.50%, 11/15/30 | 8,856 | 9,584 | ||||||
8.50%, 12/15/30 | 30,535 | 35,426 | ||||||
8.50%, 02/15/31 | 17,860 | 19,115 | ||||||
5.16%, 06/16/31 | 410,751 | 413,957 | ||||||
0.49%, 03/20/37† | 1,133,493 | 1,137,209 | ||||||
0.49%, 05/20/37† | 498,585 | 499,438 | ||||||
3.00%, 07/19/42 TBA | 4,000,000 | 3,954,375 | ||||||
2.50%, 12/15/42 | 934,392 | 873,911 | ||||||
2.50%, 01/15/43 | 263,269 | 246,169 | ||||||
2.50%, 02/15/43 | 789,427 | 738,153 | ||||||
Granite Mortgages PLC | ||||||||
0.59%, 01/20/44(E)† | 208,323 | 264,722 | ||||||
0.83%, 03/20/44(U)† | 487,055 | 723,568 | ||||||
0.83%, 06/20/44(U)† | 1,841,677 | 2,733,188 | ||||||
GreenPoint Mortgage Funding Trust | ||||||||
0.37%, 01/25/37† | 788,617 | 522,321 | ||||||
0.46%, 11/25/45† | 213,845 | 176,309 | ||||||
GSR Mortgage Loan Trust | ||||||||
2.91%, 09/25/34† | 513,210 | 496,737 | ||||||
2.66%, 09/25/35† | 505,490 | 496,576 | ||||||
HarborView Mortgage Loan Trust | ||||||||
2.93%, 12/19/35† | 1,209,299 | 995,036 |
See Notes to Financial Statements.
55
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Holmes Master Issuer PLC | ||||||||
1.63%, 10/15/54 144A† | $ | 311,782 | $ | 313,688 | ||||
1.68%, 10/15/54 144A† | 1,070,034 | 1,075,883 | ||||||
1.83%, 10/15/54† | 850,000 | 861,430 | ||||||
2.26%, 10/15/54(U)† | 1,165,000 | 1,804,143 | ||||||
1.83%, 10/21/54 144A† | 608,000 | 617,667 | ||||||
Holmes Master Issuer PLC | ||||||||
1.68%, 10/15/54† | 651,627 | 655,352 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
0.46%, 06/25/37† | 560,567 | 168,217 | ||||||
0.38%, 09/25/46† | 884,905 | 701,947 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
2.09%, 11/15/28 144A† | 3,763,934 | 3,768,775 | ||||||
JP Morgan Chase Commercial Mortgage Trust | ||||||||
5.12%, 07/15/41 | 2,185,000 | 2,265,159 | ||||||
JP Morgan Mortgage Trust | ||||||||
4.48%, 02/25/35† | 150,014 | 149,936 | ||||||
2.50%, 03/25/43 144A† | 652,052 | 654,059 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
5.44%, 01/12/17 | 1,565,000 | 1,733,932 | ||||||
Lanark Master Issuer PLC | ||||||||
1.67%, 12/22/54 144A† | 880,000 | 898,932 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
5.42%, 02/15/40 | 1,215,000 | 1,350,001 | ||||||
6.11%, 07/15/40† | 455,000 | 494,561 | ||||||
Luminent Mortgage Trust | ||||||||
0.36%, 12/25/36† | 936,868 | 691,368 | ||||||
MASTR Adjustable Rate | ||||||||
2.90%, 12/25/33† | 414,423 | 406,816 | ||||||
Merrill Lynch Floating Trust | ||||||||
0.73%, 07/09/21 144A† | 155,637 | 155,103 | ||||||
Merrill Lynch Mortgage | ||||||||
2.27%, 12/25/34† | 646,205 | 654,107 | ||||||
2.25%, 02/25/36† | 743,660 | 690,450 | ||||||
Merrill Lynch Mortgage Trust | ||||||||
5.24%, 11/12/35† | 891,492 | 897,297 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
4.89%, 08/15/45 IO 144AW† | 9,745,697 | 1,005,269 | ||||||
Morgan Stanley Capital I Trust | ||||||||
5.41%, 03/15/44 | 1,090,000 | 1,167,785 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
5.98%, 08/12/45 144A† | 880,000 | 985,252 | ||||||
5.98%, 08/15/45 144A† | 880,000 | 985,913 | ||||||
2.50%, 03/23/51 144A | 426,901 | 430,769 | ||||||
1.00%, 03/27/51 144A | 746,915 | 746,243 | ||||||
Motel 6 Trust | ||||||||
1.50%, 10/05/25 144A | 379,159 | 369,146 | ||||||
1.95%, 10/05/25 144A | 1,695,000 | 1,644,115 | ||||||
National RMBS Trust | ||||||||
3.91%, 06/20/44(A)† | 868,812 | 810,642 | ||||||
NCUA Guaranteed Notes Trust | ||||||||
1.84%, 10/07/20 | 159,171 | 159,569 | ||||||
0.75%, 12/08/20† | 3,425,858 | 3,438,533 | ||||||
0.73%, 03/09/21 | 2,471,575 | 2,477,835 |
Par | Value | |||||||
Opteum Mortgage Acceptance Corporation | ||||||||
0.48%, 11/25/35† | $ | 171,685 | $ | 170,378 | ||||
Progress 2007-1G Trust | ||||||||
0.41%, 08/19/38 144A† | 364,991 | 361,473 | ||||||
Provident Funding Mortgage | ||||||||
2.59%, 04/25/34† | 733,737 | 721,943 | ||||||
RCMC LLC | ||||||||
5.62%, 11/15/44 144A | 534,086 | 532,782 | ||||||
Residential Accredit Loans, Inc. | ||||||||
0.59%, 01/25/33† | 115,809 | 111,862 | ||||||
Residential Asset Securitization Trust | ||||||||
0.49%, 05/25/35† | 165,859 | 157,092 | ||||||
Residential Funding Mortgage Securities I | ||||||||
6.50%, 03/25/32 | 22,346 | 23,453 | ||||||
Sequoia Mortgage Trust | ||||||||
2.87%, 01/25/42† | 1,036,915 | 1,020,607 | ||||||
3.50%, 04/25/42† | 943,358 | 926,472 | ||||||
1.45%, 02/25/43† | 994,676 | 959,967 | ||||||
1.55%, 04/25/43† | 882,872 | 881,408 | ||||||
Springleaf Mortgage Loan Trust | ||||||||
2.22%, 10/25/57 144A† | 493,783 | 500,947 | ||||||
1.27%, 06/25/58 144A† | 1,351,973 | 1,317,779 | ||||||
1.57%, 12/25/59 144A† | 675,059 | 678,325 | ||||||
STRIPs 2012-1, Ltd. | ||||||||
1.50%, 12/25/44 144A | 653,543 | 646,354 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.61%, 08/25/34† | 853,320 | 835,356 | ||||||
0.49%, 09/25/34† | 158,035 | 133,212 | ||||||
Structured Asset Mortgage Investments II Trust | ||||||||
2.09%, 10/19/34† | 390,700 | 234,208 | ||||||
0.44%, 07/19/35† | 144,153 | 127,052 | ||||||
0.47%, 02/25/36† | 704,304 | 539,025 | ||||||
Superannuation Members Home Loans Global Fund | ||||||||
0.36%, 06/12/40(E)† | 479,431 | 621,749 | ||||||
Talisman-6 Finance PLC | ||||||||
0.39%, 10/22/16(E)† | 768,342 | 900,095 | ||||||
TBW Mortgage Backed Trust | ||||||||
6.01%, 07/25/37 STEP | 470,719 | 397,228 | ||||||
Torrens Trust | ||||||||
3.75%, 04/12/44(A)† | 3,195,095 | 2,904,163 | ||||||
UBS-Barclays Commercial | ||||||||
4.91%, 05/10/63 IO 144AW† | 6,565,156 | 633,882 | ||||||
Wachovia Bank Commercial | ||||||||
5.42%, 01/15/45† | 1,299,989 | 1,398,590 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
2.44%, 02/25/37† | 669,532 | 515,104 | ||||||
4.48%, 05/25/37† | 832,149 | 668,956 | ||||||
2.43%, 07/25/37† | 1,884,525 | 1,419,490 | ||||||
1.57%, 06/25/42† | 23,882 | 21,743 | ||||||
0.50%, 01/25/45† | 820,099 | 746,300 | ||||||
0.51%, 08/25/45† | 344,615 | 309,622 | ||||||
1.15%, 06/25/46† | 1,360,943 | 1,240,276 |
See Notes to Financial Statements.
56
Table of Contents
Par | Value | |||||||
0.91%, 01/25/47† | $ | 771,382 | $ | 600,495 | ||||
1.01%, 05/25/47† | 672,636 | 63,168 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-EE Trust | ||||||||
2.62%, 12/25/34† | 672,600 | 679,665 | ||||||
WF-RBS Commercial | ||||||||
5.08%, 08/15/45 IO 144AW† | 3,692,526 | 457,497 | ||||||
4.91%, 11/15/45 IO 144AW† | 6,327,682 | 832,052 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 181,239,671 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.1% |
| |||||||
California State Public Works Board, California State University Projects, Revenue Bond, Series B-2 | ||||||||
7.80%, 03/01/35 | 800,000 | 912,328 | ||||||
Chicago Transit Authority, Revenue Bond, Series B | ||||||||
6.90%, 12/01/40 | 1,300,000 | 1,510,457 | ||||||
Florida Hurricane Catastrophe Fund Finance Corporation | ||||||||
1.30%, 07/01/16 | 720,000 | 714,917 | ||||||
Irvine Ranch Water District Joint Powers Agency, Revenue Bond, Escrowed to Maturity | ||||||||
2.61%, 03/15/14 | 2,800,000 | 2,842,112 | ||||||
New York State Thruway Authority, Revenue Bond, Series A | ||||||||
5.00%, 03/15/26 | 400,000 | 445,144 | ||||||
5.00%, 03/15/27 | 400,000 | 440,928 | ||||||
North Texas Higher Education Authority, Taxable Student Loan, Revenue Bond, Series 1 | ||||||||
1.38%, 04/01/40† | 373,363 | 379,755 | ||||||
North Texas Municipal Water District Revenue Bond | ||||||||
5.00%, 09/01/24 | 900,000 | 1,044,549 | ||||||
State of California, General Obligation | ||||||||
5.10%, 08/01/14 | 105,000 | 107,046 | ||||||
State of Illinois, General Obligation | ||||||||
4.07%, 01/01/14 | 830,000 | 842,666 | ||||||
|
| |||||||
Total Municipal Bonds | 9,239,902 | |||||||
|
|
Notional Amount | Value | |||||||
PURCHASED OPTION — 0.0% |
| |||||||
Put Swaption — 0.0% | ||||||||
3-Month LIBOR, Strike Price | $ | 1,900,000 | $ | 235,114 | ||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATIONS — 25.8% |
| |||||||
U.S. Treasury Bill | ||||||||
0.00%, 05/29/14W‡‡ | $ | 9,400,000 | 9,389,491 | |||||
|
| |||||||
U.S. Treasury Bonds | ||||||||
8.13%, 05/15/21‡‡ | 41,000 | 59,240 | ||||||
7.25%, 08/15/22‡‡ | 51,000 | 72,010 | ||||||
7.63%, 11/15/22D‡‡ | 117,000 | 169,700 | ||||||
|
| |||||||
300,950 | ||||||||
|
| |||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
1.13%, 01/15/21‡‡ | 1,700,000 | 1,935,049 | ||||||
0.13%, 01/15/22‡‡ | 11,000,000 | 11,083,739 | ||||||
0.13%, 07/15/22 | 3,700,000 | 3,662,188 | ||||||
0.13%, 01/15/23 | 1,300,000 | 1,271,187 | ||||||
2.38%, 01/15/25 | 1,300,000 | 1,913,608 | ||||||
|
| |||||||
19,865,771 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
0.25%, 11/30/13‡‡ | 387,000 | 387,250 | ||||||
0.25%, 01/31/14D | 1,600,000 | 1,601,282 | ||||||
1.88%, 02/28/14 | 2,000,000 | 2,023,008 | ||||||
1.25%, 03/15/14D‡‡ | 17,400,000 | 17,535,598 | ||||||
0.25%, 03/31/14‡‡ | 2,313,000 | 2,314,672 | ||||||
1.75%, 03/31/14D | 3,200,000 | 3,238,125 | ||||||
0.25%, 04/30/14D | 1,900,000 | 1,901,374 | ||||||
1.00%, 05/15/14 | 3,200,000 | 3,222,874 | ||||||
0.25%, 05/31/14D | 5,500,000 | 5,503,547 | ||||||
0.63%, 07/15/14D‡‡ | 34,300,000 | 34,452,039 | ||||||
2.63%, 07/31/14 | 500,000 | 513,105 | ||||||
0.38%, 11/15/14 | 11,000,000 | 11,023,199 | ||||||
0.25%, 11/30/14 | 6,000,000 | 6,001,758 | ||||||
0.25%, 01/15/15D | 4,200,000 | 4,199,509 | ||||||
0.25%, 02/15/15D | 34,221,000 | 34,203,616 | ||||||
0.25%, 03/31/15D | 3,000,000 | 2,996,895 | ||||||
0.25%, 05/15/15D | 8,690,000 | 8,676,426 | ||||||
0.38%, 06/30/15 | 840,000 | 840,298 | ||||||
0.25%, 10/15/15D | 6,800,000 | 6,769,985 | ||||||
0.25%, 12/15/15 | 640,000 | 636,175 | ||||||
2.13%, 02/29/16D | 772,000 | 803,995 | ||||||
0.38%, 03/15/16D | 3,765,000 | 3,745,294 | ||||||
0.25%, 05/15/16D‡‡ | 5,460,000 | 5,402,413 | ||||||
1.75%, 05/31/16D | 7,650,000 | 7,891,151 | ||||||
0.50%, 06/15/16D | 8,591,000 | 8,555,425 | ||||||
1.00%, 09/30/16D | 2,500,000 | 2,517,285 | ||||||
1.00%, 05/31/18D | 5,126,000 | 5,038,299 | ||||||
1.13%, 12/31/19D | 2,200,000 | 2,108,218 | ||||||
3.13%, 05/15/21 | 100,000 | 107,380 | ||||||
1.63%, 11/15/22 | 600,000 | 560,180 | ||||||
|
| |||||||
184,770,375 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 214,326,587 | |||||||
|
|
See Notes to Financial Statements.
57
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
MONEY MARKET FUNDS — 15.0% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 53,994,280 | $ | 53,994,280 | |||||
Northern Institutional Liquid Assets Portfolio§ | 70,791,875 | 70,791,875 | ||||||
|
| |||||||
Total Money Market Funds | 124,786,155 | |||||||
|
| |||||||
Par | Value | |||||||
REPURCHASE AGREEMENTS — 8.9% |
| |||||||
Citigroup Global Markets, Inc. | ||||||||
0.12% (dated 06/28/13, due 07/01/13, repurchase price $14,500,145, collateralized by U.S. Treasury Note, 0.0250%, due 08/15/15, total market value $14,794,152) | $ | 14,500,000 | 14,500,000 | |||||
0.10% (dated 07/01/13, due 07/02/13, repurchase price $18,000,050, collateralized by U.S. Treasury Note, 0.375%, due 01/15/16, total market value $18,377,229) | 18,000,000 | 18,000,000 | ||||||
JPMorgan Securities LLC | ||||||||
0.15% (dated 06/28/13, due 07/01/13, repurchase price $2,000,025, collateralized by Federal Home Loan Mortgage Corporation, 2.205%, due 12/05/22 total market value $2,034,703) | 2,000,000 | 2,000,000 | ||||||
0.11% (dated 07/01/13, due 07/02/13, repurchase price $2,000,006, collateralized by Federal Home Loan Mortgage Association, 2.205%, due 12/02/22, total market value $2,034,703) | 2,000,000 | 2,000,000 | ||||||
Morgan Stanley & Co. LLC | ||||||||
0.15% (dated 06/28/13, due 07/01/13, repurchase price $16,000,206, collateralized by U.S. Treasury Bond, 4.625%, due 02/15/40, total market value $16,940,048) | 16,500,000 | 16,500,000 | ||||||
0.16% (dated 06/28/13, due 07/01/13, repurchase price $5,500,073, collateralized by Federal Home Loan Bank, 0.950%, due 01/25/18, total market value $5,616,862) | 5,500,000 | 5,500,000 | ||||||
0.11% (dated 07/01/13, due 07/02/13, repurchase price $5,500,017, collateralized by Federal National Mortgage Association, 1.330%, due 10/24/19, total market value $5,679,076) | 5,500,000 | 5,500,000 |
Par | Value | |||||||
TD Securities (USA) LLC | ||||||||
0.10% (dated 07/01/13, due 07/02/13, repurchase price $9,700,027, collateralized by U.S. Treasury Note, 1.500%, due 07/31/16, total market value $9,961,850) | $ | 9,700,000 | $ | 9,700,000 | ||||
|
| |||||||
Total Repurchase Agreements | 73,700,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 114.9% | 953,919,786 | |||||||
|
| |||||||
Notional Amount | Value | |||||||
WRITTEN OPTIONS — (0.1)% |
| |||||||
Call Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price | ||||||||
$1.80, Expires 07/29/13 (BAR) | $ | (500,000 | ) | (2 | ) | |||
3-Month LIBOR, Strike Price | ||||||||
$1.80, Expires 07/29/13 (BAR) | (800,000 | ) | (2 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$1.80, Expires 07/29/13 (GSC) | (1,800,000 | ) | (6 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$1.80, Expires 07/29/13 (MSCS) | (2,200,000 | ) | (7 | ) | ||||
|
| |||||||
(17 | ) | |||||||
|
| |||||||
Put Swaptions — (0.1)% | ||||||||
3-Month LIBOR, Strike Price | ||||||||
$1.25, Expires 09/03/13 (BAR) | (1,200,000 | ) | (25,740 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$1.25, Expires 09/03/13 (DEUT) | (7,600,000 | ) | (163,022 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$1.40, Expires 09/03/13 (CS) | (9,200,000 | ) | (144,889 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$1.50, Expires 10/28/13 (RBS) | (34,400,000 | ) | (609,107 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$2.50, Expires 09/21/15 (DEUT) | (8,000,000 | ) | (309,770 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$2.65, Expires 07/29/13 (BAR) | (500,000 | ) | (7,401 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$2.65, Expires 07/29/13 (MSCS) | (800,000 | ) | (11,841 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$2.65, Expires 07/29/13 (GSC) | (1,800,000 | ) | (26,643 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$2.65, Expires 07/29/13 (MSCS) | (2,200,000 | ) | (32,564 | ) | ||||
6-Month EURIBOR, Strike | ||||||||
Price $1.15, Expires 07/24/13 (BAR) | (1,900,000 | ) | (80 | ) | ||||
6-Month EURIBOR, Strike | ||||||||
Price $1.15, Expires 07/24/13 (CS) | (8,900,000 | ) | (377 | ) |
See Notes to Financial Statements.
58
Table of Contents
Notional Amount | Value | |||||||
6-Month EURIBOR, Strike | ||||||||
Price $1.70, Expires 07/24/13 (MLCS) | $ | (700,000 | ) | $ | (379 | ) | ||
6-Month EURIBOR, Strike | ||||||||
Price $1.70, Expires 07/24/13 (RBS) | (1,600,000 | ) | (865 | ) | ||||
6-Month EURIBOR, Strike | ||||||||
Price $1.70, Expires 07/24/13 (DEUT) | (1,700,000 | ) | (920 | ) | ||||
6-Month EURIBOR, Strike | ||||||||
Price $1.70, Expires 07/24/13 (BAR) | (4,900,000 | ) | (2,650 | ) | ||||
|
| |||||||
(1,336,248 | ) | |||||||
|
| |||||||
Total Written Options | (1,336,265 | ) | ||||||
|
| |||||||
Par | Value | |||||||
SECURITY SOLD SHORT — (0.1)% |
| |||||||
U.S. Treasury Notes | ||||||||
1.63%, 11/15/22† | $ | (600,000 | ) | (560,180 | ) | |||
|
| |||||||
TBA SALE COMMITMENTS — (3.9)% |
| |||||||
Federal Home Loan Mortgage Corporation | ||||||||
5.50%, 07/01/39 TBA | (3,000,000 | ) | (3,227,344 | ) | ||||
Federal National Mortgage Association | ||||||||
2.50%, 07/01/27 TBA | (4,000,000 | ) | (4,023,125 | ) | ||||
3.00%, 07/16/27 TBA | (7,750,000 | ) | (7,971,602 | ) | ||||
2.00%, 06/01/28 TBA | (1,250,000 | ) | (1,216,992 | ) | ||||
5.50%, 07/01/37 TBA | (7,000,000 | ) | (7,602,657 | ) | ||||
3.50%, 07/01/41 TBA | (6,000,000 | ) | (6,090,937 | ) | ||||
3.00%, 07/01/42 TBA | (2,000,000 | ) | (1,954,062 | ) | ||||
|
| |||||||
Total TBA Sale Commitments | (32,086,719 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | (89,869,942 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 830,066,680 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||||
U.S. Treasury Obligations | 25.8 | |||||
Mortgage-Backed Securities | 21.9 | |||||
Corporate Bonds | 19.6 | |||||
Money Market Funds | 15.0 | |||||
Foreign Bonds | 12.7 | |||||
Repurchase Agreements | 8.9 | |||||
Asset-Backed Securities | 8.5 | |||||
Agency Obligations | 1.4 | |||||
Municipal Bonds | 1.1 | |||||
Loan Agreements | — | ** | ||||
Purchased Option | — | ** | ||||
Swap Agreements | — | ** | ||||
Security Sold Short | (0.1 | ) | ||||
Written Options | (0.1 | ) | ||||
Futures Contracts | (0.4 | ) | ||||
TBA Sale Commitments | (3.9 | ) | ||||
Forward Foreign Currency Contracts | (6.8 | ) | ||||
|
| |||||
103.6 | ||||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
59
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at June 30, 2013:
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 |
| |||||||||||||||||||||||||||||||
Morgan Stanley ABS Capital I, 7.02% due 12/27/33 | (0.54 | )% | 12/27/33 | MSCS | USD | $ | 294,845 | $ | 13,319 | $ | — | $ | 13,319 | |||||||||||||||||||
Long Beach Mortgage Trust, 6.72% due 02/25/34 | (0.49 | )% | 02/25/34 | BAR | USD | 314,339 | 133,726 | — | 133,726 | |||||||||||||||||||||||
Specialty Underwriting & Residential Finance, 6.62% due 02/25/35 | (0.59 | )% | 02/25/35 | BAR | USD | 353,593 | 283,085 | — | 283,085 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 962,777 | $ | 430,130 | $ | — | $ | 430,130 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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 | 0.31 | % | 1.00 | % | 09/20/13 | UBS | USD | $ | 700,000 | $ | 1,437 | $ | (2,261 | ) | $ | 3,698 | ||||||||||||||||||||
Barclays Bank PLC, 1.551% due 10/27/15 | 1.41 | % | 1.00 | % | 12/20/17 | GSC | EUR | 1,200,000 | (26,946 | ) | (44,657 | ) | 17,711 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 1,900,000 | $ | (25,509 | ) | $ | (46,918 | ) | $ | 21,409 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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.NA.IG14 Index | (1.00 | )% | 06/20/15 | BAR | USD | $ | 7,900,000 | $ | (112,355 | ) | $ | 7,236 | $ | (119,591 | ) | |||||||||||||||||
Dow Jones CDX.NA.IG15 Index | (1.00 | )% | 12/20/15 | CME | USD | 1,800,000 | (27,999 | ) | 12,494 | (40,493 | ) | |||||||||||||||||||||
Dow Jones CDX.NA.IG16 Index | (1.00 | )% | 06/20/16 | CS | USD | 400,000 | (6,224 | ) | 6,567 | (12,791 | ) | |||||||||||||||||||||
Dow Jones iTraxx | (1.00 | )% | 06/20/17 | CITI | EUR | 1,100,000 | 1,014 | (2,971 | ) | 3,985 | ||||||||||||||||||||||
Dow Jones CDX.NA.IG9 Index | (0.80 | )% | 12/20/17 | CME | USD | 16,552,800 | 84,450 | 737,323 | (652,873 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | (0.35 | )% | 02/17/51 | GSC | USD | 5,677,678 | 227,122 | 789,093 | (561,971 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 33,430,478 | $ | 166,008 | $ | 1,549,742 | $ | (1,383,734 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
60
Table of Contents
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 | 7.55 | % | 01/02/15 | GSC | BRL | $ | 4,900,000 | $ | (58,308 | ) | $ | (9,552 | ) | $ | (48,756 | ) | ||||||||||||||||
Brazil CETIP Interbank Deposit | 10.14 | % | 01/02/15 | HKSB | BRL | 3,800,000 | 48,047 | 5,801 | 42,246 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.08 | % | 01/02/15 | HKSB | BRL | 3,200,000 | (23,088 | ) | 5,571 | (28,659 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.27 | % | 01/02/15 | MSCS | BRL | 2,500,000 | (18,626 | ) | (4,372 | ) | (14,254 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.56 | % | 01/02/15 | UBS | BRL | 2,200,000 | (12,564 | ) | 79 | (12,643 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 7.62 | % | 01/02/15 | DEUT | BRL | 1,100,000 | (12,538 | ) | (1,827 | ) | (10,711 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.43 | % | 01/02/15 | DEUT | BRL | 1,000,000 | (3,657 | ) | 5,742 | (9,399 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 7.92 | % | 01/02/15 | BAR | BRL | 600,000 | (5,716 | ) | (59 | ) | (5,657 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 9.93 | % | 01/02/15 | UBS | BRL | 400,000 | 4,241 | 221 | 4,020 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.83 | % | 01/02/15 | HKSB | BRL | 200,000 | 6 | 338 | (332 | ) | ||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.59 | % | 01/02/17 | BAR | BRL | 15,800,000 | (346,088 | ) | 23,703 | (369,791 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.50 | % | 01/02/17 | CS | BRL | 2,700,000 | (61,660 | ) | (1,965 | ) | (59,695 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.94 | % | 01/02/17 | CS | BRL | 2,400,000 | (42,986 | ) | (1,195 | ) | (41,791 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.90 | % | 01/02/17 | UBS | BRL | 2,100,000 | (38,429 | ) | (1,936 | ) | (36,493 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.60 | % | 01/02/17 | DEUT | BRL | 1,600,000 | (34,758 | ) | 823 | (35,581 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.59 | % | 01/02/17 | UBS | BRL | 1,200,000 | (27,423 | ) | (1,257 | ) | (26,166 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.49 | % | 01/02/17 | BNP | BRL | 900,000 | (19,697 | ) | — | (19,697 | ) | |||||||||||||||||||||
6-Month EURIBOR | 2.00 | % | 03/21/17 | CME | EUR | 3,600,000 | 205,315 | 106,493 | 98,822 | |||||||||||||||||||||||
6-Month BBR BBSW Index | 5.50 | % | 12/15/17 | BAR | AUD | 1,500,000 | 116,878 | (4,493 | ) | 121,371 | ||||||||||||||||||||||
6-Month BBR BBSW Index | 5.50 | % | 12/15/17 | DEUT | AUD | 1,000,000 | 77,921 | (2,666 | ) | 80,587 | ||||||||||||||||||||||
6-Month BBR BBSW Index | 3.75 | % | 03/15/18 | CME | AUD | 1,800,000 | 18,126 | 2,257 | 15,869 | |||||||||||||||||||||||
3-Month LIBOR | 1.40 | % | 03/20/18 | CME | USD | 14,000,000 | (6,310 | ) | (323,883 | ) | 317,573 | |||||||||||||||||||||
6-Month BBR BBSW Index | 3.75 | % | 12/11/18 | CITI | AUD | 3,600,000 | (1,829 | ) | (8,057 | ) | 6,228 | |||||||||||||||||||||
MXN-TIIE-Banxico | 7.50 | % | 06/02/21 | UBS | MXN | 300,000 | 1,773 | 803 | 970 | |||||||||||||||||||||||
6-Month BBR BBSW Index | 3.75 | % | 03/15/23 | CME | AUD | 3,500,000 | (133,467 | ) | (22,821 | ) | (110,646 | ) | ||||||||||||||||||||
6-Month BBR BBSW Index | 4.25 | % | 03/15/23 | CME | AUD | 200,000 | (2 | ) | 1,093 | (1,095 | ) | |||||||||||||||||||||
6-Month BBR BBSW Index | 4.00 | % | 03/15/23 | CME | AUD | 100,000 | (1,908 | ) | (708 | ) | (1,200 | ) | ||||||||||||||||||||
6-Month EURIBOR | 2.00 | % | 09/18/23 | GSC | EUR | 800,000 | 6,465 | (10,767 | ) | 17,232 | ||||||||||||||||||||||
6-Month BBR BBSW Index | 4.25 | % | 12/11/23 | CME | AUD | 1,300,000 | (18,342 | ) | 8,852 | (27,194 | ) | |||||||||||||||||||||
|
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| |||||||||||||||||||||||||
$ | 78,300,000 | $ | (388,624 | ) | $ | (233,782 | ) | $ | (154,842 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Swap agreements outstanding at June 30, 2013 |
| $ | 114,593,255 | $ | 182,005 | $ | 1,269,042 | $ | (1,087,037 | ) | ||||||||||||||||||||||
|
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|
|
|
|
|
|
See Notes to Financial Statements.
61
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 11,742,252 | $ | — | $ | 11,742,252 | $ | — | ||||||||
Asset-Backed Securities | 70,620,856 | — | 58,689,599 | 11,931,257 | ||||||||||||
Corporate Bonds | 162,790,679 | — | 156,438,810 | 6,351,869 | ||||||||||||
Foreign Bonds | 105,028,809 | — | 104,034,519 | 994,290 | ||||||||||||
Loan Agreement | 209,761 | — | 209,761 | — | ||||||||||||
Money Market Funds | 124,786,155 | 124,786,155 | — | — | ||||||||||||
Mortgage-Backed Securities | 181,239,671 | — | 164,729,156 | 16,510,515 | ||||||||||||
Municipal Bonds | 9,239,902 | — | 9,239,902 | — | ||||||||||||
Purchased Option | 235,114 | — | 235,114 | — | ||||||||||||
Repurchase Agreements | 73,700,000 | — | 73,700,000 | — | ||||||||||||
U.S. Treasury Obligations | 214,326,587 | — | 214,326,587 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 953,919,786 | $ | 124,786,155 | $ | 793,345,700 | $ | 35,787,931 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 378,299 | $ | — | $ | 378,299 | $ | — | ||||||||
Futures Contracts | 1,048,320 | 1,048,320 | — | — | ||||||||||||
Swap Agreements | 182,005 | — | 182,005 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 1,608,624 | $ | 1,048,320 | $ | 560,304 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Security Sold Short | $ | (560,180 | ) | $ | — | $ | (560,180 | ) | $ | — | ||||||
TBA Sale Commitments | (32,086,719 | ) | — | (32,086,719 | ) | — | ||||||||||
Written Options | (1,336,265 | ) | — | (1,336,265 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (33,983,164 | ) | $ | — | $ | (33,983,164 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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. |
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
The unobservable inputs used in the fair value measurement of the reporting entity’s asset-backed securities, corporate bonds, foreign bonds and mortgage-backed securities are values based on evaluated quotations received from dealers who make markets in such securities. Significant increases (decreases) in those evaluated quotations would result in a significantly higher (lower) fair value measurement.
See Notes to Financial Statements.
62
Table of Contents
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Total Value | Asset-Backed Securities | Corporate Bonds | Foreign Bonds | Mortgage-Backed Securities | ||||||||||||||||
Balance, 12/31/12 | $ | 30,924,326 | $ | 4,445,836 | $ | 5,116,094 | $ | 1,455,253 | $ | 19,907,143 | ||||||||||
Accrued discounts/premiums | (23,507 | ) | 113 | (16,239 | ) | (4,115 | ) | (3,266 | ) | |||||||||||
Realized gain (loss)(1) | (32,708 | ) | (14,142 | ) | (22,532 | ) | (477 | ) | 4,443 | |||||||||||
Change in unrealized appreciation (depreciation)(2) | (1,106,122 | ) | (289,874 | ) | (8,083 | ) | (125,423 | ) | (682,742 | ) | ||||||||||
Purchases | 17,470,325 | 11,051,977 | 2,899,500 | — | 3,518,848 | |||||||||||||||
Sales | (4,163,537 | ) | (1,374,961 | ) | (1,413,735 | ) | (330,948 | ) | (1,043,893 | ) | ||||||||||
Transfers in to Level 3(3) | 133,439 | 133,439 | — | — | — | |||||||||||||||
Transfers out of Level 3(4) | (5,130,834 | ) | (1,466,150 | ) | — | — | (3,664,684 | ) | ||||||||||||
Maturities | — | — | — | — | — | |||||||||||||||
Paydowns | (2,283,451 | ) | (554,981 | ) | (203,136 | ) | — | (1,525,334 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balance, 06/30/13 | $ | 35,787,931 | $ | 11,931,257 | $ | 6,351,869 | $ | 994,290 | $ | 16,510,515 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net realized gain (loss) from investment securities. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on investment securities. |
(3) | Transfers in to Level 3 represent the value of a security at June 30, 2013 that were transferred from Level 2 to Level 3 of the fair value hierarchy as a result of the inability of the Fund to obtain a price which was determined using observable inputs. |
(4) | Transfers out of Level 3 represent the value of securities at June 30, 2013 that were transferred from Level 3 to Level 2 of the fair value hierarchy as a result of the ability of the Fund to obtain a price which was determined using observable inputs. |
See Notes to Financial Statements.
63
Table of Contents
MEDIUM-DURATION BOND FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Par | Value | |||||||
AGENCY OBLIGATIONS — 2.6% | ||||||||
Federal Farm Credit Bank | ||||||||
5.05%, 11/06/17 | $ | 400,000 | $ | 461,365 | ||||
Federal Home Loan Bank | ||||||||
0.07%, 08/07/13 | 7,000,000 | 6,999,507 | ||||||
0.20%, 06/12/14 | 1,500,000 | 1,499,988 | ||||||
Federal Home Loan Mortgage | ||||||||
0.08%, 09/16/13 | 1,800,000 | 1,799,885 | ||||||
0.10%, 12/09/13‡‡ | 100,000 | 99,964 | ||||||
0.10%, 12/18/13‡‡ | 180,000 | 179,932 | ||||||
4.38%, 01/15/14(E) | 400,000 | 530,758 | ||||||
0.11%, 01/21/14 | 1,800,000 | 1,799,082 | ||||||
0.11%, 02/04/14 | 1,500,000 | 1,499,092 | ||||||
2.38%, 01/13/22D | 1,200,000 | 1,168,366 | ||||||
Federal National Mortgage | ||||||||
0.10%, 12/04/13 | 1,800,000 | 1,799,375 | ||||||
0.12%, 02/24/14‡‡ | 330,000 | 329,782 | ||||||
0.88%, 08/28/17D | 500,000 | 490,590 | ||||||
0.00%, 10/09/19W† | 150,000 | 126,195 | ||||||
6.25%, 05/15/29 | 500,000 | 651,750 | ||||||
6.63%, 11/15/30 | 1,170,000 | 1,592,244 | ||||||
Tennessee Valley Authority | ||||||||
5.25%, 09/15/39 | 350,000 | 395,263 | ||||||
4.63%, 09/15/60 | 200,000 | 193,037 | ||||||
|
| |||||||
Total Agency Obligations | 21,616,175 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 2.7% |
| |||||||
Access Group, Inc. | ||||||||
1.58%, 10/27/25† | 1,077,782 | 1,086,935 | ||||||
Amortizing Residential Collateral Trust | ||||||||
0.88%, 01/01/32† | 30,357 | 24,506 | ||||||
Asset-Backed Securities Corporation Home Equity Loan Trust | ||||||||
0.47%, 09/25/34† | 168,113 | 166,950 | ||||||
Avis Budget Rental Car | ||||||||
3.15%, 03/20/17 144A | 160,000 | 166,860 | ||||||
2.80%, 05/20/18 144A | 550,000 | 567,143 | ||||||
1.92%, 09/20/19 144A | 160,000 | 156,276 | ||||||
Bayview Financial Acquisition Trust | ||||||||
0.87%, 02/28/44† | 252,635 | 246,822 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
6.00%, 10/25/36 | 1,953,219 | 1,552,872 | ||||||
6.50%, 10/25/36 | 2,802,917 | 2,319,523 | ||||||
Brazos Higher Education Authority | ||||||||
0.38%, 09/25/23† | 200,917 | 200,452 | ||||||
College Loan Corporation Trust | ||||||||
0.47%, 04/25/24† | 500,000 | 469,578 | ||||||
0.37%, 10/25/25† | 1,000,000 | 987,594 | ||||||
CWABS Revolving Home Equity Loan Trust | ||||||||
0.43%, 12/15/35† | 379,632 | 303,318 | ||||||
CWHEQ Revolving Home Equity Loan Trust | ||||||||
0.33%, 07/15/36† | 635,004 | 525,458 | ||||||
Education Funding | ||||||||
0.00%, 06/15/43W† | 700,000 | 624,570 |
Par | Value | |||||||
EMC Mortgage Loan Trust | ||||||||
0.74%, 11/25/41 144A† | $ | 61,465 | $ | 59,217 | ||||
Financial Asset Securities Corporation AAA Trust | ||||||||
0.60%, 02/27/35 144A† | 955,268 | 690,442 | ||||||
GMACM Home Equity Loan Trust | ||||||||
7.00%, 09/25/37 | 280,850 | 278,714 | ||||||
Hertz Vehicle Financing LLC | ||||||||
5.29%, 03/25/16 144A | 140,000 | 148,619 | ||||||
1.83%, 08/25/19 144A | 210,000 | 201,800 | ||||||
Lehman XS Trust | ||||||||
0.49%, 11/25/35† | 614,701 | 509,840 | ||||||
Nelnet Education Loan Funding, Inc. | ||||||||
1.09%, 02/25/39† | 800,000 | 741,036 | ||||||
Panhandle-Plains Higher Education Authority, Inc. | ||||||||
1.40%, 10/01/35† | 651,564 | 661,791 | ||||||
Provident Home Equity Loan Trust | ||||||||
0.73%, 08/25/31† | 94,598 | 58,464 | ||||||
Residential Asset Mortgage Products, Inc. | ||||||||
0.67%, 03/25/34† | 332,425 | 302,823 | ||||||
Residential Funding | ||||||||
0.64%, 06/25/33 144A† | 45,692 | 45,390 | ||||||
Salomon Brothers Mortgage Securities VII, Inc. | ||||||||
0.67%, 03/25/28† | 19,719 | 19,193 | ||||||
SLM Private Education Loan Trust | ||||||||
3.50%, 08/17/43 144A†@ | 1,027,605 | 971,068 | ||||||
3.44%, 05/16/44 144A† | 1,164,445 | 1,204,793 | ||||||
SLM Student Loan Trust | ||||||||
1.78%, 04/25/23† | 4,525,594 | 4,652,985 | ||||||
1.98%, 07/25/23† | 1,100,000 | 1,136,442 | ||||||
0.56%, 12/15/25 144A† | 400,000 | 396,079 | ||||||
0.40%, 01/25/27† | 900,000 | 867,047 | ||||||
Structured Asset Investment Loan Trust | ||||||||
1.03%, 08/25/34† | 434,744 | 415,279 | ||||||
|
| |||||||
Total Asset-Backed Securities | 22,759,879 | |||||||
|
| |||||||
CORPORATE BONDS — 20.3% | ||||||||
AbbVie, Inc. | ||||||||
1.75%, 11/06/17 144A | 1,520,000 | 1,490,716 | ||||||
2.90%, 11/06/22 144A | 320,000 | 299,848 | ||||||
Access Midstream Partners LP | ||||||||
5.88%, 04/15/21D | 330,000 | 336,600 | ||||||
4.88%, 05/15/23 | 10,000 | 9,325 | ||||||
AES Corporation | ||||||||
4.88%, 05/15/23D | 80,000 | 74,800 | ||||||
Ally Financial, Inc. | ||||||||
6.25%, 12/01/17 | 606,000 | 650,553 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.75%, 04/15/23 | 525,000 | 504,816 | ||||||
American Express Co. | ||||||||
6.80%, 09/01/66† | 1,320,000 | 1,414,050 |
See Notes to Financial Statements.
64
Table of Contents
Par | Value | |||||||
American Express Credit Corporation | ||||||||
5.13%, 08/25/14 | $ | 160,000 | $ | 167,739 | ||||
American General Capital II | ||||||||
8.50%, 07/01/30 | 250,000 | 327,500 | ||||||
American Honda Finance Corporation | ||||||||
1.00%, 08/11/15 144A | 480,000 | 481,027 | ||||||
American International Group, Inc. | ||||||||
2.38%, 08/24/15 | 175,000 | 177,853 | ||||||
5.60%, 10/18/16 | 600,000 | 669,175 | ||||||
5.45%, 05/18/17 | 125,000 | 138,035 | ||||||
8.25%, 08/15/18 144A | 3,200,000 | 3,977,021 | ||||||
6.40%, 12/15/20 | 150,000 | 174,216 | ||||||
6.25%, 03/15/87 | 380,000 | 389,975 | ||||||
Anadarko Petroleum Corporation | ||||||||
6.38%, 09/15/17 | 110,000 | 126,616 | ||||||
ANZ Capital Trust II | ||||||||
5.36%, 11/29/49 144A | 800,000 | 808,000 | ||||||
Apache Corporation | ||||||||
6.00%, 09/15/13 | 680,000 | 687,171 | ||||||
Apple, Inc. | ||||||||
1.00%, 05/03/18 | 375,000 | 360,534 | ||||||
2.40%, 05/03/23 | 1,735,000 | 1,612,625 | ||||||
Arch Coal, Inc. | ||||||||
7.25%, 06/15/21D | 500,000 | 410,000 | ||||||
Arizona Public Service Co. | ||||||||
8.75%, 03/01/19 | 525,000 | 683,047 | ||||||
Ashland, Inc. | ||||||||
4.75%, 08/15/22 144AD | 550,000 | 545,875 | ||||||
AT&T, Inc. | ||||||||
2.50%, 08/15/15 | 540,000 | 556,723 | ||||||
2.95%, 05/15/16D | 825,000 | 862,717 | ||||||
5.50%, 02/01/18 | 590,000 | 675,509 | ||||||
4.45%, 05/15/21D | 80,000 | 86,307 | ||||||
3.88%, 08/15/21 | 200,000 | 206,637 | ||||||
2.63%, 12/01/22 | 805,000 | 738,356 | ||||||
6.55%, 02/15/39 | 130,000 | 149,768 | ||||||
4.35%, 06/15/45 | 222,000 | 193,926 | ||||||
Avon Products, Inc. | ||||||||
4.60%, 03/15/20D | 525,000 | 531,564 | ||||||
Axiall Corporation | ||||||||
4.88%, 05/15/23 144AD | 50,000 | 47,687 | ||||||
Baker Hughes, Inc. | ||||||||
7.50%, 11/15/18 | 710,000 | 895,054 | ||||||
Ball Corporation | ||||||||
5.00%, 03/15/22 | 915,000 | 915,000 | ||||||
4.00%, 11/15/23 | 80,000 | 74,300 | ||||||
Bank of America Corporation | ||||||||
1.70%, 01/30/14† | 900,000 | 905,083 | ||||||
0.54%, 10/14/16†D | 1,700,000 | 1,665,461 | ||||||
3.88%, 03/22/17 | 130,000 | 136,271 | ||||||
6.00%, 09/01/17 | 325,000 | 364,649 | ||||||
5.75%, 12/01/17 | 2,340,000 | 2,603,173 | ||||||
5.65%, 05/01/18 | 950,000 | 1,056,557 | ||||||
5.88%, 01/05/21D | 150,000 | 169,083 | ||||||
5.00%, 05/13/21 | 20,000 | 21,360 | ||||||
Barrick North America | ||||||||
4.40%, 05/30/21 | 610,000 | 546,264 | ||||||
Bear Stearns Cos. LLC | ||||||||
5.70%, 11/15/14D | 1,000,000 | 1,065,648 | ||||||
6.40%, 10/02/17 | 1,200,000 | 1,385,441 |
Par | Value | |||||||
7.25%, 02/01/18 | $ | 675,000 | $ | 804,551 | ||||
BellSouth Capital Funding | ||||||||
7.88%, 02/15/30D | 12,000 | 14,909 | ||||||
BellSouth Corporation | ||||||||
6.88%, 10/15/31 | 1,000 | 1,137 | ||||||
Berkshire Hathaway, Inc. | ||||||||
3.20%, 02/11/15 | 280,000 | 291,352 | ||||||
Boeing Capital Corporation | ||||||||
4.70%, 10/27/19D | 230,000 | 260,141 | ||||||
Boeing Co. | ||||||||
4.88%, 02/15/20D | 300,000 | 342,935 | ||||||
6.63%, 02/15/38 | 210,000 | 269,241 | ||||||
Buckeye Partners LP | ||||||||
4.15%, 07/01/23D | 275,000 | 268,101 | ||||||
Calpine Corporation | ||||||||
7.88%, 01/15/23 144A | 700,000 | 756,000 | ||||||
Capital One Financial Corporation | ||||||||
1.00%, 11/06/15 | 325,000 | 320,777 | ||||||
Caterpillar Financial Services Corporation | ||||||||
6.20%, 09/30/13 | 450,000 | 456,292 | ||||||
CCO Holdings LLC | ||||||||
5.25%, 09/30/22 | 600,000 | 573,000 | ||||||
Cellco Partnership | ||||||||
8.50%, 11/15/18 | 520,000 | 676,134 | ||||||
Chesapeake Energy Corporation | ||||||||
6.13%, 02/15/21D | 220,000 | 232,100 | ||||||
5.75%, 03/15/23D | 70,000 | 71,050 | ||||||
Chevron Corporation | ||||||||
2.43%, 06/24/20D | 40,000 | 39,835 | ||||||
3.19%, 06/24/23D | 140,000 | 139,617 | ||||||
Chubb Corporation | ||||||||
6.38%, 03/29/67† | 375,000 | 403,125 | ||||||
Cigna Corporation | ||||||||
2.75%, 11/15/16 | 225,000 | 233,676 | ||||||
CitiFinancial, Inc. | ||||||||
6.63%, 06/01/15 | 300,000 | 325,781 | ||||||
Citigroup, Inc. | ||||||||
6.00%, 12/13/13 | 980,000 | 1,002,877 | ||||||
5.13%, 05/05/14 | 69,000 | 71,259 | ||||||
5.00%, 09/15/14D | 1,420,000 | 1,476,134 | ||||||
6.01%, 01/15/15 | 150,000 | 160,248 | ||||||
5.50%, 02/15/17D | 1,160,000 | 1,269,586 | ||||||
6.13%, 11/21/17 | 1,205,000 | 1,370,875 | ||||||
6.13%, 05/15/18 | 2,400,000 | 2,750,302 | ||||||
3.38%, 03/01/23D | 175,000 | 167,748 | ||||||
3.50%, 05/15/23 | 410,000 | 368,984 | ||||||
6.88%, 03/05/38 | 330,000 | 401,469 | ||||||
5.35%, 04/29/49† | 180,000 | 169,506 | ||||||
5.95%, 12/29/49† | 200,000 | 199,270 | ||||||
Clean Harbors, Inc. | ||||||||
5.25%, 08/01/20 | 195,000 | 198,900 | ||||||
Cliffs Natural Resources, Inc. | ||||||||
3.95%, 01/15/18D | 400,000 | 382,554 | ||||||
4.80%, 10/01/20D | 170,000 | 153,465 | ||||||
4.88%, 04/01/21D | 60,000 | 54,464 | ||||||
Comcast Corporation | ||||||||
5.70%, 05/15/18 | 1,250,000 | 1,458,521 | ||||||
Compass Bank | ||||||||
5.50%, 04/01/20 | 275,000 | 279,334 |
See Notes to Financial Statements.
65
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
ConAgra Foods, Inc. | ||||||||
1.90%, 01/25/18D | $ | 500,000 | $ | 492,074 | ||||
Concho Resources, Inc. | ||||||||
5.50%, 10/01/22 | 260,000 | 258,700 | ||||||
5.50%, 04/01/23 | 30,000 | 29,700 | ||||||
ConocoPhillips Holding Co. | ||||||||
6.95%, 04/15/29D | 420,000 | 536,338 | ||||||
Continental Airlines 1998-1 | ||||||||
6.65%, 03/15/19 | 189,623 | 200,052 | ||||||
Continental Resources, Inc. | ||||||||
5.00%, 09/15/22 | 500,000 | 511,250 | ||||||
COX Communications, Inc. | ||||||||
5.45%, 12/15/14D | 69,000 | 73,650 | ||||||
3.25%, 12/15/22 144A | 300,000 | 282,813 | ||||||
Crown Americas LLC | ||||||||
4.50%, 01/15/23 144AD | 550,000 | 521,125 | ||||||
Crown Castle International Corporation | ||||||||
5.25%, 01/15/23 | 425,000 | 409,594 | ||||||
CVS Caremark Corporation | ||||||||
2.75%, 12/01/22D | 500,000 | 468,103 | ||||||
5.75%, 05/15/41 | 225,000 | 254,556 | ||||||
CVS Pass-Through Trust | ||||||||
6.94%, 01/10/30 | 777,290 | 916,947 | ||||||
D.R. Horton, Inc. | ||||||||
4.38%, 09/15/22 | 550,000 | 525,250 | ||||||
Daimler Finance North America LLC | ||||||||
6.50%, 11/15/13 | 100,000 | 102,101 | ||||||
0.89%, 03/28/14 144A† | 3,400,000 | 3,410,458 | ||||||
1.30%, 07/31/15 144A | 640,000 | 641,736 | ||||||
DDR Corporation REIT | ||||||||
4.63%, 07/15/22 | 400,000 | 404,961 | ||||||
Delta Air Lines 2007-1 Class A | ||||||||
Pass Through Trust | ||||||||
6.82%, 02/10/24 | 344,036 | 388,933 | ||||||
Devon Energy Corporation | ||||||||
3.25%, 05/15/22D | 90,000 | 87,336 | ||||||
5.60%, 07/15/41 | 260,000 | 270,376 | ||||||
Devon Financing Corporation LLC | ||||||||
7.88%, 09/30/31 | 60,000 | 77,900 | ||||||
Discover Financial Services | ||||||||
3.85%, 11/21/22 | 425,000 | 399,884 | ||||||
DISH DBS Corporation | ||||||||
6.63%, 10/01/14 | 30,000 | 31,350 | ||||||
7.75%, 05/31/15D | 200,000 | 217,500 | ||||||
5.88%, 07/15/22 | 360,000 | 367,200 | ||||||
DPL, Inc. | ||||||||
7.25%, 10/15/21 | 350,000 | 364,000 | ||||||
Eastman Chemical Co. | ||||||||
2.40%, 06/01/17 | 575,000 | 576,541 | ||||||
Eaton Corporation | ||||||||
1.50%, 11/02/17 144AD | 180,000 | 174,911 | ||||||
2.75%, 11/02/22 144A | 650,000 | 609,321 | ||||||
4.15%, 11/02/42 144A | 200,000 | 180,165 | ||||||
Ecolab, Inc. | ||||||||
3.00%, 12/08/16 | 275,000 | 287,150 | ||||||
4.35%, 12/08/21 | 330,000 | 349,003 | ||||||
El Paso LLC | ||||||||
7.00%, 06/15/17 | 710,000 | 775,433 | ||||||
7.80%, 08/01/31D | 750,000 | 795,886 | ||||||
El Paso Natural Gas Co. LLC | ||||||||
7.50%, 11/15/26D | 300,000 | 361,601 |
Par | Value | |||||||
El Paso Pipeline Partners | ||||||||
5.00%, 10/01/21 | $ | 475,000 | $ | 512,007 | ||||
Energy Transfer Partners LP | ||||||||
3.29%, 11/01/66 144A†@ | 700,000 | 633,500 | ||||||
Enterprise Products Operating LLC | ||||||||
5.25%, 01/31/20 | 10,000 | 11,192 | ||||||
3.35%, 03/15/23 | 800,000 | 771,418 | ||||||
6.13%, 10/15/39D | 30,000 | 33,477 | ||||||
5.95%, 02/01/41 | 60,000 | 65,598 | ||||||
5.70%, 02/15/42D | 370,000 | 393,236 | ||||||
4.85%, 03/15/44D | 20,000 | 19,043 | ||||||
8.38%, 08/01/66† | 475,000 | 529,987 | ||||||
7.03%, 01/15/68† | 475,000 | 533,710 | ||||||
EOG Resources, Inc. | ||||||||
1.02%, 02/03/14† | 3,500,000 | 3,512,971 | ||||||
Equinix, Inc. | ||||||||
7.00%, 07/15/21 | 975,000 | 1,061,531 | ||||||
ERP Operating LP REIT | ||||||||
4.63%, 12/15/21 | 250,000 | 265,266 | ||||||
Exelon Corporation | ||||||||
5.63%, 06/15/35 | 655,000 | 675,331 | ||||||
Express Scripts Holding, Co. | ||||||||
3.50%, 11/15/16 | 1,020,000 | 1,083,630 | ||||||
2.65%, 02/15/17D | 250,000 | 254,782 | ||||||
Fifth Third Bancorp | ||||||||
3.63%, 01/25/16 | 175,000 | 184,855 | ||||||
First Niagara Financial Group, Inc. | ||||||||
6.75%, 03/19/20 | 250,000 | 290,044 | ||||||
FirstEnergy Corporation | ||||||||
2.75%, 03/15/18 | 120,000 | 116,952 | ||||||
4.25%, 03/15/23 | 570,000 | 530,626 | ||||||
7.38%, 11/15/31 | 770,000 | 814,116 | ||||||
Florida Power & Light Co. | ||||||||
3.80%, 12/15/42 | 525,000 | 472,306 | ||||||
Ford Motor Co. | ||||||||
4.75%, 01/15/43 | 450,000 | 398,066 | ||||||
Ford Motor Credit Co., LLC | ||||||||
1.37%, 08/28/14† | 700,000 | 700,766 | ||||||
5.63%, 09/15/15D | 3,100,000 | 3,338,455 | ||||||
8.00%, 12/15/16D | 1,475,000 | 1,731,115 | ||||||
5.00%, 05/15/18 | 225,000 | 240,508 | ||||||
5.88%, 08/02/21 | 300,000 | 327,605 | ||||||
Freeport-McMoRan | ||||||||
2.38%, 03/15/18 144AD | 100,000 | 95,212 | ||||||
3.10%, 03/15/20 144A | 230,000 | 212,908 | ||||||
3.55%, 03/01/22 | 510,000 | 464,107 | ||||||
Fresenius Medical Care US | ||||||||
6.88%, 07/15/17 | 250,000 | 272,500 | ||||||
Frontier Communications Corporation | ||||||||
8.50%, 04/15/20D | 950,000 | 1,052,125 | ||||||
GE Capital Trust I | ||||||||
6.38%, 11/15/67† | 321,000 | 333,439 | ||||||
General Electric Capital | ||||||||
1.63%, 07/02/15 | 1,170,000 | 1,184,258 | ||||||
6.00%, 08/07/19 | 1,850,000 | 2,150,516 | ||||||
4.38%, 09/16/20 | 330,000 | 349,885 | ||||||
5.88%, 01/14/38 | 150,000 | 165,671 |
See Notes to Financial Statements.
66
Table of Contents
Par | Value | |||||||
General Electric Co. | ||||||||
0.85%, 10/09/15 | $ | 210,000 | $ | 209,919 | ||||
General Motors Financial Co., Inc. | ||||||||
2.75%, 05/15/16 144A | 90,000 | 88,706 | ||||||
3.25%, 05/15/18 144AD | 70,000 | 68,250 | ||||||
4.25%, 05/15/23 144A | 80,000 | 74,700 | ||||||
Genworth Holdings, Inc. | ||||||||
7.70%, 06/15/20 | 125,000 | 143,591 | ||||||
7.20%, 02/15/21 | 175,000 | 196,780 | ||||||
7.63%, 09/24/21D | 225,000 | 261,878 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
5.65%, 05/15/18 | 380,000 | 441,178 | ||||||
Glencore Funding LLC | ||||||||
1.70%, 05/27/16 144A | 225,000 | 218,338 | ||||||
2.50%, 01/15/19 144A | 400,000 | 362,342 | ||||||
Goldman Sachs Capital II | ||||||||
4.00%, 06/01/43† | 60,000 | 47,850 | ||||||
Goldman Sachs Group, Inc. | ||||||||
4.75%, 07/15/13 | 20,000 | 20,028 | ||||||
5.25%, 10/15/13 | 160,000 | 161,986 | ||||||
6.00%, 05/01/14 | 90,000 | 93,764 | ||||||
5.75%, 10/01/16D | 1,900,000 | 2,115,120 | ||||||
5.95%, 01/18/18 | 1,000,000 | 1,119,964 | ||||||
6.00%, 06/15/20 | 460,000 | 517,610 | ||||||
5.25%, 07/27/21 | 110,000 | 117,883 | ||||||
6.25%, 02/01/41 | 550,000 | 624,210 | ||||||
HCA, Inc. | ||||||||
6.50%, 02/15/16D | 686,000 | 740,880 | ||||||
7.88%, 02/15/20 | 125,000 | 134,922 | ||||||
7.69%, 06/15/25D | 250,000 | 271,250 | ||||||
HCP, Inc. REIT | ||||||||
6.00%, 01/30/17 | 300,000 | 336,808 | ||||||
2.63%, 02/01/20 | 300,000 | 281,460 | ||||||
Hess Corporation | ||||||||
8.13%, 02/15/19 | 280,000 | 351,385 | ||||||
7.88%, 10/01/29 | 260,000 | 325,668 | ||||||
Hewlett-Packard Co. | ||||||||
3.00%, 09/15/16 | 300,000 | 308,315 | ||||||
2.60%, 09/15/17D | 300,000 | 299,903 | ||||||
4.30%, 06/01/21D | 124,000 | 121,445 | ||||||
HSBC USA, Inc. | ||||||||
2.38%, 02/13/15 | 1,700,000 | 1,737,886 | ||||||
Humana, Inc. | ||||||||
7.20%, 06/15/18 | 480,000 | 572,386 | ||||||
3.15%, 12/01/22 | 120,000 | 111,587 | ||||||
Hyundai Capital America | ||||||||
2.13%, 10/02/17 144A | 130,000 | 125,808 | ||||||
ILFC E-Capital Trust II | ||||||||
6.25%, 12/21/65 144A† | 280,000 | 256,200 | ||||||
ING US, Inc. | ||||||||
2.90%, 02/15/18 144AD | 60,000 | 60,367 | ||||||
International Lease Finance | ||||||||
6.50%, 09/01/14 144A | 240,000 | 250,800 | ||||||
6.75%, 09/01/16 144A | 840,000 | 911,400 | ||||||
8.63%, 01/15/22 | 250,000 | 288,750 | ||||||
John Deere Capital Corporation | ||||||||
2.25%, 04/17/19 | 160,000 | 160,018 | ||||||
1.70%, 01/15/20D | 80,000 | 75,777 | ||||||
JPMorgan Chase & Co. | ||||||||
5.15%, 10/01/15 | 1,890,000 | 2,043,086 | ||||||
1.10%, 10/15/15 | 750,000 | 745,842 | ||||||
6.30%, 04/23/19 | 800,000 | 930,509 |
Par | Value | |||||||
4.40%, 07/22/20 | $ | 230,000 | $ | 240,882 | ||||
4.35%, 08/15/21D | 70,000 | 73,047 | ||||||
3.25%, 09/23/22 | 275,000 | 261,599 | ||||||
3.38%, 05/01/23 | 430,000 | 401,222 | ||||||
Kerr-McGee Corporation | ||||||||
6.95%, 07/01/24 | 420,000 | 503,088 | ||||||
7.88%, 09/15/31 | 490,000 | 613,418 | ||||||
Kimberly-Clark Corporation | ||||||||
3.70%, 06/01/43 | 500,000 | 450,374 | ||||||
Kinder Morgan Energy | ||||||||
5.00%, 12/15/13 | 200,000 | 203,804 | ||||||
6.00%, 02/01/17 | 250,000 | 281,795 | ||||||
Kraft Foods Group, Inc. | ||||||||
5.38%, 02/10/20 | 403,000 | 455,213 | ||||||
3.50%, 06/06/22 | 380,000 | 377,021 | ||||||
Kroger Co. | ||||||||
6.15%, 01/15/20 | 360,000 | 419,547 | ||||||
Lehman Escrow Bonds | ||||||||
0.00%, 07/19/17+W†# | 150,000 | — | ||||||
6.75%, 12/28/47+W†# | 140,000 | — | ||||||
0.00%, 11/30/49+W†# | 2,330,000 | — | ||||||
6.75%, 12/31/99+W†# | 3,200,000 | — | ||||||
Lehman Escrow Bonds | ||||||||
5.63%, 12/31/99W†# | 2,300,000 | 566,375 | ||||||
6.63%, 12/31/99W†# | 200,000 | 49,250 | ||||||
Liberty Property LP REIT | ||||||||
4.75%, 10/01/20D | 575,000 | 606,345 | ||||||
M&T Bank Corporation | ||||||||
6.88%, 12/29/49 144A | 750,000 | 780,992 | ||||||
MarkWest Energy Partners LP | ||||||||
6.25%, 06/15/22 | 190,000 | 196,650 | ||||||
4.50%, 07/15/23 | 575,000 | 529,000 | ||||||
MDC Holdings, Inc. | ||||||||
5.63%, 02/01/20 | 325,000 | 346,149 | ||||||
6.00%, 01/15/43D | 225,000 | 209,690 | ||||||
Medtronic, Inc. | ||||||||
4.45%, 03/15/20 | 300,000 | 327,103 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
6.05%, 05/16/16 | 275,000 | 297,969 | ||||||
5.70%, 05/02/17 | 1,100,000 | 1,185,679 | ||||||
MetLife Capital Trust IV | ||||||||
7.88%, 12/15/67 144A | 300,000 | 358,772 | ||||||
MetLife, Inc. | ||||||||
4.75%, 02/08/21 | 270,000 | 294,722 | ||||||
6.40%, 12/15/66 | 50,000 | 51,437 | ||||||
MetroPCS Wireless, Inc. | ||||||||
6.25%, 04/01/21 144A | 150,000 | 153,187 | ||||||
6.63%, 04/01/23 144A | 150,000 | 153,187 | ||||||
MidAmerican Energy Holdings Co. | ||||||||
6.50%, 09/15/37 | 70,000 | 83,397 | ||||||
Mondelez International, Inc. | ||||||||
5.38%, 02/10/20 | 492,000 | 552,630 | ||||||
6.50%, 02/09/40 | 300,000 | 359,173 | ||||||
Morgan Stanley | ||||||||
0.73%, 10/18/16† | 340,000 | 329,410 | ||||||
4.75%, 03/22/17 | 60,000 | 63,694 | ||||||
6.25%, 08/28/17 | 350,000 | 390,643 | ||||||
6.63%, 04/01/18 | 1,400,000 | 1,588,474 | ||||||
Mylan, Inc. | ||||||||
7.88%, 07/15/20 144A | 400,000 | 461,800 | ||||||
NBCUniversal Media LLC | ||||||||
2.88%, 01/15/23 | 750,000 | 713,845 |
See Notes to Financial Statements.
67
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
NCUA Guaranteed Notes | ||||||||
3.00%, 06/12/19 | $ | 300,000 | $ | 313,773 | ||||
NetApp, Inc. | ||||||||
2.00%, 12/15/17 | 375,000 | 365,637 | ||||||
Nielsen Finance LLC | ||||||||
4.50%, 10/01/20 144AD | 425,000 | 410,125 | ||||||
NIKE, Inc. | ||||||||
3.63%, 05/01/43 | 375,000 | 333,123 | ||||||
Noble Energy, Inc. | ||||||||
4.15%, 12/15/21 | 620,000 | 641,296 | ||||||
Northwestern Mutual Life | ||||||||
6.06%, 03/30/40 144A | 500,000 | 564,887 | ||||||
NV Energy, Inc. | ||||||||
6.25%, 11/15/20 | 325,000 | 382,403 | ||||||
Occidental Petroleum | ||||||||
3.13%, 02/15/22 | 310,000 | 300,886 | ||||||
2.70%, 02/15/23D | 360,000 | 332,929 | ||||||
Oracle Corporation | ||||||||
1.20%, 10/15/17 | 470,000 | 456,948 | ||||||
Overseas Private Investment | ||||||||
0.00%, 11/18/13W† | 3,500,000 | 3,561,827 | ||||||
Pacific Gas & Electric Co. | ||||||||
8.25%, 10/15/18 | 130,000 | 167,835 | ||||||
6.05%, 03/01/34 | 40,000 | 46,782 | ||||||
5.80%, 03/01/37 | 250,000 | 284,647 | ||||||
Patrons’ Legacy | ||||||||
5.65%, 07/10/58 144A | 1,123,374 | 1,097,941 | ||||||
Peabody Energy Corporation | ||||||||
7.88%, 11/01/26 | 1,100,000 | 1,116,500 | ||||||
Pemex Project Funding | ||||||||
6.63%, 06/15/35 | 159,000 | 167,745 | ||||||
Penske Truck Leasing Co. LP | ||||||||
2.88%, 07/17/18 144A | 575,000 | 581,396 | ||||||
PepsiCo, Inc. | ||||||||
0.70%, 08/13/15 | 520,000 | 520,139 | ||||||
7.90%, 11/01/18 | 140,000 | 179,518 | ||||||
Pfizer, Inc. | ||||||||
7.20%, 03/15/39 | 600,000 | 806,685 | ||||||
Pricoa Global Funding I | ||||||||
0.48%, 09/27/13 144A† | 1,700,000 | 1,700,476 | ||||||
Principal Financial Group, Inc. | ||||||||
3.13%, 05/15/23D | 350,000 | 330,612 | ||||||
Private Export Funding | ||||||||
5.45%, 09/15/17 | 1,600,000 | 1,858,902 | ||||||
Progress Energy, Inc. | ||||||||
7.75%, 03/01/31D | 350,000 | 454,100 | ||||||
PVH Corporation | ||||||||
4.50%, 12/15/22D | 535,000 | 516,275 | ||||||
PVNGS II Funding | ||||||||
8.00%, 12/30/15 | 484,000 | 513,325 | ||||||
QEP Resources, Inc. | ||||||||
5.25%, 05/01/23D | 80,000 | 78,400 | ||||||
Range Resources Corporation | ||||||||
5.00%, 03/15/23 | 150,000 | 147,375 | ||||||
Raytheon Co. | ||||||||
3.13%, 10/15/20 | 200,000 | 201,577 | ||||||
Regency Energy Partners LP | ||||||||
4.50%, 11/01/23 144A | 310,000 | 281,325 |
Par | Value | |||||||
Rensselaer Polytechnic Institute | ||||||||
5.60%, 09/01/20 | $ | 675,000 | $ | 751,339 | ||||
Reynolds Group Issuer, Inc. | ||||||||
7.13%, 04/15/19 | 500,000 | 530,625 | ||||||
Roche Holdings, Inc. | ||||||||
6.00%, 03/01/19 144AD | 330,000 | 394,498 | ||||||
Rock Tenn Co. | ||||||||
3.50%, 03/01/20 | 150,000 | 146,994 | ||||||
4.00%, 03/01/23 | 70,000 | 67,581 | ||||||
Rockwood Specialties Group, Inc. | ||||||||
4.63%, 10/15/20 | 550,000 | 554,812 | ||||||
Roper Industries, Inc. | ||||||||
2.05%, 10/01/18 | 450,000 | 441,900 | ||||||
Rowan Cos., Inc. | ||||||||
4.88%, 06/01/22 | 175,000 | 180,893 | ||||||
Safeway, Inc. | ||||||||
4.75%, 12/01/21D | 110,000 | 112,265 | ||||||
Santander Holdings USA, Inc. | ||||||||
3.00%, 09/24/15 | 300,000 | 307,765 | ||||||
Service Corporation | ||||||||
7.63%, 10/01/18 | 90,000 | 103,050 | ||||||
7.50%, 04/01/27 | 200,000 | 219,500 | ||||||
Simon Property Group LP REIT | ||||||||
10.35%, 04/01/19 | 750,000 | 1,039,899 | ||||||
SLM Corporation | ||||||||
3.88%, 09/10/15 | 480,000 | 486,025 | ||||||
Southern Copper Corporation | ||||||||
5.25%, 11/08/42 | 660,000 | 544,882 | ||||||
Southern Natural Gas Co. LLC | ||||||||
8.00%, 03/01/32 | 400,000 | 532,565 | ||||||
Sprint Capital Corporation | ||||||||
6.88%, 11/15/28 | 40,000 | 38,600 | ||||||
8.75%, 03/15/32 | 120,000 | 132,600 | ||||||
Sprint Nextel Corporation | ||||||||
9.00%, 11/15/18 144A | 80,000 | 93,800 | ||||||
7.00%, 08/15/20 | 40,000 | 42,400 | ||||||
State Street Corporation | ||||||||
4.96%, 03/15/18 | 530,000 | 584,541 | ||||||
SunTrust Banks, Inc. | ||||||||
3.60%, 04/15/16 | 300,000 | 317,788 | ||||||
SunTrust Preferred Capital I | ||||||||
4.00%, 06/29/49† | 357,000 | 310,590 | ||||||
Superior Energy Services, Inc. | ||||||||
7.13%, 12/15/21 | 80,000 | 86,800 | ||||||
Teachers Insurance & Annuity | ||||||||
6.85%, 12/16/39 144A | 540,000 | 661,694 | ||||||
Tenet Healthcare Corporation | ||||||||
9.25%, 02/01/15D | 1,262,000 | 1,370,847 | ||||||
Tennessee Gas Pipeline Co. LLC | ||||||||
7.50%, 04/01/17 | 250,000 | 298,487 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.60%, 08/15/21 | 160,000 | 157,194 | ||||||
Time Warner Cable, Inc. | ||||||||
8.75%, 02/14/19 | 560,000 | 688,174 | ||||||
4.13%, 02/15/21D | 70,000 | 68,748 | ||||||
5.88%, 11/15/40 | 220,000 | 202,185 | ||||||
Time Warner, Inc. | ||||||||
4.70%, 01/15/21 | 10,000 | 10,718 | ||||||
7.70%, 05/01/32 | 180,000 | 229,483 | ||||||
6.10%, 07/15/40 | 140,000 | 153,380 |
See Notes to Financial Statements.
68
Table of Contents
Par | Value | |||||||
6.25%, 03/29/41 | $ | 40,000 | $ | 44,288 | ||||
Time Warner | ||||||||
8.38%, 07/15/33 | 390,000 | 460,863 | ||||||
Toyota Motor Credit Corporation | ||||||||
1.25%, 10/05/17 | 520,000 | 505,457 | ||||||
Transatlantic Holdings, Inc. | ||||||||
8.00%, 11/30/39 | 200,000 | 261,658 | ||||||
Union Bank NA | ||||||||
1.22%, 06/06/14† | 2,600,000 | 2,616,221 | ||||||
2.13%, 06/16/17 | 700,000 | 699,926 | ||||||
United Airline 1995 Pass | ||||||||
9.56%, 10/19/18@ | 128,319 | 38,496 | ||||||
United Airline 2009-2A Pass | ||||||||
9.75%, 07/15/18 | 120,910 | 139,047 | ||||||
United Technologies Corporation | ||||||||
4.50%, 06/01/42 | 250,000 | 247,514 | ||||||
UnitedHealth Group, Inc. | ||||||||
1.63%, 03/15/19 | 170,000 | 164,542 | ||||||
Univision Communications, Inc. | ||||||||
6.75%, 09/15/22 144A | 370,000 | 390,350 | ||||||
Verizon Communications, Inc. | ||||||||
6.35%, 04/01/19D | 90,000 | 106,905 | ||||||
3.50%, 11/01/21D | 190,000 | 191,180 | ||||||
2.45%, 11/01/22 | 10,000 | 9,086 | ||||||
6.00%, 04/01/41 | 100,000 | 112,597 | ||||||
3.85%, 11/01/42D | 210,000 | 174,955 | ||||||
Vesey Street Investment Trust I | ||||||||
4.40%, 09/01/16 STEP | 160,000 | 170,509 | ||||||
Wachovia Bank NA | ||||||||
6.60%, 01/15/38 | 275,000 | 337,150 | ||||||
Wachovia Capital Trust III | ||||||||
5.57%, 03/29/49†D | 580,000 | 569,850 | ||||||
Wachovia Corporation | ||||||||
5.25%, 08/01/14 | 1,850,000 | 1,932,891 | ||||||
5.63%, 10/15/16D | 250,000 | 281,205 | ||||||
Walgreen Co. | ||||||||
1.80%, 09/15/17 | 300,000 | 296,544 | ||||||
Walt Disney Co. | ||||||||
3.70%, 12/01/42D | 233,000 | 205,809 | ||||||
Waste Management, Inc. | ||||||||
7.38%, 05/15/29 | 140,000 | 173,966 | ||||||
WEA Finance LLC | ||||||||
7.13%, 04/15/18 144A | 400,000 | 475,194 | ||||||
WellPoint, Inc. | ||||||||
1.25%, 09/10/15 | 110,000 | 110,243 | ||||||
5.88%, 06/15/17 | 720,000 | 818,762 | ||||||
Wells Fargo & Co. | ||||||||
3.68%, 06/15/16 STEP | 290,000 | 310,059 | ||||||
4.60%, 04/01/21D | 70,000 | 76,405 | ||||||
3.45%, 02/13/23D | 280,000 | 267,950 | ||||||
Wells Fargo Capital X | ||||||||
5.95%, 12/01/86 | 200,000 | 199,000 | ||||||
Williams Cos., Inc. | ||||||||
7.50%, 01/15/31 | 10,000 | 11,422 | ||||||
7.75%, 06/15/31 | 25,000 | 29,274 | ||||||
8.75%, 03/15/32 | 451,000 | 573,549 | ||||||
WPX Energy, Inc. | ||||||||
6.00%, 01/15/22 | 130,000 | 131,950 |
Par | Value | |||||||
Xylem, Inc. | ||||||||
3.55%, 09/20/16 | $ | 350,000 | $ | 367,785 | ||||
|
| |||||||
Total Corporate Bonds | 170,259,262 | |||||||
|
| |||||||
FOREIGN BONDS — 13.4% | ||||||||
Australia — 0.7% | ||||||||
Australia Government Bond | ||||||||
5.50%, 12/15/13(A) | 400,000 | 370,740 | ||||||
5.75%, 05/15/21(A) | 1,800,000 | 1,889,946 | ||||||
BHP Billiton Finance (USA), Ltd. | ||||||||
3.25%, 11/21/21 | 940,000 | 920,803 | ||||||
Commonwealth Bank of Australia | ||||||||
3.75%, 10/15/14 144A | 440,000 | 457,172 | ||||||
1.25%, 09/18/15 | 570,000 | 573,675 | ||||||
5.00%, 10/15/19 144A | 50,000 | 56,027 | ||||||
QBE Insurance Group, Ltd. | ||||||||
5.65%, 07/01/23 144A†@ | 525,000 | 525,000 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
2.50%, 05/20/16 | 30,000 | 30,868 | ||||||
3.50%, 11/02/20 | 770,000 | 767,348 | ||||||
4.13%, 05/20/21 | 110,000 | 112,011 | ||||||
3.75%, 09/20/21 | 90,000 | 89,035 | ||||||
|
| |||||||
5,792,625 | ||||||||
|
| |||||||
Bermuda — 0.1% | ||||||||
Arch Capital Group, Ltd. | ||||||||
7.35%, 05/01/34D | 175,000 | 219,590 | ||||||
Endurance Specialty Holdings, Ltd. | ||||||||
6.15%, 10/15/15 | 150,000 | 163,849 | ||||||
Weatherford International, Ltd. | ||||||||
9.63%, 03/01/19 | 265,000 | 335,399 | ||||||
|
| |||||||
718,838 | ||||||||
|
| |||||||
Canada — 0.5% | ||||||||
Barrick Gold Corporation | ||||||||
3.85%, 04/01/22D | 130,000 | 109,581 | ||||||
4.10%, 05/01/23 144A | 450,000 | 376,685 | ||||||
Nexen, Inc. | ||||||||
6.40%, 05/15/37 | 225,000 | 245,324 | ||||||
7.50%, 07/30/39 | 250,000 | 306,289 | ||||||
Potash Corporation of Saskatchewan, Inc. | ||||||||
4.88%, 03/30/20 | 110,000 | 121,910 | ||||||
PTTEP Canada International Finance, Ltd. | ||||||||
5.69%, 04/05/21 144A | 320,000 | 343,600 | ||||||
Rogers Communications, Inc. | ||||||||
6.38%, 03/01/14D | 90,000 | 93,376 | ||||||
6.75%, 03/15/15 | 10,000 | 10,971 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
6.35%, 05/15/67† | 400,000 | 417,492 | ||||||
Videotron, Ltd. | ||||||||
5.00%, 07/15/22 | 525,000 | 514,500 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
2.05%, 10/23/15 144A | 390,000 | 390,342 | ||||||
5.80%, 11/15/16 144A | 80,000 | 87,336 | ||||||
2.70%, 10/25/17 144A | 1,140,000 | 1,106,671 | ||||||
|
| |||||||
4,124,077 | ||||||||
|
|
See Notes to Financial Statements.
69
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Cayman Islands — 0.6% | ||||||||
Petrobras International Finance Co. | ||||||||
3.88%, 01/27/16D | $ | 250,000 | $ | 258,457 | ||||
6.13%, 10/06/16D | 271,000 | 297,610 | ||||||
5.75%, 01/20/20 | 235,000 | 245,664 | ||||||
5.38%, 01/27/21 | 990,000 | 999,597 | ||||||
Resona Preferred Global Securities Cayman, Ltd. | ||||||||
7.19%, 12/29/49 144A†D | 325,000 | 346,938 | ||||||
Transocean, Inc. | ||||||||
5.05%, 12/15/16 | 130,000 | 141,478 | ||||||
6.50%, 11/15/20 | 650,000 | 732,732 | ||||||
6.38%, 12/15/21 | 270,000 | 303,974 | ||||||
Vale Overseas, Ltd. | ||||||||
4.38%, 01/11/22D | 932,000 | 889,906 | ||||||
8.25%, 01/17/34D | 80,000 | 94,353 | ||||||
6.88%, 11/21/36D | 511,000 | 519,936 | ||||||
|
| |||||||
4,830,645 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Celulosa Arauco y Constitucion SA | ||||||||
4.75%, 01/11/22D | 240,000 | 239,567 | ||||||
Chile Government International Bond | ||||||||
3.63%, 10/30/42D | 460,000 | 381,800 | ||||||
Corporacion Nacional del Cobre | ||||||||
4.75%, 10/15/14 144A | 210,000 | 218,286 | ||||||
|
| |||||||
839,653 | ||||||||
|
| |||||||
Colombia — 0.0% | ||||||||
Colombia Government | ||||||||
4.38%, 07/12/21 | 341,000 | 356,004 | ||||||
|
| |||||||
France — 0.3% | ||||||||
Banque PSA Finance SA | ||||||||
2.18%, 04/04/14 144A†@ | 800,000 | 793,159 | ||||||
BNP Paribas SA | ||||||||
2.38%, 09/14/17D | 350,000 | 346,844 | ||||||
Compagnie Generale de Geophysique - Veritas | ||||||||
9.50%, 05/15/16D | 250,000 | 262,188 | ||||||
7.75%, 05/15/17 | 155,000 | 158,100 | ||||||
Credit Agricole SA | ||||||||
8.38%, 10/29/49 144A† | 870,000 | 925,462 | ||||||
|
| |||||||
2,485,753 | ||||||||
|
| |||||||
Germany — 1.7% | ||||||||
Bundesschatzanweisungen | ||||||||
0.75%, 09/13/13(E) | 9,000,000 | 11,731,103 | ||||||
State of North Rhine-Westphalia | ||||||||
1.63%, 09/17/14 | 2,500,000 | 2,535,430 | ||||||
|
| |||||||
14,266,533 | ||||||||
|
| |||||||
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 | ||||||
|
| |||||||
14 | ||||||||
|
|
Par | Value | |||||||
India — 0.4% | ||||||||
ICICI Bank, Ltd. | ||||||||
2.02%, 02/24/14 144A† | $ | 3,400,000 | $ | 3,407,222 | ||||
|
| |||||||
Indonesia — 0.1% | ||||||||
Indonesia Government | ||||||||
8.50%, 10/12/35 | 230,000 | 304,175 | ||||||
7.75%, 01/17/38 | 490,000 | 607,600 | ||||||
|
| |||||||
911,775 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
MTS International Funding, Ltd. | ||||||||
5.00%, 05/30/23 144A | 200,000 | 192,500 | ||||||
Rosneft Oil Co. via Rosneft International Finance, Ltd. | ||||||||
4.20%, 03/06/22 144A | 320,000 | 297,280 | ||||||
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC | ||||||||
6.49%, 02/02/16 144A | 230,000 | 240,925 | ||||||
7.75%, 02/02/21 144A | 200,000 | 213,750 | ||||||
|
| |||||||
944,455 | ||||||||
|
| |||||||
Israel — 0.3% | ||||||||
Israel Government AID Bond | ||||||||
5.50%, 09/18/23 | 1,200,000 | 1,454,622 | ||||||
5.50%, 12/04/23D | 100,000 | 120,701 | ||||||
5.50%, 04/26/24 | 500,000 | 608,838 | ||||||
|
| |||||||
2,184,161 | ||||||||
|
| |||||||
Italy — 0.4% | ||||||||
Intesa Sanpaolo SpA | ||||||||
2.67%, 02/24/14 144A† | 2,500,000 | 2,509,585 | ||||||
3.63%, 08/12/15 144A | 290,000 | 290,798 | ||||||
3.88%, 01/16/18 | 775,000 | 744,926 | ||||||
|
| |||||||
3,545,309 | ||||||||
|
| |||||||
Japan — 0.3% | ||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
3.85%, 01/22/15 144A | 330,000 | 345,060 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
2.95%, 10/17/22 144AD | 600,000 | 551,357 | ||||||
Resona Bank, Ltd. | ||||||||
5.85%, 09/29/49 144A†@D | 250,000 | 267,989 | ||||||
Softbank Corporation | ||||||||
4.50%, 04/15/20 144A | 660,000 | 636,240 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
3.15%, 07/22/15 144A | 330,000 | 343,918 | ||||||
|
| |||||||
2,144,564 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
UBM PLC | ||||||||
5.75%, 11/03/20 144A | 260,000 | 263,963 | ||||||
|
| |||||||
Luxembourg — 0.5% | ||||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
9.25%, 04/23/19 | 290,000 | 350,900 | ||||||
6.51%, 03/07/22D | 110,000 | 116,875 | ||||||
6.51%, 03/07/22 144A | 3,100,000 | 3,293,750 | ||||||
Intelsat Jackson Holdings SA | ||||||||
7.50%, 04/01/21 | 500,000 | 527,500 |
See Notes to Financial Statements.
70
Table of Contents
Par | Value | |||||||
TNK-BP Finance SA | ||||||||
7.25%, 02/02/20D | $ | 190,000 | $ | 213,512 | ||||
|
| |||||||
4,502,537 | ||||||||
|
| |||||||
Mexico — 1.1% | ||||||||
America Movil SAB de CV | ||||||||
5.63%, 11/15/17D | 270,000 | 307,836 | ||||||
5.00%, 03/30/20 | 240,000 | 258,789 | ||||||
Mexican Bonos | ||||||||
8.00%, 06/11/20(M) | 32,757,000 | 2,896,605 | ||||||
6.50%, 06/09/22(M) | 35,244,700 | 2,872,603 | ||||||
7.50%, 06/03/27(M) | 1,272,200 | 110,209 | ||||||
8.50%, 05/31/29(M) | 964,000 | 88,866 | ||||||
7.75%, 05/29/31(M) | 19,600 | 1,679 | ||||||
10.00%, 11/20/36(M) | 1,361,600 | 140,203 | ||||||
8.50%, 11/18/38(M) | 192,800 | 17,406 | ||||||
7.75%, 11/13/42(M) | 8,928,400 | 745,563 | ||||||
Mexico Government | ||||||||
6.05%, 01/11/40D | 134,000 | 146,730 | ||||||
4.75%, 03/08/44D | 1,578,000 | 1,412,310 | ||||||
Petroleos Mexicanos | ||||||||
5.50%, 01/21/21 | 370,000 | 395,900 | ||||||
|
| |||||||
9,394,699 | ||||||||
|
| |||||||
Netherlands — 0.9% | ||||||||
Achmea Hypotheekbank NV | ||||||||
3.20%, 11/03/14 144A | 161,000 | 167,173 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
4.50%, 01/11/21 | 2,000,000 | 2,113,190 | ||||||
11.00%, 12/29/49 144A† | 487,000 | 628,464 | ||||||
Deutsche Telekom International Finance BV | ||||||||
5.75%, 03/23/16 | 510,000 | 567,312 | ||||||
ING Bank NV | ||||||||
3.90%, 03/19/14 144A | 200,000 | 204,977 | ||||||
2.00%, 09/25/15 144A | 725,000 | 731,545 | ||||||
Lukoil International Finance BV | ||||||||
6.66%, 06/07/22 | 500,000 | 546,250 | ||||||
Shell International Finance BV | ||||||||
4.38%, 03/25/20D | 700,000 | 779,265 | ||||||
Volkswagen International | ||||||||
1.02%, 03/21/14 144A† | 100,000 | 100,411 | ||||||
0.88%, 04/01/14 144A† | 1,500,000 | 1,503,420 | ||||||
|
| |||||||
7,342,007 | ||||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
ANZ National International, Ltd. | ||||||||
1.85%, 10/15/15 144A | 220,000 | 223,224 | ||||||
|
| |||||||
Norway — 0.5% | ||||||||
DNB Boligkreditt AS | ||||||||
2.10%, 10/14/16 144AD | 1,300,000 | 1,334,840 | ||||||
Kommunalbanken AS | ||||||||
1.00%, 09/26/17 144A | 500,000 | 490,520 | ||||||
Sparebank 1 Boligkreditt AS | ||||||||
2.63%, 05/26/17 144A | 1,400,000 | 1,453,831 | ||||||
2.30%, 06/30/18 144A | 700,000 | 714,699 | ||||||
|
| |||||||
3,993,890 | ||||||||
|
|
Par | Value | |||||||
Russia — 0.0% | ||||||||
Russian Foreign Bond | ||||||||
4.50%, 04/04/22 144AD | $ | 200,000 | $ | 204,774 | ||||
|
| |||||||
Singapore — 0.0% | ||||||||
Temasek Financial I, Ltd. | ||||||||
2.38%, 01/23/23 144A | 330,000 | 293,968 | ||||||
|
| |||||||
Slovenia — 0.1% | ||||||||
Slovenia Government International Bond | ||||||||
5.50%, 10/26/22D | 210,000 | 193,725 | ||||||
5.50%, 10/26/22 144A | 310,000 | 285,975 | ||||||
|
| |||||||
479,700 | ||||||||
|
| |||||||
South Korea — 0.5% | ||||||||
Export-Import Bank of Korea | ||||||||
5.25%, 02/10/14 144A | 235,000 | 241,151 | ||||||
Hyundai Capital Services, Inc. | ||||||||
4.38%, 07/27/16 144AD | 3,400,000 | 3,606,737 | ||||||
|
| |||||||
3,847,888 | ||||||||
|
| |||||||
Spain — 0.3% | ||||||||
BBVA US Senior SA | ||||||||
3.25%, 05/16/14 | 560,000 | 565,146 | ||||||
4.66%, 10/09/15 | 460,000 | 474,110 | ||||||
Santander US Debt SA | ||||||||
3.72%, 01/20/15 144A | 400,000 | 403,895 | ||||||
3.78%, 10/07/15 144A | 100,000 | 101,984 | ||||||
Telefonica Emisiones SA | ||||||||
6.42%, 06/20/16 | 90,000 | 99,042 | ||||||
6.22%, 07/03/17 | 20,000 | 21,860 | ||||||
3.19%, 04/27/18 | 350,000 | 339,387 | ||||||
5.88%, 07/15/19 | 70,000 | 75,744 | ||||||
5.13%, 04/27/20 | 140,000 | 143,864 | ||||||
5.46%, 02/16/21 | 200,000 | 206,689 | ||||||
|
| |||||||
2,431,721 | ||||||||
|
| |||||||
Supranational — 0.0% | ||||||||
Inter-American Development Bank | ||||||||
1.00%, 02/27/18 | 400,000 | 386,722 | ||||||
|
| |||||||
Sweden — 1.1% | ||||||||
Nordea Bank AB | ||||||||
1.18%, 01/14/14 144A† | 3,400,000 | 3,416,327 | ||||||
3.70%, 11/13/14 144A | 200,000 | 207,449 | ||||||
4.88%, 05/13/21 144A | 640,000 | 657,836 | ||||||
Stadshypotek AB | ||||||||
1.45%, 09/30/13 144AD | 4,000,000 | 4,011,044 | ||||||
1.88%, 10/02/19 144A | 900,000 | 861,927 | ||||||
Swedbank Hypotek AB | ||||||||
0.73%, 03/28/14 144A† | 200,000 | 200,320 | ||||||
|
| |||||||
9,354,903 | ||||||||
|
| |||||||
Switzerland — 0.1% | ||||||||
UBS AG | ||||||||
2.25%, 01/28/14 | 413,000 | 417,033 | ||||||
|
| |||||||
United Kingdom — 2.1% | ||||||||
Abbey National Treasury | ||||||||
3.88%, 11/10/14 144A | 2,900,000 | 2,987,220 | ||||||
2.11%, 02/16/16(U)† | 200,000 | 311,340 |
See Notes to Financial Statements.
71
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Bank of Scotland PLC | ||||||||
5.25%, 02/21/17 144AD | $ | 100,000 | $ | 112,870 | ||||
Barclays Bank PLC | ||||||||
1.32%, 01/13/14†D | 2,800,000 | 2,813,502 | ||||||
6.05%, 12/04/17 144A@D | 755,000 | 819,882 | ||||||
BP Capital Markets PLC | ||||||||
5.25%, 11/07/13 | 940,000 | 955,719 | ||||||
3.88%, 03/10/15D | 310,000 | 325,732 | ||||||
3.20%, 03/11/16 | 275,000 | 289,138 | ||||||
4.50%, 10/01/20 | 725,000 | 787,766 | ||||||
3.56%, 11/01/21D | 50,000 | 50,003 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.85%, 05/08/22 | 350,000 | 336,604 | ||||||
HSBC Holdings PLC | ||||||||
6.80%, 06/01/38 | 250,000 | 288,462 | ||||||
Lloyds TSB Bank PLC | ||||||||
12.00%, 12/29/49 144A† | 3,200,000 | 4,302,259 | ||||||
Northern Rock Asset | ||||||||
5.63%, 06/22/17 144A | 1,400,000 | 1,595,748 | ||||||
Royal Bank of Scotland | ||||||||
5.00%, 10/01/14 | 40,000 | 40,910 | ||||||
2.55%, 09/18/15D | 560,000 | 569,690 | ||||||
6.40%, 10/21/19D | 160,000 | 178,008 | ||||||
7.64%, 03/29/49†D | 200,000 | 181,000 | ||||||
Standard Chartered PLC | ||||||||
5.50%, 11/18/14 144A@ | 250,000 | 263,625 | ||||||
3.95%, 01/11/23 144A | 375,000 | 349,521 | ||||||
WPP Finance UK | ||||||||
8.00%, 09/15/14 | 336,000 | 362,720 | ||||||
|
| |||||||
17,921,719 | ||||||||
|
| |||||||
Venezuela — 0.1% | ||||||||
Venezuela Government International Bond | ||||||||
12.75%, 08/23/22 | 140,000 | 144,200 | ||||||
8.25%, 10/13/24 | 50,000 | 39,000 | ||||||
9.25%, 09/15/27D | 520,000 | 442,000 | ||||||
|
| |||||||
625,200 | ||||||||
|
| |||||||
Virgin Islands (British) — 0.5% | ||||||||
Gerdau Trade, Inc. | ||||||||
5.75%, 01/30/21 144AD | 4,000,000 | 3,960,000 | ||||||
Sinopec Group Overseas Development 2012, Ltd. | ||||||||
2.75%, 05/17/17 144A | 230,000 | 231,812 | ||||||
|
| |||||||
4,191,812 | ||||||||
|
| |||||||
Total Foreign Bonds | 112,427,388 | |||||||
|
| |||||||
LOAN AGREEMENTS — 0.1% | ||||||||
Dell, Inc. Bridge Tl 1L | ||||||||
5.00%, 11/06/13W†@ | 600,000 | 597,000 | ||||||
Dell, Inc. Bridge Tl 2L | ||||||||
6.25%, 11/06/13W†@ | 400,000 | 398,000 | ||||||
|
| |||||||
Total Loan Agreements | 995,000 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 34.2% |
| |||||||
ABN Amro Mortgage Corporation | ||||||||
6.66%, 06/25/33 IOW† | 3,180 | 24 | ||||||
Aire Valley Mortgages PLC | ||||||||
0.49%, 09/20/66 144A† | 152,888 | 139,078 |
Par | Value | |||||||
0.51%, 09/20/66 144A† | $ | 365,922 | $ | 339,576 | ||||
0.61%, 09/20/66† | 426,113 | 400,717 | ||||||
Alternative Loan Trust | ||||||||
5.50%, 10/25/33 | 95,413 | 100,724 | ||||||
0.51%, 11/20/35† | 838,327 | 623,216 | ||||||
0.53%, 11/20/35† | 1,609,814 | 1,175,064 | ||||||
0.46%, 01/25/36† | 474,674 | 405,509 | ||||||
0.38%, 09/25/46† | 1,076,532 | 749,929 | ||||||
American Home Mortgage | ||||||||
1.10%, 11/25/46† | 1,152,164 | 632,850 | ||||||
Banc of America Commercial Mortgage Trust | ||||||||
5.89%, 07/10/44† | 900,000 | 998,194 | ||||||
5.95%, 05/10/45† | 30,000 | 32,589 | ||||||
5.42%, 09/10/45† | 117,000 | 125,679 | ||||||
5.80%, 04/10/49† | 75,000 | 82,428 | ||||||
Banc of America Mortgage 2004-F Trust | ||||||||
2.66%, 07/25/34† | 178,665 | 177,558 | ||||||
Banc of America Re-REMIC Trust | ||||||||
5.67%, 02/17/51 144A† | 100,000 | 111,245 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
2.68%, 02/25/33† | 28,501 | 28,637 | ||||||
5.23%, 05/25/34† | 82,730 | 79,097 | ||||||
2.60%, 03/25/35† | 831,601 | 819,606 | ||||||
Bear Stearns Alt-A Trust | ||||||||
2.71%, 05/25/35† | 474,937 | 469,235 | ||||||
Bear Stearns Commercial Mortgage Securities Trust | ||||||||
5.90%, 06/11/40† | 110,000 | 122,169 | ||||||
5.92%, 06/11/50† | 120,000 | 133,693 | ||||||
Bear Stearns Structured Products, | ||||||||
2.64%, 01/26/36† | 1,181,003 | 890,349 | ||||||
Berica ABS Srl | ||||||||
0.52%, 12/30/55(E)† | 2,200,000 | 2,716,141 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
2.88%, 02/19/34† | 873,862 | 856,746 | ||||||
0.43%, 03/25/36† | 341,078 | 273,924 | ||||||
Citigroup Global/Royal Bank of Scotland PLC | ||||||||
3.37%, 03/01/35+ | 100,000 | 95,896 | ||||||
COBALT CMBS Commercial Mortgage Trust | ||||||||
5.53%, 04/15/47† | 60,000 | 65,942 | ||||||
COMM 2006-C8 Mortgage Trust | ||||||||
5.31%, 12/10/46 | 500,000 | 551,610 | ||||||
Commercial Mortgage | ||||||||
5.38%, 02/15/40 | 1,550,000 | 1,668,017 | ||||||
2.82%, 11/15/45 | 30,000 | 27,859 | ||||||
5.62%, 01/15/49† | 203,000 | 215,647 | ||||||
Commercial Mortgage Trust | ||||||||
6.06%, 07/10/38† | 177,000 | 193,399 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
0.00%, 07/25/33 IOW† | 116,651 | — | ||||||
6.36%, 07/25/33 IOW† | 25,010 | 1,322 | ||||||
0.00%, 08/25/33 IOW† | 142,473 | — |
See Notes to Financial Statements.
72
Table of Contents
Par | Value | |||||||
DBUBS 2011-LC3 Mortgage Trust | ||||||||
0.00%, 08/10/44 IO 144AW† | $ | 1,267,496 | $ | 50,853 | ||||
Extended Stay America Trust | ||||||||
2.96%, 12/05/31 144A | 100,000 | 97,056 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
7.00%, 11/01/14 | 2,187 | 2,248 | ||||||
7.00%, 04/01/15 | 4,525 | 4,651 | ||||||
7.00%, 12/01/15 | 4,278 | 4,312 | ||||||
8.50%, 06/01/18 | 2,624 | 2,854 | ||||||
4.50%, 09/01/18 | 8,394 | 8,814 | ||||||
8.00%, 08/01/24 | 1,970 | 2,268 | ||||||
4.00%, 10/01/25 | 730,951 | 766,134 | ||||||
7.50%, 11/01/29 | 7,074 | 8,424 | ||||||
7.50%, 12/01/29 | 11,194 | 13,322 | ||||||
7.50%, 02/01/31 | 23,587 | 26,624 | ||||||
2.36%, 07/01/31† | 25,721 | 26,079 | ||||||
2.36%, 08/01/31† | 3,302 | 3,321 | ||||||
7.50%, 11/01/31 | 9,525 | 9,681 | ||||||
2.73%, 04/01/32† | 2,884 | 3,083 | ||||||
5.00%, 10/01/33 | 12,039 | 12,931 | ||||||
2.49%, 03/01/34† | 4,048 | 4,316 | ||||||
5.00%, 12/01/34 | 30,677 | 32,877 | ||||||
5.50%, 05/01/35 | 549,713 | 595,296 | ||||||
5.00%, 07/01/35 | 15,452 | 16,560 | ||||||
5.00%, 08/01/35 | 209,296 | 223,816 | ||||||
5.00%, 11/01/35 | 579,404 | 619,600 | ||||||
5.50%, 11/01/35 | 105,475 | 113,966 | ||||||
5.00%, 12/01/35 | 39,146 | 43,325 | ||||||
5.50%, 01/01/36 | 64,339 | 69,695 | ||||||
6.00%, 02/01/36 | 791,598 | 868,274 | ||||||
3.12%, 01/01/37† | 673,678 | 713,288 | ||||||
5.00%, 02/01/37 | 89,112 | 95,004 | ||||||
5.50%, 07/01/37 | 143,220 | 154,386 | ||||||
2.30%, 09/01/37† | 60,942 | 64,435 | ||||||
5.00%, 03/01/38 | 12,335 | 13,162 | ||||||
5.50%, 04/01/38 | 43,756 | 47,007 | ||||||
5.00%, 12/01/38 | 3,116 | 3,322 | ||||||
5.00%, 02/01/39 | 6,317 | 6,734 | ||||||
4.50%, 06/01/39 | 369,294 | 388,823 | ||||||
6.50%, 09/01/39 | 147,711 | 166,151 | ||||||
4.50%, 03/01/41 | 12,082 | 12,759 | ||||||
5.00%, 06/01/41 | 15,753 | 16,986 | ||||||
4.00%, 10/01/42 | 98,288 | 103,030 | ||||||
3.50%, 11/01/42 | 791,316 | 793,682 | ||||||
3.50%, 12/01/42 | 99,093 | 99,391 | ||||||
3.50%, 01/01/43 | 595,252 | 597,033 | ||||||
3.50%, 02/01/43 | 397,492 | 398,685 | ||||||
3.50%, 04/01/43 | 198,698 | 200,036 | ||||||
7.00%, 04/01/43 | 92,552 | 105,822 | ||||||
3.50%, 05/01/43 | 792,900 | 805,629 | ||||||
4.00%, 05/01/43 | 99,867 | 105,438 | ||||||
4.00%, 06/01/43 | 100,000 | 105,578 | ||||||
4.00%, 07/01/43 | 400,000 | 422,064 | ||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||
0.00%, 04/15/22 POW† | 9,737 | 9,479 | ||||||
0.00%, 09/15/31 IOW† | 894,387 | 113,352 | ||||||
6.00%, 05/15/36 | 763,986 | 829,918 | ||||||
0.69%, 06/15/37† | 682,017 | 687,455 | ||||||
0.00%, 07/15/37 IOW† | 3,561,276 | 545,021 |
Par | Value | |||||||
0.00%, 04/15/39 IOW† | $ | 751,239 | $ | 154,081 | ||||
0.00%, 09/15/39 IOW† | 368,991 | 78,260 | ||||||
0.00%, 01/15/40 IOW† | 896,307 | 119,137 | ||||||
0.00%, 05/15/40 IOW† | 298,671 | 72,245 | ||||||
0.00%, 10/15/41 IOW† | 454,428 | 114,092 | ||||||
0.00%, 11/15/41 IOW† | 444,661 | 99,200 | ||||||
0.00%, 06/15/42 IOW† | 378,692 | 88,502 | ||||||
0.00%, 07/15/42 IOW† | 94,680 | 23,455 | ||||||
0.00%, 08/15/42 IOW† | 568,433 | 132,565 | ||||||
0.00%, 10/15/42 IOW† | 863,632 | 204,671 | ||||||
0.00%, 11/15/42 IOW† | 291,547 | 74,318 | ||||||
0.00%, 12/15/42 IOW† | 196,150 | 52,234 | ||||||
0.00%, 01/15/43 IOW† | 390,742 | 89,020 | ||||||
0.00%, 05/15/43 IOW† | 498,469 | 133,374 | ||||||
Federal Home Loan Mortgage Corporation STRIP | ||||||||
0.00%, 12/15/27 IOW†@ | 811,546 | 84,515 | ||||||
Federal Housing Administration | ||||||||
8.70%, 10/01/18 | 58,816 | 60,309 | ||||||
Federal National Mortgage Association | ||||||||
8.00%, 06/01/15 | 7,655 | 7,909 | ||||||
8.00%, 07/01/15 | 4,334 | 4,352 | ||||||
8.00%, 09/01/15 | 7,295 | 7,620 | ||||||
3.07%, 12/01/17 | 959,052 | 1,014,847 | ||||||
5.00%, 12/01/17 | 20,921 | 22,324 | ||||||
2.80%, 03/01/18 | 573,774 | 599,684 | ||||||
3.74%, 05/01/18 | 1,360,243 | 1,471,898 | ||||||
3.84%, 05/01/18 | 420,000 | 457,139 | ||||||
4.51%, 06/01/19 | 1,000,000 | 1,096,204 | ||||||
3.42%, 10/01/20 | 289,414 | 304,505 | ||||||
3.63%, 12/01/20 | 193,155 | 205,008 | ||||||
4.37%, 06/01/21 | 693,485 | 763,535 | ||||||
9.50%, 05/01/22 | 1,332 | 1,494 | ||||||
2.21%, 07/01/22† | 7,155 | 7,193 | ||||||
5.50%, 09/01/23 | 163,549 | 176,125 | ||||||
5.50%, 10/01/23 | 32,291 | 34,862 | ||||||
9.50%, 07/01/24 | 2,441 | 2,760 | ||||||
5.50%, 05/01/25 | 1,001,892 | 1,061,389 | ||||||
3.50%, 07/01/26 TBA | 4,000,000 | 4,166,250 | ||||||
2.22%, 07/01/27† | 20,880 | 21,490 | ||||||
2.50%, 07/01/27 TBA | 7,000,000 | 7,040,468 | ||||||
3.00%, 07/16/27 TBA | 2,000,000 | 2,057,188 | ||||||
2.27%, 08/01/27† | 40,428 | 43,040 | ||||||
2.50%, 10/01/27 | 3,676,862 | 3,702,812 | ||||||
2.22%, 11/01/27† | 29,328 | 30,193 | ||||||
2.50%, 12/01/27 | 942,234 | 948,884 | ||||||
5.50%, 04/01/29 | 181 | 198 | ||||||
2.76%, 02/01/30† | 119,546 | 128,058 | ||||||
2.51%, 06/01/30† | 17,183 | 17,432 | ||||||
8.00%, 10/01/30 | 27,835 | 33,549 | ||||||
2.68%, 12/01/30† | 6,483 | 6,947 | ||||||
2.22%, 01/01/31† | 7,235 | 7,280 | ||||||
4.50%, 04/01/31 | 185,863 | 196,859 | ||||||
2.32%, 05/01/31† | 15,500 | 15,821 | ||||||
4.50%, 05/01/31 | 616,757 | 660,281 | ||||||
4.50%, 06/01/31 | 186,027 | 199,163 | ||||||
4.50%, 11/01/31 | 246,782 | 262,639 | ||||||
6.00%, 11/01/31 | 5,415 | 5,964 | ||||||
4.50%, 12/01/31 | 336,450 | 358,480 | ||||||
6.00%, 01/01/32 | 67,282 | 74,119 | ||||||
6.00%, 03/01/32 | 20,440 | 22,502 | ||||||
6.00%, 04/01/32 | 265,262 | 292,192 | ||||||
2.22%, 06/01/32† | 8,756 | 8,952 |
See Notes to Financial Statements.
73
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
2.21%, 08/01/32† | $ | 17,733 | $ | 18,650 | ||||
2.25%, 02/01/33† | 2,909 | 2,936 | ||||||
2.21%, 05/01/33† | 50,489 | 52,922 | ||||||
6.00%, 05/01/33 | 563 | 613 | ||||||
5.00%, 07/01/33 | 95,775 | 103,611 | ||||||
5.00%, 08/01/33 | 7,051 | 7,742 | ||||||
5.00%, 09/01/33 | 873,127 | 944,560 | ||||||
5.50%, 09/01/33 | 12,685 | 13,931 | ||||||
5.00%, 12/01/33 | 707,095 | 764,948 | ||||||
6.00%, 12/01/33 | 969 | 1,068 | ||||||
5.50%, 02/01/34 | 5,141 | 5,674 | ||||||
5.50%, 04/01/34 | 865 | 968 | ||||||
5.50%, 08/01/34 | 7,052 | 7,851 | ||||||
5.50%, 10/01/34 | 309 | 344 | ||||||
6.00%, 10/01/34 | 32,196 | 34,982 | ||||||
5.50%, 11/01/34 | 5,010 | 5,493 | ||||||
2.29%, 12/01/34† | 179,644 | 189,533 | ||||||
5.50%, 12/01/34 | 37,621 | 41,581 | ||||||
6.00%, 12/01/34 | 711 | 783 | ||||||
6.00%, 05/01/35 | 1,513,341 | 1,662,827 | ||||||
5.00%, 07/01/35 | 558,770 | 603,292 | ||||||
5.50%, 07/01/35 | 366 | 409 | ||||||
6.00%, 07/01/35 | 376,747 | 414,746 | ||||||
5.50%, 08/01/35 TBA | 2,000,000 | 2,170,938 | ||||||
5.50%, 08/01/35 | 685 | 744 | ||||||
6.00%, 08/01/35 | 200 | 219 | ||||||
5.50%, 09/01/35 | 164,619 | 179,776 | ||||||
5.00%, 10/01/35 | 306,141 | 331,189 | ||||||
6.00%, 10/01/35 | 62,987 | 69,210 | ||||||
2.11%, 11/01/35† | 107,550 | 113,056 | ||||||
2.13%, 11/01/35† | 197,804 | 208,203 | ||||||
2.14%, 11/01/35† | 143,520 | 150,901 | ||||||
2.15%, 11/01/35† | 129,753 | 136,420 | ||||||
2.22%, 11/01/35† | 18,218 | 18,756 | ||||||
6.00%, 11/01/35 | 760,996 | 837,717 | ||||||
5.50%, 12/01/35 | 3,252 | 3,633 | ||||||
6.00%, 12/01/35 | 14,977 | 16,589 | ||||||
6.00%, 02/01/36 | 9,655 | 10,717 | ||||||
6.00%, 03/01/36 | 10,136 | 11,015 | ||||||
5.50%, 04/01/36 | 118,597 | 127,115 | ||||||
6.00%, 04/01/36 | 14,819 | 16,468 | ||||||
3.85%, 05/01/36† | 175,379 | 185,485 | ||||||
5.50%, 11/01/36 | 320,642 | 347,866 | ||||||
6.00%, 01/01/37 | 2,747 | 2,985 | ||||||
1.88%, 02/01/37† | 786,447 | 821,466 | ||||||
5.50%, 02/01/37 | 429 | 470 | ||||||
5.50%, 03/01/37 | 18,407 | 20,075 | ||||||
5.50%, 04/01/37 | 656 | 719 | ||||||
5.50%, 05/01/37 | 766 | 832 | ||||||
5.50%, 06/01/37 | 366 | 403 | ||||||
6.00%, 06/01/37 | 406 | 441 | ||||||
6.00%, 07/01/37 | 2,892,672 | 3,211,469 | ||||||
6.50%, 10/01/37 | 208,706 | 235,271 | ||||||
7.00%, 10/01/37 | 21,591 | 25,111 | ||||||
7.00%, 11/01/37 | 11,185 | 13,009 | ||||||
2.22%, 12/01/37† | 74,235 | 77,314 | ||||||
7.00%, 12/01/37 | 11,811 | 13,737 | ||||||
2.22%, 01/01/38† | 43,709 | 45,460 | ||||||
5.50%, 02/01/38 | 438 | 482 | ||||||
7.00%, 02/01/38 | 13,961 | 16,253 | ||||||
4.50%, 03/01/38 | 22,674 | 23,982 | ||||||
5.50%, 03/01/38 | 1,040 | 1,147 | ||||||
6.00%, 03/01/38 | 2,294 | 2,504 |
Par | Value | |||||||
4.50%, 04/01/38 | $ | 815,579 | $ | 862,626 | ||||
6.00%, 04/01/38 | 819 | 889 | ||||||
5.50%, 05/01/38 | 256 | 279 | ||||||
5.50%, 06/01/38 | 1,328 | 1,452 | ||||||
5.00%, 07/01/38 TBA | 1,000,000 | 1,076,172 | ||||||
5.50%, 07/01/38 | 168,432 | 184,229 | ||||||
5.50%, 08/01/38 | 257,751 | 284,017 | ||||||
7.00%, 08/01/38 | 15,668 | 18,240 | ||||||
5.50%, 09/01/38 | 756 | 827 | ||||||
7.00%, 11/01/38 | 93,476 | 108,822 | ||||||
5.50%, 12/01/38 | 606 | 664 | ||||||
7.00%, 02/01/39 | 40,853 | 45,046 | ||||||
4.00%, 07/13/39 TBA | 5,000,000 | 5,208,789 | ||||||
4.00%, 08/13/39 TBA | 2,000,000 | 2,079,141 | ||||||
6.00%, 12/01/39 | 1,471,618 | 1,599,275 | ||||||
1.57%, 06/01/40† | 67,263 | 69,850 | ||||||
4.50%, 07/01/40 TBA | 2,000,000 | 2,116,250 | ||||||
4.50%, 08/01/40 | 148,904 | 157,696 | ||||||
4.00%, 09/01/40 | 492,280 | 513,097 | ||||||
1.57%, 10/01/40† | 204,269 | 212,146 | ||||||
4.00%, 10/01/40 | 14,736 | 15,359 | ||||||
2.22%, 11/01/40† | 32,172 | 33,176 | ||||||
4.00%, 11/01/40 | 69,044 | 71,964 | ||||||
4.00%, 12/01/40 | 538,907 | 561,697 | ||||||
4.50%, 01/01/41 | 1,480,344 | 1,568,659 | ||||||
4.50%, 02/01/41 | 795,325 | 843,286 | ||||||
4.00%, 03/01/41 | 31,111 | 32,456 | ||||||
4.50%, 04/01/41 | 207,453 | 219,963 | ||||||
4.50%, 06/01/41 | 978,807 | 1,037,119 | ||||||
3.50%, 07/01/41 TBA | 29,900,000 | 30,353,170 | ||||||
4.00%, 08/01/41 | 23,232 | 24,237 | ||||||
4.50%, 08/01/41 | 177,911 | 188,640 | ||||||
4.00%, 09/01/41 | 18,070 | 18,851 | ||||||
4.50%, 09/01/41 | 1,284,122 | 1,361,123 | ||||||
4.50%, 10/01/41 | 46,234 | 49,022 | ||||||
4.00%, 11/01/41 | 1,027,160 | 1,071,560 | ||||||
4.50%, 11/01/41 | 651,583 | 695,219 | ||||||
4.00%, 12/01/41 | 910,000 | 949,335 | ||||||
4.00%, 01/01/42 | 19,351 | 20,228 | ||||||
4.50%, 04/01/42 | 149,213 | 159,875 | ||||||
5.00%, 05/01/42+ | 271,389 | 295,374 | ||||||
4.00%, 06/01/42 | 1,102,894 | 1,153,378 | ||||||
3.00%, 07/01/42 TBA | 18,200,000 | 17,781,968 | ||||||
3.00%, 07/12/42 TBA | 15,000,000 | 14,655,468 | ||||||
3.00%, 08/01/42 TBA | 9,000,000 | 8,769,375 | ||||||
2.50%, 10/01/42 | 679,360 | 632,251 | ||||||
3.50%, 10/01/42 | 1,861,122 | 1,869,264 | ||||||
4.00%, 10/01/42 | 392,524 | 404,971 | ||||||
3.50%, 12/01/42 | 591,026 | 592,712 | ||||||
4.00%, 12/01/42 | 288,073 | 305,697 | ||||||
2.50%, 01/01/43 | 2,956,315 | 2,751,314 | ||||||
3.00%, 01/01/43 | 425,263 | 407,926 | ||||||
2.50%, 02/01/43 | 4,949,832 | 4,606,593 | ||||||
3.00%, 03/01/43 | 24,109 | 23,596 | ||||||
3.50%, 03/01/43 | 297,273 | 298,122 | ||||||
3.50%, 04/01/43 | 1,292,662 | 1,296,359 | ||||||
4.00%, 04/01/43 | 99,542 | 104,511 | ||||||
2.50%, 05/01/43 | 999,999 | 930,656 | ||||||
3.00%, 05/01/43 | 997,189 | 975,650 | ||||||
3.50%, 05/01/43 | 99,597 | 99,882 | ||||||
4.00%, 05/01/43 | 398,007 | 417,964 | ||||||
3.00%, 06/01/43 | 98,547 | 96,447 | ||||||
4.00%, 06/01/43 | 999,657 | 1,050,435 | ||||||
2.50%, 07/01/43 TBA | 200,000 | 185,812 |
See Notes to Financial Statements.
74
Table of Contents
Par | Value | |||||||
3.00%, 07/01/43 | $ | 848,440 | $ | 830,356 | ||||
4.00%, 07/01/43 | 1,000,000 | 1,052,657 | ||||||
Federal National Mortgage Association Interest STRIP | ||||||||
0.00%, 04/25/27 IO W† | 784,410 | 94,558 | ||||||
0.00%, 11/25/39 IO W† | 183,287 | 21,343 | ||||||
0.00%, 11/25/41 IO W† | 416,626 | 52,921 | ||||||
0.00%, 04/25/42 IO W† | 1,070,457 | 129,511 | ||||||
3.56%, 04/25/42 IOW†@ | 371,046 | 64,813 | ||||||
Federal National Mortgage | ||||||||
0.00%, 08/25/21 IOW† | 90 | 1,596 | ||||||
0.00%, 10/25/21 IOW† | 140 | 2,772 | ||||||
0.00%, 07/25/27 IOW† | 2,118,380 | 272,458 | ||||||
0.79%, 05/25/30† | 195,355 | 195,530 | ||||||
0.64%, 10/18/30† | 25,672 | 25,707 | ||||||
0.00%, 08/25/36 IOW† | 2,186,245 | 302,019 | ||||||
0.00%, 03/25/37 IOW† | 2,292,846 | 376,065 | ||||||
0.00%, 11/25/37 IOW† | 24,090 | 3,765 | ||||||
0.00%, 03/25/39 IOW† | 762,098 | 169,830 | ||||||
0.00%, 05/25/39 IOW† | 285,461 | 59,466 | ||||||
6.50%, 06/25/39 | 84,903 | 94,673 | ||||||
0.00%, 07/25/39 IOW† | 256,262 | 55,073 | ||||||
0.00%, 07/25/40 IOW† | 580,240 | 132,322 | ||||||
0.00%, 10/25/40 IOW† | 1,308,417 | 263,476 | ||||||
0.00%, 12/25/40 IOW† | 264,050 | 26,626 | ||||||
0.00%, 01/25/41 IOW† | 413,489 | 68,476 | ||||||
0.00%, 02/25/41 IOW† | 91,840 | 20,185 | ||||||
0.00%, 07/25/41 IOW† | 481,853 | 58,086 | ||||||
5.50%, 07/25/41 | 892,798 | 1,001,353 | ||||||
0.00%, 09/25/41 IOW† | 1,146,496 | 187,989 | ||||||
0.74%, 09/25/41† | 5,814,375 | 5,894,416 | ||||||
0.00%, 10/25/41 IOW† | 1,259,860 | 205,597 | ||||||
0.00%, 03/25/42 IOW† | 963,709 | 170,137 | ||||||
5.50%, 04/25/42 | 1,900,000 | 2,082,780 | ||||||
6.00%, 05/25/42 | 780,588 | 863,172 | ||||||
0.00%, 06/25/42 IOW† | 854,221 | 154,187 | ||||||
0.00%, 07/25/42 IOW† | 171,652 | 40,385 | ||||||
6.50%, 07/25/42 | 1,100,000 | 1,246,467 | ||||||
0.00%, 09/25/42 IOW† | 285,422 | 60,097 | ||||||
0.00%, 10/25/42 IOW† | 290,086 | 74,528 | ||||||
0.00%, 11/25/42 IOW† | 486,719 | 124,900 | ||||||
0.00%, 12/25/42 IOW† | 1,357,360 | 340,416 | ||||||
0.00%, 01/25/43 IOW† | 1,031,540 | 175,441 | ||||||
0.00%, 03/25/43 IOW† | 197,286 | 50,115 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
0.00%, 02/25/18 IOW† | 5,427,651 | 330,043 | ||||||
0.00%, 05/25/18 IOW† | 1,956,919 | 160,076 | ||||||
4.32%, 11/25/19 | 1,100,000 | 1,203,933 | ||||||
0.00%, 01/25/20 IOW† | 3,808,852 | 209,508 | ||||||
0.00%, 04/25/20 IOW† | 2,534,346 | 156,818 | ||||||
0.00%, 06/25/20 IOW† | 2,162,543 | 188,077 | ||||||
0.00%, 08/25/20 IOW† | 1,268,747 | 96,394 | ||||||
0.00%, 07/25/21 IOW† | 1,432,456 | 148,562 | ||||||
0.00%, 10/25/21 IOW† | 903,451 | 92,194 | ||||||
0.00%, 12/25/21 IOW† | 740,889 | 69,031 | ||||||
0.00%, 09/25/22 IOW† | 149,661 | 9,546 | ||||||
2.52%, 01/25/23 | 1,100,000 | 1,038,189 | ||||||
2.63%, 01/25/23 | 1,800,000 | 1,714,630 | ||||||
FHLMC Multifamily VRD | ||||||||
5.50%, 08/15/51 STEP | 3,500,000 | 3,810,342 |
Par | Value | |||||||
FHLMC Structured | ||||||||
1.57%, 07/25/44† | $ | 1,417,154 | $ | 1,454,930 | ||||
First Horizon Alternative | ||||||||
2.33%, 06/25/34† | 698,278 | 684,978 | ||||||
FREMF Mortgage Trust | ||||||||
4.02%, 11/25/44 144A | 300,000 | 291,619 | ||||||
3.88%, 01/25/47 144A | 225,000 | 206,370 | ||||||
Government National Mortgage Association | ||||||||
3.95%, 07/15/25 | 163,329 | 170,919 | ||||||
7.00%, 10/15/25 | 13,189 | 15,290 | ||||||
7.00%, 01/15/26 | 5,710 | 6,642 | ||||||
7.00%, 07/15/27 | 78,207 | 91,668 | ||||||
2.50%, 09/15/27 | 2,838,652 | 2,869,458 | ||||||
7.00%, 12/15/27 | 1,345 | 1,569 | ||||||
7.00%, 01/15/28 | 16,132 | 16,658 | ||||||
7.00%, 03/15/28 | 103,098 | 117,978 | ||||||
7.00%, 07/15/28 | 15,219 | 17,806 | ||||||
7.50%, 07/15/28 | 13,450 | 13,943 | ||||||
6.50%, 08/15/28 | 7,973 | 9,167 | ||||||
7.00%, 08/15/28 | 22,391 | 26,197 | ||||||
7.50%, 08/15/28 | 10,203 | 11,652 | ||||||
6.50%, 09/15/28 | 33,609 | 38,642 | ||||||
7.00%, 10/15/28 | 39,984 | 46,780 | ||||||
7.50%, 03/15/29 | 29,117 | 35,054 | ||||||
7.50%, 11/15/29 | 21,650 | 22,665 | ||||||
1.63%, 11/20/29† | 49,448 | 51,563 | ||||||
8.50%, 08/15/30 | 2,155 | 2,535 | ||||||
8.50%, 11/20/30 | 12,148 | 14,485 | ||||||
6.50%, 08/15/31 | 56,556 | 63,756 | ||||||
7.50%, 08/15/31 | 16,899 | 19,447 | ||||||
6.50%, 10/15/31 | 103,723 | 116,892 | ||||||
6.00%, 11/15/31 | 315,697 | 350,193 | ||||||
6.50%, 11/15/31 | 204,101 | 230,087 | ||||||
6.00%, 12/15/31 | 70,886 | 78,631 | ||||||
6.00%, 01/15/32 | 136,140 | 152,761 | ||||||
6.00%, 02/15/32 | 241,049 | 267,389 | ||||||
6.50%, 02/15/32 | 206,411 | 231,758 | ||||||
6.00%, 04/15/32 | 91,845 | 103,110 | ||||||
7.50%, 04/15/32 | 72,893 | 76,376 | ||||||
6.50%, 06/15/32 | 110,838 | 124,950 | ||||||
6.50%, 07/15/32 | 2,070 | 2,334 | ||||||
6.50%, 08/15/32 | 248,873 | 280,559 | ||||||
6.50%, 09/15/32 | 244,026 | 275,094 | ||||||
6.00%, 10/15/32 | 168,908 | 187,365 | ||||||
6.00%, 11/15/32 | 152,195 | 169,461 | ||||||
6.00%, 12/15/32 | 72,992 | 80,968 | ||||||
6.50%, 12/15/32 | 22,008 | 24,810 | ||||||
6.00%, 01/15/33 | 91,899 | 101,941 | ||||||
6.00%, 02/15/33 | 69,912 | 77,552 | ||||||
6.50%, 04/15/33 | 491,004 | 553,517 | ||||||
6.00%, 05/15/33 | 408,320 | 452,937 | ||||||
6.00%, 06/15/33 | 22,328 | 24,768 | ||||||
6.00%, 10/15/33 | 182,297 | 202,217 | ||||||
6.50%, 10/15/33 | 165,850 | 186,965 | ||||||
6.00%, 12/15/33 | 380,541 | 422,123 | ||||||
6.50%, 08/15/34 | 444,993 | 523,650 | ||||||
0.00%, 02/16/36 IOW† | 656,356 | 93,838 | ||||||
0.00%, 12/16/36 IOW† | 212,224 | 29,434 | ||||||
0.49%, 03/20/37† | 1,148,407 | 1,152,173 | ||||||
0.00%, 05/20/37 IOW† | 479,449 | 67,804 | ||||||
0.49%, 05/20/37† | 514,668 | 515,549 |
See Notes to Financial Statements.
75
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
0.00%, 02/20/38 IOW† | $ | 465,358 | $ | 73,287 | ||||
5.00%, 07/01/38 TBA | 1,000,000 | 1,078,437 | ||||||
6.00%, 09/20/38 | 801,435 | 886,239 | ||||||
0.00%, 11/20/38 IOW† | 293,755 | 40,521 | ||||||
0.00%, 03/20/39 IOW† | 165,497 | 27,826 | ||||||
0.00%, 01/20/40 IOW† | 201,257 | 42,775 | ||||||
0.00%, 02/16/40 IOW† | 200,428 | 40,388 | ||||||
4.50%, 03/15/40 | 366,908 | 392,477 | ||||||
5.00%, 07/20/40 | 53,691 | 59,195 | ||||||
0.00%, 09/20/40 IOW† | 795,301 | 129,574 | ||||||
5.00%, 09/20/40 | 208,826 | 228,370 | ||||||
6.00%, 10/20/40 | 92,547 | 102,969 | ||||||
6.00%, 01/20/41 | 115,063 | 128,075 | ||||||
0.00%, 03/16/41 IOW† | 79,150 | 8,446 | ||||||
4.50%, 04/20/41 | 1,062,691 | 1,143,740 | ||||||
4.00%, 07/01/41 TBA | 1,100,000 | 1,152,937 | ||||||
0.00%, 11/16/41 IOW† | 159,103 | 32,287 | ||||||
3.00%, 07/01/42 TBA | 2,000,000 | 1,977,813 | ||||||
3.50%, 07/01/42 TBA | 5,200,000 | 5,335,609 | ||||||
3.00%, 07/19/42 TBA | 14,000,000 | 13,840,313 | ||||||
2.50%, 12/15/42 | 941,009 | 880,100 | ||||||
2.50%, 01/15/43 | 476,980 | 445,999 | ||||||
2.50%, 02/15/43 | 1,563,988 | 1,462,404 | ||||||
3.00%, 05/15/43 | 1,162,704 | 1,152,532 | ||||||
3.00%, 06/15/43 | 2,837,296 | 2,811,710 | ||||||
2.50%, 07/01/43 TBA | 1,000,000 | 932,656 | ||||||
3.00%, 07/01/43 TBA | 1,100,000 | 1,087,453 | ||||||
0.60%, 12/20/60† | 468,004 | 464,379 | ||||||
0.68%, 03/20/61† | 540,904 | 539,391 | ||||||
0.70%, 03/20/61† | 361,910 | 361,227 | ||||||
0.55%, 12/20/62† | 1,761,965 | 1,757,862 | ||||||
Granite Master Issuer PLC | ||||||||
0.27%, 12/20/54† | 1,998,730 | 1,937,978 | ||||||
0.32%, 12/20/54(E)† | 238,655 | 302,411 | ||||||
0.33%, 12/20/54† | 477,309 | 462,801 | ||||||
0.34%, 12/20/54(E)† | 29,832 | 37,801 | ||||||
0.73%, 12/20/54(U)† | 536,972 | 795,070 | ||||||
0.81%, 12/20/54(U)† | 59,664 | 88,341 | ||||||
Granite Mortgages PLC | ||||||||
0.59%, 01/20/44(E)† | 173,603 | 220,602 | ||||||
0.88%, 01/20/44(U)† | 52,704 | 78,577 | ||||||
GreenPoint Mortgage | ||||||||
0.37%, 01/25/37† | 998,915 | 661,607 | ||||||
GS Mortgage Securities Corporation Trust | ||||||||
3.55%, 04/10/34 144A | 116,000 | 114,214 | ||||||
GS Mortgage Securities Trust | ||||||||
0.00%, 08/10/44 IO 144AW† | 469,245 | 36,599 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
0.65%, 02/25/35 144A† | 114,590 | 102,119 | ||||||
GSR Mortgage Loan Trust | ||||||||
2.66%, 09/25/35† | 535,225 | 525,786 | ||||||
Impac CMB Trust | ||||||||
0.91%, 10/25/34† | 82,880 | 66,865 | ||||||
0.45%, 11/25/35† | 857,536 | 634,577 | ||||||
IndyMac ARM Trust | ||||||||
1.79%, 01/25/32† | 7,626 | 7,114 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
0.38%, 09/25/46† | 1,107,143 | 878,237 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
0.45%, 01/25/36† | 452,449 | 386,665 |
Par | Value | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
5.44%, 05/15/45 | $ | 158,000 | $ | 172,392 | ||||
5.93%, 02/12/51† | 300,000 | 332,946 | ||||||
6.08%, 02/12/51† | 10,000 | 11,227 | ||||||
JP Morgan Mortgage Trust | ||||||||
4.48%, 02/25/35† | 196,893 | 196,791 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
0.00%, 06/15/36 IO 144AW† | 606,654 | 587 | ||||||
6.42%, 09/15/45† | 70,000 | 78,582 | ||||||
Luminent Mortgage Trust | ||||||||
0.36%, 12/25/36† | 2,566,761 | 1,894,159 | ||||||
0.39%, 02/25/46† | 752,282 | 527,445 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
2.51%, 05/25/34† | 223,654 | 217,195 | ||||||
0.83%, 11/25/34† | 474,664 | 456,782 | ||||||
2.66%, 11/25/35 144A† | 926,984 | 606,398 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
0.81%, 11/25/29† | 311,694 | 297,920 | ||||||
1.66%, 10/25/35† | 76,933 | 74,337 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
0.87%, 04/25/28† | 333,927 | 324,927 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
4.89%, 08/15/45 IO 144AW† | 1,008,687 | 104,046 | ||||||
2.92%, 02/15/46 | 120,000 | 112,350 | ||||||
3.21%, 02/15/46 | 121,000 | 113,371 | ||||||
3.10%, 05/15/46 | 300,000 | 283,530 | ||||||
3.46%, 05/15/46 | 140,000 | 131,223 | ||||||
Morgan Stanley Capital I Trust | ||||||||
5.48%, 02/12/44† | 50,000 | 54,798 | ||||||
Permanent Master Issuer PLC | ||||||||
1.68%, 07/15/42 144A†@ | 1,000,000 | 1,006,194 | ||||||
Prime Mortgage Trust | ||||||||
5.50%, 05/25/35 144A | 3,321,461 | 3,326,974 | ||||||
6.00%, 05/25/35 144A | 2,905,287 | 2,803,981 | ||||||
Radamantis European Loan Conduit No 24 PLC | ||||||||
0.67%, 10/25/15(U)† | 40,201 | 60,151 | ||||||
Reperforming Loan REMIC Trust | ||||||||
0.61%, 11/25/34 144A† | 16,238 | 14,042 | ||||||
0.55%, 03/25/35 144A† | 64,963 | 56,557 | ||||||
Sequoia Mortgage Trust | ||||||||
0.82%, 07/20/33† | 190,844 | 177,892 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
0.53%, 08/25/35† | 315,491 | 284,537 | ||||||
Structured Asset Mortgage Investments II Trust | ||||||||
0.44%, 07/19/35† | 189,201 | 166,756 | ||||||
Structured Asset Securities Corporation | ||||||||
0.54%, 06/25/35 144A† | 188,638 | 151,985 | ||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
3.32%, 12/10/45 144A | 160,000 | 150,544 | ||||||
VNO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/30 144A | 100,000 | 93,221 |
See Notes to Financial Statements.
76
Table of Contents
Par | Value | |||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
5.38%, 12/15/43 | $ | 140,000 | $ | 147,586 | ||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
2.47%, 02/25/33† | 12,765 | 12,449 | ||||||
2.44%, 02/25/37† | 670,309 | 515,702 | ||||||
4.85%, 02/25/37† | 476,093 | 391,239 | ||||||
1.57%, 06/25/42† | 28,361 | 25,820 | ||||||
0.48%, 07/25/45† | 301,863 | 279,063 | ||||||
0.93%, 04/25/47† | 1,130,009 | 974,271 | ||||||
Wells Fargo Alternative Loan Trust | ||||||||
2.88%, 12/28/37† | 1,375,163 | 1,086,816 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
2.70%, 08/25/33† | 352,179 | 352,979 | ||||||
WF-RBS Commercial Mortgage Trust | ||||||||
0.00%, 02/15/44 IO 144AW† | 1,548,131 | 67,274 | ||||||
0.00%, 06/15/45 IO 144AW† | 325,345 | 33,049 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 287,363,115 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.9% | ||||||||
Alameda County Joint Powers Authority, Revenue Bond, Series Z | ||||||||
7.05%, 12/01/44 | 3,300,000 | 3,859,944 | ||||||
American Municipal Power, Inc., Hydroelectric Project, Revenue Bond, Series B | ||||||||
8.08%, 02/15/50 | 300,000 | 399,435 | ||||||
American Municipal Power, Inc., Revenue Bond, Series E | ||||||||
6.27%, 02/15/50 | 250,000 | 266,440 | ||||||
Chicago Transit Authority, Revenue Bond, Series A | ||||||||
6.90%, 12/01/40 | 1,800,000 | 2,091,402 | ||||||
Illinois Finance Authority, University of Chicago, Revenue Bond, Series B | ||||||||
5.75%, 07/01/33 | 1,800,000 | 2,042,298 | ||||||
Los Angeles Community College District, General Obligation | ||||||||
6.75%, 08/01/49 | 300,000 | 374,796 | ||||||
Los Angeles Community College District, General Obligation, Series D | ||||||||
6.68%, 08/01/36 | 300,000 | 380,148 | ||||||
New Jersey State Turnpike Authority, Revenue Bond, | ||||||||
5.00%, 01/01/25 | 200,000 | 222,860 | ||||||
5.00%, 01/01/26 | 400,000 | 437,292 | ||||||
5.00%, 01/01/27 | 400,000 | 428,076 | ||||||
Pennsylvania Higher Education Assistance Agency, Student Loan, Revenue Bond, Sub-Series HH-10 | ||||||||
0.18%, 05/01/46† | 2,075,000 | 2,003,670 | ||||||
Port Authority of New York & New Jersey, Revenue Bond | ||||||||
4.46%, 10/01/62 | 2,800,000 | 2,502,304 |
Par | Value | |||||||
State of California, General Obligation | ||||||||
7.95%, 03/01/36 | $ | 165,000 | $ | 195,972 | ||||
7.55%, 04/01/39 | 385,000 | 515,916 | ||||||
State of Illinois, General Obligation | ||||||||
7.35%, 07/01/35 | 375,000 | 413,591 | ||||||
|
| |||||||
Total Municipal Bonds | 16,134,144 | |||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Call Options — 0.0% | ||||||||
U.S. Dollars vs. Euro, Strike Price $1.30, Expires 07/15/13 (RBS) | 61,600 | 34,915 | ||||||
|
| |||||||
Notional Amount | ||||||||
Put Swaption — 0.1% | ||||||||
3-Month LIBOR, Strike Price $3.45, Expires 09/21/15 (DEUT) | $ | 2,300,000 | 284,611 | |||||
|
| |||||||
Total Purchased Options | 319,526 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATIONS — 27.9% |
| |||||||
U.S. Treasury Bills | ||||||||
0.03%, 08/15/13W | $ | 10,000,000 | 9,999,492 | |||||
0.14%, 05/29/14‡‡ | 27,900,000 | 27,868,790 | ||||||
|
| |||||||
37,868,282 | ||||||||
|
| |||||||
U.S. Treasury Bonds | ||||||||
7.50%, 11/15/24 | 800,000 | 1,187,000 | ||||||
4.38%, 02/15/38D | 400,000 | 468,500 | ||||||
4.38%, 05/15/40 | 300,000 | 351,938 | ||||||
3.88%, 08/15/40D‡‡ | 2,400,000 | 2,595,000 | ||||||
3.13%, 11/15/41D | 500,000 | 468,867 | ||||||
3.13%, 02/15/42 | 500,000 | 468,242 | ||||||
3.00%, 05/15/42D | 1,500,000 | 1,367,696 | ||||||
2.75%, 08/15/42D | 6,848,000 | 5,912,282 | ||||||
2.75%, 11/15/42D | 2,926,600 | 2,523,964 | ||||||
3.13%, 02/15/43 | 4,890,000 | 4,565,656 | ||||||
2.88%, 05/15/43D | 3,990,000 | 3,531,772 | ||||||
|
| |||||||
23,440,917 | ||||||||
|
| |||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
2.00%, 01/15/14D | 2,250,000 | 2,872,977 | ||||||
1.25%, 04/15/14D | 3,300,000 | 3,678,082 | ||||||
1.13%, 01/15/21 | 4,700,000 | 5,349,842 | ||||||
0.13%, 01/15/22 | 6,600,000 | 6,650,243 | ||||||
0.13%, 07/15/22D | 2,600,000 | 2,573,429 | ||||||
0.13%, 01/15/23 | 2,000,000 | 1,955,672 | ||||||
2.13%, 02/15/40 | 950,000 | 1,245,110 | ||||||
2.13%, 02/15/41D | 1,700,000 | 2,204,085 | ||||||
0.75%, 02/15/42 | 300,000 | 272,765 | ||||||
0.63%, 02/15/43 | 1,780,000 | 1,519,287 | ||||||
|
| |||||||
28,321,492 | ||||||||
|
|
See Notes to Financial Statements.
77
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
U.S. Treasury Notes | ||||||||
1.25%, 03/15/14 | $ | 7,800,000 | $ | 7,860,785 | ||||
0.25%, 04/30/14 | 3,400,000 | 3,402,458 | ||||||
1.00%, 05/15/14 | 3,900,000 | 3,927,877 | ||||||
0.25%, 05/31/14D | 7,400,000 | 7,404,773 | ||||||
0.25%, 08/31/14 | 7,400,000 | 7,403,611 | ||||||
0.25%, 11/30/14 | 7,600,000 | 7,602,227 | ||||||
0.13%, 12/31/14‡‡ | 4,400,000 | 4,392,353 | ||||||
0.25%, 02/15/15D | 2,100,000 | 2,098,933 | ||||||
0.25%, 03/31/15 | 19,600,000 | 19,579,714 | ||||||
0.75%, 10/31/17D | 3,130,000 | 3,071,435 | ||||||
0.75%, 03/31/18 | 2,740,000 | 2,667,111 | ||||||
2.88%, 03/31/18 | 900,000 | 965,355 | ||||||
0.63%, 04/30/18D | 1,530,000 | 1,478,720 | ||||||
1.00%, 05/31/18D | 70,000 | 68,802 | ||||||
1.25%, 06/30/18 | 1,600,000 | 1,599,250 | ||||||
1.13%, 04/30/20D | 9,080,000 | 8,635,934 | ||||||
1.38%, 05/31/20D | 7,660,000 | 7,393,394 | ||||||
1.88%, 06/30/20 | 4,880,000 | 4,862,271 | ||||||
2.63%, 08/15/20 | 500,000 | 522,636 | ||||||
2.63%, 11/15/20 | 2,500,000 | 2,605,567 | ||||||
2.13%, 08/15/21D | 14,900,000 | 14,842,963 | ||||||
2.00%, 11/15/21‡‡ | 19,200,000 | 18,872,256 | ||||||
2.00%, 02/15/22D | 6,000,000 | 5,869,686 | ||||||
1.75%, 05/15/22D | 4,000,000 | 3,814,844 | ||||||
2.00%, 02/15/23D | 500,000 | 481,250 | ||||||
1.75%, 05/15/23D | 3,530,000 | 3,306,343 | ||||||
|
| |||||||
144,730,548 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | 234,361,239 | |||||||
|
| |||||||
Shares | ||||||||
PREFERRED STOCKS — 0.4% |
| |||||||
GMAC Capital Trust I, 8.125%, 02/15/40 | 23,879 | 622,048 | ||||||
Wells Fargo & Co., 7.50% | 2,400 | 2,865,600 | ||||||
|
| |||||||
Total Preferred Stocks | 3,487,648 | |||||||
|
| |||||||
Par | ||||||||
REPURCHASE AGREEMENTS — 5.1% |
| |||||||
Citigroup Global Markets, Inc. 0.10% (dated 07/01/13, due 07/02/13, repurchase price $11,100,031, collateralized by U.S. Treasury Note, 0.375%, due 01/15/16, total market value $11,331,710) | $ | 11,100,000 | 11,100,000 | |||||
0.12% (dated 06/28/13, due 07/01/13, repurchase price $5,400,054, collateralized by U.S. Treasury Note, 0.250%, due 08/15/15, total market value $5,509,787) | 5,400,000 | 5,400,000 |
Par | Value | |||||||
JPMorgan Securities LLC 0.11% (dated 07/01/13, due 07/02/13, repurchase price $2,000,006, collateralized by Federal Home Loan Mortgage Corporation, 2.205%, due 12/05/22, total market value $2,034,703) | $ | 2,000,000 | $ | 2,000,000 | ||||
JPMorgan Securities, Inc. 0.15% (dated 06/28/13, due 07/01/13, repurchase price $2,000,025, collateralized by Federal Home Loan Mortgage Corporation, 2.205%, due 12/05/22, total market value $2,034,703) | 2,000,000 | 2,000,000 | ||||||
Morgan Stanley & Co. LLC 0.15% (dated 06/28/13, due 07/01/13, repurchase price $11,000,138, collateralized by U.S. Treasury Bond, 4.625%, due 02/15/40, total market value $11,293,365) | 11,000,000 | 11,000,000 | ||||||
0.16% (dated 06/28/13, due 07/01/13, repurchase price $5,500,073, collateralized by Federal Home Loan Bank, 0.950%, due 01/25/18, total market value $5,616,862) | 5,500,000 | 5,500,000 | ||||||
Morgan Stanley & Co., Inc. 0.11% (dated 07/01/13, due 07/02/13, repurchase price $4,500,014, collateralized by Federal National Mortgage Association, 1.050%, due 01/30/18, total market value $4,646,168) | 4,500,000 | 4,500,000 | ||||||
0.15% (dated 07/01/13, due 07/02/13, repurchase price $1,000,003, collateralized by Federal National Mortgage Association, 1.330%, due 10/24/19, total market value $1,015,299) | 1,000,000 | 1,000,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 42,500,000 | |||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUNDS — 23.1% |
| |||||||
GuideStone Money Market Fund | 99,684,575 | 99,684,575 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 94,512,041 | 94,512,041 | ||||||
|
| |||||||
Total Money Market Funds | 194,196,616 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 131.8% |
| 1,106,419,992 | ||||||
|
|
See Notes to Financial Statements.
78
Table of Contents
Number of Contracts | Value | |||||||
WRITTEN OPTIONS — (0.2)% | ||||||||
Call Options — 0.0% | ||||||||
10-Year U.S. Treasury Note, Strike Price $128.00, Expires 07/27/13 (DEUT) | (16 | ) | $ | (6,000 | ) | |||
|
| |||||||
Notional Amount | ||||||||
Call Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price $1.80, Expires 07/29/13 (MSCS) | $ | (600,000 | ) | (2 | ) | |||
3-Month LIBOR, Strike Price $1.80, Expires 07/29/13 (BAR) | (1,400,000 | ) | (5 | ) | ||||
3-Month LIBOR, Strike Price $1.80, Expires 07/29/13 (BAR) | (1,900,000 | ) | (6 | ) | ||||
3-Month LIBOR, Strike Price $1.80, Expires 07/29/13 (RBS) | (2,300,000 | ) | (8 | ) | ||||
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| |||||||
(21 | ) | |||||||
|
| |||||||
Number of Contracts | ||||||||
Put Options — 0.0% | ||||||||
10-Year U.S. Treasury Note, Strike Price $124.00, Expires 07/27/13 (RBS) | (16 | ) | (4,500 | ) | ||||
|
| |||||||
Notional Amount | ||||||||
Put Swaptions — (0.2)% | ||||||||
3-Month LIBOR, Strike Price $1.25, Expires 09/03/13 (CS) | $ | (8,200,000 | ) | (175,892 | ) | |||
3-Month LIBOR, Strike Price $1.25, Expires 09/04/13 (GSC) | (1,300,000 | ) | (27,885 | ) | ||||
3-Month LIBOR, Strike Price $1.40, Expires 09/03/13 (GSC) | (9,800,000 | ) | (154,338 | ) | ||||
3-Month LIBOR, Strike Price $1.50, Expires 10/28/13 (DEUT) | (37,100,000 | ) | (656,914 | ) | ||||
3-Month LIBOR, Strike Price $2.50, Expires 09/21/15 (BAR) | (9,700,000 | ) | (375,596 | ) | ||||
3-Month LIBOR, Strike Price $2.65, Expires 07/29/13 (CS) | (600,000 | ) | (8,881 | ) | ||||
3-Month LIBOR, Strike Price $2.65, Expires 07/29/13 (CITI) | (1,400,000 | ) | (20,723 | ) | ||||
3-Month LIBOR, Strike Price $2.65, Expires 07/29/13 (MSCS) | (1,900,000 | ) | (28,123 | ) | ||||
3-Month LIBOR, Strike Price $2.65, Expires 07/29/13 (DEUT) | (2,300,000 | ) | (34,044 | ) | ||||
6-Month EURIBOR, Strike Price $1.15, Expires 07/24/13 (DEUT) | (2,000,000 | ) | (85 | ) | ||||
6-Month EURIBOR, Strike Price $1.15, Expires 07/24/13 (MSCS) | (9,500,000 | ) | (402 | ) |
Number of Contracts | Value | |||||||
6-Month EURIBOR, Strike Price $1.70, Expires 07/24/13 (RBS) | $ | (700,000 | ) | $ | (379 | ) | ||
6-Month EURIBOR, Strike Price $1.70, Expires 07/24/13 (BAR) | (1,700,000 | ) | (919 | ) | ||||
6-Month EURIBOR, Strike Price $1.70, Expires 07/24/13 (BAR) | (1,800,000 | ) | (974 | ) | ||||
6-Month EURIBOR, Strike Price $1.70, Expires 07/24/13 (BAR) | (5,300,000 | ) | (2,866 | ) | ||||
|
| |||||||
(1,488,021 | ) | |||||||
|
| |||||||
Total Written Options | ||||||||
(Premiums received $(498,374)) | (1,498,542 | ) | ||||||
|
| |||||||
Par | ||||||||
SECURITY SOLD SHORT — (1.1)% | ||||||||
U.S. Treasury Note | $ | (10,000,000 | ) | (9,383,590 | ) | |||
|
| |||||||
TBA SALE COMMITMENTS — (1.0)% |
| |||||||
Federal National Mortgage Association | (2,000,000 | ) | (2,011,562 | ) | ||||
5.00%, 08/01/38 TBA | (1,000,000 | ) | (1,075,078 | ) | ||||
4.50%, 08/13/39 TBA | (4,000,000 | ) | (4,225,000 | ) | ||||
2.50%, 07/01/43 TBA | (1,000,000 | ) | (929,063 | ) | ||||
|
| |||||||
Total TBA Sale Commitments | (8,240,703 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | (247,814,591 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 839,482,566 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Mortgage-Backed Securities | 34.2 | |||
U.S. Treasury Obligations | 27.9 | |||
Money Market Funds | 23.1 | |||
Corporate Bonds | 20.3 | |||
Foreign Bonds | 13.4 | |||
Repurchase Agreements | 5.1 | |||
Futures Contracts | 4.4 | |||
Asset-Backed Securities | 2.7 | |||
Agency Obligations | 2.6 | |||
Municipal Bonds | 1.9 | |||
Preferred Stocks | 0.4 | |||
Loan Agreements | 0.1 | |||
Purchased Options | 0.1 | |||
Swap Agreements | (0.1 | ) | ||
Written Options | (0.2 | ) | ||
TBA Sale Commitments | (1.0 | ) | ||
Security Sold Short | (1.1 | ) | ||
Forward Foreign Currency Contracts | (4.5 | ) | ||
|
| |||
129.3 | ||||
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|
See Notes to Financial Statements.
79
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at June 30, 2013:
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 | $ | 2,842 | $ | — | $ | 2,842 | |||||||||||||||||||
Credit Suisse, Inc., | (1.00 | )% | 09/20/20 | GSC | USD | 300,000 | (2,808 | ) | 5,585 | (8,393 | ) | |||||||||||||||||||||
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$ | 600,000 | $ | 34 | $ | 5,585 | $ | (5,551 | ) | ||||||||||||||||||||||||
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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, | 0.31 | % | 1.00 | % | 09/20/13 | UBS | USD | $ | 900,000 | $ | 1,854 | $ | (2,907 | ) | $ | 4,761 | ||||||||||||||||||||
Federated Republic of Brazil, | 1.60 | % | (1.04 | )% | 05/20/17 | DEUT | USD | 1,000,000 | (19,824 | ) | — | (19,824 | ) | |||||||||||||||||||||||
GMAC LLC, | 2.27 | % | (3.53 | )% | 09/20/17 | DEUT | USD | 4,100,000 | 206,318 | — | 206,318 | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 6,000,000 | $ | 188,348 | $ | (2,907 | ) | $ | 191,255 | ||||||||||||||||||||||||||||
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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.NA.IG16 Index | 1.00 | % | 06/20/14 | JPM | USD | $ | 5,600,000 | $ | (49,074 | ) | $ | (22,358 | ) | $ | (26,716 | ) | ||||||||||||||||
Dow Jones CDX.NA.IG16 Index | 1.00 | % | 06/20/14 | JPM | USD | 5,300,000 | (46,445 | ) | (22,643 | ) | (23,802 | ) | ||||||||||||||||||||
Dow Jones CDX.NA.IG16 Index | 1.00 | % | 06/20/14 | DEUT | USD | 4,100,000 | (35,929 | ) | (16,925 | ) | (19,004 | ) | ||||||||||||||||||||
Dow Jones CDX.NA.IG16 Index | 1.00 | % | 06/20/14 | BOA | USD | 900,000 | (7,887 | ) | (3,460 | ) | (4,427 | ) | ||||||||||||||||||||
Dow Jones CDX.NA.IG14 Index | (1.00 | )% | 06/20/15 | CME | USD | 3,900,000 | (55,358 | ) | 4,286 | (59,644 | ) | |||||||||||||||||||||
Dow Jones CDX.NA.HY15 Index | (5.00 | )% | 12/20/15 | CME | USD | 2,112,000 | (153,488 | ) | 43,560 | (197,048 | ) | |||||||||||||||||||||
Dow Jones CDX.NA.IG15 Index | (1.00 | )% | 12/20/15 | CME | USD | 1,200,000 | (18,666 | ) | 8,329 | (26,995 | ) | |||||||||||||||||||||
Dow Jones CDX.NA.IG16 Index | (1.00 | )% | 06/20/16 | CME | USD | 4,000,000 | (62,235 | ) | 65,674 | (127,909 | ) | |||||||||||||||||||||
Dow Jones CDX.NA.IG9 Index | (0.80 | )% | 12/20/17 | CME | USD | 7,163,200 | 36,546 | 319,075 | (282,529 | ) | ||||||||||||||||||||||
Dow Jones CDX NA.HY20 Index | (5.00 | )% | 06/20/18 | JPM | USD | 1,850,000 | (64,105 | ) | (76,221 | ) | 12,116 | |||||||||||||||||||||
Dow Jones CDX.NA.IG20 Index | (1.00 | )% | 06/20/18 | DEUT | USD | 14,225,000 | (89,147 | ) | (96,001 | ) | 6,854 | |||||||||||||||||||||
Dow Jones CDX.NA.IG20 Index | (1.00 | )% | 06/20/18 | DEUT | USD | 8,700,000 | (54,523 | ) | (95,634 | ) | 41,111 | |||||||||||||||||||||
Dow Jones CDX.NA.IG20 Index | (1.00 | )% | 06/20/18 | BOA | USD | 7,550,000 | (47,316 | ) | (86,477 | ) | 39,161 | |||||||||||||||||||||
Dow Jones CDX.NA.IG20 Index | (1.50 | )% | 06/20/18 | CME | USD | 6,872,800 | (175,246 | ) | 61,956 | (237,202 | ) |
See Notes to Financial Statements.
80
Table of Contents
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Dow Jones CDX.NA.IG20 Index | (1.00 | )% | 06/20/18 | DEUT | USD | $ | 4,500,000 | $ | (28,201 | ) | $ | (49,060 | ) | $ | 20,859 | |||||||||||||||||
Dow Jones CDX.NA.IG20 Index | (1.00 | )% | 06/20/18 | DEUT | USD | 4,125,000 | (25,851 | ) | (51,245 | ) | 25,394 | |||||||||||||||||||||
Dow Jones CDX.NA.IG20 Index | (1.00 | )% | 06/20/18 | DEUT | USD | 1,925,000 | (12,064 | ) | (20,285 | ) | 8,221 | |||||||||||||||||||||
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$ | 84,023,000 | $ | (888,989 | ) | $ | (37,429 | ) | $ | (851,560 | ) | ||||||||||||||||||||||
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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.NA.IG16 Index | 0.94 | % | 1.00 | % | 06/20/16 | JPM | USD | $ | 4,825,000 | $ | 75,071 | $ | 12,039 | $ | 63,032 | |||||||||||||||||||||
Dow Jones CDX.NA.IG16 Index | 0.97 | % | 1.00 | % | 06/20/16 | BOA | USD | 3,000,000 | 46,677 | 4,054 | 42,623 | |||||||||||||||||||||||||
Dow Jones CDX.NA.IG16 Index | 0.94 | % | 1.00 | % | 06/20/16 | DEUT | USD | 2,125,000 | 33,063 | 5,183 | 27,880 | |||||||||||||||||||||||||
CMBX.NA.AAA.3 Index | 0.97 | % | 0.08 | % | 12/13/49 | BOA | USD | 400,000 | (16,423 | ) | (13,223 | ) | (3,200 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.96 | % | 0.35 | % | 02/17/51 | BOA | USD | 1,500,000 | (59,913 | ) | (53,926 | ) | (5,987 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | CITI | USD | 1,200,000 | (47,930 | ) | (33,256 | ) | (14,674 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | CITI | USD | 1,100,000 | (43,936 | ) | (29,222 | ) | (14,714 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | DEUT | USD | 1,100,000 | (43,936 | ) | (36,752 | ) | (7,184 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | BOA | USD | 1,100,000 | (43,936 | ) | (34,020 | ) | (9,916 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | BOA | USD | 900,000 | (35,939 | ) | (22,920 | ) | (13,019 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | CITI | USD | 600,000 | (23,965 | ) | (20,542 | ) | (3,423 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | CITI | USD | 600,000 | (23,965 | ) | (20,351 | ) | (3,614 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | DEUT | USD | 500,000 | (19,971 | ) | (16,974 | ) | (2,997 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | CITI | USD | 500,000 | (19,971 | ) | (15,838 | ) | (4,133 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.97 | % | 0.35 | % | 02/17/51 | BOA | USD | 500,000 | (19,971 | ) | (17,359 | ) | (2,612 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.98 | % | 0.35 | % | 02/17/51 | CITI | USD | 400,000 | (15,973 | ) | (9,441 | ) | (6,532 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.98 | % | 0.35 | % | 02/17/51 | CITI | USD | 400,000 | (15,973 | ) | (9,565 | ) | (6,408 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.4 Index | 0.98 | % | 0.35 | % | 02/17/51 | BOA | USD | 300,000 | (11,980 | ) | (7,454 | ) | (4,526 | ) | ||||||||||||||||||||||
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$ | 21,050,000 | $ | (288,971 | ) | $ | (319,567 | ) | $ | 30,596 | |||||||||||||||||||||||||||
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See Notes to Financial Statements.
81
Table of Contents
MEDIUM-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 |
| |||||||||||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.43 | % | 01/02/15 | DEUT | BRL | $ | 1,000,000 | $ | (3,657 | ) | $ | 4,329 | $ | (7,986 | ) | |||||||||||||||||
Brazil CETIP Interbank Deposit | 7.78 | % | 01/02/15 | HSBC | BRL | 26,500,000 | (263,188 | ) | (13,511 | ) | (249,677 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.15 | % | 01/02/15 | BOA | BRL | 9,760,000 | (86,794 | ) | — | (86,794 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.83 | % | 01/02/15 | HSBC | BRL | 9,000,000 | 269 | 11,392 | (11,123 | ) | ||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.15 | % | 01/02/15 | DEUT | BRL | 8,830,000 | (78,523 | ) | — | (78,523 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 9.93 | % | 01/02/15 | UBS | BRL | 7,700,000 | 81,637 | 3,739 | 77,898 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.52 | % | 01/02/15 | CITI | BRL | 7,170,000 | (46,421 | ) | — | (46,421 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 7.92 | % | 01/02/15 | MSCS | BRL | 6,000,000 | (44,703 | ) | (10,514 | ) | (34,189 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.16 | % | 01/02/15 | JPM | BRL | 5,680,000 | (50,335 | ) | — | (50,335 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 10.14 | % | 01/02/15 | HSBC | BRL | 5,300,000 | 67,013 | 19,159 | 47,854 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.56 | % | 01/02/15 | UBS | BRL | 5,300,000 | (30,267 | ) | 190 | (30,457 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.15 | % | 01/02/15 | CITI | BRL | 4,150,000 | (36,905 | ) | — | (36,905 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.08 | % | 01/02/15 | HSBC | BRL | 3,700,000 | (26,696 | ) | 4,866 | (31,562 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.20 | % | 01/02/15 | BOA | BRL | 2,620,000 | (22,414 | ) | — | (22,414 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.22 | % | 01/02/15 | JPM | BRL | 2,500,000 | (21,077 | ) | — | (21,077 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 7.62 | % | 01/02/15 | DEUT | BRL | 1,800,000 | (20,517 | ) | (3,025 | ) | (17,492 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 7.92 | % | 01/02/15 | BAR | BRL | 700,000 | (6,669 | ) | (52 | ) | (6,617 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.94 | % | 01/02/17 | CS | BRL | 5,800,000 | (103,884 | ) | (2,896 | ) | (100,988 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.60 | % | 01/02/17 | DEUT | BRL | 5,300,000 | (115,135 | ) | 2,729 | (117,864 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.90 | % | 01/02/17 | UBS | BRL | 5,200,000 | (95,159 | ) | (4,805 | ) | (90,354 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.50 | % | 01/02/17 | CS | BRL | 5,200,000 | (118,753 | ) | (3,792 | ) | (114,961 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.50 | % | 01/02/17 | UBS | BRL | 2,900,000 | (66,272 | ) | (3,042 | ) | (63,230 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.49 | % | 01/02/17 | BNP | BRL | 1,100,000 | (24,074 | ) | — | (24,074 | ) | |||||||||||||||||||||
6-Month EURIBOR | 2.00 | % | 03/21/17 | CME | EUR | 5,500,000 | 313,676 | 63,941 | 249,735 | |||||||||||||||||||||||
3-Month LIBOR | (0.75 | )% | 05/31/17 | JPM | USD | 42,000,000 | 726,033 | (42,344 | ) | 768,377 | ||||||||||||||||||||||
6-Month BBR BBSW Index | 5.50 | % | 12/15/17 | BAR | AUD | 2,200,000 | 171,426 | (6,588 | ) | 178,014 | ||||||||||||||||||||||
6-Month BBR BBSW Index | 5.50 | % | 12/15/17 | DEUT | AUD | 1,300,000 | 101,297 | (3,479 | ) | 104,776 | ||||||||||||||||||||||
6-Month BBR BBSW Index | 3.75 | % | 03/15/18 | CME | AUD | 3,000,000 | 30,210 | 12,314 | 17,896 | |||||||||||||||||||||||
6-Month BBR BBSW Index | 3.50 | % | 03/15/18 | CME | AUD | 1,700,000 | (888 | ) | 4,639 | (5,527 | ) | |||||||||||||||||||||
3-Month LIBOR | 1.40 | % | 03/20/18 | CME | USD | 16,700,000 | (7,813 | ) | (386,346 | ) | 378,533 | |||||||||||||||||||||
6-Month BBR BBSW Index | 3.75 | % | 12/11/18 | CME | AUD | 10,700,000 | (5,436 | ) | (24,089 | ) | 18,653 |
See Notes to Financial Statements.
82
Table of Contents
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
3-Month LIBOR | 2.56 | % | 10/20/20 | DEUT | USD | $ | 2,800,000 | $ | 80,112 | $ | — | $ | 80,112 | |||||||||||||||||||
6-Month BBR BBSW Index | 3.75 | % | 03/15/23 | CME | AUD | 3,800,000 | (144,910 | ) | (24,740 | ) | (120,170 | ) | ||||||||||||||||||||
6-Month BBR BBSW Index | 4.25 | % | 03/15/23 | CME | AUD | 1,500,000 | 27 | 8,178 | (8,151 | ) | ||||||||||||||||||||||
6-Month BBR BBSW Index | 4.00 | % | 03/15/23 | GSC | AUD | 100,000 | (2,129 | ) | — | (2,129 | ) | |||||||||||||||||||||
6-Month EURIBOR | 2.00 | % | 09/18/23 | CME | EUR | 1,000,000 | 8,081 | 13,643 | (5,562 | ) | ||||||||||||||||||||||
3-Month LIBOR | (3.00 | )% | 12/18/43 | CITI | USD | 2,700,000 | 285,506 | 182,158 | 103,348 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 228,210,000 | $ | 442,668 | $ | (197,946 | ) | $ | 640,614 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Swap agreements outstanding at June 30, 2013 |
| $ | 339,883,000 | $ | (546,910 | ) | $ | (552,264 | ) | $ | 5,354 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
83
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 21,616,175 | $ | — | $ | 21,616,175 | $ | — | ||||||||
Asset-Backed Securities | 22,759,879 | — | 21,369,767 | 1,390,112 | ||||||||||||
Corporate Bonds | 170,259,262 | — | 167,553,141 | 2,706,121 | ||||||||||||
Foreign Bonds | 112,427,388 | — | 112,427,374 | 14 | ||||||||||||
Loan Agreements | 995,000 | — | 995,000 | — | ||||||||||||
Money Market Funds | 194,196,616 | 194,196,616 | — | — | ||||||||||||
Mortgage-Backed Securities | 287,363,115 | — | 280,933,754 | 6,429,361 | ||||||||||||
Municipal Bonds | 16,134,144 | — | 16,134,144 | — | ||||||||||||
Preferred Stocks | 3,487,648 | 622,048 | — | 2,865,600 | ||||||||||||
Purchased Options | 319,526 | — | 319,526 | — | ||||||||||||
Repurchase Agreements | 42,500,000 | — | 42,500,000 | — | ||||||||||||
U.S. Treasury Obligations | 234,361,239 | — | 234,361,239 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,106,419,992 | $ | 194,818,664 | $ | 898,210,120 | $ | 13,391,208 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 192,211 | $ | 192,211 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 192,211 | $ | 192,211 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Security Sold Short | $ | (9,383,590 | ) | $ | — | $ | (9,383,590 | ) | $ | — | ||||||
TBA Sale Commitments | (8,240,703 | ) | — | (8,240,703 | ) | — | ||||||||||
Written Options | (1,498,542 | ) | (10,500 | ) | (1,488,042 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (19,122,835 | ) | $ | (10,500 | ) | $ | (19,112,335 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | (1,030,180 | ) | $ | — | $ | (1,030,180 | ) | $ | — | ||||||
Swap Agreements | (546,910 | ) | — | (546,910 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (1,577,090 | ) | $ | — | $ | (1,577,090 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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. |
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
The unobservable inputs used in the fair value measurement of the reporting entity’s asset-backed securities, corporate bonds, foreign bonds, mortgage-backed securities and preferred stock are values based on evaluated quotations received from dealers who make markets in such securities. Significant increases (decreases) in those evaluated quotations would result in a significantly higher (lower) fair value measurement.
See Notes to Financial Statements.
84
Table of Contents
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Total Value | Asset-Backed Securities | Corporate Bonds | Foreign Bonds | Mortgage-Backed Securities | Preferred Stock | |||||||||||||||||||
Balance, 12/31/12 | $ | 14,016,404 | $ | 1,782,083 | $ | 2,846,064 | $ | 157,695 | $ | 6,290,562 | $ | 2,940,000 | ||||||||||||
Accrued discounts/premiums | (4,594 | ) | 2,773 | (2,626 | ) | — | (4,741 | ) | — | |||||||||||||||
Realized gain (loss)(1) | (64,568 | ) | (1,066 | ) | (60,766 | ) | — | (2,736 | ) | — | ||||||||||||||
Change in unrealized appreciation (depreciation)(2) | 250 | 10,703 | 184,121 | 1,763 | (121,937 | ) | (74,400 | ) | ||||||||||||||||
Purchases | 916,553 | — | (115,296 | ) | — | 1,031,849 | — | |||||||||||||||||
Sales | (1,288,770 | ) | (403,472 | ) | (84,205 | ) | (159,444 | ) | (641,649 | ) | — | |||||||||||||
Transfers in to Level 3 | — | — | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | ||||||||||||||||||
Maturities | — | — | — | — | — | — | ||||||||||||||||||
Paydowns | (184,067 | ) | (909 | ) | (61,171 | ) | — | (121,987 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Balance, 06/30/13 | $ | 13,391,208 | $ | 1,390,112 | $ | 2,706,121 | $ | 14 | $ | 6,429,361 | $ | 2,865,600 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net realized gain (loss) from investment securities. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on investment securities. |
See Notes to Financial Statements.
85
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Par | Value | |||||||
ASSET-BACKED SECURITY — 1.4% | ||||||||
Citibank Credit Card | ||||||||
Issuance Trust | ||||||||
6.15%, 06/15/39 | ||||||||
(Cost $5,851,928) | $ | 4,300,000 | $ | 5,163,986 | ||||
|
| |||||||
CORPORATE BONDS — 59.8% | ||||||||
AbbVie, Inc. | ||||||||
4.40%, 11/06/42 144A | 1,417,000 | 1,321,439 | ||||||
Aflac, Inc. | ||||||||
6.45%, 08/15/40D | 5,705,000 | 6,723,884 | ||||||
Alcatel-Lucent USA, Inc. | ||||||||
6.45%, 03/15/29 | 105,000 | 80,062 | ||||||
Alcoa, Inc. | ||||||||
5.87%, 02/23/22D | 10,000 | 9,746 | ||||||
6.75%, 01/15/28 | 235,000 | 234,063 | ||||||
5.95%, 02/01/37D | 85,000 | 75,999 | ||||||
Ally Financial, Inc. | ||||||||
8.00%, 11/01/31D | 177,000 | 213,728 | ||||||
Alta Wind Holdings LLC | ||||||||
7.00%, 06/30/35 144A | 533,801 | 562,711 | ||||||
American Express Co. | ||||||||
4.05%, 12/03/42D | 3,915,000 | 3,436,794 | ||||||
Andarko Holding Co. | ||||||||
7.15%, 05/15/28D | 250,000 | 286,996 | ||||||
Apple, Inc. | ||||||||
3.85%, 05/04/43 | 3,537,000 | 3,154,944 | ||||||
AT&T, Inc. | ||||||||
4.30%, 12/15/42D | 1,242,000 | 1,085,887 | ||||||
6.50%, 09/01/37 | 7,037,000 | 8,009,872 | ||||||
4.30%, 12/15/42 144A | 113,000 | 98,796 | ||||||
Bank of America Corporation | ||||||||
5.49%, 03/15/19 | 300,000 | 323,869 | ||||||
Bank of America NA | ||||||||
6.00%, 10/15/36 | 6,000,000 | 6,693,588 | ||||||
Barrick North America Finance LLC | ||||||||
5.70%, 05/30/41 | 3,634,000 | 2,958,832 | ||||||
Bruce Mansfield Unit | ||||||||
6.85%, 06/01/34 | 1,092,943 | 1,185,243 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
4.38%, 09/01/42 | 1,262,000 | 1,159,297 | ||||||
California Institute of Technology | ||||||||
4.70%, 11/01/11 | 4,030,000 | 3,725,316 | ||||||
CenturyLink, Inc. | ||||||||
6.45%, 06/15/21D | 260,000 | 272,350 | ||||||
6.88%, 01/15/28 | 65,000 | 63,862 | ||||||
7.60%, 09/15/39D | 755,000 | 721,025 | ||||||
7.65%, 03/15/42 | 295,000 | 281,725 | ||||||
Chesapeake Energy Corporation | ||||||||
6.63%, 08/15/20 | 10,000 | 10,800 | ||||||
6.88%, 11/15/20D | 15,000 | 16,350 | ||||||
2.75%, 11/15/35 CONV | 75,000 | 74,812 | ||||||
2.50%, 05/15/37 CONVD | 200,000 | 189,375 | ||||||
2.25%, 12/15/38 CONVD | 50,000 | 44,062 | ||||||
Ciena Corporation | ||||||||
3.75%, 10/15/18 CONV 144A | 155,000 | 194,719 | ||||||
Citigroup, Inc. | ||||||||
6.88%, 06/01/25 | 400,000 | 467,338 | ||||||
8.13%, 07/15/39 | 5,584,000 | 7,398,247 |
Par | Value | |||||||
Comcast Corporation | ||||||||
5.65%, 06/15/35 | $ | 660,000 | $ | 734,441 | ||||
6.95%, 08/15/37D | 625,000 | 789,262 | ||||||
4.50%, 01/15/43D | 5,200,000 | 4,985,058 | ||||||
Continental Airlines 1999-2 Class B Pass Through Trust | ||||||||
7.57%, 09/15/21 | 74,641 | 77,440 | ||||||
Continental Airlines 2000-2 Class B Pass Through Trust | ||||||||
8.31%, 10/02/19 | 113,968 | 120,806 | ||||||
Corning, Inc. | ||||||||
7.25%, 08/15/36 | 850,000 | 1,037,540 | ||||||
Cummins, Inc. | ||||||||
5.65%, 03/01/98D | 2,520,000 | 2,396,795 | ||||||
Darden Restaurants, Inc. | ||||||||
6.00%, 08/15/35 | 990,000 | 967,186 | ||||||
DCP Midstream LLC | ||||||||
6.45%, 11/03/36 144AD | 490,000 | 516,683 | ||||||
Dillard’s, Inc. | ||||||||
7.75%, 07/15/26D | 890,000 | 981,225 | ||||||
7.00%, 12/01/28D | 500,000 | 527,500 | ||||||
Dow Chemical Co. | ||||||||
9.40%, 05/15/39 | 920,000 | 1,350,559 | ||||||
Florida Power & Light Co. | ||||||||
4.05%, 06/01/42 | 2,234,000 | 2,085,231 | ||||||
Foot Locker, Inc. | ||||||||
8.50%, 01/15/22 | 1,000,000 | 1,172,500 | ||||||
Ford Motor Co. | ||||||||
4.25%, 11/15/16 CONV | 175,000 | 317,078 | ||||||
6.63%, 10/01/28 | 680,000 | 744,772 | ||||||
6.38%, 02/01/29 | 1,255,000 | 1,336,279 | ||||||
General Electric Capital Corporation | ||||||||
6.75%, 03/15/32D | 3,000,000 | 3,607,266 | ||||||
6.15%, 08/07/37 | 3,000,000 | 3,405,828 | ||||||
5.88%, 01/14/38 | 150,000 | 165,671 | ||||||
Goldman Sachs Group, Inc. | ||||||||
5.38%, 03/15/20 | 415,000 | 450,934 | ||||||
6.75%, 10/01/37 | 500,000 | 513,722 | ||||||
Halliburton Co. | ||||||||
7.45%, 09/15/39 | 870,000 | 1,194,972 | ||||||
HCA, Inc. | ||||||||
7.58%, 09/15/25 | 1,000,000 | 1,065,000 | ||||||
7.05%, 12/01/27 | 500,000 | 492,500 | ||||||
Hewlett-Packard Co. | ||||||||
6.00%, 09/15/41 | 5,310,000 | 5,139,899 | ||||||
Home Depot, Inc. | ||||||||
4.20%, 04/01/43D | 1,540,000 | 1,468,941 | ||||||
HSBC Bank USA NA | ||||||||
7.00%, 01/15/39 | 5,748,000 | 6,858,824 | ||||||
Intel Corporation | ||||||||
3.25%, 08/01/39 CONVD | 1,155,000 | 1,474,075 | ||||||
International Lease Finance Corporation | ||||||||
5.88%, 08/15/22D | 5,000 | 4,958 | ||||||
International Paper Co. | ||||||||
8.70%, 06/15/38 | 2,643,000 | 3,597,934 | ||||||
iStar Financial, Inc. | ||||||||
3.00%, 11/15/16 CONVD | 100,000 | 118,875 | ||||||
7.13%, 02/15/18D | 180,000 | 187,650 | ||||||
4.88%, 07/01/18 | 100,000 | 94,250 | ||||||
Jefferies Group LLC | ||||||||
6.45%, 06/08/27 | 50,000 | 49,500 |
See Notes to Financial Statements.
86
Table of Contents
Par | Value | |||||||
3.88%, 11/01/29 CONV | $ | 65,000 | $ | 69,509 | ||||
6.25%, 01/15/36 | 185,000 | 179,450 | ||||||
6.50%, 01/20/43D | 3,500,000 | 3,361,662 | ||||||
JPMorgan Chase & Co. | ||||||||
4.25%, 11/02/18(Z) | 385,000 | 287,853 | ||||||
5.60%, 07/15/41 | 6,000,000 | 6,480,498 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
5.80%, 03/15/35 | 280,000 | 290,107 | ||||||
Kraft Foods Group, Inc. | ||||||||
6.88%, 01/26/39 | 4,568,000 | 5,559,973 | ||||||
6.50%, 02/09/40 | 1,513,000 | 1,811,427 | ||||||
Liberty Mutual Group, Inc. | ||||||||
6.50%, 03/15/35 144AD | 1,400,000 | 1,504,224 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
6.38%, 03/15/37 | 240,000 | 270,634 | ||||||
Masco Corporation | ||||||||
7.75%, 08/01/29 | 275,000 | 304,959 | ||||||
6.50%, 08/15/32 | 55,000 | 55,000 | ||||||
Massachusetts Institute of | ||||||||
5.60%, 07/01/11 | 1,927,000 | 2,332,317 | ||||||
Mead Corporation | ||||||||
7.55%, 03/01/47@D | 515,000 | 544,998 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
6.11%, 01/29/37 | 900,000 | 888,661 | ||||||
MetLife, Inc. | ||||||||
5.88%, 02/06/41 | 5,000,000 | 5,773,080 | ||||||
6.40%, 12/15/66 | 310,000 | 318,913 | ||||||
Morgan Stanley | ||||||||
4.75%, 11/16/18(A) | 295,000 | 267,381 | ||||||
5.63%, 09/23/19 | 295,000 | 317,493 | ||||||
5.75%, 01/25/21 | 300,000 | 326,138 | ||||||
3.75%, 02/25/23 | 300,000 | 287,457 | ||||||
6.25%, 08/09/26 | 600,000 | 659,080 | ||||||
Motorola Solutions, Inc. | ||||||||
6.63%, 11/15/37 | 46,000 | 47,774 | ||||||
Mutual of Omaha Insurance Co. | ||||||||
6.80%, 06/15/36 144A | 100,000 | 115,934 | ||||||
Nationwide Mutual | ||||||||
6.60%, 04/15/34 144AD | 150,000 | 151,500 | ||||||
New Albertsons, Inc. | ||||||||
7.45%, 08/01/29D | 55,000 | 43,450 | ||||||
8.70%, 05/01/30 | 25,000 | 20,688 | ||||||
8.00%, 05/01/31 | 295,000 | 236,000 | ||||||
Old Republic International | ||||||||
3.75%, 03/15/18 CONVD | 2,255,000 | 2,548,150 | ||||||
Owens Corning | ||||||||
7.00%, 12/01/36 | 3,940,000 | 4,228,530 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
7.63%, 06/15/40 144A | 1,750,000 | 2,280,733 | ||||||
ProLogis LP | ||||||||
5.63%, 11/15/15 | 35,000 | 37,928 | ||||||
Prudential Financial, Inc. | ||||||||
6.63%, 06/21/40 | 5,412,000 | 6,468,211 | ||||||
5.63%, 05/12/41D | 987,000 | 1,028,638 | ||||||
PulteGroup, Inc. | ||||||||
7.88%, 06/15/32 | 1,500,000 | 1,657,500 | ||||||
6.38%, 05/15/33 | 1,000,000 | 940,000 | ||||||
Qwest Corporation | ||||||||
7.25%, 09/15/25 | 1,000,000 | 1,120,460 | ||||||
6.88%, 09/15/33 | 2,250,000 | 2,188,125 |
Par | Value | |||||||
RR Donnelley & Sons Co. | ||||||||
8.25%, 03/15/19D | $ | 250,000 | $ | 263,750 | ||||
SandRidge Energy, Inc. | ||||||||
7.50%, 02/15/23D | 350,000 | 334,250 | ||||||
Sempra Energy | ||||||||
6.00%, 10/15/39 | 2,491,000 | 2,812,561 | ||||||
SLM Corporation | ||||||||
5.00%, 06/15/18 | 1,035,000 | 1,006,479 | ||||||
5.63%, 08/01/33 | 1,460,000 | 1,211,800 | ||||||
Sprint Capital Corporation | ||||||||
6.90%, 05/01/19 | 55,000 | 57,475 | ||||||
6.88%, 11/15/28 | 2,350,000 | 2,267,750 | ||||||
8.75%, 03/15/32 | 20,000 | 22,100 | ||||||
Target Corporation | ||||||||
7.00%, 01/15/38 | 780,000 | 1,021,472 | ||||||
Textron, Inc. | ||||||||
6.63%, 04/07/20(U) | 160,000 | 277,941 | ||||||
Time Warner Cable, Inc. | ||||||||
6.55%, 05/01/37 | 1,049,000 | 1,053,664 | ||||||
6.75%, 06/15/39D | 1,000,000 | 1,023,234 | ||||||
5.88%, 11/15/40 | 1,700,000 | 1,562,336 | ||||||
Time Warner | ||||||||
8.38%, 07/15/33D | 1,049,000 | 1,239,604 | ||||||
Toro Co. | ||||||||
6.63%, 05/01/37@D | 300,000 | 300,070 | ||||||
Travelers Cos., Inc. | ||||||||
6.25%, 06/15/37 | 3,575,000 | 4,330,065 | ||||||
United States Steel Corporation | ||||||||
2.75%, 04/01/19 CONVD | 210,000 | 208,294 | ||||||
United Technologies | ||||||||
4.50%, 06/01/42 | 2,927,000 | 2,897,894 | ||||||
UnitedHealth Group, Inc. | ||||||||
6.50%, 06/15/37 | 767,000 | 921,462 | ||||||
6.63%, 11/15/37 | 2,526,000 | 3,083,150 | ||||||
5.70%, 10/15/40 | 1,210,000 | 1,336,801 | ||||||
3.95%, 10/15/42D | 181,000 | 156,367 | ||||||
University of Pennsylvania | ||||||||
4.67%, 09/01/12 | 3,370,000 | 3,239,665 | ||||||
University of Southern California | ||||||||
5.25%, 10/01/11 | 2,779,000 | 3,179,190 | ||||||
US Airways 2012-1 Class A Pass Through Trust | ||||||||
5.90%, 04/01/26D | 459,171 | 482,130 | ||||||
US Airways 2012-2 Class A Pass Through Trust | ||||||||
4.63%, 12/03/26 | 305,000 | 301,759 | ||||||
Valeant Pharmaceuticals International | ||||||||
6.38%, 10/15/20 144AD | 490,000 | 486,938 | ||||||
Verizon Communications, Inc. | ||||||||
6.40%, 02/15/38 | 968,000 | 1,130,870 | ||||||
6.90%, 04/15/38 | 1,000,000 | 1,233,270 | ||||||
7.35%, 04/01/39 | 979,000 | 1,267,005 | ||||||
6.00%, 04/01/41D | 2,770,000 | 3,118,926 | ||||||
Verizon Maryland, Inc. | ||||||||
5.13%, 06/15/33 | 150,000 | 145,672 | ||||||
Wachovia Bank NA | ||||||||
5.85%, 02/01/37 | 4,577,000 | 5,117,452 | ||||||
6.60%, 01/15/38 | 2,257,000 | 2,767,080 | ||||||
WellPoint, Inc. | ||||||||
5.95%, 12/15/34 | 846,000 | 944,775 | ||||||
6.38%, 06/15/37 | 2,766,000 | 3,228,306 |
See Notes to Financial Statements.
87
Table of Contents
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Western Union Co. | ||||||||
6.20%, 11/17/36D | $ | 3,000,000 | $ | 2,912,616 | ||||
Weyerhaeuser Co. | ||||||||
8.50%, 01/15/25 | 520,000 | 678,944 | ||||||
6.88%, 12/15/33 | 580,000 | 664,561 | ||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost $200,866,522) | 214,398,998 | |||||||
|
| |||||||
FOREIGN BONDS — 24.1% Australia — 1.7% | ||||||||
Barrick PD Australia | 2,870,000 | 2,445,421 | ||||||
New South Wales Treasury | 730,000 | 737,090 | ||||||
Queensland Treasury | 60,000 | 57,072 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
5.20%, 11/02/40 | 2,946,000 | 2,885,990 | ||||||
|
| |||||||
6,125,573 | ||||||||
|
| |||||||
Brazil — 0.3% | ||||||||
Brazilian Government | 2,525,000 | 1,165,550 | ||||||
|
| |||||||
Canada — 6.7% | ||||||||
Canada Generic Residual STRIP | 3,685,000 | 2,556,234 | ||||||
Ontario Generic Residual STRIP | 2,600,000 | 1,789,617 | ||||||
3.04%, 03/08/29(C)W† | 7,000,000 | 3,587,591 | ||||||
Saskatchewan Residual STRIP | ||||||||
1.17%, 04/10/14(C)W† | 3,535,000 | 3,339,719 | ||||||
3.08%, 02/04/22(C)W† | 3,000,000 | 2,153,157 | ||||||
Talisman Energy, Inc. | ||||||||
6.25%, 02/01/38 | 450,000 | 484,857 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
6.20%, 10/15/37D | 3,541,000 | 4,155,413 | ||||||
7.63%, 01/15/39 | 2,000,000 | 2,719,278 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
6.00%, 11/15/41 144A | 3,591,000 | 3,226,596 | ||||||
|
| |||||||
24,012,462 | ||||||||
|
| |||||||
Ireland — 1.6% | ||||||||
Eircom Finance, Ltd. | ||||||||
9.25%, 05/15/20 144A(E)D | 200,000 | 242,105 | ||||||
Ireland Government Bond | ||||||||
4.50%, 10/18/18(E) | 870,000 | 1,209,185 | ||||||
5.00%, 10/18/20(E) | 75,000 | 104,770 | ||||||
5.40%, 03/13/25(E) | 1,300,000 | 1,836,830 | ||||||
XL Group PLC | ||||||||
6.38%, 11/15/24D | 585,000 | 665,328 | ||||||
6.25%, 05/15/27D | 1,530,000 | 1,752,112 | ||||||
|
| |||||||
5,810,330 | ||||||||
|
| |||||||
Italy — 0.5% | ||||||||
Italy Buoni Poliennali | ||||||||
5.25%, 11/01/29(E) | 25,000 | 34,018 | ||||||
5.75%, 02/01/33(E) | 25,000 | 35,873 | ||||||
5.00%, 08/01/34(E) | 25,000 | 32,992 |
Par | Value | |||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/33 | $ | 755,000 | $ | 708,889 | ||||
6.00%, 09/30/34 | 1,010,000 | 920,922 | ||||||
|
| |||||||
1,732,694 | ||||||||
|
| |||||||
Luxembourg — 0.5% | ||||||||
ArcelorMittal | ||||||||
6.13%, 06/01/18D | 435,000 | 449,681 | ||||||
6.00%, 03/01/21D | 45,000 | 45,113 | ||||||
7.50%, 10/15/39D | 430,000 | 412,800 | ||||||
7.25%, 03/01/41D | 975,000 | 921,375 | ||||||
|
| |||||||
1,828,969 | ||||||||
|
| |||||||
Malaysia — 0.1% | ||||||||
Telekom Malaysia Bhd | ||||||||
7.88%, 08/01/25 144A | 225,000 | 285,164 | ||||||
|
| |||||||
Mexico — 0.9% | ||||||||
America Movil SAB de CV | ||||||||
6.45%, 12/05/22(M) | 2,600,000 | 195,329 | ||||||
Mexican Bonos | ||||||||
8.00%, 12/07/23(M) | 31,800,000 | 2,856,236 | ||||||
|
| |||||||
3,051,565 | ||||||||
|
| |||||||
Netherlands — 4.0% | ||||||||
Cooperatieve Centrale | ||||||||
5.25%, 05/24/41D | 1,023,000 | 1,054,618 | ||||||
Deutsche Telekom International | ||||||||
4.88%, 03/06/42 144AD | 3,800,000 | 3,720,971 | ||||||
EDP Finance BV | ||||||||
4.75%, 09/26/16(E) | 300,000 | 401,235 | ||||||
6.00%, 02/02/18 144AD | 800,000 | 828,000 | ||||||
4.90%, 10/01/19 144A | 1,000,000 | 987,500 | ||||||
Enel Finance International NV | ||||||||
6.80%, 09/15/37 144A | 100,000 | 100,436 | ||||||
6.00%, 10/07/39 144AD | 2,210,000 | 2,047,395 | ||||||
Koninklijke Philips | ||||||||
6.88%, 03/11/38 | 3,250,000 | 4,074,863 | ||||||
5.00%, 03/15/42 | 1,000,000 | 1,025,860 | ||||||
|
| |||||||
14,240,878 | ||||||||
|
| |||||||
Norway — 1.2% | ||||||||
Norway Government Bond | ||||||||
5.00%, 05/15/15(K) | 540,000 | 94,819 | ||||||
4.25%, 05/19/17(K) | 11,940,000 | 2,157,725 | ||||||
Statoil ASA | ||||||||
3.95%, 05/15/43 | 2,257,000 | 2,049,925 | ||||||
|
| |||||||
4,302,469 | ||||||||
|
| |||||||
Portugal — 0.2% | ||||||||
Portugal Obrigacoes | ||||||||
4.80%, 06/15/20(E) | 75,000 | 90,753 | ||||||
3.85%, 04/15/21(E) | 255,000 | 285,238 | ||||||
4.95%, 10/25/23(E) | 355,000 | 415,283 | ||||||
|
| |||||||
791,274 | ||||||||
|
| |||||||
Spain — 0.8% | ||||||||
Autonomous Community of | ||||||||
4.30%, 09/15/26(E) | 665,000 | 708,203 |
See Notes to Financial Statements.
88
Table of Contents
Par | Value | |||||||
Telefonica Emisiones SA | ||||||||
5.13%, 04/27/20 | $ | 75,000 | $ | 77,070 | ||||
7.05%, 06/20/36 | 1,720,000 | 1,896,976 | ||||||
|
| |||||||
2,682,249 | ||||||||
|
| |||||||
Supranational — 2.0% | ||||||||
Inter-American | ||||||||
6.00%, 12/15/17(Z) | 6,365,000 | 5,317,685 | ||||||
International Bank For | ||||||||
1.43%, 03/05/14(G) | 2,470,000 | 1,961,295 | ||||||
|
| |||||||
7,278,980 | ||||||||
|
| |||||||
United Kingdom — 3.6% | ||||||||
Barclays Bank PLC | ||||||||
3.68%, 08/20/15(W) | 740,000,000 | 678,885 | ||||||
10.18%, 06/12/21 144A | 5,357,000 | 6,823,023 | ||||||
BG Energy Capital PLC | ||||||||
5.13%, 10/15/41 144A | 585,000 | 602,074 | ||||||
HBOS PLC | ||||||||
6.75%, 05/21/18 144A | 700,000 | 744,686 | ||||||
6.00%, 11/01/33 144A | 925,000 | 858,330 | ||||||
Rio Tinto Finance USA PLC | ||||||||
4.13%, 08/21/42 | 392,000 | 337,397 | ||||||
Standard Chartered PLC | ||||||||
5.30%, 01/09/43 144AD | 3,201,000 | 2,995,608 | ||||||
|
| |||||||
13,040,003 | ||||||||
|
| |||||||
Total Foreign Bonds | ||||||||
(Cost $80,699,999) | 86,348,160 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITY — 0.4% |
| |||||||
Community Program | ||||||||
Loan Trust | ||||||||
4.50%, 04/01/29 | ||||||||
(Cost $1,333,865) | 1,491,174 | 1,506,529 | ||||||
|
| |||||||
MUNICIPAL BONDS — 6.9% | ||||||||
California Educational Facilities | 3,690,000 | 4,512,427 | ||||||
Metropolitan Pier & Exposition | 9,800,000 | 1,616,902 | ||||||
5.89%, 06/15/46W† | 1,240,000 | 192,746 | ||||||
5.89%, 06/15/47W† | 400,000 | 58,760 | ||||||
Metropolitan Transportation | 520,000 | 627,557 | ||||||
New Jersey State Turnpike | 706,000 | 909,589 | ||||||
New York City Water & Sewer | 1,190,000 | 1,239,647 |
Par | Value | |||||||
Ohio State University, Revenue | $ | 1,470,000 | $ | 1,267,654 | ||||
Port Authority of New York & | 2,190,000 | 1,957,159 | ||||||
San Bernardino Community | 2,845,000 | 365,042 | ||||||
Southwestern Community | 3,975,000 | 635,523 | ||||||
State of California, General | 2,135,000 | 2,769,693 | ||||||
7.55%, 04/01/39 | 1,190,000 | 1,594,648 | ||||||
State of Illinois, General | 635,000 | 589,890 | ||||||
State of Illinois, General | 425,000 | 377,850 | ||||||
University of California, | 5,912,000 | 5,187,130 | ||||||
Westside Union School District, | 1,600,000 | 359,552 | ||||||
6.04%, 08/01/45W† | 2,170,000 | 372,480 | ||||||
|
| |||||||
Total Municipal Bonds | ||||||||
(Cost $23,620,495) | 24,634,249 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 4.3% | ||||||||
U.S. Treasury Bonds | 4,550,000 | 5,928,864 | ||||||
3.13%, 11/15/41 | 6,728,000 | 6,309,074 | ||||||
2.75%, 11/15/42 | 1,200,000 | 1,034,906 | ||||||
3.13%, 02/15/43 | 1,150,000 | 1,073,723 | ||||||
2.88%, 05/15/43 | 1,345,000 | 1,190,535 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $16,845,551) | 15,537,102 | |||||||
|
| |||||||
Shares | ||||||||
PREFERRED STOCKS — 0.1% | ||||||||
Ally Financial, Inc., | ||||||||
7.00% 144AD | 82 | 77,939 | ||||||
Chesapeake Energy | ||||||||
5.00% CONV | 620 | 53,673 | ||||||
Chesapeake Energy Corporation, | ||||||||
5.75% CONV 144AD | 80 | 82,050 | ||||||
El Paso Energy | ||||||||
4.75%, 03/31/28 CONV | 5,350 | 312,922 | ||||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Cost $373,592) | 526,584 | |||||||
|
|
See Notes to Financial Statements.
89
Table of Contents
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
MONEY MARKET FUNDS — 9.9% | ||||||||
GuideStone Money Market | 7,846,288 | $ | 7,846,288 | |||||
Northern Institutional Liquid | 27,676,254 | 27,676,254 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $35,522,542) | 35,522,542 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 106.9% | ||||||||
(Cost $365,114,494) | 383,638,150 | |||||||
Liabilities in Excess of Other | (24,920,803 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 358,717,347 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
|
| |||||
% | ||||||
Corporate Bonds | 59.8 | |||||
Foreign Bonds | 24.1 | |||||
Money Market Funds | 9.9 | |||||
Municipal Bonds | 6.9 | |||||
U.S. Treasury Obligations | 4.3 | |||||
Asset-Backed Security | 1.4 | |||||
Mortgage-Backed Security | 0.4 | |||||
Preferred Stocks | 0.1 | |||||
|
| |||||
106.9 | ||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 5,163,986 | $ | — | $ | 5,163,986 | $ | — | ||||||||
Corporate Bonds | 214,398,998 | — | 212,231,621 | 2,167,377 | ||||||||||||
Foreign Bonds | 86,348,160 | — | 86,348,160 | — | ||||||||||||
Money Market Funds | 35,522,542 | 35,522,542 | — | — | ||||||||||||
Mortgage-Backed Security | 1,506,529 | — | 1,506,529 | — | ||||||||||||
Municipal Bonds | 24,634,249 | — | 24,634,249 | — | ||||||||||||
Preferred Stocks | 526,584 | 448,645 | — | 77,939 | ||||||||||||
U.S. Treasury Obligations | 15,537,102 | — | 15,537,102 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 383,638,150 | $ | 35,971,187 | $ | 345,421,647 | $ | 2,245,316 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ending June 30, 2013.
See Notes to Financial Statements.
90
Table of Contents
INFLATION PROTECTED BOND FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Par | Value | |||||||
U.S. TREASURY OBLIGATIONS — 95.1% |
| |||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
2.00%, 07/15/14 | $ | 200 | $ | 255 | ||||
1.63%, 01/15/15 | 410,000 | 519,516 | ||||||
0.50%, 04/15/15 | 10,656,900 | 11,728,182 | ||||||
1.88%, 07/15/15 | 2,943,700 | 3,743,718 | ||||||
2.00%, 01/15/16 | 4,235,000 | 5,333,150 | ||||||
0.13%, 04/15/16 | 27,530,600 | 29,769,068 | ||||||
2.50%, 07/15/16 | 5,067,200 | 6,453,696 | ||||||
0.13%, 04/15/17 | 8,173,300 | 8,591,749 | ||||||
0.13%, 04/15/18 | 12,040,000 | 12,434,460 | ||||||
1.38%, 07/15/18 | 1,300,000 | 1,532,476 | ||||||
2.13%, 01/15/19 | 475,900 | 583,414 | ||||||
1.88%, 07/15/19 | 2,240,000 | 2,753,452 | ||||||
1.38%, 01/15/20 | 3,370,000 | 3,953,029 | ||||||
1.25%, 07/15/20 | 2,430,000 | 2,818,266 | ||||||
1.13%, 01/15/21‡‡ | 8,245,000 | 9,384,990 | ||||||
0.63%, 07/15/21 | 1,320,000 | 1,407,491 | ||||||
0.13%, 01/15/22 | 11,059,200 | 11,143,390 | ||||||
0.13%, 07/15/22 | 4,945,000 | 4,894,465 | ||||||
0.13%, 01/15/23 | 20,954,000 | 20,489,572 | ||||||
2.38%, 01/15/25‡‡ | 8,280,200 | 12,188,504 | ||||||
2.00%, 01/15/26 | 2,275,000 | 3,083,682 | ||||||
2.38%, 01/15/27 | 3,040,000 | 4,228,984 | ||||||
1.75%, 01/15/28 | 4,915,000 | 6,124,353 | ||||||
3.63%, 04/15/28 | 3,455,000 | 6,907,243 | ||||||
2.50%, 01/15/29 | 5,135,000 | 6,871,711 | ||||||
3.88%, 04/15/29 | 4,360,000 | 8,905,704 | ||||||
3.38%, 04/15/32 | 512,100 | 944,502 | ||||||
2.13%, 02/15/40 | 2,647,600 | 3,470,055 | ||||||
2.13%, 02/15/41 | 3,728,900 | 4,834,595 | ||||||
0.75%, 02/15/42 | 6,574,400 | 5,977,554 | ||||||
0.63%, 02/15/43 | 5,050,000 | 4,310,337 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $209,677,021) | 205,381,563 | |||||||
|
| |||||||
FOREIGN GOVERNMENT INFLATION-LINKED BOND — 2.7% |
| |||||||
Italy — 2.7% | ||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
2.10%, 09/15/16(E) | 4,200,000 | 5,871,688 | ||||||
|
| |||||||
Total Foreign Government Inflation-Linked Bond |
| |||||||
(Cost $5,950,669) | 5,871,688 | |||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Call Options — 0.0% | ||||||||
2-Year Eurodollar Mid-Curve Option, Strike Price $98.88, Expires 09/13/13 (KS) | 210 | 65,625 | ||||||
|
| |||||||
Put Options — 0.1% | ||||||||
Euro vs. U.S. Dollar, Strike Price $1.30, Expires 09/13/13 (KS) | 1,500,000 | 31,866 |
Number of Contracts | Value | |||||||
U.S. Dollar vs. Japanese Yen, Strike Price $101.00, Expires 09/09/13 (KS) | 2,000,000 | $ | 36,952 | |||||
U.S. Dollar vs. Japanese Yen, Strike Price $98.00, Expires 09/09/13 (KS) | 1,000,000 | 25,792 | ||||||
|
| |||||||
94,610 | ||||||||
|
| |||||||
Total Purchased Options | ||||||||
(Cost $145,560) | 160,235 | |||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUND — 4.0% | ||||||||
GuideStone Money | 8,533,655 | 8,533,655 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 101.9% | ||||||||
(Cost $224,306,905) | 219,947,141 | |||||||
|
| |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
2-Year Eurodollar Mid-Curve Option, Strike Price $99.13, Expires 09/13/13 (KS) | (423 | ) | (34,369 | ) | ||||
Euro vs. U.S. Dollar, Strike Price $1.32, Expires 07/03/13 (BAR) | (2,300,000 | ) | (1,467 | ) | ||||
Euro vs. U.S. Dollar, Strike Price $1.36, Expires 09/13/13 (BAR) | (1,500,000 | ) | (3,606 | ) | ||||
Norwegian Krone vs. Australian Dollar, Strike Price $5.20, Expires 09/19/13 (KS) | (1,000,000 | ) | (4,151 | ) | ||||
U.S. Dollar vs. Japanese Yen, Strike Price $91.00, Expires 09/09/13 (KS) | (1,000,000 | ) | (3,564 | ) | ||||
U.S. Dollar vs. Japanese Yen, Strike Price $94.00, Expires 09/09/13 (KS) | (2,000,000 | ) | (15,172 | ) | ||||
U.S. Dollar vs. Japanese Yen, Strike Price $96.00, Expires 08/06/13 (KS) | (1,000,000 | ) | (6,960 | ) | ||||
|
| |||||||
(69,289 | ) | |||||||
|
| |||||||
Total Written Options | ||||||||
(Premiums received $(141,086)) | (69,289 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | (4,018,925 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 215,858,927 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
U.S. Treasury Obligations | 95.1 | |||
Money Market Fund | 4.0 | |||
Foreign Government Inflation-Linked Bond | 2.7 | |||
Futures Contracts | 0.5 | |||
Purchased Options | 0.1 | |||
Written Options | — | ** | ||
Forward Foreign Currency Contracts | (2.3 | ) | ||
|
| |||
100.1 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
91
Table of Contents
INFLATION PROTECTED BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 Government Inflation-Linked Bond | $ | 5,871,688 | $ | — | $ | 5,871,688 | $ | — | ||||||||
Money Market Fund | 8,533,655 | 8,533,655 | — | — | ||||||||||||
Purchased Options | 160,235 | — | 160,235 | — | ||||||||||||
U.S. Treasury Obligations | 205,381,563 | — | 205,381,563 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 219,947,141 | $ | 8,533,655 | $ | 211,413,486 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 60,050 | $ | 60,050 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 60,050 | $ | 60,050 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Written Options | $ | (69,289 | ) | $ | — | $ | (69,289 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (69,289 | ) | $ | — | $ | (69,289 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | (112,414 | ) | $ | — | $ | (112,414 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (112,414 | ) | $ | — | $ | (112,414 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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. |
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
See Notes to Financial Statements.
92
Table of Contents
GLOBAL BOND FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Par | Value | |||||||
CORPORATE BONDS — 30.1% | ||||||||
Acadia Healthcare Co., Inc. | ||||||||
12.88%, 11/01/18 | $ | 106,000 | $ | 127,730 | ||||
Access Midstream Partners LP | ||||||||
6.13%, 07/15/22 | 150,000 | 152,625 | ||||||
4.88%, 05/15/23D | 160,000 | 149,200 | ||||||
AES Corporation | ||||||||
8.00%, 06/01/20D | 350,000 | 400,750 | ||||||
Alcatel-Lucent USA, Inc. | ||||||||
6.45%, 03/15/29 | 75,000 | 57,188 | ||||||
Alcoa, Inc. | ||||||||
5.87%, 02/23/22D | 5,000 | 4,873 | ||||||
6.75%, 01/15/28 | 185,000 | 184,262 | ||||||
5.95%, 02/01/37D | 65,000 | 58,117 | ||||||
Ally Financial, Inc. | ||||||||
7.50%, 12/31/13D | 15,000 | 15,412 | ||||||
6.75%, 12/01/14 | 399,000 | 419,189 | ||||||
5.50%, 02/15/17D | 70,000 | 73,436 | ||||||
8.00%, 12/31/18 | 104,000 | 118,040 | ||||||
8.00%, 03/15/20D | 200,000 | 233,250 | ||||||
7.50%, 09/15/20 | 415,000 | 479,844 | ||||||
8.00%, 11/01/31 | 345,000 | 416,588 | ||||||
Altegrity, Inc. | ||||||||
10.50%, 11/01/15 144A | 65,000 | 58,825 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
7.75%, 11/15/19D | 70,000 | 77,350 | ||||||
6.25%, 03/15/21D | 30,000 | 30,638 | ||||||
6.63%, 10/15/22D | 150,000 | 153,000 | ||||||
American International Group, Inc. | ||||||||
5.45%, 05/18/17 | 25,000 | 27,607 | ||||||
Anadarko Petroleum Corporation | ||||||||
5.95%, 09/15/16 | 10,000 | 11,225 | ||||||
6.38%, 09/15/17 | 120,000 | 138,127 | ||||||
Appleton Papers, Inc. | ||||||||
11.25%, 12/15/15 | 102,000 | 113,730 | ||||||
Arch Coal, Inc. | ||||||||
9.88%, 06/15/19 144AD | 400,000 | 382,000 | ||||||
AT&T, Inc. | ||||||||
3.88%, 08/15/21 | 60,000 | 61,991 | ||||||
6.55%, 02/15/39 | 220,000 | 253,454 | ||||||
Atlas Pipeline Partners LP | ||||||||
4.75%, 11/15/21 144AD | 110,000 | 99,138 | ||||||
Ball Corporation | ||||||||
5.75%, 05/15/21D | 380,000 | 401,850 | ||||||
Bank of America Corporation | ||||||||
4.63%, 08/07/17(E) | 300,000 | 432,173 | ||||||
5.49%, 03/15/19 | 100,000 | 107,956 | ||||||
5.00%, 05/13/21 | 100,000 | 106,800 | ||||||
5.20%, 12/29/49† | 550,000 | 519,750 | ||||||
Baxter International, Inc. | ||||||||
4.50%, 06/15/43D | 230,000 | 230,670 | ||||||
Beazer Homes USA, Inc. | ||||||||
7.25%, 02/01/23 144A | 50,000 | 50,750 | ||||||
Calpine Corporation | ||||||||
7.88%, 01/15/23 144A | 392,000 | 423,360 | ||||||
Calumet Specialty Products Partners LP | ||||||||
9.38%, 05/01/19 | 270,000 | 290,250 | ||||||
CCO Holdings LLC | ||||||||
7.00%, 01/15/19 | 230,000 | 244,950 | ||||||
6.50%, 04/30/21D | 190,000 | 199,025 |
Par | Value | |||||||
Cemex Finance LLC | ||||||||
9.38%, 10/12/22D | $ | 350,000 | $ | 383,250 | ||||
Chesapeake Energy Corporation | ||||||||
6.63%, 08/15/20D | 5,000 | 5,400 | ||||||
6.88%, 11/15/20D | 75,000 | 81,750 | ||||||
5.75%, 03/15/23D | 140,000 | 142,100 | ||||||
2.75%, 11/15/35 CONV | 110,000 | 109,725 | ||||||
2.50%, 05/15/37 CONVD | 290,000 | 274,594 | ||||||
2.25%, 12/15/38 CONVD | 25,000 | 22,031 | ||||||
Ciena Corporation | ||||||||
0.88%, 06/15/17 CONVD | 135,000 | 130,444 | ||||||
3.75%, 10/15/18 CONV 144A | 415,000 | 521,344 | ||||||
Cincinnati Bell Telephone Co. LLC | ||||||||
6.30%, 12/01/28 | 155,000 | 147,250 | ||||||
Citigroup, Inc. | ||||||||
7.38%, 09/04/19(E) | 380,000 | 626,087 | ||||||
3.50%, 05/15/23 | 1,305,000 | 1,174,449 | ||||||
5.35%, 04/29/49† | 360,000 | 339,013 | ||||||
Cleaver-Brooks, Inc. | ||||||||
8.75%, 12/15/19 144A | 110,000 | 115,775 | ||||||
Cliffs Natural Resources, Inc. | ||||||||
3.95%, 01/15/18D | 200,000 | 191,277 | ||||||
Colorado Interstate Gas Co. LLC | ||||||||
5.95%, 03/15/15 | 20,000 | 21,643 | ||||||
6.80%, 11/15/15 | 125,000 | 141,619 | ||||||
Comcast Corporation | ||||||||
5.15%, 03/01/20 | 170,000 | 194,637 | ||||||
Compiler Finance Sub, Inc. | ||||||||
7.00%, 05/01/21 144A | 10,000 | 9,750 | ||||||
Concho Resources, Inc. | ||||||||
5.50%, 10/01/22D | 520,000 | 517,400 | ||||||
ConocoPhillips | ||||||||
6.50%, 02/01/39 | 20,000 | 25,247 | ||||||
CONSOL Energy, Inc. | ||||||||
8.25%, 04/01/20D | 210,000 | 221,025 | ||||||
Continental Airlines 2007-1 | ||||||||
5.98%, 10/19/23 | 478,099 | 530,690 | ||||||
Continental Airlines 2009-1 | ||||||||
9.00%, 01/08/18 | 1,037,656 | 1,190,710 | ||||||
Continental Resources, Inc. | ||||||||
4.50%, 04/15/23 144AD | 170,000 | 165,538 | ||||||
Continental Rubber of America Corporation | ||||||||
4.50%, 09/15/19 144AD | 350,000 | 362,136 | ||||||
Countrywide Financial Corporation | ||||||||
6.25%, 05/15/16D | 280,000 | 305,537 | ||||||
CSC Holdings LLC | ||||||||
6.75%, 11/15/21 | 250,000 | 270,625 | ||||||
CST Brands, Inc. | ||||||||
5.00%, 05/01/23 144A | 20,000 | 19,600 | ||||||
Cummins, Inc. | ||||||||
5.65%, 03/01/98 | 1,340,000 | 1,274,486 | ||||||
DAE Aviation Holdings, Inc. | ||||||||
11.25%, 08/01/15 144AD | 120,000 | 120,600 | ||||||
Delta Air Lines 2007-1 | ||||||||
8.02%, 02/10/24 | 73,678 | 80,493 |
See Notes to Financial Statements.
93
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GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
DISH DBS Corporation | ||||||||
5.88%, 07/15/22 144A | $ | 600,000 | $ | 612,000 | ||||
Dynegy Holdings Escrow | ||||||||
6.25%, 06/01/19+W†# | 893,000 | — | ||||||
El Paso LLC | ||||||||
7.75%, 01/15/32 | 50,000 | 53,371 | ||||||
El Paso Natural Gas Co. LLC | ||||||||
8.63%, 01/15/22D | 90,000 | 116,306 | ||||||
8.38%, 06/15/32 | 75,000 | 99,624 | ||||||
El Pollo Loco, Inc. | ||||||||
17.00%, 01/01/18 PIK 144AD | 181,667 | 192,567 | ||||||
Embarq Corporation | ||||||||
8.00%, 06/01/36 | 995,000 | 1,052,696 | ||||||
Enterprise Products Operating LLC | ||||||||
9.75%, 01/31/14 | 100,000 | 105,071 | ||||||
8.38%, 08/01/66† | 60,000 | 66,946 | ||||||
ERAC USA Finance LLC | ||||||||
7.00%, 10/15/37 144A | 1,065,000 | 1,257,991 | ||||||
EXCO Resources, Inc. | ||||||||
7.50%, 09/15/18D | 200,000 | 188,000 | ||||||
First Quality Finance Co., Inc. | ||||||||
4.63%, 05/15/21 144AD | 30,000 | 28,650 | ||||||
FirstEnergy Corporation | ||||||||
7.38%, 11/15/31 | 185,000 | 195,599 | ||||||
Ford Motor Co. | ||||||||
4.25%, 11/15/16 CONV | 830,000 | 1,503,856 | ||||||
6.63%, 10/01/28D | 850,000 | 930,965 | ||||||
Ford Motor Credit Co. LLC | ||||||||
12.00%, 05/15/15D | 100,000 | 118,668 | ||||||
8.13%, 01/15/20 | 520,000 | 628,328 | ||||||
Freescale Semiconductor, Inc. | ||||||||
10.13%, 12/15/16 | 56,000 | 57,610 | ||||||
Fresenius US Finance II, Inc. | ||||||||
8.75%, 07/15/15 144A(E) | 30,000 | 44,028 | ||||||
Frontier Communications Corporation | ||||||||
7.88%, 01/15/27 | 405,000 | 394,369 | ||||||
General Electric Capital Corporation | ||||||||
7.63%, 12/10/14(Z) | 1,025,000 | 837,472 | ||||||
4.88%, 03/04/15 | 370,000 | 394,010 | ||||||
6.50%, 09/28/15(Z) | 255,000 | 206,404 | ||||||
6.75%, 09/26/16(Z) | 150,000 | 123,979 | ||||||
3.15%, 09/07/22D | 330,000 | 312,436 | ||||||
6.75%, 03/15/32 | 30,000 | 36,073 | ||||||
6.88%, 01/10/39 | 200,000 | 247,300 | ||||||
General Motors Financial Co., Inc. | ||||||||
2.75%, 05/15/16 144A | 10,000 | 9,856 | ||||||
4.25%, 05/15/23 144A | 30,000 | 28,012 | ||||||
Georgia-Pacific LLC | ||||||||
8.88%, 05/15/31 | 605,000 | 847,301 | ||||||
Gerdau Holdings, Inc. | ||||||||
7.00%, 01/20/20D | 240,000 | 254,400 | ||||||
Goldman Sachs Group, Inc. | ||||||||
4.75%, 10/12/21(E)D | 150,000 | 205,151 | ||||||
6.75%, 10/01/37 | 355,000 | 364,743 | ||||||
Goodyear Tire & Rubber Co. | ||||||||
7.00%, 03/15/28D | 690,000 | 685,688 | ||||||
Gulfmark Offshore, Inc. | ||||||||
6.38%, 03/15/22D | 220,000 | 219,450 |
Par | Value | |||||||
Hanover Insurance Group, Inc. | ||||||||
7.50%, 03/01/20 | $ | 385,000 | $ | 443,081 | ||||
Hawk Acquisition Sub, Inc. | ||||||||
4.25%, 10/15/20 144AD | 70,000 | 67,112 | ||||||
HCA, Inc. | ||||||||
6.38%, 01/15/15 | �� | 150,000 | 157,500 | |||||
7.19%, 11/15/15 | 205,000 | 221,912 | ||||||
7.50%, 12/15/23 | 555,000 | 579,975 | ||||||
8.36%, 04/15/24 | 90,000 | 102,150 | ||||||
7.69%, 06/15/25D | 775,000 | 840,875 | ||||||
7.58%, 09/15/25 | 570,000 | 607,050 | ||||||
Hercules Offshore, Inc. | ||||||||
10.50%, 10/15/17 144A | 80,000 | 85,800 | ||||||
8.75%, 07/15/21+ 144A | 785,000 | 785,000 | ||||||
Hiland Partners LP | ||||||||
7.25%, 10/01/20 144A | 100,000 | 103,500 | ||||||
Idearc, Inc. Escrow | ||||||||
0.00%, 11/15/16+W†# | 185,000 | — | ||||||
ING Capital Funding Trust III | ||||||||
3.87%, 12/29/49†D | 160,000 | 154,400 | ||||||
Intel Corporation | ||||||||
2.95%, 12/15/35 CONVD | 580,000 | 632,562 | ||||||
3.25%, 08/01/39 CONVD | 460,000 | 587,077 | ||||||
International Lease Finance Corporation | ||||||||
5.65%, 06/01/14D | 80,000 | 81,700 | ||||||
8.63%, 09/15/15 | 450,000 | 494,438 | ||||||
3.88%, 04/15/18D | 10,000 | 9,419 | ||||||
5.88%, 04/01/19D | 210,000 | 213,150 | ||||||
6.25%, 05/15/19 | 155,000 | 160,038 | ||||||
5.88%, 08/15/22D | 215,000 | 213,172 | ||||||
iStar Financial, Inc. | ||||||||
5.70%, 03/01/14D | 62,000 | 63,085 | ||||||
6.05%, 04/15/15 | 20,000 | 20,500 | ||||||
5.88%, 03/15/16D | 22,000 | 22,550 | ||||||
3.88%, 07/01/16D | 30,000 | 28,875 | ||||||
3.00%, 11/15/16 CONV | 80,000 | 95,100 | ||||||
7.13%, 02/15/18D | 150,000 | 156,375 | ||||||
4.88%, 07/01/18 | 95,000 | 89,538 | ||||||
JC Penney Corporation, Inc. | ||||||||
6.38%, 10/15/36D | 650,000 | 510,250 | ||||||
7.40%, 04/01/37 | 5,000 | 4,088 | ||||||
7.63%, 03/01/97D | 1,300,000 | 968,500 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 04/13/18D | 55,000 | 57,750 | ||||||
6.88%, 04/15/21 | 270,000 | 298,294 | ||||||
5.13%, 01/20/23 | 305,000 | 303,214 | ||||||
6.45%, 06/08/27 | 35,000 | 34,650 | ||||||
3.88%, 11/01/29 CONV | 55,000 | 58,816 | ||||||
6.25%, 01/15/36 | 135,000 | 130,950 | ||||||
Jones Group, Inc. | ||||||||
6.13%, 11/15/34D | 135,000 | 108,000 | ||||||
JPMorgan Chase & Co. | ||||||||
4.25%, 11/02/18(Z) | 360,000 | 269,162 | ||||||
4.50%, 01/24/22 | 160,000 | 167,837 | ||||||
3.38%, 05/01/23D | 400,000 | 373,230 | ||||||
JPMorgan Chase Bank NA | ||||||||
4.38%, 11/30/21(E)† | 350,000 | 472,992 | ||||||
K Hovnanian Enterprises, Inc. | ||||||||
5.00%, 11/01/21 | 795,000 | 724,444 | ||||||
Key Energy Services, Inc. | ||||||||
6.75%, 03/01/21D | 170,000 | 164,050 |
See Notes to Financial Statements.
94
Table of Contents
Par | Value | |||||||
Kinder Morgan Energy Partners LP | ||||||||
6.50%, 02/01/37 | $ | 75,000 | $ | 84,174 | ||||
6.95%, 01/15/38 | 90,000 | 106,746 | ||||||
Lantheus Medical Imaging, Inc. | ||||||||
9.75%, 05/15/17 | 80,000 | 71,000 | ||||||
Lennar Corporation | ||||||||
5.60%, 05/31/15 | 1,400,000 | 1,477,000 | ||||||
Level 3 Financing, Inc. | ||||||||
9.38%, 04/01/19D | 20,000 | 21,700 | ||||||
7.00%, 06/01/20 | 730,000 | 731,825 | ||||||
8.63%, 07/15/20 | 220,000 | 235,125 | ||||||
Lynx II Corporation | ||||||||
7.00%, 04/15/23 144A(U) | 130,000 | 197,725 | ||||||
Magnum Hunter Resources Corporation | ||||||||
9.75%, 05/15/20 144A | 120,000 | 122,400 | ||||||
Masco Corporation | ||||||||
5.85%, 03/15/17 | 90,000 | 95,400 | ||||||
7.75%, 08/01/29 | 250,000 | 277,235 | ||||||
6.50%, 08/15/32 | 175,000 | 175,000 | ||||||
MBIA Insurance Corporation | ||||||||
11.54%, 01/15/33 144A† | 435,000 | 376,275 | ||||||
Merrill Lynch & Co., Inc. | ||||||||
6.05%, 06/01/34 | 700,000 | 750,893 | ||||||
6.11%, 01/29/37 | 1,300,000 | 1,283,621 | ||||||
Mirant Mid Atlantic Pass Through Trust | ||||||||
10.06%, 12/30/28 | 165,630 | 183,286 | ||||||
Molycorp, Inc. | ||||||||
10.00%, 06/01/20D | 150,000 | 146,250 | ||||||
Morgan Stanley | ||||||||
4.75%, 04/01/14D | 40,000 | 40,877 | ||||||
4.75%, 11/16/18(A) | 275,000 | 249,253 | ||||||
5.75%, 01/25/21 | 700,000 | 760,989 | ||||||
6.25%, 08/09/26 | 400,000 | 439,387 | ||||||
Motorola Solutions, Inc. | ||||||||
6.63%, 11/15/37 | 105,000 | 109,050 | ||||||
Mutual of Omaha Insurance Co. | ||||||||
6.80%, 06/15/36 144A | 1,200,000 | 1,391,208 | ||||||
NBCUniversal Enterprise, Inc. | ||||||||
1.97%, 04/15/19 144A | 410,000 | 399,577 | ||||||
NES Rentals Holdings, Inc. | ||||||||
7.88%, 05/01/18 144A | 60,000 | 59,400 | ||||||
Old Republic International Corporation | ||||||||
3.75%, 03/15/18 CONVD | 1,600,000 | 1,808,000 | ||||||
Owens Corning | ||||||||
7.00%, 12/01/36 | 220,000 | 236,111 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
3.00%, 06/01/15 CONV 144A | 840,000 | 854,700 | ||||||
Pacific Gas & Electric Co. | ||||||||
4.60%, 06/15/43 | 150,000 | 148,263 | ||||||
Pactiv LLC | ||||||||
8.38%, 04/15/27D | 200,000 | 179,000 | ||||||
Parker Drilling Co. | ||||||||
9.13%, 04/01/18D | 400,000 | 425,000 | ||||||
Peabody Energy Corporation | ||||||||
6.50%, 09/15/20D | 490,000 | 493,675 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.63%, 06/15/35 | 516,000 | 544,380 |
Par | Value | |||||||
Penn Mutual Life Insurance Co. | ||||||||
7.63%, 06/15/40 144A | $ | 685,000 | $ | 892,744 | ||||
Pioneer Natural Resources Co. | ||||||||
5.88%, 07/15/16 | 900,000 | 1,004,414 | ||||||
Plains Exploration & Production Co. | ||||||||
8.63%, 10/15/19D | 55,000 | 60,549 | ||||||
ProLogis LP | ||||||||
6.63%, 05/15/18 | 15,000 | 17,283 | ||||||
QEP Resources, Inc. | ||||||||
6.88%, 03/01/21D | 290,000 | 313,925 | ||||||
Quicksilver Resources, Inc. | ||||||||
11.00%, 07/01/21 144AD | 90,000 | 80,100 | ||||||
Qwest Capital Funding, Inc. | ||||||||
6.50%, 11/15/18 | 225,000 | 249,750 | ||||||
Qwest Corporation | ||||||||
7.25%, 09/15/25D | 105,000 | 117,648 | ||||||
6.88%, 09/15/33D | 2,500,000 | 2,431,250 | ||||||
7.25%, 10/15/35 | 110,000 | 111,100 | ||||||
Rain CII Carbon LLC | ||||||||
8.50%, 01/15/21(E) | 100,000 | 130,815 | ||||||
Range Resources Corporation | ||||||||
6.75%, 08/01/20D | 510,000 | 549,525 | ||||||
Regency Energy Partners LP | ||||||||
5.50%, 04/15/23 | 450,000 | 445,500 | ||||||
Reliance Holdings USA, Inc. | ||||||||
4.50%, 10/19/20 144AD | 290,000 | 285,675 | ||||||
Republic Services, Inc. | ||||||||
4.75%, 05/15/23 | 90,000 | 95,430 | ||||||
Resolute Forest Products, Inc. | ||||||||
5.88%, 05/15/23 144A | 70,000 | 62,825 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
9.00%, 04/15/19 | 330,000 | 342,375 | ||||||
5.75%, 10/15/20 | 60,000 | 60,600 | ||||||
Rock Tenn Co. | ||||||||
4.00%, 03/01/23 | 600,000 | 579,265 | ||||||
Ryerson, Inc. | ||||||||
9.00%, 10/15/17 144A | 440,000 | 448,250 | ||||||
Sanchez Energy Corporation | ||||||||
7.75%, 06/15/21 144A | 100,000 | 97,750 | ||||||
SandRidge Energy, Inc. | ||||||||
7.50%, 02/15/23D | 250,000 | 238,750 | ||||||
Service Corporation International | ||||||||
7.50%, 04/01/27 | 75,000 | 82,312 | ||||||
ServiceMaster Co. | ||||||||
7.00%, 08/15/20D | 520,000 | 495,950 | ||||||
Simon Property Group LP | ||||||||
5.75%, 12/01/15D | 25,000 | 27,560 | ||||||
SLM Corporation | ||||||||
8.45%, 06/15/18 | 769,000 | 857,435 | ||||||
8.00%, 03/25/20 | 10,000 | 10,862 | ||||||
5.50%, 01/25/23D | 950,000 | 909,104 | ||||||
Southern Copper Corporation | ||||||||
5.38%, 04/16/20 | 70,000 | 74,530 | ||||||
6.75%, 04/16/40 | 450,000 | 446,944 | ||||||
5.25%, 11/08/42 | 200,000 | 165,116 | ||||||
Springleaf Finance Corporation | ||||||||
5.75%, 09/15/16D | 700,000 | 686,000 | ||||||
6.50%, 09/15/17 | 400,000 | 388,000 | ||||||
6.90%, 12/15/17 | 200,000 | 197,250 | ||||||
Sprint Capital Corporation | ||||||||
6.88%, 11/15/28 | 50,000 | 48,250 | ||||||
8.75%, 03/15/32 | 745,000 | 823,225 |
See Notes to Financial Statements.
95
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Steel Dynamics, Inc. | ||||||||
7.63%, 03/15/20D | $ | 100,000 | $ | 107,000 | ||||
6.38%, 08/15/22 144A | 400,000 | 424,000 | ||||||
Targa Resources Partners LP | ||||||||
4.25%, 11/15/23 144AD | 110,000 | 98,725 | ||||||
Taylor Morrison Communities, Inc. | ||||||||
5.25%, 04/15/21 144A | 130,000 | 123,825 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/39 144A | 100,000 | 122,536 | ||||||
Tenet Healthcare Corporation | ||||||||
6.88%, 11/15/31D | 85,000 | 73,525 | ||||||
Tesoro Logistics LP | ||||||||
5.88%, 10/01/20 144A | 180,000 | 178,200 | ||||||
Textron Financial Corporation | ||||||||
5.13%, 08/15/14 | 30,000 | 30,880 | ||||||
Textron, Inc. | ||||||||
6.63%, 04/07/20(U) | 130,000 | 225,827 | ||||||
Time Warner Cable, Inc. | ||||||||
8.75%, 02/14/19 | 190,000 | 233,488 | ||||||
8.25%, 04/01/19 | 40,000 | 48,216 | ||||||
Time Warner, Inc. | ||||||||
4.00%, 01/15/22D | 100,000 | 102,153 | ||||||
Toys “R” Us, Inc. | ||||||||
7.38%, 10/15/18D | 335,000 | 304,012 | ||||||
TransDigm, Inc. | ||||||||
7.50%, 07/15/21 144A | 970,000 | 994,250 | ||||||
tw telecom holdings, Inc. | ||||||||
5.38%, 10/01/22 | 380,000 | 379,050 | ||||||
United Air Lines 2007-1 Pass-Through Trust | ||||||||
6.64%, 01/02/24 | 232,329 | 248,592 | ||||||
United Air Lines 2009-1 Pass-Through Trust | ||||||||
10.40%, 05/01/18 | 53,688 | 61,741 | ||||||
United Rentals North America, Inc. | ||||||||
8.38%, 09/15/20D | 270,000 | 293,625 | ||||||
United States Steel Corporation | ||||||||
2.75%, 04/01/19 CONV | 190,000 | 188,456 | ||||||
Univision Communications, Inc. | ||||||||
7.88%, 11/01/20 144AD | 150,000 | 163,125 | ||||||
5.13%, 05/15/23 144AD | 60,000 | 57,000 | ||||||
US Airways 2012-1 Class A Pass Through Trust | ||||||||
5.90%, 04/01/26D | 334,396 | 351,116 | ||||||
US Airways 2012-1 Class B Pass Through Trust | ||||||||
8.00%, 04/01/21D | 584,578 | 634,267 | ||||||
US Airways 2012-1 Class C Pass Through Trust | ||||||||
9.13%, 10/01/15 | 514,609 | 545,486 | ||||||
US Airways 2012-2 Class A Pass Through Trust | ||||||||
4.63%, 12/03/26 | 270,000 | 267,131 | ||||||
US Oncology, Inc. Escrow | ||||||||
9.12%, 08/15/17+ | 155,000 | — | ||||||
USG Corporation | ||||||||
6.30%, 11/15/16D | 1,250,000 | 1,281,250 | ||||||
Valeant Pharmaceuticals International | ||||||||
6.38%, 10/15/20 144A | 360,000 | 357,750 |
Par | Value | |||||||
Vanguard Health Holding Co. II LLC | ||||||||
8.00%, 02/01/18D | $ | 105,000 | $ | 111,825 | ||||
Verizon Communications, Inc. | ||||||||
6.00%, 04/01/41 | 360,000 | 405,348 | ||||||
Verizon Pennsylvania LLC | ||||||||
6.00%, 12/01/28 | 35,000 | 36,789 | ||||||
Wachovia Corporation | ||||||||
5.25%, 08/01/14 | 120,000 | 125,377 | ||||||
Watco Cos., LLC | ||||||||
6.38%, 04/01/23 144A | 100,000 | 100,000 | ||||||
WellPoint, Inc. | ||||||||
7.00%, 02/15/19 | 80,000 | 96,160 | ||||||
Westvaco Corporation | ||||||||
8.20%, 01/15/30 | 145,000 | 172,011 | ||||||
7.95%, 02/15/31 | 45,000 | 52,081 | ||||||
Weyerhaeuser Co. | ||||||||
8.50%, 01/15/25 | 405,000 | 528,793 | ||||||
6.95%, 10/01/27D | 55,000 | 63,075 | ||||||
7.38%, 03/15/32 | 370,000 | 445,382 | ||||||
6.88%, 12/15/33 | 490,000 | 561,439 | ||||||
Williams Cos., Inc. | ||||||||
7.50%, 01/15/31 | 60,000 | 68,531 | ||||||
WPX Energy, Inc. | ||||||||
6.00%, 01/15/22 144A | 150,000 | 152,250 | ||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost $72,129,288) | 80,219,302 | |||||||
|
| |||||||
FOREIGN BONDS — 35.8% | ||||||||
Argentina — 0.2% | ||||||||
Argentina Boden Bonds | ||||||||
7.00%, 10/03/15D | 452,000 | 392,788 | ||||||
Pan American Energy LLC | ||||||||
7.88%, 05/07/21D | 156,000 | 151,710 | ||||||
7.88%, 05/07/21 144A | 61,000 | 59,322 | ||||||
|
| |||||||
603,820 | ||||||||
|
| |||||||
Australia — 1.4% | ||||||||
FMG Resources August 2006 Proprietary, Ltd. | ||||||||
7.00%, 11/01/15 144AD | 30,000 | 30,450 | ||||||
8.25%, 11/01/19 144AD | 40,000 | 41,400 | ||||||
6.88%, 04/01/22 144AD | 370,000 | 360,288 | ||||||
New South Wales Treasury Corporation | ||||||||
6.00%, 02/01/18(A) | 2,620,000 | 2,645,448 | ||||||
Queensland Treasury Corporation | ||||||||
7.13%, 09/18/17 144A(Z) | 275,000 | 236,519 | ||||||
Rio Tinto Finance (USA), Ltd. | ||||||||
9.00%, 05/01/19 | 190,000 | 247,121 | ||||||
St Barbara, Ltd. | ||||||||
8.88%, 04/15/18 144AD | 200,000 | 185,000 | ||||||
|
| |||||||
3,746,226 | ||||||||
|
| |||||||
Bermuda — 0.8% | ||||||||
Alliance Oil Co, Ltd. | ||||||||
7.00%, 05/04/20 144A | 320,000 | 292,400 | ||||||
Digicel Group Ltd. | ||||||||
8.25%, 09/30/20 | 350,000 | 364,000 | ||||||
Qtel International Finance, Ltd. | ||||||||
4.75%, 02/16/21 144A | 200,000 | 208,360 | ||||||
Sirius International Group, Ltd. | ||||||||
6.38%, 03/20/17 144A | 1,250,000 | 1,367,781 | ||||||
|
| |||||||
2,232,541 | ||||||||
|
|
See Notes to Financial Statements.
96
Table of Contents
Par | Value | |||||||
Brazil — 2.2% | ||||||||
Brazil Notas do Tesouro Nacional | ||||||||
10.00%, 01/01/14(B) | $ | 131,000 | $ | 61,835 | ||||
10.00%, 01/01/17(B) | 4,207,000 | 1,937,603 | ||||||
10.00%, 01/01/21(B) | 1,000,000 | 450,101 | ||||||
Centrais Eletricas Brasileiras SA | ||||||||
5.75%, 10/27/21D | 200,000 | 194,500 | ||||||
Federal Republic of Brazil | ||||||||
10.25%, 01/10/28(B)D | 5,250,000 | 2,423,421 | ||||||
Hypermarcas SA | ||||||||
6.50%, 04/20/21 144A | 150,000 | 152,250 | ||||||
Samarco Mineracao SA | ||||||||
4.13%, 11/01/22 144A | 275,000 | 246,813 | ||||||
Telemar Norte Leste SA | ||||||||
5.50%, 10/23/20 | 100,000 | 93,500 | ||||||
5.50%, 10/23/20 144A | 110,000 | 102,850 | ||||||
Vale SA | ||||||||
5.63%, 09/11/42D | 395,000 | 346,569 | ||||||
|
| |||||||
6,009,442 | ||||||||
|
| |||||||
Canada — 3.2% | ||||||||
Atlantic Power Corporation | ||||||||
9.00%, 11/15/18 144A | 310,000 | 316,200 | ||||||
Canadian Government Bond | ||||||||
2.50%, 06/01/15(C) | 4,720,000 | 4,597,427 | ||||||
Kodiak Oil & Gas Corporation | ||||||||
8.13%, 12/01/19 | 90,000 | 98,100 | ||||||
Methanex Corporation | ||||||||
5.25%, 03/01/22 | 75,000 | 78,756 | ||||||
Province of Manitoba | ||||||||
6.38%, 09/01/15(Z) | 815,000 | 667,473 | ||||||
Province of Quebec | ||||||||
6.75%, 11/09/15(Z) | 2,650,000 | 2,192,891 | ||||||
Stone Container Finance Company of Canada II Escrow | ||||||||
5.41%, 07/15/14+W | 330,000 | 6,600 | ||||||
Thompson Creek Metals Co., Inc. | ||||||||
12.50%, 05/01/19D | 120,000 | 115,800 | ||||||
VPII Escrow Corporation | ||||||||
7.50%, 07/15/21 144A | 390,000 | 404,137 | ||||||
|
| |||||||
8,477,384 | ||||||||
|
| |||||||
Cayman Islands — 1.2% | ||||||||
Braskem Finance, Ltd. | ||||||||
7.00%, 05/07/20 | 350,000 | 372,750 | ||||||
5.75%, 04/15/21D | 200,000 | 196,000 | ||||||
Fibria Overseas Finance, Ltd. | ||||||||
6.75%, 03/03/21 | 250,000 | 270,375 | ||||||
Odebrecht Finance, Ltd. | ||||||||
4.38%, 04/25/25 144A | 870,000 | 780,825 | ||||||
Petrobras International Finance Co. | ||||||||
6.88%, 01/20/40D | 390,000 | 397,596 | ||||||
6.75%, 01/27/41 | 270,000 | 271,096 | ||||||
Suzano Trading, Ltd. | ||||||||
5.88%, 01/23/21 144AD | 250,000 | 237,500 | ||||||
Vale Overseas, Ltd. | ||||||||
6.88%, 11/21/36 | 592,000 | 602,353 | ||||||
|
| |||||||
3,128,495 | ||||||||
|
|
Par | Value | |||||||
Chile — 0.5% | ||||||||
AES Gener SA | ||||||||
5.25%, 08/15/21 144AD | $ | 220,000 | $ | 228,003 | ||||
Celulosa Arauco y Constitucion SA | ||||||||
7.25%, 07/29/19 | 120,000 | 137,872 | ||||||
4.75%, 01/11/22D | 255,000 | 254,540 | ||||||
Colbun SA | ||||||||
6.00%, 01/21/20D | 100,000 | 107,010 | ||||||
6.00%, 01/21/20 144AD | 110,000 | 117,711 | ||||||
Corporation Nacional del Cobre de Chile | ||||||||
3.88%, 11/03/21 144AD | 220,000 | 215,680 | ||||||
Inversiones CMPC SA | ||||||||
4.75%, 01/19/18 144A | 200,000 | 211,308 | ||||||
|
| |||||||
1,272,124 | ||||||||
|
| |||||||
Colombia — 0.5% | ||||||||
Ecopetrol SA | ||||||||
7.63%, 07/23/19D | 680,000 | 805,831 | ||||||
Empresa de Energia de Bogota SA | ||||||||
6.13%, 11/10/21 144A | 250,000 | 260,000 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
7.63%, 07/29/19 144A | 120,000 | 138,000 | ||||||
Transportadora de Gas Internacional SA ESP | ||||||||
5.70%, 03/20/22 | 260,000 | 269,750 | ||||||
|
| |||||||
1,473,581 | ||||||||
|
| |||||||
Croatia (Hrvatska) — 0.1% | ||||||||
Croatia Government International Bond | ||||||||
5.50%, 04/04/23 144AD | 300,000 | 292,500 | ||||||
|
| |||||||
Czech Republic — 0.1% | ||||||||
EP Energy AS | ||||||||
5.88%, 11/01/19 144A(E) | 120,000 | 165,959 | ||||||
|
| |||||||
France — 0.6% | ||||||||
AXA SA | ||||||||
6.21%, 10/29/49(E)†D | 210,000 | 274,507 | ||||||
Compagnie Generale de Geophysique—Veritas | ||||||||
9.50%, 05/15/16 | 650,000 | 681,687 | ||||||
Electricite de France SA | ||||||||
5.25%, 01/29/49 144A† | 380,000 | 363,951 | ||||||
Europcar Groupe SA | ||||||||
11.50%, 05/15/17(E) | 123,000 | 178,514 | ||||||
Rexel SA | ||||||||
5.25%, 06/15/20 144A | 210,000 | 210,525 | ||||||
|
| |||||||
1,709,184 | ||||||||
|
| |||||||
Germany — 5.9% | ||||||||
Bundesrepublik Deutschland | ||||||||
4.00%, 07/04/16(E) | 2,000 | 2,888 | ||||||
3.75%, 01/04/19(E) | 4,570,000 | 6,867,557 | ||||||
3.25%, 01/04/20(E) | 4,240,000 | 6,282,900 | ||||||
3.25%, 07/04/21(E) | 1,300,000 | 1,939,778 | ||||||
Kabel Deutschland Holding AG | ||||||||
6.50%, 07/31/17 144A(E) | 100,000 | 140,252 | ||||||
Kabel Deutschland Vertrieb und Service GmbH | ||||||||
6.50%, 06/29/18 144A(E) | 160,000 | 222,190 |
See Notes to Financial Statements.
97
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
KM Germany Holdings GmbH | ||||||||
8.75%, 12/15/20 144A(E) | $ | 100,000 | $ | 134,199 | ||||
Rearden G Holdings EINS GmbH | ||||||||
7.88%, 03/30/20 144AD | 200,000 | 206,000 | ||||||
|
| |||||||
15,795,764 | ||||||||
|
| |||||||
Iceland — 0.0% | ||||||||
Kaupthing Bank HF | ||||||||
7.13%, 05/19/16+ 144A# | 150,000 | 2 | ||||||
|
| |||||||
Indonesia — 0.4% | ||||||||
Indonesia Government International Bond | ||||||||
6.63%, 02/17/37 | 225,000 | 246,094 | ||||||
5.25%, 01/17/42 144AD | 570,000 | 544,350 | ||||||
Pertamina Persero PT | ||||||||
5.25%, 05/23/21 144A | 200,000 | 199,000 | ||||||
|
| |||||||
989,444 | ||||||||
|
| |||||||
Ireland — 1.9% | ||||||||
Ardagh Glass Finance PLC | ||||||||
7.13%, 06/15/17 144A(E) | 112,000 | 147,067 | ||||||
Ardagh Packaging Finance PLC | ||||||||
9.13%, 10/15/20 144AD | 200,000 | 213,250 | ||||||
7.00%, 11/15/20 144A | 200,000 | 193,250 | ||||||
EDC Finance, Ltd. | ||||||||
4.88%, 04/17/20 144A | 300,000 | 275,250 | ||||||
Eircom Finance, Ltd. | ||||||||
9.25%, 05/15/20 144A(E)D | 200,000 | 242,105 | ||||||
Ireland Government Bond | ||||||||
4.50%, 10/18/18(E) | 680,000 | 945,110 | ||||||
5.00%, 10/18/20(E) | 50,000 | 69,847 | ||||||
5.40%, 03/13/25(E) | 750,000 | 1,059,710 | ||||||
Nara Cable Funding, Ltd. | ||||||||
8.88%, 12/01/18 144A | 360,000 | 376,200 | ||||||
Novatek OAO via Novatek Finance, Ltd. | ||||||||
6.60%, 02/03/21 144A | 200,000 | 216,000 | ||||||
Ono Finance II PLC | ||||||||
11.13%, 07/15/19(E) | 110,000 | 149,624 | ||||||
Rosneft Oil Co. via Rosneft International Finance, Ltd. | ||||||||
3.15%, 03/06/17 144A | 580,000 | 572,750 | ||||||
XL Group PLC | ||||||||
6.25%, 05/15/27D | 640,000 | 732,909 | ||||||
|
| |||||||
5,193,072 | ||||||||
|
| |||||||
Italy — 0.4% | ||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
5.25%, 11/01/29(E) | 20,000 | 27,215 | ||||||
5.75%, 02/01/33(E) | 20,000 | 28,698 | ||||||
5.00%, 08/01/34(E) | 20,000 | 26,393 | ||||||
Seat Pagine Gialle SpA | ||||||||
10.50%, 01/31/17(E)# | 129,000 | 43,657 | ||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/33 | 855,000 | 802,782 | ||||||
6.00%, 09/30/34 | 155,000 | 141,330 | ||||||
|
| |||||||
1,070,075 | ||||||||
|
| |||||||
Japan — 0.1% | ||||||||
Softbank Corporation | ||||||||
4.50%, 04/15/20 144A | 250,000 | 241,000 | ||||||
|
|
Par | Value | |||||||
Luxembourg — 2.4% | ||||||||
Altice Financing SA | ||||||||
8.00%, 12/15/19 144A(E) | $ | 120,000 | $ | 163,616 | ||||
Altice Finco SA | ||||||||
9.00%, 06/15/23+ 144A(E) | 100,000 | 129,676 | ||||||
Andrade Gutierrez International SA | ||||||||
4.00%, 04/30/18 144A | 380,000 | 358,150 | ||||||
ArcelorMittal | ||||||||
4.25%, 02/25/15D | 100,000 | 100,875 | ||||||
4.25%, 08/05/15D | 140,000 | 141,925 | ||||||
6.13%, 06/01/18D | 305,000 | 315,294 | ||||||
6.00%, 03/01/21D | 380,000 | 380,950 | ||||||
7.50%, 10/15/39D | 295,000 | 283,200 | ||||||
7.25%, 03/01/41D | 690,000 | 652,050 | ||||||
ConvaTec Healthcare E SA | ||||||||
10.88%, 12/15/18(E) | 200,000 | 287,012 | ||||||
CSN Resources SA | ||||||||
6.50%, 07/21/20D | 200,000 | 195,750 | ||||||
6.50%, 07/21/20 144AD | 150,000 | 146,812 | ||||||
Evraz Group SA | ||||||||
9.50%, 04/24/18D | 270,000 | 287,550 | ||||||
6.75%, 04/27/18 144A | 240,000 | 230,400 | ||||||
6.50%, 04/22/20 144A | 280,000 | 252,700 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
4.95%, 07/19/22D | 629,000 | 603,840 | ||||||
Hannover Finance Luxembourg SA | ||||||||
5.75%, 09/14/40(E)† | 50,000 | 72,039 | ||||||
INEOS Group Holdings SA | ||||||||
6.13%, 08/15/18 144AD | 200,000 | 191,500 | ||||||
Intelsat Jackson Holdings SA | ||||||||
7.25%, 10/15/20D | 170,000 | 179,350 | ||||||
7.50%, 04/01/21 | 30,000 | 31,650 | ||||||
Ontex IV SA | ||||||||
9.00%, 04/15/19(E) | 100,000 | 131,271 | ||||||
Pacific Drilling SA | ||||||||
5.38%, 06/01/20 144A | 100,000 | 93,750 | ||||||
Spie BondCo 3 SCA | ||||||||
11.00%, 08/15/19(E) | 200,000 | 278,942 | ||||||
TNK-BP Finance SA | ||||||||
7.88%, 03/13/18 | 290,000 | 331,325 | ||||||
Vimpel Communications OJSC Via UBS Luxembourg SA | ||||||||
8.25%, 05/23/16 | 125,000 | 136,875 | ||||||
Wind Acquisition Finance SA | ||||||||
7.25%, 02/15/18 144AD | 420,000 | 423,050 | ||||||
Wind Acquisition Holdings Finance SA | ||||||||
12.25%, 07/15/17 PIK(E)D | 9,321 | 12,315 | ||||||
|
| |||||||
6,411,867 | ||||||||
|
| |||||||
Mexico — 2.6% | ||||||||
America Movil SAB de CV | ||||||||
5.63%, 11/15/17D | 98,000 | 111,733 | ||||||
Axtel SAB de CV | ||||||||
7.00%, 01/31/20 STEP 144A | 124,000 | 115,320 | ||||||
7.00%, 01/31/20+ STEP CONV 144A(M) | 141,300 | 15,267 | ||||||
Grupo Televisa SAB | ||||||||
6.63%, 03/18/25D | 100,000 | 117,350 | ||||||
6.63%, 01/15/40 | 270,000 | 300,442 |
See Notes to Financial Statements.
98
Table of Contents
Par | Value | |||||||
Kansas City Southern de Mexico SA de CV | ||||||||
3.00%, 05/15/23 144A | $ | 130,000 | $ | 122,291 | ||||
Mexican Bonos | ||||||||
8.00%, 06/11/20(M) | 19,619,000 | 1,734,850 | ||||||
6.50%, 06/09/22(M) | 18,704,100 | 1,524,469 | ||||||
8.00%, 12/07/23(M) | 26,500,000 | 2,380,197 | ||||||
Petroleos Mexicanos | ||||||||
5.50%, 01/21/21 | 150,000 | 160,500 | ||||||
6.50%, 06/02/41 | 135,000 | 140,062 | ||||||
5.50%, 06/27/44 | 200,000 | 180,500 | ||||||
|
| |||||||
6,902,981 | ||||||||
|
| |||||||
Netherlands — 1.6% | ||||||||
Clondalkin Acquisition BV | ||||||||
2.22%, 12/15/13 144A(E)† | 66,000 | 85,908 | ||||||
EDP Finance BV | ||||||||
4.75%, 09/26/16(E) | 300,000 | 401,235 | ||||||
6.00%, 02/02/18 144A | 200,000 | 207,000 | ||||||
4.90%, 10/01/19 144A | 1,100,000 | 1,086,250 | ||||||
Indosat Palapa Co. BV | ||||||||
7.38%, 07/29/20 | 100,000 | 107,375 | ||||||
7.38%, 07/29/20 144AD | 100,000 | 107,375 | ||||||
Lukoil International Finance BV | ||||||||
6.36%, 06/07/17 | 200,000 | 221,990 | ||||||
6.66%, 06/07/22 | 270,000 | 294,975 | ||||||
LyondellBasell Industries NV | ||||||||
5.75%, 04/15/24 | 260,000 | 286,496 | ||||||
New World Resources NV | ||||||||
7.88%, 01/15/21 144A(E) | 150,000 | 57,598 | ||||||
Polish Television Holding BV | ||||||||
11.25%, 05/15/17 STEP 144A(E) | 125,000 | 169,214 | ||||||
Swiss Reinsurance Co. Via ELM BV | ||||||||
5.25%, 05/29/49(E)† | 400,000 | 528,132 | ||||||
VimpelCom Holdings BV | ||||||||
7.50%, 03/01/22 | 200,000 | 207,500 | ||||||
7.50%, 03/01/22 144A | 200,000 | 207,500 | ||||||
Ziggo Bond Co. BV | ||||||||
8.00%, 05/15/18 144A(E) | 250,000 | 348,596 | ||||||
|
| |||||||
4,317,144 | ||||||||
|
| |||||||
Norway — 0.6% | ||||||||
Norway Government Bond | ||||||||
5.00%, 05/15/15(K) | 355,000 | 62,335 | ||||||
4.25%, 05/19/17(K) | 8,060,000 | 1,456,554 | ||||||
|
| |||||||
1,518,889 | ||||||||
|
| |||||||
Panama — 0.0% | ||||||||
Panama Government International Bond | ||||||||
6.70%, 01/26/36D | 61,000 | 71,218 | ||||||
|
| |||||||
Peru — 0.1% | ||||||||
Transportadora de Gas del Peru SA | ||||||||
4.25%, 04/30/28 144A | 350,000 | 311,500 | ||||||
|
| |||||||
Philippines — 0.1% | ||||||||
Philippine Government International Bond | ||||||||
4.00%, 01/15/21D | 200,000 | 212,000 | ||||||
|
|
Par | Value | |||||||
Portugal — 0.5% | ||||||||
Portugal Obrigacoes do Tesouro OT | ||||||||
4.80%, 06/15/20(E) | $ | 50,000 | $ | 60,502 | ||||
3.85%, 04/15/21(E) | 200,000 | 223,716 | ||||||
4.95%, 10/25/23(E) | 900,000 | 1,052,831 | ||||||
|
| |||||||
1,337,049 | ||||||||
|
| |||||||
Russia — 0.4% | ||||||||
Russian Foreign Bond | ||||||||
7.50%, 03/31/30 STEPD | 896,235 | 1,051,508 | ||||||
|
| |||||||
South Africa — 0.8% | ||||||||
Edcon Proprietary, Ltd. | ||||||||
9.50%, 03/01/18 144A(E) | 210,000 | 255,577 | ||||||
South Africa Government Bond | ||||||||
10.50%, 12/21/26(S)D | 14,779,811 | 1,815,224 | ||||||
|
| |||||||
2,070,801 | ||||||||
|
| |||||||
Spain — 0.3% | ||||||||
Autonomous Community of Madrid Spain | ||||||||
4.30%, 09/15/26(E) | 560,000 | 596,382 | ||||||
Santander Issuances SA Unipersonal | ||||||||
5.91%, 06/20/16 144A | 100,000 | 106,457 | ||||||
Telefonica Emisiones SA Unipersonal | ||||||||
5.13%, 04/27/20 | 75,000 | 77,070 | ||||||
|
| |||||||
779,909 | ||||||||
|
| |||||||
Supranational — 0.6% | ||||||||
Inter-American Development Bank | ||||||||
13.95%, 09/23/13(N)W† | 15,900,000,000 | 1,550,110 | ||||||
|
| |||||||
Sweden — 0.1% | ||||||||
Corral Petroleum Holdings AB | ||||||||
15.00%, 12/31/17 PIK 144A(E) | 164,020 | 214,563 | ||||||
|
| |||||||
Trinidad and Tobago — 0.1% | ||||||||
Petroleum Co. of Trinidad & Tobago, Ltd. | ||||||||
9.75%, 08/14/19 144A | 240,000 | 300,600 | ||||||
|
| |||||||
Turkey — 1.0% | ||||||||
Turkey Government Bond | ||||||||
9.50%, 01/12/22(T) | 1,800,000 | 991,601 | ||||||
7.10%, 03/08/23(T) | 1,910,000 | 916,031 | ||||||
Turkey Government International Bond | ||||||||
7.50%, 07/14/17 | 100,000 | 115,125 | ||||||
7.00%, 03/11/19 | 100,000 | 114,875 | ||||||
6.25%, 09/26/22 | 345,000 | 382,950 | ||||||
6.88%, 03/17/36D | 73,000 | 81,669 | ||||||
|
| |||||||
2,602,251 | ||||||||
|
| |||||||
United Arab Emirates — 0.6% | ||||||||
DP World, Ltd. | ||||||||
6.85%, 07/02/37 144A | 1,500,000 | 1,556,250 | ||||||
|
| |||||||
United Kingdom — 3.3% | ||||||||
AA Bond Co., Ltd. | ||||||||
9.50%, 07/31/43+ 144A(U) | 100,000 | 158,867 | ||||||
Anglian Water Osprey Financing PLC | ||||||||
7.00%, 01/31/18(U) | 160,000 | 259,656 |
See Notes to Financial Statements.
99
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Barclays Bank PLC | ||||||||
6.00%, 01/23/18(E) | $ | 450,000 | $ | 645,230 | ||||
Boparan Finance PLC | ||||||||
9.88%, 04/30/18 144A(U) | 100,000 | 166,545 | ||||||
Co-operative Group Holdings | ||||||||
6.25%, 07/08/26 STEP(U) | 100,000 | 139,189 | ||||||
HBOS PLC | ||||||||
6.75%, 05/21/18 144A | 500,000 | 531,918 | ||||||
6.00%, 11/01/33 144AD | 1,385,000 | 1,285,175 | ||||||
HSBC Holdings PLC | ||||||||
6.00%, 06/10/19(E) | 270,000 | 406,972 | ||||||
Lloyds TSB Bank PLC | ||||||||
6.50%, 03/24/20(E) | 326,000 | 466,168 | ||||||
Phones4u Finance PLC | ||||||||
9.50%, 04/01/18 144A(U) | 130,000 | 202,668 | ||||||
Priory Group No. 3 PLC | ||||||||
8.88%, 02/15/19(U) | 100,000 | 150,575 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
6.10%, 06/10/23 | 135,000 | 128,310 | ||||||
Southern Gas Networks PLC | ||||||||
4.88%, 12/21/20(U) | 270,000 | 455,888 | ||||||
Tesco Property Finance 3 PLC | ||||||||
5.74%, 04/13/40(U) | 278,831 | 449,082 | ||||||
Thames Water Kemble Finance PLC | ||||||||
7.75%, 04/01/19(U) | 160,000 | 264,890 | ||||||
United Kingdom Gilt | ||||||||
1.00%, 09/07/17(U) | 1,420,000 | 2,145,713 | ||||||
Vedanta Resources PLC | ||||||||
8.75%, 01/15/14D | 210,000 | 215,775 | ||||||
6.75%, 06/07/16 144A | 200,000 | 203,500 | ||||||
6.00%, 01/31/19 144AD | 350,000 | 334,250 | ||||||
Virgin Media Secured Finance PLC | ||||||||
5.50%, 01/15/21(U) | 100,000 | 149,054 | ||||||
|
| |||||||
8,759,425 | ||||||||
|
| |||||||
Venezuela — 1.1% | ||||||||
Petroleos de Venezuela SA | ||||||||
8.50%, 11/02/17 | 480,000 | 441,000 | ||||||
Venezuela Government International Bond | ||||||||
8.50%, 10/08/14D | 26,000 | 25,935 | ||||||
5.75%, 02/26/16D | 1,153,000 | 1,034,818 | ||||||
7.75%, 10/13/19 | 360,000 | 300,600 | ||||||
9.25%, 09/15/27D | 1,154,000 | 980,900 | ||||||
9.38%, 01/13/34D | 207,000 | 170,257 | ||||||
|
| |||||||
2,953,510 | ||||||||
|
| |||||||
Virgin Islands (British) — 0.1% | ||||||||
GTL Trade Finance, Inc. | ||||||||
7.25%, 10/20/17 144A | 189,000 | 206,010 | ||||||
|
| |||||||
Total Foreign Bonds | ||||||||
(Cost $96,394,285) | 95,528,198 | |||||||
|
| |||||||
LOAN AGREEMENT — 0.0% | ||||||||
El Pollo Loco, Inc. | 29,400 | 29,988 | ||||||
|
|
Par | Value | |||||||
MORTGAGE-BACKED SECURITIES — 3.0% |
| |||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
5.70%, 09/15/40† | $ | 220,000 | $ | 245,658 | ||||
Federal Home Loan Mortgage Corporation | ||||||||
3.50%, 08/01/42 TBA | 290,754 | 295,857 | ||||||
Federal National Mortgage Association | ||||||||
3.00%, 07/16/27 TBA | 1,100,000 | 1,131,453 | ||||||
3.50%, 07/01/41 TBA | 4,600,000 | 4,669,718 | ||||||
Government National Mortgage Association | ||||||||
4.50%, 07/01/41 TBA | 400,000 | 426,422 | ||||||
3.50%, 07/01/42 TBA | 100,000 | 102,578 | ||||||
3.00%, 07/19/42 TBA | 1,200,000 | 1,186,313 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $8,068,945) | 8,057,999 | |||||||
|
| |||||||
MUNICIPAL BOND — 0.1% | ||||||||
State of Illinois, General Obligation | ||||||||
5.10%, 06/01/33 | ||||||||
(Cost $332,436) | 435,000 | 404,097 | ||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
U.S. Dollars vs. Euro, Strike Price $1.27, Expires 07/25/13 (CITIC) | 60,000 | 18,252 | ||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATIONS — 10.2% |
| |||||||
U.S. Treasury Bonds | ||||||||
3.50%, 02/15/39‡‡ | $ | 860,000 | 874,243 | |||||
4.25%, 05/15/39 | 40,000 | 46,000 | ||||||
3.88%, 08/15/40 | 30,000 | 32,438 | ||||||
2.75%, 08/15/42 | 120,000 | 103,603 | ||||||
2.75%, 11/15/42 | 2,275,000 | 1,962,010 | ||||||
3.13%, 02/15/43 | 3,740,000 | 3,491,933 | ||||||
2.88%, 05/15/43 | 2,545,000 | 2,252,722 | ||||||
|
| |||||||
8,762,949 | ||||||||
|
| |||||||
U.S. Treasury Notes | ||||||||
1.00%, 05/15/14 | 10,000 | 10,072 | ||||||
2.63%, 07/31/14 | 50,000 | 51,311 | ||||||
0.25%, 08/31/14 | 755,000 | 755,368 | ||||||
0.25%, 09/30/14 | 5,100,000 | 5,102,091 | ||||||
2.38%, 09/30/14 | 110,000 | 112,958 | ||||||
0.25%, 10/31/14 | 2,860,000 | 2,861,284 | ||||||
0.13%, 12/31/14 | 2,780,000 | 2,775,168 | ||||||
1.25%, 08/31/15 | 90,000 | 91,614 | ||||||
0.25%, 10/15/15 | 2,310,000 | 2,299,804 | ||||||
0.38%, 11/15/15 | 2,855,000 | 2,848,867 | ||||||
0.25%, 12/15/15 | 620,000 | 616,294 | ||||||
0.75%, 10/31/17 | 20,000 | 19,626 |
See Notes to Financial Statements.
100
Table of Contents
Par | Value | |||||||
0.63%, 04/30/18 | $ | 530,000 | $ | 512,236 | ||||
1.25%, 10/31/19 | 110,000 | 106,713 | ||||||
2.00%, 02/15/22 | 120,000 | 117,394 | ||||||
1.63%, 08/15/22 | 150,000 | 140,754 | ||||||
|
| |||||||
18,421,554 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $27,805,166) | 27,184,503 | |||||||
|
| |||||||
Shares | ||||||||
COMMON STOCKS — 1.0% | ||||||||
Healthcare — 0.3% | ||||||||
Bristol-Myers Squibb Co.D | 15,400 | 688,226 | ||||||
|
| |||||||
Materials & Processing — 0.3% | ||||||||
Nortek, Inc.D* | 33 | 2,126 | ||||||
PPG Industries, Inc.D | 5,751 | 842,004 | ||||||
Rock-Tenn Co. Class A | 188 | 18,777 | ||||||
|
| |||||||
862,907 | ||||||||
|
| |||||||
Technology — 0.4% | ||||||||
Corning, Inc. | 70,534 | 1,003,699 | ||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $1,696,589) | 2,554,832 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 0.5% | ||||||||
Norway — 0.1% | ||||||||
Deep Ocean Group Holding+@* | 8,860 | 196,426 | ||||||
|
| |||||||
Spain — 0.2% | ||||||||
Repsol SA ADR | 15,820 | 334,751 | ||||||
Telefonica SA ADRD* | 22,180 | 284,126 | ||||||
|
| |||||||
618,877 | ||||||||
|
| |||||||
United Kingdom — 0.2% | ||||||||
Royal Dutch Shell PLC ADR | 6,443 | 411,064 | ||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $1,283,346) | 1,226,367 | |||||||
|
| |||||||
PREFERRED STOCKS — 1.3% | ||||||||
Ally Financial, Inc., | ||||||||
7.00% 144AD | 400 | 380,188 | ||||||
Bank of America Corporation, | ||||||||
7.25% CONV | 602 | 668,521 | ||||||
Chesapeake Energy Corporation, | ||||||||
5.00% CONV | 3,950 | 341,951 | ||||||
Chesapeake Energy Corporation, | ||||||||
5.75% CONV 144AD | 50 | 51,281 | ||||||
El Paso Energy Capital Trust I, | ||||||||
4.75%, 03/31/28 CONV | 500 | 29,245 | ||||||
Lucent Technologies Capital Trust I, | ||||||||
7.75%, 03/15/17 CONVD | 1,891 | 1,805,905 | ||||||
Weyerhaeuser Co., | ||||||||
6.38%, 07/01/16D* | 3,855 | 197,492 | ||||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Cost $2,677,950) | 3,474,583 | |||||||
|
|
Shares | Value | |||||||
MONEY MARKET FUNDS — 23.3% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 23,078,751 | $ | 23,078,751 | |||||
Northern Institutional Liquid Assets Portfolio§ | 39,143,248 | 39,143,248 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $62,221,999) | 62,221,999 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 105.3% | ||||||||
(Cost $272,691,907) | 280,920,120 | |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
Long U.S. Treasury Bond, Strike Price $137.00, Expires 07/27/13 (BAR) (Premiums received $(18,660)) | (18 | ) | (19,125 | ) | ||||
|
| |||||||
Liabilities in Excess of Other Assets — (5.3)% |
| (14,123,105 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 266,777,890 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Foreign Bonds | 35.8 | |||
Corporate Bonds | 30.1 | |||
Money Market Funds | 23.3 | |||
U.S. Treasury Obligations | 10.2 | |||
Futures Contracts | 7.9 | |||
Mortgage-Backed Securities | 3.0 | |||
Preferred Stocks | 1.3 | |||
Common Stocks | 1.0 | |||
Foreign Common Stocks | 0.5 | |||
Municipal Bond | 0.1 | |||
Loan Agreement | — | ** | ||
Purchased Option | — | ** | ||
Written Option | — | ** | ||
Forward Foreign Currency Contracts | (7.3 | ) | ||
|
| |||
105.9 | ||||
|
|
** Rounds to less than 0.005%.
See Notes to Financial Statements.
101
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, 2013, 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 | $ | 2,554,832 | $ | 2,552,706 | $ | — | $ | 2,126 | ||||||||
Corporate Bonds | 80,219,302 | — | 75,340,789 | 4,878,513 | ||||||||||||
Foreign Bonds | 95,528,198 | — | 93,382,472 | 2,145,726 | ||||||||||||
Foreign Common Stocks | 1,226,367 | 1,029,941 | — | 196,426 | ||||||||||||
Loan Agreement | 29,988 | — | — | 29,988 | ||||||||||||
Money Market Funds | 62,221,999 | 62,221,999 | — | — | ||||||||||||
Mortgage-Backed Securities | 8,057,999 | — | 8,057,999 | — | ||||||||||||
Municipal Bond | 404,097 | — | 404,097 | — | ||||||||||||
Preferred Stocks | 3,474,583 | 3,094,395 | — | 380,188 | ||||||||||||
Purchased Options | 18,252 | — | 18,252 | — | ||||||||||||
U.S. Treasury Obligations | 27,184,503 | — | 27,184,503 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 280,920,120 | $ | 68,899,041 | $ | 204,388,112 | $ | 7,632,967 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 1,511 | $ | — | $ | 1,511 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 1,511 | $ | — | $ | 1,511 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Written Options | $ | (19,125 | ) | $ | — | $ | (19,125 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (19,125 | ) | $ | — | $ | (19,125 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (24,331 | ) | $ | (24,331 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (24,331 | ) | $ | (24,331 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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. |
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
The unobservable inputs used in the fair value measurement of the reporting entity’s common stock, corporate bonds, foreign bonds, foreign common stock, loan agreement and preferred stock are values based on evaluated quotations received from dealers who make markets in such securities. Significant increases (decreases) in those evaluated quotations would result in a significantly higher (lower) fair value measurement.
See Notes to Financial Statements.
102
Table of Contents
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Total Value | Common Stock | Corporate Bonds | Foreign Bonds | Foreign Common Stock | Loan Agreement | Preferred Stock | ||||||||||||||||||||||
Balance, 12/31/12 | $ | 7,168,943 | $ | 2,385 | $ | 4,691,264 | $ | 1,872,450 | $ | 179,619 | $ | 30,363 | $ | 392,862 | ||||||||||||||
Accrued discounts/premiums | 77,128 | — | 3,338 | 73,717 | — | 73 | — | |||||||||||||||||||||
Realized gain (loss)(1) | 64,840 | 27 | 64,810 | — | — | 3 | — | |||||||||||||||||||||
Change in unrealized appreciation (depreciation)(2) | (180,554 | ) | (17 | ) | (96,484 | ) | (87,885 | ) | 16,807 | (301 | ) | (12,674 | ) | |||||||||||||||
Purchases | 1,072,444 | — | 785,000 | 287,444 | — | — | — | |||||||||||||||||||||
Sales | (569,834 | ) | (269 | ) | (569,415 | ) | — | — | (150 | ) | — | |||||||||||||||||
Transfers in to Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
Maturities | — | — | — | — | — | — | — | |||||||||||||||||||||
Paydowns | — | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Balance, 06/30/13 | $ | 7,632,967 | $ | 2,126 | $ | 4,878,513 | $ | 2,145,726 | $ | 196,426 | $ | 29,988 | $ | 380,188 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net realized gain (loss) from investment securities. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on investment securities. |
See Notes to Financial Statements.
103
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2013 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | |||||||
Assets | ||||||||
Investments in securities of unaffiliated issuers, at value | $ | 1,398,531,103 | $ | 899,925,506 | ||||
Investments in securities of affiliated issuers, at value | — | 53,994,280 | ||||||
|
|
|
| |||||
Total investments(1)(2) | 1,398,531,103 | 953,919,786 | ||||||
Cash | 819 | 333,773 | ||||||
Cash collateral for derivatives | — | 741,012 | ||||||
Foreign currency(3) | — | 2,375,249 | ||||||
Swap premiums paid | — | 1,714,489 | ||||||
Receivables: | ||||||||
Dividends and reclaims | — | 318 | ||||||
Interest | 551,887 | 3,203,582 | ||||||
Securities lending | 3,657 | 8,163 | ||||||
Investment securities sold | — | 72,441,691 | ||||||
Maturities | — | 140,413 | ||||||
Fund shares sold | 12,360,168 | 9,403,549 | ||||||
Variation margin on exchange traded swaps | — | 331,813 | ||||||
Variation margin on financial futures contracts | — | 17,705 | ||||||
Unrealized appreciation on foreign currency exchange contracts | — | 2,133,794 | ||||||
Unrealized appreciation on swap agreements | — | 1,160,442 | ||||||
Prepaid expenses and other assets | 38,813 | 24,577 | ||||||
|
|
|
| |||||
Total Assets | 1,411,486,447 | 1,047,950,356 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Cash overdraft | — | — | ||||||
Securities sold short, at value(4) | — | 560,180 | ||||||
TBA sale commitments, at value(5) | — | 32,086,719 | ||||||
Options written at value(6) | — | 1,336,265 | ||||||
Swap premiums received | — | 445,447 | ||||||
Unrealized depreciation on foreign currency exchange contracts | — | 1,755,495 | ||||||
Unrealized depreciation on swap agreements | — | 2,247,479 | ||||||
Collateral held for securities on loan at value | 1,804,428 | 70,791,875 | ||||||
Collateral held for derivatives | — | 649,000 | ||||||
Payables: | ||||||||
Investment securities purchased | — | 99,255,239 | ||||||
Fund shares redeemed | 10,571,790 | 8,322,318 | ||||||
Variation margin on financial futures contracts | — | 23,203 | ||||||
Distributions | 6,507 | — | ||||||
Securities lending | 804 | 1,796 | ||||||
Accrued expenses: | ||||||||
Investment advisory fees | 170,826 | 170,756 | ||||||
Shareholder servicing fees | 24,578 | 136,289 | ||||||
Other expenses | 45,761 | 101,615 | ||||||
|
|
|
| |||||
Total Liabilities | 12,624,694 | 217,883,676 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,398,861,753 | $ | 830,066,680 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in-capital | $ | 1,398,821,940 | $ | 834,915,508 | ||||
Undistributed (distributions in excess of) net investment income | — | 663,965 | ||||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions | 39,813 | 2,879,963 | ||||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | — | (8,392,756 | ) | |||||
|
|
|
| |||||
Net Assets | $ | 1,398,861,753 | $ | 830,066,680 | ||||
|
|
|
| |||||
Net Asset Value: | ||||||||
$0.001 par value, unlimited shares authorized | ||||||||
Net assets applicable to the GS2 Class | $ | 106,335,065 | $ | 141,320,496 | ||||
|
|
|
| |||||
GS2 shares outstanding | 106,327,474 | 16,507,622 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS2 share | $ | 1.00 | $ | 8.56 | ||||
|
|
|
| |||||
Net assets applicable to the GS4 Class | $ | 1,292,526,688 | $ | 688,746,184 | ||||
|
|
|
| |||||
GS4 shares outstanding | 1,292,459,820 | 51,639,635 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS4 share | $ | 1.00 | $ | 13.34 | ||||
|
|
|
|
(1) | Investments in securities of unaffiliated issuers, at cost | $ | 1,398,531,103 | $ | 907,768,873 | |||||||
Investments in securities of affiliated issuers, at cost | — | 53,994,280 | ||||||||||
|
|
|
| |||||||||
Total investments at cost | $ | 1,398,531,103 | $ | 961,763,153 | ||||||||
|
|
|
| |||||||||
(2) | Includes securities loaned of: | $ | 86,558,586 | $ | 148,285,524 | |||||||
|
|
|
| |||||||||
(3) | Foreign currency at cost | $ | — | $ | 2,437,994 | |||||||
|
|
|
| |||||||||
(4) | Proceeds from securities sold short | $ | — | $ | 597,252 | |||||||
|
|
|
| |||||||||
(5) | TBA sale commitments at cost | $ | — | $ | 32,133,340 | |||||||
|
|
|
| |||||||||
(6) | Premiums received on options written | $ | — | $ | 428,887 | |||||||
|
|
|
|
See Notes to Financial Statements.
104
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Inflation Protected Bond Fund | Global Bond Fund | |||||||||||||
$ | 1,006,735,417 | $ | 375,791,862 | $ | 211,413,486 | $ | 257,841,369 | |||||||||
99,684,575 | 7,846,288 | 8,533,655 | 23,078,751 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
1,106,419,992 | 383,638,150 | 219,947,141 | 280,920,120 | |||||||||||||
1,328,084 | — | — | 878 | |||||||||||||
1,833,014 | — | — | 500,000 | |||||||||||||
5,095,359 | — | 96,370 | 1,056,610 | |||||||||||||
861,018 | — | — | — | |||||||||||||
692 | 3,249 | 53 | 19,939 | |||||||||||||
4,492,754 | 4,562,594 | 825,740 | 2,969,991 | |||||||||||||
14,210 | 4,070 | — | 6,448 | |||||||||||||
106,719,698 | 31,037,300 | — | 1,526,375 | |||||||||||||
15,494 | — | — | — | |||||||||||||
2,927,346 | 11,931 | 28,686,253 | 29,425,290 | |||||||||||||
451,354 | — | — | — | |||||||||||||
153,158 | — | 4,499 | — | |||||||||||||
682,302 | — | 105,800 | 567,128 | |||||||||||||
2,526,368 | — | — | — | |||||||||||||
22,654 | 19,226 | 14,757 | 10,479 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
1,233,543,497 | 419,276,520 | 249,680,613 | 317,003,258 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
— | — | 1,734,825 | — | |||||||||||||
9,383,590 | — | — | — | |||||||||||||
8,240,703 | — | — | — | |||||||||||||
1,498,542 | — | 69,289 | 19,125 | |||||||||||||
1,413,282 | — | — | — | |||||||||||||
1,712,482 | — | 218,214 | 565,617 | |||||||||||||
2,521,014 | — | — | — | |||||||||||||
94,512,041 | 27,676,254 | — | 39,143,248 | |||||||||||||
1,189,539 | — | — | — | |||||||||||||
253,963,085 | 1,592,815 | 24,357,608 | 10,238,126 | |||||||||||||
19,117,565 | 31,012,943 | 7,229,749 | 50,768 | |||||||||||||
9,354 | — | 82,271 | 24,405 | |||||||||||||
— | — | — | — | |||||||||||||
3,126 | 895 | — | 1,417 | |||||||||||||
223,333 | 145,304 | 49,560 | 85,804 | |||||||||||||
122,132 | 65,063 | 38,885 | 47,527 | |||||||||||||
151,143 | 65,899 | 41,285 | 49,331 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
394,060,931 | 60,559,173 | 33,821,686 | 50,225,368 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 839,482,566 | $ | 358,717,347 | $ | 215,858,927 | $ | 266,777,890 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 841,270,478 | $ | 332,220,243 | $ | 219,440,141 | $ | 267,768,909 | |||||||||
2,529,333 | 491,862 | 116,452 | 1,074,523 | |||||||||||||
(1,336,366 | ) | 7,490,491 | 640,391 | (10,226,295 | ) | |||||||||||
(2,980,879 | ) | 18,514,751 | (4,338,057 | ) | 8,160,753 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 839,482,566 | $ | 358,717,347 | $ | 215,858,927 | $ | 266,777,890 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 241,657,748 | $ | 67,645,261 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
| |||||||||
34,345,950 | 12,190,586 | N/A | N/A | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 7.04 | $ | 5.55 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 597,824,818 | $ | 291,072,086 | $ | 215,858,927 | $ | 266,777,890 | |||||||||
|
|
|
|
|
|
|
| |||||||||
42,039,227 | 17,232,635 | 20,844,357 | 26,694,783 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 14.22 | $ | 16.89 | $ | 10.36 | $ | 9.99 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,007,958,698 | $ | 357,268,206 | $ | 215,773,250 | $ | 249,613,156 | |||||||||
99,684,575 | 7,846,288 | 8,533,655 | 23,078,751 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,107,643,273 | $ | 365,114,494 | $ | 224,306,905 | $ | 272,691,907 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 110,053,151 | $ | 27,211,379 | $ | — | $ | 38,291,502 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,071,813 | $ | — | $ | 98,136 | $ | 1,065,735 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 9,337,539 | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 8,339,531 | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 498,374 | $ | — | $ | 141,086 | $ | 18,660 | |||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
105
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2013 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | |||||||
Investment Income | ||||||||
Dividends | $ | — | $ | — | ||||
Income distributions received from affiliated funds | — | 1,635 | ||||||
Interest | 1,569,974 | 7,340,118 | ||||||
Securities lending | 14,834 | 40,697 | ||||||
Less foreign taxes withheld | — | — | ||||||
|
|
|
| |||||
Total Investment Income | 1,584,808 | 7,382,450 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory fees | 1,023,708 | 1,374,119 | ||||||
Transfer agent fees: | ||||||||
GS2 shares | 1,988 | 1,971 | ||||||
GS4 shares | 19,508 | 13,181 | ||||||
Custodian fees | 13,980 | 56,466 | ||||||
Shareholder servicing fees: | ||||||||
GS4 shares | 1,457,692 | 817,111 | ||||||
Accounting and administration fees | 137,586 | 148,868 | ||||||
Professional fees | 25,071 | 43,492 | ||||||
Blue sky fees: | ||||||||
GS2 shares | 3,232 | 3,222 | ||||||
GS4 shares | 13,673 | 8,996 | ||||||
Shareholder reporting fees: | ||||||||
GS2 shares | 366 | 360 | ||||||
GS4 shares | 19,816 | 9,113 | ||||||
Trustee expenses | 6,510 | 3,989 | ||||||
Line of credit facility fees | 6,905 | 4,265 | ||||||
Other expenses | 18,488 | 28,058 | ||||||
|
|
|
| |||||
Total expenses | 2,748,523 | 2,513,211 | ||||||
Expenses waived/reimbursed net of amount recaptured(1) | (1,253,322 | ) | (322,855 | ) | ||||
|
|
|
| |||||
Net expenses | 1,495,201 | 2,190,356 | ||||||
|
|
|
| |||||
Net Investment Income | 89,607 | 5,192,094 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Investment securities | 27,238 | 1,430,535 | ||||||
Investment securities sold short | — | 14,343 | ||||||
Futures transactions | — | 723,826 | ||||||
Swap agreements | — | 295,247 | ||||||
Option contracts written | — | 391,396 | ||||||
Option contracts purchased | — | — | ||||||
Foreign currency transactions | — | 443,594 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 27,238 | 3,298,941 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment securities | — | (14,902,588 | ) | |||||
Investment securities sold short | — | 100,412 | ||||||
Futures | — | 936,356 | ||||||
Swap agreements | — | (1,770,316 | ) | |||||
Option contracts written | — | (1,019,713 | ) | |||||
Option contracts purchased | — | 91,357 | ||||||
Foreign currency translation | — | 1,868,051 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | — | (14,696,441 | ) | |||||
|
|
|
| |||||
Net Realized and Unrealized Gain | 27,238 | (11,397,500 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 116,845 | $ | (6,205,406 | ) | |||
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
106
Table of Contents
Medium- Duration Bond Fund | Extended- Duration Bond Fund | Inflation Protected Bond Fund | Global Bond Fund | |||||||||||||
$ | 115,561 | $ | 12,279 | $ | — | $ | 163,552 | |||||||||
4,487 | 544 | 584 | 1,354 | |||||||||||||
11,449,784 | 10,940,412 | 1,591,494 | 5,137,448 | |||||||||||||
52,403 | 25,273 | — | 39,903 | |||||||||||||
— | — | — | (2,815 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
11,622,235 | 10,978,508 | 1,592,078 | 5,339,442 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
1,830,413 | 1,024,603 | 312,423 | 554,981 | |||||||||||||
1,963 | 1,915 | — | — | |||||||||||||
13,911 | 13,792 | 11,132 | 9,791 | |||||||||||||
97,613 | 12,732 | 14,239 | 24,667 | |||||||||||||
745,048 | 428,933 | 239,161 | 287,267 | |||||||||||||
181,539 | 64,644 | 23,758 | 60,976 | |||||||||||||
43,492 | 32,075 | 27,195 | 33,573 | |||||||||||||
3,222 | 3,222 | — | — | |||||||||||||
6,700 | 6,798 | 9,276 | 8,851 | |||||||||||||
353 | 236 | — | — | |||||||||||||
10,398 | 10,229 | 5,042 | 2,691 | |||||||||||||
4,420 | 2,232 | 941 | 1,083 | |||||||||||||
4,721 | 2,428 | 1,009 | 1,166 | |||||||||||||
64,307 | 8,325 | 6,558 | 14,313 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
3,008,100 | 1,612,164 | 650,734 | 999,359 | |||||||||||||
(446,527 | ) | (56,235 | ) | (13,818 | ) | (32,410 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
2,561,573 | 1,555,929 | 636,916 | 966,949 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
9,060,662 | 9,422,579 | 955,162 | 4,372,493 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
(3,781,353 | ) | 7,664,831 | 315,858 | 1,659,615 | ||||||||||||
629,925 | — | — | — | |||||||||||||
543,661 | — | 487,315 | 238,270 | |||||||||||||
867,109 | — | — | — | |||||||||||||
561,962 | — | — | — | |||||||||||||
(47,736 | ) | — | — | (185,747 | ) | |||||||||||
1,081,157 | 25,474 | (28,900 | ) | (1,119,527 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(145,275 | ) | 7,690,305 | 774,273 | 592,611 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
(28,020,566 | ) | (48,587,440 | ) | (16,552,255 | ) | (11,910,170 | ) | |||||||||
91,996 | — | — | — | |||||||||||||
145,868 | — | (62,196 | ) | (98,822 | ) | |||||||||||
(2,374,400 | ) | — | — | — | ||||||||||||
(1,134,582 | ) | — | 71,797 | (465 | ) | |||||||||||
104,679 | — | 14,675 | (197,959 | ) | ||||||||||||
532,963 | (15,045 | ) | (114,479 | ) | 1,151,024 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(30,654,042 | ) | (48,602,485 | ) | (16,642,458 | ) | (11,056,392 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(30,799,317 | ) | (40,912,180 | ) | (15,868,185 | ) | (10,463,781 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (21,738,655 | ) | $ | (31,489,601 | ) | $ | (14,913,023 | ) | $ | (6,091,288 | ) | |||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
107
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Money Market Fund | ||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 89,607 | $ | 226,226 | ||||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | 27,238 | 43,215 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | — | — | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 116,845 | 269,441 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | (28,856 | ) | (107,325 | ) | ||||
GS4 shares | (60,751 | ) | (118,901 | ) | ||||
Distributions from net realized capital gains | ||||||||
GS2 shares | — | (2,502 | ) | |||||
GS4 shares | — | (28,176 | ) | |||||
|
|
|
| |||||
Total dividends and distributions | (89,607 | ) | (256,904 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 44,808,050 | 83,682,824 | ||||||
GS4 shares | 1,802,801,041 | 3,411,426,687 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 24,626 | 96,490 | ||||||
GS4 shares | 21,990 | 73,574 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 1,847,655,707 | 3,495,279,575 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
GS2 shares | (45,163,592 | ) | (93,414,476 | ) | ||||
GS4 shares | (1,642,077,122 | ) | (3,441,385,826 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (1,687,240,714 | ) | (3,534,800,302 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(1) | 160,414,993 | (39,520,727 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 160,442,231 | (39,508,190 | ) | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 1,238,419,522 | 1,277,927,712 | ||||||
|
|
|
| |||||
End of Period* | $ | 1,398,861,753 | $ | 1,238,419,522 | ||||
|
|
|
| |||||
*Including undistributed (distributions in excess of) net investment income | $ | — | $ | — | ||||
|
|
|
|
(1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
108
Table of Contents
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
$ | 5,192,094 | $ | 11,830,873 | $ | 9,060,662 | $ | 20,131,144 | |||||||||
3,298,941 | 1,261,804 | (145,275 | ) | 17,426,589 | ||||||||||||
(14,696,441 | ) | 18,559,772 | (30,654,042 | ) | 30,180,403 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(6,205,406 | ) | 31,652,449 | (21,738,655 | ) | 67,738,136 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(1,330,350 | ) | (3,309,118 | ) | (3,499,486 | ) | (9,108,772 | ) | |||||||||
(3,479,466 | ) | (9,695,948 | ) | (3,817,740 | ) | (11,859,266 | ) | |||||||||
(130,185 | ) | (380,466 | ) | (238,954 | ) | (6,691,198 | ) | |||||||||
(404,740 | ) | (1,245,870 | ) | (290,430 | ) | (8,571,353 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(5,344,741 | ) | (14,631,402 | ) | (7,846,610 | ) | (36,230,589 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
12,591,219 | 15,089,463 | 17,633,482 | 25,136,437 | |||||||||||||
42,445,244 | 136,297,000 | 36,708,370 | 67,278,339 | |||||||||||||
1,455,900 | 3,678,833 | 3,733,910 | 15,787,476 | |||||||||||||
3,882,978 | 10,939,056 | 4,106,526 | 20,426,709 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
60,375,341 | 166,004,352 | 62,182,288 | 128,628,961 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
(5,876,339 | ) | (7,405,946 | ) | (21,412,659 | ) | (19,481,717 | ) | |||||||||
(26,507,592 | ) | (106,169,179 | ) | (44,212,307 | ) | (132,385,936 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(32,383,931 | ) | (113,575,125 | ) | (65,624,966 | ) | (151,867,653 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
27,991,410 | 52,429,227 | (3,442,678 | ) | (23,238,692 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
16,441,263 | 69,450,274 | (33,027,943 | ) | 8,268,855 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
813,625,417 | 744,175,143 | 872,510,509 | 864,241,654 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 830,066,680 | $ | 813,625,417 | $ | 839,482,566 | $ | 872,510,509 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 663,965 | $ | 281,687 | $ | 2,529,333 | $ | 785,897 | |||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
109
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Extended-Duration Bond Fund | ||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 9,422,579 | $ | 19,941,659 | ||||
Net realized gain on investment securities, foreign currency transactions and derivative transactions | 7,690,305 | 15,624,979 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | (48,602,485 | ) | 26,234,587 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (31,489,601 | ) | 61,801,225 | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | (3,763,817 | ) | (7,919,753 | ) | ||||
GS4 shares | (5,166,239 | ) | (12,163,609 | ) | ||||
Distributions from net realized capital gains | ||||||||
GS2 shares | (1,215,293 | ) | (5,298,065 | ) | ||||
GS4 shares | (1,785,659 | ) | (8,532,365 | ) | ||||
|
|
|
| |||||
Total dividends and distributions | (11,931,008 | ) | (33,913,792 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 6,719,900 | 11,430,897 | ||||||
GS4 shares | 25,907,026 | 63,160,350 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 4,974,878 | 13,205,389 | ||||||
GS4 shares | 6,948,586 | 20,684,630 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 44,550,390 | 108,481,266 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
GS2 shares | (19,621,874 | ) | (11,242,800 | ) | ||||
GS4 shares | (93,763,715 | ) | (59,622,352 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (113,385,589 | ) | (70,865,152 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(1) | (68,835,199 | ) | 37,616,114 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (112,255,808 | ) | 65,503,547 | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 470,973,155 | 405,469,608 | ||||||
|
|
|
| |||||
End of Period* | $ | 358,717,347 | $ | 470,973,155 | ||||
|
|
|
| |||||
*Including undistributed (distributions in excess of) net investment income | $ | 491,862 | $ | (661 | ) | |||
|
|
|
|
(1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
110
Table of Contents
Inflation Protected Bond Fund | Global Bond Fund | |||||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
$ | 955,162 | $ | 3,231,235 | $ | 4,372,493 | $ | 8,683,748 | |||||||||
774,273 | 5,069,301 | 592,611 | 3,144,085 | |||||||||||||
(16,642,458 | ) | 1,959,361 | (11,056,392 | ) | 10,899,264 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(14,913,023 | ) | 10,259,897 | (6,091,288 | ) | 22,727,097 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
— | — | — | — | |||||||||||||
(850,708 | ) | (3,186,492 | ) | (3,105,514 | ) | (10,523,011 | ) | |||||||||
— | — | — | — | |||||||||||||
(882,676 | ) | (6,129,916 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(1,733,384 | ) | (9,316,408 | ) | (3,105,514 | ) | (10,523,011 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
— | — | — | — | |||||||||||||
55,688,846 | 52,030,483 | 47,255,308 | 51,652,945 | |||||||||||||
— | — | — | — | |||||||||||||
1,732,690 | 9,312,059 | 3,105,514 | 10,522,963 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
57,421,536 | 61,342,542 | 50,360,822 | 62,175,908 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
— | — | — | — | |||||||||||||
(22,678,498 | ) | (27,679,464 | ) | (7,241,745 | ) | (11,691,609 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(22,678,498 | ) | (27,679,464 | ) | (7,241,745 | ) | (11,691,609 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
34,743,038 | 33,663,078 | 43,119,077 | 50,484,299 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
18,096,631 | 34,606,567 | 33,922,275 | 62,688,385 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
197,762,296 | 163,155,729 | 232,855,615 | 170,167,230 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 215,858,927 | $ | 197,762,296 | $ | 266,777,890 | $ | 232,855,615 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 116,452 | $ | 11,998 | $ | 1,074,523 | $ | (192,456 | ) | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
111
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 1.00 | $ | — | †# | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 0.03 | % | $ | 106,335 | 0.19 | % | 0.20 | % | 0.05 | % | N/A | ||||||||||||||||||||||
2012 | 1.00 | — | †# | — | † | — | † | — | † | 1.00 | 0.10 | 106,664 | 0.18 | 0.20 | 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 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 1.00 | $ | — | †# | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 0.01 | % | $ | 1,292,527 | 0.23 | % | 0.44 | % | 0.01 | % | N/A | ||||||||||||||||||||||
2012 | 1.00 | — | †# | — | † | — | † | — | † | 1.00 | 0.01 | 1,131,756 | 0.27 | 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 | ||||||||||||||||||||||||||||||||
Low-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 8.71 | $ | 0.06 | # | $ | (0.12 | ) | $ | (0.08 | ) | $ | (0.01 | ) | $ | 8.56 | (0.70 | )% | $ | 141,321 | 0.36 | % | 0.41 | % | 1.44 | % | 103 | % | ||||||||||||||||||||
2012 | 8.59 | 0.15 | # | 0.22 | (5) | (0.22 | ) | (0.03 | ) | 8.71 | 4.35 | 135,526 | 0.36 | 0.41 | 1.68 | 228 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 13.52 | $ | 0.09 | # | $ | (0.19 | ) | $ | (0.07 | ) | $ | (0.01 | ) | $ | 13.34 | (0.77 | )% | $ | 688,746 | 0.57 | % | 0.65 | % | 1.23 | % | 103 | % | ||||||||||||||||||||
2012 | 13.20 | 0.20 | # | 0.35 | (5) | (0.20 | ) | (0.03 | ) | 13.52 | 4.15 | 678,099 | 0.57 | 0.65 | 1.47 | 228 | ||||||||||||||||||||||||||||||||
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 |
† | 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 (higher) than the ratio shown. |
(3) | For the six months ended June 30, 2013. 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.
112
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 | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 7.32 | $ | 0.08 | # | $ | (0.25 | ) | $ | (0.10 | ) | $ | (0.01 | ) | $ | — | $ | 7.04 | (2.41 | )% | $ | 241,658 | 0.48 | % | 0.51 | % | 2.18 | % | 220 | % | ||||||||||||||||||||||
2012 | 7.24 | 0.17 | # | 0.39 | (4) | (0.28 | ) | (0.20 | ) | — | 7.32 | 7.93 | 251,565 | 0.48 | 0.51 | 2.32 | 570 | |||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 14.68 | $ | 0.15 | # | $ | (0.51 | ) | $ | (0.09 | ) | $ | (0.01 | ) | $ | — | $ | 14.22 | (2.50 | )% | $ | 597,825 | 0.63 | % | 0.76 | % | 2.03 | % | 220 | % | ||||||||||||||||||||||
2012 | 14.07 | 0.32 | # | 0.75 | (4) | (0.26 | ) | (0.20 | ) | — | 14.68 | 7.68 | 620,945 | 0.63 | 0.75 | 2.18 | 570 | |||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Extended-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 6.36 | $ | 0.14 | # | $ | (0.58 | ) | $ | (0.28 | ) | $ | (0.09 | ) | $ | — | $ | 5.55 | (7.22 | )% | $ | 67,645 | 0.53 | % | 0.54 | % | 4.48 | % | 13 | % | ||||||||||||||||||||||
2012 | 6.48 | 0.31 | # | 0.64 | (4) | (0.65 | ) | (0.42 | ) | — | 6.36 | 15.41 | 86,268 | 0.52 | 0.53 | 4.68 | 27 | |||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 18.58 | $ | 0.38 | # | $ | (1.72 | ) | $ | (0.26 | ) | $ | (0.09 | ) | $ | — | $ | 16.89 | (7.31 | )% | $ | 291,072 | 0.75 | % | 0.78 | % | 4.25 | % | 13 | % | ||||||||||||||||||||||
2012 | 17.08 | 0.81 | # | 1.72 | (4) | (0.61 | ) | (0.42 | ) | — | 18.58 | 15.06 | 384,705 | 0.75 | 0.78 | 4.45 | 27 | |||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Inflation Protected Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 11.25 | $ | 0.05 | # | $ | (0.84 | ) | $ | (0.05 | ) | $ | (0.05 | ) | $ | — | $ | 10.36 | (7.12 | )% | $ | 215,859 | 0.64 | % | 0.65 | % | 0.96 | % | 51 | % | ||||||||||||||||||||||
2012 | 11.16 | 0.21 | # | 0.46 | (4) | (0.20 | ) | (0.38 | ) | — | 11.25 | 6.06 | 197,762 | 0.65 | 0.66 | 1.80 | 94 | |||||||||||||||||||||||||||||||||||
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) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 10.38 | $ | 0.19 | # | $ | (0.45 | ) | $ | (0.13 | ) | $ | — | $ | — | $ | 9.99 | (2.53 | )% | $ | 266,778 | 0.81 | % | 0.83 | % | 3.65 | % | 46 | % | |||||||||||||||||||||||
2012 | 9.73 | 0.45 | # | 0.74 | (4) | (0.54 | ) | — | — | 10.38 | 12.52 | 232,856 | 0.83 | 0.86 | 4.41 | 64 | ||||||||||||||||||||||||||||||||||||
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 |
# | 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 (higher) than the ratio shown. |
(3) | For the six months ended June 30, 2013. 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. 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.
113
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 53.4% | ||||||||
Consumer Discretionary — 4.8% | ||||||||
Advance Auto Parts, Inc. | 1,000 | $ | 81,170 | |||||
Amazon.com, Inc.* | 3,900 | 1,082,991 | ||||||
American Axle & Manufacturing Holdings, Inc.D* | 13,470 | 250,946 | ||||||
ANN, Inc.D* | 20,740 | 688,568 | ||||||
Apollo Group, Inc. Class AD*‡‡ | 13,380 | 237,094 | ||||||
AutoZone, Inc.* | 1,800 | 762,642 | ||||||
Bed Bath & Beyond, Inc.D* | 1,900 | 134,710 | ||||||
Big Lots, Inc.* | 4,400 | 138,732 | ||||||
Buckle, Inc. (The) | 300 | 15,606 | ||||||
Career Education Corporation* | 14,000 | 40,600 | ||||||
Chipotle Mexican Grill, Inc.* | 960 | 349,776 | ||||||
Costco Wholesale Corporation | 13,700 | 1,514,809 | ||||||
Dex Media, Inc.D* | 49,020 | 861,281 | ||||||
Dollar Tree, Inc.* | 9,500 | 482,980 | ||||||
eBay, Inc.*‡‡ | 4,710 | 243,601 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 2,700 | 177,579 | ||||||
Family Dollar Stores, Inc. | 6,000 | 373,860 | ||||||
Fifth & Pacific Cos, Inc.D* | 19,440 | 434,290 | ||||||
Fortune Brands Home & Security, Inc.‡‡ | 3,300 | 127,842 | ||||||
Francesca’s Holdings CorporationD* | 10,870 | 302,077 | ||||||
Genuine Parts Co.D | 1,400 | 109,298 | ||||||
Hasbro, Inc.D | 13,100 | 587,273 | ||||||
Home Depot, Inc. (The) | 4,200 | 325,374 | ||||||
Kohl’s CorporationD | 3,200 | 161,632 | ||||||
Lear Corporation Class A | 1,590 | 96,131 | ||||||
Lennar Corporation Class AD | 9,150 | 329,766 | ||||||
LIN TV Corporation Class AD* | 22,570 | 345,321 | ||||||
M/I Homes, Inc.*‡‡ | 6,090 | 139,827 | ||||||
Macquarie Infrastructure Co. LLC | 11,640 | 622,158 | ||||||
McDonald’s Corporation | 13,900 | 1,376,100 | ||||||
NIKE, Inc. Class B | 1,600 | 101,888 | ||||||
O’Reilly Automotive, Inc.D* | 2,910 | 327,724 | ||||||
Panera Bread Co. Class AD* | 2,900 | 539,226 | ||||||
PetSmart, Inc.D | 8,600 | 576,114 | ||||||
Ply Gem Holdings, Inc.D* | 4,170 | 83,650 | ||||||
priceline.com, Inc.* | 940 | 777,502 | ||||||
PVH Corporation | 1,000 | 125,050 | ||||||
Red Robin Gourmet Burgers, Inc.D* | 5,330 | 294,110 | ||||||
Ross Stores, Inc. | 1,900 | 123,139 | ||||||
Scripps Networks Interactive, Inc. Class A | 900 | 60,084 | ||||||
Shutterfly, Inc.* | 2,390 | 133,338 | ||||||
Sinclair Broadcast Group, Inc. Class A | 29,230 | 858,777 | ||||||
Standard Pacific CorporationD* | 22,540 | 187,758 | ||||||
Starbucks Corporation | 4,950 | 324,176 | ||||||
Target Corporation | 11,000 | 757,460 | ||||||
Taylor Morrison Home Corporation Class A* | 10,880 | 265,254 | ||||||
Tenneco, Inc.* | 2,960 | 134,029 | ||||||
Time Warner, Inc. | 1,300 | 75,166 | ||||||
TJX Cos., Inc. | 10,800 | 540,648 | ||||||
Tractor Supply Co.D | 5,000 | 588,050 | ||||||
Tupperware Brands Corporation | 1,700 | 132,073 | ||||||
Wal-Mart Stores, Inc. | 23,000 | 1,713,270 |
Shares | Value | |||||||
Walt Disney Co. (The) | 2,580 | $ | 162,927 | |||||
Yum! Brands, Inc. | 7,000 | 485,380 | ||||||
|
| |||||||
21,760,827 | ||||||||
|
| |||||||
Consumer Staples — 6.4% | ||||||||
Archer-Daniels-Midland Co. | 900 | 30,519 | ||||||
B&G Foods, Inc.D‡‡ | 15,480 | 527,094 | ||||||
Campbell Soup Co. | 7,500 | 335,925 | ||||||
Church & Dwight Co., Inc. | 17,600 | 1,086,096 | ||||||
Clorox Co. (The)D | 6,900 | 573,666 | ||||||
Coca-Cola Co. (The) | 19,000 | 762,090 | ||||||
Colgate-Palmolive Co. | 23,800 | 1,363,502 | ||||||
ConAgra Foods, Inc. | 2,100 | 73,353 | ||||||
CVS Caremark Corporation | 7,200 | 411,696 | ||||||
Dr. Pepper Snapple Group, Inc. | 6,300 | 289,359 | ||||||
General Mills, Inc. | 12,300 | 596,919 | ||||||
Hershey Co. (The) | 12,190 | 1,088,323 | ||||||
Hormel Foods Corporation | 6,800 | 262,344 | ||||||
Kellogg Co. | 10,000 | 642,300 | ||||||
Kimberly-Clark CorporationD | 14,200 | 1,379,388 | ||||||
Kroger Co. (The) | 26,400 | 911,856 | ||||||
McCormick & Co., Inc. (Non-Voting Shares)D | 12,500 | 879,500 | ||||||
Monster Beverage CorporationD* | 2,700 | 164,079 | ||||||
PepsiCo, Inc. | 70,504 | 5,766,522 | ||||||
Procter & Gamble Co. (The) | 89,900 | 6,921,401 | ||||||
Sysco CorporationD | 96,600 | 3,299,856 | ||||||
Walgreen Co. | 15,600 | 689,520 | ||||||
Whole Foods Market, Inc. | 19,200 | 988,416 | ||||||
|
| |||||||
29,043,724 | ||||||||
|
| |||||||
Energy — 4.3% | ||||||||
Anadarko Petroleum Corporation | 6,530 | 561,123 | ||||||
Cabot Oil & Gas Corporation | 4,050 | 287,631 | ||||||
Cameron International CorporationD* | 3,550 | 217,118 | ||||||
CARBO Ceramics, Inc.D | 1,200 | 80,916 | ||||||
Chevron Corporation | 25,200 | 2,982,168 | ||||||
Cobalt International Energy, Inc.* | 32,530 | 864,322 | ||||||
Concho Resources, Inc.D* | 10,290 | 861,479 | ||||||
EOG Resources, Inc. | 2,830 | 372,654 | ||||||
Exxon Mobil Corporation | 49,100 | 4,436,185 | ||||||
First Solar, Inc.* | 3,350 | 149,846 | ||||||
Gulfport Energy Corporation* | 9,130 | 429,749 | ||||||
Halliburton Co. | 6,320 | 263,670 | ||||||
Occidental Petroleum Corporation | 70,330 | 6,275,546 | ||||||
Rosetta Resources, Inc.D* | 11,090 | 471,547 | ||||||
SemGroup Corporation Class AD | 7,090 | 381,867 | ||||||
Southwestern Energy Co.D* | 15,060 | 550,142 | ||||||
Spectra Energy Corporation | 10,900 | 375,614 | ||||||
|
| |||||||
19,561,577 | ||||||||
|
| |||||||
Financial Services — 10.2% | ||||||||
Affiliated Managers Group, Inc.D*‡‡ | 5,840 | 957,410 | ||||||
Alliance Data Systems CorporationD* | 1,480 | 267,924 | ||||||
Allstate Corporation (The)‡‡ | 10,640 | 511,997 | ||||||
American Tower Corporation REIT | 4,930 | 360,728 |
See Notes to Financial Statements.
114
Table of Contents
Shares | Value | |||||||
Annaly Capital Management, Inc. REITD | 85,200 | $ | 1,070,964 | |||||
AvalonBay Communities, Inc. REIT | 2,450 | 330,529 | ||||||
Bank of Hawaii CorporationD | 13,600 | 684,352 | ||||||
Bank of the Ozarks, Inc.D‡‡ | 7,260 | 314,576 | ||||||
Brown & Brown, Inc.‡‡ | 7,940 | 255,986 | ||||||
Bryn Mawr Bank CorporationD | 6,030 | 144,298 | ||||||
Capitol Federal Financial, Inc. | 104,700 | 1,271,058 | ||||||
Cardtronics, Inc.* | 13,120 | 362,112 | ||||||
CBRE Group, Inc. Class A* | 11,550 | 269,808 | ||||||
Chubb Corporation (The) | 33,000 | 2,793,450 | ||||||
Citigroup, Inc.‡‡ | 13,020 | 624,569 | ||||||
City National CorporationD | 4,400 | 278,828 | ||||||
Commerce Bancshares, Inc.D | 31,195 | 1,358,854 | ||||||
Cullen/Frost Bankers, Inc.D | 20,300 | 1,355,431 | ||||||
Discover Financial Services‡‡ | 28,160 | 1,341,542 | ||||||
Dun & Bradstreet Corporation (The)D | 3,600 | 350,820 | ||||||
Education Realty Trust, Inc. REIT | 25,650 | 262,399 | ||||||
Employers Holdings, Inc.D | 9,860 | 241,077 | ||||||
Evercore Partners, Inc. Class A | 6,720 | 263,962 | ||||||
FactSet Research Systems, Inc.D | 5,400 | 550,476 | ||||||
First Niagara Financial Group, Inc. | 1,300 | 13,091 | ||||||
Fiserv, Inc.* | 300 | 26,223 | ||||||
Fortegra Financial CorporationD* | 31,230 | 214,550 | ||||||
Goldman Sachs Group, Inc. (The) | 1,700 | 257,125 | ||||||
Heritage Oaks BancorpD* | 17,810 | 109,888 | ||||||
Hersha Hospitality Trust REIT | 21,370 | 120,527 | ||||||
Infinity Property & Casualty CorporationD | 2,560 | 152,986 | ||||||
IntercontinentalExchange, Inc.D*‡‡ | 4,210 | 748,370 | ||||||
JPMorgan Chase & Co. | 24,556 | 1,296,311 | ||||||
KeyCorp | 206,800 | 2,283,072 | ||||||
M&T Bank CorporationD | 7,400 | 826,950 | ||||||
Markel Corporation*‡‡ | 918 | 483,740 | ||||||
Marsh & McLennan Cos., Inc. | 80,800 | 3,225,536 | ||||||
Mastercard, Inc. Class A | 900 | 517,050 | ||||||
MetLife, Inc.‡‡ | 11,420 | 522,579 | ||||||
MetroCorp Bancshares, Inc.D | 7,710 | 75,250 | ||||||
Nelnet, Inc. Class A‡‡ | 11,800 | 425,862 | ||||||
New York Community Bancorp, Inc.D | 34,400 | 481,600 | ||||||
Northern Trust CorporationD | 81,100 | 4,695,690 | ||||||
Ocwen Financial Corporation*‡‡ | 22,930 | 945,175 | ||||||
OmniAmerican Bancorp, Inc.* | 11,300 | 248,939 | ||||||
People’s United Financial, Inc.D | 111,000 | 1,653,900 | ||||||
PNC Financial Services Group, Inc. (The) | 46,400 | 3,383,488 | ||||||
Portfolio Recovery Associates, Inc.D* | 1,640 | 251,953 | ||||||
ProAssurance Corporation‡‡ | 8,940 | 466,310 | ||||||
Progressive Corporation (The) | 4,800 | 122,016 | ||||||
Rayonier, Inc. REITD | 9,300 | 515,127 | ||||||
SCBT Financial CorporationD | 4,370 | 220,204 | ||||||
Signature BankD*‡‡ | 3,860 | 320,457 | ||||||
State Street Corporation | 4,770 | 311,052 |
Shares | Value | |||||||
Strategic Hotels & Resorts, Inc. REIT* | 29,430 | $ | 260,750 | |||||
SunTrust Banks, Inc. | 13,000 | 410,410 | ||||||
Total System Services, Inc. | 14,800 | 362,304 | ||||||
Travelers Cos., Inc. (The) | 9,900 | 791,208 | ||||||
US Bancorp | 16,200 | 585,630 | ||||||
Visa, Inc. Class AD‡‡ | 7,420 | 1,356,005 | ||||||
W.R. Berkley Corporation | 12,500 | 510,750 | ||||||
WEX, Inc.*‡‡ | 4,270 | 327,509 | ||||||
Zions BancorporationD | 4,270 | 123,318 | ||||||
|
| |||||||
45,866,055 | ||||||||
|
| |||||||
Healthcare — 9.7% | ||||||||
Abbott Laboratories | 12,800 | 446,464 | ||||||
AbbVie, Inc.‡‡ | 10,900 | 450,606 | ||||||
ACADIA Pharmaceuticals, Inc.D* | 8,850 | 160,627 | ||||||
Aetna, Inc. | 2,200 | 139,788 | ||||||
Air Methods CorporationD*‡‡ | 17,780 | 602,386 | ||||||
Akorn, Inc.* | 7,240 | 97,885 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,700 | 156,808 | ||||||
Align Technology, Inc.D*‡‡ | 10,800 | 400,032 | ||||||
Allergan, Inc. | 7,300 | 614,952 | ||||||
AmerisourceBergen Corporation | 9,800 | 547,134 | ||||||
Amgen, Inc. | 5,200 | 513,032 | ||||||
Analogic CorporationD‡‡ | 8,870 | 646,002 | ||||||
ArthroCare Corporation*‡‡ | 13,100 | 452,343 | ||||||
AVEO Pharmaceuticals, Inc.D* | 13,050 | 32,625 | ||||||
Baxter International, Inc.‡‡ | 16,840 | 1,166,507 | ||||||
Becton, Dickinson and Co.D | 41,300 | 4,081,679 | ||||||
Biogen Idec, Inc.*‡‡ | 6,310 | 1,357,912 | ||||||
BioMarin Pharmaceutical, Inc.D* | 2,890 | 161,233 | ||||||
Bluebird Bio, Inc.D* | 2,540 | 63,424 | ||||||
Bristol-Myers Squibb Co.D‡‡ | 42,150 | 1,883,684 | ||||||
C.R. Bard, Inc. | 6,700 | 728,156 | ||||||
Cardinal Health, Inc.‡‡ | 13,210 | 623,512 | ||||||
CardioNet, Inc.D* | 21,970 | 129,623 | ||||||
Catamaran Corporation*‡‡ | 6,140 | 299,141 | ||||||
Celgene Corporation* | 5,100 | 596,241 | ||||||
Cepheid, Inc.*‡‡ | 12,530 | 431,283 | ||||||
Cerner Corporation* | 300 | 28,827 | ||||||
Cigna Corporation | 5,970 | 432,765 | ||||||
Cooper Cos., Inc. (The) | 450 | 53,572 | ||||||
Covance, Inc.D* | 500 | 38,070 | ||||||
Cubist Pharmaceuticals, Inc.*‡‡ | 8,570 | 413,931 | ||||||
Cyberonics, Inc.D* | 4,670 | 242,653 | ||||||
Cynosure, Inc. Class AD* | 3,620 | 94,048 | ||||||
DaVita HealthCare Partners, Inc.* | 100 | 12,080 | ||||||
Depomed, Inc.D* | 23,100 | 129,591 | ||||||
Edwards Lifesciences Corporation* | 1,500 | 100,800 | ||||||
Eli Lilly & Co. | 29,700 | 1,458,864 | ||||||
Forest Laboratories, Inc.* | 12,300 | 504,300 | ||||||
Gilead Sciences, Inc.D*‡‡ | 7,540 | 386,123 | ||||||
Health Management Associates, Inc. Class AD* | 22,740 | 357,473 | ||||||
Henry Schein, Inc.D* | 2,100 | 201,075 | ||||||
Humana, Inc.D | 2,000 | 168,760 | ||||||
IDEXX Laboratories, Inc.D* | 6,200 | 556,636 | ||||||
Impax Laboratories, Inc.* | 8,550 | 170,572 | ||||||
InterMune, Inc.D* | 4,150 | 39,923 | ||||||
Ironwood Pharmaceuticals, Inc.* | 5,160 | 51,239 |
See Notes to Financial Statements.
115
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND |
SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
Johnson & Johnson | 100,900 | $ | 8,663,274 | |||||
Laboratory Corporation of America HoldingsD* | 7,900 | 790,790 | ||||||
McKesson Corporation‡‡ | 9,470 | 1,084,315 | ||||||
Medtronic, Inc. | 1,100 | 56,617 | ||||||
Merck & Co., Inc. | 69,960 | 3,249,642 | ||||||
Myriad Genetics, Inc.* | 15,300 | 411,111 | ||||||
Neurocrine Biosciences, Inc.D* | 17,430 | 233,213 | ||||||
NPS Pharmaceuticals, Inc.*‡‡ | 41,300 | 623,630 | ||||||
Omnicare, Inc.D | 1,120 | 53,435 | ||||||
Onyx Pharmaceuticals, Inc.D* | 1,480 | 128,494 | ||||||
Patterson Cos., Inc.D | 13,400 | 503,840 | ||||||
Pfizer, Inc. | 46,644 | 1,306,499 | ||||||
Pharmacyclics, Inc.D* | 2,010 | 159,735 | ||||||
Prestige Brands Holdings, Inc.* | 2,290 | 66,731 | ||||||
Quest Diagnostics, Inc.D | 3,600 | 218,268 | ||||||
Receptos, Inc.* | 1,800 | 35,802 | ||||||
Salix Pharmaceuticals, Ltd.* | 1,180 | 78,057 | ||||||
St. Jude Medical, Inc. | 3,900 | 177,957 | ||||||
Stryker Corporation | 11,000 | 711,480 | ||||||
Synageva BioPharma Corporation* | 870 | 36,540 | ||||||
Team Health Holdings, Inc.*‡‡ | 12,620 | 518,303 | ||||||
Theravance, Inc.D* | 2,860 | 110,196 | ||||||
UnitedHealth Group, Inc. | 10,200 | 667,896 | ||||||
Universal Health Services, Inc. Class B | 5,280 | 353,549 | ||||||
Vertex Pharmaceuticals, Inc.* | 3,100 | 247,597 | ||||||
ViroPharma, Inc.*‡‡ | 13,970 | 400,240 | ||||||
WellPoint, Inc. | 700 | 57,288 | ||||||
XenoPort, Inc.D* | 2,340 | 11,583 | ||||||
Zimmer Holdings, Inc.D | 4,000 | 299,760 | ||||||
Zoetis, Inc. | 7,116 | 197,233 | ||||||
|
| |||||||
43,677,456 | ||||||||
|
| |||||||
Materials & Processing — 1.2% | ||||||||
American Vanguard Corporation | 7,360 | 172,445 | ||||||
Belden, Inc.D | 5,040 | 251,647 | ||||||
CF Industries Holdings, Inc. | 680 | 116,620 | ||||||
Commercial Metals Co. | 12,270 | 181,228 | ||||||
Eastman Chemical Co.D | 2,230 | 156,122 | ||||||
Fastenal Co.D | 11,200 | 513,520 | ||||||
International Flavors & Fragrances, Inc. | 600 | 45,096 | ||||||
KapStone Paper and Packaging Corporation* | 5,520 | 221,793 | ||||||
Mosaic Co. (The) | 25,400 | 1,366,774 | ||||||
Newmont Mining Corporation | 16,100 | 482,195 | ||||||
Rockwood Holdings, Inc.‡‡ | 12,460 | 797,814 | ||||||
Sherwin-Williams Co. (The) | 2,100 | 370,860 | ||||||
Westlake Chemical CorporationD‡‡ | 7,390 | 712,470 | ||||||
|
| |||||||
5,388,584 | ||||||||
|
| |||||||
Producer Durables — 5.5% | ||||||||
3M Co. | 6,000 | 656,100 | ||||||
ADT Corporation (The)D* | 31,400 | 1,251,290 | ||||||
Agilent Technologies, Inc. | 8,108 | 346,698 | ||||||
AMETEK, Inc.‡‡ | 13,470 | 569,781 | ||||||
Automatic Data Processing, Inc. | 21,700 | 1,494,262 | ||||||
C.H. Robinson Worldwide, Inc. | 5,100 | 287,181 | ||||||
CAI International, Inc.D*‡‡ | 15,080 | 355,436 | ||||||
Clean Harbors, Inc.D* | 1,800 | 90,954 |
Shares | Value | |||||||
Danaher Corporation | 2,200 | $ | 139,260 | |||||
General Dynamics Corporation | 3,700 | 289,821 | ||||||
General Electric Co. | 15,200 | 352,488 | ||||||
Honeywell International, Inc.‡‡ | 5,140 | 407,808 | ||||||
Huron Consulting Group, Inc.*‡‡ | 11,710 | 541,470 | ||||||
KBR, Inc. | 6,630 | 215,475 | ||||||
Kirby Corporation* | 3,050 | 242,597 | ||||||
Knight Transportation, Inc. | 1,900 | 31,958 | ||||||
Landstar System, Inc.D | 500 | 25,750 | ||||||
Lockheed Martin CorporationD | 5,200 | 563,992 | ||||||
MAXIMUS, Inc.D‡‡ | 13,080 | 974,198 | ||||||
Mettler Toledo International, Inc.* | 1,500 | 301,800 | ||||||
Middleby Corporation* | 1,550 | 263,640 | ||||||
Molex, Inc. | 128,300 | 3,189,538 | ||||||
MSC Industrial Direct Co., Inc. Class A | 3,300 | 255,618 | ||||||
Northrop Grumman Corporation | 2,800 | 231,840 | ||||||
Old Dominion Freight Line, Inc.* | 15,200 | 632,624 | ||||||
OSI Systems, Inc.*‡‡ | 3,014 | 194,162 | ||||||
Paychex, Inc.D | 17,000 | 620,840 | ||||||
Quanta Services, Inc.* | 18,150 | 480,249 | ||||||
Raytheon Co. | 7,600 | 502,512 | ||||||
Republic Services, Inc. | 31,233 | 1,060,048 | ||||||
Rockwell Collins, Inc.D | 8,774 | 556,359 | ||||||
Stericycle, Inc.* | 9,400 | 1,038,042 | ||||||
Trimble Navigation, Ltd.* | 8,620 | 224,206 | ||||||
Union Pacific CorporationD | 3,490 | 538,437 | ||||||
United Parcel Service, Inc. Class BD | 41,300 | 3,571,624 | ||||||
United Technologies Corporation | 800 | 74,352 | ||||||
Waste Management, Inc. | 50,000 | 2,016,500 | ||||||
Werner Enterprises, Inc.D | 4,700 | 113,599 | ||||||
|
| |||||||
24,702,509 | ||||||||
|
| |||||||
Technology — 5.1% | ||||||||
Adobe Systems, Inc.* | 600 | 27,336 | ||||||
ADTRAN, Inc.D | 7,600 | 187,036 | ||||||
Altera Corporation | 3,700 | 122,063 | ||||||
Analog Devices, Inc. | 14,500 | 653,370 | ||||||
Apple, Inc. | 100 | 39,608 | ||||||
Applied Materials, Inc. | 124,000 | 1,848,840 | ||||||
Autodesk, Inc.* | 1,500 | 50,910 | ||||||
Broadcom Corporation Class A‡‡ | 13,490 | 455,423 | ||||||
Cavium, Inc.D* | 4,620 | 163,409 | ||||||
Cisco Systems, Inc.‡‡ | 97,430 | 2,368,523 | ||||||
Citrix Systems, Inc.D* | 2,880 | 173,750 | ||||||
Cognizant Technology Solutions Corporation Class A* | 1,400 | 87,654 | ||||||
Digimarc Corporation | 18,240 | 378,845 | ||||||
EMC CorporationD‡‡ | 6,530 | 154,239 | ||||||
F5 Networks, Inc.* | 2,900 | 199,520 | ||||||
Facebook, Inc. Class A*‡‡ | 27,340 | 679,672 | ||||||
Google, Inc. Class A* | 1,840 | 1,619,881 | ||||||
IAC/InterActiveCorp | 7,700 | 366,212 | ||||||
Informatica CorporationD* | 4,140 | 144,817 | ||||||
Intel Corporation | 161,200 | 3,904,264 | ||||||
International Business Machines Corporation | 6,400 | 1,223,104 | ||||||
Intuit, Inc. | 13,500 | 823,905 |
See Notes to Financial Statements.
116
Table of Contents
Shares | Value | |||||||
Linear Technology CorporationD | 19,300 | $ | 711,012 | |||||
Manhattan Associates, Inc.*‡‡ | 5,050 | 389,658 | ||||||
Maxim Integrated Products, Inc. | 8,900 | 247,242 | ||||||
Microchip Technology, Inc.D | 2,800 | 104,300 | ||||||
Microsoft Corporation | 89,710 | 3,097,686 | ||||||
Millennial Media, Inc.D* | 23,360 | 203,466 | ||||||
NetApp, Inc.D* | 3,200 | 120,896 | ||||||
QUALCOMM, Inc. | 2,900 | 177,132 | ||||||
Red Hat, Inc.* | 1,600 | 76,512 | ||||||
SAIC, Inc.D | 7,100 | 98,903 | ||||||
SBA Communications Corporation Class A* | 2,050 | 151,946 | ||||||
ServiceNow, Inc.D* | 3,110 | 125,613 | ||||||
Silicon Laboratories, Inc.* | 4,300 | 178,063 | ||||||
Synopsys, Inc.* | 8,600 | 307,450 | ||||||
Tech Data Corporation* | 300 | 14,127 | ||||||
Teradata Corporation* | 2,400 | 120,552 | ||||||
Texas Instruments, Inc. | 2,300 | 80,201 | ||||||
Tyler Technologies, Inc.* | 7,110 | 487,391 | ||||||
VeriSign, Inc.D* | 1,200 | 53,592 | ||||||
VMware, Inc.D* | 1,000 | 66,990 | ||||||
Xilinx, Inc. | 10,800 | 427,788 | ||||||
|
| |||||||
22,912,901 | ||||||||
|
| |||||||
Utilities — 6.2% | ||||||||
AGL Resources, Inc. | 22,056 | 945,320 | ||||||
American Electric Power Co., Inc. | 11,600 | 519,448 | ||||||
American Water Works Co., Inc. | 23,000 | 948,290 | ||||||
AT&T, Inc. | 87,600 | 3,101,040 | ||||||
CenterPoint Energy, Inc. | 10,800 | 253,692 | ||||||
CenturyLink, Inc.D | 90,700 | 3,206,245 | ||||||
Consolidated Edison, Inc.D | 70,400 | 4,105,024 | ||||||
Dominion Resources, Inc. | 24,300 | 1,380,726 | ||||||
DTE Energy Co.D | 7,900 | 529,379 | ||||||
Duke Energy CorporationD | 9,700 | 654,750 | ||||||
Entergy Corporation | 4,200 | 292,656 | ||||||
NextEra Energy, Inc. | 4,100 | 334,068 | ||||||
NiSource, Inc. | 8,900 | 254,896 | ||||||
OGE Energy Corporation | 300 | 20,460 | ||||||
ONEOK, Inc. | 9,300 | 384,183 | ||||||
PG&E CorporationD | 31,200 | 1,426,776 | ||||||
Piedmont Natural Gas Co., Inc.D | 7,771 | 262,194 | ||||||
Pinnacle West Capital Corporation | 6,100 | 338,367 | ||||||
Public Service Enterprise Group, Inc.D | 13,200 | 431,112 | ||||||
Questar CorporationD | 23,500 | 560,475 | ||||||
Sempra Energy | 17,300 | 1,414,448 | ||||||
Southern Co. (The)D | 23,900 | 1,054,707 | ||||||
tw telecom, Inc.* | 9,300 | 261,702 | ||||||
UGI CorporationD | 16,000 | 625,760 | ||||||
Verizon Communications, Inc. | 26,800 | 1,349,112 | ||||||
WGL Holdings, Inc. | 73,900 | 3,193,958 | ||||||
Wisconsin Energy CorporationD | 2,600 | 106,574 | ||||||
Xcel Energy, Inc.D | 8,500 | 240,890 | ||||||
|
| |||||||
28,196,252 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $210,882,216) | 241,109,885 | |||||||
|
|
Shares | Value | |||||||
EQUITY LINKED SECURITIES — 0.6% | ||||||||
Credit Suisse NY+ | 13,997 | $ | 1,023,601 | |||||
Goldman Sachs Group, Inc.+ 144A @ | 4,600 | 345,998 | ||||||
UBS AG 144A@ | 17,000 | 726,920 | ||||||
UBS AG+@ | 16,400 | 707,742 | ||||||
|
| |||||||
Total Equity Linked Securities | ||||||||
(Cost $2,786,570) | 2,804,261 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 3.5% | ||||||||
Bermuda — 0.6% | ||||||||
Energy XXI (Bermuda), Ltd.D | 13,410 | 297,434 | ||||||
Everest Re Group, Ltd. | 10,600 | 1,359,556 | ||||||
Invesco, Ltd.‡‡ | 9,730 | 309,414 | ||||||
Marvell Technology Group, Ltd. | 25,100 | 293,921 | ||||||
Tower Group International, Ltd.D‡‡ | 26,790 | 549,463 | ||||||
|
| |||||||
2,809,788 | ||||||||
|
| |||||||
Brazil — 0.0% | ||||||||
Cosan, Ltd. Class AD | 8,820 | 142,531 | ||||||
|
| |||||||
Canada — 0.3% | ||||||||
Augusta Resource CorporationD* | 50,181 | 105,390 | ||||||
Canadian Pacific Railway, Ltd.D | 1,950 | 236,691 | ||||||
Capstone Mining Corporation* | 112,130 | 190,846 | ||||||
Intact Financial Corporation | 8,240 | 464,220 | ||||||
Methanex CorporationD | 7,410 | 317,074 | ||||||
QLT, Inc.D* | 6,260 | 27,481 | ||||||
Silver Wheaton CorporationD | 6,250 | 122,937 | ||||||
Silvercrest Mines, Inc.* | 17,767 | 24,327 | ||||||
|
| |||||||
1,488,966 | ||||||||
|
| |||||||
France — 0.2% | ||||||||
Constellium NV Class A | 20,410 | 329,622 | ||||||
Sanofi ADRD | 4,330 | 223,038 | ||||||
Total SA | 10,200 | 498,198 | ||||||
|
| |||||||
1,050,858 | ||||||||
|
| |||||||
Germany — 0.1% | ||||||||
Adidas AG | 1,420 | 153,499 | ||||||
Volkswagen AG | 1,150 | 223,588 | ||||||
|
| |||||||
377,087 | ||||||||
|
| |||||||
Guernsey — 0.1% | ||||||||
Tetragon Financial Group, Ltd. | 19,990 | 217,891 | ||||||
|
| |||||||
Hong Kong — 0.2% | ||||||||
AIA Group, Ltd. | 108,823 | 458,471 | ||||||
Michael Kors Holdings, Ltd.D*‡‡ | 6,690 | 414,914 | ||||||
|
| |||||||
873,385 | ||||||||
|
| |||||||
India — 0.0% | ||||||||
Dr. Reddys Laboratories, Ltd. ADRD | 1,260 | 47,653 | ||||||
|
| |||||||
Ireland — 0.3% | ||||||||
Accenture PLC Class A | 11,600 | 834,736 | ||||||
Eaton Corporation PLCD | 4,100 | 269,821 | ||||||
Prothena Corporation PLCD* | 150 | 1,937 | ||||||
Providence Resources PLC* | 13,520 | 110,425 | ||||||
Shire PLC ADRD | 530 | 50,408 | ||||||
|
| |||||||
1,267,327 | ||||||||
|
|
See Notes to Financial Statements.
117
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
Israel — 0.0% | ||||||||
Mazor Robotics, Ltd. ADRD* | 2,020 | $ | 28,886 | |||||
|
| |||||||
Japan — 0.1% | ||||||||
Honda Motor Co., Ltd. | 8,000 | 297,195 | ||||||
|
| |||||||
Mexico — 0.1% | ||||||||
Credito Real SAB de CV* | 139,070 | 230,756 | ||||||
|
| |||||||
Netherlands — 0.3% | ||||||||
Koninklijke Philips Electronics NV | 13,515 | 368,432 | ||||||
LyondellBasell Industries NV Class AD | 10,110 | 669,889 | ||||||
Royal Dutch Shell PLC Class A | 11,069 | 353,695 | ||||||
Yandex NV* | 5,880 | 162,464 | ||||||
|
| |||||||
1,554,480 | ||||||||
|
| |||||||
Nigeria — 0.0% | ||||||||
Lekoil, Ltd.* | 158,510 | 94,024 | ||||||
|
| |||||||
Norway — 0.0% | ||||||||
Petroleum Geo-Services ASA | 17,350 | 211,844 | ||||||
|
| |||||||
Panama — 0.1% | ||||||||
Carnival Corporation | 7,600 | 260,604 | ||||||
|
| |||||||
Philippines — 0.0% | ||||||||
Metropolitan Bank & Trust | 64,300 | 164,488 | ||||||
|
| |||||||
Singapore — 0.0% | ||||||||
Avago Technologies, Ltd. | 4,210 | 157,370 | ||||||
|
| |||||||
Sweden — 0.2% | ||||||||
Atlas Copco AB, Class B | 16,600 | 355,252 | ||||||
Swedbank AB Class A | 14,850 | 340,133 | ||||||
|
| |||||||
695,385 | ||||||||
|
| |||||||
Switzerland — 0.7% | ||||||||
ABB, Ltd. | 16,700 | 361,755 | ||||||
ACE, Ltd. | 7,000 | 626,360 | ||||||
Pentair, Ltd.D | 3,800 | 219,222 | ||||||
Roche Holding AG ADR‡‡ | 12,360 | 764,651 | ||||||
Tyco International, Ltd. | 33,288 | 1,096,840 | ||||||
|
| |||||||
3,068,828 | ||||||||
|
| |||||||
United Kingdom — 0.2% | ||||||||
Aon PLC | 4,700 | 302,445 | ||||||
Countrywide PLC* | 34,624 | 265,942 | ||||||
Ophir Energy PLC* | 52,677 | 286,414 | ||||||
WPP PLC | 7,000 | 119,650 | ||||||
|
| |||||||
974,451 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $15,355,411) | 16,013,797 | |||||||
|
| |||||||
PREFERRED STOCKS — 5.0% | ||||||||
Bank of America Corporation, | ||||||||
7.25% | 6,453 | 7,166,057 | ||||||
Health Care REIT, Inc., | ||||||||
6.25%* | 33,900 | 2,104,851 | ||||||
MetLife, Inc., | ||||||||
5.0%, 03/26/14* | 9,300 | 509,547 | ||||||
Post Holdings, Inc., | ||||||||
3.75% 144A@* | 2,473 | 276,679 | ||||||
Stanley Black & Decker, Inc., | ||||||||
4.75%, 11/17/15* | 20,200 | 2,608,628 | ||||||
US Bancorp, | ||||||||
6.00%D* | 116,200 | 3,185,042 |
Shares | Value | |||||||
Wells Fargo & Co., | ||||||||
7.50% | 5,669 | $ | 6,768,786 | |||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Cost $21,835,846) | 22,619,590 | |||||||
|
| |||||||
FOREIGN PREFERRED STOCKS — 0.0% |
| |||||||
Volkswagen AG | 100 | 20,198 | ||||||
|
| |||||||
MASTER LIMITED PARTNERSHIPS — 0.2% |
| |||||||
Spectra Energy Partners LP | 24,014 | 1,104,644 | ||||||
|
| |||||||
MONEY MARKET FUNDS — 30.4% |
| |||||||
GuideStone Money Market | ||||||||
Fund (GS4 Class)¥ | 54,906,211 | 54,906,211 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 82,224,036 | 82,224,036 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $137,130,247) | 137,130,247 | |||||||
|
| |||||||
Par | ||||||||
CORPORATE BONDS — 22.6% | ||||||||
Affiliated Managers Group, Inc. | ||||||||
3.95%, 08/15/38 | $ | 805,000 | 1,037,444 | |||||
Alere, Inc. | ||||||||
3.00%, 05/15/16 | 1,400,000 | 1,386,875 | ||||||
Alliant Techsystems, Inc. | ||||||||
3.00%, 08/15/24 CONVD | 1,665,000 | 1,913,709 | ||||||
AmeriGas Finance LLC | ||||||||
6.75%, 05/20/20 | 300,000 | 312,000 | ||||||
Archer-Daniels-Midland Co. | ||||||||
0.88%, 02/15/14 CONV | 1,030,000 | 1,039,656 | ||||||
ARRIS Group, Inc. | ||||||||
2.00%, 11/15/26 CONV | 575,000 | 592,250 | ||||||
Blucora, Inc. | ||||||||
4.25%, 04/01/19 CONV 144A | 240,000 | 269,250 | ||||||
Boston Properties LP | ||||||||
3.63%, 02/15/14 CONV 144A | 1,545,000 | 1,598,109 | ||||||
Bristow Group, Inc. | ||||||||
3.00%, 06/15/38 CONVD | 925,000 | 1,094,969 | ||||||
CCO Holdings LLC | ||||||||
5.25%, 09/30/22 | 300,000 | 286,500 | ||||||
CenturyLink, Inc. | ||||||||
5.80%, 03/15/22 | 200,000 | 198,500 | ||||||
Chesapeake Energy Corporation | ||||||||
2.50%, 05/15/37 CONVD | 2,315,000 | 2,192,016 | ||||||
CIT Group, Inc. | ||||||||
5.00%, 05/15/17 | 30,000 | 30,788 | ||||||
5.00%, 08/15/22 | 500,000 | 498,474 | ||||||
Citigroup, Inc. | ||||||||
5.95%, 12/29/49† | 2,808,000 | 2,797,751 | ||||||
Covanta Holding Corporation | ||||||||
3.25%, 06/01/14 CONV | 350,000 | 452,375 | ||||||
DaVita HealthCare Partners, Inc. | ||||||||
6.63%, 11/01/20D | 500,000 | 532,500 | ||||||
Dealertrack Technologies, Inc. | ||||||||
1.50%, 03/15/17 CONV | 370,000 | 429,200 |
See Notes to Financial Statements.
118
Table of Contents
Par | Value | |||||||
Denbury Resources, Inc. | ||||||||
4.63%, 07/15/23 | $ | 200,000 | $ | 184,750 | ||||
Electronic Arts, Inc. | ||||||||
0.75%, 07/15/16 CONVD | 2,300,000 | 2,406,375 | ||||||
Equinix, Inc. | ||||||||
5.38%, 04/01/23 | 450,000 | 443,250 | ||||||
Exterran Holdings, Inc. | ||||||||
4.25%, 06/15/14 CONV | 1,050,000 | 1,352,531 | ||||||
Frontier Communications Corporation | ||||||||
8.50%, 04/15/20D | 450,000 | 498,375 | ||||||
General Cable Corporation | ||||||||
0.88%, 11/15/13 CONV | 2,350,000 | 2,347,063 | ||||||
General Electric Capital Corporation | ||||||||
6.25%, 12/15/49† | 2,400,000 | 2,560,750 | ||||||
Goodrich Petroleum Corporation | ||||||||
5.00%, 10/01/29 CONV | 1,380,000 | 1,376,550 | ||||||
Goodyear Tire & Rubber Co. | ||||||||
6.50%, 03/01/21D | 200,000 | 204,500 | ||||||
7.00%, 05/15/22D | 325,000 | 334,750 | ||||||
Greenbrier Cos., Inc. | ||||||||
3.50%, 04/01/18 CONV | 850,000 | 877,625 | ||||||
Griffon Corporation | ||||||||
4.00%, 01/15/17 CONV 144A | 470,000 | 502,019 | ||||||
Group 1 Automotive, Inc. | ||||||||
2.25%, 06/15/36 STEPD | 1,550,000 | 1,853,219 | ||||||
Hanesbrands, Inc. | ||||||||
6.38%, 12/15/20D | 500,000 | 535,625 | ||||||
HCA, Inc. | ||||||||
5.88%, 05/01/23 | 400,000 | 402,000 | ||||||
Health Care REIT, Inc. | ||||||||
3.00%, 12/01/29 CONV | 1,070,000 | 1,418,419 | ||||||
Hologic, Inc. | ||||||||
2.00%, 12/15/43 STEPD | 520,000 | 533,650 | ||||||
2.00%, 12/15/37 STEPD | 340,000 | 341,702 | ||||||
2.00%, 03/01/42 STEPD | 1,790,000 | 1,775,456 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
1.63%, 11/15/26 STEPD | 890,000 | 1,026,793 | ||||||
Iconix Brand Group, Inc. | ||||||||
2.50%, 06/01/16 CONV | 1,945,000 | 2,202,712 | ||||||
Illumina, Inc. | ||||||||
0.25%, 03/15/16 CONV 144A | 2,105,000 | 2,281,294 | ||||||
Integra LifeSciences Holdings Corporation | ||||||||
1.63%, 12/15/16 CONV | 1,900,000 | 1,866,750 | ||||||
Intel Corporation | ||||||||
2.95%, 12/15/35 CONVD | 3,294,000 | 3,592,519 | ||||||
Janus Capital Group, Inc. | ||||||||
3.25%, 07/15/14 CONVD | 3,169,000 | 3,315,566 | ||||||
0.75%, 07/15/18 CONV | 84,000 | 86,835 | ||||||
Jarden Corporation | ||||||||
7.50%, 05/01/17 | 500,000 | 550,625 | ||||||
1.88%, 09/15/18 CONV 144AD | 820,000 | 925,062 | ||||||
L Brands, Inc. | ||||||||
5.63%, 02/15/22 | 200,000 | 204,000 | ||||||
L-3 Communications Holdings, Inc. | ||||||||
3.00%, 08/01/35 CONV | 2,152,000 | 2,199,075 |
Par | Value | |||||||
Lam Research Corporation | ||||||||
0.50%, 05/15/16 CONVD | $ | 1,530,000 | $ | 1,616,062 | ||||
Leap Wireless International, Inc. | ||||||||
4.50%, 07/15/14 CONV | 1,605,000 | 1,618,041 | ||||||
Lennar Corporation | ||||||||
2.00%, 12/01/20 CONV 144A | 775,000 | 1,031,719 | ||||||
LifePoint Hospitals, Inc. | ||||||||
3.50%, 05/15/14 CONV | 3,450,000 | 3,747,562 | ||||||
Linear Technology Corporation | ||||||||
3.00%, 05/01/27 CONV | 1,230,000 | 1,286,888 | ||||||
Live Nation Entertainment, Inc. | ||||||||
2.88%, 07/15/27 CONV | 1,990,000 | 2,018,606 | ||||||
Mediacom LLC | ||||||||
7.25%, 02/15/22 | 350,000 | 370,125 | ||||||
Microchip Technology, Inc. | ||||||||
2.13%, 12/15/37 CONV | 914,000 | 1,330,441 | ||||||
Micron Technology, Inc. | ||||||||
1.88%, 06/01/14 CONVD | 245,000 | 279,912 | ||||||
Navistar International Corporation | ||||||||
3.00%, 10/15/14 CONVD | 1,435,000 | 1,400,919 | ||||||
NBTY, Inc. | ||||||||
9.00%, 10/01/18 | 500,000 | 546,250 | ||||||
Nuance Communications, Inc. | ||||||||
2.75%, 11/01/31 CONV | 1,545,000 | 1,599,075 | ||||||
NuVasive, Inc. | ||||||||
2.75%, 07/01/17 CONV | 2,370,000 | 2,349,263 | ||||||
Omnicare, Inc. | ||||||||
3.25%, 12/15/35 CONV | 2,195,000 | 2,271,825 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
3.00%, 06/01/15 CONV 144A | 2,185,000 | 2,223,238 | ||||||
Prologis LP | ||||||||
3.25%, 03/15/15 CONVD | 1,595,000 | 1,845,216 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
9.88%, 08/15/19 | 250,000 | 268,750 | ||||||
Rovi Corporation | ||||||||
2.63%, 02/15/40 CONVD | 1,820,000 | 1,856,400 | ||||||
RTI International Metals, Inc. | ||||||||
3.00%, 12/01/15 CONVD | 425,000 | 462,719 | ||||||
Ryland Group, Inc. | ||||||||
0.25%, 06/01/19 CONVD | 690,000 | 626,175 | ||||||
Salesforce.com, Inc. | ||||||||
0.25%, 04/01/18 CONV 144AD | 1,475,000 | 1,405,859 | ||||||
Salix Pharmaceuticals, Ltd. | ||||||||
1.50%, 03/15/19 CONV | 570,000 | 682,931 | ||||||
Sally Holdings LLC | ||||||||
5.75%, 06/01/22 | 300,000 | 306,000 | ||||||
SEACOR Holdings, Inc. | ||||||||
2.50%, 12/15/27 CONV 144A | 770,000 | 890,312 | ||||||
Steel Dynamics, Inc. | ||||||||
5.13%, 06/15/14 CONV | 1,560,000 | 1,672,125 | ||||||
Terex Corporation | ||||||||
6.50%, 04/01/20 | 400,000 | 410,000 | ||||||
TIBCO Software, Inc. | ||||||||
2.25%, 05/01/32 CONV | 2,060,000 | 2,012,362 | ||||||
Titan Machinery, Inc. | ||||||||
3.75%, 05/01/19 CONVD | 1,250,000 | 1,175,000 |
See Notes to Financial Statements.
119
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND |
SCHEDULE OF INVESTMENTS (Continued) |
Par | Value | |||||||
Toll Brothers Finance Corporation | ||||||||
0.50%, 09/15/32 CONV 144AD | $ | 1,280,000 | $ | 1,307,200 | ||||
Trinity Industries, Inc. | ||||||||
3.88%, 06/01/36 CONVD | 1,920,000 | 2,260,800 | ||||||
TTM Technologies, Inc. | ||||||||
3.25%, 05/15/15 CONVD | 1,715,000 | 1,731,078 | ||||||
tw telecom, Inc. | ||||||||
2.38%, 04/01/26 CONV | 484,000 | 730,538 | ||||||
Vanguard Health Holding Co. II LLC | ||||||||
8.00%, 02/01/18D | 250,000 | 266,250 | ||||||
Walter Investment Management Corporation | ||||||||
4.50%, 11/01/19 CONV | 960,000 | 966,600 | ||||||
WebMD Health Corporation | ||||||||
2.50%, 01/31/18 CONV | 1,765,000 | 1,641,449 | ||||||
WellPoint, Inc. | ||||||||
2.75%, 10/15/42 CONV 144A@D | 228,000 | 285,000 | ||||||
XM Satellite Radio, Inc. | ||||||||
7.00%, 12/01/14 CONV 144A | 250,000 | 476,562 | ||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost $96,467,294) | 101,831,458 | |||||||
|
| |||||||
FOREIGN BONDS — 1.1% | ||||||||
Australia — 0.1% | ||||||||
FMG Resources August 2006 Proprietary, Ltd. | ||||||||
8.25%, 11/01/19 144AD | 525,000 | 543,375 | ||||||
6.88%, 04/01/22 144AD | 100,000 | 97,375 | ||||||
|
| |||||||
640,750 | ||||||||
|
| |||||||
Canada — 0.1% | ||||||||
VPII Escrow Corporation | ||||||||
7.50%, 07/15/21 144A | 400,000 | 414,500 | ||||||
|
| |||||||
Luxembourg — 0.4% | ||||||||
ArcelorMittal | ||||||||
5.00%, 05/15/14 CONVD | 1,600,000 | 1,636,000 | ||||||
|
| |||||||
Netherlands — 0.5% | ||||||||
Siemens Financierings-maatschappij NV | ||||||||
1.05%, 08/16/17 CONVD | 2,000,000 | 2,052,400 | ||||||
|
| |||||||
Total Foreign Bonds | ||||||||
(Cost $4,720,483) | 4,743,650 | |||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Call Options — 0.0% | ||||||||
Cliffs Natural Resources, Strike Price $24.00, Expires 07/20/13 (MLCS) | 83 | 83 | ||||||
Cobalt International Energy, Inc., Strike Price $27.50, Expires 01/18/14 (GSC) | 200 | 68,000 | ||||||
Stewart Information Services Corporation, Strike Price $10.00, Expires 08/17/13 (GSC) | 53 | 16,430 | ||||||
Volcano Corporation, Strike Price $20.00, Expires 10/19/13 (GSC) | 19 | 1,947 | ||||||
|
| |||||||
86,460 | ||||||||
|
|
Number of Contracts | Value | |||||||
Put Options — 0.1% | ||||||||
Apache Corporation, Strike Price $82.50, Expires 07/20/13 (JPM) | 156 | $ | 20,280 | |||||
Chesapeake Energy Corporation, Strike Price $19.00, Expires 08/18/13 (JPM) | 649 | 36,344 | ||||||
ConocoPhillips, Strike Price $60.00, Expires 08/17/13 (GSC) | 195 | 31,200 | ||||||
Consumer Staples Select Sector SPDR Fund, Strike Price $38.00, Expires 09/21/13 (KS) | 130 | 7,020 | ||||||
Devon Energy Corporation, Strike Price $52.5, Expires 08/18/13 (GSC) | 134 | 31,088 | ||||||
E.I. du Pont de Nemours & Co., Strike Price $52.50, Expires 07/20/13 (JPM) | 174 | 16,530 | ||||||
Market Vectors Oil Service ETF, Strike Price $43.00, Expires 07/20/13 (HKSB) | 121 | 11,495 | ||||||
Materials Select SPDR Trust, Strike Price $39.00, Expires 09/21/13 (GSC) | 129 | 22,317 | ||||||
Pfizer, Inc. Strike Price $29.00, Expires 07/21/13 (GSC) | 106 | 11,448 | ||||||
|
| |||||||
187,722 | ||||||||
|
| |||||||
Total Purchased Options | ||||||||
(Cost $280,148) | 274,182 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 116.9% | ||||||||
(Cost $490,369,162) | 527,651,912 | |||||||
|
| |||||||
Shares | �� | |||||||
COMMON STOCKS SOLD SHORT — (5.7)% |
| |||||||
Consumer Discretionary — (0.9)% | ||||||||
Buckle, Inc. (The) | (5,000 | ) | (260,100 | ) | ||||
Foot Locker, Inc. | (3,710 | ) | (130,332 | ) | ||||
Hanesbrands, Inc. | (2,820 | ) | (145,004 | ) | ||||
Hyatt Hotels Corporation Class A* | (14,200 | ) | (573,112 | ) | ||||
Johnson Controls, Inc. | (7,510 | ) | (268,783 | ) | ||||
L Brands, Inc. | (3,790 | ) | (186,658 | ) | ||||
McDonald’s Corporation | (1,230 | ) | (121,770 | ) | ||||
MDC Holdings, Inc. | (8,020 | ) | (260,730 | ) | ||||
Netflix, Inc.* | (580 | ) | (122,432 | ) | ||||
NVR, Inc.* | (360 | ) | (331,920 | ) | ||||
Omnicom Group, Inc. | (2,930 | ) | (184,209 | ) | ||||
Panera Bread Co. Class A* | (570 | ) | (105,986 | ) | ||||
Royal Caribbean Cruises, Ltd. | (2,850 | ) | (95,019 | ) | ||||
Target Corporation | (8,390 | ) | (577,735 | ) | ||||
Time Warner, Inc. | (4,440 | ) | (256,721 | ) | ||||
Tupperware Brands Corporation | (4,010 | ) | (311,537 | ) | ||||
Under Armour, Inc. Class A* | (1,600 | ) | (95,536 | ) | ||||
|
| |||||||
(4,027,584 | ) | |||||||
|
| |||||||
Consumer Staples — (0.1)% | ||||||||
Coca-Cola Enterprises, Inc. | (3,440 | ) | (120,951 | ) | ||||
McCormick & Co., Inc. (Non-Voting Shares) | (1,750 | ) | (123,130 | ) | ||||
Spectrum Brands Holdings, Inc. | (2,660 | ) | (151,274 | ) | ||||
Walgreen Co. | (4,970 | ) | (219,674 | ) | ||||
|
| |||||||
(615,029 | ) | |||||||
|
|
See Notes to Financial Statements.
120
Table of Contents
Shares | Value | |||||||
Energy — (0.4)% | ||||||||
Approach Resources Inc* | (9,520 | ) | $ | (233,906 | ) | |||
Northern Oil and Gas, Inc.* | (11,190 | ) | (149,275 | ) | ||||
Oasis Petroleum, Inc.* | (9,970 | ) | (387,534 | ) | ||||
Pioneer Natural Resources Co. | (3,160 | ) | (457,410 | ) | ||||
Ultra Petroleum Corporation* | (6,120 | ) | (121,299 | ) | ||||
Valero Energy Corporation | (2,690 | ) | (93,531 | ) | ||||
Whiting Petroleum Corporation* | (4,470 | ) | (206,022 | ) | ||||
|
| |||||||
(1,648,977 | ) | |||||||
|
| |||||||
Financial Services — (1.7)% | ||||||||
Apartment Investment & Management Co. Class A REIT | (12,040 | ) | (361,682 | ) | ||||
Assurant, Inc. | (7,270 | ) | (370,116 | ) | ||||
Bank of America Corporation | (29,590 | ) | (380,527 | ) | ||||
Blackhawk Network Holdings, Inc.* | (6,090 | ) | (141,288 | ) | ||||
BlackRock, Inc. | (500 | ) | (128,425 | ) | ||||
Capital One Financial Corporation | (6,940 | ) | (435,901 | ) | ||||
Cincinnati Financial Corporation | (10,390 | ) | (476,901 | ) | ||||
Cohen & Steers Inc | (13,330 | ) | (452,953 | ) | ||||
Comerica, Inc. | (7,350 | ) | (292,750 | ) | ||||
Digital Realty Trust, Inc. REIT | (2,820 | ) | (172,020 | ) | ||||
First Republic Bank | (7,020 | ) | (270,130 | ) | ||||
Fiserv, Inc.* | (1,420 | ) | (124,122 | ) | ||||
Global Payments, Inc. | (7,190 | ) | (333,041 | ) | ||||
Health Care REIT, Inc. | (3,150 | ) | (211,144 | ) | ||||
Host Hotels & Resorts, Inc. REIT | (21,170 | ) | (357,138 | ) | ||||
Janus Capital Group, Inc. | (37,860 | ) | (322,189 | ) | ||||
Jones Lang Lasalle, Inc. | (3,690 | ) | (336,307 | ) | ||||
Legg Mason, Inc. | (23,350 | ) | (724,083 | ) | ||||
Progressive Corporation (The) | (25,050 | ) | (636,771 | ) | ||||
SL Green Realty Corporation REIT | (3,730 | ) | (328,949 | ) | ||||
Thomson Reuters Corporation | (18,310 | ) | (596,357 | ) | ||||
Western Union Co. (The) | (19,390 | ) | (331,763 | ) | ||||
|
| |||||||
(7,784,557 | ) | |||||||
|
| |||||||
Healthcare — (0.7)% | ||||||||
AmerisourceBergen Corporation | (2,500 | ) | (139,575 | ) | ||||
Arena Pharmaceuticals, Inc.* | (33,820 | ) | (260,414 | ) | ||||
Becton, Dickinson and Co. | (670 | ) | (66,216 | ) | ||||
Boston Scientific Corporation* | (7,220 | ) | (66,929 | ) | ||||
C.R. Bard, Inc. | (900 | ) | (97,812 | ) | ||||
Clovis Oncology, Inc.* | (3,350 | ) | (224,383 | ) | ||||
DENTSPLY International, Inc. | (2,420 | ) | (99,123 | ) | ||||
Eli Lilly & Co. | (3,310 | ) | (162,587 | ) | ||||
HMS Holdings Corporation* | (5,380 | ) | (125,354 | ) | ||||
IDEXX Laboratories, Inc.* | (1,480 | ) | (132,874 | ) | ||||
ImmunoGen, Inc.* | (2,960 | ) | (49,106 | ) | ||||
IPC The Hospitalist Co., Inc.* | (1,350 | ) | (69,336 | ) | ||||
Isis Pharmaceuticals, Inc.* | (2,650 | ) | (71,206 | ) | ||||
Johnson & Johnson | (3,880 | ) | (333,137 | ) | ||||
LifePoint Hospitals, Inc.* | (3,250 | ) | (158,730 | ) | ||||
Medtronic, Inc. | (2,120 | ) | (109,116 | ) | ||||
Neogen Corporation* | (1,860 | ) | (103,342 | ) | ||||
Pfizer, Inc. | (14,400 | ) | (403,344 | ) | ||||
Portola Pharmaceuticals, Inc.* | (2,220 | ) | (54,546 | ) | ||||
Quidel Corporation* | (3,810 | ) | (97,269 | ) | ||||
Sirona Dental Systems, Inc.* | (1,500 | ) | (98,820 | ) |
Shares | Value | |||||||
Stryker Corporation | (1,980 | ) | $ | (128,066 | ) | |||
Thermo Fisher Scientific, Inc. | (1,550 | ) | (131,177 | ) | ||||
Varian Medical Systems, Inc.* | (2,670 | ) | (180,092 | ) | ||||
|
| |||||||
(3,362,554 | ) | |||||||
|
| |||||||
Materials & Processing — (0.5)% | ||||||||
Air Products & Chemicals, Inc. | (3,910 | ) | (358,039 | ) | ||||
Alcoa, Inc. | (29,720 | ) | (232,410 | ) | ||||
Allegheny Technologies, Inc. | (4,170 | ) | (109,713 | ) | ||||
Aptargroup, Inc. | (3,170 | ) | (175,016 | ) | ||||
Century Aluminum Co.* | (9,050 | ) | (83,984 | ) | ||||
Compass Minerals International, Inc. | (2,560 | ) | (216,397 | ) | ||||
E.I. du Pont de Nemours & Co. | (12,290 | ) | (645,225 | ) | ||||
Fastenal Co. | (4,060 | ) | (186,151 | ) | ||||
Globe Specialty Metals, Inc. | (8,450 | ) | (91,851 | ) | ||||
Mosaic Co. (The) | (1,830 | ) | (98,472 | ) | ||||
Schnitzer Steel Industries, Inc. | (4,840 | ) | (113,159 | ) | ||||
|
| |||||||
(2,310,417 | ) | |||||||
|
| |||||||
Producer Durables — (1.1)% | ||||||||
3M Co. | (840 | ) | (91,854 | ) | ||||
Advanced Energy Industries, Inc.* | (9,230 | ) | (160,694 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (5,350 | ) | (234,116 | ) | ||||
CSX Corporation | (17,380 | ) | (403,042 | ) | ||||
Emerson Electric Co. | (10,460 | ) | (570,488 | ) | ||||
GrafTech International, Ltd.* | (14,820 | ) | (107,890 | ) | ||||
Hub Group, Inc. Class A* | (7,570 | ) | (275,699 | ) | ||||
Kennametal, Inc. | (9,600 | ) | (372,768 | ) | ||||
Knight Transportation, Inc. | (24,200 | ) | (407,044 | ) | ||||
Landstar System, Inc. | (5,390 | ) | (277,585 | ) | ||||
Manitowoc Co, Inc. | (4,760 | ) | (85,252 | ) | ||||
Mettler-Toledo International, Inc.* | (730 | ) | (146,876 | ) | ||||
Norfolk Southern Corporation | (4,660 | ) | (338,549 | ) | ||||
Southwest Airlines Co. | (18,850 | ) | (242,977 | ) | ||||
Stericycle, Inc.* | (1,230 | ) | (135,829 | ) | ||||
Textron, Inc. | (11,240 | ) | (292,802 | ) | ||||
Waters Corporation* | (1,340 | ) | (134,067 | ) | ||||
Werner Enterprises, Inc. | (19,200 | ) | (464,064 | ) | ||||
|
| |||||||
(4,741,596 | ) | |||||||
|
| |||||||
Technology — (0.3)% | ||||||||
Bankrate, Inc.* | (15,210 | ) | (218,416 | ) | ||||
Electronic Arts, Inc.* | (3,320 | ) | (76,260 | ) | ||||
Equinix, Inc.* | (660 | ) | (121,915 | ) | ||||
F5 Networks, Inc.* | (980 | ) | (67,424 | ) | ||||
International Business Machines Corporation | (1,010 | ) | (193,021 | ) | ||||
OpenTable, Inc.* | (1,110 | ) | (70,985 | ) | ||||
Tech Data Corporation* | (3,150 | ) | (148,334 | ) | ||||
Texas Instruments, Inc. | (5,620 | ) | (195,969 | ) | ||||
TriQuint Semiconductor, Inc.* | (14,280 | ) | (98,960 | ) | ||||
Vocera Communications, Inc.* | (930 | ) | (13,671 | ) | ||||
|
| |||||||
(1,204,955 | ) | |||||||
|
| |||||||
Utilities — 0.0% | ||||||||
National Fuel Gas Co. | (3,900 | ) | (226,005 | ) | ||||
|
| |||||||
Total Common Stocks Sold Short | ||||||||
(Cost $(26,238,130)) | (25,921,674 | ) | ||||||
|
|
See Notes to Financial Statements.
121
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND |
SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | |||||||
FOREIGN COMMON STOCKS SOLD SHORT — (1.0)% |
| |||||||
Brazil — 0.0% | ||||||||
Banco Bradesco SA ADR | (13,834 | ) | $ | (179,980 | ) | |||
|
| |||||||
Canada — (0.2)% | ||||||||
Barrick Gold Corporation | (11,250 | ) | (177,075 | ) | ||||
Encana Corporation | (21,820 | ) | (369,631 | ) | ||||
Goldcorp, Inc. | (2,970 | ) | (73,448 | ) | ||||
Home Capital Group, Inc. | (6,500 | ) | (343,201 | ) | ||||
Hudbay Minerals, Inc. | (17,900 | ) | (118,460 | ) | ||||
|
| |||||||
(1,081,815 | ) | |||||||
|
| |||||||
Chile — 0.0% | ||||||||
Banco Santander Chile ADR | (1 | ) | (21 | ) | ||||
|
| |||||||
China — (0.1)% | ||||||||
Aluminum Corporation of China, Ltd. Class H* | (140,590 | ) | (44,649 | ) | ||||
China Minsheng Banking Corporation Ltd. H Shares | (204,927 | ) | (199,556 | ) | ||||
|
| |||||||
(244,205 | ) | |||||||
|
| |||||||
Germany — (0.1)% | ||||||||
Daimler AG | (3,191 | ) | (192,636 | ) | ||||
Fresenius Medical Care AG & CO KGaA ADR | (1,870 | ) | (65,955 | ) | ||||
SAP AG ADR | (1,510 | ) | (109,974 | ) | ||||
SGL Carbon SE | (2,580 | ) | (81,941 | ) | ||||
|
| |||||||
(450,506 | ) | |||||||
|
| |||||||
Hong Kong — (0.1)% | ||||||||
Hong Kong & China Gas Co., Ltd. | (106,370 | ) | (259,549 | ) | ||||
|
| |||||||
Ireland — (0.1)% | ||||||||
Accenture PLC Class A | (2,400 | ) | (172,704 | ) | ||||
Alkermes PLC* | (3,360 | ) | (96,365 | ) | ||||
|
| |||||||
(269,069 | ) | |||||||
|
| |||||||
Israel — 0.0% | ||||||||
Sodastream International, Ltd.* | (1,830 | ) | (132,950 | ) | ||||
|
| |||||||
Mexico — (0.1)% | ||||||||
Grupo Financiero Banorte SAB de CV | (41,650 | ) | (248,792 | ) | ||||
|
| |||||||
South Africa — 0.0% | ||||||||
AngloGold Ashanti, Ltd. ADR | (5,290 | ) | (75,647 | ) | ||||
Gold Fields, Ltd. ADR | (24,720 | ) | (129,780 | ) | ||||
|
| |||||||
(205,427 | ) | |||||||
|
| |||||||
Spain — (0.1)% | ||||||||
Banco Bilbao Vizcaya Argentaria SA ADR | (37,930 | ) | (318,991 | ) | ||||
|
| |||||||
Sweden — 0.0% | ||||||||
Hennes & Mauritz AB Class B | (3,890 | ) | (127,986 | ) | ||||
|
| |||||||
United Kingdom — (0.2)% | ||||||||
Aon PLC | (4,480 | ) | (288,288 | ) | ||||
AstraZeneca PLC ADR | (3,820 | ) | (180,686 | ) | ||||
Royal Bank of Scotland Group PLC* | (72,170 | ) | (299,491 | ) | ||||
|
| |||||||
(768,465 | ) | |||||||
|
| |||||||
Total Foreign Common Stocks Sold Short | ||||||||
(Cost $(4,814,642)) | (4,287,756 | ) | ||||||
|
|
Shares | Value | |||||||
EXCHANGE TRADED FUNDS SOLD SHORT — (1.7)% |
| |||||||
CurrencyShares Euro Trust | (1,020 | ) | $ | (131,509 | ) | |||
Health Care Select Sector SPDR Fund | (16,070 | ) | (765,093 | ) | ||||
iShares Nasdaq Biotechnology Index Fund | (2,270 | ) | (394,708 | ) | ||||
iShares Russell 2000 Growth Index Fund | (6,320 | ) | (704,743 | ) | ||||
iShares Russell 2000 Index Fund | (9,650 | ) | (937,594 | ) | ||||
Market Vectors Biotech ETF | (5,240 | ) | (358,992 | ) | ||||
Market Vectors Oil Service ETF | (5,860 | ) | (250,691 | ) | ||||
Market Vectors Agribusiness ETF | (7,660 | ) | (392,115 | ) | ||||
Market Vectors Pharmaceutical ETF | (7,190 | ) | (326,929 | ) | ||||
Market Vectors Semiconductor ETF | (2,480 | ) | (93,471 | ) | ||||
SPDR S&P 500 ETF Trust | (3,370 | ) | (539,234 | ) | ||||
SPDR S&P Oil & Gas Exploration & Production ETF | (3,100 | ) | (180,358 | ) | ||||
Vanguard Small-Cap ETF | (12,860 | ) | (1,205,111 | ) | ||||
Vanguard Small-Cap Growth ETF | (12,130 | ) | (1,248,662 | ) | ||||
|
| |||||||
Total Exchange Traded Funds Sold Short |
| |||||||
(Cost $(7,075,058)) | (7,529,210 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT — (8.4)% |
| |||||||
(Cost $(38,127,830)) | (37,738,640 | ) | ||||||
|
| |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Cobalt International Energy, Inc., Strike Price $35.00, Expires 01/18/14 (GSC) | (200 | ) | (20,500 | ) | ||||
|
| |||||||
(Premiums received $(15,545)) | ||||||||
Cobalt International Energy, Inc., Strike Price $20.00, Expires 01/18/14 (GSC) | (200 | ) | (24,000 | ) | ||||
|
| |||||||
(Premiums received $(30,354)) | ||||||||
Total Written Options | ||||||||
(Premiums received $(45,899)) | (44,500 | ) | ||||||
|
| |||||||
Other Assets in Excess of Liabilities — (8.5)% |
| (38,408,347 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 451,460,425 | ||||||
|
|
See Notes to Financial Statements.
122
Table of Contents
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Money Market Funds | 30.4 | |||
Corporate Bonds | 22.6 | |||
Financial Services | 10.2 | |||
Healthcare | 9.7 | |||
Futures Contracts | 7.2 | |||
Consumer Staples | 6.4 | |||
Utilities | 6.2 | |||
Producer Durables | 5.5 | |||
Technology | 5.1 | |||
Preferred Stocks | 5.0 | |||
Consumer Discretionary | 4.8 | |||
Energy | 4.3 | |||
Foreign Common Stocks | 3.5 | |||
Materials & Processing | 1.2 | |||
Foreign Bonds | 1.1 | |||
Equity Linked Securities | 0.6 | |||
Master Limited Partnerships | 0.2 | |||
Purchased Options | 0.1 | |||
Foreign Preferred Stock | — | ** | ||
Written Options | — | ** | ||
Forward Foreign Currency Contracts | (0.4 | ) | ||
Foreign Common Stocks Sold Short | (1.0 | ) | ||
Exchange Traded Funds Sold Short | (1.7 | ) | ||
Common Stocks Sold Short | (5.7 | ) | ||
|
| |||
115.3 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
123
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 241,109,885 | $ | 241,109,885 | $ | — | $ | — | ||||||||
Corporate Bonds | 101,831,458 | — | 98,083,896 | 3,747,562 | ||||||||||||
Equity Linked Securities | 2,804,261 | — | — | 2,804,261 | ||||||||||||
Foreign Bonds | 4,743,650 | — | 4,743,650 | — | ||||||||||||
Foreign Common Stocks | 16,013,797 | 11,821,183 | 4,192,614 | — | ||||||||||||
Foreign Preferred Stocks | 20,198 | — | 20,198 | — | ||||||||||||
Master Limited Partnerships | 1,104,644 | 1,104,644 | — | — | ||||||||||||
Money Market Funds | 137,130,247 | 137,130,247 | — | — | ||||||||||||
Preferred Stocks | 22,619,590 | 15,850,804 | — | 6,768,786 | ||||||||||||
Purchased Options | 274,182 | 274,182 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 527,651,912 | $ | 407,290,945 | $ | 107,040,358 | $ | 13,320,609 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 9,675 | $ | — | $ | 9,675 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 9,675 | $ | — | $ | 9,675 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stocks Sold Short | $ | (25,921,674 | ) | $ | (25,921,674 | ) | $ | — | $ | — | ||||||
Exchange Traded Funds Sold Short | (7,529,210 | ) | (7,529,210 | ) | — | — | ||||||||||
Foreign Common Stocks Sold Short | (4,287,756 | ) | (3,081,947 | ) | (1,205,809 | ) | — | |||||||||
Written Options | (44,500 | ) | (44,500 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (37,783,140 | ) | $ | (36,577,331 | ) | $ | (1,205,809 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (671,460 | ) | $ | (671,460 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (671,460 | ) | $ | (671,460 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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. |
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
The unobservable inputs used in the fair value measurement of the reporting entity’s corporate bonds, equity linked securities and preferred stock are values based on evaluated quotations received from dealers who make markets in such securities. Significant increases (decreases) in those evaluated quotations would result in a significantly higher (lower) fair value measurement.
See Notes to Financial Statements.
124
Table of Contents
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Total Value | Corporate Bonds | Equity Linked Securities | Preferred Stock | |||||||||||||
Balance, 12/31/12 | $ | 17,105,649 | $ | 9,279,529 | $ | 1,467,145 | $ | 6,358,975 | ||||||||
Accrued discounts/premiums | 79,705 | 79,705 | — | — | ||||||||||||
Realized gain (loss)(1) | 839,459 | 390,034 | 38,255 | 411,170 | ||||||||||||
Change in unrealized appreciation (depreciation)(2) | (632,751 | ) | (232,323 | ) | 10,941 | (411,369 | ) | |||||||||
Purchases | 5,588,008 | 1,038,142 | 2,091,270 | 2,458,596 | ||||||||||||
Sales | (9,659,461 | ) | (6,807,525 | ) | (803,350 | ) | (2,048,586 | ) | ||||||||
Transfers in to Level 3 | — | — | — | — | ||||||||||||
Transfers out of Level 3 | — | — | — | — | ||||||||||||
Maturities | — | — | — | — | ||||||||||||
Paydowns | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance, 06/30/13 | $ | 13,320,609 | $ | 3,747,562 | $ | 2,804,261 | $ | 6,768,786 | ||||||||
|
|
|
|
|
|
|
|
(1) | Realized gain (loss) from the sale of Level 3 securities can be found on the Statement of Operations in Net realized gain (loss) from investment securities. |
(2) | Change in unrealized appreciation (depreciation) can be found on the Statement of Operations in Net change in unrealized appreciation (depreciation) on Investment securities. |
See Notes to Financial Statements.
125
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 92.2% | ||||||||
Consumer Discretionary — 13.1% | ||||||||
Amazon.com, Inc.* | 7,394 | $ | 2,053,240 | |||||
AutoNation, Inc.D* | 815 | 35,363 | ||||||
AutoZone, Inc.* | 736 | 311,836 | ||||||
Avon Products, Inc. | 9,006 | 189,396 | ||||||
Bed Bath & Beyond, Inc.D* | 4,429 | 314,016 | ||||||
Best Buy Co., Inc.D | 5,352 | 146,270 | ||||||
BorgWarner, Inc.* | 2,400 | 206,760 | ||||||
Cablevision Systems Corporation Class AD | 4,129 | 69,450 | ||||||
CarMax, Inc.* | 4,523 | 208,782 | ||||||
CBS Corporation Class B | 11,569 | 565,377 | ||||||
Chipotle Mexican Grill, Inc.* | 624 | 227,354 | ||||||
Coach, Inc.D | 5,626 | 321,188 | ||||||
Comcast Corporation Class A | 53,642 | 2,246,527 | ||||||
Costco Wholesale Corporation | 8,928 | 987,169 | ||||||
D.R. Horton, Inc.D | 5,917 | 125,914 | ||||||
Darden Restaurants, Inc. | 2,708 | 136,700 | ||||||
DIRECTV* | 11,337 | 698,586 | ||||||
Discovery Communications, Inc. Class AD* | 4,934 | 380,954 | ||||||
Dollar General Corporation* | 6,055 | 305,354 | ||||||
Dollar Tree, Inc.* | 4,531 | 230,356 | ||||||
eBay, Inc.* | 23,824 | 1,232,177 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 4,887 | 321,418 | ||||||
Expedia, Inc.D | 1,843 | 110,856 | ||||||
Family Dollar Stores, Inc. | 1,907 | 118,825 | ||||||
Ford Motor Co. | 80,169 | 1,240,214 | ||||||
Fossil Group, Inc.* | 1,078 | 111,368 | ||||||
GameStop Corporation Class AD | 2,459 | 103,352 | ||||||
Gannett Co., Inc. | 4,845 | 118,509 | ||||||
Gap, Inc. (The) | 5,875 | 245,164 | ||||||
General Motors Co.D* | 15,799 | 526,265 | ||||||
Genuine Parts Co.D | 3,204 | 250,136 | ||||||
Goodyear Tire & Rubber Co. (The)* | 4,943 | 75,578 | ||||||
H&R Block, Inc. | 5,616 | 155,844 | ||||||
Harley-Davidson, Inc. | 4,487 | 245,977 | ||||||
Harman International Industries, Inc. | 1,346 | 72,953 | ||||||
Hasbro, Inc.D | 2,303 | 103,244 | ||||||
Home Depot, Inc. (The) | 29,713 | 2,301,866 | ||||||
Interpublic Group of Cos., Inc. (The) | 8,747 | 127,269 | ||||||
J.C. Penney Co., Inc.D* | 2,818 | 48,131 | ||||||
Johnson Controls, Inc. | 13,773 | 492,936 | ||||||
Kohl’s CorporationD | 4,051 | 204,616 | ||||||
L Brands, Inc. | 4,921 | 242,359 | ||||||
Leggett & Platt, Inc.D | 2,803 | 87,145 | ||||||
Lennar Corporation Class AD | 3,248 | 117,058 | ||||||
Lowe’s Cos., Inc. | 21,793 | 891,334 | ||||||
Macy’s, Inc. | 7,898 | 379,104 | ||||||
Marriott International, Inc. Class A | 4,928 | 198,943 | ||||||
Marriott International, Ltd. Placeholder Shares+* | 82,125 | — | ||||||
Mattel, Inc. | 6,988 | 316,626 | ||||||
McDonald’s Corporation | 20,375 | 2,017,125 | ||||||
McGraw Hill Financial, Inc. | 5,540 | 294,673 | ||||||
Netflix, Inc.* | 1,161 | 245,075 | ||||||
Newell Rubbermaid, Inc. | 5,983 | 157,054 |
Shares | Value | |||||||
News Corporation Class A | 40,468 | $ | 1,319,257 | |||||
NIKE, Inc. Class B | 14,673 | 934,377 | ||||||
Nordstrom, Inc.D | 3,020 | 181,019 | ||||||
Omnicom Group, Inc.D | 5,251 | 330,130 | ||||||
O’Reilly Automotive, Inc.* | 2,233 | 251,480 | ||||||
PetSmart, Inc.D | 2,131 | 142,756 | ||||||
priceline.com, Inc.* | 1,049 | 867,659 | ||||||
PulteGroup, Inc.* | 6,765 | 128,332 | ||||||
PVH Corporation | 1,642 | 205,332 | ||||||
Ralph Lauren Corporation | 1,259 | 218,739 | ||||||
Ross Stores, Inc. | 4,418 | 286,331 | ||||||
Scripps Networks Interactive, Inc. Class A | 1,727 | 115,295 | ||||||
Staples, Inc.D | 13,423 | 212,889 | ||||||
Starbucks Corporation | 15,233 | 997,609 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 4,023 | 254,213 | ||||||
Target Corporation | 13,074 | 900,276 | ||||||
Tiffany & Co. | 2,481 | 180,716 | ||||||
Time Warner Cable, Inc. | 5,915 | 665,319 | ||||||
Time Warner, Inc. | 18,908 | 1,093,261 | ||||||
TJX Cos., Inc. | 14,710 | 736,383 | ||||||
TripAdvisor, Inc.D* | 2,314 | 140,853 | ||||||
Urban Outfitters, Inc.* | 2,121 | 85,307 | ||||||
VF Corporation | 1,790 | 345,577 | ||||||
Wal-Mart Stores, Inc. | 33,327 | 2,482,528 | ||||||
Walt Disney Co. (The) | 36,658 | 2,314,953 | ||||||
Washington Post Co. (The) Class B | 84 | 40,637 | ||||||
Whirlpool Corporation | 1,614 | 184,577 | ||||||
Wyndham Worldwide Corporation | 2,789 | 159,614 | ||||||
Yum! Brands, Inc. | 9,126 | 632,797 | ||||||
|
| |||||||
39,322,002 | ||||||||
|
| |||||||
Consumer Staples — 7.0% | ||||||||
Archer-Daniels-Midland Co. | 13,299 | 450,969 | ||||||
Campbell Soup Co. | 3,715 | 166,395 | ||||||
Clorox Co. (The)D | 2,666 | 221,651 | ||||||
Coca-Cola Co. (The) | 77,889 | 3,124,128 | ||||||
Coca-Cola Enterprises, Inc. | 5,170 | 181,777 | ||||||
Colgate-Palmolive Co. | 17,782 | 1,018,731 | ||||||
ConAgra Foods, Inc. | 8,337 | 291,211 | ||||||
CVS Caremark Corporation | 24,900 | 1,423,782 | ||||||
Dr. Pepper Snapple Group, Inc. | 4,140 | 190,150 | ||||||
General Mills, Inc. | 12,993 | 630,550 | ||||||
Hershey Co. (The) | 3,016 | 269,268 | ||||||
Hormel Foods CorporationD | 2,830 | 109,181 | ||||||
J.M. Smucker Co. (The) | 2,154 | 222,185 | ||||||
Kellogg Co.D | 5,211 | 334,703 | ||||||
Kimberly-Clark CorporationD | 7,843 | 761,869 | ||||||
Kraft Foods Group, Inc. | 12,056 | 673,569 | ||||||
Kroger Co. (The) | 10,455 | 361,116 | ||||||
McCormick & Co., Inc. (Non-Voting Shares)D | 2,754 | 193,771 | ||||||
Mead Johnson Nutrition Co. | 4,142 | 328,171 | ||||||
Mondelez International, Inc. Class A | 36,290 | 1,035,354 | ||||||
Monster Beverage Corporation* | 2,993 | 181,885 | ||||||
PepsiCo, Inc. | 31,463 | 2,573,359 | ||||||
Procter & Gamble Co. (The) | 55,737 | 4,291,192 | ||||||
Safeway, Inc.D | 5,018 | 118,726 | ||||||
Sysco CorporationD | 12,160 | 415,386 |
See Notes to Financial Statements.
126
Table of Contents
Shares | Value | |||||||
Tyson Foods, Inc. Class A | 5,763 | $ | 147,994 | |||||
Walgreen Co. | 17,607 | 778,229 | ||||||
Whole Foods Market, Inc. | 6,976 | 359,124 | ||||||
|
| |||||||
20,854,426 | ||||||||
|
| |||||||
Energy — 10.0% | ||||||||
Anadarko Petroleum Corporation | 10,202 | 876,658 | ||||||
Apache Corporation | 7,957 | 667,035 | ||||||
Baker Hughes, Inc. | 9,086 | 419,137 | ||||||
Cabot Oil & Gas Corporation | 4,283 | 304,179 | ||||||
Cameron International Corporation* | 4,997 | 305,616 | ||||||
Chesapeake Energy CorporationD | 10,683 | 217,719 | ||||||
Chevron Corporation | 39,428 | 4,665,909 | ||||||
ConocoPhillips | 24,850 | 1,503,425 | ||||||
CONSOL Energy, Inc. | 4,506 | 122,113 | ||||||
Denbury Resources, Inc.* | 7,628 | 132,117 | ||||||
Devon Energy Corporation | 7,752 | 402,174 | ||||||
Diamond Offshore Drilling, Inc.D | 1,404 | 96,581 | ||||||
EOG Resources, Inc. | 5,548 | 730,561 | ||||||
EQT Corporation | 3,110 | 246,841 | ||||||
Exterran Holdings, Inc.* | 13 | 366 | ||||||
Exxon Mobil Corporation | 90,431 | 8,170,441 | ||||||
First Solar, Inc.* | 1,376 | 61,548 | ||||||
FMC Technologies, Inc.* | 4,905 | 273,110 | ||||||
Halliburton Co. | 18,855 | 786,631 | ||||||
Helmerich & Payne, Inc.D | 2,209 | 137,952 | ||||||
Hess Corporation | 6,019 | 400,203 | ||||||
Kinder Morgan, Inc. | 12,987 | 495,454 | ||||||
Marathon Oil Corporation | 14,461 | 500,061 | ||||||
Marathon Petroleum Corporation | 6,582 | 467,717 | ||||||
Murphy Oil Corporation | 3,618 | 220,300 | ||||||
National Oilwell Varco, Inc. | 8,684 | 598,328 | ||||||
Newfield Exploration Co.* | 2,688 | 64,216 | ||||||
Noble Energy, Inc. | 7,338 | 440,573 | ||||||
Occidental Petroleum Corporation | 16,414 | 1,464,621 | ||||||
Peabody Energy CorporationD | 5,661 | 82,877 | ||||||
Phillips 66 | 12,658 | 745,683 | ||||||
Pioneer Natural Resources Co. | 2,769 | 400,813 | ||||||
QEP Resources, Inc. | 3,559 | 98,869 | ||||||
Range Resources Corporation | 3,321 | 256,780 | ||||||
Schlumberger, Ltd. | 27,007 | 1,935,322 | ||||||
Southwestern Energy Co.* | 7,115 | 259,911 | ||||||
Spectra Energy Corporation | 13,632 | 469,759 | ||||||
Tesoro Corporation | 2,765 | 144,665 | ||||||
Valero Energy Corporation | 11,074 | 385,043 | ||||||
Williams Cos., Inc. (The) | 13,824 | 448,865 | ||||||
WPX Energy, Inc.D* | 4,056 | 76,821 | ||||||
|
| |||||||
30,076,994 | ||||||||
|
| |||||||
Financial Services — 16.9% | ||||||||
Aflac, Inc. | 9,421 | 547,549 | ||||||
Allstate Corporation (The) | 9,483 | 456,322 | ||||||
American Express Co. | 19,459 | 1,454,755 | ||||||
American International Group, Inc.* | 30,116 | 1,346,185 | ||||||
American Tower Corporation REIT | 8,036 | 587,994 |
Shares | Value | |||||||
Ameriprise Financial, Inc. | 4,043 | $ | 326,998 | |||||
Apartment Investment & Management Co. Class A REIT | 2,872 | 86,275 | ||||||
Assurant, Inc. | 1,564 | 79,623 | ||||||
AvalonBay Communities, Inc. REIT | 2,459 | 331,744 | ||||||
Bank of America Corporation | 218,985 | 2,816,147 | ||||||
Bank of New York Mellon Corporation (The) | 23,661 | 663,691 | ||||||
BB&T Corporation | 14,375 | 487,025 | ||||||
Berkshire Hathaway, Inc. Class B* | 37,098 | 4,152,008 | ||||||
BlackRock, Inc. | 2,554 | 655,995 | ||||||
Boston Properties, Inc. REIT | 3,061 | 322,844 | ||||||
Capital One Financial Corporation | 11,959 | 751,145 | ||||||
CBRE Group, Inc. Class A* | 6,349 | 148,313 | ||||||
Charles Schwab Corporation (The) | 22,194 | 471,179 | ||||||
Chubb Corporation (The) | 5,225 | 442,296 | ||||||
Cincinnati Financial Corporation | 3,098 | 142,198 | ||||||
Citigroup, Inc. | 61,881 | 2,968,432 | ||||||
CME Group, Inc. | 6,194 | 470,620 | ||||||
Comerica, Inc. | 3,797 | 151,234 | ||||||
Discover Financial Services | 9,911 | 472,160 | ||||||
Dun & Bradstreet Corporation (The)D | 779 | 75,914 | ||||||
E*TRADE Financial Corporation* | 5,845 | 73,998 | ||||||
Equifax, Inc. | 2,524 | 148,739 | ||||||
Equity Residential REIT | 6,491 | 376,867 | ||||||
Fidelity National Information Services, Inc. | 5,895 | 252,542 | ||||||
Fifth Third Bancorp | 18,009 | 325,062 | ||||||
First Horizon National Corporation Placeholder Shares+* | 271,852 | — | ||||||
Fiserv, Inc.* | 2,674 | 233,734 | ||||||
Franklin Resources, Inc. | 2,794 | 380,040 | ||||||
Genworth Financial, Inc. Class A* | 9,789 | 111,692 | ||||||
Goldman Sachs Group, Inc. (The) | 8,755 | 1,324,194 | ||||||
Hartford Financial Services Group, Inc.D | 9,287 | 287,154 | ||||||
HCP, Inc. REIT | 9,350 | 424,864 | ||||||
Health Care REIT, Inc. | 5,794 | 388,372 | ||||||
Host Hotels & Resorts, Inc. REITD | 15,401 | 259,815 | ||||||
Hudson City Bancorp, Inc. | 9,338 | 85,536 | ||||||
Huntington Bancshares, Inc. | 17,141 | 135,071 | ||||||
IntercontinentalExchange, Inc.D* | 1,505 | 267,529 | ||||||
JPMorgan Chase & Co. | 76,903 | 4,059,709 | ||||||
KeyCorp | 18,690 | 206,338 | ||||||
Kimco Realty Corporation REITD | 8,531 | 182,819 | ||||||
Legg Mason, Inc.D | 2,303 | 71,416 | ||||||
Leucadia National Corporation | 5,854 | 153,492 | ||||||
Lincoln National Corporation | 5,427 | 197,923 | ||||||
Loews Corporation | 6,161 | 273,548 | ||||||
M&T Bank CorporationD | 2,457 | 274,570 | ||||||
Macerich Co. (The) REIT | 2,779 | 169,436 | ||||||
Marsh & McLennan Cos., Inc. | 11,239 | 448,661 | ||||||
Mastercard, Inc. Class A | 2,133 | 1,225,408 |
See Notes to Financial Statements.
127
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EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
MetLife, Inc. | 22,215 | $ | 1,016,558 | |||||
Moody’s Corporation | 3,997 | 243,537 | ||||||
Morgan Stanley | 28,050 | 685,261 | ||||||
NASDAQ OMX Group, Inc. (The) | 2,287 | 74,991 | ||||||
Northern Trust Corporation | 4,250 | 246,075 | ||||||
NYSE Euronext | 4,832 | 200,045 | ||||||
People’s United Financial, Inc.D | 7,109 | 105,924 | ||||||
Plum Creek Timber Co., Inc. REITD | 3,212 | 149,904 | ||||||
PNC Financial Services Group, Inc. (The) | 10,730 | 782,432 | ||||||
Principal Financial Group, Inc.D | 5,721 | 214,251 | ||||||
Progressive Corporation (The) | 11,422 | 290,347 | ||||||
Prologis, Inc. REIT | 10,243 | 386,366 | ||||||
Prudential Financial, Inc. | 9,488 | 692,909 | ||||||
Public Storage REIT | 2,967 | 454,930 | ||||||
Regions Financial Corporation | 29,090 | 277,228 | ||||||
Simon Property Group, Inc. REIT | 6,350 | 1,002,792 | ||||||
SLM Corporation | 8,841 | 202,105 | ||||||
State Street Corporation | 9,212 | 600,715 | ||||||
SunTrust Banks, Inc. | 10,934 | 345,186 | ||||||
T Rowe Price Group, Inc. | 5,247 | 383,818 | ||||||
Torchmark CorporationD | 1,902 | 123,896 | ||||||
Total System Services, Inc. | 3,083 | 75,472 | ||||||
Travelers Cos., Inc. (The) | 7,710 | 616,183 | ||||||
Unum Group | 5,280 | 155,074 | ||||||
US Bancorp | 37,716 | 1,363,433 | ||||||
Ventas, Inc. REIT | 5,942 | 412,731 | ||||||
Visa, Inc. Class AD | 10,293 | 1,881,046 | ||||||
Vornado Realty Trust REIT | 3,446 | 285,501 | ||||||
Wells Fargo & Co. | 100,195 | 4,135,048 | ||||||
Western Union Co. (The)D | 11,240 | 192,316 | ||||||
Weyerhaeuser Co. REIT | 10,944 | 311,795 | ||||||
Zions BancorporationD | 3,603 | 104,055 | ||||||
|
| |||||||
50,759,099 | ||||||||
|
| |||||||
Healthcare — 11.8% | ||||||||
Abbott Laboratories | 31,835 | 1,110,405 | ||||||
AbbVie, Inc. | 32,226 | 1,332,223 | ||||||
Aetna, Inc. | 7,767 | 493,515 | ||||||
Alexion Pharmaceuticals, Inc.* | 4,018 | 370,620 | ||||||
Allergan, Inc. | 6,017 | 506,872 | ||||||
AmerisourceBergen Corporation | 4,646 | 259,386 | ||||||
Amgen, Inc. | 15,254 | 1,504,960 | ||||||
Baxter International, Inc. | 11,064 | 766,403 | ||||||
Becton, Dickinson and Co.D | 3,918 | 387,216 | ||||||
Biogen Idec, Inc.* | 4,836 | 1,040,707 | ||||||
Boston Scientific Corporation* | 27,876 | 258,411 | ||||||
Bristol-Myers Squibb Co. | 33,370 | 1,491,305 | ||||||
C.R. Bard, Inc. | 1,531 | 166,389 | ||||||
Cardinal Health, Inc. | 6,966 | 328,795 | ||||||
CareFusion Corporation* | 4,580 | 168,773 | ||||||
Celgene Corporation* | 8,483 | 991,748 | ||||||
Cerner CorporationD* | 2,970 | 285,387 | ||||||
Cigna Corporation | 5,831 | 422,689 | ||||||
DaVita HealthCare Partners, Inc.* | 1,755 | 212,004 | ||||||
DENTSPLY International, Inc.D | 2,837 | 116,204 | ||||||
Edwards Lifesciences CorporationD* | 2,277 | 153,014 | ||||||
Eli Lilly & Co. | 20,196 | 992,027 | ||||||
Express Scripts Holding Co.* | 16,573 | 1,022,388 |
Shares | Value | |||||||
Forest Laboratories, Inc.* | 4,869 | $ | 199,629 | |||||
Gilead Sciences, Inc.D* | 31,015 | 1,588,278 | ||||||
Hospira, Inc.D* | 3,500 | 134,085 | ||||||
Humana, Inc. | 3,189 | 269,088 | ||||||
Intuitive Surgical, Inc.* | 826 | 418,435 | ||||||
Johnson & Johnson | 57,070 | 4,900,030 | ||||||
Laboratory Corporation of America HoldingsD* | 1,887 | 188,889 | ||||||
Life Technologies Corporation* | 3,566 | 263,920 | ||||||
McKesson Corporation | 4,586 | 525,097 | ||||||
Medtronic, Inc. | 20,510 | 1,055,650 | ||||||
Merck & Co., Inc. | 61,397 | 2,851,891 | ||||||
Mylan, Inc.* | 7,667 | 237,907 | ||||||
Patterson Cos., Inc. | 1,684 | 63,318 | ||||||
PerkinElmer, Inc. | 2,326 | 75,595 | ||||||
Pfizer, Inc. | 134,926 | 3,779,276 | ||||||
Quest Diagnostics, Inc.D | 3,285 | 199,170 | ||||||
Regeneron Pharmaceuticals, Inc.* | 1,545 | 347,440 | ||||||
St. Jude Medical, Inc.D | 5,667 | 258,585 | ||||||
Stryker Corporation | 5,847 | 378,184 | ||||||
Tenet Healthcare Corporation* | 2,046 | 94,321 | ||||||
Thermo Fisher Scientific, Inc. | 7,313 | 618,899 | ||||||
UnitedHealth Group, Inc. | 20,751 | 1,358,775 | ||||||
Varian Medical Systems, Inc.D* | 2,193 | 147,918 | ||||||
WellPoint, Inc. | 6,143 | 502,743 | ||||||
Zimmer Holdings, Inc. | 3,438 | 257,644 | ||||||
Zoetis, Inc. | 10,432 | 322,260 | ||||||
|
| |||||||
35,418,468 | ||||||||
|
| |||||||
Materials & Processing — 3.4% | ||||||||
Air Products & Chemicals, Inc.D | 4,271 | 391,095 | ||||||
Airgas, Inc. | 1,345 | 128,394 | ||||||
Alcoa, Inc.D | 22,296 | 174,355 | ||||||
Allegheny Technologies, Inc.D | 2,039 | 53,646 | ||||||
Ball Corporation | 3,080 | 127,943 | ||||||
Bemis Co., Inc.D | 2,220 | 86,891 | ||||||
CF Industries Holdings, Inc. | 1,200 | 205,800 | ||||||
Cliffs Natural Resources, Inc.D | 3,044 | 49,465 | ||||||
Dow Chemical Co. (The) | 24,525 | 788,969 | ||||||
E.I. du Pont de Nemours & Co. | 18,695 | 981,487 | ||||||
Eastman Chemical Co. | 3,150 | 220,531 | ||||||
Ecolab, Inc. | 5,436 | 463,093 | ||||||
Fastenal Co.D | 5,502 | 252,267 | ||||||
FMC Corporation | 2,727 | 166,511 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 21,001 | 579,838 | ||||||
International Flavors & Fragrances, Inc. | 1,618 | 121,609 | ||||||
International Paper Co. | 9,064 | 401,626 | ||||||
Masco Corporation | 7,467 | 145,532 | ||||||
MeadWestvaco Corporation | 3,690 | 125,866 | ||||||
Monsanto Co. | 10,831 | 1,070,103 | ||||||
Mosaic Co. (The) | 5,606 | 301,659 | ||||||
Newmont Mining Corporation | 9,995 | 299,350 | ||||||
Nucor CorporationD | 6,505 | 281,797 | ||||||
Owens-Illinois, Inc.* | 3,309 | 91,957 | ||||||
PPG Industries, Inc. | 2,896 | 424,003 | ||||||
Praxair, Inc. | 6,047 | 696,373 | ||||||
Precision Castparts Corporation | 2,969 | 671,024 | ||||||
Sealed Air Corporation | 4,014 | 96,135 | ||||||
Sherwin-Williams Co. (The) | 1,739 | 307,107 |
See Notes to Financial Statements.
128
Table of Contents
Shares | Value | |||||||
Sigma-Aldrich CorporationD | 2,400 | $ | 192,864 | |||||
United States Steel CorporationD | 2,762 | 48,418 | ||||||
Vulcan Materials Co. | 2,596 | 125,672 | ||||||
|
| |||||||
10,071,380 | ||||||||
|
| |||||||
Producer Durables — 9.5% | ||||||||
3M Co. | 12,915 | 1,412,255 | ||||||
ADT Corporation (The)D* | 4,423 | 176,256 | ||||||
Agilent Technologies, Inc. | 7,093 | 303,297 | ||||||
Automatic Data Processing, Inc. | 9,871 | 679,717 | ||||||
Avery Dennison Corporation | 1,980 | 84,665 | ||||||
Boeing Co. (The) | 13,869 | 1,420,740 | ||||||
C.H. Robinson Worldwide, Inc.D | 3,211 | 180,811 | ||||||
Caterpillar, Inc.D | 13,355 | 1,101,654 | ||||||
Cintas CorporationD | 2,141 | 97,501 | ||||||
CSX Corporation | 20,883 | 484,277 | ||||||
Cummins, Inc. | 3,571 | 387,311 | ||||||
Danaher Corporation | 11,821 | 748,269 | ||||||
Deere & Co.D | 7,938 | 644,962 | ||||||
Dover CorporationD | 3,441 | 267,228 | ||||||
Emerson Electric Co. | 14,679 | 800,593 | ||||||
Expeditors International of Washington, Inc. | 4,201 | 159,680 | ||||||
FedEx Corporation | 6,041 | 595,522 | ||||||
FLIR Systems, Inc. | 3,049 | 82,231 | ||||||
Flowserve CorporationD | 2,841 | 153,442 | ||||||
Fluor Corporation | 3,302 | 195,842 | ||||||
General Dynamics Corporation | 6,814 | 533,741 | ||||||
General Electric Co. | 210,333 | 4,877,622 | ||||||
Honeywell International, Inc. | 15,962 | 1,266,425 | ||||||
Illinois Tool Works, Inc. | 8,474 | 586,147 | ||||||
Iron Mountain, Inc. | 3,511 | 93,428 | ||||||
Jacobs Engineering Group, Inc.D* | 2,735 | 150,781 | ||||||
Joy Global, Inc.D | 2,090 | 101,428 | ||||||
Kansas City Southern | 2,229 | 236,185 | ||||||
L-3 Communications Holdings, Inc. | 1,873 | 160,591 | ||||||
Lockheed Martin Corporation | 5,424 | 588,287 | ||||||
Norfolk Southern Corporation | 6,425 | 466,776 | ||||||
Northrop Grumman Corporation | 4,837 | 400,504 | ||||||
PACCAR, Inc.D | 7,121 | 382,113 | ||||||
Pall Corporation | 2,281 | 151,527 | ||||||
Parker Hannifin Corporation | 3,073 | 293,164 | ||||||
Paychex, Inc.D | 6,639 | 242,456 | ||||||
Pitney Bowes, Inc.D | 4,372 | 64,181 | ||||||
Quanta Services, Inc.* | 4,504 | 119,176 | ||||||
Raytheon Co. | 6,551 | 433,152 | ||||||
Republic Services, Inc. | 5,912 | 200,653 | ||||||
Robert Half International, Inc. | 2,799 | 93,011 | ||||||
Rockwell Automation, Inc. | 2,876 | 239,111 | ||||||
Rockwell Collins, Inc.D | 2,786 | 176,660 | ||||||
Roper Industries, Inc. | 2,013 | 250,055 | ||||||
Ryder System, Inc. | 987 | 60,000 | ||||||
Snap-on, Inc. | 1,158 | 103,502 | ||||||
Southwest Airlines Co. | 14,624 | 188,503 | ||||||
Stanley Black & Decker, Inc. | 3,357 | 259,496 | ||||||
Stericycle, Inc.* | 1,791 | 197,780 | ||||||
Textron, Inc.D | 5,535 | 144,187 | ||||||
Union Pacific Corporation | 9,496 | 1,465,043 |
Shares | Value | |||||||
United Parcel Service, Inc. Class B | 14,440 | $ | 1,248,771 | |||||
United Technologies Corporation | 17,167 | 1,595,501 | ||||||
W.W. Grainger, Inc.D | 1,220 | 307,660 | ||||||
Waste Management, Inc. | 8,850 | 356,920 | ||||||
Waters Corporation* | 1,722 | 172,286 | ||||||
Xerox Corporation | 25,418 | 230,541 | ||||||
Xylem, Inc. | 3,939 | 106,117 | ||||||
|
| |||||||
28,519,734 | ||||||||
|
| |||||||
Technology — 14.7% | ||||||||
Adobe Systems, Inc.* | 10,185 | 464,029 | ||||||
Advanced Micro Devices, Inc.D* | 12,208 | 49,809 | ||||||
Akamai Technologies, Inc.* | 3,726 | 158,541 | ||||||
Altera Corporation | 6,632 | 218,790 | ||||||
Amphenol Corporation Class A | 3,283 | 255,877 | ||||||
Analog Devices, Inc. | 6,286 | 283,247 | ||||||
Apple, Inc. | 19,090 | 7,561,167 | ||||||
Applied Materials, Inc. | 24,236 | 361,359 | ||||||
Autodesk, Inc.* | 4,499 | 152,696 | ||||||
BMC Software, Inc.* | 2,653 | 119,756 | ||||||
Broadcom Corporation Class A | 10,730 | 362,245 | ||||||
CA, Inc. | 6,776 | 193,997 | ||||||
Cisco Systems, Inc. | 108,657 | 2,641,452 | ||||||
Citrix Systems, Inc.* | 3,822 | 230,581 | ||||||
Cognizant Technology Solutions Corporation Class A* | 6,158 | 385,552 | ||||||
Computer Sciences Corporation | 3,120 | 136,562 | ||||||
Corning, Inc. | 29,894 | 425,392 | ||||||
Crown Castle International Corporation* | 5,927 | 429,055 | ||||||
Dell, Inc. | 29,505 | 393,892 | ||||||
Electronic Arts, Inc.* | 6,297 | 144,642 | ||||||
EMC Corporation | 42,589 | 1,005,952 | ||||||
F5 Networks, Inc.* | 1,645 | 113,176 | ||||||
Google, Inc. Class A* | 5,462 | 4,808,581 | ||||||
Harris Corporation | 2,245 | 110,566 | ||||||
Hewlett-Packard Co. | 39,344 | 975,731 | ||||||
Intel CorporationD | 101,058 | 2,447,625 | ||||||
International Business Machines Corporation | 21,187 | 4,049,048 | ||||||
Intuit, Inc. | 5,759 | 351,472 | ||||||
Jabil Circuit, Inc. | 3,722 | 75,854 | ||||||
JDS Uniphase Corporation* | 4,745 | 68,233 | ||||||
Juniper Networks, Inc.* | 10,243 | 197,792 | ||||||
KLA-Tencor Corporation | 3,331 | 185,637 | ||||||
Lam Research Corporation* | 3,299 | 146,278 | ||||||
Linear Technology CorporationD | 4,820 | 177,569 | ||||||
LSI Corporation* | 10,894 | 77,783 | ||||||
Microchip Technology, Inc.D | 4,101 | 152,762 | ||||||
Micron Technology, Inc.D* | 21,079 | 302,062 | ||||||
Microsoft Corporation | 152,807 | 5,276,426 | ||||||
Molex, Inc.D | 2,666 | 78,220 | ||||||
Motorola Solutions, Inc. | 5,457 | 315,033 | ||||||
NetApp, Inc.D* | 7,443 | 281,197 | ||||||
NVIDIA CorporationD | 11,529 | 161,752 | ||||||
Oracle Corporation | 74,722 | 2,295,460 | ||||||
QUALCOMM, Inc. | 35,112 | 2,144,641 | ||||||
Red Hat, Inc.* | 3,792 | 181,333 | ||||||
SAIC, Inc.D | 5,715 | 79,610 | ||||||
Salesforce.com, Inc.D* | 11,078 | 422,958 |
See Notes to Financial Statements.
129
Table of Contents
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
SanDisk Corporation* | 4,940 | $ | 301,834 | |||||
Symantec Corporation | 14,309 | 321,523 | ||||||
Teradata Corporation* | 3,319 | 166,713 | ||||||
Teradyne, Inc.D* | 4,147 | 72,863 | ||||||
Texas Instruments, Inc. | 22,427 | 782,029 | ||||||
VeriSign, Inc.D* | 3,080 | 137,553 | ||||||
Western Digital Corporation | 4,331 | 268,912 | ||||||
Xilinx, Inc. | 5,362 | 212,389 | ||||||
Yahoo!, Inc.* | 19,411 | 487,410 | ||||||
|
| |||||||
44,202,618 | ||||||||
|
| |||||||
Utilities — 5.8% | ||||||||
AES Corporation | 12,967 | 155,474 | ||||||
AGL Resources, Inc. | 2,368 | 101,492 | ||||||
Ameren Corporation | 4,802 | 165,381 | ||||||
American Electric Power Co., Inc. | 9,793 | 438,531 | ||||||
AT&T, Inc. | 109,369 | 3,871,663 | ||||||
CenterPoint Energy, Inc.D | 8,831 | 207,440 | ||||||
CenturyLink, Inc.D | 12,367 | 437,173 | ||||||
CMS Energy Corporation | 5,581 | 151,636 | ||||||
Consolidated Edison, Inc.D | 5,895 | 343,737 | ||||||
Dominion Resources, Inc. | 11,671 | 663,146 | ||||||
DTE Energy Co. | 3,531 | 236,612 | ||||||
Duke Energy Corporation | 14,320 | 966,600 | ||||||
Edison International | 6,616 | 318,627 | ||||||
Entergy Corporation | 3,653 | 254,541 | ||||||
Exelon Corporation | 17,416 | 537,806 | ||||||
FirstEnergy CorporationD | 8,482 | 316,718 | ||||||
Frontier Communications CorporationD | 21,639 | 87,638 | ||||||
Integrys Energy Group, Inc.D | 1,533 | 89,727 | ||||||
NextEra Energy, Inc. | 8,592 | 700,076 | ||||||
NiSource, Inc. | 6,458 | 184,957 | ||||||
Northeast Utilities | 6,406 | 269,180 | ||||||
NRG Energy, Inc. | 6,727 | 179,611 | ||||||
ONEOK, Inc. | 4,222 | 174,411 | ||||||
Pepco Holdings, Inc.D | 5,087 | 102,554 | ||||||
PG&E Corporation | 8,914 | 407,637 | ||||||
Pinnacle West Capital Corporation | 2,190 | 121,479 | ||||||
PPL Corporation | 12,193 | 368,960 | ||||||
Public Service Enterprise Group, Inc.D | 10,263 | 335,190 | ||||||
SCANA CorporationD | 2,842 | 139,542 | ||||||
Sempra EnergyD | 4,563 | 373,071 | ||||||
Southern Co. (The)D | 17,861 | 788,206 | ||||||
Sprint Nextel Corporation* | 60,816 | 426,928 | ||||||
TECO Energy, Inc.D | 3,986 | 68,519 | ||||||
Verizon Communications, Inc. | 58,147 | 2,927,120 | ||||||
Windstream CorporationD | 12,759 | 98,372 | ||||||
Wisconsin Energy CorporationD | 4,719 | 193,432 | ||||||
Xcel Energy, Inc. | 10,278 | 291,279 | ||||||
|
| |||||||
17,494,466 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $186,887,132) | 276,719,187 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 2.3% |
| |||||||
Bermuda — 0.1% | ||||||||
Invesco, Ltd. | 9,080 | 288,744 | ||||||
Nabors Industries, Ltd. | 5,841 | 89,426 | ||||||
|
| |||||||
378,170 | ||||||||
|
| |||||||
Ireland — 1.0% | ||||||||
Accenture PLC Class A | 13,194 | 949,440 |
Shares | Value | |||||||
Covidien PLC | 9,584 | $ | 602,259 | |||||
Eaton Corporation PLC | 9,612 | 632,566 | ||||||
Ingersoll-Rand PLC | 5,649 | 313,632 | ||||||
Seagate Technology PLC | 6,577 | 294,847 | ||||||
XL Group PLC | 5,999 | 181,890 | ||||||
|
| |||||||
2,974,634 | ||||||||
|
| |||||||
Netherlands — 0.2% | ||||||||
LyondellBasell Industries NV Class A | 7,792 | 516,298 | ||||||
|
| |||||||
Panama — 0.1% | ||||||||
Carnival Corporation | 9,108 | 312,313 | ||||||
|
| |||||||
Switzerland — 0.6% | ||||||||
ACE, Ltd. | 6,907 | 618,038 | ||||||
Garmin, Ltd.D | 2,153 | 77,852 | ||||||
Noble Corporation | 5,248 | 197,220 | ||||||
Pentair, Ltd. | 4,124 | 237,913 | ||||||
TE Connectivity, Ltd. | 8,440 | 384,358 | ||||||
Tyco International, Ltd. | 9,446 | 311,246 | ||||||
|
| |||||||
1,826,627 | ||||||||
|
| |||||||
United Kingdom — 0.3% | ||||||||
Aon PLC | 6,335 | 407,657 | ||||||
Delphi Automotive PLC | 5,919 | 300,034 | ||||||
Ensco PLC Class A | 4,721 | 274,385 | ||||||
Rowan Cos. PLC Class A | 2,445 | 83,301 | ||||||
|
| |||||||
1,065,377 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $5,534,984) | 7,073,419 | |||||||
|
| |||||||
RIGHTS/WARRANTS — 0.0% | ||||||||
American International Group, Inc. Fractional Warrants+* (Cost $0) | 65,600 | — | ||||||
|
| |||||||
MONEY MARKET FUNDS — 13.5% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 12,083,035 | 12,083,035 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 28,369,087 | 28,369,087 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $40,452,122) | 40,452,122 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY OBLIGATION — 0.2% | ||||||||
U.S. Treasury Bill 0.08%, 10/17/13 (Cost $534,870) | $ | 535,000 | 534,922 | |||||
|
| |||||||
TOTAL INVESTMENTS — 108.2% | ||||||||
(Cost $233,409,108) | 324,779,650 | |||||||
Liabilities in Excess of Other | (24,522,014 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 300,257,636 | ||||||
|
|
See Notes to Financial Statements.
130
Table of Contents
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Financial Services | 16.9 | |||
Technology | 14.7 | |||
Money Market Funds | 13.5 | |||
Consumer Discretionary | 13.1 | |||
Healthcare | 11.8 | |||
Energy | 10.0 | |||
Producer Durables | 9.5 | |||
Consumer Staples | 7.0 | |||
Utilities | 5.8 | |||
Futures Contracts | 4.3 | |||
Materials & Processing | 3.4 | |||
Foreign Common Stocks | 2.3 | |||
U.S. Treasury Obligation | 0.2 | |||
Rights/Warrants | — | ** | ||
|
| |||
112.5 | ||||
|
|
** | Rounds to less than 0.005%. |
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 276,719,187 | $ | 276,719,187 | $ | — | $ | — | ||||||||
Foreign Common Stocks | 7,073,419 | 7,073,419 | — | — | ||||||||||||
Money Market Funds | 40,452,122 | 40,452,122 | — | — | ||||||||||||
Rights/Warrants | — | — | — | — | ||||||||||||
U.S. Treasury Obligation | 534,922 | — | 534,922 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 324,779,650 | $ | 324,244,728 | $ | 534,922 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (192,637 | ) | $ | (192,637 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (192,637 | ) | $ | (192,637 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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. |
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
See Notes to Financial Statements.
131
Table of Contents
REAL ESTATE SECURITIES FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 86.5% | ||||||||
Financial Services — 86.5% | ||||||||
Acadia Realty Trust REIT | 79,285 | $ | 1,957,547 | |||||
Alexander’s, Inc. REITD | 4,041 | 1,186,882 | ||||||
American Assets Trust, Inc. REIT | 35,323 | 1,090,068 | ||||||
American Campus Communities, Inc. REIT | 123,118 | 5,005,978 | ||||||
Associated Estates Realty Corporation REITD | 38,351 | 616,684 | ||||||
AvalonBay Communities, Inc. REIT | 74,997 | 10,117,845 | ||||||
Boston Properties, Inc. REIT | 85,673 | 9,035,931 | ||||||
BRE Properties, Inc. REIT | 2,841 | 142,107 | ||||||
Brookfield Office Properties, Inc.D | 176,923 | 2,951,076 | ||||||
Camden Property Trust REITD | 86,192 | 5,959,315 | ||||||
CBL & Associates Properties, Inc. REITD | 135,315 | 2,898,447 | ||||||
Colonial Properties Trust REIT | 28,503 | 687,492 | ||||||
DCT Industrial Trust, Inc. REITD | 541,621 | 3,872,590 | ||||||
DDR Corporation REITD | 58,635 | 976,273 | ||||||
DiamondRock Hospitality Co. REITD | 368,755 | 3,436,797 | ||||||
Digital Realty Trust, Inc. REITD | 61,630 | 3,759,430 | ||||||
Douglas Emmett, Inc. REIT | 247,005 | 6,162,775 | ||||||
Duke Realty Corporation REIT | 277,588 | 4,327,597 | ||||||
DuPont Fabros Technology, Inc. REITD | 212,779 | 5,138,613 | ||||||
Education Realty Trust, Inc. REIT | 60,079 | 614,608 | ||||||
Equity Residential REIT | 130,841 | 7,596,628 | ||||||
Federal Realty Investment Trust REIT | 38,367 | 3,977,890 | ||||||
Glimcher Realty Trust REITD | 411,684 | 4,495,589 | ||||||
Health Care REIT, Inc. | 94,972 | 6,365,973 | ||||||
Healthcare Realty Trust, Inc. REIT | 220,956 | 5,634,378 | ||||||
Home Properties, Inc. REITD | 5,995 | 391,893 | ||||||
Host Hotels & Resorts, Inc. REITD | 114,280 | 1,927,904 | ||||||
LaSalle Hotel Properties REITD | 137,245 | 3,389,951 | ||||||
Liberty Property Trust REITD | 98,353 | 3,635,127 | ||||||
LTC Properties, Inc. REIT | 43,446 | 1,696,566 | ||||||
Medical Properties Trust, Inc. REIT | 34,833 | 498,809 | ||||||
Pebblebrook Hotel Trust REITD | 86,987 | 2,248,614 | ||||||
Post Properties, Inc. REIT | 99,645 | 4,931,431 | ||||||
Prologis, Inc. REIT | 141,523 | 5,338,248 |
Shares | Value | |||||||
Public Storage REIT | 80,469 | $ | 12,338,312 | |||||
Regency Centers Corporation REIT | 106,587 | 5,415,685 | ||||||
Select Income REIT | 43,915 | 1,231,377 | ||||||
Simon Property Group, Inc. REIT | 148,950 | 23,522,184 | ||||||
Sunstone Hotel Investors, Inc. REIT* | 327,040 | 3,950,643 | ||||||
Taubman Centers, Inc. REIT | 78,207 | 5,877,256 | ||||||
UDR, Inc. REITD | 207,830 | 5,297,587 | ||||||
Ventas, Inc. REIT | 163,713 | 11,371,505 | ||||||
Vornado Realty Trust REITD | 99,684 | 8,258,819 | ||||||
Weingarten Realty Investors REITD | 91,070 | 2,802,224 | ||||||
|
| |||||||
202,132,648 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $190,135,308) | 202,132,648 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 25.2% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 5,499,195 | 5,499,195 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 53,411,864 | 53,411,864 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $58,911,059) | 58,911,059 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 111.7% | ||||||||
(Cost $249,046,367) | 261,043,707 | |||||||
Liabilities in Excess of Other | (27,332,986 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 233,710,721 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Financial Services | 86.5 | |||
Money Market Funds | 25.2 | |||
Futures Contracts | 2.7 | |||
|
| |||
114.4 | ||||
|
|
See Notes to Financial Statements.
132
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 202,132,648 | $ | 202,132,648 | $ | — | $ | — | ||||||||
Money Market Funds | 58,911,059 | 58,911,059 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 261,043,707 | $ | 261,043,707 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (50,614 | ) | $ | (50,614 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (50,614 | ) | $ | (50,614 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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.
133
Table of Contents
VALUE EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 87.3% | ||||||||
Consumer Discretionary — 6.9% | ||||||||
Avon Products, Inc. | 96,200 | $ | 2,023,086 | |||||
CBS Corporation Class B | 1,958 | 95,687 | ||||||
Comcast Corporation Class A | 243,577 | 10,201,005 | ||||||
Dana Holding Corporation | 304,340 | 5,861,588 | ||||||
Dillard’s, Inc. Class A | 23,100 | 1,893,507 | ||||||
Ford Motor Co. | 192,874 | 2,983,761 | ||||||
GameStop Corporation Class AD | 117,700 | 4,946,931 | ||||||
Gap, Inc. (The) | 225,300 | 9,401,769 | ||||||
General Motors Co.* | 29,881 | 995,336 | ||||||
Home Depot, Inc. (The) | 111,008 | 8,599,790 | ||||||
Jarden Corporation* | 33,800 | 1,478,750 | ||||||
Johnson Controls, Inc. | 24,925 | 892,066 | ||||||
Lear Corporation Class A | 25,800 | 1,559,868 | ||||||
Lennar Corporation Class AD | 159,351 | 5,743,010 | ||||||
Macy’s, Inc. | 61,200 | 2,937,600 | ||||||
Newell Rubbermaid, Inc. | 67,100 | 1,761,375 | ||||||
News Corporation Class A | 19,197 | 625,822 | ||||||
Sirius XM Radio, Inc.* | 60,592 | 202,983 | ||||||
Target CorporationD | 179,952 | 12,391,495 | ||||||
Time Warner, Inc. | 104,531 | 6,043,982 | ||||||
Wal-Mart Stores, Inc. | 19,655 | 1,464,101 | ||||||
Walt Disney Co. (The) | 50,972 | 3,218,882 | ||||||
Whirlpool Corporation | 32,300 | 3,693,828 | ||||||
|
| |||||||
89,016,222 | ||||||||
|
| |||||||
Consumer Staples — 3.8% | ||||||||
Archer-Daniels-Midland Co. | 22,537 | 764,230 | ||||||
CVS Caremark Corporation | 39,278 | 2,245,916 | ||||||
Energizer Holdings, Inc. | 51,800 | 5,206,418 | ||||||
Green Mountain Coffee Roasters, Inc.D* | 12,800 | 960,768 | ||||||
Hershey Co. (The) | 49,000 | 4,374,720 | ||||||
Hillshire Brands Co. | 24,400 | 807,152 | ||||||
Kellogg Co. | 769 | 49,393 | ||||||
Kimberly-Clark Corporation | 15,735 | 1,528,498 | ||||||
Kroger Co. (The) | 133,500 | 4,611,090 | ||||||
Mondelez International, Inc. Class A | 218,983 | 6,247,585 | ||||||
PepsiCo, Inc. | 116,800 | 9,553,072 | ||||||
Procter & Gamble Co. (The) | 99,882 | 7,689,915 | ||||||
Safeway, Inc.D | 50,200 | 1,187,732 | ||||||
Sysco CorporationD | 13,713 | 468,436 | ||||||
Tyson Foods, Inc. Class A | 118,500 | 3,043,080 | ||||||
Walgreen Co. | 8,683 | 383,788 | ||||||
|
| |||||||
49,121,793 | ||||||||
|
| |||||||
Energy — 11.1% | ||||||||
Anadarko Petroleum Corporation | 17,338 | 1,489,854 | ||||||
Apache Corporation | 14,202 | 1,190,554 | ||||||
Baker Hughes, Inc.D | 147,554 | 6,806,666 | ||||||
Chevron Corporation | 226,115 | 26,758,449 | ||||||
ConocoPhillips | 301,232 | 18,224,536 | ||||||
CVR Energy, Inc.D | 36,500 | 1,730,100 | ||||||
Devon Energy Corporation | 14,781 | 766,838 | ||||||
EOG Resources, Inc. | 654 | 86,119 | ||||||
Exxon Mobil Corporation | 391,309 | 35,354,768 | ||||||
First Solar, Inc.D* | 19,300 | 863,289 | ||||||
Halliburton Co. | 40,600 | 1,693,832 | ||||||
Hess Corporation | 11,095 | 737,707 | ||||||
Kinder Morgan, Inc. | 2,079 | 79,314 |
Shares | Value | |||||||
Marathon Oil Corporation | 318,692 | $ | 11,020,369 | |||||
Marathon Petroleum Corporation | 58,875 | 4,183,657 | ||||||
Murphy Oil Corporation | 74,600 | 4,542,394 | ||||||
National Oilwell Varco, Inc. | 15,383 | 1,059,889 | ||||||
Occidental Petroleum Corporation | 157,215 | 14,028,294 | ||||||
Patterson-UTI Energy, Inc.D | 58,500 | 1,132,268 | ||||||
Phillips 66 | 22,634 | 1,333,369 | ||||||
Spectra Energy CorporationD | 24,468 | 843,167 | ||||||
Superior Energy Services, Inc.* | 34,900 | 905,306 | ||||||
Valero Energy Corporation | 202,019 | 7,024,201 | ||||||
Williams Cos., Inc. (The) | 11,259 | 365,580 | ||||||
|
| |||||||
142,220,520 | ||||||||
|
| |||||||
Financial Services — 23.7% | ||||||||
Aflac, Inc. | 16,924 | 983,623 | ||||||
Allstate Corporation (The)D | 95,944 | 4,616,825 | ||||||
American Express Co. | 281,745 | 21,063,256 | ||||||
American Financial Group, Inc. | 25,000 | 1,222,750 | ||||||
American International Group, Inc.* | 224,508 | 10,035,508 | ||||||
Ameriprise Financial, Inc. | 117,485 | 9,502,187 | ||||||
Assurant, Inc. | 48,700 | 2,479,317 | ||||||
Bank of America Corporation | 1,326,847 | 17,063,252 | ||||||
Bank of New York Mellon Corporation (The) | 42,598 | 1,194,874 | ||||||
BB&T CorporationD | 25,591 | 867,023 | ||||||
Berkshire Hathaway, Inc. Class B* | 65,779 | 7,361,986 | ||||||
BlackRock, Inc. | 3,025 | 776,971 | ||||||
Capital One Financial Corporation | 228,046 | 14,323,569 | ||||||
CBOE Holdings, Inc. | 41,200 | 1,921,568 | ||||||
Charles Schwab Corporation (The) | 34,833 | 739,505 | ||||||
Chubb Corporation (The) | 8,313 | 703,695 | ||||||
CIT Group, Inc.* | 86,400 | 4,028,832 | ||||||
Citigroup, Inc. | 669,253 | 32,104,066 | ||||||
CME Group, Inc. | 11,596 | 881,064 | ||||||
Discover Financial Services | 134,717 | 6,417,918 | ||||||
Equity Residential REITD | 12,870 | 747,232 | ||||||
Fifth Third Bancorp | 280,700 | 5,066,635 | ||||||
Goldman Sachs Group, Inc. (The)D | 63,242 | 9,565,352 | ||||||
Hartford Financial Services Group, Inc.D | 178,415 | 5,516,592 | ||||||
Huntington Bancshares, Inc. | 605,600 | 4,772,128 | ||||||
JPMorgan Chase & Co. | 830,421 | 43,837,925 | ||||||
KeyCorp | 448,000 | 4,945,920 | ||||||
Lincoln National Corporation | 28,500 | 1,039,395 | ||||||
Loews Corporation | 10,569 | 469,264 | ||||||
Marsh & McLennan Cos., Inc. | 6,277 | 250,578 | ||||||
MetLife, Inc. | 32,276 | 1,476,950 | ||||||
Morgan Stanley | 55,606 | 1,358,455 | ||||||
PNC Financial Services Group, Inc. (The) | 19,287 | 1,406,408 | ||||||
Prudential Financial, Inc. | 10,465 | 764,259 | ||||||
Public Storage REIT | 468 | 71,758 | ||||||
Realogy Holdings CorporationD* | 28,400 | 1,364,336 | ||||||
Regions Financial Corporation | 560,800 | 5,344,424 | ||||||
Simon Property Group, Inc. REIT | 2,765 | 436,649 | ||||||
SLM Corporation | 370,445 | 8,468,373 |
See Notes to Financial Statements.
134
Table of Contents
Shares | Value | |||||||
State Street CorporationD | 316,674 | $ | 20,650,311 | |||||
Travelers Cos., Inc. (The) | 164,399 | 13,138,768 | ||||||
Unum GroupD | 55,400 | 1,627,098 | ||||||
US BancorpD | 124,979 | 4,517,991 | ||||||
Wells Fargo & Co. | 721,699 | 29,784,518 | ||||||
|
| |||||||
304,909,108 | ||||||||
|
| |||||||
Healthcare — 15.0% | ||||||||
Abbott Laboratories | 56,968 | 1,987,044 | ||||||
Aetna, Inc.D | 37,729 | 2,397,300 | ||||||
AmerisourceBergen Corporation | 76,100 | 4,248,663 | ||||||
Amgen, Inc. | 43,000 | 4,242,380 | ||||||
Biogen Idec, Inc.* | 15,200 | 3,271,040 | ||||||
Bristol-Myers Squibb Co. | 7,987 | 356,939 | ||||||
Cardinal Health, Inc. | 262,200 | 12,375,840 | ||||||
Celgene Corporation* | 14,700 | 1,718,577 | ||||||
Cigna Corporation | 117,445 | 8,513,588 | ||||||
Eli Lilly & Co. | 27,964 | 1,373,592 | ||||||
Express Scripts Holding Co.* | 3,859 | 238,255 | ||||||
Hologic, Inc.D* | 246,750 | 4,762,275 | ||||||
Humana, Inc.D | 52,300 | 4,413,074 | ||||||
Johnson & Johnson | 404,509 | 34,731,143 | ||||||
McKesson Corporation | 38,700 | 4,431,150 | ||||||
Medtronic, Inc. | 397,978 | 20,483,927 | ||||||
Merck & Co., Inc. | 378,249 | 17,569,666 | ||||||
Mylan, Inc.D* | 172,390 | 5,349,262 | ||||||
Myriad Genetics, Inc.* | 26,300 | 706,681 | ||||||
Pfizer, Inc. | 1,176,645 | 32,957,825 | ||||||
Stryker Corporation | 4,822 | 311,887 | ||||||
Thermo Fisher Scientific, Inc. | 57,316 | 4,850,653 | ||||||
United Therapeutics CorporationD* | 35,000 | 2,303,700 | ||||||
UnitedHealth Group, Inc. | 127,404 | 8,342,414 | ||||||
WellPoint, Inc. | 130,457 | 10,676,601 | ||||||
Zoetis, Inc. | 2,343 | 72,367 | ||||||
|
| |||||||
192,685,843 | ||||||||
|
| |||||||
Materials & Processing — 2.0% | ||||||||
Air Products & Chemicals, Inc.D | 7,717 | 706,646 | ||||||
CF Industries Holdings, Inc. | 10,300 | 1,766,450 | ||||||
Dow Chemical Co. (The)D | 38,430 | 1,236,293 | ||||||
E.I. du Pont de Nemours & Co.D | 179,300 | 9,413,250 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 38,033 | 1,050,091 | ||||||
Louisiana-Pacific Corporation* | 45,400 | 671,466 | ||||||
MeadWestvaco Corporation | 46,543 | 1,587,582 | ||||||
Mosaic Co. (The) | 11,114 | 598,044 | ||||||
Packaging Corporation of America | 44,100 | 2,159,136 | ||||||
PPG Industries, Inc. | 496 | 72,620 | ||||||
Rock-Tenn Co. Class A | 19,700 | 1,967,636 | ||||||
Sealed Air Corporation | 164,355 | 3,936,302 | ||||||
|
| |||||||
25,165,516 | ||||||||
|
| |||||||
Producer Durables — 10.7% | ||||||||
3M Co.D | 3,737 | 408,641 | ||||||
ADT Corporation (The)D* | 69,737 | 2,779,019 | ||||||
AGCO Corporation | 29,100 | 1,460,529 | ||||||
Alaska Air Group, Inc.* | 38,300 | 1,991,600 | ||||||
Caterpillar, Inc. | 19,703 | 1,625,301 | ||||||
CSX Corporation | 18,044 | 418,440 | ||||||
Cummins, Inc. | 1,294 | 140,347 | ||||||
Danaher Corporation | 17,177 | 1,087,304 |
Shares | Value | |||||||
Delta Air Lines, Inc.* | 153,100 | $ | 2,864,501 | |||||
Emerson Electric Co. | 178,331 | 9,726,173 | ||||||
FedEx Corporation | 11,398 | 1,123,615 | ||||||
Fluor Corporation | 48,700 | 2,888,397 | ||||||
General Dynamics Corporation | 65,560 | 5,135,315 | ||||||
General Electric Co. | 1,306,657 | 30,301,376 | ||||||
Honeywell International, Inc. | 148,195 | 11,757,791 | ||||||
Illinois Tool Works, Inc.D | 180,485 | 12,484,148 | ||||||
L-3 Communications Holdings, Inc.D | 54,800 | 4,698,552 | ||||||
Lockheed Martin CorporationD | 24,800 | 2,689,808 | ||||||
Norfolk Southern Corporation | 9,616 | 698,602 | ||||||
Northrop Grumman CorporationD | 70,138 | 5,807,426 | ||||||
Oshkosh Corporation* | 44,100 | 1,674,477 | ||||||
Raytheon Co.D | 206,876 | 13,678,641 | ||||||
Stanley Black & Decker, Inc. | 90,700 | 7,011,110 | ||||||
Terex CorporationD* | 189,460 | 4,982,798 | ||||||
Textron, Inc.D | 305,720 | 7,964,006 | ||||||
Union Pacific Corporation | 12,700 | 1,959,356 | ||||||
United Technologies Corporation | 2,223 | 206,606 | ||||||
Waste Management, Inc. | 16,006 | 645,522 | ||||||
|
| |||||||
138,209,401 | ||||||||
|
| |||||||
Technology — 7.5% | ||||||||
Adobe Systems, Inc.* | 10,832 | 493,506 | ||||||
Apple, Inc. | 12,028 | 4,767,798 | ||||||
Applied Materials, Inc. | 211,300 | 3,150,483 | ||||||
Avnet, Inc.* | 38,200 | 1,283,520 | ||||||
Broadcom Corporation Class A | 11,289 | 381,117 | ||||||
CA, Inc. | 131,200 | 3,756,256 | ||||||
Cisco Systems, Inc. | 717,255 | 17,436,469 | ||||||
Computer Sciences Corporation | 21,400 | 936,678 | ||||||
Corning, Inc. | 231,863 | 3,299,410 | ||||||
Dell, Inc. | 45,840 | 611,964 | ||||||
EMC Corporation | 38,515 | 909,724 | ||||||
Hewlett-Packard Co. | 70,994 | 1,760,651 | ||||||
Ingram Micro, Inc. Class A* | 95,000 | 1,804,050 | ||||||
Intel CorporationD | 387,562 | 9,386,752 | ||||||
International Business Machines Corporation | 40,200 | 7,682,622 | ||||||
Lam Research CorporationD* | 65,400 | 2,899,836 | ||||||
Microsoft Corporation | 394,600 | 13,625,538 | ||||||
Symantec Corporation | 162,300 | 3,646,881 | ||||||
Texas Instruments, Inc. | 270,000 | 9,414,900 | ||||||
Western Digital Corporation | 140,800 | 8,742,272 | ||||||
Yahoo!, Inc.* | 34,810 | 874,079 | ||||||
|
| |||||||
96,864,506 | ||||||||
|
| |||||||
Utilities — 6.6% | ||||||||
AES Corporation | 571,100 | 6,847,489 | ||||||
American Electric Power Co., Inc. | 249,101 | 11,154,743 | ||||||
AT&T, Inc.D | 782,885 | 27,714,129 | ||||||
CenturyLink, Inc.D | 22,146 | 782,861 | ||||||
Dominion Resources, Inc.D | 21,185 | 1,203,732 | ||||||
Duke Energy Corporation | 25,987 | 1,754,122 | ||||||
Edison International | 104,600 | 5,037,536 | ||||||
Entergy Corporation | 104,900 | 7,309,432 | ||||||
Exelon Corporation | 31,463 | 971,577 | ||||||
NextEra Energy, Inc. | 15,422 | 1,256,585 | ||||||
NV Energy, Inc. | 206,700 | 4,849,182 | ||||||
PG&E Corporation | 15,849 | 724,775 |
See Notes to Financial Statements.
135
Table of Contents
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Public Service Enterprise Group, Inc.D | 73,400 | $ | 2,397,244 | |||||
Southern Co. (The)D | 32,116 | 1,417,279 | ||||||
Sprint Nextel Corporation* | 316,327 | 2,220,616 | ||||||
Verizon Communications, Inc.D | 180,324 | 9,077,510 | ||||||
|
| |||||||
84,718,812 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $902,686,321) | 1,122,911,721 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 9.6% | ||||||||
Bermuda — 1.5% |
| |||||||
AXIS Capital Holdings, Ltd.D | 50,500 | 2,311,890 | ||||||
Everest Re Group, Ltd. | 36,500 | 4,681,490 | ||||||
Marvell Technology Group, Ltd. | 227,400 | 2,662,854 | ||||||
Nabors Industries, Ltd. | 183,655 | 2,811,758 | ||||||
PartnerRe, Ltd. | 43,100 | 3,903,136 | ||||||
RenaissanceRe Holdings, Ltd.D | 34,900 | 3,028,971 | ||||||
|
| |||||||
19,400,099 | ||||||||
|
| |||||||
Canada — 0.3% | ||||||||
Gildan Activewear, Inc. | 27,900 | 1,130,229 | ||||||
Magna International, Inc.D | 27,400 | 1,951,428 | ||||||
Thomson Reuters Corporation | 13,889 | 452,365 | ||||||
|
| |||||||
3,534,022 | ||||||||
|
| |||||||
France — 0.9% | ||||||||
Sanofi ADR | 219,200 | 11,290,992 | ||||||
|
| |||||||
Guernsey — 0.3% | ||||||||
Amdocs, Ltd. | 108,500 | 4,024,265 | ||||||
|
| |||||||
Ireland — 1.4% | ||||||||
Covidien PLC | 17,222 | 1,082,231 | ||||||
CRH PLC ADRD | 186,600 | 3,789,846 | ||||||
Eaton Corporation PLC | 17,367 | 1,142,922 | ||||||
Ingersoll-Rand PLC | 26,100 | 1,449,072 | ||||||
Seagate Technology PLC | 42,800 | 1,918,724 | ||||||
Warner Chilcott PLC Class A | 113,400 | 2,254,392 | ||||||
XL Group PLC | 198,800 | 6,027,616 | ||||||
|
| |||||||
17,664,803 | ||||||||
|
| |||||||
Netherlands — 0.3% | ||||||||
LyondellBasell Industries NV Class A | 65,900 | 4,366,534 | ||||||
|
| |||||||
Panama — 0.8% | ||||||||
Carnival Corporation | 314,977 | 10,800,561 | ||||||
|
| |||||||
Switzerland — 1.8% | ||||||||
ACE, Ltd. | 33,757 | 3,020,576 | ||||||
Allied World Assurance Company Holdings AG | 16,000 | 1,464,160 | ||||||
Noble Corporation | 105,500 | 3,964,690 | ||||||
Pentair, Ltd. | 53,934 | 3,111,452 | ||||||
TE Connectivity, Ltd. | 138,675 | 6,315,260 | ||||||
Tyco International, Ltd. | 163,175 | 5,376,616 | ||||||
|
| |||||||
23,252,754 | ||||||||
|
| |||||||
United Kingdom — 2.3% | ||||||||
BP PLC ADR | 244,400 | 10,201,256 | ||||||
Delphi Automotive PLC | 258,400 | 13,098,296 | ||||||
Ensco PLC Class AD | 112,400 | 6,532,688 | ||||||
Liberty Global PLC Class A* | 2,042 | 150,067 | ||||||
|
| |||||||
29,982,307 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $114,403,886) | 124,316,337 | |||||||
|
|
Shares | Value | |||||||
MONEY MARKET FUNDS — 13.3% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 46,239,805 | $ | 46,239,805 | |||||
Northern Institutional Liquid Assets Portfolio§ | 124,502,163 | 124,502,163 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $170,741,968) | 170,741,968 | |||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY | ||||||||
U.S. Treasury Bill 0.08%, 10/17/13 (Cost $649,841) | $ | 650,000 | 649,905 | |||||
|
| |||||||
TOTAL INVESTMENTS — 110.2% | ||||||||
(Cost $1,188,482,016) | 1,418,619,931 | |||||||
Liabilities in Excess of Other | (131,870,384 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,286,749,547 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Financial Services | 23.7 | |||
Healthcare | 15.0 | |||
Money Market Funds | 13.3 | |||
Energy | 11.1 | |||
Producer Durables | 10.7 | |||
Foreign Common Stocks | 9.6 | |||
Technology | 7.5 | |||
Consumer Discretionary | 6.9 | |||
Utilities | 6.6 | |||
Consumer Staples | 3.8 | |||
Futures Contracts | 3.3 | |||
Materials & Processing | 2.0 | |||
U.S. Treasury Obligation | 0.0 | ** | ||
|
| |||
113.5 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
136
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 1,122,911,721 | $ | 1,122,911,721 | $ | — | $ | — | ||||||||
Foreign Common Stocks | 124,316,337 | 124,316,337 | — | — | ||||||||||||
Money Market Funds | 170,741,968 | 170,741,968 | — | — | ||||||||||||
U.S. Treasury Obligation | 649,905 | — | 649,905 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,418,619,931 | $ | 1,417,970,026 | $ | 649,905 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (135,878 | ) | $ | (135,878 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (135,878 | ) | $ | (135,878 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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. |
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
See Notes to Financial Statements.
137
Table of Contents
GROWTH EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 86.3% | ||||||||
Consumer Discretionary — 22.6% | ||||||||
Amazon.com, Inc.* | 136,153 | $ | 37,808,326 | |||||
AutoZone, Inc.* | 10,298 | 4,363,160 | ||||||
Avon Products, Inc.D | 121,065 | 2,545,997 | ||||||
CBS Corporation Class B | 110,875 | 5,418,461 | ||||||
Chipotle Mexican Grill, Inc.D* | 42,524 | 15,493,619 | ||||||
Coach, Inc.D | 21,200 | 1,210,308 | ||||||
Comcast Corporation Class AD | 269,173 | 11,272,965 | ||||||
Costco Wholesale CorporationD | 92,940 | 10,276,376 | ||||||
eBay, Inc.* | 271,561 | 14,045,135 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 240,672 | 15,828,997 | ||||||
Expedia, Inc.D | 84,580 | 5,087,487 | ||||||
Fortune Brands Home & Security, Inc. | 75,000 | 2,905,500 | ||||||
Fossil Group, Inc.* | 40,300 | 4,163,393 | ||||||
Hertz Global Holdings, Inc.D* | 354,105 | 8,781,804 | ||||||
Home Depot, Inc. (The) | 214,503 | 16,617,547 | ||||||
Lennar Corporation Class A | 95,340 | 3,436,054 | ||||||
NIKE, Inc. Class B | 432,414 | 27,536,124 | ||||||
priceline.com, Inc.* | 31,693 | 26,214,231 | ||||||
Ralph Lauren Corporation | 21,670 | 3,764,946 | ||||||
Sirius XM Radio, Inc.D* | 2,349,330 | 7,870,255 | ||||||
Starbucks CorporationD | 414,301 | 27,132,572 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 145,345 | 9,184,351 | ||||||
Tiffany & Co. | 14,600 | 1,063,464 | ||||||
TJX Cos., Inc. | 101,298 | 5,070,978 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.D* | 97,667 | 9,782,327 | ||||||
Urban Outfitters, Inc.* | 56,000 | 2,252,320 | ||||||
Walt Disney Co. (The)D | 213,716 | 13,496,165 | ||||||
Whirlpool Corporation | 26,941 | 3,080,973 | ||||||
|
| |||||||
295,703,835 | ||||||||
|
| |||||||
Consumer Staples — 2.8% | ||||||||
Church & Dwight Co., Inc. | 66,970 | 4,132,719 | ||||||
CVS Caremark Corporation | 76,850 | 4,394,283 | ||||||
Green Mountain Coffee Roasters, Inc.D* | 36,056 | 2,706,363 | ||||||
Kellogg Co.D | 35,820 | 2,300,719 | ||||||
Kraft Foods Group, Inc. | 52,910 | 2,956,082 | ||||||
Mead Johnson Nutrition Co. | 71,500 | 5,664,945 | ||||||
Mondelez International, Inc. Class A | 152,814 | 4,359,783 | ||||||
Procter & Gamble Co. (The) | 65,300 | 5,027,447 | ||||||
Whole Foods Market, Inc.D | 86,300 | 4,442,724 | ||||||
|
| |||||||
35,985,065 | ||||||||
|
| |||||||
Energy — 7.2% | ||||||||
Anadarko Petroleum Corporation | 59,830 | 5,141,192 | ||||||
Cabot Oil & Gas Corporation | 51,995 | 3,692,685 | ||||||
Cameron International Corporation* | 45,030 | 2,754,035 | ||||||
Continental Resources, Inc.D* | 50,690 | 4,362,381 | ||||||
EOG Resources, Inc. | 37,530 | 4,941,950 | ||||||
FMC Technologies, Inc.D* | 261,200 | 14,543,616 | ||||||
Kinder Morgan, Inc. | 79,979 | 3,051,199 | ||||||
National Oilwell Varco, Inc. | 110,600 | 7,620,340 | ||||||
Noble Energy, Inc. | 174,684 | 10,488,027 | ||||||
Pioneer Natural Resources Co. | 28,146 | 4,074,134 |
Shares | Value | |||||||
Schlumberger, Ltd. | 342,459 | $ | 24,540,612 | |||||
Southwestern Energy Co.D* | 240,900 | 8,800,077 | ||||||
|
| |||||||
94,010,248 | ||||||||
|
| |||||||
Financial Services — 12.9% | ||||||||
Allstate Corporation (The) | 85,510 | 4,114,741 | ||||||
American Express Co. | 31,236 | 2,335,203 | ||||||
American International Group, Inc.* | 159,450 | 7,127,415 | ||||||
American Tower Corporation REIT | 52,729 | 3,858,181 | ||||||
BlackRock, Inc. | 16,150 | 4,148,128 | ||||||
Charles Schwab Corporation (The)D | 280,804 | 5,961,469 | ||||||
Citigroup, Inc. | 434,992 | 20,866,566 | ||||||
Discover Financial Services | 241,721 | 11,515,589 | ||||||
FleetCor Technologies, Inc.* | 16,463 | 1,338,442 | ||||||
Goldman Sachs Group, Inc. (The) | 64,809 | 9,802,361 | ||||||
Hartford Financial Services Group, Inc.D | 140,550 | 4,345,806 | ||||||
IntercontinentalExchange, Inc.D* | 21,290 | 3,784,510 | ||||||
JPMorgan Chase & Co. | 142,440 | 7,519,408 | ||||||
Mastercard, Inc. Class AD | 33,159 | 19,049,846 | ||||||
Moody’s Corporation | 44,985 | 2,740,936 | ||||||
SLM Corporation | 123,400 | 2,820,924 | ||||||
Visa, Inc. Class AD | 281,191 | 51,387,655 | ||||||
Wells Fargo & Co. | 139,108 | 5,740,987 | ||||||
|
| |||||||
168,458,167 | ||||||||
|
| |||||||
Healthcare — 13.9% | ||||||||
Alexion Pharmaceuticals, Inc.* | 111,200 | 10,257,088 | ||||||
Allergan, Inc. | 157,730 | 13,287,175 | ||||||
athenahealth, Inc.D* | 45,500 | 3,854,760 | ||||||
Biogen Idec, Inc.* | 138,088 | 29,716,538 | ||||||
BioMarin Pharmaceutical, Inc.* | 103,000 | 5,746,370 | ||||||
Bristol-Myers Squibb Co. | 115,786 | 5,174,476 | ||||||
Celgene Corporation* | 37,360 | 4,367,758 | ||||||
Cerner CorporationD* | 113,900 | 10,944,651 | ||||||
Cooper Cos., Inc. (The) | 20,490 | 2,439,335 | ||||||
Covance, Inc.D* | 52,900 | 4,027,806 | ||||||
DaVita HealthCare Partners, Inc.* | 37,100 | 4,481,680 | ||||||
Express Scripts Holding Co.* | 237,090 | 14,626,082 | ||||||
Gilead Sciences, Inc.D* | 524,901 | 26,880,180 | ||||||
IDEXX Laboratories, Inc.D* | 40,500 | 3,636,090 | ||||||
Intuitive Surgical, Inc.D* | 25,900 | 13,120,422 | ||||||
Pfizer, Inc.D | 389,628 | 10,913,480 | ||||||
Pharmacyclics, Inc.* | 12,235 | 972,315 | ||||||
Regeneron Pharmaceuticals, Inc.* | 58,558 | 13,168,523 | ||||||
Zoetis, Inc. | 133,706 | 4,039,940 | ||||||
|
| |||||||
181,654,669 | ||||||||
|
| |||||||
Materials & Processing — 5.1% | ||||||||
Ecolab, Inc. | 97,560 | 8,311,136 | ||||||
Masco Corporation | 177,300 | 3,455,577 | ||||||
Monsanto Co. | 193,570 | 19,124,716 | ||||||
PPG Industries, Inc. | 19,982 | 2,925,565 | ||||||
Praxair, Inc. | 83,400 | 9,604,344 | ||||||
Precision Castparts Corporation | 57,406 | 12,974,330 | ||||||
Sherwin-Williams Co. (The)D | 58,970 | 10,414,102 | ||||||
|
| |||||||
66,809,770 | ||||||||
|
|
See Notes to Financial Statements.
138
Table of Contents
Shares | Value | |||||||
Producer Durables — 6.2% | ||||||||
AMETEK, Inc. | 55,645 | $ | 2,353,784 | |||||
B/E Aerospace, Inc.* | 42,610 | 2,687,839 | ||||||
Boeing Co. (The) | 40,860 | 4,185,698 | ||||||
CSX Corporation | 85,748 | 1,988,496 | ||||||
Cummins, Inc. | 56,180 | 6,093,283 | ||||||
Danaher Corporation | 89,500 | 5,665,350 | ||||||
Delta Air Lines, Inc.* | 189,716 | 3,549,586 | ||||||
Fluor Corporation | 99,500 | 5,901,345 | ||||||
General Electric Co. | 165,557 | 3,839,267 | ||||||
Honeywell International, Inc. | 55,370 | 4,393,056 | ||||||
National Instruments Corporation | 107,500 | 3,003,550 | ||||||
Roper Industries, Inc. | 41,100 | 5,105,442 | ||||||
Stericycle, Inc.* | 50,000 | 5,521,500 | ||||||
Union Pacific Corporation | 124,378 | 19,189,038 | ||||||
United Rentals, Inc.D* | 52,555 | 2,623,020 | ||||||
Verisk Analytics, Inc. Class A* | 38,890 | 2,321,733 | ||||||
W.W. Grainger, Inc.D | 7,886 | 1,988,691 | ||||||
|
| |||||||
80,410,678 | ||||||||
|
| |||||||
Technology — 15.6% | ||||||||
Amphenol Corporation Class A | 58,600 | 4,567,284 | ||||||
ANSYS, Inc.D* | 44,500 | 3,252,950 | ||||||
Apple, Inc. | 55,880 | 22,132,950 | ||||||
Cisco Systems, Inc. | 203,600 | 4,949,516 | ||||||
Citrix Systems, Inc.* | 99,100 | 5,978,703 | ||||||
Cognizant Technology Solutions Corporation Class A* | 38,200 | 2,391,702 | ||||||
Cree, Inc.* | 41,338 | 2,639,845 | ||||||
Crown Castle International Corporation* | 84,810 | 6,139,396 | ||||||
F5 Networks, Inc.* | 59,027 | 4,061,058 | ||||||
Facebook, Inc. Class A* | 377,400 | 9,382,164 | ||||||
Google, Inc. Class A* | 75,114 | 66,128,112 | ||||||
International Business Machines Corporation | 33,860 | 6,470,985 | ||||||
LinkedIn Corporation, Class A* | 23,477 | 4,185,949 | ||||||
NetApp, Inc.D* | 127,800 | 4,828,284 | ||||||
QUALCOMM, Inc.D | 186,300 | 11,379,204 | ||||||
Red Hat, Inc.* | 31,800 | 1,520,676 | ||||||
Rovi Corporation* | 7 | 160 | ||||||
Salesforce.com, Inc.D* | 745,390 | 28,458,990 | ||||||
SanDisk Corporation* | 66,000 | 4,032,600 | ||||||
Splunk, Inc.* | 106,000 | 4,914,160 | ||||||
Teradata Corporation* | 51,910 | 2,607,439 | ||||||
Texas Instruments, Inc. | 39,027 | 1,360,871 | ||||||
Yahoo!, Inc.* | 103,324 | 2,594,466 | ||||||
|
| |||||||
203,977,464 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $881,716,260) | 1,127,009,896 | |||||||
|
|
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 9.5% | ||||||||
Bermuda — 0.6% | ||||||||
Genpact, Ltd.* | 198,400 | $ | 3,817,216 | |||||
Invesco, Ltd. | 123,950 | 3,941,610 | ||||||
|
| |||||||
7,758,826 | ||||||||
|
| |||||||
Canada — 1.3% | ||||||||
Canadian Pacific Railway, Ltd.D | 71,354 | 8,660,948 | ||||||
Lululemon Athletica, Inc.D* | 43,652 | 2,860,079 | ||||||
Valeant Pharmaceuticals International, Inc.* | 67,971 | 5,850,944 | ||||||
|
| |||||||
17,371,971 | ||||||||
|
| |||||||
Cayman Islands — 0.6% | ||||||||
Baidu, Inc. ADRD* | 89,596 | 8,469,510 | ||||||
|
| |||||||
Denmark — 0.1% | ||||||||
Novo Nordisk A/S ADRD | 10,980 | 1,701,571 | ||||||
|
| |||||||
Germany — 0.2% | ||||||||
SAP AG ADRD | 39,900 | 2,905,917 | ||||||
|
| |||||||
Hong Kong — 0.7% | ||||||||
Michael Kors Holdings, Ltd.* | 137,715 | 8,541,084 | ||||||
|
| |||||||
Ireland — 1.3% | ||||||||
Accenture PLC Class A | 182,958 | 13,165,658 | ||||||
Eaton Corporation PLCD | 58,880 | 3,874,893 | ||||||
|
| |||||||
17,040,551 | ||||||||
|
| |||||||
Netherlands — 2.0% | ||||||||
ASML Holding NV | 216,527 | 17,127,286 | ||||||
Core Laboratories NVD | 35,700 | 5,414,262 | ||||||
LyondellBasell Industries NV Class AD | 54,200 | 3,591,292 | ||||||
|
| |||||||
26,132,840 | ||||||||
|
| |||||||
Switzerland — 0.7% | ||||||||
Pentair, Ltd. | 60,440 | 3,486,784 | ||||||
Roche Holding AG | 22,005 | 5,461,582 | ||||||
|
| |||||||
8,948,366 | ||||||||
|
| |||||||
United Kingdom — 2.0% | ||||||||
ARM Holdings PLC ADRD | 226,800 | 8,205,624 | ||||||
Ensco PLC Class A | 44,780 | 2,602,614 | ||||||
Liberty Global PLC Class A* | 147,834 | 10,951,543 | ||||||
Rolls-Royce Holdings PLC* | 253,865 | 4,371,172 | ||||||
Rolls-Royce Holdings PLC+* | 20,092,793 | 30,560 | ||||||
|
| |||||||
26,161,513 | ||||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $110,525,052) | 125,032,149 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 21.6% | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 79,371,395 | 79,371,395 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 202,697,903 | 202,697,903 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $282,069,298) | 282,069,298 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 117.4% | ||||||||
(Cost $1,274,310,610) | 1,534,111,343 | |||||||
Liabilities in Excess of Other | (227,766,233 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,306,345,110 | ||||||
|
|
See Notes to Financial Statements.
139
Table of Contents
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Consumer Discretionary | 22.6 | |||
Money Market Funds | 21.6 | |||
Technology | 15.6 | |||
Healthcare | 13.9 | |||
Financial Services | 12.9 | |||
Foreign Common Stocks | 9.5 | |||
Energy | 7.2 | |||
Producer Durables | 6.2 | |||
Materials & Processing | 5.1 | |||
Futures Contracts | 3.8 | |||
Consumer Staples | 2.8 | |||
|
| |||
121.2 | ||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 1,127,009,896 | $ | 1,127,009,896 | $ | — | $ | — | ||||||||
Foreign Common Stocks | 125,032,149 | 115,168,834 | 9,832,755 | 30,560 | ||||||||||||
Money Market Funds | 282,069,298 | 282,069,298 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,534,111,343 | $ | 1,524,248,028 | $ | 9,832,755 | $ | 30,560 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (274,617 | ) | $ | (274,617 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (274,617 | ) | $ | (274,617 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ending June 30, 2013.
See Notes to Financial Statements.
140
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SMALL CAP EQUITY FUND | ||
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 79.3% | ||||||||
Consumer Discretionary — 12.3% | ||||||||
Aaron’s, Inc.* | 58,800 | $ | 1,646,988 | |||||
American Axle & Manufacturing Holdings, Inc.D* | 47,700 | 888,651 | ||||||
Ascena Retail Group, Inc.D* | 58,500 | 1,020,825 | ||||||
Avis Budget Group, Inc.* | 32,600 | 937,250 | ||||||
Bright Horizons Family Solutions, Inc.* | 33,900 | 1,176,669 | ||||||
Buffalo Wild Wings, Inc.* | 8,800 | 863,808 | ||||||
Cabela’s, Inc.* | 5,206 | 337,141 | ||||||
Capella Education Co.D* | 16,700 | 695,555 | ||||||
Chuy’s Holdings, Inc.D* | 8,591 | 329,379 | ||||||
CTC Media, Inc.D | 72,900 | 810,648 | ||||||
Deckers Outdoor CorporationD* | 11,200 | 565,712 | ||||||
Destination Maternity Corporation | 11,600 | 285,360 | ||||||
Destination XL Group, Inc.D* | 308,288 | 1,954,546 | ||||||
Dillard’s, Inc. Class A | 16,500 | 1,352,505 | ||||||
Domino’s Pizza, Inc. | 15,108 | 878,530 | ||||||
Drew Industries, Inc.D* | 36,400 | 1,431,248 | ||||||
DSW, Inc. Class A | 5,500 | 404,085 | ||||||
Ethan Allen Interiors, Inc.D | 12,500 | 360,000 | ||||||
Express, Inc.* | 27,600 | 578,772 | ||||||
Fairway Group Holdings CorporationD* | 13,800 | 333,546 | ||||||
Five Below, Inc.D* | 13,200 | 485,232 | ||||||
GameStop Corporation Class AD | 60,200 | 2,530,206 | ||||||
G-III Apparel Group, Ltd.* | 9,000 | 433,080 | ||||||
Grand Canyon Education, Inc.* | 44,200 | 1,424,566 | ||||||
Hibbett Sports, Inc.D* | 22,500 | 1,248,750 | ||||||
Inter Parfums, Inc.D | 30,800 | 878,416 | ||||||
Jarden Corporation* | 24,300 | 1,063,125 | ||||||
KB Home | 22,000 | 431,860 | ||||||
Kirkland’s, Inc.D* | 62,200 | 1,072,950 | ||||||
Krispy Kreme Doughnuts, Inc.* | 21,200 | 369,940 | ||||||
Lear Corporation Class A | 15,000 | 906,900 | ||||||
Libbey, Inc.D* | 62,700 | 1,502,919 | ||||||
Lithia Motors, Inc. Class A | 16,400 | 874,284 | ||||||
Lumber Liquidators Holdings, Inc.D* | 7,700 | 599,599 | ||||||
Maidenform Brands, Inc.D* | 22,300 | 386,459 | ||||||
Mattress Firm Holding CorporationD* | 22,500 | 906,750 | ||||||
Meritage Homes Corporation* | 11,195 | 485,415 | ||||||
Monro Muffler Brake, Inc.D | 36,000 | 1,729,800 | ||||||
Newell Rubbermaid, Inc. | 54,300 | 1,425,375 | ||||||
Nu Skin Enterprises, Inc. Class A | 8,700 | 531,744 | ||||||
Nutrisystem, Inc. | 64,800 | 763,344 | ||||||
Oxford Industries, Inc.D | 20,950 | 1,307,280 | ||||||
Pandora Media, Inc.D* | 32,900 | 605,360 | ||||||
Pier 1 Imports, Inc. | 53,260 | 1,251,077 | ||||||
PulteGroup, Inc.* | 15,700 | 297,829 | ||||||
Restoration Hardware Holdings, Inc.D* | 11,200 | 840,000 | ||||||
RG Barry CorporationD | 66,740 | 1,083,858 | ||||||
Ryland Group, Inc. (The)D | 32,000 | 1,283,200 | ||||||
Sally Beauty Holdings, Inc.D* | 45,300 | 1,408,830 | ||||||
Shutterfly, Inc.D* | 17,600 | 981,904 | ||||||
Shutterstock, Inc.D* | 11,700 | 652,626 | ||||||
Smith & Wesson Holding CorporationD* | 60,900 | 607,782 |
Shares | Value | |||||||
Sotheby’sD | 43,800 | $ | 1,660,458 | |||||
Steinway Musical Instruments, Inc.D* | 52,129 | 1,586,285 | ||||||
Steven Madden, Ltd.D* | 36,400 | 1,761,032 | ||||||
Sturm Ruger & Co., Inc.D | 36,800 | 1,767,872 | ||||||
Taylor Morrison Home Corporation Class A* | 11,500 | 280,370 | ||||||
Tenneco, Inc.* | 10,300 | 466,384 | ||||||
Tupperware Brands Corporation | 7,700 | 598,213 | ||||||
Universal Electronics, Inc.* | 75,254 | 2,116,895 | ||||||
ValueClick, Inc.D* | 44,800 | 1,105,664 | ||||||
Vera Bradley, Inc.D* | 53,100 | 1,150,146 | ||||||
WABCO Holdings, Inc.* | 18,100 | 1,351,889 | ||||||
Zagg, Inc.D* | 168,100 | 899,335 | ||||||
|
| |||||||
61,966,221 | ||||||||
|
| |||||||
Consumer Staples — 2.1% | ||||||||
Annie’s, Inc.* | 16,950 | 724,443 | ||||||
Boulder Brands, Inc.D* | 35,138 | 423,413 | ||||||
Chef’s Warehouse, Inc. (The)D* | 36,200 | 622,640 | ||||||
Flowers Foods, Inc.D | 34,200 | 754,110 | ||||||
Hain Celestial Group, Inc. (The)D* | 11,901 | 773,208 | ||||||
Ingredion, Inc. | 15,600 | 1,023,672 | ||||||
Medifast, Inc.D* | 17,200 | 443,072 | ||||||
Nash Finch Co. | 15,000 | 330,150 | ||||||
Natural Grocers by Vitamin Cottage, Inc.D* | 10,600 | 328,600 | ||||||
PetMed Express, Inc.D | 85,500 | 1,077,300 | ||||||
Sanderson Farms, Inc.D | 14,700 | 976,374 | ||||||
United Natural Foods, Inc.* | 40,100 | 2,164,999 | ||||||
USANA Health Sciences, Inc.D* | 8,700 | 629,706 | ||||||
WhiteWave Foods Co. Class AD* | 20,734 | 336,927 | ||||||
|
| |||||||
10,608,614 | ||||||||
|
| |||||||
Energy — 4.8% | ||||||||
American Standard Energy Corporation@* | 8,702 | 2,611 | ||||||
Bonanza Creek Energy, Inc.D* | 21,625 | 766,823 | ||||||
CARBO Ceramics, Inc.D | 9,600 | 647,328 | ||||||
CVR Energy, Inc. | 22,000 | 1,042,800 | ||||||
Delek US Holdings, Inc.D | 21,100 | 607,258 | ||||||
Diamondback Energy, Inc.D* | 23,400 | 779,688 | ||||||
Dril-Quip, Inc.D* | 6,300 | 568,827 | ||||||
EPL Oil & Gas, Inc.* | 23,400 | 687,024 | ||||||
First Solar, Inc.D* | 17,500 | 782,775 | ||||||
Geospace Technologies CorporationD* | 20,600 | 1,423,048 | ||||||
Gulfport Energy Corporation* | 82,100 | 3,864,447 | ||||||
Helmerich & Payne, Inc.D | 22,700 | 1,417,615 | ||||||
Hornbeck Offshore Services, Inc.* | 24,250 | 1,297,375 | ||||||
Matador Resources Co.D* | 53,550 | 641,529 | ||||||
Newpark Resources, Inc.D* | 123,100 | 1,352,869 | ||||||
Oasis Petroleum, Inc.* | 47,423 | 1,843,332 | ||||||
Patterson-UTI Energy, Inc. | 57,900 | 1,120,654 | ||||||
Sanchez Energy CorporationD* | 36,700 | 842,632 | ||||||
Superior Energy Services, Inc.* | 61,100 | 1,584,934 | ||||||
Tesoro Corporation | 15,800 | 826,656 | ||||||
Vaalco Energy, Inc.D* | 260,200 | 1,488,344 | ||||||
World Fuel Services CorporationD | 14,600 | 583,708 | ||||||
|
| |||||||
24,172,277 | ||||||||
|
|
See Notes to Financial Statements.
141
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Financial Services — 15.4% | ||||||||
American Equity Investment Life Holding Co.D | 76,300 | $ | 1,197,910 | |||||
American Financial Group, Inc. | 47,100 | 2,303,661 | ||||||
AMERISAFE, Inc. | 41,665 | 1,349,529 | ||||||
Apartment Investment & Management Co. Class A REIT | 18,100 | 543,724 | ||||||
Ares Capital Corporation | 70,700 | 1,216,040 | ||||||
Ashford Hospitality Trust, Inc. REITD | 121,400 | 1,390,030 | ||||||
Assurant, Inc. | 44,400 | 2,260,404 | ||||||
Banner Corporation | 33,800 | 1,142,102 | ||||||
BioMed Realty Trust, Inc. REITD | 79,900 | 1,616,377 | ||||||
Brandywine Realty Trust REIT | 100,900 | 1,364,168 | ||||||
Brown & Brown, Inc. | 33,200 | 1,070,368 | ||||||
CapitalSource, Inc. | 70,900 | 665,042 | ||||||
Cardtronics, Inc.* | 43,400 | 1,197,840 | ||||||
CBL & Associates Properties, Inc. REITD | 71,900 | 1,540,098 | ||||||
CBOE Holdings, Inc. | 34,500 | 1,609,080 | ||||||
Central Pacific Financial Corporation* | 25,500 | 459,000 | ||||||
Chemical Financial CorporationD | 13,391 | 348,032 | ||||||
Community Bank System, Inc.D | 23,000 | 709,550 | ||||||
Compass Diversified Holdings LLC | 97,375 | 1,706,984 | ||||||
CoreLogic, Inc.* | 28,000 | 648,760 | ||||||
Coresite Realty Corporation REITD | 36,200 | 1,151,522 | ||||||
DuPont Fabros Technology, Inc. REITD | 35,200 | 850,080 | ||||||
East West Bancorp, Inc. | 30,200 | 830,500 | ||||||
Equity Lifestyle Properties, Inc. REIT | 23,700 | 1,862,583 | ||||||
Euronet Worldwide, Inc.* | 13,300 | 423,738 | ||||||
EverBank Financial Corporation | 51,100 | 846,216 | ||||||
First Merchants CorporationD | 28,400 | 487,060 | ||||||
Genworth Financial, Inc. Class A* | 72,400 | 826,084 | ||||||
Global Payments, Inc.D | 24,800 | 1,148,736 | ||||||
Hanmi Financial CorporationD* | 57,000 | 1,007,190 | ||||||
HCC Insurance Holdings, Inc. | 9,200 | 396,612 | ||||||
Heartland Payment Systems, Inc.D | 51,500 | 1,918,375 | ||||||
HomeStreet, Inc. | 30,500 | 654,225 | ||||||
Huntington Bancshares, Inc.D | 332,200 | 2,617,736 | ||||||
Jack Henry & Associates, Inc.D | 41,900 | 1,974,747 | ||||||
Jones Lang LaSalle, Inc. | 21,000 | 1,913,940 | ||||||
Kennedy-Wilson Holdings, Inc. | 45,225 | 752,544 | ||||||
KKR Financial Holdings LLC | 124,900 | 1,317,695 | ||||||
Lakeland Financial Corporation | 15,200 | 421,800 | ||||||
LaSalle Hotel Properties REITD | 44,500 | 1,099,150 | ||||||
Manning & Napier, Inc. | 93,300 | 1,657,008 | ||||||
NBH Holdings Corporation PIPE+ | 30,300 | 596,910 | ||||||
Portfolio Recovery Associates, Inc.D* | 7,500 | 1,152,225 | ||||||
PrivateBancorp, Inc.D | 17,150 | 363,752 | ||||||
ProAssurance Corporation | 34,700 | 1,809,952 | ||||||
Radian Group, Inc.D | 46,700 | 542,654 |
Shares | Value | |||||||
Realogy Holdings CorporationD* | 34,700 | $ | 1,666,988 | |||||
Reinsurance Group of America, Inc. | 15,600 | 1,078,116 | ||||||
RLJ Lodging Trust REIT | 40,500 | 910,845 | ||||||
Sabra Health Care REIT, Inc. | 26,900 | 702,359 | ||||||
Safeguard Scientifics, Inc.D* | 42,400 | 680,520 | ||||||
Safety Insurance Group, Inc.D | 18,000 | 873,180 | ||||||
SEI Investments Co. | 41,400 | 1,177,002 | ||||||
SVB Financial GroupD* | 22,000 | 1,833,040 | ||||||
Taubman Centers, Inc. REIT | 23,600 | 1,773,540 | ||||||
TCP Capital Corporation | 63,800 | 1,069,926 | ||||||
Umpqua Holdings CorporationD | 92,500 | 1,388,425 | ||||||
Unum Group | 50,600 | 1,486,122 | ||||||
Waddell & Reed Financial, Inc. Class A | 40,200 | 1,748,700 | ||||||
WEX, Inc.* | 27,100 | 2,078,570 | ||||||
Wilshire Bancorp, Inc. | 230,400 | 1,525,248 | ||||||
Wintrust Financial CorporationD | 27,400 | 1,048,872 | ||||||
WisdomTree Investments, Inc.D* | 131,300 | 1,519,141 | ||||||
World Acceptance CorporationD* | 17,600 | 1,530,144 | ||||||
Zillow, Inc. Class AD* | 6,100 | 343,430 | ||||||
|
| |||||||
77,395,901 | ||||||||
|
| |||||||
Healthcare — 7.2% | ||||||||
Acadia Healthcare Co., Inc.D* | 20,700 | 684,549 | ||||||
Accretive Health, Inc.D* | 41,350 | 446,994 | ||||||
Aegerion Pharmaceuticals, Inc.D* | 4,500 | 285,030 | ||||||
Air Methods CorporationD* | 40,800 | 1,382,304 | ||||||
Align Technology, Inc.D* | 17,000 | 629,680 | ||||||
Alnylam Pharmaceuticals, Inc.* | 12,280 | 380,803 | ||||||
AVANIR Pharmaceuticals, Inc. Class AD* | 140,000 | 644,000 | ||||||
Bio-Reference Labs, Inc.D* | 28,800 | 828,000 | ||||||
BioScrip, Inc.* | 231,275 | 3,816,037 | ||||||
Brookdale Senior Living, Inc.* | 56,800 | 1,501,792 | ||||||
Celldex Therapeutics, Inc.D* | 54,900 | 856,989 | ||||||
Clovis Oncology, Inc.* | 8,400 | 562,632 | ||||||
Cooper Cos., Inc. (The)D | 6,766 | 805,492 | ||||||
Covance, Inc.D* | 7,700 | 586,278 | ||||||
Five Star Quality Care, Inc.+ | 2,086 | — | ||||||
Globus Medical, Inc. Class AD* | 37,100 | 625,506 | ||||||
Haemonetics Corporation* | 28,500 | 1,178,475 | ||||||
Health Net, Inc.* | 32,400 | 1,030,968 | ||||||
IPC The Hospitalist Co., Inc.D* | 21,600 | 1,109,376 | ||||||
Magellan Health Services, Inc.* | 12,000 | 672,960 | ||||||
Masimo CorporationD* | 48,900 | 1,036,680 | ||||||
Medidata Solutions, Inc.* | 3,600 | 278,820 | ||||||
Medivation, Inc.D* | 5,600 | 275,520 | ||||||
Meridian Bioscience, Inc.D | 21,700 | 466,550 | ||||||
Myriad Genetics, Inc.* | 25,500 | 685,185 | ||||||
Omnicare, Inc.D | 34,900 | 1,665,079 | ||||||
PDL BioPharma, Inc.D | 215,700 | 1,665,204 | ||||||
Pharmacyclics, Inc.* | 4,500 | 357,615 | ||||||
PharMerica CorporationD* | 115,300 | 1,598,058 | ||||||
Providence Service | ||||||||
Corporation (The)D* | 22,400 | 651,616 | ||||||
Sirona Dental Systems, Inc.* | 9,500 | 625,860 | ||||||
Team Health Holdings, Inc.* | 51,700 | 2,123,319 |
See Notes to Financial Statements.
142
Table of Contents
Shares | Value | |||||||
United Therapeutics CorporationD* | 38,800 | $ | 2,553,816 | |||||
US Physical Therapy, Inc.D | 32,600 | 901,064 | ||||||
Volcano CorporationD* | 22,700 | 411,551 | ||||||
WebMD Health Corporation* | 20,000 | 587,400 | ||||||
West Pharmaceutical Services, Inc. | 30,000 | 2,107,800 | ||||||
|
| |||||||
36,019,002 | ||||||||
|
| |||||||
Materials & Processing — 4.9% | ||||||||
Acuity Brands, Inc.D | 9,226 | 696,748 | ||||||
Boise, Inc.* | 57,700 | 492,758 | ||||||
Cliffs Natural Resources, Inc.D | 30,900 | 502,125 | ||||||
Domtar CorporationD | 15,100 | 1,004,150 | ||||||
Eagle Materials, Inc. | 16,549 | 1,096,702 | ||||||
Ferro Corporation* | 137,100 | 952,845 | ||||||
FutureFuel Corporation | 79,827 | 1,131,149 | ||||||
Insteel Industries, Inc.D | 54,800 | 960,096 | ||||||
Interface, Inc.D | 90,200 | 1,530,694 | ||||||
Kaiser Aluminum CorporationD | 9,600 | 594,624 | ||||||
Koppers Holdings, Inc.D | 38,500 | 1,469,930 | ||||||
Louisiana-Pacific Corporation* | 46,500 | 687,735 | ||||||
Martin Marietta Materials, Inc. | 14,400 | 1,417,248 | ||||||
OMNOVA Solutions, Inc.D* | 152,310 | 1,220,003 | ||||||
P.H. Glatfelter Co. | 33,700 | 845,870 | ||||||
Packaging Corporation of America | 37,500 | 1,836,000 | ||||||
PolyOne CorporationD | 58,175 | 1,441,576 | ||||||
RBC Bearings, Inc.D* | 16,100 | 836,395 | ||||||
Resolute Forest ProductsD* | 79,700 | 1,049,649 | ||||||
Rexnord Corporation* | 27,100 | 456,635 | ||||||
Rock-Tenn Co. Class A | 10,000 | 998,800 | ||||||
Texas Industries, Inc.D* | 15,229 | 992,017 | ||||||
Universal Stainless & Alloy Products, Inc.D* | 55,949 | 1,649,377 | ||||||
USG Corporation* | 30,900 | 712,245 | ||||||
|
| |||||||
24,575,371 | ||||||||
|
| |||||||
Producer Durables — 16.3% | ||||||||
A.O. Smith Corporation | 19,700 | 714,716 | ||||||
AAR Corporation | 29,100 | 639,618 | ||||||
ACCO Brands CorporationD* | 243,900 | 1,551,204 | ||||||
Advanced Energy Industries, Inc.D* | 32,800 | 571,048 | ||||||
Advisory Board Co. (The)* | 27,600 | 1,508,340 | ||||||
AECOM Technology CorporationD* | 78,800 | 2,505,052 | ||||||
AGCO CorporationD | 27,700 | 1,390,263 | ||||||
Alaska Air Group, Inc.* | 9,100 | 473,200 | ||||||
Albany International Corporation Class A | 48,475 | 1,598,706 | ||||||
Allegiant Travel Co.* | 13,000 | 1,377,870 | ||||||
Alliant Techsystems, Inc. | 26,900 | 2,214,677 | ||||||
Angie’s List, Inc.D* | 45,500 | 1,208,025 | ||||||
Astronics CorporationD* | 42,400 | 1,732,888 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 12,800 | 560,128 | ||||||
AZZ, Inc.D | 68,701 | 2,649,111 | ||||||
Chart Industries, Inc.D* | 16,400 | 1,543,076 | ||||||
Clean Harbors, Inc.D* | 34,700 | 1,753,391 | ||||||
Coleman Cable, Inc. | 33,300 | 601,398 | ||||||
Columbus McKinnon CorporationD* | 101,035 | 2,154,066 | ||||||
Consolidated Graphics, Inc.* | 24,300 | 1,142,343 | ||||||
Corporate Executive Board Co. (The)D | 28,900 | 1,827,058 |
Shares | Value | |||||||
CoStar Group, Inc.* | 28,557 | $ | 3,685,852 | |||||
EMCOR Group, Inc. | 76,500 | 3,109,725 | ||||||
EnerSys, Inc. | 38,100 | 1,868,424 | ||||||
EnPro Industries, Inc.D* | 13,900 | 705,564 | ||||||
Exelis, Inc. | 163,800 | 2,258,802 | ||||||
ExlService Holdings, Inc.* | 41,800 | 1,235,608 | ||||||
Genesee & Wyoming, Inc. Class A* | 30,350 | 2,574,894 | ||||||
Greenbrier Cos., Inc.D* | 61,500 | 1,498,755 | ||||||
Gulfmark Offshore, Inc. Class A | 19,000 | 856,710 | ||||||
Healthcare Services Group, Inc.D | 28,750 | 704,950 | ||||||
Heartland Express, Inc. | 34,700 | 481,289 | ||||||
Huntington Ingalls Industries, Inc. | 20,900 | 1,180,432 | ||||||
Huron Consulting Group, Inc.* | 13,672 | 632,193 | ||||||
Hyster-Yale Materials Handling, Inc. | 10,600 | 665,574 | ||||||
Lexmark International, Inc. Class AD | 38,100 | 1,164,717 | ||||||
Liquidity Services, Inc.D* | 40,600 | 1,407,602 | ||||||
MasTec, Inc.D* | 30,800 | 1,013,320 | ||||||
MAXIMUS, Inc. | 13,700 | 1,020,376 | ||||||
McGrath RentCorpD | 32,100 | 1,096,536 | ||||||
Measurement Specialties, Inc.D* | 33,400 | 1,554,102 | ||||||
Mobile Mini, Inc.* | 13,200 | 437,580 | ||||||
Monster Worldwide, Inc.D* | 145,300 | 713,423 | ||||||
Old Dominion Freight Line, Inc.* | 51,300 | 2,135,106 | ||||||
On Assignment, Inc.D* | 81,100 | 2,166,992 | ||||||
Orbital Sciences Corporation* | 52,200 | 906,714 | ||||||
Oshkosh CorporationD* | 28,500 | 1,082,145 | ||||||
Pitney Bowes, Inc.D | 80,400 | 1,180,272 | ||||||
Primoris Services Corporation | 50,400 | 993,888 | ||||||
Roadrunner Transportation Systems, Inc.D* | 19,900 | 554,016 | ||||||
Ryder System, Inc. | 11,300 | 686,927 | ||||||
Spirit Airlines, Inc.* | 25,900 | 822,843 | ||||||
Standard Parking Corporation* | 30,800 | 660,968 | ||||||
Sun Hydraulics CorporationD | 42,100 | 1,316,888 | ||||||
Thermon Group Holdings, Inc.D* | 35,200 | 718,080 | ||||||
Tidewater, Inc.D | 14,700 | 837,459 | ||||||
Tutor Perini Corporation* | 37,200 | 672,948 | ||||||
UniFirst Corporation | 3,400 | 310,250 | ||||||
URS CorporationD | 27,900 | 1,317,438 | ||||||
US Airways Group, Inc.D* | 38,900 | 638,738 | ||||||
Wabtec Corporation | 31,600 | 1,688,388 | ||||||
WageWorks, Inc.D* | 39,350 | 1,355,607 | ||||||
Watts Water Technologies, Inc. Class AD | 13,300 | 603,022 | ||||||
WESCO International, Inc.D* | 20,500 | 1,393,180 | ||||||
|
| |||||||
81,624,475 | ||||||||
|
| |||||||
Technology — 12.9% | ||||||||
Acacia Research CorporationD | 74,500 | 1,665,075 | ||||||
AOL, Inc.D* | 31,600 | 1,152,768 | ||||||
Aspen Technology, Inc.* | 34,400 | 990,376 | ||||||
Avnet, Inc.* | 20,400 | 685,440 | ||||||
Bankrate, Inc.D* | 49,700 | 713,692 | ||||||
Bazaarvoice, Inc.D* | 35,823 | 337,453 |
See Notes to Financial Statements.
143
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Bottomline Technologies, Inc.D* | 59,100 | $ | 1,494,639 | |||||
BroadSoft, Inc.D* | 23,500 | 648,600 | ||||||
CACI International, Inc. Class AD* | 16,000 | 1,015,840 | ||||||
CommVault Systems, Inc.* | 29,000 | 2,200,810 | ||||||
Computer Task Group, Inc.D | 67,500 | 1,550,475 | ||||||
comScore, Inc.* | 10,613 | 258,851 | ||||||
Cree, Inc.* | 17,300 | 1,104,778 | ||||||
Dealertrack Holdings, Inc.* | 49,200 | 1,743,156 | ||||||
DigitalGlobe, Inc.D* | 47,100 | 1,460,571 | ||||||
Ducommun, Inc.* | 30,897 | 656,870 | ||||||
Hittite Microwave CorporationD* | 21,000 | 1,218,000 | ||||||
IAC/InterActiveCorp | 23,841 | 1,133,878 | ||||||
Imperva, Inc.* | 14,300 | 644,072 | ||||||
Infoblox, Inc.* | 44,800 | 1,310,848 | ||||||
Informatica Corporation* | 29,800 | 1,042,404 | ||||||
Ingram Micro, Inc. Class A* | 95,400 | 1,811,646 | ||||||
Interactive Intelligence Group, Inc.* | 44,300 | 2,285,880 | ||||||
InterDigital, Inc. | 39,600 | 1,768,140 | ||||||
IxiaD* | 33,400 | 614,560 | ||||||
Kulicke & Soffa Industries, Inc.* | 69,600 | 769,776 | ||||||
Manhattan Associates, Inc.* | 14,500 | 1,118,820 | ||||||
Marketo, Inc.D* | 32,300 | 803,301 | ||||||
Monotype Imaging Holdings, Inc. | 40,000 | 1,016,400 | ||||||
NetSuite, Inc.* | 9,300 | 853,182 | ||||||
NIC, Inc.D* | 131,550 | 2,174,522 | ||||||
PMC-Sierra, Inc.* | 53,900 | 342,265 | ||||||
Proofpoint, Inc.* | 24,000 | 581,520 | ||||||
PROS Holdings, Inc.* | 21,350 | 639,432 | ||||||
QLIK Technologies, Inc.* | 88,400 | 2,499,068 | ||||||
RealPage, Inc.D* | 38,100 | 698,754 | ||||||
Sapient CorporationD* | 55,900 | 730,054 | ||||||
Semtech CorporationD* | 31,950 | 1,119,208 | ||||||
Skyworks Solutions, Inc.D* | 64,400 | 1,409,716 | ||||||
Solera Holdings, Inc. | 38,200 | 2,125,830 | ||||||
Sonus Networks, Inc.D* | 94,825 | 285,423 | ||||||
Sourcefire, Inc.D* | 19,600 | 1,088,780 | ||||||
Splunk, Inc.* | 21,000 | 973,560 | ||||||
SS&C Technologies Holdings, Inc.* | 36,500 | 1,200,850 | ||||||
Synchronoss Technologies, Inc.D* | 29,000 | 895,230 | ||||||
Take-Two Interactive Software, Inc.D* | 100,700 | 1,507,479 | ||||||
Tessco Technologies, Inc.D | 50,099 | 1,322,614 | ||||||
Trulia, Inc.D* | 9,300 | 289,137 | ||||||
Tyler Technologies, Inc.D* | 54,800 | 3,756,540 | ||||||
Ultimate Software Group, Inc.D* | 23,800 | 2,791,502 | ||||||
United Online, Inc.D | 116,200 | 880,796 | ||||||
Viasat, Inc.* | 7,013 | 501,149 | ||||||
Vishay Intertechnology, Inc.D* | 142,700 | 1,982,103 | ||||||
Vocera Communications, Inc.D* | 31,000 | 455,700 | ||||||
West Corporation | 27,950 | 618,813 | ||||||
|
| |||||||
64,940,346 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
Alliant Energy Corporation | 39,600 | 1,996,632 | ||||||
American Water Works Co., Inc. | 34,600 | 1,426,558 | ||||||
Cbeyond, Inc.D* | 90,900 | 712,656 |
Shares | Value | |||||||
El Paso Electric Co. | 58,400 | $ | 2,062,104 | |||||
j2 Global, Inc.D | 41,500 | 1,764,165 | ||||||
Leap Wireless International, Inc.D* | 102,200 | 687,806 | ||||||
Neutral Tandem, Inc. | 76,300 | 438,725 | ||||||
NV Energy, Inc. | 101,900 | 2,390,574 | ||||||
Pinnacle West Capital Corporation | 42,800 | 2,374,116 | ||||||
PNM Resources, Inc. | 14,700 | 326,193 | ||||||
Portland General Electric Co.D | 69,200 | 2,116,828 | ||||||
UNS Energy Corporation | 14,300 | 639,639 | ||||||
|
| |||||||
16,935,996 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Cost $342,682,155) | 398,238,203 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS — 6.0% | ||||||||
Bermuda — 3.0% | ||||||||
Aircastle, Ltd. | 49,600 | 793,104 | ||||||
AXIS Capital Holdings, Ltd.D | 49,700 | 2,275,266 | ||||||
Everest Re Group, Ltd. | 18,700 | 2,398,462 | ||||||
Helen of Troy, Ltd.* | 33,000 | 1,266,210 | ||||||
Montpelier Re Holdings, Ltd.D | 71,800 | 1,795,718 | ||||||
PartnerRe, Ltd. | 24,400 | 2,209,664 | ||||||
Platinum Underwriters Holdings, Ltd. | 6,500 | 371,930 | ||||||
RenaissanceRe Holdings, Ltd. | 21,600 | 1,874,664 | ||||||
Tower Group International, Ltd.D | 90,000 | 1,845,900 | ||||||
|
| |||||||
14,830,918 | ||||||||
|
| |||||||
British Virgin Islands — 0.2% | ||||||||
UTi Worldwide, Inc.D | 59,300 | 976,671 | ||||||
|
| |||||||
Canada — 0.2% | ||||||||
Gildan Activewear, Inc. | 8,400 | 340,284 | ||||||
Lions Gate Entertainment CorporationD* | 23,700 | 651,039 | ||||||
|
| |||||||
991,323 | ||||||||
|
| |||||||
Guernsey — 0.3% | ||||||||
Amdocs, Ltd. | 42,700 | 1,583,743 | ||||||
|
| |||||||
Ireland — 0.3% | ||||||||
ICON PLC ADR* | 18,208 | 645,109 | ||||||
Warner Chilcott PLC Class A | 38,800 | 771,344 | ||||||
|
| |||||||
1,416,453 | ||||||||
|
| |||||||
Israel — 0.4% | ||||||||
CaesarStone Sdot Yam, Ltd.* | 16,800 | 457,464 | ||||||
SodaStream International, Ltd.D* | 22,800 | 1,656,420 | ||||||
|
| |||||||
2,113,884 | ||||||||
|
| |||||||
Netherlands — 0.7% | ||||||||
AerCap Holdings NV* | 103,000 | 1,798,380 | ||||||
QIAGEN NVD* | 20,200 | 402,182 | ||||||
VistaPrint NVD* | 21,500 | 1,061,455 | ||||||
|
| |||||||
3,262,017 | ||||||||
|
| |||||||
Puerto Rico — 0.3% | ||||||||
EVERTEC, Inc.* | 51,550 | 1,132,554 | ||||||
Popular, Inc.* | 18,500 | 561,105 | ||||||
|
| |||||||
1,693,659 | ||||||||
|
| |||||||
Switzerland — 0.4% | ||||||||
Allied World Assurance Company Holdings AG | 21,100 | 1,930,861 | ||||||
|
|
See Notes to Financial Statements.
144
Table of Contents
Shares | Value | |||||||
United Kingdom — 0.2% | ||||||||
Xyratex, Ltd. | 105,881 | $ | 1,065,163 | |||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $26,075,886) | 29,864,692 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.6% |
| |||||||
iShares Russell 2000 Index FundD | ||||||||
(Cost $3,237,082) | 32,783 | 3,185,196 | ||||||
|
| |||||||
RIGHTS/WARRANTS — 0.0% | ||||||||
Asen Warrants A+@ | 25,000 | 500 | ||||||
Asen Warrants B+@ | 25,000 | 250 | ||||||
Asen Warrants C+@ | 25,000 | 500 | ||||||
|
| |||||||
Total Rights/Warrants | ||||||||
(Cost $0) | 1,250 | |||||||
|
| |||||||
MONEY MARKET FUNDS — 36.6% |
| |||||||
GuideStone Money Market Fund (GS4 Class)¥ | 30,455,033 | 30,455,033 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 153,219,311 | 153,219,311 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $183,674,344) | 183,674,344 | |||||||
|
| |||||||
Par | ||||||||
AGENCY OBLIGATIONS — 1.0% |
| |||||||
Farmer Mac Guaranteed Notes Trust | ||||||||
5.13%, 04/19/17 144A | $ | 250,000 | 284,838 | |||||
Federal Home Loan Bank | ||||||||
5.50%, 07/15/36 | 120,000 | 148,058 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
0.10%, 12/18/13 | 1,250,000 | 1,249,527 | ||||||
Federal National Mortgage Association | ||||||||
0.12%, 02/24/14 | 2,330,000 | 2,328,460 | ||||||
0.00%, 10/09/19W† | 430,000 | 361,759 | ||||||
6.25%, 05/15/29 | 110,000 | 143,385 | ||||||
6.63%, 11/15/30 | 390,000 | 530,748 | ||||||
Tennessee Valley Authority | ||||||||
5.25%, 09/15/39 | 50,000 | 56,466 | ||||||
|
| |||||||
Total Agency Obligations |
| |||||||
(Cost $5,055,528) | 5,103,241 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.3% |
| |||||||
Asset Backed Securities Corporation Home Equity Loan Trust | ||||||||
1.17%, 12/15/33† | 26,649 | 24,401 | ||||||
Asset-Backed Pass-Through Certificates | ||||||||
0.88%, 04/25/34† | 34,227 | 32,124 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.80%, 05/20/18 144A | 125,000 | 128,896 | ||||||
2.10%, 03/20/19 144A | 100,000 | 98,220 | ||||||
Bayview Financial Acquisition Trust | ||||||||
1.25%, 08/28/44† | 91,146 | 85,831 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
1.09%, 10/27/32† | 10,235 | 9,459 | ||||||
0.64%, 12/25/33† | 106,905 | 104,406 | ||||||
Education Funding Capital Trust IV | ||||||||
0.00%, 06/15/43W† | 100,000 | 89,224 |
Par | Value | |||||||
EFS Volunteer No. 2 LLC | ||||||||
0.00%, 03/25/36 144A† | $ | 100,000 | $ | 101,900 | ||||
EMC Mortgage Loan Trust | ||||||||
0.84%, 02/25/41 144A† | 41,959 | 37,810 | ||||||
Greenpoint Manufactured Housing | ||||||||
2.96%, 03/18/29† | 75,000 | 66,667 | ||||||
3.59%, 06/19/29† | 50,000 | 46,312 | ||||||
3.70%, 02/20/30† | 50,000 | 42,945 | ||||||
GSAA Home Equity Trust | ||||||||
0.46%, 07/25/37† | 163,967 | 135,335 | ||||||
KeyCorp Student Loan Trust | ||||||||
0.54%, 10/25/32† | 51,444 | 50,419 | ||||||
Lehman XS Trust | ||||||||
0.49%, 11/25/35† | 163,386 | 133,191 | ||||||
0.49%, 12/25/35† | 69,825 | 29,518 | ||||||
MASTR Specialized Loan Trust | ||||||||
0.54%, 05/25/37 144A† | 171,605 | 112,228 | ||||||
Option One Mortgage Acceptance Corporation Asset Backed Certificate | ||||||||
0.99%, 11/25/32† | 15,182 | 13,785 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
1.05%, 06/25/33† | 16,787 | 16,034 | ||||||
SASCO Mortgage Loan Trust 2005-GEL1 | ||||||||
0.74%, 12/25/34† | 131,815 | 126,269 | ||||||
SLM Student Loan Trust | ||||||||
0.70%, 09/16/24† | 100,000 | 91,072 | ||||||
SunTrust Student Loan Trust | ||||||||
0.40%, 01/30/23 144A† | 95,712 | 94,885 | ||||||
|
| |||||||
Total Asset-Backed Securities | ||||||||
(Cost $1,772,391) | 1,670,931 | |||||||
|
| |||||||
CORPORATE BONDS — 2.7% | ||||||||
AbbVie, Inc. | ||||||||
1.75%, 11/06/17 144A | 150,000 | 147,110 | ||||||
2.90%, 11/06/22 144A | 100,000 | 93,703 | ||||||
Access Midstream Partners LP | ||||||||
4.88%, 05/15/23D | 40,000 | 37,300 | ||||||
AES Corporation | ||||||||
7.75%, 10/15/15D | 17,000 | 18,828 | ||||||
8.00%, 06/01/20D | 40,000 | 45,800 | ||||||
7.38%, 07/01/21D | 10,000 | 11,025 | ||||||
Ally Financial, Inc. | ||||||||
7.50%, 09/15/20 | 90,000 | 104,063 | ||||||
American Express Co. | ||||||||
6.80%, 09/01/66† | 140,000 | 149,975 | ||||||
American International Group, Inc. | ||||||||
5.85%, 01/16/18 | 180,000 | 202,802 | ||||||
Amgen, Inc. | ||||||||
3.88%, 11/15/21 | 150,000 | 154,659 | ||||||
Apache Corporation | ||||||||
5.63%, 01/15/17 | 110,000 | 123,987 | ||||||
Apple, Inc. | ||||||||
2.40%, 05/03/23D | 90,000 | 83,652 | ||||||
Arch Coal, Inc. | ||||||||
7.00%, 06/15/19D | 70,000 | 58,625 | ||||||
AT&T, Inc. | ||||||||
5.50%, 02/01/18 | 180,000 | 206,087 | ||||||
3.88%, 08/15/21 | 30,000 | 30,996 |
See Notes to Financial Statements.
145
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
2.63%, 12/01/22 | $ | 40,000 | $ | 36,688 | ||||
6.30%, 01/15/38 | 60,000 | 66,924 | ||||||
Atwood Oceanics, Inc. | ||||||||
6.50%, 02/01/20 | 20,000 | 20,850 | ||||||
BAC Capital Trust XIV | ||||||||
4.00%, 09/29/49†D | 10,000 | 8,425 | ||||||
Baker Hughes, Inc. | ||||||||
7.50%, 11/15/18 | 60,000 | 75,638 | ||||||
Ball Corporation | ||||||||
5.00%, 03/15/22D | 70,000 | 70,000 | ||||||
4.00%, 11/15/23D | 10,000 | 9,288 | ||||||
Bank of America Corporation | ||||||||
5.42%, 03/15/17D | 60,000 | 64,312 | ||||||
3.88%, 03/22/17D | 20,000 | 20,965 | ||||||
5.75%, 12/01/17 | 200,000 | 222,493 | ||||||
3.30%, 01/11/23D | 100,000 | 94,705 | ||||||
Boeing Capital Corporation | ||||||||
4.70%, 10/27/19 | 40,000 | 45,242 | ||||||
Boeing Co. | ||||||||
4.88%, 02/15/20D | 60,000 | 68,587 | ||||||
Calpine Corporation | ||||||||
7.88%, 01/15/23 144A | 80,000 | 86,400 | ||||||
Caterpillar Financial Services Corporation | ||||||||
6.20%, 09/30/13D | 110,000 | 111,538 | ||||||
CCO Holdings LLC | ||||||||
7.00%, 01/15/19 | 70,000 | 74,550 | ||||||
6.50%, 04/30/21D | 10,000 | 10,475 | ||||||
6.63%, 01/31/22 | 10,000 | 10,475 | ||||||
Cellco Partnership | ||||||||
8.50%, 11/15/18D | 10,000 | 13,003 | ||||||
Chesapeake Energy Corporation | ||||||||
6.13%, 02/15/21D | 40,000 | 42,200 | ||||||
5.75%, 03/15/23D | 10,000 | 10,150 | ||||||
Chevron Corporation | ||||||||
3.19%, 06/24/23 | 20,000 | 19,945 | ||||||
CIT Group, Inc. | ||||||||
4.25%, 08/15/17 | 20,000 | 20,175 | ||||||
Citigroup, Inc. | ||||||||
6.00%, 12/13/13 | 110,000 | 112,568 | ||||||
6.38%, 08/12/14 | 20,000 | 21,111 | ||||||
5.00%, 09/15/14 | 170,000 | 176,720 | ||||||
5.50%, 10/15/14 | 50,000 | 52,606 | ||||||
3.95%, 06/15/16 | 70,000 | 73,836 | ||||||
6.00%, 08/15/17D | 30,000 | 33,835 | ||||||
4.50%, 01/14/22 | 90,000 | 93,931 | ||||||
3.38%, 03/01/23D | 40,000 | 38,342 | ||||||
3.50%, 05/15/23 | 110,000 | 98,996 | ||||||
6.88%, 03/05/38 | 60,000 | 72,994 | ||||||
5.35%, 04/29/49† | 30,000 | 28,251 | ||||||
5.95%, 12/29/49† | 30,000 | 29,890 | ||||||
Cliffs Natural Resources, Inc. | ||||||||
3.95%, 01/15/18D | 120,000 | 114,766 | ||||||
4.80%, 10/01/20D | 30,000 | 27,082 | ||||||
Comcast Cable Communications Holdings, Inc. | ||||||||
9.46%, 11/15/22 | 30,000 | 42,523 | ||||||
Comcast Corporation | ||||||||
6.50%, 01/15/17 | 120,000 | 139,502 | ||||||
5.15%, 03/01/20 | 20,000 | 22,898 | ||||||
3.13%, 07/15/22 | 50,000 | 48,811 |
Par | Value | |||||||
Concho Resources Inc. | ||||||||
6.50%, 01/15/22D | $ | 33,000 | $ | 35,063 | ||||
Concho Resources, Inc. | ||||||||
5.50%, 04/01/23D | 20,000 | 19,800 | ||||||
ConocoPhillips Holding Co. | ||||||||
6.95%, 04/15/29 | 60,000 | 76,620 | ||||||
CONSOL Energy, Inc. | ||||||||
6.38%, 03/01/21D | 50,000 | 50,000 | ||||||
Continental Resources, Inc. | ||||||||
5.00%, 09/15/22 | 10,000 | 10,225 | ||||||
4.50%, 04/15/23 144A | 20,000 | 19,450 | ||||||
Countrywide Financial Corporation | ||||||||
6.25%, 05/15/16D | 50,000 | 54,560 | ||||||
CSC Holdings LLC | ||||||||
6.75%, 11/15/21 | 20,000 | 21,650 | ||||||
CVS Caremark Corporation | ||||||||
2.75%, 12/01/22 | 160,000 | 149,793 | ||||||
CVS Pass-Through Trust | ||||||||
6.94%, 01/10/30 | 61,135 | 72,119 | ||||||
Daimler Finance North America LLC | ||||||||
1.88%, 01/11/18 144A | 150,000 | 146,533 | ||||||
Denbury Resources, Inc. | ||||||||
4.63%, 07/15/23 | 20,000 | 18,475 | ||||||
Devon Energy Corporation | ||||||||
3.25%, 05/15/22D | 40,000 | 38,816 | ||||||
5.60%, 07/15/41 | 70,000 | 72,794 | ||||||
Devon Financing Corporation LLC | ||||||||
7.88%, 09/30/31 | 10,000 | 12,983 | ||||||
DISH DBS Corporation | ||||||||
6.75%, 06/01/21D | 40,000 | 42,700 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.30%, 02/15/40D | 50,000 | 54,430 | ||||||
Eagle Spinco, Inc. | ||||||||
4.63%, 02/15/21 144A | 10,000 | 9,638 | ||||||
Eaton Corporation | ||||||||
1.50%, 11/02/17 144AD | 30,000 | 29,152 | ||||||
2.75%, 11/02/22 144A | 100,000 | 93,742 | ||||||
4.15%, 11/02/42 144A | 60,000 | 54,050 | ||||||
Ecolab, Inc. | ||||||||
4.35%, 12/08/21 | 20,000 | 21,152 | ||||||
Energy Future Intermediate Holding Co. LLC | ||||||||
11.75%, 03/01/22 144A | 40,000 | 44,400 | ||||||
Energy Future Intermediate Holding Co., LLC | ||||||||
10.00%, 12/01/20 | 50,000 | 55,000 | ||||||
Energy Transfer Equity LP | ||||||||
7.50%, 10/15/20 | 20,000 | 21,950 | ||||||
Enterprise Products Operating LLC | ||||||||
6.30%, 09/15/17 | 170,000 | 199,019 | ||||||
3.35%, 03/15/23 | 60,000 | 57,856 | ||||||
6.13%, 10/15/39D | 10,000 | 11,159 | ||||||
Express Scripts Holding, Co. | ||||||||
3.50%, 11/15/16 | 150,000 | 159,357 | ||||||
First Data Corporation | ||||||||
7.38%, 06/15/19 144AD | 70,000 | 72,275 | ||||||
FirstEnergy Corporation | ||||||||
2.75%, 03/15/18 | 20,000 | 19,492 | ||||||
4.25%, 03/15/23D | 150,000 | 139,638 | ||||||
7.38%, 11/15/31 | 100,000 | 105,729 |
See Notes to Financial Statements.
146
Table of Contents
Par | Value | |||||||
Ford Motor Co. | ||||||||
4.75%, 01/15/43 | $ | 80,000 | $ | 70,767 | ||||
Ford Motor Credit Co. LLC | ||||||||
12.00%, 05/15/15 | 140,000 | 166,135 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
3.10%, 03/15/20 144A | 20,000 | 18,514 | ||||||
3.55%, 03/01/22 | 185,000 | 168,352 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
6.88%, 07/15/17 | 40,000 | 43,600 | ||||||
General Electric Capital Corporation | ||||||||
1.63%, 07/02/15D | 30,000 | 30,366 | ||||||
6.00%, 08/07/19 | 260,000 | 302,235 | ||||||
4.63%, 01/07/21D | 30,000 | 32,103 | ||||||
6.38%, 11/15/67†D | 180,000 | 187,650 | ||||||
General Electric Co. | ||||||||
0.85%, 10/09/15 | 30,000 | 29,988 | ||||||
General Motors Financial Co., Inc. | ||||||||
2.75%, 05/15/16 144AD | 20,000 | 19,713 | ||||||
3.25%, 05/15/18 144A | 20,000 | 19,500 | ||||||
4.25%, 05/15/23 144A | 20,000 | 18,675 | ||||||
Goldman Sachs Capital II | ||||||||
4.00%, 06/01/43†D | 10,000 | 7,975 | ||||||
Goldman Sachs Group, Inc. | ||||||||
5.25%, 10/15/13 | 20,000 | 20,248 | ||||||
6.00%, 05/01/14 | 10,000 | 10,418 | ||||||
3.30%, 05/03/15D | 100,000 | 103,118 | ||||||
5.95%, 01/18/18 | 100,000 | 111,996 | ||||||
6.00%, 06/15/20D | 40,000 | 45,010 | ||||||
5.25%, 07/27/21 | 10,000 | 10,717 | ||||||
3.63%, 01/22/23D | 90,000 | 86,281 | ||||||
6.25%, 02/01/41 | 130,000 | 147,541 | ||||||
Hawk Acquisition Sub, Inc. | ||||||||
4.25%, 10/15/20 144AD | 40,000 | 38,350 | ||||||
Hess Corporation | ||||||||
8.13%, 02/15/19 | 80,000 | 100,396 | ||||||
HSBC Finance Corporation | ||||||||
6.68%, 01/15/21 | 200,000 | 221,440 | ||||||
Humana, Inc. | ||||||||
7.20%, 06/15/18D | 60,000 | 71,548 | ||||||
3.15%, 12/01/22 | 80,000 | 74,391 | ||||||
Hyundai Capital America | ||||||||
2.13%, 10/02/17 144A | 20,000 | 19,355 | ||||||
ING US, Inc. | ||||||||
2.90%, 02/15/18 144A | 10,000 | 10,061 | ||||||
International Lease Finance Corporation | ||||||||
6.50%, 09/01/14 144A | 30,000 | 31,350 | ||||||
6.75%, 09/01/16 144A | 140,000 | 151,900 | ||||||
JPMorgan Chase & Co. | ||||||||
1.10%, 10/15/15 | 110,000 | 109,390 | ||||||
6.13%, 06/27/17 | 200,000 | 225,804 | ||||||
4.40%, 07/22/20 | 60,000 | 62,839 | ||||||
4.25%, 10/15/20 | 40,000 | 41,643 | ||||||
4.35%, 08/15/21D | 10,000 | 10,435 | ||||||
4.50%, 01/24/22 | 100,000 | 104,898 | ||||||
3.38%, 05/01/23D | 80,000 | 74,646 | ||||||
Kerr-McGee Corporation | ||||||||
6.95%, 07/01/24 | 120,000 | 143,739 | ||||||
Key Energy Services, Inc. | ||||||||
6.75%, 03/01/21 | 60,000 | 57,900 |
Par | Value | |||||||
Kinder Morgan Energy Partners LP | ||||||||
6.00%, 02/01/17D | $ | 70,000 | $ | 78,903 | ||||
Kinder Morgan Finance Co. LLC | ||||||||
6.00%, 01/15/18 144A | 140,000 | 147,686 | ||||||
Kraft Foods Group, Inc. | ||||||||
5.38%, 02/10/20 | 62,000 | 70,033 | ||||||
3.50%, 06/06/22 | 60,000 | 59,530 | ||||||
Lehman Escrow Bonds | ||||||||
0.00%, 07/19/17+W†# | 160,000 | — | ||||||
6.75%, 12/28/17+W†# | 120,000 | — | ||||||
0.00%, 08/19/45+W†# | 50,000 | — | ||||||
0.00%, 11/30/49+W†# | 10,000 | — | ||||||
M&T Bank Corporation | ||||||||
6.88%, 12/29/49 144A | 120,000 | 124,959 | ||||||
MarkWest Energy Partners LP | ||||||||
6.25%, 06/15/22 | 8,000 | 8,280 | ||||||
5.50%, 02/15/23 | 20,000 | 19,800 | ||||||
4.50%, 07/15/23 | 20,000 | 18,400 | ||||||
Medtronic, Inc. | ||||||||
4.45%, 03/15/20 | 40,000 | 43,614 | ||||||
MetLife, Inc. | ||||||||
6.75%, 06/01/16 | 50,000 | 57,265 | ||||||
6.40%, 12/15/66 | 160,000 | 164,600 | ||||||
Michaels Stores, Inc. | ||||||||
7.75%, 11/01/18 | 20,000 | 21,500 | ||||||
Mondelez International, Inc. | ||||||||
5.38%, 02/10/20 | 58,000 | 65,147 | ||||||
Morgan Stanley | ||||||||
4.75%, 03/22/17 | 10,000 | 10,616 | ||||||
Nationstar Mortgage LLC | ||||||||
6.50%, 07/01/21 | 20,000 | 19,300 | ||||||
Noble Energy, Inc. | ||||||||
4.15%, 12/15/21 | 90,000 | 93,091 | ||||||
NVR, Inc. | ||||||||
3.95%, 09/15/22 | 10,000 | 9,741 | ||||||
Occidental Petroleum Corporation | ||||||||
3.13%, 02/15/22 | 50,000 | 48,530 | ||||||
2.70%, 02/15/23D | 30,000 | 27,744 | ||||||
Oracle Corporation | ||||||||
1.20%, 10/15/17 | 20,000 | 19,445 | ||||||
Pacific Gas & Electric Co. | ||||||||
5.63%, 11/30/17 | 30,000 | 34,707 | ||||||
6.05%, 03/01/34 | 80,000 | 93,564 | ||||||
Peabody Energy Corporation | ||||||||
6.25%, 11/15/21D | 60,000 | 58,200 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.63%, 06/15/35 | 90,000 | 94,950 | ||||||
PepsiCo, Inc. | ||||||||
0.70%, 08/13/15D | 70,000 | 70,019 | ||||||
7.90%, 11/01/18 | 13,000 | 16,670 | ||||||
Pfizer, Inc. | ||||||||
6.20%, 03/15/19 | 70,000 | 84,513 | ||||||
Progress Energy, Inc. | ||||||||
3.15%, 04/01/22 | 40,000 | 38,387 | ||||||
QEP Resources, Inc. | ||||||||
5.25%, 05/01/23 | 10,000 | 9,800 | ||||||
Range Resources Corporation | ||||||||
5.75%, 06/01/21 | 60,000 | 62,100 | ||||||
Raytheon Co. | ||||||||
3.13%, 10/15/20 | 30,000 | 30,237 |
See Notes to Financial Statements.
147
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Regency Energy Partners LP | ||||||||
6.50%, 07/15/21D | $ | 42,000 | $ | 44,100 | ||||
4.50%, 11/01/23 144A | 10,000 | 9,075 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
5.75%, 10/15/20D | 70,000 | 70,700 | ||||||
Roche Holdings, Inc. | ||||||||
6.00%, 03/01/19 144AD | 50,000 | 59,772 | ||||||
Rock Tenn Co. | ||||||||
3.50%, 03/01/20 | 30,000 | 29,399 | ||||||
4.00%, 03/01/23 | 20,000 | 19,309 | ||||||
Safeway, Inc. | ||||||||
4.75%, 12/01/21D | 10,000 | 10,206 | ||||||
SLM Corporation | ||||||||
3.88%, 09/10/15 | 70,000 | 70,879 | ||||||
8.00%, 03/25/20 | 40,000 | 43,450 | ||||||
Southern Copper Corporation | ||||||||
5.25%, 11/08/42 | 100,000 | 82,558 | ||||||
Sprint Nextel Corporation | ||||||||
7.00%, 08/15/20D | 120,000 | 127,200 | ||||||
State Street Corporation | ||||||||
4.96%, 03/15/18 | 110,000 | 121,320 | ||||||
3.10%, 05/15/23 | 70,000 | 65,704 | ||||||
Superior Energy Services, Inc. | ||||||||
7.13%, 12/15/21 | 10,000 | 10,850 | ||||||
Taylor Morrison Communities, Inc. | ||||||||
7.75%, 04/15/20 144AD | 24,000 | 25,980 | ||||||
5.25%, 04/15/21 144A | 20,000 | 19,050 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/39 144A | 60,000 | 73,522 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.60%, 08/15/21 | 20,000 | 19,649 | ||||||
Time Warner Cable, Inc. | ||||||||
8.25%, 04/01/19 | 40,000 | 48,216 | ||||||
5.00%, 02/01/20D | 110,000 | 114,988 | ||||||
4.13%, 02/15/21D | 70,000 | 68,748 | ||||||
5.88%, 11/15/40 | 50,000 | 45,951 | ||||||
Time Warner, Inc. | ||||||||
4.70%, 01/15/21 | 30,000 | 32,154 | ||||||
6.25%, 03/29/41 | 10,000 | 11,072 | ||||||
Toyota Motor Credit Corporation | ||||||||
1.25%, 10/05/17 | 40,000 | 38,881 | ||||||
tw telecom holdings, Inc. | ||||||||
5.38%, 10/01/22 | 20,000 | 19,950 | ||||||
United Airline 2009-2A Pass Through Trust | ||||||||
9.75%, 07/15/18 | 35,562 | 40,896 | ||||||
UnitedHealth Group, Inc. | ||||||||
1.63%, 03/15/19 | 50,000 | 48,395 | ||||||
Univision Communications, Inc. | ||||||||
6.75%, 09/15/22 144A | 40,000 | 42,200 | ||||||
5.13%, 05/15/23 144AD | 20,000 | 19,000 | ||||||
Verizon Communications, Inc. | ||||||||
8.75%, 11/01/18 | 8,000 | 10,438 | ||||||
6.35%, 04/01/19 | 10,000 | 11,878 | ||||||
3.50%, 11/01/21 | 30,000 | 30,186 | ||||||
6.00%, 04/01/41 | 20,000 | 22,519 | ||||||
3.85%, 11/01/42D | 20,000 | 16,662 | ||||||
Virginia Electric and Power Co. | ||||||||
2.95%, 01/15/22D | 40,000 | 39,543 | ||||||
Wachovia Capital Trust III | ||||||||
5.57%, 03/29/49† | 40,000 | 39,300 |
Par | Value | |||||||
Wachovia Corporation | ||||||||
5.63%, 10/15/16D | $ | 270,000 | $ | 303,701 | ||||
Wal-Mart Stores, Inc. | ||||||||
6.50%, 08/15/37 | 140,000 | 177,498 | ||||||
Waste Management, Inc. | ||||||||
7.38%, 05/15/29 | 20,000 | 24,852 | ||||||
WellPoint, Inc. | ||||||||
1.25%, 09/10/15 | 20,000 | 20,044 | ||||||
5.88%, 06/15/17 | 110,000 | 125,089 | ||||||
Wells Fargo & Co. | ||||||||
3.68%, 06/15/16 STEP | 50,000 | 53,458 | ||||||
2.10%, 05/08/17D | 20,000 | 20,090 | ||||||
1.50%, 01/16/18 | 170,000 | 165,986 | ||||||
4.60%, 04/01/21 | 10,000 | 10,915 | ||||||
3.45%, 02/13/23D | 120,000 | 114,836 | ||||||
Williams Cos., Inc. | ||||||||
7.88%, 09/01/21 | 24,000 | 29,017 | ||||||
7.50%, 01/15/31 | 15,000 | 17,133 | ||||||
7.75%, 06/15/31D | 24,000 | 28,103 | ||||||
8.75%, 03/15/32 | 5,000 | 6,359 | ||||||
Williams Partners LP | ||||||||
5.25%, 03/15/20 | 20,000 | 21,525 | ||||||
WPX Energy, Inc. | ||||||||
6.00%, 01/15/22 | 20,000 | 20,300 | ||||||
Wyeth LLC | ||||||||
5.95%, 04/01/37 | 10,000 | 11,773 | ||||||
|
| |||||||
Total Corporate Bonds | ||||||||
(Cost $13,177,483) | 13,546,619 | |||||||
|
| |||||||
FOREIGN BONDS — 1.2% | ||||||||
Australia — 0.1% | ||||||||
BHP Billiton Finance (USA), Ltd. | ||||||||
6.50%, 04/01/19 | 110,000 | 131,855 | ||||||
3.25%, 11/21/21D | 10,000 | 9,796 | ||||||
Commonwealth Bank of Australia | ||||||||
3.75%, 10/15/14 144A | 60,000 | 62,341 | ||||||
5.00%, 10/15/19 144A | 20,000 | 22,411 | ||||||
FMG Resources August 2006 Proprietary, Ltd. | ||||||||
7.00%, 11/01/15 144AD | 20,000 | 20,300 | ||||||
8.25%, 11/01/19 144AD | 50,000 | 51,750 | ||||||
Rio Tinto Finance (USA), Ltd. | ||||||||
9.00%, 05/01/19 | 90,000 | 117,057 | ||||||
|
| |||||||
415,510 | ||||||||
|
| |||||||
Canada — 0.3% | ||||||||
Anadarko Finance Co. | ||||||||
7.50%, 05/01/31 | 60,000 | 75,001 | ||||||
Barrick Gold Corporation | ||||||||
6.95%, 04/01/19 | 100,000 | 106,201 | ||||||
3.85%, 04/01/22D | 70,000 | 59,005 | ||||||
4.10%, 05/01/23 144A | 80,000 | 66,966 | ||||||
Hydro Quebec | ||||||||
1.38%, 06/19/17D | 240,000 | 239,414 | ||||||
Potash Corporation of Saskatchewan, Inc. | ||||||||
4.88%, 03/30/20 | 20,000 | 22,165 | ||||||
Province of British Columbia | ||||||||
2.00%, 10/23/22D | 120,000 | 110,559 | ||||||
Province of Ontario | ||||||||
1.10%, 10/25/17D | 220,000 | 214,857 | ||||||
1.20%, 02/14/18D | 210,000 | 204,378 | ||||||
4.40%, 04/14/20D | 160,000 | 177,671 |
See Notes to Financial Statements.
148
Table of Contents
Par | Value | |||||||
Province of Quebec | ||||||||
2.63%, 02/13/23D | $ | 150,000 | $ | 140,980 | ||||
Xstrata Finance Canada, Ltd. | ||||||||
2.05%, 10/23/15 144A | 60,000 | 60,053 | ||||||
2.70%, 10/25/17 144A | 120,000 | 116,492 | ||||||
|
| |||||||
1,593,742 | ||||||||
|
| |||||||
Cayman Islands — 0.1% | ||||||||
Petrobras International Finance Co. | ||||||||
3.88%, 01/27/16D | 50,000 | 51,692 | ||||||
6.13%, 10/06/16D | 40,000 | 43,928 | ||||||
5.75%, 01/20/20 | 32,000 | 33,452 | ||||||
5.38%, 01/27/21D | 150,000 | 151,454 | ||||||
Transocean, Inc. | ||||||||
5.05%, 12/15/16 | 10,000 | 10,883 | ||||||
6.38%, 12/15/21 | 10,000 | 11,258 | ||||||
Vale Overseas, Ltd. | ||||||||
4.38%, 01/11/22D | 195,000 | 186,193 | ||||||
6.88%, 11/21/36D | 60,000 | 61,049 | ||||||
|
| |||||||
549,909 | ||||||||
|
| |||||||
Chile — 0.0% | ||||||||
Celulosa Arauco y Constitucion SA | ||||||||
4.75%, 01/11/22D | 40,000 | 39,928 | ||||||
|
| |||||||
France — 0.1% | ||||||||
BNP Paribas SA | ||||||||
2.38%, 09/14/17D | 210,000 | 208,106 | ||||||
Credit Agricole SA | ||||||||
8.38%, 10/29/49 144A†D | 120,000 | 127,650 | ||||||
|
| |||||||
335,756 | ||||||||
|
| |||||||
Iceland — 0.0% | ||||||||
Glitnir Banki HF | ||||||||
6.69%, 06/15/16+ 144A# | 130,000 | 1 | ||||||
|
| |||||||
Japan — 0.1% | ||||||||
Softbank Corporation | ||||||||
4.50%, 04/15/20 144A | 200,000 | 192,800 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
3.15%, 07/22/15 144A | 100,000 | 104,218 | ||||||
|
| |||||||
297,018 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
UBM PLC | ||||||||
5.75%, 11/03/20 144A | 30,000 | 30,457 | ||||||
|
| |||||||
Luxembourg — 0.0% | ||||||||
ArcelorMittal | ||||||||
5.00%, 02/25/17 | 10,000 | 10,175 | ||||||
Intelsat Jackson Holdings SA | ||||||||
7.50%, 04/01/21 | 10,000 | 10,550 | ||||||
5.50%, 08/01/23 144A | 100,000 | 94,500 | ||||||
|
| |||||||
115,225 | ||||||||
|
| |||||||
Mexico — 0.2% | ||||||||
America Movil SAB de CV | ||||||||
5.63%, 11/15/17D | 30,000 | 34,204 | ||||||
Mexican Bonos | ||||||||
8.00%, 06/11/20(M) | 2,670,000 | 236,100 | ||||||
6.50%, 06/09/22(M) | 5,828,000 | 475,009 | ||||||
Mexico Government International Bond | ||||||||
6.05%, 01/11/40D | 10,000 | 10,950 |
Par | Value | |||||||
4.75%, 03/08/44 | $ | 50,000 | $ | 44,750 | ||||
Petroleos Mexicanos | ||||||||
3.50%, 01/30/23 144A | 156,000 | 144,300 | ||||||
|
| |||||||
945,313 | ||||||||
|
| |||||||
Netherlands — 0.2% | ||||||||
Achmea Hypotheekbank NV | ||||||||
3.20%, 11/03/14 144A | 370,000 | 384,186 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
3.38%, 01/19/17D | 250,000 | 262,777 | ||||||
Deutsche Telekom International Finance BV | ||||||||
5.75%, 03/23/16 | 75,000 | 83,428 | ||||||
Petrobras Global Finance BV | ||||||||
4.38%, 05/20/23D | 60,000 | 55,641 | ||||||
Shell International Finance BV | ||||||||
4.38%, 03/25/20D | 90,000 | 100,191 | ||||||
|
| |||||||
886,223 | ||||||||
|
| |||||||
Spain — 0.0% | ||||||||
BBVA US Senior SA Unipersonal | ||||||||
3.25%, 05/16/14D | 100,000 | 100,919 | ||||||
Santander US Debt SA Unipersonal | ||||||||
3.72%, 01/20/15 144A | 100,000 | 100,974 | ||||||
Telefonica Emisiones SA Unipersonal | ||||||||
5.88%, 07/15/19 | 30,000 | 32,461 | ||||||
|
| |||||||
234,354 | ||||||||
|
| |||||||
Switzerland — 0.0% | ||||||||
UBS AG | ||||||||
5.75%, 04/25/18D | 120,000 | 138,822 | ||||||
|
| |||||||
United Kingdom — 0.1% | ||||||||
BP Capital Markets PLC | ||||||||
5.25%, 11/07/13 | 90,000 | 91,505 | ||||||
3.88%, 03/10/15D | 30,000 | 31,522 | ||||||
3.56%, 11/01/21D | 10,000 | 10,001 | ||||||
3.25%, 05/06/22 | 50,000 | 48,616 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.85%, 05/08/22 | 50,000 | 48,086 | ||||||
Lloyds TSB Bank PLC | ||||||||
6.50%, 09/14/20 144AD | 100,000 | 106,765 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
2.55%, 09/18/15D | 10,000 | 10,173 | ||||||
4.70%, 07/03/18D | 10,000 | 9,715 | ||||||
6.10%, 06/10/23D | 60,000 | 57,026 | ||||||
7.65%, 08/29/49†D | 10,000 | 9,250 | ||||||
WPP Finance UK | ||||||||
8.00%, 09/15/14 | 100,000 | 107,953 | ||||||
|
| |||||||
530,612 | ||||||||
|
| |||||||
Total Foreign Bonds | ||||||||
(Cost $6,241,591) | 6,112,870 | |||||||
|
| |||||||
MORTGAGE-BACKED | ||||||||
Alternative Loan Trust | ||||||||
0.43%, 07/25/35† | 153,888 | 117,377 | ||||||
0.45%, 07/25/35† | 197,686 | 163,913 | ||||||
American Home Mortgage Investment Trust | ||||||||
0.89%, 04/25/44† | 31,954 | 29,709 | ||||||
0.48%, 11/25/45† | 158,238 | 128,958 |
See Notes to Financial Statements.
149
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Banc of America Commercial Mortgage Trust | ||||||||
5.42%, 09/10/45† | $ | 17,000 | $ | 18,261 | ||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
2.78%, 02/25/35† | 59,390 | 50,302 | ||||||
Bear Stearns Mortgage Funding Trust | ||||||||
0.40%, 12/25/46† | 92,064 | 11,734 | ||||||
CD 2006-CD2 Mortgage Trust | ||||||||
5.53%, 01/15/46† | 30,000 | 32,085 | ||||||
COBALT CMBS Commercial Mortgage Trust | ||||||||
5.53%, 04/15/47† | 25,000 | 27,476 | ||||||
Commercial Mortgage Lease-Backed Certificates | ||||||||
6.75%, 06/20/31 144A | 125,477 | 131,118 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
2.82%, 11/15/45 | 20,000 | 18,573 | ||||||
5.62%, 01/15/49† | 60,000 | 63,738 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
6.00%, 10/25/35 | 89,431 | 56,384 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
4.00%, 10/01/25 | 337,362 | 353,600 | ||||||
2.73%, 05/01/37† | 7,720 | 8,241 | ||||||
5.50%, 12/01/38 | 124,245 | 133,477 | ||||||
6.00%, 11/01/39 | 215,525 | 233,710 | ||||||
4.00%, 10/01/42 | 98,288 | 103,030 | ||||||
3.50%, 11/01/42 | 98,914 | 99,210 | ||||||
3.50%, 01/01/43 | 99,196 | 99,492 | ||||||
3.50%, 05/01/43 | 99,113 | 100,704 | ||||||
4.00%, 05/01/43 | 99,867 | 105,438 | ||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||
0.00%, 09/15/31 IOW† | 715,510 | 90,682 | ||||||
6.00%, 05/15/36 | 152,797 | 165,984 | ||||||
0.00%, 04/15/39 IOW† | 93,905 | 19,260 | ||||||
0.00%, 01/15/40 IOW† | 74,692 | 9,928 | ||||||
0.00%, 10/15/41 IOW† | 272,657 | 68,455 | ||||||
0.00%, 10/15/42 IOW† | 95,216 | 23,971 | ||||||
Federal National Mortgage Association | ||||||||
2.50%, 07/01/27 TBA | 1,400,000 | 1,408,094 | ||||||
4.50%, 05/01/31 | 61,676 | 66,028 | ||||||
6.00%, 04/01/33 | 21,083 | 23,225 | ||||||
5.00%, 07/01/33 | 21,283 | 23,025 | ||||||
5.00%, 09/01/33 | 22,231 | 24,050 | ||||||
6.00%, 02/01/34 | 7,570 | 8,445 | ||||||
2.74%, 09/01/35† | 54,175 | 57,845 | ||||||
5.00%, 10/01/35 | 43,734 | 47,313 | ||||||
6.00%, 11/01/35 | 46,706 | 51,449 | ||||||
7.00%, 04/01/37 | 61,340 | 69,613 | ||||||
6.00%, 08/01/37 | 79,598 | 88,794 | ||||||
6.50%, 11/01/37 | 62,727 | 70,557 | ||||||
5.50%, 08/01/38 | 51,324 | 56,556 | ||||||
7.00%, 02/01/39 | 270,488 | 302,258 | ||||||
4.00%, 07/13/39 TBA | 700,000 | 729,230 | ||||||
4.50%, 07/13/40 TBA | 600,000 | 634,875 | ||||||
4.50%, 06/01/41 | 179,677 | 190,370 | ||||||
3.50%, 07/01/41 TBA | 1,800,000 | 1,827,281 | ||||||
4.00%, 09/01/41 | 484,834 | 506,854 |
Par | Value | |||||||
4.50%, 09/01/41 | $ | 91,615 | $ | 97,067 | ||||
4.00%, 11/01/41 | 114,129 | 119,062 | ||||||
4.00%, 04/01/42 | 285,007 | 299,485 | ||||||
4.00%, 06/01/42 | 91,334 | 95,473 | ||||||
3.00%, 07/01/42 TBA | 1,500,000 | 1,465,547 | ||||||
3.00%, 09/01/42 | 481,789 | 471,452 | ||||||
4.00%, 09/01/42 | 98,640 | 103,597 | ||||||
3.50%, 10/01/42 | 293,861 | 295,147 | ||||||
4.00%, 12/01/42 | 192,931 | 203,703 | ||||||
4.00%, 01/01/43 | 99,006 | 104,198 | ||||||
3.50%, 03/01/43 | 396,364 | 397,496 | ||||||
3.50%, 04/01/43 | 198,871 | 199,440 | ||||||
4.00%, 05/01/43 | 99,502 | 104,491 | ||||||
4.00%, 06/01/43 | 199,886 | 210,097 | ||||||
2.50%, 07/01/43 TBA | 100,000 | 92,906 | ||||||
4.00%, 07/01/43 | 200,000 | 210,531 | ||||||
Federal National Mortgage Association Interest STRIP | ||||||||
0.00%, 04/25/27 IOW† | 156,882 | 18,911 | ||||||
0.00%, 11/25/39 IOW† | 61,096 | 7,114 | ||||||
0.00%, 11/25/41 IOW† | 69,438 | 8,820 | ||||||
0.00%, 04/25/42 IOW† | 142,728 | 17,268 | ||||||
Federal National Mortgage Association REMIC | ||||||||
0.00%, 06/25/27 IOW† | 362,867 | 43,392 | ||||||
0.00%, 03/25/39 IOW† | 94,137 | 20,481 | ||||||
6.50%, 06/25/39 | 84,903 | 94,673 | ||||||
0.00%, 12/25/39 IOW† | 21,968 | 3,202 | ||||||
0.00%, 04/25/40 IOW† | 257,130 | 57,161 | ||||||
0.00%, 10/25/40 IOW† | 40,194 | 4,626 | ||||||
0.00%, 12/25/40 IOW† | 77,861 | 7,851 | ||||||
0.00%, 01/25/41 IOW† | 51,686 | 8,559 | ||||||
0.00%, 07/25/41 IOW† | 192,741 | 23,234 | ||||||
5.50%, 07/25/41 | 111,600 | 125,169 | ||||||
0.00%, 09/25/41 IOW† | 163,785 | 26,856 | ||||||
0.00%, 10/25/41 IOW† | 198,925 | 32,463 | ||||||
0.00%, 03/25/42 IOW† | 95,645 | 16,903 | ||||||
5.50%, 04/25/42 | 300,000 | 328,860 | ||||||
6.00%, 05/25/42 | 173,464 | 191,816 | ||||||
7.00%, 05/25/42 | 156,217 | 175,233 | ||||||
0.00%, 06/25/42 IOW† | 232,969 | 42,051 | ||||||
6.50%, 07/25/42 | 300,000 | 339,946 | ||||||
0.00%, 12/25/42 IOW† | 97,088 | 24,694 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
0.00%, 01/25/20 IOW† | 212,139 | 11,669 | ||||||
0.00%, 04/25/20 IOW† | 713,086 | 44,124 | ||||||
0.00%, 06/25/20 IOW† | 659,430 | 57,351 | ||||||
0.00%, 08/25/20 IOW† | 203,387 | 15,453 | ||||||
0.00%, 06/25/21 IOW† | 270,757 | 21,055 | ||||||
0.00%, 07/25/21 IOW† | 207,459 | 21,516 | ||||||
0.00%, 10/25/21 IOW† | 183,065 | 18,681 | ||||||
0.00%, 12/25/21 IOW† | 108,664 | 10,124 | ||||||
0.00%, 09/25/22 IOW† | 109,751 | 7,000 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
2.35%, 02/25/36† | 134,053 | 94,163 | ||||||
0.56%, 02/25/37† | 57,833 | 35,579 | ||||||
Government National Mortgage Association | ||||||||
0.00%, 12/16/36 IOW† | 53,056 | 7,358 | ||||||
0.00%, 05/20/37 IOW† | 59,931 | 8,475 | ||||||
6.50%, 10/20/37 | 48,577 | 54,678 | ||||||
0.00%, 02/20/38 IOW† | 465,358 | 73,287 | ||||||
6.00%, 07/20/38 | 60,757 | 67,247 |
See Notes to Financial Statements.
150
Table of Contents
Par | Value | |||||||
6.00%, 09/20/38 | $ | 393,157 | $ | 434,759 | ||||
0.00%, 11/20/38 IOW† | 86,974 | 11,997 | ||||||
5.00%, 01/15/40 | 316,064 | 347,186 | ||||||
0.00%, 01/20/40 IOW† | 59,720 | 12,693 | ||||||
4.50%, 01/20/40 | 58,106 | 62,717 | ||||||
4.50%, 05/20/40 | 60,545 | 65,195 | ||||||
0.00%, 09/20/40 IOW† | 106,055 | 17,300 | ||||||
6.00%, 10/20/40 | 46,273 | 51,484 | ||||||
4.50%, 01/20/41 | 64,355 | 69,368 | ||||||
4.50%, 03/20/41 | 357,040 | 384,841 | ||||||
4.50%, 07/20/41 | 62,385 | 66,871 | ||||||
3.50%, 07/01/42 TBA | 800,000 | 820,859 | ||||||
3.00%, 07/19/42 TBA | 100,000 | 98,859 | ||||||
1.34%, 11/20/59† | 278,960 | 285,217 | ||||||
1.19%, 05/20/60† | 154,683 | 157,418 | ||||||
0.70%, 01/20/61† | 213,488 | 213,103 | ||||||
0.65%, 02/20/61† | 219,234 | 218,299 | ||||||
0.70%, 03/20/61† | 90,478 | 90,307 | ||||||
Granite Mortgages PLC | ||||||||
0.78%, 07/20/43† | 19,943 | 19,622 | ||||||
GreenPoint Mortgage Funding Trust | ||||||||
0.45%, 10/25/45† | 40,677 | 33,399 | ||||||
GS Mortgage Securities Corporation Trust | ||||||||
3.55%, 04/10/34 144A | 26,000 | 25,600 | ||||||
GS Mortgage Securities Trust | ||||||||
5.98%, 08/10/45† | 40,000 | 44,574 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
0.54%, 03/25/35 144A† | 25,869 | 21,988 | ||||||
0.54%, 09/25/35 144A† | 79,742 | 66,061 | ||||||
HarborView Mortgage Loan Trust | ||||||||
0.43%, 06/19/35† | 190,547 | 156,339 | ||||||
Homestar Mortgage Acceptance Corporation | ||||||||
0.64%, 07/25/34† | 70,962 | 69,792 | ||||||
Impac CMB Trust | ||||||||
0.99%, 03/25/33† | 13,939 | 13,566 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
5.44%, 05/15/45 | 26,000 | 28,368 | ||||||
6.08%, 02/12/51† | 10,000 | 11,227 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
6.42%, 09/15/45† | 40,000 | 44,904 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
0.98%, 12/25/46† | 202,997 | 107,626 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
5.07%, 05/25/34† | 14,872 | 14,621 | ||||||
Merrill Lynch-Countrywide Financial Corporation Commercial Mortgage Trust | ||||||||
5.20%, 12/12/49† | 50,000 | 53,803 | ||||||
5.49%, 03/12/51† | 160,000 | 177,032 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
4.89%, 08/15/45 IO 144AW† | 138,447 | 14,281 | ||||||
3.46%, 05/15/46 | 50,000 | 46,865 | ||||||
Morgan Stanley Capital I Trust | ||||||||
5.69%, 04/15/49† | 100,000 | 111,352 |
Par | Value | |||||||
RBSSP Resecuritization Trust | ||||||||
3.37%, 12/26/35 144A† | $ | 23,082 | $ | 23,664 | ||||
Residential Accredit Loans, Inc. | ||||||||
3.31%, 12/26/34† | 196,191 | 159,330 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.61%, 11/25/34† | 62,593 | 58,439 | ||||||
Structured Asset Securities Corporation Mortgage Loan Trust | ||||||||
0.49%, 10/25/27† | 17,236 | 16,894 | ||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
3.32%, 12/10/45 144A | 25,000 | 23,523 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
5.34%, 12/15/43 | 30,000 | 33,296 | ||||||
5.38%, 12/15/43 | 10,000 | 10,542 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||
2.47%, 02/25/33† | 23,307 | 22,730 | ||||||
2.50%, 10/25/33† | 66,089 | 66,349 | ||||||
2.44%, 01/25/35† | 81,667 | 81,823 | ||||||
2.38%, 11/25/36† | 151,879 | 124,482 | ||||||
0.51%, 08/25/45† | 103,385 | 92,887 | ||||||
Wells Fargo Mortgage Loan Trust | ||||||||
3.10%, 08/27/35 144A† | 65,520 | 66,911 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
2.72%, 04/25/36† | 50,467 | 47,137 | ||||||
WF-RBS Commercial Mortgage Trust | ||||||||
0.00%, 06/15/45 IO 144AW† | 78,871 | 8,012 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $21,365,626) | 20,592,919 | |||||||
|
| |||||||
MUNICIPAL BOND — 0.0% | ||||||||
Northstar Education Finance, Inc., Revenue Bond 0.68%, 01/29/46† (Cost $62,566) | 75,000 | 68,628 | ||||||
|
| |||||||
Number of Contracts | ||||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
U.S. Dollars vs. Euro, Strike Price $1.30, Expires 07/15/13 (MLCS) (Cost $12,582) | 10,800 | 6,121 | ||||||
|
| |||||||
Par | ||||||||
U.S. TREASURY | ||||||||
U.S. Treasury Bonds | ||||||||
2.75%, 08/15/42 | $ | 1,350,000 | 1,165,534 | |||||
2.75%, 11/15/42 | 242,700 | 209,310 | ||||||
3.13%, 02/15/43 | 460,000 | 429,489 | ||||||
2.88%, 05/15/43 | 1,120,000 | 991,375 | ||||||
|
| |||||||
2,795,708 | ||||||||
|
|
See Notes to Financial Statements.
151
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
U.S. Treasury Inflationary Index Bond | ||||||||
0.75%, 02/15/42 | $ | 220,000 | $ | 200,028 | ||||
|
| |||||||
U.S. Treasury Notes | ||||||||
2.75%, 10/31/13 | 150,000 | 151,327 | ||||||
0.38%, 11/15/15 | 20,000 | 19,957 | ||||||
0.75%, 06/30/17D | 100,000 | 98,758 | ||||||
0.75%, 10/31/17D | 900,000 | 883,160 | ||||||
0.75%, 03/31/18 | 1,480,000 | 1,440,629 | ||||||
0.63%, 04/30/18D | 1,850,000 | 1,787,995 | ||||||
1.00%, 05/31/18D | 290,000 | 285,038 | ||||||
1.38%, 05/31/20 | 10,000 | 9,652 | ||||||
1.88%, 06/30/20 | 710,000 | 707,421 | ||||||
1.75%, 05/15/23 | 110,000 | 103,031 | ||||||
|
| |||||||
5,486,968 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $8,857,115) | 8,482,704 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 133.5% | ||||||||
(Cost $612,214,349) | 670,547,718 | |||||||
|
| |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Options — 0.0% | ||||||||
10-Year U.S. Treasury Note, Strike Price $130.50, Expires 07/27/13 (GSC) | (10 | ) | (468 | ) | ||||
|
| |||||||
Put Options — 0.0% | ||||||||
10-Year U.S. Treasury Note, Strike Price $127.50, Expires 07/27/13 (GSC) | (10 | ) | (14,844 | ) | ||||
|
| |||||||
Total Written Options | ||||||||
(Premiums received $(7,951)) | (15,312 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | (168,098,906 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 502,433,500 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Money Market Funds | 36.6 | |||
Producer Durables | 16.3 | |||
Financial Services | 15.4 | |||
Technology | 12.9 | |||
Consumer Discretionary | 12.3 | |||
Futures Contracts | 9.0 | |||
Healthcare | 7.2 | |||
Foreign Common Stocks | 6.0 | |||
Materials & Processing | 4.9 | |||
Energy | 4.8 | |||
Mortgage-Backed Securities | 4.1 | |||
Utilities | 3.4 | |||
Corporate Bonds | 2.7 | |||
Consumer Staples | 2.1 | |||
U.S. Treasury Obligations | 1.7 | |||
Foreign Bonds | 1.2 | |||
Agency Obligations | 1.0 | |||
Exchange Traded Funds | 0.6 | |||
Asset-Backed Securities | 0.3 | |||
Municipal Bond | — | ** | ||
Purchased Options | — | ** | ||
Rights/Warrants | — | ** | ||
Written Options | — | ** | ||
Forward Foreign Currency Contracts | (0.5 | ) | ||
|
| |||
142.0 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
152
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 5,103,241 | $ | — | $ | 5,103,241 | $ | — | ||||||||
Asset-Backed Securities | 1,670,931 | — | 1,581,706 | 89,225 | ||||||||||||
Common Stocks | 398,238,203 | 397,641,293 | — | 596,910 | ||||||||||||
Corporate Bonds | 13,546,619 | — | 13,505,723 | 40,896 | ||||||||||||
Exchange Traded Funds | 3,185,196 | 3,185,196 | — | — | ||||||||||||
Foreign Common Stocks | 29,864,692 | 29,864,692 | — | — | ||||||||||||
Foreign Bonds | 6,112,870 | — | 6,112,869 | 1 | ||||||||||||
Money Market Funds | 183,674,344 | 183,674,344 | — | — | ||||||||||||
Mortgage-Backed Securities | 20,592,919 | — | 20,540,805 | 52,114 | ||||||||||||
Municipal Bond | 68,628 | — | 68,628 | — | ||||||||||||
Purchased Options | 6,121 | — | 6,121 | — | ||||||||||||
Rights/Warrants | 1,250 | — | — | 1,250 | ||||||||||||
U.S. Treasury Obligations | 8,482,704 | — | 8,482,704 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 670,547,718 | $ | 614,365,525 | $ | 55,401,797 | $ | 780,396 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 19,994 | $ | — | $ | 19,994 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 19,994 | $ | — | $ | 19,994 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Written Options | $ | (15,312 | ) | $ | (15,312 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (15,312 | ) | $ | (15,312 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (231,238 | ) | $ | (231,238 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (231,238 | ) | $ | (231,238 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
*** | 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. |
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ending June 30, 2013.
See Notes to Financial Statements.
153
Table of Contents
SCHEDULE OF INVESTMENTS | June 30, 2013 (Unaudited) |
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 94.7% | ||||||||
Argentina — 0.1% | ||||||||
Banco Macro SA ADRD* | 11,078 | $ | 158,969 | |||||
MercadoLibre, Inc.D | 10,600 | 1,142,256 | ||||||
|
| |||||||
1,301,225 | ||||||||
|
| |||||||
Australia — 3.4% | ||||||||
Adelaide Brighton, Ltd. | 31,920 | 96,009 | ||||||
AGL Energy, Ltd.‡‡ | 27,393 | 362,468 | ||||||
Alumina, Ltd. | 34,920 | 31,078 | ||||||
Amcor, Ltd. | 474,759 | 4,387,698 | ||||||
AMP, Ltd.‡‡ | 787,354 | 3,045,029 | ||||||
Ansell, Ltd. | 12,132 | 195,442 | ||||||
APA Group | 10,848 | 59,447 | ||||||
Arrium, Ltd.‡‡ | 569,472 | 403,021 | ||||||
Asciano, Ltd. | 59,896 | 273,950 | ||||||
ASX, Ltd.‡‡ | 2,537 | 76,505 | ||||||
Australia & New Zealand Banking | 64,485 | 1,673,995 | ||||||
Bank of Queensland, Ltd. | 20,565 | 162,883 | ||||||
Bendigo and Adelaide Bank, Ltd. | 40,907 | 375,110 | ||||||
BHP Billiton, Ltd.‡‡ | 64,383 | 1,853,131 | ||||||
BlueScope Steel, Ltd.‡‡ | 91,774 | 390,432 | ||||||
Bradken, Ltd. | 27,660 | 108,621 | ||||||
Brambles, Ltd. | 262,851 | 2,239,003 | ||||||
Caltex Australia, Ltd.‡‡ | 28,861 | 474,713 | ||||||
CFS Retail Property Trust Group REIT‡‡ | 37,629 | 68,604 | ||||||
Challenger, Ltd.‡‡ | 44,173 | 161,078 | ||||||
Coca-Cola Amatil, Ltd.‡‡ | 27,227 | 315,455 | ||||||
Cochlear, Ltd.D | 23,994 | 1,346,642 | ||||||
Commonwealth Bank of Australia‡‡ | 30,622 | 1,927,542 | ||||||
Computershare, Ltd.‡‡ | 6,176 | 57,906 | ||||||
CSL, Ltd.‡‡ | 41,183 | 2,319,351 | ||||||
Dexus Property Group REIT‡‡ | 84,924 | 82,818 | ||||||
Downer EDI, Ltd.‡‡ | 666,777 | 2,174,027 | ||||||
Flight Centre, Ltd.‡‡ | 41,742 | 1,494,691 | ||||||
Fortescue Metals Group, Ltd.D‡‡ | 538,076 | 1,481,245 | ||||||
Goodman Group REIT‡‡ | 33,286 | 147,989 | ||||||
GPT Group+ | 63,198 | — | ||||||
GPT Group REIT | 26,294 | 92,327 | ||||||
Incitec Pivot, Ltd.‡‡ | 56,031 | 145,886 | ||||||
Insurance Australia Group, Ltd.‡‡ | 51,029 | 253,293 | ||||||
JB Hi-Fi, Ltd.‡‡ | 10,630 | 162,839 | ||||||
Leighton Holdings, Ltd. | 43,482 | 609,356 | ||||||
Lend Lease Group‡‡ | 7,753 | 59,111 | ||||||
Macquarie Group, Ltd.‡‡ | 9,234 | 352,194 | ||||||
Mirvac Group REIT‡‡ | 47,808 | 69,991 | ||||||
Mount Gibson Iron, Ltd. | 751,927 | 317,031 | ||||||
Myer Holdings, Ltd. | 193,149 | 419,582 | ||||||
National Australia Bank, Ltd.‡‡ | 122,339 | 3,309,277 | ||||||
Newcrest Mining, Ltd.‡‡ | 13,780 | 127,206 | ||||||
OZ Minerals, Ltd.‡‡ | 4,583 | 17,200 | ||||||
Primary Health Care, Ltd.‡‡ | 36,922 | 161,704 | ||||||
Qantas Airways, Ltd.*‡‡ | 299,224 | 367,534 | ||||||
QBE Insurance Group, Ltd. | 249,599 | 3,455,836 | ||||||
Ramsay Health Care, Ltd.‡‡ | 12,667 | 414,030 | ||||||
Rio Tinto, Ltd. | 5,051 | 242,072 | ||||||
Santos, Ltd. | 15,600 | 177,654 | ||||||
Sims Metal Management, Ltd.‡‡ | 27,622 | 208,662 | ||||||
Sonic Healthcare, Ltd.‡‡ | 34,559 | 469,495 |
Shares | Value | |||||||
Stockland REIT‡‡ | 46,149 | $ | 146,840 | |||||
Suncorp Group, Ltd.‡‡ | 57,856 | 628,381 | ||||||
Telstra Corporation, Ltd.‡‡ | 542,881 | 2,360,168 | ||||||
Toll Holdings, Ltd.D | 251,853 | 1,218,943 | ||||||
Transfield Services, Ltd.‡‡ | 363,834 | 256,887 | ||||||
Wesfarmers, Ltd.‡‡ | 23,923 | 865,683 | ||||||
Westfield Group REIT‡‡ | 40,245 | 421,513 | ||||||
Westfield Retail Trust REIT‡‡ | 59,197 | 167,415 | ||||||
Westpac Banking Corporation‡‡ | 52,135 | 1,368,803 | ||||||
Woodside Petroleum, Ltd. | 42,157 | 1,342,616 | ||||||
WorleyParsons, Ltd.‡‡ | 12,357 | 218,908 | ||||||
|
| |||||||
48,214,320 | ||||||||
|
| |||||||
Austria — 0.2% | ||||||||
Erste Group Bank AG | 75,700 | 2,017,678 | ||||||
Voestalpine AGD | 15,860 | 560,860 | ||||||
Wiener Versicherung Gruppe | 13,378 | 620,594 | ||||||
|
| |||||||
3,199,132 | ||||||||
|
| |||||||
Belgium — 0.2% | ||||||||
Ageas STRIP VVPR* | 5,306 | 7 | ||||||
Delhaize Group SA | 3,930 | 242,961 | ||||||
Groupe Bruxelles Lambert SA‡‡ | 457 | 34,420 | ||||||
Solvay SA | 11,239 | 1,471,617 | ||||||
UCB SA | 8,081 | 433,792 | ||||||
|
| |||||||
2,182,797 | ||||||||
|
| |||||||
Bermuda — 0.1% | ||||||||
Catlin Group, Ltd.‡‡ | 731 | 5,554 | ||||||
Kosmos Energy, Ltd.* | 28,468 | 289,235 | ||||||
Seadrill, Ltd.D | 41,100 | 1,672,930 | ||||||
|
| |||||||
1,967,719 | ||||||||
|
| |||||||
Brazil — 1.9% | ||||||||
All America Latina Logistica SA | 190,500 | 809,349 | ||||||
Banco Bradesco SA ADRD | 56,980 | 741,310 | ||||||
Banco do Brasil SA | 53,300 | 527,661 | ||||||
Banco Santander Brasil SA | 184,783 | 1,123,762 | ||||||
Banco Santander Brasil SA ADR D | 329,593 | 2,050,068 | ||||||
BM&FBovespa SA | 389,800 | 2,141,729 | ||||||
BR Malls Participacoes SA | 12,200 | 109,077 | ||||||
Brookfield Incorporacoes SA* | 564,900 | 387,343 | ||||||
CCR SA | 52,500 | 417,864 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADRD | 17,700 | 804,642 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 33,000 | 340,744 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADRD | 59,480 | 619,187 | ||||||
Cia Energetica de Minas Gerais ADRD | 92 | 825 | ||||||
Cia Paranaense de Energia | 12,300 | 152,031 | ||||||
Cielo SA | 80 | 2,004 | ||||||
Duratex SA | 163,720 | 935,501 | ||||||
Embraer SA ADRD | 82,100 | 3,028,669 | ||||||
Grupo BTG Pactual | 42,185 | 514,421 | ||||||
Itau Unibanco Holding SA ADRD | 255,582 | 3,302,119 | ||||||
Itausa — Investimentos Itau SA+ | 4,311 | 16,229 | ||||||
JBS SA | 146,000 | 419,414 | ||||||
Lojas Renner SA | 20,768 | 594,834 | ||||||
Magnesita Refratarios SA | 52,339 | 153,404 |
See Notes to Financial Statements.
154
Table of Contents
Shares | Value | |||||||
Marfrig Alimentos SA* | 20,097 | $ | 66,289 | |||||
Multiplan Empreendimentos Imobiliarios SA | 2,500 | 58,272 | ||||||
Natura Cosmeticos SA | 9,800 | 214,328 | ||||||
Petroleo Brasileiro SA ADRD | 217,168 | 3,057,739 | ||||||
Porto Seguro SA | 52,800 | 571,930 | ||||||
Telefonica Brasil SA ADRD | 30,100 | 686,882 | ||||||
Tim Participacoes SA ADRD | 4,200 | 78,120 | ||||||
Totvs SA | 25,711 | 400,526 | ||||||
Tractebel Energia SA | 26,714 | 415,313 | ||||||
Ultrapar Participacoes SA | 22,268 | 531,614 | ||||||
Vale SA ADRD | 153,100 | 1,861,696 | ||||||
|
| |||||||
27,134,896 | ||||||||
|
| |||||||
Canada — 1.2% | ||||||||
Canadian National Railway Co.D | 65,520 | 6,374,227 | ||||||
Canadian Pacific Railway, Ltd. | 13,950 | 1,691,588 | ||||||
First Quantum Minerals, Ltd.D | 263,139 | 3,903,174 | ||||||
Lightstream Resources, Ltd.D | 97,100 | 724,765 | ||||||
Magna International, Inc. Class AD | 20,400 | 1,452,072 | ||||||
Shaw Communications, Inc. Class BD | 55,300 | 1,327,158 | ||||||
Torex Gold Resources, Inc. | 177,150 | 224,027 | ||||||
Westjet Airlines, Ltd. | 55,675 | 1,217,576 | ||||||
|
| |||||||
16,914,587 | ||||||||
|
| |||||||
Chile — 0.2% | ||||||||
Banco Santander Chile ADR | 39 | 954 | ||||||
CAP SA | 3,332 | 73,979 | ||||||
Cencosud SA | 40,091 | 199,646 | ||||||
Embotelladora Andina SA ADR Class AD | 8,434 | 230,248 | ||||||
Embotelladora Andina SA ADR Class BD | 13,344 | 458,767 | ||||||
Empresas CMPC SA | 61,733 | 190,406 | ||||||
Empresas COPEC SA | 11,100 | 145,291 | ||||||
Enersis SA ADRD | 36,600 | 598,776 | ||||||
ENTEL Chile SA | 31,900 | 533,707 | ||||||
S.A.C.I. Falabella | 16,774 | 181,590 | ||||||
Sociedad Quimica y Minera de Chile | 13,800 | 557,520 | ||||||
|
| |||||||
3,170,884 | ||||||||
|
| |||||||
China — 3.0% | ||||||||
AAC Technologies Holdings, Inc. | 32,027 | 179,687 | ||||||
Agricultural Bank of China, Ltd.D | 290,000 | 118,549 | ||||||
Anhui Conch Cement Co., Ltd. Class HD | 641,096 | 1,723,517 | ||||||
Anta Sports Products, Ltd.D | 164,000 | 142,988 | ||||||
Anton Oilfield Services Group/Hong KongD | 726,000 | 520,489 | ||||||
Baidu, Inc. ADRD* | 87,885 | 8,307,769 | ||||||
Bank of China, Ltd. Class HD | 2,774,000 | 1,136,411 | ||||||
Bank of Communications Co., Ltd. Class A | 249,000 | 159,560 | ||||||
China BlueChemical, Ltd. Class HD | 340,000 | 206,700 | ||||||
China CITIC Bank Corporation, Ltd. | 412,000 | 189,266 | ||||||
China Construction Bank Corporation | 2,284,000 | 1,605,009 | ||||||
China Gas Holdings, Ltd. | 552,000 | 561,067 |
Shares | Value | |||||||
China Life Insurance Co., Ltd. Class H | 249,000 | $ | 579,552 | |||||
China Merchants Bank Co., Ltd. Class H | 1,093,190 | 1,815,049 | ||||||
China Minzhong Food Corporation, Ltd.D* | 1,346,000 | 1,103,154 | ||||||
China Oilfield Services, Ltd. Class HD | 172,000 | 334,521 | ||||||
China Petroleum & Chemical Corporation Class HD | 1,066,000 | 745,949 | ||||||
China Railway Construction Corporation, Ltd. Class H | 265,000 | 229,162 | ||||||
China Railway Group, Ltd. Class H | 1,135,000 | 521,478 | ||||||
China Shanshui Cement Group, Ltd. | 37,000 | 16,521 | ||||||
China Southern Airlines Co., Ltd. H Shares | 730,000 | 292,608 | ||||||
Chongqing Rural Commercial Bank | 127,000 | 53,383 | ||||||
CNOOC, Ltd.D | 1,618,900 | 2,711,524 | ||||||
Country Garden Holdings Co., Ltd. | 183,000 | 95,100 | ||||||
Ctrip.com International, Ltd. ADRD* | 37,725 | 1,230,967 | ||||||
Datang International Power Generation Co., Ltd. H Shares | 478,000 | 192,286 | ||||||
Dongyue GroupD | 1,723,100 | 683,562 | ||||||
ENN Energy Holdings, Ltd. | 46,433 | 245,940 | ||||||
Evergrande Real Estate Group, Ltd.D | 169,000 | 61,942 | ||||||
Industrial & Commercial Bank of China Ltd. Class H | 1,906,000 | 1,194,551 | ||||||
Intime Department Store Group Co., Ltd.D | 198,500 | 192,242 | ||||||
Li Ning Co, Ltd.D | 921,513 | 457,012 | ||||||
Longfor Properties Co., Ltd.D | 647,458 | 958,038 | ||||||
Mindray Medical International, Ltd. ADRD | 11,363 | 425,544 | ||||||
New Oriental Education & Technology Group ADR | 34,300 | 759,745 | ||||||
Parkson Retail Group, Ltd.D | 980,427 | 403,147 | ||||||
PetroChina Co., Ltd. Class H | 102,000 | 110,604 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. Class HD | 1,422,000 | 473,271 | ||||||
Tencent Holdings, Ltd.D | 260,176 | 10,159,154 | ||||||
Tingyi Cayman Islands Holding CorporationD | 230,000 | 596,947 | ||||||
Want Want China Holdings, Ltd.D | 597,283 | 837,178 | ||||||
West China Cement, Ltd. | 1,597,528 | 235,029 | ||||||
Wumart Stores, Inc. Class HD | 204,574 | 376,331 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 800 | 522 | ||||||
Youku Tudou, Inc. ADRD* | 34,104 | 654,456 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 128,000 | 104,217 | ||||||
|
| |||||||
43,701,698 | ||||||||
|
| |||||||
Colombia — 0.1% | ||||||||
BanColombia SA | 64,300 | 868,627 | ||||||
BanColombia SA ADR | 10,827 | 611,726 | ||||||
|
| |||||||
1,480,353 | ||||||||
|
| |||||||
Cyprus — 0.1% | ||||||||
Eurasia Drilling Co., Ltd. GDR | 20,488 | 764,817 |
See Notes to Financial Statements.
155
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INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Global Ports Investment, Ltd. GDR | 17,008 | $ | 226,376 | |||||
Global Ports Investment, Ltd. GDR 144A | 18,105 | 240,978 | ||||||
|
| |||||||
1,232,171 | ||||||||
|
| |||||||
Denmark — 1.1% | ||||||||
AP Moller — Maersk A/S Class B | 108 | 772,590 | ||||||
Coloplast A/S Class B | 9,537 | 534,015 | ||||||
Danske Bank A/S* | 121,811 | 2,077,968 | ||||||
DSV A/S‡‡ | 44,739 | 1,089,847 | ||||||
GN Store Nord A/S | 134,511 | 2,540,318 | ||||||
Novo Nordisk A/S Class B‡‡ | 23,845 | 3,707,002 | ||||||
Novozymes A/S Class B | 36,890 | 1,181,595 | ||||||
Pandora A/S | 43,190 | 1,459,927 | ||||||
TDC A/S | 275,400 | 2,231,999 | ||||||
|
| |||||||
15,595,261 | ||||||||
|
| |||||||
Egypt — 0.1% | ||||||||
ElSwedy Electric Co. | 80,671 | 201,696 | ||||||
Orascom Construction IndustriesD* | 53,155 | 1,827,581 | ||||||
|
| |||||||
2,029,277 | ||||||||
|
| |||||||
Estonia — 0.1% | ||||||||
Tallink Group AS | 491,560 | 597,606 | ||||||
|
| |||||||
Finland — 0.3% | ||||||||
Kone OYJ | 3,465 | 274,840 | ||||||
Metso OYJ‡‡ | 39,038 | 1,322,323 | ||||||
Outotec OYJ | 36,052 | 430,766 | ||||||
Sampo OYJ | 12,161 | 473,545 | ||||||
UPM-Kymmene OYJ | 167,027 | 1,637,012 | ||||||
|
| |||||||
4,138,486 | ||||||||
|
| |||||||
France — 7.7% | ||||||||
Arkema SA‡‡ | 26,998 | 2,474,768 | ||||||
AtoS‡‡ | 12,728 | 945,917 | ||||||
AXA SA‡‡ | 74,297 | 1,464,587 | ||||||
BNP Paribas SA‡‡ | 83,261 | 4,558,104 | ||||||
Cap Gemini SA | 9,201 | 446,815 | ||||||
Carrefour SA | 175,867 | 4,830,456 | ||||||
Casino Guichard Perrachon SA | 41,681 | 3,905,740 | ||||||
Christian Dior SA | 27,992 | 4,522,177 | ||||||
Cie de St-Gobain | 169,541 | 6,869,844 | ||||||
Cie Generale des Etablissements Michelin Class B‡‡ | 48,928 | 4,374,920 | ||||||
Credit Agricole SA‡‡ | 29,800 | 256,482 | ||||||
Danone SA | 71,388 | 5,373,231 | ||||||
Essilor International SA | 8,954 | 953,935 | ||||||
European Aeronautic Defence and | 46,216 | 2,472,578 | ||||||
France Telecom SA‡‡ | 492,916 | 4,667,595 | ||||||
GDF Suez | 79,800 | 1,565,256 | ||||||
Groupe Fnac* | 2,462 | 52,236 | ||||||
Groupe Fnac REIT* | 2 | 5 | ||||||
Kering | 22,581 | 4,594,920 | ||||||
Klepierre REIT‡‡ | 623 | 24,552 | ||||||
Lafarge SA‡‡ | 33,826 | 2,077,009 | ||||||
Lagardere SCA‡‡ | 29,072 | 811,157 | ||||||
L’Oreal SA | 31,410 | 5,163,288 | ||||||
Natixis‡‡ | 44,299 | 185,999 | ||||||
Publicis Groupe SA | 7,064 | 503,089 | ||||||
Renault SA | 37,726 | 2,541,116 |
Shares | Value | |||||||
Sanofi‡‡ | 156,824 | $ | 16,212,468 | |||||
Schneider Electric SA | 69,740 | 5,064,960 | ||||||
Societe BIC SA‡‡ | 12,202 | 1,224,085 | ||||||
Societe Generale SA‡‡ | 149,410 | 5,141,993 | ||||||
Total SA‡‡ | 173,349 | 8,466,873 | ||||||
Unibail-Rodamco SE‡‡ | 1,611 | 375,208 | ||||||
Valeo SA‡‡ | 25,703 | 1,612,831 | ||||||
Vallourec SA | 40,933 | 2,077,196 | ||||||
Vinci SA‡‡ | 79,392 | 3,982,326 | ||||||
Vivendi SA‡‡ | 72,620 | 1,376,259 | ||||||
|
| |||||||
111,169,975 | ||||||||
|
| |||||||
Germany — 6.8% | ||||||||
Adidas AG‡‡ | 6,331 | 684,370 | ||||||
Aixtron SED | 53,489 | 897,405 | ||||||
Allianz SE | 23,015 | 3,359,282 | ||||||
Aurubis AG‡‡ | 26,506 | 1,420,942 | ||||||
BASF SE‡‡ | 43,207 | 3,853,766 | ||||||
Bayer AG‡‡ | 130,280 | 13,870,919 | ||||||
Beiersdorf AG | 55,118 | 4,801,247 | ||||||
Bilfinger SE‡‡ | 14,223 | 1,310,943 | ||||||
Continental AG‡‡ | 13,915 | 1,854,986 | ||||||
Daimler AGD | 82,198 | 4,962,176 | ||||||
Deutsche Bank AG‡‡ | 53,195 | 2,230,605 | ||||||
Deutsche Boerse AGD | 34,800 | 2,288,377 | ||||||
Deutsche Lufthansa AGD‡‡ | 242,842 | 4,919,324 | ||||||
Deutsche Post AG‡‡ | 94,688 | 2,349,958 | ||||||
Deutsche Telekom AGD | 509,062 | 5,930,822 | ||||||
Freenet AG | 19,275 | 420,278 | ||||||
Fresenius Medical Care AG & Co. KGaAD | 20,562 | 1,457,452 | ||||||
Fresenius SE & Co. KGaA‡‡ | 1,995 | 245,545 | ||||||
GEA Group AGD‡‡ | 99,968 | 3,539,571 | ||||||
Hannover Rueckversicherung AGD‡‡ | 21,193 | 1,523,921 | ||||||
HeidelbergCement AGD | 19,305 | 1,293,446 | ||||||
Leoni AG‡‡ | 39,098 | 1,938,957 | ||||||
Linde AG | 37,291 | 6,949,045 | ||||||
Merck KGaA‡‡ | 19,853 | 3,019,225 | ||||||
Metro AGD | 57,630 | 1,820,982 | ||||||
Muenchener Rueckversicherungs AG | 2,060 | 378,446 | ||||||
Rheinmetall AG‡‡ | 30,012 | 1,395,959 | ||||||
RWE AG | 68,341 | 2,178,565 | ||||||
Salzgitter AG‡‡ | 30,428 | 1,001,387 | ||||||
SAP AGD | 102,533 | 7,487,231 | ||||||
Siemens AG | 22,841 | 2,312,948 | ||||||
SMA Solar Technology AG | 14,534 | 431,901 | ||||||
ThyssenKrupp AG | 23,263 | 456,005 | ||||||
TUI AG*‡‡ | 118,191 | 1,402,136 | ||||||
Volkswagen AGD | 23,021 | 4,475,837 | ||||||
|
| |||||||
98,463,959 | ||||||||
|
| |||||||
Guernsey — 0.0% | ||||||||
Resolution, Ltd.‡‡ | 112,958 | 489,300 | ||||||
|
| |||||||
Hong Kong — 3.0% | ||||||||
AIA Group, Ltd.‡‡ | 1,549,400 | 6,527,624 | ||||||
ASM Pacific Technology, Ltd.‡‡ | 116,457 | 1,278,437 | ||||||
Belle International Holdings, Ltd.D | 359,000 | 490,781 | ||||||
BOC Hong Kong Holdings, Ltd.‡‡ | 157,000 | 480,277 | ||||||
Cheung Kong Holdings, Ltd.‡‡ | 15,000 | 202,266 | ||||||
Cheung Kong Infrastructure | 7,000 | 46,644 |
See Notes to Financial Statements.
156
Table of Contents
Shares | Value | |||||||
China Mengniu Dairy Co., Ltd. | 569,000 | $ | 2,031,089 | |||||
China Mobile, Ltd. | 653,118 | 6,764,248 | ||||||
China Overseas Land & Investment, Ltd.D | 808,372 | 2,104,558 | ||||||
China Resources Cement Holdings, Ltd.D | 818,782 | 408,327 | ||||||
China Resources Gas Group, Ltd. | 217,469 | 559,382 | ||||||
China Resources Land, Ltd.D | 64,000 | 173,878 | ||||||
CLP Holdings, Ltd.‡‡ | 21,500 | 173,802 | ||||||
COSCO Pacific, Ltd. | 368,000 | 474,305 | ||||||
Esprit Holdings, Ltd. | 77 | 113 | ||||||
First Pacific Co., Ltd. | 38,000 | 40,622 | ||||||
Geely Automobile Holdings, Ltd.D | 3,900,000 | 1,674,440 | ||||||
GOME Electrical Appliances Holdings, Ltd.D | 3,564,000 | 319,422 | ||||||
Hang Seng Bank, Ltd. | 33,500 | 493,342 | ||||||
HKT Trust | 954 | 912 | ||||||
Hong Kong & China Gas Co., Ltd. | 220 | 537 | ||||||
Hong Kong Exchanges and Clearing, Ltd.D‡‡ | 101,500 | 1,524,467 | ||||||
Hopewell Holdings, Ltd. | 10,500 | 34,849 | ||||||
Hutchison Whampoa, Ltd.‡‡ | 51,000 | 533,575 | ||||||
Hysan Development Co., Ltd. | 101,000 | 436,031 | ||||||
Jardine Matheson Holdings, Ltd. | 61,540 | 3,714,070 | ||||||
Kerry Properties, Ltd.‡‡ | 83,600 | 325,910 | ||||||
Li & Fung, Ltd.D | 3,172,924 | 4,324,664 | ||||||
Link (The) REIT‡‡ | 45,000 | 220,846 | ||||||
MMG, Ltd.* | 4,000 | 1,038 | ||||||
MTR Corporation, Ltd. | 7,000 | 25,724 | ||||||
New World Department Store China, Ltd. | 463,337 | 232,981 | ||||||
New World Development Co., Ltd.‡‡ | 64,000 | 87,909 | ||||||
Nine Dragons Paper Holdings Ltd. | 1,295,000 | 833,359 | ||||||
Noble Group, Ltd.‡‡ | 373,000 | 283,680 | ||||||
NWS Holdings, Ltd.‡‡ | 21,000 | 32,195 | ||||||
Orient Overseas International, Ltd. | 35,500 | 227,399 | ||||||
PCCW, Ltd.‡‡ | 68,000 | 31,736 | ||||||
Power Assets Holdings, Ltd. | 45,000 | 387,360 | ||||||
Shangri-La Asia, Ltd. | 1,000 | 1,719 | ||||||
Shimao Property Holdings, Ltd.D | 42,500 | 83,603 | ||||||
Shougang Fushan Resources Group, Ltd.D | 654,000 | 252,548 | ||||||
Sino Land Co., Ltd. | 320,000 | 447,416 | ||||||
Sun Hung Kai Properties, Ltd. | 2,000 | 25,684 | ||||||
Swire Pacific, Ltd. Class A‡‡ | 13,000 | 156,628 | ||||||
Swire Properties, Ltd. | 100 | 294 | ||||||
Techtronic Industries Co. | 538,500 | 1,278,412 | ||||||
Television Broadcasts, Ltd. | 800 | 5,475 | ||||||
Wharf Holdings, Ltd. | 44,000 | 367,242 | ||||||
Wheelock & Co., Ltd. | 59,000 | 294,372 | ||||||
Wing Hang Bank, Ltd. | 3,000 | 26,833 | ||||||
Xinyi Glass Holdings, Ltd. | 1,299,000 | 1,006,248 | ||||||
Yue Yuen Industrial Holdings, Ltd.‡‡ | 451,300 | 1,166,283 | ||||||
|
| |||||||
42,615,556 | ||||||||
|
|
Shares | Value | |||||||
Hungary — 0.1% | ||||||||
MOL Hungarian Oil and Gas PLC | 24,833 | $ | 1,853,661 | |||||
OTP Bank PLC | 5,200 | 108,769 | ||||||
|
| |||||||
1,962,430 | ||||||||
|
| |||||||
India — 1.8% | ||||||||
Ambuja Cements, Ltd. | 287,333 | 900,910 | ||||||
Andhra Bank | 209,724 | 288,872 | ||||||
Axis Bank, Ltd. | 77,188 | 1,712,428 | ||||||
Bank of India | 4,320 | 16,801 | ||||||
Bharat Heavy Electricals, Ltd. | 37,510 | 109,440 | ||||||
Canara Bank | 8,600 | 51,996 | ||||||
Coal India, Ltd. | 58,561 | 297,974 | ||||||
Container Corporation of India | 10,705 | 194,293 | ||||||
Dabur India, Ltd.@ | 308,256 | 806,108 | ||||||
DLF, Ltd. | 15,015 | 45,550 | ||||||
Dr. Reddys Laboratories, Ltd. ADRD | 6,500 | 245,830 | ||||||
GAIL India, Ltd.* | 4,800 | 25,229 | ||||||
Gitanjali Gems, Ltd.* | 83,018 | 326,763 | ||||||
Glenmark Pharmaceuticals, Ltd. | 105,350 | 968,579 | ||||||
HCL Technologies, Ltd. | 117,115 | 1,524,461 | ||||||
HDFC Bank, Ltd. ADRD | 14,900 | 539,976 | ||||||
Hindustan Unilever, Ltd. | 20,787 | 204,687 | ||||||
Housing Development Finance Corporation | 109,419 | 1,610,845 | ||||||
ICICI Bank, Ltd. ADRD | 75,050 | 2,870,663 | ||||||
Infosys, Ltd. | 26,078 | 1,088,505 | ||||||
Infosys, Ltd. ADR D | 47,924 | 1,973,990 | ||||||
Kotak Mahindra Bank, Ltd.@ | 169,490 | 2,052,659 | ||||||
Lupin, Ltd. | 155,929 | 2,045,509 | ||||||
Mahindra & Mahindra Financial Services, Ltd. | 189,150 | 827,644 | ||||||
Maruti Suzuki India, Ltd. | 31,255 | 806,941 | ||||||
Oil & Natural Gas Corporation, Ltd.* | 157,884 | 875,239 | ||||||
Opto Circuits India, Ltd.* | 101,293 | 34,328 | ||||||
Ranbaxy Laboratories, Ltd.* | 28,718 | 148,970 | ||||||
Reliance Industries, Ltd. | 13,937 | 201,410 | ||||||
Rural Electrification Corporation, Ltd.* | 192,884 | 648,986 | ||||||
Shriram Transport Finance Co., Ltd. | 108,932 | 1,299,211 | ||||||
SKS Microfinance, Ltd.* | 17,272 | 30,376 | ||||||
State Bank of India, Ltd. | 10,712 | 350,391 | ||||||
Tata Consultancy Services, Ltd. | 36,201 | 923,282 | ||||||
Tata Motors, Ltd. ADRD | 7,500 | 175,800 | ||||||
Wipro Enterprises, Ltd.+* | 2,253 | — | ||||||
Wipro, Ltd. | 12,634 | 74,183 | ||||||
|
| |||||||
26,298,829 | ||||||||
|
| |||||||
Indonesia — 0.5% | ||||||||
PT Bank Negara Indonesia Persero Tbk | 505,000 | 217,359 | ||||||
PT Bank Rakyat Indonesia Persero Tbk | 332,000 | 257,765 | ||||||
PT Bank Tabungan Pensiunan Nasional Tbk* | 47,000 | 19,653 | ||||||
PT Indocement Tunggal Prakarsa Tbk | 1,017,780 | 2,499,155 | ||||||
PT Indofood Sukses Makmur Tbk | 837,500 | 617,759 | ||||||
PT Perusahaan Gas Negara Persero Tbk | 2,627,000 | 1,518,644 | ||||||
PT Ramayana Lestari Sentosa Tbk | 2,662,000 | 347,044 |
See Notes to Financial Statements.
157
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
PT Semen Indonesia Persero Tbk | 298,637 | $ | 512,908 | |||||
PT Telekomunikasi Indonesia Tbk | 402,900 | 448,693 | ||||||
PT Telekomunikasi Indonesia Tbk ADRD | 8,800 | 376,112 | ||||||
PT Unilever Indonesia Tbk | 166,500 | 514,224 | ||||||
|
| |||||||
7,329,316 | ||||||||
|
| |||||||
Ireland — 0.3% | ||||||||
CRH PLC | 105,900 | 2,148,851 | ||||||
Experian PLC‡‡ | 47,327 | 822,537 | ||||||
James Hardie Industries PLCD | 148,080 | 1,271,554 | ||||||
|
| |||||||
4,242,942 | ||||||||
|
| |||||||
Italy — 1.5% | ||||||||
Assicurazioni Generali SpA | 20,976 | 366,652 | ||||||
Banca Popolare Dell’Emilia Romagna | 81,470 | 473,167 | ||||||
Enel SpA‡‡ | 679,880 | 2,133,431 | ||||||
Eni SpA | 279,698 | 5,740,483 | ||||||
Fiat Industrial SpA‡‡ | 76,612 | 852,830 | ||||||
Fiat SpAD | 426,541 | 2,974,692 | ||||||
Intesa Sanpaolo SpA‡‡ | 180,175 | 288,376 | ||||||
Prysmian SpA | 102,854 | 1,918,721 | ||||||
Snam SpA | 452,300 | 2,059,466 | ||||||
Telecom Italia SpA | 2,597,175 | 1,810,227 | ||||||
UniCredit SpA | 666,182 | 3,114,309 | ||||||
Unione di Banche Italiane SCPA | 14,202 | 51,359 | ||||||
|
| |||||||
21,783,713 | ||||||||
|
| |||||||
Japan — 14.2% | ||||||||
Ajinomoto Co., Inc.‡‡ | 40,000 | 586,770 | ||||||
Amada Co., Ltd. | 316,000 | 2,080,424 | ||||||
Anritsu Corporation | 27,900 | 330,549 | ||||||
Aozora Bank, Ltd. | 600 | 1,874 | ||||||
Asahi Glass Co., Ltd. | 200 | 1,296 | ||||||
Asahi Kasei Corporation‡‡ | 202,200 | 1,334,142 | ||||||
Astellas Pharma, Inc.‡‡ | 93,700 | 5,090,169 | ||||||
Azbil Corporation‡‡ | 34,800 | 746,425 | ||||||
Bridgestone Corporation | 7,800 | 265,982 | ||||||
Calsonic Kansei Corporation‡‡ | 200,000 | 832,898 | ||||||
Canon, Inc.‡‡ | 369,450 | 12,108,091 | ||||||
Central Japan Railway Co.‡‡ | 9,300 | 1,133,484 | ||||||
Chiyoda Corporation‡‡ | 93,000 | 1,096,825 | ||||||
Chubu Electric Power Co., Inc.‡‡ | 68,800 | 974,553 | ||||||
Chugai Pharmaceutical Co., Ltd. | 19,900 | 411,917 | ||||||
Citizen Holdings Co., Ltd. | 79,000 | 440,641 | ||||||
COMSYS Holdings Corporation‡‡ | 86,000 | 1,097,978 | ||||||
Cosmos Pharmaceutical Corporation | 10,150 | 1,029,287 | ||||||
Daicel Corporation‡‡ | 31,000 | 270,939 | ||||||
Daihatsu Motor Co., Ltd.‡‡ | 47,000 | 890,215 | ||||||
Daiichi Sankyo Co., Ltd. | 22,100 | 368,292 | ||||||
Daito Trust Construction Co., Ltd.‡‡ | 1,100 | 103,642 | ||||||
Daiwa House Industry Co., Ltd.‡‡ | 10,000 | 186,270 | ||||||
Daiwa Securities Group, Inc. | 31,000 | 259,623 | ||||||
Dena Co., Ltd.D | 37,400 | 732,218 | ||||||
Denki Kagaku Kogyo KK | 119,000 | 430,766 | ||||||
Denso Corporation | 145,100 | 6,821,613 |
Shares | Value | |||||||
DIC Corporation | 166,000 | $ | 414,431 | |||||
East Japan Railway Co.‡‡ | 33,400 | 2,599,607 | ||||||
Ebara Corporation‡‡ | 147,000 | 784,696 | ||||||
Enplas Corporation | 19,500 | 1,442,038 | ||||||
Exedy Corporation | 11,700 | 293,843 | ||||||
Fuji Electric Co., Ltd. | 296,000 | 1,040,758 | ||||||
Fuji Heavy Industries, Ltd.‡‡ | 70,900 | 1,750,821 | ||||||
Fuji Media Holdings, Inc. | 268 | 538,750 | ||||||
Fujikura, Ltd. | 144,000 | 509,728 | ||||||
Fujitsu, Ltd.‡‡ | 133,000 | 550,220 | ||||||
Fukuoka Financial Group, Inc.‡‡ | 128,000 | 544,405 | ||||||
Gree, Inc.D | 59,400 | 527,042 | ||||||
Hitachi, Ltd.‡‡ | 651,000 | 4,171,283 | ||||||
Hokuetsu Kishu Paper Co., Ltd. | 25,000 | 106,605 | ||||||
Honda Motor Co., Ltd.‡‡ | 185,400 | 6,887,504 | ||||||
Hoya Corporation | 125,400 | 2,579,253 | ||||||
IHI Corporation‡‡ | 237,000 | 896,694 | ||||||
Inpex Corporation | 802 | 3,333,273 | ||||||
Isuzu Motors, Ltd.‡‡ | 70,100 | 479,200 | ||||||
ITOCHU Corporation‡‡ | 296,400 | 3,427,539 | ||||||
J Front Retailing Co., Ltd. | 117,000 | 933,036 | ||||||
Japan Airlines Co., Ltd. | 52,000 | 2,676,995 | ||||||
Japan Real Estate Investment Corporation REIT | 7 | 78,195 | ||||||
Japan Retail Fund Investment Corporation REIT | 20 | 41,783 | ||||||
JGC Corporation‡‡ | 43,000 | 1,548,536 | ||||||
Jin Co., Ltd.D | 10,600 | 508,277 | ||||||
JSR Corporation | 87,400 | 1,768,421 | ||||||
JTEKT Corporation‡‡ | 85,400 | 957,237 | ||||||
JX Holdings, Inc. | 70 | 338 | ||||||
Kajima Corporation | 48,000 | 159,137 | ||||||
Kao Corporation‡‡ | 163,300 | 5,558,982 | ||||||
KDDI Corporation‡‡ | 63,000 | 3,280,628 | ||||||
Keisei Electric Railway Co., Ltd.‡‡ | 54,000 | 505,906 | ||||||
Konami Corporation | 4,500 | 95,532 | ||||||
Konica Minolta Holdings, Inc.‡‡ | 163,000 | 1,226,856 | ||||||
Kuraray Co., Ltd. | 89,200 | 1,250,156 | ||||||
KYB Co., Ltd. | 94,000 | 468,857 | ||||||
Kyocera Corporation | 9,200 | 936,062 | ||||||
Mabuchi Motor Co., Ltd. | 42,800 | 2,283,095 | ||||||
Marubeni Corporation‡‡ | 78,800 | 526,648 | ||||||
Marui Group Co., Ltd. | 38,800 | 386,511 | ||||||
Mazda Motor Corporation | 548,000 | 2,166,483 | ||||||
Miraca Holdings, Inc.‡‡ | 8,700 | 399,790 | ||||||
Mitsubishi Corporation | 109,800 | 1,875,790 | ||||||
Mitsubishi Electric Corporation‡‡ | 79,800 | 745,660 | ||||||
Mitsubishi Estate Co., Ltd.‡‡ | 24,000 | 638,973 | ||||||
Mitsubishi Heavy Industries, Ltd.‡‡ | 46,000 | 255,740 | ||||||
Mitsubishi UFJ Financial Group, Inc.‡‡ | 805,700 | 4,975,898 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd.‡‡ | 147,600 | 700,294 | ||||||
Mitsui & Co., Ltd.‡‡ | 85,200 | 1,068,426 | ||||||
Mitsui Engineering & Shipbuilding Co., Ltd. | 491,000 | 717,096 | ||||||
Mitsui Fudosan Co., Ltd.‡‡ | 18,000 | 529,201 | ||||||
Mitsui Mining & Smelting Co., Ltd.‡‡ | 248,000 | 525,784 | ||||||
Mizuho Financial Group, Inc. | 381,940 | 793,172 | ||||||
Namco Bandai Holdings, Inc. | 10,300 | 166,937 |
See Notes to Financial Statements.
158
Table of Contents
Shares | Value | |||||||
NET One Systems Co., Ltd.‡‡ | 57,200 | $ | 440,853 | |||||
NHK Spring Co., Ltd.‡‡ | 49,400 | 570,364 | ||||||
Nintendo Co., Ltd. | 3,800 | 447,408 | ||||||
Nippon Building Fund, Inc. REIT | 8 | 92,652 | ||||||
Nippon Electric Glass Co., Ltd.‡‡ | 19,100 | 92,976 | ||||||
Nippon Kayaku Co., Ltd.‡‡ | 39,000 | 485,892 | ||||||
Nippon Meat Packers, Inc.‡‡ | 11,000 | 168,259 | ||||||
Nippon Shokubai Co., Ltd.‡‡ | 17,000 | 173,890 | ||||||
Nippon Steel & Sumitomo Metal Corporation | 230 | 620 | ||||||
Nippon Telegraph & Telephone Corporation‡‡ | 6,900 | 359,634 | ||||||
Nippon Yusen KK | 33,800 | 89,430 | ||||||
Nishi-Nippon City Bank, Ltd. (The) | 200 | 522 | ||||||
Nissan Chemical Industries, Ltd. | 62,100 | 837,113 | ||||||
Nissan Motor Co., Ltd. | 316,800 | 3,175,163 | ||||||
Nisshin Seifun Group, Inc.‡‡ | 19,500 | 233,666 | ||||||
NKSJ Holdings, Inc. | 71,250 | 1,693,230 | ||||||
Nomura Holdings, Inc. | 68,200 | 502,004 | ||||||
NTT DOCOMO, Inc.‡‡ | 306 | 476,046 | ||||||
Obayashi Corporation‡‡ | 150,000 | 777,765 | ||||||
OKUMA Corporation‡‡ | 44,000 | 331,661 | ||||||
Ono Pharmaceutical Co., Ltd. | 1,400 | 95,298 | ||||||
ORIX Corporation‡‡ | 93,400 | 1,274,604 | ||||||
Osaka Gas Co., Ltd.‡‡ | 195,000 | 823,370 | ||||||
Pacific Metals Co., Ltd. | 59,000 | 244,909 | ||||||
Panasonic Corporation | 17,500 | 140,911 | ||||||
Pioneer Corporation*‡‡ | 216,800 | 421,122 | ||||||
Rakuten, Inc. | 354,600 | 4,193,139 | ||||||
Resona Holdings, Inc.‡‡ | 651,800 | 3,174,394 | ||||||
Ryohin Keikaku Co., Ltd. | 3,000 | 245,923 | ||||||
Sanrio Co., Ltd.D | 21,600 | 1,001,977 | ||||||
SCSK Corporation | 38,100 | 733,018 | ||||||
Secom Co., Ltd. | 2,100 | 114,178 | ||||||
Sekisui Chemical Co., Ltd.‡‡ | 284,000 | 3,015,661 | ||||||
Sekisui House, Ltd.‡‡ | 115,000 | 1,661,576 | ||||||
Seven & I Holdings Co., Ltd.‡‡ | 158,400 | 5,801,139 | ||||||
Shimamura Co., Ltd. | 2,300 | 279,202 | ||||||
Shin-Etsu Chemical Co., Ltd. | 92,400 | 6,115,521 | ||||||
Shionogi & Co., Ltd. | 51,900 | 1,082,292 | ||||||
SMC Corporation | 12,000 | 2,405,707 | ||||||
Softbank Corporation‡‡ | 76,000 | 4,423,957 | ||||||
Sojitz Corporation | 118,100 | 195,948 | ||||||
Sumco Corporation | 39,800 | 435,964 | ||||||
Sumitomo Corporation‡‡ | 221,500 | 2,760,686 | ||||||
Sumitomo Heavy Industries, Ltd.‡‡ | 121,000 | 508,094 | ||||||
Sumitomo Metal Mining Co., Ltd.‡‡ | 56,000 | 623,766 | ||||||
Sumitomo Mitsui Financial Group, Inc.‡‡ | 92,100 | 4,215,698 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 60,000 | 279,951 | ||||||
Sumitomo Osaka Cement Co., Ltd. | 49,000 | 155,880 | ||||||
Sumitomo Realty & Development Co., Ltd.‡‡ | 10,000 | 398,541 | ||||||
Suzuki Motor Corporation‡‡ | 97,500 | 2,247,407 | ||||||
T&D Holdings, Inc. | 44,100 | 589,907 | ||||||
Taisei Corporation‡‡ | 428,000 | 1,545,070 | ||||||
Takashimaya Co., Ltd. | 119,000 | 1,206,103 |
Shares | Value | |||||||
Takeda Pharmaceutical Co., Ltd.‡‡ | 146,100 | $ | 6,588,232 | |||||
Tohoku Electric Power Co., Inc. | 2,300 | 28,718 | ||||||
Tokai Carbon Co., Ltd. | 3,000 | 7,945 | ||||||
Tokio Marine Holdings, Inc. | 139,000 | 4,386,141 | ||||||
Tokuyama Corporation | 83,000 | 263,918 | ||||||
Tokyo Electric Power Co., Inc. | 8,900 | 45,945 | ||||||
Tokyo Electron, Ltd. | 45,500 | 2,300,458 | ||||||
Tokyo Gas Co., Ltd. | 30,000 | 165,512 | ||||||
Tokyo Steel Manufacturing Co., Ltd. | 142,200 | 471,348 | ||||||
Toshiba Corporation | 46,300 | 221,943 | ||||||
Tosoh Corporation | 32,000 | 110,799 | ||||||
Toyo Suisan Kaisha, Ltd. | 32,000 | 1,064,727 | ||||||
Toyota Boshoku Corporation | 58,100 | 835,401 | ||||||
Toyota Motor Corporation‡‡ | 109,600 | 6,610,836 | ||||||
Tsumura & Co. | 34,300 | 1,010,835 | ||||||
UNY Group Holdings Co., Ltd.‡‡ | 77,700 | 522,563 | ||||||
USS Co., Ltd.‡‡ | 4,040 | 512,171 | ||||||
West Japan Railway Co.‡‡ | 18,100 | 767,626 | ||||||
Yamada Denki Co., Ltd.D | 9,120 | 369,262 | ||||||
Yamaha Corporation | 7,900 | 90,515 | ||||||
Yamato Holdings Co., Ltd.‡‡ | 5,200 | 109,513 | ||||||
Yokogawa Electric Corporation | 27,900 | 333,539 | ||||||
Yokohama Rubber Co., Ltd. (The) | 16,000 | 160,660 | ||||||
Zuiko CorporationD | 14,000 | 967,607 | ||||||
|
| |||||||
204,561,280 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
Randgold Resources, Ltd.‡‡ | 1,533 | 97,141 | ||||||
|
| |||||||
Luxembourg — 0.2% | ||||||||
APERAM‡‡ | 90,914 | 989,346 | ||||||
ArcelorMittal | 47,375 | 530,153 | ||||||
O’Key Group SA GDR | 8,377 | 94,660 | ||||||
Ternium SA ADRD | 35,824 | 810,697 | ||||||
|
| |||||||
2,424,856 | ||||||||
|
| |||||||
Malaysia — 0.5% | ||||||||
AirAsia Bhd | 463,665 | 466,538 | ||||||
Alliance Financial Group Bhd | 158,100 | 265,210 | ||||||
CIMB Group Holdings Bhd | 306,496 | 798,984 | ||||||
DiGi.Com Bhd | 89,800 | 135,057 | ||||||
Gamuda Bhd | 829,600 | 1,242,927 | ||||||
Lafarge Malayan Cement Bhd | 135,480 | 436,520 | ||||||
Malayan Banking Bhd | 5,500 | 18,045 | ||||||
Public Bank Bhd | 88,500 | 476,997 | ||||||
RHB Capital Bhd | 27,377 | 74,581 | ||||||
Tenaga Nasional Bhd | 653,900 | 1,715,789 | ||||||
UMW Holdings Bhd | 267,600 | 1,233,211 | ||||||
|
| |||||||
6,863,859 | ||||||||
|
| |||||||
Mexico — 1.0% | ||||||||
Alfa SAB de CV | 363,400 | 873,902 | ||||||
America Movil SAB de CV ADRD | 279,814 | 6,085,955 | ||||||
Arca Continental SAB de CV | 86,700 | 664,563 | ||||||
Coca-Cola Femsa SAB de CV ADR | 800 | 112,232 | ||||||
Corporacion Moctezuma SAB de CV@D | 152,307 | 473,702 | ||||||
Genomma Lab Internacional SAB de CV Class BD* | 425,114 | 839,569 | ||||||
Grupo Bimbo SAB de CVD | 27,000 | 81,891 |
See Notes to Financial Statements.
159
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Grupo Financiero Banorte SAB de CV | 283,479 | $ | 1,693,333 | |||||
Grupo Financiero Inbursa SAB de CV | 439,886 | 967,532 | ||||||
Grupo Mexico SAB de CV Series B | 87,200 | 252,365 | ||||||
Grupo Televisa SAB ADRD | 12,100 | 300,564 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 317,800 | 1,042,373 | ||||||
Megacable Holdings SAB de CV | 215,295 | 584,867 | ||||||
|
| |||||||
13,972,848 | ||||||||
|
| |||||||
Mongolia — 0.0% | ||||||||
Mongolian Mining Corporation* | 1,199,180 | 222,472 | ||||||
|
| |||||||
Netherlands — 4.9% | ||||||||
Aegon NV‡‡ | 979,513 | 6,571,575 | ||||||
Akzo Nobel NV | 23,864 | 1,346,544 | ||||||
Corio NV REIT | 368 | 14,646 | ||||||
Delta Lloyd NV | 172,769 | 3,462,276 | ||||||
Gemalto NV | 8,894 | 805,283 | ||||||
ING Groep NV*‡‡ | 1,398,275 | 12,778,891 | ||||||
Koninklijke Ahold NV‡‡ | 647,034 | 9,623,260 | ||||||
Koninklijke DSM NV | 1,028 | 67,018 | ||||||
Koninklijke Philips Electronics NV | 168,327 | 4,588,756 | ||||||
QIAGEN NV* | 4,199 | 82,163 | ||||||
Randstad Holding NVD | 132,980 | 5,466,560 | ||||||
Reed Elsevier NVD | 431,521 | 7,186,732 | ||||||
Royal Dutch Shell PLC Class AD‡‡ | 291,606 | 9,317,270 | ||||||
Royal Dutch Shell PLC Class B‡‡ | 186,588 | 6,179,636 | ||||||
Unilever NV‡‡ | 83,487 | 3,286,391 | ||||||
|
| |||||||
70,777,001 | ||||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
Fletcher Building, Ltd.‡‡ | 44,874 | 291,855 | ||||||
Telecom Corporation of New Zealand, Ltd.‡‡ | 157,460 | 271,946 | ||||||
|
| |||||||
563,801 | ||||||||
|
| |||||||
Nigeria — 0.2% | ||||||||
Afriland Properties PLC REIT+* | 331,249 | — | ||||||
FBN Holdings PLC | 1,882,522 | 206,573 | ||||||
First City Monument Bank PLC* | 9,580,307 | 278,809 | ||||||
Guaranty Trust Bank PLC | 6,895,739 | 1,028,341 | ||||||
Guaranty Trust Bank PLC GDR | 73,563 | 493,608 | ||||||
UBA Capital PLC* | 1,005,741 | 7,735 | ||||||
United Bank for Africa PLC | 10,931,249 | 544,780 | ||||||
|
| |||||||
2,559,846 | ||||||||
|
| |||||||
Norway — 1.1% | ||||||||
DNB ASA‡‡ | 230,623 | 3,345,569 | ||||||
Gjensidige Forsikring ASA | 65,240 | 961,126 | ||||||
Marine Harvest ASAD | 3,896,800 | 3,961,124 | ||||||
Orkla ASA | 217,100 | 1,777,510 | ||||||
Petroleum Geo-Services ASA‡‡ | 87,060 | 1,063,003 | ||||||
Schibsted ASAD | 28,753 | 1,245,385 | ||||||
Statoil ASA‡‡ | 8,366 | 172,826 | ||||||
Telenor ASA | 39,251 | 779,643 | ||||||
TGS Nopec Geophysical Co. ASA‡‡ | 23,328 | 677,903 |
Shares | Value | |||||||
Yara International ASA‡‡ | 51,785 | $ | 2,065,136 | |||||
|
| |||||||
16,049,225 | ||||||||
|
| |||||||
Peru — 0.3% | ||||||||
Cia de Minas Buenaventura SA ADR | 4,800 | 70,848 | ||||||
Credicorp, Ltd.D | 29,363 | 3,757,290 | ||||||
Southern Copper Corporation | 4,200 | 116,004 | ||||||
|
| |||||||
3,944,142 | ||||||||
|
| |||||||
Philippines — 0.3% | ||||||||
Alliance Global Group, Inc.* | 1,533,100 | 824,222 | ||||||
International Container Terminal Services, Inc. | 542,040 | 1,086,482 | ||||||
Megaworld Corporation | 11,619,000 | 883,520 | ||||||
Metropolitan Bank & Trust | 347,100 | 887,928 | ||||||
|
| |||||||
3,682,152 | ||||||||
|
| |||||||
Poland — 0.1% | ||||||||
Alior Bank SA* | 20,221 | 544,750 | ||||||
Grupa Lotos SA* | 9,664 | 104,226 | ||||||
PGE SA | 61,148 | 283,266 | ||||||
Powszechny Zaklad Ubezpieczen SA | 4,303 | 530,184 | ||||||
Telekomunikacja Polska SA | 98,759 | 226,587 | ||||||
|
| |||||||
1,689,013 | ||||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Jeronimo Martins SGPS SA | 58,249 | 1,227,681 | ||||||
|
| |||||||
Russia — 1.3% | ||||||||
Gazprom OAO ADRD | 143,266 | 942,690 | ||||||
LSR Group+ | 3,640 | 60,910 | ||||||
LSR Group GDR | 89,320 | 373,358 | ||||||
Lukoil OAO ADRD | 47,070 | 2,713,585 | ||||||
Magnit OJSC+ | 1,364 | 312,021 | ||||||
Magnit OJSC GDR | 5,349 | 246,365 | ||||||
Mail.ru Group, Ltd. GDR* | 21,550 | 617,623 | ||||||
Mining and Metallurgical Co. Norilsk Nickel ADR | 36,125 | 519,116 | ||||||
NovaTek OAO GDR | 28,222 | 3,368,194 | ||||||
Novolipetsk Steel OJSC GDRD | 49,069 | 647,068 | ||||||
Novorossiysk Commercial Sea Port PJSC GDR@D | 66,881 | 419,678 | ||||||
Novorossiysk Commercial Sea Port PJSC GDR 144A | 10,302 | 66,252 | ||||||
Raspadskaya OAO+* | 187,769 | 174,646 | ||||||
Rosneft OAO GDRD* | 287,400 | 1,994,326 | ||||||
Sberbank of Russia | 1,267,639 | 3,536,713 | ||||||
Sistema JSFC GDR | 15,622 | 268,003 | ||||||
Surgutneftegas OAO ADR | 74,978 | 587,828 | ||||||
Tatneft OAO ADRD | 18,900 | 685,692 | ||||||
X5 Retail Group NV GDRD | 81,424 | 1,472,340 | ||||||
|
| |||||||
19,006,408 | ||||||||
|
| |||||||
Singapore — 1.6% | ||||||||
Ascendas Real Estate | ||||||||
Investment Trust REIT‡‡ | 30,000 | 52,575 | ||||||
CapitaCommercial Trust REIT | 38,000 | 43,837 | ||||||
CapitaLand, Ltd. | 54,000 | 130,463 | ||||||
CapitaMall Trust REIT‡‡ | 33,000 | 51,784 | ||||||
ComfortDelGro Corporation, Ltd.‡‡ | 199,000 | 285,985 | ||||||
DBS Group Holdings, Ltd. | 178,000 | 2,165,886 | ||||||
Global Logistic Properties, Ltd.‡‡ | 34,000 | 73,544 | ||||||
Golden Agri-Resources, Ltd. | 99,300 | 43,715 |
See Notes to Financial Statements.
160
Table of Contents
Shares | Value | |||||||
Hutchison Port Holdings Trust‡‡ | 95,000 | $ | 69,568 | |||||
Jardine Cycle & Carriage, Ltd. | 104,000 | 3,477,140 | ||||||
Keppel Corporation, Ltd.‡‡ | 30,700 | 251,106 | ||||||
Keppel Land, Ltd.‡‡ | 105,000 | 276,112 | ||||||
Keppel REIT | 913,640 | 931,418 | ||||||
Olam International, Ltd.‡‡ | 107,000 | 137,728 | ||||||
Oversea-Chinese Banking Corporation, Ltd.‡‡ | 32,000 | 251,556 | ||||||
SembCorp Industries, Ltd.‡‡ | 1,063,300 | 4,136,765 | ||||||
Singapore Airlines, Ltd. | 6,000 | 47,892 | ||||||
Singapore Exchange, Ltd.‡‡ | 127,000 | 701,979 | ||||||
Singapore Press Holdings, Ltd. | 12,000 | 39,441 | ||||||
Singapore Technologies Engineering, Ltd.‡‡ | 26,000 | 85,648 | ||||||
Singapore Telecommunications, Ltd.‡‡ | 1,255,700 | 3,719,153 | ||||||
StarHub, Ltd.‡‡ | 11,000 | 36,168 | ||||||
United Overseas Bank, Ltd. | 390,417 | 6,096,796 | ||||||
UOL Group, Ltd.‡‡ | 9,186 | 48,561 | ||||||
|
| |||||||
23,154,820 | ||||||||
|
| |||||||
South Africa — 0.7% | ||||||||
African Bank Investments, Ltd.D | 225,839 | 372,855 | ||||||
Bidvest Group, Ltd. | 91,842 | 2,275,470 | ||||||
Capitec Bank Holdings, Ltd. | 7,984 | 155,883 | ||||||
Coronation Fund Managers, Ltd. | 222,770 | 1,414,243 | ||||||
Discovery, Ltd. | 7,357 | 62,548 | ||||||
Growthpoint Properties, Ltd. | 48,500 | 129,418 | ||||||
Impala Platinum Holdings, Ltd. | 27,100 | 255,232 | ||||||
Imperial Holdings, Ltd. | 17,504 | 371,577 | ||||||
Liberty Holdings, Ltd. | 20,934 | 253,579 | ||||||
MTN Group, Ltd. | 38,490 | 715,891 | ||||||
Naspers, Ltd. | 3,899 | 287,792 | ||||||
Pick’n Pay Holdings, Ltd. | 23,527 | 42,960 | ||||||
Pick’n Pay Stores, Ltd. | 148,694 | 595,976 | ||||||
Redefine Properties, Ltd.* | 82,300 | 87,337 | ||||||
Royal Bafokeng Platinum, Ltd.* | 20,766 | 92,433 | ||||||
Sasol, Ltd. | 5,489 | 238,979 | ||||||
Standard Bank Group, Ltd. | 151,711 | 1,709,588 | ||||||
Woolworths Holdings, Ltd. | 122,100 | 795,869 | ||||||
|
| |||||||
9,857,630 | ||||||||
|
| |||||||
South Korea — 2.6% | ||||||||
Celltrion, Inc.D | 19,467 | 712,509 | ||||||
Daelim Industrial Co., Ltd. | 3,252 | 245,130 | ||||||
Daum Communications Corporation | 5,018 | 345,867 | ||||||
DGB Financial Group, Inc. | 2,400 | 32,620 | ||||||
Dongbu Insurance Co., Ltd. | 3,090 | 130,311 | ||||||
GS Home Shopping, Inc. | 4,413 | 913,861 | ||||||
Hana Financial Group, Inc. | 3 | 87 | ||||||
Hanwha Corporation | 7,030 | 179,711 | ||||||
Hanwha Life Insurance Co., Ltd. | 56,500 | 325,215 | ||||||
Hyosung Corporation | 6,622 | 340,301 | ||||||
Hyundai Hysco | 12,200 | 364,176 | ||||||
Hyundai Securities Co., Ltd. | 6,900 | 38,324 | ||||||
Hyundai Wia Corporation | 4,476 | 661,648 | ||||||
Kia Motors Corporation | 34,969 | 1,888,406 | ||||||
KIWOOM Securities Co., Ltd. | 5,133 | 247,172 |
Shares | Value | |||||||
Korea Electric Power Corporation* | 44,126 | $ | 1,014,943 | |||||
KT Corporation ADR | 28,500 | 442,320 | ||||||
LG Corporation | 13,035 | 721,675 | ||||||
LG Display Co., Ltd. | 28,710 | 685,016 | ||||||
LG Electronics, Inc. | 4,686 | 297,836 | ||||||
LG Uplus Corporation | 9,760 | 102,125 | ||||||
Lotte Shopping Co., Ltd. | 2,983 | 923,932 | ||||||
MegaStudy Co., Ltd. | 2,999 | 161,569 | ||||||
Mirae Asset Securities Co., Ltd. | 3,340 | 121,174 | ||||||
NHN Corporation | 8,079 | 2,051,141 | ||||||
POSCO ADRD | 6,886 | 448,141 | ||||||
Samsung Card Co., Ltd. | 6,230 | 211,406 | ||||||
Samsung Electronics Co., Ltd. | 11,003 | 12,860,573 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 15,792 | 3,216,031 | ||||||
Samsung Heavy Industries Co., Ltd. | 57,010 | 1,773,961 | ||||||
Shinhan Financial Group Co., Ltd. | 109,711 | 3,597,204 | ||||||
SK Holdings Co., Ltd. | 1,576 | 233,091 | ||||||
SK Innovation Co., Ltd. | 350 | 41,232 | ||||||
SK Telecom Co., Ltd. | 7,420 | 1,364,579 | ||||||
Woori Finance Holdings Co., Ltd. | 37,170 | 341,317 | ||||||
|
| |||||||
37,034,604 | ||||||||
|
| |||||||
Spain — 2.9% | ||||||||
Amadeus IT Holding SA‡‡ | 229,452 | 7,343,612 | ||||||
Banco Bilbao Vizcaya Argentaria SA‡‡ | 70,923 | 596,024 | ||||||
Banco Popular Espanol SAD | 419,630 | 1,284,634 | ||||||
Banco Santander SA‡‡ | 1,215,862 | 7,780,559 | ||||||
Distribuidora Internacional de Alimentacion SA | 156,595 | 1,182,955 | ||||||
Ebro Foods SA | 106,101 | 2,179,182 | ||||||
Endesa SA‡‡ | 50,391 | 1,076,152 | ||||||
Ferrovial SA | 31,056 | 495,807 | ||||||
Gas Natural SDG SA‡‡ | 50,762 | 1,022,725 | ||||||
Grifols SA | 2,523 | 92,693 | ||||||
Iberdrola SAD‡‡ | 1,482,910 | 7,836,550 | ||||||
Inditex SA | 40,791 | 5,031,351 | ||||||
Tecnicas Reunidas SA‡‡ | 28,835 | 1,324,483 | ||||||
Telefonica SA | 385,267 | 4,956,587 | ||||||
|
| |||||||
42,203,314 | ||||||||
|
| |||||||
Sri Lanka — 0.0% | ||||||||
Dialog Axiata PLC@ | 2,452,710 | 161,759 | ||||||
|
| |||||||
Sweden — 1.9% | ||||||||
Alfa Laval AB | 77,624 | 1,585,496 | ||||||
Atlas Copco AB Class AD | 214,189 | 5,162,347 | ||||||
Electrolux AB‡‡ | 10,514 | 265,318 | ||||||
Elekta ABD | 66,553 | 1,011,510 | ||||||
Hennes & Mauritz AB Class B | 104,290 | 3,431,285 | ||||||
Investment Kinnevik AB Class BD | 37,719 | 967,006 | ||||||
Investor AB Class B‡‡ | 3,383 | 90,803 | ||||||
Meda AB | 133,616 | 1,512,145 | ||||||
NCC AB Class B‡‡ | 1,499 | 34,119 | ||||||
Nordea Bank AB‡‡ | 125,373 | 1,400,074 | ||||||
Sandvik ABD | 125,791 | 1,502,363 | ||||||
Skandinaviska Enskilda Banken AB | 42,548 | 406,206 | ||||||
SKF AB Class B‡‡ | 25,094 | 587,880 |
See Notes to Financial Statements.
161
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Svenska Cellulosa AB Class B‡‡ | 85,939 | $ | 2,155,241 | |||||
Svenska Handelsbanken AB Class A | 61,149 | 2,449,901 | ||||||
Swedbank AB Class A | 97,700 | 2,237,775 | ||||||
TeliaSonera AB‡‡ | 37,643 | 245,309 | ||||||
Trelleborg AB Class B‡‡ | 149,595 | 2,243,463 | ||||||
|
| |||||||
27,288,241 | ||||||||
|
| |||||||
Switzerland — 7.5% | ||||||||
ABB, Ltd.D | 369,065 | 7,994,670 | ||||||
ABB, Ltd. ADRD | 32,400 | 701,784 | ||||||
Actelion, Ltd.‡‡ | 22,527 | 1,356,974 | ||||||
Adecco SA‡‡ | 17,151 | 976,783 | ||||||
Baloise Holding AG‡‡ | 4,229 | 410,742 | ||||||
Cie Financiere Richemont SA | 48,369 | 4,265,580 | ||||||
Coca-Cola HBC AG ADR | 47,731 | 1,115,951 | ||||||
Credit Suisse Group AGD | 209,274 | 5,540,346 | ||||||
Dufry AG* | 8,000 | 969,093 | ||||||
Ferrexpo PLC‡‡ | 62,007 | 125,898 | ||||||
Geberit AGD | 7,310 | 1,810,860 | ||||||
Georg Fischer AG‡‡ | 952 | 419,212 | ||||||
Givaudan SA‡‡ | 537 | 691,965 | ||||||
Glencore Xstrata PLC‡‡ | 189,409 | 784,060 | ||||||
Helvetia Holding AG | 1,612 | 650,536 | ||||||
Julius Baer Group, Ltd. | 121,403 | 4,738,165 | ||||||
Kuehne + Nagel International AGD | 14,080 | 1,544,789 | ||||||
Logitech International SA‡‡ | 182,499 | 1,257,814 | ||||||
Lonza Group AGD | 56,755 | 4,264,429 | ||||||
Nestle SA‡‡ | 174,231 | 11,433,108 | ||||||
Novartis AG‡‡ | 236,458 | 16,748,450 | ||||||
OC Oerlikon Corporation AG*‡‡ | 285,572 | 3,383,285 | ||||||
Roche Holding AG‡‡ | 54,001 | 13,402,905 | ||||||
STMicroelectronics NV‡‡ | 152,734 | 1,372,590 | ||||||
Sulzer AG‡‡ | 2,349 | 375,095 | ||||||
Swatch Group AG (The) | 1,706 | 931,884 | ||||||
Swiss Life Holding AG‡‡ | 9,221 | 1,496,773 | ||||||
Swiss Re AG | 47,944 | 3,567,077 | ||||||
Syngenta AGD‡‡ | 11,130 | 4,340,242 | ||||||
Transocean, Ltd.‡‡ | 4,575 | 219,678 | ||||||
Wolseley PLC‡‡ | 67,521 | 3,115,407 | ||||||
Zurich Insurance Group AG | 32,560 | 8,439,851 | ||||||
|
| |||||||
108,445,996 | ||||||||
|
| |||||||
Taiwan — 2.3% | ||||||||
AU Optronics Corporation | 698,000 | 247,879 | ||||||
Chailease Holding Co., Ltd. | 395,000 | 924,510 | ||||||
Cheng Shin Rubber Industry Co, Ltd. | 465,000 | 1,460,811 | ||||||
Chicony Electronics Co., Ltd. | 116,000 | 301,463 | ||||||
China Motor Corporation | 96,000 | 84,464 | ||||||
China Petrochemical Development Corporation | 725 | 368 | ||||||
Chroma ATE, Inc. | 131,573 | 222,659 | ||||||
CTBC Financial Holding Co., Ltd. | 12,000 | 7,407 | ||||||
Delta Electronics, Inc. | 124,000 | 563,144 | ||||||
Far EasTone Telecommunications Co., Ltd. | 73,000 | 195,648 | ||||||
Feng Hsin Iron & Steel Co. | 66,000 | 116,282 | ||||||
Foxconn Technology Co., Ltd. | 150 | 361 | ||||||
Hon Hai Precision Industry Co., Ltd. | 231,700 | 566,282 |
Shares | Value | |||||||
Innolux Corporation | 482,000 | $ | 238,008 | |||||
Lite-On Technology Corporation | 220,460 | 385,355 | ||||||
MediaTek, Inc. | 202,719 | 2,337,064 | ||||||
MStar Semiconductor, Inc. | 5,000 | 35,845 | ||||||
Novatek Microelectronics Corporation, Ltd. | 160,000 | 770,859 | ||||||
President Chain Store Corporation | 34,000 | 222,252 | ||||||
Realtek Semiconductor Corporation | 349,460 | 822,930 | ||||||
Richtek Technology Corporation | 52,337 | 230,993 | ||||||
Siliconware Precision Industries Co. ADRD | 4,800 | 30,096 | ||||||
SinoPac Financial Holdings Co., Ltd. | 250,678 | 118,551 | ||||||
Taiwan Cement Corporation | 78,000 | 95,567 | ||||||
Taiwan Cooperative Financial Holding | 600 | 332 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3,255,011 | 11,783,453 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD | 477,936 | 8,755,788 | ||||||
Teco Electric and Machinery Co., Ltd. | 1,541,400 | 1,534,344 | ||||||
Uni-President Enterprises Corporation | 717,270 | 1,394,279 | ||||||
Walsin Lihwa Corporation | 611,000 | 171,958 | ||||||
Wistron Corporation | 500 | 504 | ||||||
|
| |||||||
33,619,456 | ||||||||
|
| |||||||
Thailand — 1.0% | ||||||||
Advanced Info Service PCL NVDR | 64,600 | 584,012 | ||||||
Bangkok Bank PCL NVDRD | 202,800 | 1,323,815 | ||||||
Bank of Ayudhya PCL | 165,600 | 188,596 | ||||||
Bank of Ayudhya PCL NVDR | 2,421,348 | 2,753,763 | ||||||
Big C Supercenter PCL NVDR | 137,700 | 822,091 | ||||||
BTS Group Holdings PCL | 5,984,400 | 1,476,081 | ||||||
Central Pattana PCLD | 1,259,132 | 1,826,888 | ||||||
Kasikornbank PCL NVDR | 90,700 | 553,748 | ||||||
KCE Electronics PCL | 843,600 | 421,596 | ||||||
Krung Thai Bank PCL NVDRD | 910,875 | 591,948 | ||||||
Minor International PCL | 1,214,700 | 971,290 | ||||||
Robinson Department Store PCLD | 225,000 | 442,528 | ||||||
Sansiri PCLD | 8,137,200 | 818,574 | ||||||
Siam Commercial Bank PCL | 144,626 | 802,053 | ||||||
Siam Commercial Bank PCL NVDRD | 55,500 | 305,617 | ||||||
Thai Oil PCL NVDRD | 83,500 | 168,365 | ||||||
TMB Bank PCL | 4,286,337 | 309,573 | ||||||
|
| |||||||
14,360,538 | ||||||||
|
| |||||||
Turkey — 0.6% | ||||||||
Akfen Holding AS* | 87,726 | 210,380 | ||||||
BIM Birlesik Magazalar AS | 32,414 | 703,049 | ||||||
Coca-Cola Icecek AS | 27,055 | 778,531 | ||||||
TAV Havalimanlari Holding AS | 15,728 | 91,991 | ||||||
Turk Hava Yollari | 357,445 | 1,388,774 | ||||||
Türkiye Garanti Bankasi AS | 979,479 | 4,269,537 | ||||||
Türkiye Halk Bankasi AS | 26,967 | 228,491 | ||||||
Turkiye Vakiflar Bankasi Tao | 78,787 | 196,185 |
See Notes to Financial Statements.
162
Table of Contents
Shares | Value | |||||||
Yapi ve Kredi Bankasi AS | 414,149 | $ | 941,517 | |||||
|
| |||||||
8,808,455 | ||||||||
|
| |||||||
United Kingdom — 15.5% | ||||||||
3i Group PLC | 309,210 | 1,587,714 | ||||||
Aberdeen Asset Management PLC | 242,790 | 1,412,960 | ||||||
Aggreko PLC | 73,294 | 1,831,957 | ||||||
Alent PLC‡‡ | 70,755 | 351,029 | ||||||
AMEC PLC‡‡ | 199,190 | 3,046,470 | ||||||
Anglo American PLC | 410,737 | 7,957,786 | ||||||
ARM Holdings PLC‡‡ | 368,487 | 4,457,643 | ||||||
Associated British Foods PLC‡‡ | 16,970 | 447,673 | ||||||
AstraZeneca PLC‡‡ | 55,099 | 2,605,033 | ||||||
Aviva PLC‡‡ | 446,370 | 2,300,671 | ||||||
Babcock International Group PLC‡‡ | 46,176 | 775,342 | ||||||
BAE Systems PLC‡‡ | 162,980 | 949,117 | ||||||
Barclays PLC‡‡ | 1,904,938 | 8,112,694 | ||||||
Barratt Developments PLC*‡‡ | 749,790 | 3,527,327 | ||||||
BG Group PLC | 409,938 | 6,966,553 | ||||||
BHP Billiton PLC‡‡ | 175,069 | 4,463,908 | ||||||
BP PLC‡‡ | 2,014,501 | 13,980,614 | ||||||
British Land Co. PLC REIT‡‡ | 11,811 | 101,748 | ||||||
Britvic PLC | 241,594 | 1,884,870 | ||||||
BT Group PLC‡‡ | 386,964 | 1,816,711 | ||||||
Cairn Energy PLC* | 7,744 | 29,802 | ||||||
Centrica PLC‡‡ | 484,311 | 2,649,059 | ||||||
Cobham PLC‡‡ | 11,978 | 47,757 | ||||||
Compass Group PLC‡‡ | 917,822 | 11,727,616 | ||||||
Daily Mail & General Trust PLC‡‡ | 23,864 | 279,511 | ||||||
Dairy Crest Group PLC | 271,000 | 1,872,287 | ||||||
Darty PLC‡‡ | 45,566 | 39,970 | ||||||
Drax Group PLC‡‡ | 21,021 | 186,546 | ||||||
DS Smith PLC | 595,100 | 2,238,619 | ||||||
easyJet PLC‡‡ | 6,564 | 129,383 | ||||||
G4S PLC | 563,385 | 1,986,505 | ||||||
GKN PLC‡‡ | 821,337 | 3,759,607 | ||||||
GlaxoSmithKline PLC‡‡ | 410,437 | 10,259,441 | ||||||
Hammerson PLC REIT‡‡ | 6,134 | 45,482 | ||||||
Hikma Pharmaceuticals PLC | 12,389 | 179,288 | ||||||
Howden Joinery Group PLC | 282,300 | 1,090,070 | ||||||
HSBC Holdings PLC‡‡ | 1,628,946 | 16,863,193 | ||||||
IMI PLC‡‡ | 13,025 | 245,503 | ||||||
Inchcape PLC‡‡ | 80,879 | 615,778 | ||||||
InterContinental Hotels Group PLC‡‡ | 17,487 | 480,584 | ||||||
Intu Properties PLC REIT | 3,152 | 14,983 | ||||||
ITV PLC‡‡ | 772,579 | 1,647,191 | ||||||
J Sainsbury PLC‡‡ | 144,927 | 783,313 | ||||||
John Wood Group PLC‡‡ | 36,211 | 446,599 | ||||||
Johnson Matthey PLC‡‡ | 10,753 | 429,638 | ||||||
Kazakhmys PLC‡‡ | 69,101 | 272,751 | ||||||
Kingfisher PLC‡‡ | 57,471 | 299,645 | ||||||
Land Securities Group PLC REIT‡‡ | 10,536 | 141,507 | ||||||
Legal & General Group PLC‡‡ | 648,959 | 1,691,426 | ||||||
Man Strategic Holdings PLC*‡‡ | 329,476 | 416,203 | ||||||
Meggitt PLC | 490,424 | 3,863,920 | ||||||
Mondi PLC‡‡ | 213,427 | 2,657,308 | ||||||
National Grid PLC‡‡ | 740,195 | 8,390,624 | ||||||
Next PLC‡‡ | 33,710 | 2,335,113 | ||||||
Persimmon PLC‡‡ | 8,890 | 159,584 |
Shares | Value | |||||||
Premier Oil PLC | 261,735 | $ | 1,327,716 | |||||
Provident Financial PLC‡‡ | 1,710 | 38,714 | ||||||
Prudential PLC‡‡ | 458,028 | 7,476,334 | ||||||
Reckitt Benckiser Group PLC‡‡ | 40,767 | 2,883,733 | ||||||
Reed Elsevier PLC‡‡ | 17,027 | 193,635 | ||||||
Rexam PLC‡‡ | 15,190 | 110,238 | ||||||
Rio Tinto PLC‡‡ | 96,800 | 3,936,779 | ||||||
Rolls-Royce Holdings PLC@*‡‡ | 437,049 | 7,525,325 | ||||||
Rolls-Royce Holdings PLC +@*‡‡ | 52,008,831 | 79,103 | ||||||
Rotork PLC | 59,458 | 2,413,624 | ||||||
RSA Insurance Group PLC‡‡ | 262,850 | 476,864 | ||||||
Sage Group PLC (The)‡‡ | 258,273 | 1,334,822 | ||||||
Segro PLC REIT | 12,232 | 51,892 | ||||||
Smith & Nephew PLC | 144,419 | 1,617,483 | ||||||
Spirax-Sarco Engineering PLC | 47,585 | 1,950,227 | ||||||
SSE PLC‡‡ | 20,478 | 474,224 | ||||||
Standard Chartered PLCD | 530,490 | 11,526,307 | ||||||
Standard Life PLC‡‡ | 432,604 | 2,276,668 | ||||||
Tate & Lyle PLC‡‡ | 72,178 | 905,599 | ||||||
Tesco PLC‡‡ | 1,587,104 | 7,992,412 | ||||||
Thomas Cook Group PLC‡‡ | 616,967 | 1,207,661 | ||||||
TUI Travel PLC‡‡ | 67,031 | 363,429 | ||||||
Tullow Oil PLC‡‡ | 309,497 | 4,711,445 | ||||||
Unilever PLC‡‡ | 167,679 | 6,788,053 | ||||||
Vesuvius PLC‡‡ | 102,909 | 576,604 | ||||||
Vodafone Group PLC‡‡ | 2,079,214 | 5,958,393 | ||||||
Whitbread PLC | 18,260 | 849,454 | ||||||
WM Morrison Supermarkets PLC | 395,321 | 1,573,565 | ||||||
WPP PLC‡‡ | 20,193 | 345,158 | ||||||
|
| |||||||
223,819,087 | ||||||||
|
| |||||||
USA — 0.1% | ||||||||
Cognizant Technology Solutions Corporation Class A* | 21,708 | 1,359,138 | ||||||
|
| |||||||
Total Foreign Common Stocks | ||||||||
(Cost $1,280,886,572) | 1,364,971,195 | |||||||
|
| |||||||
FOREIGN PREFERRED | ||||||||
Australia — 0.0% | ||||||||
ASX Ltd. REIT, 6.79%*‡‡ | 266 | 757 | ||||||
|
| |||||||
Brazil — 0.2% | ||||||||
Braskem SA* | 50,600 | 372,807 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar | 10,815 | 484,733 | ||||||
Cia Energeticade Sao Paulo, 4.05% | 37,600 | 325,557 | ||||||
Investimentos Itau SA | 158,409 | 586,398 | ||||||
Itau Unibanco Holding SA | 28,930 | 373,658 | ||||||
Lojas Americanas SA, 0.43% | 21,000 | 146,441 | ||||||
Usinas Siderurgicas de Minas Gerais SA* | 85,500 | 285,849 | ||||||
|
| |||||||
2,575,443 | ||||||||
|
| |||||||
Chile — 0.0% | ||||||||
Embotelladora Andina SA Class A | 38,000 | 167,543 | ||||||
Embotelladora Andina SA Class B | 22,900 | 132,518 | ||||||
|
| |||||||
300,061 | ||||||||
|
|
See Notes to Financial Statements.
163
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||
Germany — 0.5% | ||||||||
Henkel AG & Co. KGaA, | 24,299 | $ | 2,281,901 | |||||
Porsche Automobil Holding SE | 31,651 | 2,444,159 | ||||||
ProSiebenSat.1 Media AG‡‡ | 58,787 | 2,521,377 | ||||||
|
| |||||||
7,247,437 | ||||||||
|
| |||||||
South Korea — 0.1% | ||||||||
Samsung Electronics Co., Ltd. | 3,046 | 2,349,009 | ||||||
|
| |||||||
Total Foreign Preferred Stocks | ||||||||
(Cost $9,735,560) | 12,472,707 | |||||||
|
| |||||||
WARRANTS — 0.0% | ||||||||
KCE Electronics PCL+ (Cost $0) | 176,575 | — | ||||||
|
| |||||||
MONEY MARKET | ||||||||
GuideStone Money Market Fund (GS4 Class)¥ | 92,737,605 | 92,737,605 | ||||||
Northern Institutional Liquid Assets Portfolio§ | 144,910,392 | 144,910,392 | ||||||
|
| |||||||
Total Money Market Funds | ||||||||
(Cost $237,647,997) | 237,647,997 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 112.0% | ||||||||
(Cost $1,528,270,129) | 1,615,091,899 | |||||||
|
| |||||||
FOREIGN COMMON STOCKS SOLD SHORT — (5.8)% | ||||||||
Australia — (0.5)% | ||||||||
ALS, Ltd. | (84,222 | ) | (733,181 | ) | ||||
Aurizon Holdings, Ltd. | (26,535 | ) | (100,794 | ) | ||||
Boart Longyear Group | (507,088 | ) | (313,037 | ) | ||||
Boral, Ltd. | (67,957 | ) | (260,027 | ) | ||||
Cochlear, Ltd. | (9,817 | ) | (550,970 | ) | ||||
David Jones, Ltd. | (23,767 | ) | (55,316 | ) | ||||
DUET Group | (46,578 | ) | (85,450 | ) | ||||
Harvey Norman Holdings, Ltd. | (151,166 | ) | (350,823 | ) | ||||
Iluka Resources, Ltd. | (47,600 | ) | (428,978 | ) | ||||
Mineral Resources, Ltd. | (26,092 | ) | (196,350 | ) | ||||
Monadelphous Group, Ltd. | (1,208 | ) | (17,712 | ) | ||||
Mount Gibson Iron, Ltd. | (538,156 | ) | (226,900 | ) | ||||
Oil Search, Ltd. | (79,533 | ) | (560,159 | ) | ||||
Orica, Ltd. | (18,508 | ) | (348,886 | ) | ||||
Origin Energy, Ltd. | (10,533 | ) | (120,702 | ) | ||||
Seek, Ltd. | (45,003 | ) | (372,525 | ) | ||||
SP AusNet | (151,745 | ) | (162,804 | ) | ||||
Spark Infrastructure Group | (176,406 | ) | (279,744 | ) | ||||
Toll Holdings, Ltd. | (74,550 | ) | (360,814 | ) | ||||
Transurban Group | (91,399 | ) | (564,440 | ) | ||||
UGL, Ltd. | (70,944 | ) | (445,536 | ) | ||||
Whitehaven Coal, Ltd. | (113,243 | ) | (238,262 | ) | ||||
|
| |||||||
(6,773,410 | ) | |||||||
|
| |||||||
Bermuda — 0.0% | ||||||||
Seadrill, Ltd. | (9,431 | ) | (379,847 | ) | ||||
|
| |||||||
Denmark — (0.3)% | ||||||||
FLSmidth & Co. A/S | (35,453 | ) | (1,610,104 | ) | ||||
Novozymes A/S Class B | (90,844 | ) | (2,909,753 | ) | ||||
|
| |||||||
(4,519,857 | ) | |||||||
|
| |||||||
Finland — (0.1)% | ||||||||
Cargotec OYJ Class B | (2,512 | ) | (67,127 | ) | ||||
Nokian Renkaat OYJ | (38,678 | ) | (1,573,848 | ) | ||||
Stora Enso OYJ Class R | (60,237 | ) | (403,361 | ) | ||||
|
| |||||||
(2,044,336 | ) | |||||||
|
|
Shares | Value | |||||||
France — (0.8)% | ||||||||
Alcatel-Lucent* | (300,620 | ) | $ | (547,485 | ) | |||
Carrefour SA | (35,881 | ) | (985,526 | ) | ||||
Cie de St-Gobain | (11,542 | ) | (467,685 | ) | ||||
Eutelsat Communications SA | (14,537 | ) | (412,428 | ) | ||||
Faurecia | (33,228 | ) | (735,064 | ) | ||||
Hermes International | (750 | ) | (242,075 | ) | ||||
Neopost SA | (8,715 | ) | (577,032 | ) | ||||
Nexans SA | (35,041 | ) | (1,662,739 | ) | ||||
Peugeot SA | (73,000 | ) | (602,099 | ) | ||||
Vallourec SA | (63,789 | ) | (3,237,052 | ) | ||||
Veolia Environnement SA | (190,246 | ) | (2,172,063 | ) | ||||
|
| |||||||
(11,641,248 | ) | |||||||
|
| |||||||
Germany — (0.7)% | ||||||||
Aixtron SE | (109,659 | ) | (1,839,790 | ) | ||||
Commerzbank AG* | (115,299 | ) | (1,001,625 | ) | ||||
Dialog Semiconductor PLC* | (83,001 | ) | (1,036,457 | ) | ||||
Fraport AG Frankfurt Airport Services Worldwide | (8,899 | ) | (537,744 | ) | ||||
Infineon Technologies AG | (127,000 | ) | (1,063,101 | ) | ||||
K+S AG | (23,895 | ) | (883,086 | ) | ||||
Sky Deutschland AG* | (344,241 | ) | (2,391,029 | ) | ||||
Stada Arzneimittel AG | (16,481 | ) | (708,366 | ) | ||||
|
| |||||||
(9,461,198 | ) | |||||||
|
| |||||||
Italy — (0.5)% | ||||||||
A2A SpA | (3,593,403 | ) | (2,671,300 | ) | ||||
Enel Green Power SpA | (653,735 | ) | (1,356,737 | ) | ||||
Mediaset SpA | (654,233 | ) | (2,464,309 | ) | ||||
Pirelli & C. SpA | (69,688 | ) | (805,599 | ) | ||||
|
| |||||||
(7,297,945 | ) | |||||||
|
| |||||||
Japan — (1.3)% | ||||||||
ABC-Mart, Inc. | (1,200 | ) | (46,771 | ) | ||||
Acom Co., Ltd. | (13,880 | ) | (441,560 | ) | ||||
Advantest Corporation | (15,700 | ) | (258,686 | ) | ||||
AEON Financial Service Co., Ltd. | (5,800 | ) | (164,299 | ) | ||||
Alps Electric Co., Ltd. | (20,300 | ) | (151,422 | ) | ||||
Asics Corporation | (15,700 | ) | (247,426 | ) | ||||
Capcom Co., Ltd. | (5,400 | ) | (87,105 | ) | ||||
Credit Saison Co., Ltd. | (2,000 | ) | (50,254 | ) | ||||
Daikin Industries, Ltd. | (1,600 | ) | (64,672 | ) | ||||
Dainippon Screen Manufacturing Co., Ltd. | (134,000 | ) | (707,892 | ) | ||||
Disco Corporation | (17,600 | ) | (1,213,923 | ) | ||||
GS Yuasa Corporation | (130,000 | ) | (540,978 | ) | ||||
Hitachi Metals, Ltd. | (94,000 | ) | (1,052,862 | ) | ||||
Kakaku.com, Inc. | (30,300 | ) | (925,275 | ) | ||||
Kansai Paint Co., Ltd. | (20,000 | ) | (255,303 | ) | ||||
Kobe Steel, Ltd. | (141,000 | ) | (174,371 | ) | ||||
Makita Corporation | (3,000 | ) | (161,287 | ) | ||||
Minebea Co., Ltd. | (108,000 | ) | (392,884 | ) | ||||
Mitsubishi Gas Chemical Co., Inc. | (55,000 | ) | (403,237 | ) | ||||
Mitsui OSK Lines, Ltd. | (84,000 | ) | (326,435 | ) | ||||
Murata Manufacturing Co. Ltd. | (9,900 | ) | (753,043 | ) | ||||
Nabtesco Corporation | (33,100 | ) | (687,247 | ) | ||||
Nachi-Fujikoshi Corporation | (199,000 | ) | (892,595 | ) | ||||
NGK Insulators, Ltd. | (25,000 | ) | (308,939 | ) | ||||
Nidec Corporation | (18,700 | ) | (1,308,293 | ) | ||||
Nippon Sheet Glass Co., Ltd. | (585,000 | ) | (547,148 | ) | ||||
NOK Corporation | (10,100 | ) | (160,132 | ) | ||||
NTN Corporation | (396,000 | ) | (1,219,522 | ) |
See Notes to Financial Statements.
164
Table of Contents
Shares | Value | |||||||
OSAKA Titanium Technologies Co. | (31,100 | ) | $ | (554,622 | ) | |||
Rakuten, Inc. | (138,400 | ) | (1,636,578 | ) | ||||
Rinnai Corporation | (4,700 | ) | (334,196 | ) | ||||
Shikoku Electric Power Co., Inc. | (37,400 | ) | (675,374 | ) | ||||
SMC Corporation | (1,000 | ) | (200,476 | ) | ||||
Start Today Co., Ltd. | (46,200 | ) | (904,669 | ) | ||||
Terumo Corporation | (11,500 | ) | (571,629 | ) | ||||
Toho Titanium Co., Ltd. | (3,900 | ) | (29,301 | ) | ||||
Yamada Denki Co., Ltd. | (11,870 | ) | (480,608 | ) | ||||
Yamaha Motor Co., Ltd. | (16,400 | ) | (212,412 | ) | ||||
Yaskawa Electric Corporation | (13,000 | ) | (157,776 | ) | ||||
|
| |||||||
(19,301,202 | ) | |||||||
|
| |||||||
Liberia — 0.0% | ||||||||
Royal Caribbean Cruises, Ltd. | (8,768 | ) | (293,164 | ) | ||||
|
| |||||||
Netherlands — (0.5)% | ||||||||
ASML Holding NV | (29,000 | ) | (2,289,270 | ) | ||||
Fugro NV | (18,529 | ) | (1,006,793 | ) | ||||
Koninklijke KPN NV | (866,000 | ) | (1,796,765 | ) | ||||
Royal Imtech NV | (47,647 | ) | (350,729 | ) | ||||
TNT Express NV | (148,087 | ) | (1,109,509 | ) | ||||
|
| |||||||
(6,553,066 | ) | |||||||
|
| |||||||
Norway — (0.1)% | ||||||||
Storebrand ASA | (312,005 | ) | (1,506,282 | ) | ||||
|
| |||||||
Spain — (0.1)% | ||||||||
Indra Sistemas SA | (32,625 | ) | (421,395 | ) | ||||
Telefonica SA | (29,183 | ) | (375,449 | ) | ||||
|
| |||||||
(796,844 | ) | |||||||
|
| |||||||
Sweden — 0.0% | ||||||||
SSAB AB | (63,289 | ) | (377,990 | ) | ||||
|
| |||||||
Switzerland — (0.2)% | ||||||||
Clariant AG | (59,902 | ) | (844,403 | ) | ||||
Credit Suisse Group AG | (41,343 | ) | (1,094,518 | ) | ||||
Kuehne + Nagel International AG | (7,907 | ) | (867,517 | ) | ||||
|
| |||||||
(2,806,438 | ) | |||||||
|
| |||||||
United Kingdom — (0.7)% | ||||||||
Admiral Group PLC | (64,001 | ) | (1,289,241 | ) | ||||
Aggreko PLC | (50,949 | ) | (1,273,452 | ) | ||||
Anglo American PLC | (42,000 | ) | (809,371 | ) | ||||
Capita PLC | (109,503 | ) | (1,609,595 | ) | ||||
Eurasian Natural Resources Corporation PLC | (341,057 | ) | (1,063,213 | ) | ||||
Invensys PLC | (36,543 | ) | (228,833 | ) | ||||
Lonmin PLC | (181,187 | ) | (702,432 | ) | ||||
Michael Page International PLC | (61,047 | ) | (345,309 | ) | ||||
Rolls-Royce Holdings PLC Class C+ | (42,669 | ) | — | |||||
Vedanta Resources PLC | (95,047 | ) | (1,477,317 | ) | ||||
Weir Group PLC (The) | (52,176 | ) | (1,706,105 | ) | ||||
|
| |||||||
(10,504,868 | ) | |||||||
|
| |||||||
Total Foreign Common Stocks Sold Short | ||||||||
(Cost $(82,366,437)) | (84,257,695 | ) | ||||||
|
| |||||||
Liabilities in Excess of Other | ||||||||
Assets — (6.2)% | (89,023,833 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,441,810,371 | ||||||
|
|
PORTFOLIO SUMMARY (based on net assets)
% | ||||
Financial Services | 21.9 | |||
Money Market Funds | 16.5 | |||
Consumer Discretionary | 14.3 | |||
Producer Durables | 11.1 | |||
Materials & Processing | 10.4 | |||
Technology | 10.2 | |||
Futures Contracts | 9.3 | |||
Healthcare | 8.0 | |||
Energy | 6.4 | |||
Consumer Staples | 6.1 | |||
Utilities | 6.0 | |||
Forward Foreign Currency Contracts | 1.2 | |||
Foreign Preferred Stocks | 0.8 | |||
Other Energy | 0.2 | |||
Auto & Transportation | 0.1 | |||
Warrants | — | ** | ||
Securities Sold Short | (5.8 | ) | ||
|
| |||
116.7 | ||||
|
|
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
165
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INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at June 30, 2013:
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Total Return Swap | ||||||||||||||||||||||||
Turkish Equity Index Swap | 09/18/13 | GSC | TRL | $ | (1,100,634 | ) | $ | (25,137 | ) | $ | — | $ | (25,137 | ) | ||||||||||
|
|
|
|
|
|
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of June 30, 2013, 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 | $ | 1,364,971,195 | $ | 140,831,120 | $ | 1,223,497,166 | $ | 642,909 | ||||||||
Foreign Preferred Stocks | 12,472,707 | 2,876,261 | 9,596,446 | — | ||||||||||||
Money Market Funds | 237,647,997 | 237,647,997 | — | — | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Investments in Securities | $ | 1,615,091,899 | $ | 381,355,378 | $ | 1,233,093,612 | $ | 642,909 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 751,879 | $ | — | $ | 751,879 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets — Other Financial Instruments | $ | 751,879 | $ | — | $ | 751,879 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Foreign Common Stocks Sold Short | $ | (84,257,695 | ) | $ | (606,201 | ) | $ | (83,651,494 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Investments in Securities | $ | (84,257,695 | ) | $ | (606,201 | ) | $ | (83,651,494 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | (2,604,125 | ) | $ | (2,604,125 | ) | $ | — | $ | — | ||||||
Swap Agreements | (25,137 | ) | — | (25,137 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities — Other Financial Instruments | $ | (2,629,262 | ) | $ | (2,604,125 | ) | $ | (25,137 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
*** | 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. |
LEVEL 1-2 TRANSFERS
The Fund had securities that transferred from Level 2 to Level 1 of the fair value hierarchy as a result of foreign equities that were fair valued at December 31, 2012 that are now being valued based on quoted prices. The value of the securities that were transferred to Level 1 as of June 30, 2013 is $9,163,323.
The Fund had securities that transferred from Level 1 to Level 2 of the fair value hierarchy as a result of foreign equities that were being valued based on quoted prices at December 31, 2012 that are now being fair valued. The value of the securities that were transferred to Level 2 as of June 30, 2013 is $12,820,995.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ending June 30, 2013.
See Notes to Financial Statements.
166
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167
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STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2013 (Unaudited) |
Defensive Market Strategies Fund | Equity Index Fund | |||||||
Assets | ||||||||
Investments in securities of unaffiliated issuers, at value | $ | 472,745,701 | $ | 312,696,615 | ||||
Investments in securities of affiliated issuers, at value | 54,906,211 | 12,083,035 | ||||||
|
|
|
| |||||
Total investments(1)(2) | 527,651,912 | 324,779,650 | ||||||
Cash | — | — | ||||||
Cash collateral for derivatives | 1,923,000 | 396,000 | ||||||
Deposits with broker for securities sold short | 54,581,816 | — | ||||||
Foreign currency(3) | 3,145 | — | ||||||
Receivables: | ||||||||
Dividends and reclaims | 563,376 | 305,023 | ||||||
Interest | 735,411 | — | ||||||
Securities lending | 15,728 | 3,064 | ||||||
Investment securities sold | 14,624,703 | 34,288 | ||||||
Fund shares sold | 142,826 | 3,433,042 | ||||||
Variation margin on financial futures contracts | — | — | ||||||
Unrealized appreciation on foreign currency exchange contracts | 10,399 | — | ||||||
Prepaid expenses and other assets | 9,153 | 16,468 | ||||||
|
|
|
| |||||
Total Assets | 600,261,469 | 328,967,535 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Cash overdraft | 7,008 | — | ||||||
Securities sold short, at value(4) | 37,738,640 | — | ||||||
Options written at value(5) | 44,500 | — | ||||||
Unrealized depreciation on foreign currency exchange contracts | 724 | — | ||||||
Unrealized depreciation on swap agreements | — | — | ||||||
Collateral held for securities on loan at value | 82,224,036 | 28,369,087 | ||||||
Collateral held for derivatives | — | — | ||||||
Payables: | ||||||||
Investment securities purchased | 16,856,489 | 58,010 | ||||||
Dividends on short sales | 49,760 | — | ||||||
Fund shares redeemed | 11,178,487 | 34,106 | ||||||
Variation margin on financial futures contracts | 147,825 | 56,766 | ||||||
Securities lending | 3,457 | 674 | ||||||
Deferred foreign capital gains taxes | — | — | ||||||
Accrued expenses: | ||||||||
Investment advisory fees | 311,615 | 16,859 | ||||||
Shareholder servicing fees | 72,804 | 48,060 | ||||||
Other expenses | 165,699 | 126,337 | ||||||
|
|
|
| |||||
Total Liabilities | 148,801,044 | 28,709,899 | ||||||
|
|
|
| |||||
Net Assets | $ | 451,460,425 | $ | 300,257,636 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in-capital | $ | 401,866,221 | $ | 213,926,550 | ||||
Undistributed (distributions in excess of) net investment income | 207,516 | 60,871 | ||||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions | 12,376,275 | (4,907,690 | ) | |||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | 37,010,413 | 91,177,905 | ||||||
|
|
|
| |||||
Net Assets | $ | 451,460,425 | $ | 300,257,636 | ||||
|
|
|
| |||||
Net Asset Value: | ||||||||
$0.001 par value, unlimited shares authorized | ||||||||
Net assets applicable to the GS2 Class | $ | 91,540,688 | $ | 57,044,475 | ||||
|
|
|
| |||||
GS2 shares outstanding | 8,003,131 | 7,471,250 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS2 share | $ | 11.44 | $ | 7.64 | ||||
|
|
|
| |||||
Net assets applicable to the GS4 Class | $ | 359,919,737 | $ | 243,213,161 | ||||
|
|
|
| |||||
GS4 shares outstanding | 31,484,702 | 13,421,756 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per GS4 share | $ | 11.43 | $ | 18.12 | ||||
|
|
|
|
(1) | Investments in securities of unaffiliated issuers, at cost | $ | 435,462,951 | $ | 221,326,073 | |||||
Investments in securities of affiliated issuers, at cost | 54,906,211 | 12,083,035 | ||||||||
|
|
|
| |||||||
Total investments at cost | $ | 490,369,162 | $ | 233,409,108 | ||||||
|
|
|
| |||||||
(2) | Includes securities loaned of: | $ | 79,845,258 | $ | 27,729,909 | |||||
|
|
|
| |||||||
(3) | Foreign currency at cost | $ | 3,147 | $ | — | |||||
|
|
|
| |||||||
(4) | Proceeds from securities sold short | $ | 38,127,830 | $ | — | |||||
|
|
|
| |||||||
(5) | Premiums received on options written | $ | 45,899 | $ | — | |||||
|
|
|
| |||||||
(6) | Net of $(59,414) accrued foreign capital gains taxes on appreciated securities |
See Notes to Financial Statements.
168
Table of Contents
Real Estate Securities Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | ||||||||||||||||
$ | 255,544,512 | $ | 1,372,380,126 | $ | 1,454,739,948 | $ | 640,092,685 | $ | 1,522,354,294 | |||||||||||
5,499,195 | 46,239,805 | 79,371,395 | 30,455,033 | 92,737,605 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
261,043,707 | 1,418,619,931 | 1,534,111,343 | 670,547,718 | 1,615,091,899 | ||||||||||||||||
— | 518,023 | 44,015 | 14,584 | 110,104 | ||||||||||||||||
256,250 | 1,852,000 | 3,567,000 | 1,394,000 | 13,488,397 | ||||||||||||||||
— | — | — | — | 9,651,857 | ||||||||||||||||
— | — | — | 95,576 | 15,061,240 | ||||||||||||||||
618,318 | 1,337,904 | 554,102 | 290,259 | 6,415,994 | ||||||||||||||||
— | — | — | 328,530 | — | ||||||||||||||||
5,467 | 13,243 | 34,190 | 35,988 | 62,950 | ||||||||||||||||
6,876,970 | 84,431,691 | 30,615,010 | 16,061,830 | 2,795,788 | ||||||||||||||||
26,288,915 | 36,209 | 37,248 | 112,454 | 16,097,294 | ||||||||||||||||
— | — | — | 8,932 | 1,263,263 | ||||||||||||||||
— | — | — | 22,697 | 4,379,997 | ||||||||||||||||
10,885 | 23,941 | 25,453 | 18,756 | 25,108 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
295,100,512 | 1,506,832,942 | 1,568,988,361 | 688,931,324 | 1,684,443,891 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
— | — | — | — | |||||||||||||||||
— | — | — | — | 84,257,695 | ||||||||||||||||
— | — | — | 15,312 | — | ||||||||||||||||
— | — | — | 2,703 | 3,628,118 | ||||||||||||||||
— | — | — | — | 25,137 | ||||||||||||||||
53,411,864 | 124,502,163 | 202,697,903 | 153,219,311 | 144,910,392 | ||||||||||||||||
— | — | — | — | 340,000 | ||||||||||||||||
5,920,539 | 37,379,163 | 11,247,955 | 19,430,744 | 1,943,348 | ||||||||||||||||
— | — | — | — | 211,541 | ||||||||||||||||
1,835,467 | 57,060,890 | 47,305,939 | 13,154,344 | 4,813,302 | ||||||||||||||||
15,660 | 152,584 | 209,787 | 151,516 | 774,173 | ||||||||||||||||
1,203 | 2,913 | 7,521 | 7,909 | 13,847 | ||||||||||||||||
— | — | — | — | 77,654 | ||||||||||||||||
119,082 | 689,816 | 870,112 | 334,306 | 915,457 | ||||||||||||||||
41,426 | 215,751 | 223,910 | 85,945 | 231,595 | ||||||||||||||||
44,550 | 80,115 | 80,124 | 95,734 | 491,261 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
61,389,791 | 220,083,395 | 262,643,251 | 186,497,824 | 242,633,520 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 233,710,721 | $ | 1,286,749,547 | $ | 1,306,345,110 | $ | 502,433,500 | $ | 1,441,810,371 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 207,096,382 | $ | 1,110,787,573 | $ | 940,110,056 | $ | 381,067,991 | $ | 1,493,951,463 | |||||||||||
449,984 | 188,154 | (861,847 | ) | 164,447 | 16,777,665 | |||||||||||||||
14,217,629 | (54,228,217 | ) | 107,570,785 | 63,085,628 | (151,617,525 | ) | ||||||||||||||
11,946,726 | 230,002,037 | 259,526,116 | 58,115,434 | 82,698,768 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 233,710,721 | $ | 1,286,749,547 | $ | 1,306,345,110 | $ | 502,433,500 | $ | 1,441,810,371 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N/A | $ | 248,970,014 | $ | 219,405,620 | $ | 77,162,270 | $ | 278,851,283 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N/A | 27,301,663 | 16,663,152 | 6,535,271 | 27,975,277 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N/A | $ | 9.12 | $ | 13.17 | $ | 11.81 | $ | 9.97 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 233,710,721 | $ | 1,037,779,533 | $ | 1,086,939,490 | $ | 425,271,230 | $ | 1,162,959,088 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
21,313,099 | 55,543,302 | 49,193,427 | 23,225,569 | 88,970,448 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 10.97 | $ | 18.68 | $ | 22.10 | $ | 18.31 | $ | 13.07 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 243,547,172 | $ | 1,142,242,211 | $ | 1,194,939,215 | $ | 581,759,316 | $ | 1,435,532,524 | |||||||||||
5,499,195 | 46,239,805 | 79,371,395 | 30,455,033 | 92,737,605 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 249,046,367 | $ | 1,188,482,016 | $ | 1,274,310,610 | $ | 612,214,349 | $ | 1,528,270,129 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 51,855,761 | $ | 117,826,195 | $ | 198,167,393 | $ | 142,561,806 | $ | 147,957,161 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 94,929 | $ | 15,275,755 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 82,366,437 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 7,951 | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
169
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2013 (Unaudited) |
Defensive Market Strategies Fund | Equity Index Fund | |||||||
Investment Income | ||||||||
Dividends | $ | 3,728,887 | $ | 2,849,176 | ||||
Income distributions received from affiliated funds | 1,512 | 511 | ||||||
Interest | 1,360,082 | 109 | ||||||
Securities lending | 92,386 | 20,314 | ||||||
Less foreign taxes withheld | (18,352 | ) | (1,032 | ) | ||||
|
|
|
| |||||
Total Investment Income | 5,164,515 | 2,869,078 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory fees | 1,848,483 | 216,231 | ||||||
Transfer agent fees: | ||||||||
GS2 shares | 1,855 | 1,868 | ||||||
GS4 shares | 9,026 | 12,470 | ||||||
Custodian fees | 98,089 | 9,897 | ||||||
Shareholder servicing fees: | ||||||||
GS4 shares | 415,497 | 276,132 | ||||||
Accounting and administration fees | 77,952 | 41,188 | ||||||
Professional fees | 30,150 | 28,885 | ||||||
Blue sky fees: | ||||||||
GS2 shares | 892 | 3,222 | ||||||
GS4 shares | 9,041 | 6,052 | ||||||
Shareholder reporting fees: | ||||||||
GS2 shares | 160 | 157 | ||||||
GS4 shares | 1,720 | 7,755 | ||||||
Trustee expenses | 1,958 | 1,293 | ||||||
Line of credit facility fees | 2,103 | 1,384 | ||||||
Other expenses | 175,178 | 7,569 | ||||||
|
|
|
| |||||
Total Expenses | 2,672,104 | 614,103 | ||||||
Dividends and interest on securities sold short | 255,187 | — | ||||||
Expenses waived/reimbursed net of amount recaptured(1) | (57,031 | ) | (118,427 | ) | ||||
Fees paid indirectly | — | — | ||||||
|
|
|
| |||||
Net expenses | 2,870,260 | 495,676 | ||||||
|
|
|
| |||||
Net Investment Income (Loss) | 2,294,255 | 2,373,402 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Investment securities | 22,458,109 | 808,507 | ||||||
Investment securities sold short | (7,587,796 | ) | — | |||||
Futures transactions | 3,527,925 | 1,458,996 | ||||||
Swap agreements | — | — | ||||||
Option contracts written | 11,941 | — | ||||||
Option contracts purchased | (167,479 | ) | — | |||||
Foreign currency transactions | 226,958 | — | ||||||
|
|
|
| |||||
Net realized gain | 18,469,658 | 2,267,503 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment securities (net of estimated capital gains taxes of $132,807 for International Equity) | 14,807,610 | 30,572,023 | ||||||
Investment securities sold short | 1,117,694 | — | ||||||
Futures | (778,310 | ) | (229,132 | ) | ||||
Swap agreements | — | — | ||||||
Option contracts written | 1,399 | — | ||||||
Option contracts purchased | 20,582 | — | ||||||
Foreign currency translation | (7,478 | ) | — | |||||
|
|
|
| |||||
Net change in unrealized appreciation | 15,161,497 | 30,342,891 | ||||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) | 33,631,155 | 32,610,394 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 35,925,410 | $ | 34,983,796 | ||||
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements.
170
Table of Contents
Real Estate Securities Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | ||||||||||||||||
$ | 2,781,786 | $ | 14,782,349 | $ | 5,769,483 | $ | 1,777,608 | $ | 29,685,009 | |||||||||||
392 | 1,659 | 2,997 | 1,188 | 4,731 | ||||||||||||||||
— | 913 | — | 745,126 | — | ||||||||||||||||
24,308 | 93,209 | 170,361 | 267,498 | 601,388 | ||||||||||||||||
— | (74,936 | ) | (81,264 | ) | (173 | ) | (2,516,819 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
2,806,486 | 14,803,194 | 5,861,577 | 2,791,247 | 27,774,309 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
736,558 | 4,020,960 | 5,525,948 | 1,992,111 | 6,849,725 | ||||||||||||||||
— | 1,960 | 1,933 | 1,981 | 2,006 | ||||||||||||||||
12,212 | 13,503 | 13,683 | 14,264 | 14,846 | ||||||||||||||||
18,647 | 25,337 | 44,053 | 68,883 | 526,969 | ||||||||||||||||
253,915 | 1,237,822 | 1,318,326 | 499,532 | 1,409,938 | ||||||||||||||||
24,810 | 138,009 | 141,931 | 93,636 | 339,346 | ||||||||||||||||
28,885 | 28,885 | 28,885 | 31,437 | 30,799 | ||||||||||||||||
— | 3,222 | 3,222 | 3,222 | 3,222 | ||||||||||||||||
9,025 | 6,451 | 6,586 | 6,723 | 6,446 | ||||||||||||||||
— | 323 | 276 | 350 | 404 | ||||||||||||||||
7,632 | 9,846 | 9,924 | 10,860 | 11,595 | ||||||||||||||||
948 | 5,913 | 6,254 | 2,305 | 6,799 | ||||||||||||||||
1,018 | 6,320 | 6,685 | 2,461 | 7,298 | ||||||||||||||||
5,664 | 16,587 | 18,628 | 11,891 | 355,388 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
1,099,314 | 5,515,138 | 7,126,334 | 2,739,656 | 9,564,781 | ||||||||||||||||
— | — | — | — | 1,602,944 | ||||||||||||||||
(9,677 | ) | (38,951 | ) | (381,951 | ) | (27,730 | ) | (1,166,369 | ) | |||||||||||
— | (21,681 | ) | (21,824 | ) | (33,293 | ) | (24,022 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
1,089,637 | 5,454,506 | 6,722,559 | 2,678,633 | 9,977,334 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
1,716,849 | 9,348,688 | (860,982 | ) | 112,614 | 17,796,975 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
15,132,090 | 65,641,044 | 117,086,966 | 39,683,414 | 12,121,755 | ||||||||||||||||
— | — | — | — | (1,867,829 | ) | |||||||||||||||
1,224,234 | 3,915,918 | 8,479,331 | 19,951,998 | 5,494,461 | ||||||||||||||||
— | — | — | — | (45,501 | ) | |||||||||||||||
— | — | — | 13,888 | — | ||||||||||||||||
— | — | — | (21,566 | ) | — | |||||||||||||||
— | — | (4,105 | ) | 71,576 | 2,611,166 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
16,356,324 | 69,556,962 | 125,562,192 | 59,699,310 | 18,314,052 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(8,461,115 | ) | 113,867,302 | 8,186,076 | 8,202,591 | (28,883,451 | ) | ||||||||||||||
— | — | — | — | 422,345 | ||||||||||||||||
(141,375 | ) | (241,341 | ) | (440,641 | ) | (1,414,498 | ) | (4,037,274 | ) | |||||||||||
— | — | — | — | (25,137 | ) | |||||||||||||||
— | — | — | (14,803 | ) | — | |||||||||||||||
— | — | — | 4,407 | — | ||||||||||||||||
— | — | 1,610 | 40,852 | (3,593,993 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(8,602,490 | ) | 113,625,961 | 7,747,045 | 6,818,549 | (36,117,510 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
7,753,834 | 183,182,923 | 133,309,237 | 66,517,859 | (17,803,458 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 9,470,683 | $ | 192,531,611 | $ | 132,448,255 | $ | 66,630,473 | $ | (6,483 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
171
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Defensive Market Strategies Fund | ||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 2,294,255 | $ | 5,323,718 | ||||
Net realized gain on investment securities, foreign currency transactions and derivative transactions | 18,469,658 | 10,591,923 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | 15,161,497 | 12,885,168 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 35,925,410 | 28,800,809 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | (495,541 | ) | (1,340,492 | ) | ||||
GS4 shares | (1,589,022 | ) | (4,192,927 | ) | ||||
Distributions from net realized capital gains | ||||||||
GS2 shares | (422,009 | ) | (2,470,784 | ) | ||||
GS4 shares | (1,688,136 | ) | (9,083,204 | ) | ||||
|
|
|
| |||||
Total dividends and distributions | (4,194,708 | ) | (17,087,407 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 4,993,027 | 15,153,959 | ||||||
GS4 shares | 36,052,339 | 57,511,353 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 916,568 | 3,807,041 | ||||||
GS4 shares | 3,277,136 | 13,276,131 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 45,239,070 | 89,748,484 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
GS2 shares | (6,501,146 | ) | (10,919,229 | ) | ||||
GS4 shares | (18,993,133 | ) | (5,602,873 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (25,494,279 | ) | (16,522,102 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(1) | 19,744,791 | 73,226,382 | ||||||
|
|
|
| |||||
Total increase in net assets | 51,475,493 | 84,939,784 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 399,984,932 | 315,045,148 | ||||||
|
|
|
| |||||
End of Period* | $ | 451,460,425 | $ | 399,984,932 | ||||
|
|
|
| |||||
*Including undistributed net investment income | $ | 207,516 | $ | (2,176 | ) | |||
|
|
|
|
(1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
172
Table of Contents
Equity Index Fund | Real Estate Securities Fund | Value Equity Fund | ||||||||||||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||
$ | 2,373,402 | $ | 4,459,095 | $ | 1,716,849 | $ | 2,837,011 | $ | 9,348,688 | $ | 19,356,667 | |||||||||||||
2,267,503 | 3,524,631 | 16,356,324 | 21,121,145 | 69,556,962 | 28,714,675 | |||||||||||||||||||
30,342,891 | 26,719,460 | (8,602,490 | ) | 2,192,568 | 113,625,961 | 128,975,407 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
34,983,796 | 34,703,186 | 9,470,683 | 26,150,724 | 192,531,611 | 177,046,749 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(851,419 | ) | (1,571,769 | ) | — | — | (5,835,380 | ) | (6,831,856 | ) | |||||||||||||||
(1,464,929 | ) | (2,883,760 | ) | (1,735,241 | ) | (2,553,245 | ) | (11,020,081 | ) | (12,514,527 | ) | |||||||||||||
(171,385 | ) | (1,164,145 | ) | — | — | — | — | |||||||||||||||||
(330,106 | ) | (2,337,106 | ) | (1,057,058 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(2,817,839 | ) | (7,956,780 | ) | (2,792,299 | ) | (2,553,245 | ) | (16,855,461 | ) | (19,346,383 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
5,634,613 | 9,096,280 | — | — | 15,840,445 | 9,537,724 | |||||||||||||||||||
18,833,161 | 23,839,386 | 58,488,810 | 48,804,620 | 41,197,008 | 45,285,927 | |||||||||||||||||||
1,021,645 | 2,732,297 | — | — | 5,830,693 | 6,825,833 | |||||||||||||||||||
1,794,919 | 5,219,194 | 2,791,863 | 2,553,036 | 11,018,803 | 12,513,223 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
27,284,338 | 40,887,157 | 61,280,673 | 51,357,656 | 73,886,949 | 74,162,707 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(2,097,862 | ) | (4,607,900 | ) | — | — | (19,258,222 | ) | (28,255,572 | ) | |||||||||||||||
(12,357,478 | ) | (27,559,476 | ) | (25,396,507 | ) | (34,033,826 | ) | (92,176,848 | ) | (108,252,456 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(14,455,340 | ) | (32,167,376 | ) | (25,396,507 | ) | (34,033,826 | ) | (111,435,070 | ) | (136,508,028 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
12,828,998 | 8,719,781 | 35,884,166 | 17,323,830 | (37,548,121 | ) | (62,345,321 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
44,994,955 | 35,466,187 | 42,562,550 | 40,921,309 | 138,128,029 | 95,355,045 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
255,262,681 | 219,796,494 | 191,148,171 | 150,226,862 | 1,148,621,518 | 1,053,266,473 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 300,257,636 | $ | 255,262,681 | $ | 233,710,721 | $ | 191,148,171 | $ | 1,286,749,547 | $ | 1,148,621,518 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 60,871 | $ | 3,817 | $ | 449,984 | $ | 468,376 | $ | 188,154 | $ | 7,694,927 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
173
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Growth Equity Fund | ||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (860,982 | ) | $ | 2,147,545 | |||
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions | 125,562,192 | 124,715,096 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions | 7,747,045 | 61,890,168 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 132,448,255 | 188,752,809 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | — | (997,169 | ) | |||||
GS4 shares | — | (1,161,213 | ) | |||||
Distributions from net realized capital gains | ||||||||
GS2 shares | (5,924,432 | ) | (22,360,470 | ) | ||||
GS4 shares | (17,770,300 | ) | (72,908,150 | ) | ||||
|
|
|
| |||||
Total dividends and distributions | (23,694,732 | ) | (97,427,002 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 11,703,793 | 8,038,745 | ||||||
GS4 shares | 25,736,274 | 62,823,460 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 5,920,826 | 23,338,265 | ||||||
GS4 shares | 17,770,193 | 74,068,713 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 61,131,086 | 168,269,183 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
GS2 shares | (12,630,242 | ) | (25,997,419 | ) | ||||
GS4 shares | (72,172,657 | ) | (112,712,284 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (84,802,899 | ) | (138,709,703 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(1) | (23,671,813 | ) | 29,559,480 | |||||
|
|
|
| |||||
Total increase in net assets | 85,081,710 | 120,885,287 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 1,221,263,400 | 1,100,378,113 | ||||||
|
|
|
| |||||
End of Period* | $ | 1,306,345,110 | $ | 1,221,263,400 | ||||
|
|
|
| |||||
*Including undistributed (distributions in excess of) net investment income | $ | (861,847 | ) | $ | (865 | ) | ||
|
|
|
|
(1) | See Note 6 in Notes to Financial Statements. |
See Notes to Financial Statements.
174
Table of Contents
Small Cap Equity Fund | International Equity Fund | |||||||||||||||
For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | For the Six Months Ended 06/30/13 | For the Year Ended 12/31/12 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
$ | 112,614 | $ | 2,734,679 | $ | 17,796,975 | $ | 21,715,795 | |||||||||
59,699,310 | 42,096,483 | 18,314,052 | (7,086,651 | ) | ||||||||||||
6,818,549 | 16,481,702 | (36,117,510 | ) | 193,119,661 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
66,630,473 | 61,312,864 | (6,483 | ) | 207,748,805 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
— | (824,580 | ) | — | (5,831,914 | ) | |||||||||||
— | (2,228,182 | ) | 13 | (16,637,904 | ) | |||||||||||
— | (4,730,877 | ) | — | — | ||||||||||||
— | (17,549,897 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
— | (25,333,536 | ) | 13 | (22,469,818 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
4,404,711 | 3,532,639 | 16,481,335 | 22,643,677 | |||||||||||||
23,567,920 | 26,607,000 | 47,005,563 | 98,709,445 | |||||||||||||
— | 5,551,218 | — | 5,830,084 | |||||||||||||
— | 19,776,480 | (13 | ) | 16,637,209 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
27,972,631 | 55,467,337 | 63,486,885 | 143,820,415 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
(5,233,904 | ) | (9,202,703 | ) | (7,810,276 | ) | (15,820,816 | ) | |||||||||
(31,759,200 | ) | (55,335,902 | ) | (40,296,235 | ) | (65,824,409 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(36,993,104 | ) | (64,538,605 | ) | (48,106,511 | ) | (81,645,225 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(9,020,473 | ) | (9,071,268 | ) | 15,380,374 | 62,175,190 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
57,610,000 | 26,908,060 | 15,373,904 | 247,454,177 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
444,823,500 | 417,915,440 | 1,426,436,467 | 1,178,982,290 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 502,433,500 | $ | 444,823,500 | $ | 1,441,810,371 | $ | 1,426,436,467 | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 164,447 | $ | 51,833 | $ | 16,777,665 | $ | (1,019,310 | ) | ||||||||
|
|
|
|
|
|
|
|
175
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 10.61 | $ | 0.07 | # | $ | 0.87 | $ | (0.06 | ) | $ | (0.05 | ) | $ | — | $ | 11.44 | 8.92 | % | $ | 91,541 | 0.99 | %(4) | 1.14 | % | 1.26 | % | 116 | % | |||||||||||||||||||||||
2012 | 10.20 | 0.18 | # | 0.73 | (5) | (0.18 | ) | (0.32 | ) | — | 10.61 | 8.93 | 85,347 | 0.99 | (4) | 1.12 | 1.67 | 304 | ||||||||||||||||||||||||||||||||||
2011(6) | 10.00 | 0.04 | # | 0.21 | (5) | (0.04 | ) | (0.01 | ) | — | 10.20 | 2.51 | 74,516 | 0.99 | (4) | 1.10 | 1.11 | 120 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 10.60 | $ | 0.06 | # | $ | 0.87 | $ | (0.05 | ) | $ | (0.05 | ) | $ | — | $ | 11.43 | 8.81 | % | $ | 359,920 | 1.25 | %(4) | 1.39 | % | 1.00 | % | 116 | % | |||||||||||||||||||||||
2012 | 10.20 | 0.15 | # | 0.72 | (5) | (0.15 | ) | (0.32 | ) | — | 10.60 | 8.57 | 314,638 | 1.25 | (4) | 1.37 | 1.42 | 304 | ||||||||||||||||||||||||||||||||||
2011(6) | 10.00 | 0.03 | # | 0.21 | (5) | (0.03 | ) | (0.01 | ) | — | 10.20 | 2.43 | 240,529 | 1.25 | (4) | 1.35 | 0.86 | 120 | ||||||||||||||||||||||||||||||||||
Equity Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 6.85 | $ | 0.07 | # | $ | 0.86 | $ | (0.12 | ) | $ | (0.02 | ) | $ | — | $ | 7.64 | 13.72 | % | $ | 57,044 | 0.23 | % | 0.24 | % | 1.81 | % | 1 | % | |||||||||||||||||||||||
2012 | 6.29 | 0.13 | # | 0.86 | (5) | (0.25 | ) | (0.18 | ) | — | 6.85 | 15.92 | 47,071 | 0.23 | 0.24 | 1.95 | 3 | |||||||||||||||||||||||||||||||||||
2011 | 8.63 | 0.15 | # | 0.04 | (5) | (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 | ||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 16.07 | $ | 0.15 | # | $ | 2.03 | $ | (0.11 | ) | $ | (0.02 | ) | $ | — | $ | 18.12 | 13.61 | % | $ | 243,213 | 0.38 | % | 0.48 | % | 1.66 | % | 1 | % | |||||||||||||||||||||||
2012 | 14.24 | 0.28 | # | 1.95 | (5) | (0.22 | ) | (0.18 | ) | — | 16.07 | 15.76 | 208,192 | 0.38 | 0.49 | 1.79 | 3 | |||||||||||||||||||||||||||||||||||
2011 | 16.36 | 0.26 | # | 0.12 | (5) | (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 | ||||||||||||||||||||||||||||||||||
Real Estate Securities Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 10.60 | $ | 0.09 | # | $ | 0.43 | $ | (0.09 | ) | $ | (0.06 | ) | $ | — | $ | 10.97 | 4.94 | % | $ | 233,711 | 1.03 | % | 1.04 | % | 1.62 | % | 57 | % | |||||||||||||||||||||||
2012 | 9.18 | 0.17 | # | 1.40 | (5) | (0.15 | ) | — | — | 10.60 | 17.09 | 191,148 | 1.05 | 1.06 | 1.62 | 95 | ||||||||||||||||||||||||||||||||||||
2011 | 8.52 | 0.08 | # | 0.65 | (5) | (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 |
† | 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 which increased the ratio by 0.04%, 0.05% and 0.12% for the years 2011, 2012 and the six months ended June 30, 2013, 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 (higher) than the ratio shown. |
(3) | For the six months ended June 30, 2013. 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) | 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. |
(6) | 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. |
See Notes to Financial Statements.
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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/ (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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 7.99 | $ | 0.07 | # | $ | 1.27 | $ | (0.21 | ) | $ | — | $ | — | $ | 9.12 | 16.82 | % | $ | 248,970 | 0.66 | %(4) | 0.67 | % | 1.67 | % | 25 | % | ||||||||||||||||||||||||
2012 | 7.03 | 0.15 | # | 1.06 | (5) | (0.25 | ) | — | — | 7.99 | 17.47 | 215,512 | 0.67 | (4) | 0.68 | 1.90 | 27 | |||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 16.18 | $ | 0.13 | # | $ | 2.56 | $ | (0.19 | ) | — | — | $ | 18.68 | 16.65 | % | $ | 1,037,780 | 0.90 | %(4) | 0.91 | % | 1.42 | % | 25 | % | ||||||||||||||||||||||||||
2012 | 14.00 | 0.25 | # | 2.14 | (5) | (0.21 | ) | — | — | 16.18 | 17.20 | 933,110 | 0.92 | (4) | 0.92 | 1.66 | 27 | |||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
Growth Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 12.19 | $ | — | †# | $ | 1.33 | $ | — | $ | (0.35 | ) | $ | — | $ | 13.17 | 10.98 | % | $ | 219,406 | 0.84 | %(4) | 0.88 | % | 0.05 | % | 55 | % | ||||||||||||||||||||||||
2012 | 11.76 | 0.04 | # | 2.00 | (5) | (0.06 | ) | (1.55 | ) | — | 12.19 | 17.39 | 198,329 | 0.87 | (4) | 0.89 | 0.33 | 67 | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 20.26 | $ | (0.02 | )# | $ | 2.21 | $ | — | $ | (0.35 | ) | $ | — | $ | 22.10 | 10.80 | % | $ | 1,086,939 | 1.06 | %(4) | 1.12 | % | (0.17 | )% | 55 | % | ||||||||||||||||||||||||
2012 | 18.63 | 0.03 | # | 3.17 | (5) | (0.02 | ) | (1.55 | ) | — | 20.26 | 17.21 | 1,022,934 | 1.06 | (4) | 1.13 | 0.15 | 67 | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
Small Cap Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 10.27 | $ | 0.01 | # | $ | 1.53 | $ | — | $ | — | $ | — | $ | 11.81 | 15.00 | % | $ | 77,162 | 0.89 | %(4) | 0.91 | % | 0.25 | % | 95 | % | |||||||||||||||||||||||||
2012 | 9.70 | 0.08 | # | 1.40 | (5) | (0.13 | ) | (0.78 | ) | — | 10.27 | 15.25 | 67,723 | 1.01 | (4) | 1.02 | 0.79 | 128 | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 15.94 | $ | — | †# | $ | 2.37 | $ | — | $ | — | $ | — | $ | 18.31 | 14.87 | % | $ | 425,271 | 1.13 | %(4) | 1.15 | % | 0.01 | % | 95 | % | |||||||||||||||||||||||||
2012 | 14.62 | 0.09 | # | 2.10 | (5) | (0.09 | ) | (0.78 | ) | — | 15.94 | 15.02 | 377,101 | 1.21 | (4) | 1.27 | 0.59 | 128 | ||||||||||||||||||||||||||||||||||
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 |
† | 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 (higher) than the ratio shown. |
(3) | For the six months ended June 30, 2013. 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.
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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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 9.96 | $ | 0.13 | # | $ | (0.12 | ) | $ | — | $ | — | $ | — | $ | 9.97 | 0.10 | % | $ | 278,851 | 0.96 | %(4) | 1.34 | % | 2.65 | % | 20 | % | ||||||||||||||||||||||||
2012 | 8.67 | 0.18 | # | 1.33 | (5) | (0.22 | ) | — | — | 9.96 | 17.43 | 270,130 | 0.95 | (4) | 1.32 | 1.89 | 53 | |||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
GS4 Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2013(3) | $ | 13.07 | $ | 0.16 | # | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | 13.07 | 0.00 | % | $ | 1,162,959 | 1.20 | %(4) | 1.58 | % | 2.39 | % | 20 | % | ||||||||||||||||||||||||
2012 | 11.33 | 0.20 | # | 1.73 | (5) | (0.19 | ) | — | — | 13.07 | 17.05 | 1,156,306 | 1.19 | (4) | 1.57 | 1.65 | 53 | |||||||||||||||||||||||||||||||||||
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 |
† | 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 effect of dividend expense on securities sold short increased the ratio by 0.04%, 0.08%, 0.20% and 0.22% for the years 2010, 2011, 2012 and for the six months ended June 30, 2013, 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 (higher) than the ratio shown. |
(3) | For the six months ended June 30, 2013. 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.
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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, are 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 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.
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
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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 period ended June 30, 2013.
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 period ended June 30, 2013, 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 was committed to offset negative equity at the GSEs through its preferred stock purchases through 2012, no assurance could be given that the Federal Reserve, U.S. Treasury, or FHFA initiatives would ensure that the GSEs would 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 August 2012, the U.S. Treasury announced a set of modifications to the Preferred Stock Purchase Agreements between the U.S. Treasury and the FHFA. Instead of receiving 10% dividends from the GSEs, the U.S. Treasury will take a quarterly sweep of all profits earned by the firms going forward.
Serious discussions among policymakers continue, however, as to what role the U.S. Government should play in the U.S. housing market. 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.
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.
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
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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.
Repurchase transactions are entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.
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At June 30, 2013, the open repurchase agreements by counterparty which are subject to an MRA on a net payment basis are as follows:
Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received | Cash Collateral Received | Net Amount(1) | ||||||||||||
Low-Duration Bond | ||||||||||||||||
Citigroup Global Markets, Inc. | $ | 32,500,000 | $ | (32,500,000 | ) | $ | — | $ | — | |||||||
JPMorgan Securities LLC | 4,000,000 | (4,000,000 | ) | — | — | |||||||||||
Morgan Stanley & Co. LLC | 27,500,000 | (27,500,000 | ) | — | — | |||||||||||
TD Securities (USA) LLC | 9,700,000 | (9,700,000 | ) | — | — | |||||||||||
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| |||||||||
Total Repurchase Agreements | $ | 73,700,000 | $ | (73,700,000 | ) | $ | — | $ | — | |||||||
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| |||||||||
Medium-Duration Bond | ||||||||||||||||
Citigroup Global Markets, Inc. | $ | 16,500,000 | $ | (16,500,000 | ) | $ | — | $ | — | |||||||
JPMorgan Securities LLC | 4,000,000 | (4,000,000 | ) | — | — | |||||||||||
Morgan Stanley & Co. LLC | 16,500,000 | (16,500,000 | ) | — | — | |||||||||||
Morgan Stanley & Co., Inc. | 5,500,000 | (5,500,000 | ) | — | — | |||||||||||
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| |||||||||
Total Repurchase Agreements | $ | 42,500,000 | $ | (42,500,000 | ) | $ | — | $ | — | |||||||
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(1) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Additional information about master netting arrangements can be found in the Derivative Financial Instruments and Securities Lending sections of the Notes to Financial Statements.
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.
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 7% of the Fund’s assets.
At June 30, 2013, the value of securities sold short in the Defensive Market Strategies and International Equity Fund amounted to $37,738,640 and $84,257,695, respectively.
j. Derivative Financial Instruments
The Funds may engage in various portfolio strategies to seek to increase their returns by hedging their portfolios 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.
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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.
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
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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.
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 period ended June 30, 2013, all of the Funds maintained the required level of net assets and/or the NAVs of the Funds 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
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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 their 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.
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
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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. 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.
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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 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
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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, 2013, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $34,393,255 and $84,623,000, respectively, and the sellers (“providing protection”) on a total notional amount of $1,900,000 and $27,050,000, 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:
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 | $ | (25,509 | ) | $ | — | $ | — | $ | — | $ | (25,509 | ) | ||||||||
Maximum potential amount of future payments | 1,900,000 | — | — | — | 1,900,000 | |||||||||||||||
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 | $ | 208,172 | $ | (19,824 | ) | $ | (288,971 | ) | $ | — | $ | (100,623 | ) | |||||||
Maximum potential amount of future payments | 5,000,000 | 1,000,000 | 21,050,000 | — | 27,050,000 | |||||||||||||||
Recourse provisions with third parties to recover | — | — | — | — | — | |||||||||||||||
Collateral held by the Funds or other third parties | — | — | — | — | — |
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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 | — | — | 1,200,000 | — | — | 1,200,000 | ||||||||||||||||||
251 - 500 | — | — | — | — | — | — | ||||||||||||||||||
501 - 1,000 | — | — | — | — | — | — | ||||||||||||||||||
Greater than 1,000 | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 700,000 | $ | — | $ | 1,200,000 | $ | — | $ | — | $ | 1,900,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||||||
0 - 100 | $ | 900,000 | $ | — | $ | 9,950,000 | $ | — | $ | 11,100,000 | $ | 21,950,000 | ||||||||||||
101 - 250 | — | — | 5,100,000 | — | — | 5,100,000 | ||||||||||||||||||
251 - 500 | — | — | — | — | — | — | ||||||||||||||||||
501 - 1,000 | — | — | — | — | — | — | ||||||||||||||||||
Greater than 1,000 | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 900,000 | $ | — | $ | 15,050,000 | $ | — | $ | 11,100,000 | $ | 27,050,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Certain Funds are parties to International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“MA”) with various counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The ISDA MA 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 ISDA MA, collateral posted to the Fund 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.
At June 30, 2013, derivative assets and liabilities (by type) held by the Funds are as follows:
Fund | Assets | Liabilities | ||||||
MyDestination 2005 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 987 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 987 | ||||||
Derivatives not subject to an MA or similar agreement | — | 987 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
MyDestination 2015 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 10,553 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 10,553 | ||||||
Derivatives not subject to an MA or similar agreement | — | 10,553 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
|
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Fund | Assets | Liabilities | ||||||
MyDestination 2025 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 18,152 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 18,152 | ||||||
Derivatives not subject to an MA or similar agreement | — | 18,152 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
MyDestination 2035 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 14,279 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 14,279 | ||||||
Derivatives not subject to an MA or similar agreement | — | 14,279 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
MyDestination 2045 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 11,944 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 11,944 | ||||||
Derivatives not subject to an MA or similar agreement | — | 11,944 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Conservative Allocation | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 5,332 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 5,332 | ||||||
Derivatives not subject to an MA or similar agreement | — | 5,332 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Balanced Allocation | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 35,530 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 35,530 | ||||||
Derivatives not subject to an MA or similar agreement | — | 35,530 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Growth Allocation | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 41,751 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 41,751 | ||||||
Derivatives not subject to an MA or similar agreement | — | 41,751 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Aggressive Allocation | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 34,100 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 34,100 | ||||||
Derivatives not subject to an MA or similar agreement | — | 34,100 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
|
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Fund | Assets | Liabilities | ||||||
Conservative Allocation I | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 496 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 496 | ||||||
Derivatives not subject to an MA or similar agreement | — | 496 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Balanced Allocation I | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 7,162 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 7,162 | ||||||
Derivatives not subject to an MA or similar agreement | — | 7,162 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Growth Allocation I | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 11,367 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 11,367 | ||||||
Derivatives not subject to an MA or similar agreement | — | 11,367 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Aggressive Allocation I | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 7,498 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 7,498 | ||||||
Derivatives not subject to an MA or similar agreement | — | 7,498 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Low-Duration Bond | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 17,705 | $ | 23,203 | ||||
Forward foreign exchange contracts | 2,133,794 | 1,755,495 | ||||||
Options | 235,114 | 1,336,265 | ||||||
Swaps | 1,160,442 | 2,247,479 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,547,055 | 5,362,442 | ||||||
Derivatives not subject to an MA or similar agreement | 2,162,800 | 1,949,119 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 1,384,255 | $ | 3,413,323 | ||||
|
|
|
| |||||
Medium-Duration Bond | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 153,158 | $ | 9,354 | ||||
Forward foreign exchange contracts | 682,302 | 1,712,482 | ||||||
Options | 319,526 | 1,498,542 | ||||||
Swaps | 2,526,368 | 2,521,014 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,681,354 | 5,741,392 | ||||||
Derivatives not subject to an MA or similar agreement | 834,994 | 939,318 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 2,846,360 | $ | 4,802,074 | ||||
|
|
|
|
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Table of Contents
Fund | Assets | Liabilities | ||||||
Inflation Protected Bond | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 4,499 | $ | 82,271 | ||||
Forward foreign exchange contracts | 105,800 | 218,214 | ||||||
Options | 160,235 | 69,289 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 270,534 | 369,774 | ||||||
Derivatives not subject to an MA or similar agreement | 200,410 | 253,134 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 70,124 | $ | 116,640 | ||||
|
|
|
| |||||
Global Bond | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 24,405 | ||||
Forward foreign exchange contracts | 567,128 | 565,617 | ||||||
Options | 18,252 | 19,125 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 585,380 | 609,147 | ||||||
Derivatives not subject to an MA or similar agreement | 18,252 | 43,530 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 567,128 | $ | 565,617 | ||||
|
|
|
| |||||
Defensive Market Strategies | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 147,825 | ||||
Forward foreign exchange contracts | 10,399 | 724 | ||||||
Options | 274,182 | 44,500 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 284,581 | 193,049 | ||||||
Derivatives not subject to an MA or similar agreement | 284,581 | 193,049 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Equity Index | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 56,766 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 56,766 | ||||||
Derivatives not subject to an MA or similar agreement | — | 56,766 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Real Estate Securities | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 15,660 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 15,660 | ||||||
Derivatives not subject to an MA or similar agreement | — | 15,660 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Value Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 152,584 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 152,584 | ||||||
Derivatives not subject to an MA or similar agreement | — | 152,584 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
|
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Table of Contents
Fund | Assets | Liabilities | ||||||
Growth Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 209,787 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 209,787 | ||||||
Derivatives not subject to an MA or similar agreement | — | 209,787 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Small Cap Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 8,932 | $ | 151,516 | ||||
Forward foreign exchange contracts | 22,697 | 2,703 | ||||||
Options | 6,121 | 15,312 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 37,750 | 169,531 | ||||||
Derivatives not subject to an MA or similar agreement | 15,053 | 166,828 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 22,697 | $ | 2,703 | ||||
|
|
|
| |||||
International Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 1,263,263 | $ | 774,173 | ||||
Forward foreign exchange contracts | 4,379,997 | 3,628,118 | ||||||
Swaps | — | 25,137 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 5,643,260 | 4,427,428 | ||||||
Derivatives not subject to an MA or similar agreement | 1,173,509 | 631,235 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 4,469,751 | $ | 3,796,193 | ||||
|
|
|
|
At June 30, 2013, derivative assets by type net of amounts available for offset under an MA and net of the related collateral received by the Trust are as follows:
Fund/Derivative Asset Type | Derivative Assets Subject to a MA by Type | Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | |||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Financial futures contracts | $ | 8,541 | $ | (8,541 | ) | $ | — | $ | — | $ | — | |||||||||
Forward foreign exchange contracts | ||||||||||||||||||||
Counterparty A | 439,867 | (439,867 | ) | — | — | — | ||||||||||||||
Counterparty B | — | — | — | — | — | |||||||||||||||
Options | 235,114 | (235,114 | ) | — | — | — | ||||||||||||||
Swaps | 700,733 | (700,733 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Assets | $ | 1,384,255 | $ | (1,384,255 | ) | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Financial futures contracts | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Forward foreign exchange contracts | ||||||||||||||||||||
Counterparty A | 263,065 | (263,065 | ) | — | — | — | ||||||||||||||
Counterparty B | 143,553 | (143,553 | ) | — | — | — | ||||||||||||||
Counterparty C | 275,684 | (273,015 | ) | — | — | 2,669 | ||||||||||||||
Options | 284,611 | (284,611 | ) | — | — | — | ||||||||||||||
Swaps | ||||||||||||||||||||
Counterparty A | 1,239,088 | (519,357 | ) | — | (450,022 | ) | 269,709 | |||||||||||||
Counterparty B | 640,359 | (640,359 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Assets | $ | 2,846,360 | $ | (2,123,960 | ) | $ | — | $ | (450,022 | ) | $ | 272,378 | ||||||||
|
|
|
|
|
|
|
|
|
|
197
Table of Contents
Fund/Derivative Asset Type | Derivative Assets Subject to a MA by Type | Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | |||||||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Financial futures contracts | $ | 4,499 | $ | (4,499 | ) | $ | — | $ | — | $ | — | |||||||||
Forward foreign exchange contracts | — | — | — | — | — | |||||||||||||||
Options | 65,625 | (34,369 | ) | — | — | 31,256 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Assets | $ | 70,124 | $ | (38,868 | ) | $ | — | $ | — | $ | 31,256 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Financial futures contracts | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Forward foreign exchange contracts | 567,128 | (565,617 | ) | — | — | 1,511 | ||||||||||||||
Options | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Assets | $ | 567,128 | $ | (565,617 | ) | $ | — | $ | — | $ | 1,511 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Financial futures contracts | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Forward foreign exchange contracts | 22,697 | (2,703 | ) | — | — | 19,994 | ||||||||||||||
Options | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Assets | $ | 22,697 | $ | (2,703 | ) | $ | — | $ | — | $ | 19,994 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Financial futures contracts | ||||||||||||||||||||
Counterparty A | $ | 43,024 | $ | (43,024 | ) | $ | — | $ | — | $ | — | |||||||||
Counterparty B | 46,730 | — | — | (46,730 | ) | — | ||||||||||||||
Forward foreign exchange contracts | ||||||||||||||||||||
Counterparty A | 1,258,330 | (977,910 | ) | — | — | 280,420 | ||||||||||||||
Counterparty B | 2,123,780 | (2,123,780 | ) | — | — | — | ||||||||||||||
Counterparty C | 997,887 | — | — | — | 997,887 | |||||||||||||||
Swaps | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Assets | $ | 4,469,751 | $ | (3,144,714 | ) | $ | — | $ | (46,730 | ) | $ | 1,278,307 | ||||||||
|
|
|
|
|
|
|
|
|
|
At June 30, 2013, derivative liabilities by counterparty net of amounts available for offset under an MA and net of the related collateral pledged by the Trust are as follows:
Fund/Derivative Liability Type | Derivative Liabilities Subject to a MA by Type | Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Liabilities | |||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Financial futures contracts | $ | 21,726 | $ | (8,541 | ) | $ | — | $ | (13,185 | ) | $ | — | ||||||||
Forward foreign exchange contracts | ||||||||||||||||||||
Counterparty A | 1,063,284 | (439,867 | ) | — | — | 623,417 | ||||||||||||||
Counterparty B | 48,816 | — | (48,816 | ) | — | — | ||||||||||||||
Options | 944,617 | (235,114 | ) | — | — | 709,503 | ||||||||||||||
Swaps | 1,334,880 | (700,733 | ) | — | — | 634,147 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Liabilities | $ | 3,413,323 | $ | (1,384,255 | ) | $ | (48,816 | ) | $ | (13,185 | ) | $ | 1,967,067 | |||||||
|
|
|
|
|
|
|
|
|
|
198
Table of Contents
Fund/Derivative Liability Type | Derivative Liabilities Subject to a MA by Type | Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Liabilities | |||||||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Financial futures contracts | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Forward foreign exchange contracts | ||||||||||||||||||||
Counterparty A | 1,203,774 | (263,065 | ) | — | — | 940,709 | ||||||||||||||
Counterparty B | 235,693 | (143,553 | ) | — | — | 92,140 | ||||||||||||||
Counterparty C | 273,015 | (273,015 | ) | — | — | — | ||||||||||||||
Options | 1,424,767 | (284,611 | ) | — | — | 1,140,156 | ||||||||||||||
Swaps | ||||||||||||||||||||
Counterparty A | 519,357 | (519,357 | ) | — | — | — | ||||||||||||||
Counterparty B | 1,145,468 | (640,359 | ) | — | — | 505,109 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Liabilities | $ | 4,802,074 | $ | (2,123,960 | ) | $ | — | $ | — | $ | 2,678,114 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Financial futures contracts | $ | 82,271 | $ | (4,499 | ) | $ | — | $ | (77,772 | ) | $ | — | ||||||||
Forward foreign exchange contracts | — | — | — | — | — | |||||||||||||||
Options | 34,369 | (34,369 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Liabilities | $ | 116,640 | $ | (38,868 | ) | $ | — | $ | (77,772 | ) | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Financial futures contracts | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Forward foreign exchange contracts | 565,617 | (565,617 | ) | — | — | — | ||||||||||||||
Options | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Liabilities | $ | 565,617 | $ | (565,617 | ) | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Financial futures contracts | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Forward foreign exchange contracts | 2,703 | (2,703 | ) | — | — | — | ||||||||||||||
Options | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Liabilities | $ | 2,703 | $ | (2,703 | ) | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Financial futures contracts | ||||||||||||||||||||
Counterparty A | $ | 142,938 | $ | (43,024 | ) | $ | — | $ | (99,914 | ) | $ | — | ||||||||
Counterparty B | — | — | — | — | — | |||||||||||||||
Forward foreign exchange contracts | ||||||||||||||||||||
Counterparty A | 977,910 | (977,910 | ) | — | — | — | ||||||||||||||
Counterparty B | 2,650,208 | (2,123,780 | ) | — | (526,428 | ) | — | |||||||||||||
Counterparty C | — | — | — | — | — | |||||||||||||||
Swaps | 25,137 | — | — | (25,137 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Derivative Liabilities | $ | 3,796,193 | $ | (3,144,714 | ) | $ | — | $ | (651,479 | ) | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|
Additional information about master netting arrangements can be found in the Repurchase Agreements and Securities Lending sections of the Notes to Financial Statements.
199
Table of Contents
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, at value | Options written at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | |||
Foreign exchange contracts | Investments in securities of unaffiliated issuers, at value | Options written at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | |||
Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | ||
Equity contracts | Investments in securities of unaffiliated issuers, at value | Options written at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
* | 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, 2013. |
Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
MyDestination 2005 Futures | $ | (14,292 | ) | $ | (3,266 | ) | $ | — | $ | — | $ | (11,026 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 Futures | $ | (145,887 | ) | $ | (54,014 | ) | $ | — | $ | — | $ | (91,873 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 Futures | $ | (173,994 | ) | $ | (40,398 | ) | $ | — | $ | — | $ | (133,596 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 Futures | $ | (107,265 | ) | $ | (18,257 | ) | $ | — | $ | — | $ | (89,008 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 Futures | $ | (82,386 | ) | $ | (7,453 | ) | $ | — | $ | — | $ | (74,933 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Futures | $ | (18,381 | ) | $ | 172 | $ | — | $ | — | $ | (18,553 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Futures | $ | (772,010 | ) | $ | (345,433 | ) | $ | — | $ | — | $ | (426,577 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Futures | $ | (439,384 | ) | $ | (98,998 | ) | $ | — | $ | — | $ | (340,386 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Futures | $ | (406,899 | ) | $ | — | $ | — | $ | — | $ | (406,899 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation I Futures | $ | (2,559 | ) | $ | (312 | ) | $ | — | $ | — | $ | (2,247 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
200
Table of Contents
Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Balanced Allocation I Futures | $ | (148,386 | ) | $ | (64,570 | ) | $ | — | $ | — | $ | (83,816 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation I Futures | $ | (121,485 | ) | $ | (21,921 | ) | $ | — | $ | — | $ | (99,564 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation I Futures | $ | (68,742 | ) | $ | — | $ | — | $ | — | $ | (68,742 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 2,133,794 | $ | — | $ | 2,133,794 | $ | — | $ | — | ||||||||||
Futures | (111,122 | ) | (111,122 | ) | — | — | — | |||||||||||||
Purchased Options | 235,114 | 235,114 | — | — | — | |||||||||||||||
Swaps | 1,160,442 | 704,918 | — | 455,524 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 3,418,228 | $ | 828,910 | $ | 2,133,794 | $ | 455,524 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 682,302 | $ | — | $ | 682,302 | $ | — | $ | — | ||||||||||
Futures | (1,152,404 | ) | (1,152,404 | ) | — | — | — | |||||||||||||
Purchased Options | 319,526 | 284,611 | 34,915 | — | — | |||||||||||||||
Swaps | 2,526,368 | 2,025,196 | — | 501,172 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 2,375,792 | $ | 1,157,403 | $ | 717,217 | $ | 501,172 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Forwards | $ | 105,800 | $ | — | $ | 105,800 | $ | — | $ | — | ||||||||||
Futures | (329,996 | ) | (329,996 | ) | — | — | — | |||||||||||||
Purchased Options | 160,235 | 65,625 | 94,610 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (63,961 | ) | $ | (264,371 | ) | $ | 200,410 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond Fund | ||||||||||||||||||||
Forwards | $ | 567,128 | $ | — | $ | 567,128 | $ | — | $ | — | ||||||||||
Futures | (174,002 | ) | (174,002 | ) | — | — | — | |||||||||||||
Purchased Options | 18,252 | — | 18,252 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 411,378 | $ | (174,002 | ) | $ | 585,380 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 10,399 | $ | — | $ | 10,399 | $ | — | $ | — | ||||||||||
Futures | (671,460 | ) | — | — | — | (671,460 | ) | |||||||||||||
Purchased Options | 274,182 | — | — | — | 274,182 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (386,879 | ) | $ | — | $ | 10,399 | $ | — | $ | (397,278 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index Futures | $ | (192,637 | ) | $ | — | $ | — | $ | — | $ | (192,637 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities Futures | $ | (50,614 | ) | $ | — | $ | — | $ | — | $ | (50,614 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity Futures | $ | (135,878 | ) | $ | — | $ | — | $ | — | $ | (135,878 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity Fund Futures | $ | (274,617 | ) | $ | — | $ | — | $ | — | $ | (274,617 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | 22,697 | $ | — | $ | 22,697 | $ | — | $ | — | ||||||||||
Futures | (558,383 | ) | (50,478 | ) | — | (507,905 | ) | |||||||||||||
Purchased Options | 6,121 | — | 6,121 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (529,565 | ) | $ | (50,478 | ) | $ | 28,818 | $ | — | $ | (507,905 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
201
Table of Contents
Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 4,379,997 | $ | — | $ | 4,379,997 | $ | — | $ | — | ||||||||||
Futures | (3,173,035 | ) | — | (853,840 | ) | — | (2,319,195 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,206,962 | $ | — | $ | 3,526,157 | $ | — | $ | (2,319,195 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivative Value | ||||||||||||||||||||
Fund | Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 1,755,495 | $ | — | $ | 1,755,495 | $ | — | $ | — | ||||||||||
Futures | (1,159,442 | ) | (1,159,442 | ) | — | — | — | |||||||||||||
Written Options | 1,336,265 | 1,336,265 | — | — | — | |||||||||||||||
Swaps | 2,247,479 | 859,760 | — | 1,387,719 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 4,179,797 | $ | 1,036,583 | $ | 1,755,495 | $ | 1,387,719 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 1,712,482 | $ | — | $ | 1,712,482 | $ | — | $ | — | ||||||||||
Futures | (1,344,615 | ) | (1,344,615 | ) | — | — | — | |||||||||||||
Written Options | 1,498,542 | 1,498,542 | — | — | — | |||||||||||||||
Swaps | 2,521,014 | 1,384,582 | — | 1,136,432 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 4,387,423 | $ | 1,538,509 | $ | 1,712,482 | $ | 1,136,432 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Forwards | $ | 218,214 | $ | — | $ | 218,214 | $ | — | $ | — | ||||||||||
Futures | (390,046 | ) | (390,046 | ) | — | — | — | |||||||||||||
Written Options | 69,289 | 34,369 | 34,920 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (102,543 | ) | $ | (355,677 | ) | $ | 253,134 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Forwards | $ | 565,617 | $ | — | $ | 565,617 | $ | — | $ | — | ||||||||||
Futures | (149,671 | ) | (149,671 | ) | — | — | — | |||||||||||||
Written Options | 19,125 | 19,125 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 435,071 | $ | (130,546 | ) | $ | 565,617 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 724 | $ | — | $ | 724 | $ | — | $ | — | ||||||||||
Written Options | 44,500 | — | — | — | 44,500 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 45,224 | $ | — | $ | 724 | $ | — | $ | 44,500 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | 2,703 | $ | — | $ | 2,703 | $ | — | $ | — | ||||||||||
Futures | (327,145 | ) | (327,145 | ) | — | — | — | |||||||||||||
Written Options | 15,312 | 15,312 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (309,130 | ) | $ | (311,833 | ) | $ | 2,703 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 3,628,118 | $ | — | $ | 3,628,118 | $ | — | $ | — | ||||||||||
Futures | (568,910 | ) | — | — | — | (568,910 | ) | |||||||||||||
Swaps | 25,137 | — | — | — | 25,137 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 3,084,345 | $ | — | $ | 3,628,118 | $ | — | $ | (543,773 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
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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 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: 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 |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
MyDestination 2005 Futures | $ | 60,072 | $ | (15,001 | ) | $ | — | $ | — | $ | 75,073 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 Futures | $ | 341,709 | $ | (33,431 | ) | $ | — | $ | — | $ | 375,140 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 Futures | $ | 454,859 | $ | (26,919 | ) | $ | — | $ | — | $ | 481,778 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 Futures | $ | 383,645 | $ | (5,178 | ) | $ | — | $ | — | $ | 388,823 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 Futures | $ | 317,743 | $ | (1,331 | ) | $ | — | $ | — | $ | 319,074 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Futures | $ | 131,934 | $ | (3,023 | ) | $ | — | $ | — | $ | 134,957 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Futures | $ | 1,584,144 | $ | (117,973 | ) | $ | — | $ | — | $ | 1,702,117 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Futures | $ | 1,686,461 | $ | (42,138 | ) | $ | — | $ | — | $ | 1,728,599 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Futures | $ | 1,567,996 | $ | — | $ | — | $ | — | $ | 1,567,996 | ||||||||||
|
|
|
|
|
|
|
|
|
|
203
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
Conservative Allocation I Futures | $ | 23,070 | $ | (1,361 | ) | $ | — | $ | — | $ | 24,431 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation I Futures | $ | 325,736 | $ | (53,026 | ) | $ | — | $ | — | $ | 378,762 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation I Futures | $ | 374,085 | $ | (4,440 | ) | $ | — | $ | — | $ | 378,525 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation I Futures | $ | 262,909 | $ | — | $ | — | $ | — | $ | 262,909 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 1,114,412 | $ | — | $ | 1,114,412 | $ | — | $ | — | ||||||||||
Futures | 723,826 | 723,826 | — | — | — | |||||||||||||||
Swaps | 295,247 | 351,557 | — | (56,310 | ) | — | ||||||||||||||
Written Options | 391,396 | 391,396 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 2,524,881 | $ | 1,466,779 | $ | 1,114,412 | $ | (56,310 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 1,076,988 | $ | — | $ | 1,076,988 | $ | — | $ | — | ||||||||||
Futures | 543,672 | 543,672 | — | — | — | |||||||||||||||
Purchased Options | (47,736 | ) | (47,736 | ) | — | — | — | |||||||||||||
Swaps | 867,109 | 879,491 | — | (12,382 | ) | — | ||||||||||||||
Written Options | 561,962 | 561,962 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 3,001,995 | $ | 1,937,389 | $ | 1,076,988 | $ | (12,382 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Forwards | $ | 195,407 | $ | — | $ | 195,407 | $ | — | $ | — | ||||||||||
Futures | 487,315 | 487,315 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 682,722 | $ | 487,315 | $ | 195,407 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Forwards | $ | (1,250,020 | ) | $ | — | $ | (1,250,020 | ) | $ | — | $ | — | ||||||||
Futures | 238,270 | 238,270 | — | — | — | |||||||||||||||
Purchased Options | (185,747 | ) | — | (185,747 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,197,497 | ) | $ | 238,270 | $ | (1,435,767 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 250,842 | $ | — | $ | 250,842 | $ | — | $ | — | ||||||||||
Futures | 3,527,925 | — | — | — | 3,527,925 | |||||||||||||||
Purchased Options | (167,479 | ) | — | — | — | (167,479 | ) | |||||||||||||
Written Options | 11,941 | — | — | — | 11,941 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,623,229 | $ | — | $ | 250,842 | $ | — | $ | 3,372,387 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index | ||||||||||||||||||||
Futures | $ | 1,458,996 | $ | — | $ | — | $ | — | $ | 1,458,996 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities | ||||||||||||||||||||
Futures | $ | 1,224,234 | $ | — | $ | — | $ | — | $ | 1,224,234 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity | ||||||||||||||||||||
Futures | $ | 3,915,918 | $ | — | $ | — | $ | — | $ | 3,915,918 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity | ||||||||||||||||||||
Futures | $ | 8,479,331 | $ | — | $ | — | $ | — | $ | 8,479,331 | ||||||||||
|
|
|
|
|
|
|
|
|
|
204
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | 86,576 | $ | — | $ | 86,576 | $ | — | $ | — | ||||||||||
Futures | 19,951,998 | 514,750 | — | — | 19,437,248 | |||||||||||||||
Purchased Options | (21,566 | ) | (21,566 | ) | — | — | — | |||||||||||||
Written Options | 13,888 | 13,888 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 20,030,896 | $ | 507,072 | $ | 86,576 | $ | — | $ | 19,437,248 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 3,283,894 | $ | — | $ | 3,283,894 | $ | — | $ | — | ||||||||||
Futures | 5,494,466 | — | (845,006 | ) | — | 6,339,472 | ||||||||||||||
Swaps | (45,501 | ) | — | — | — | (45,501 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 8,732,859 | $ | — | $ | 2,438,888 | $ | — | $ | 6,293,971 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
MyDestination 2005 Futures | $ | (21,204 | ) | $ | (3,954 | ) | $ | — | $ | — | $ | (17,250 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 Futures | $ | (162,266 | ) | $ | (46,740 | ) | $ | — | $ | — | $ | (115,526 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 Futures | $ | (201,346 | ) | $ | (36,289 | ) | $ | — | $ | — | $ | (165,057 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 Futures | $ | (126,703 | ) | $ | (16,093 | ) | $ | — | $ | — | $ | (110,610 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 Futures | $ | (96,924 | ) | $ | (6,875 | ) | $ | — | $ | — | $ | (90,049 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation Futures | $ | (30,114 | ) | $ | (109 | ) | $ | — | $ | — | $ | (30,005 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation Futures | $ | (842,315 | ) | $ | (308,123 | ) | $ | — | $ | — | $ | (534,192 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation Futures | $ | (541,914 | ) | $ | (82,556 | ) | $ | — | $ | — | $ | (459,358 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation Futures | $ | (509,224 | ) | $ | — | $ | — | $ | — | $ | (509,224 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation I Futures | $ | (4,014 | ) | $ | (377 | ) | $ | — | $ | — | $ | (3,637 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation I Futures | $ | (162,056 | ) | $ | (60,267 | ) | $ | — | $ | — | $ | (101,789 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation I Futures | $ | (142,121 | ) | $ | (19,148 | ) | $ | — | $ | — | $ | (122,973 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation I Futures | $ | (86,473 | ) | $ | — | $ | — | $ | — | $ | (86,473 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
205
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 1,935,345 | $ | — | $ | 1,935,345 | $ | — | $ | — | ||||||||||
Futures | 936,356 | 936,356 | — | — | — | |||||||||||||||
Purchased Options | 91,357 | 91,357 | — | — | — | |||||||||||||||
Swaps | (1,770,316 | ) | (1,351,120 | ) | — | (419,196 | ) | — | ||||||||||||
Written Options | (1,019,713 | ) | (1,019,713 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 173,029 | $ | (1,343,120 | ) | $ | 1,935,345 | $ | (419,196 | ) | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 515,629 | $ | — | $ | 515,629 | $ | — | $ | — | ||||||||||
Futures | 145,868 | 145,868 | — | — | — | |||||||||||||||
Purchased Options | 104,679 | 69,764 | 34,915 | — | — | |||||||||||||||
Swaps | (2,374,400 | ) | (3,444,053 | ) | — | 1,069,653 | — | |||||||||||||
Written Options | (1,134,582 | ) | (1,134,582 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (2,742,806 | ) | $ | (4,363,003 | ) | $ | 550,544 | $ | 1,069,653 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Forwards | $ | (112,414 | ) | $ | — | $ | (112,414 | ) | $ | — | $ | — | ||||||||
Futures | (62,196 | ) | (62,196 | ) | — | — | — | |||||||||||||
Purchased Options | 14,675 | (10,949 | ) | 25,624 | — | — | ||||||||||||||
Written Options | 71,797 | 10,191 | 61,606 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (88,138 | ) | $ | (62,954 | ) | $ | (25,184 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Forwards | $ | 1,207,623 | $ | — | $ | 1,207,623 | $ | — | $ | — | ||||||||||
Futures | (98,822 | ) | (98,822 | ) | — | — | — | |||||||||||||
Purchased Options | (197,959 | ) | — | (197,959 | ) | — | — | |||||||||||||
Written Options | (465 | ) | (465 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 910,377 | $ | (99,287 | ) | $ | 1,009,664 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | (6,345 | ) | $ | — | $ | (6,345 | ) | $ | — | $ | — | ||||||||
Futures | (778,310 | ) | — | — | — | (778,310 | ) | |||||||||||||
Purchased Options | 20,582 | — | — | — | 20,582 | |||||||||||||||
Written Options | 1,399 | — | — | — | 1,399 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (762,674 | ) | $ | — | $ | (6,345 | ) | $ | — | $ | (756,329 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index | ||||||||||||||||||||
Futures | $ | (229,132 | ) | $ | — | $ | — | $ | — | $ | (229,132 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities | ||||||||||||||||||||
Futures | $ | (141,375 | ) | $ | — | $ | — | $ | — | $ | (141,375 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity | ||||||||||||||||||||
Futures | $ | (241,341 | ) | $ | — | $ | — | $ | — | $ | (241,341 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity | ||||||||||||||||||||
Futures | $ | (440,641 | ) | $ | — | $ | — | $ | — | $ | (440,641 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | 41,690 | $ | — | $ | 41,690 | $ | — | $ | — | ||||||||||
Futures | (1,414,498 | ) | 177,674 | — | — | (1,592,172 | ) | |||||||||||||
Purchased Options | 4,407 | 10,868 | (6,461 | ) | — | — | ||||||||||||||
Written Options | (14,803 | ) | (14,803 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,383,204 | ) | $ | 173,739 | $ | 35,229 | $ | — | $ | (1,592,172 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
206
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 06/30/13 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | (3,144,943 | ) | $ | — | $ | (3,144,943 | ) | $ | — | $ | — | ||||||||
Futures | (4,037,274 | ) | — | (620,000 | ) | — | (3,417,274 | ) | ||||||||||||
Swaps | (25,137 | ) | — | — | — | (25,137 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (7,207,354 | ) | $ | — | $ | (3,764,943 | ) | $ | — | $ | (3,442,411 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by fund during the period ended June 30, 2013. The average balance of derivatives held is indicative of the trading volume of each Fund.
Long 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 | $ | — | $ | 1,568,214 | $ | — | $ | — | ||||||||
MyDestination 2015 | — | 6,084,166 | — | — | ||||||||||||
MyDestination 2025 | — | 6,926,296 | — | — | ||||||||||||
MyDestination 2035 | — | 4,580,579 | — | — | ||||||||||||
MyDestination 2045 | — | 3,232,810 | — | — | ||||||||||||
Conservative Allocation | — | 4,448,498 | — | — | ||||||||||||
Balanced Allocation | — | 29,073,618 | — | — | ||||||||||||
Growth Allocation | — | 19,044,076 | — | — | ||||||||||||
Aggressive Allocation | — | 15,306,174 | — | — | ||||||||||||
Conservative Allocation I | — | 1,128,103 | — | — | ||||||||||||
Balanced Allocation I | — | 6,192,800 | — | — | ||||||||||||
Growth Allocation I | — | 4,335,826 | — | — | ||||||||||||
Aggressive Allocation I | — | 3,017,227 | — | — | ||||||||||||
Low-Duration Bond | 47,377,634 | 93,055,639 | 151,445 | 41,065,212 | ||||||||||||
Medium-Duration Bond | 40,054,008 | 129,203,273 | 234,451 | 122,613,200 | ||||||||||||
Inflation Protected Bond | 861,328 | 26,135,900 | 135,992 | — | ||||||||||||
Global Bond | 32,954,990 | 4,839,380 | 105,170 | — | ||||||||||||
Defensive Market Strategies | 1,029,405 | 29,763,966 | 173,288 | — | ||||||||||||
Equity Index | — | 10,456,375 | — | — | ||||||||||||
Real Estate Securities | — | 7,918,355 | — | — | ||||||||||||
Value Equity | — | 34,965,608 | — | — | ||||||||||||
Growth Equity | — | 61,443,187 | — | — | ||||||||||||
Small Cap Equity | 588,841 | 129,762,459 | 13,686 | — | ||||||||||||
International Equity | 363,798,556 | 220,223,015 | — | — | ||||||||||||
Short 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 | $ | 115,413,246 | $ | 87,720,663 | $ | 499,774 | $ | 58,300,000 | ||||||||
Medium-Duration Bond | 92,807,486 | 111,235,190 | 637,819 | 232,959,300 | ||||||||||||
Inflation Protected Bond | 6,629,430 | 21,996,129 | 105,816 | — | ||||||||||||
Global Bond | 47,142,491 | 9,956,174 | 18,660 | — | ||||||||||||
Defensive Market Strategies | 5,227,246 | — | 10,621 | — | ||||||||||||
Small Cap Equity | 2,883,033 | 32,629,242 | 12,262 | — | ||||||||||||
International Equity | 352,897,376 | 53,561,427 | — | 550,317 |
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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 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.
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 period ended June 30, 2013, 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% |
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Fund | Advisory Fees | Sub-Adviser Fees | ||
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% | 0.11% | ||
Global Bond | 0.21% | 0.25% | ||
Defensive Market Strategies | 0.37% | 0.48% | ||
Equity Index | 0.13% | 0.02% | ||
Real Estate Securities | 0.28% | 0.42% | ||
Value Equity | 0.40% | 0.23% | ||
Growth Equity | 0.45% | 0.39% | ||
Small Cap Equity | 0.27% | 0.54% | ||
International Equity | 0.47% | 0.47% |
For the period ended June 30, 2013, 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 | $ | 41,810 | $ | (19,982 | ) | $ | 21,828 | |||||
MyDestination 2015 | 188,920 | — | 188,920 | |||||||||
MyDestination 2025 | 207,611 | — | 207,611 | |||||||||
MyDestination 2035 | 106,436 | 34,850 | 141,286 | |||||||||
MyDestination 2045 | 76,510 | 8,376 | 84,886 | |||||||||
MyDestination 2055 | 4,168 | (37,685 | ) | (33,517 | ) | |||||||
Conservative Allocation | 162,204 | (58,313 | ) | 103,891 | ||||||||
Balanced Allocation | 618,183 | (50,229 | ) | 567,954 | ||||||||
Growth Allocation | 438,115 | (44,751 | ) | 393,364 | ||||||||
Aggressive Allocation | 380,002 | (41,887 | ) | 338,115 | ||||||||
Conservative Allocation I | 42,822 | (22,373 | ) | 20,449 | ||||||||
Balanced Allocation I | 182,758 | — | 182,758 | |||||||||
Growth Allocation I | 120,621 | — | 120,621 | |||||||||
Aggressive Allocation I | 79,683 | (7,503 | ) | 72,180 | ||||||||
Money Market(1) | 594,411 | — | 594,411 | |||||||||
Low-Duration Bond | 533,298 | (322,855 | ) | 210,443 | ||||||||
Medium-Duration Bond | 917,490 | (446,527 | ) | 470,963 | ||||||||
Extended-Duration Bond | 548,509 | (56,235 | ) | 492,274 | ||||||||
Inflation Protected Bond | 199,301 | (13,818 | ) | 185,483 | ||||||||
Global Bond | 251,359 | (32,410 | ) | 218,949 | ||||||||
Defensive Market Strategies | 808,627 | (57,031 | ) | 751,596 | ||||||||
Equity Index | 182,982 | (118,427 | ) | 64,555 | ||||||||
Real Estate Securities | 296,235 | (9,677 | ) | 286,558 | ||||||||
Value Equity | 2,551,629 | (38,951 | ) | 2,512,678 | ||||||||
Growth Equity(1) | 2,965,117 | (187,324 | ) | 2,777,793 | ||||||||
Small Cap Equity | 663,949 | (27,730 | ) | 636,219 | ||||||||
International Equity | 3,424,108 | (1,166,369 | ) | 2,257,739 |
(1) | The Statement of Operations “Expenses waived/reimbursed net of amount recaptured” for the Money Market Fund and the Growth Equity Fund include shareholder servicing fee waiver and other waivers, respectively, in addition to the advisory fee waiver. |
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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, 2014, 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:
Fund | GS2 Class | GS4 Class | ||
MyDestination 2005 | N/A | 0.20% | ||
MyDestination 2015 | N/A | 0.20% | ||
MyDestination 2025 | N/A | 0.20% | ||
MyDestination 2035 | N/A | 0.20% | ||
MyDestination 2045 | N/A | 0.20% | ||
MyDestination 2055 | N/A | 0.20% | ||
Conservative Allocation | N/A | 0.12% | ||
Balanced Allocation | N/A | 0.12% | ||
Growth Allocation | N/A | 0.12% | ||
Aggressive Allocation | N/A | 0.12% | ||
Conservative Allocation I | 0.15% | N/A | ||
Balanced Allocation I | 0.15% | N/A | ||
Growth Allocation I | 0.15% | N/A | ||
Aggressive Allocation I | 0.15% | N/A | ||
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 | N/A | 0.67% | ||
Global Bond | N/A | 1.02% | ||
Defensive Market Strategies | 0.99% | 1.25% | ||
Equity Index | 0.23% | 0.38% | ||
Real Estate Securities | N/A | 1.29% | ||
Value Equity | 0.74% | 0.94% | ||
Growth Equity | 0.88% | 1.06% | ||
Small Cap Equity | 1.12% | 1.21% | ||
International Equity | 0.96% | 1.20% |
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.
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At June 30, 2013, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
GS2 Class | GS4 Class | |||||||||||||||||||||||||||||||
2010 | 2011 | 2012 | 2013 | 2010 | 2011 | 2012 | 2013 | |||||||||||||||||||||||||
MyDestination 2005 | N/A | N/A | N/A | N/A | $ | 37,982 | $ | 91,223 | $ | 48,296 | $ | 19,982 | ||||||||||||||||||||
MyDestination 2015 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
MyDestination 2025 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
MyDestination 2035 | N/A | N/A | N/A | N/A | N/A | 35,221 | N/A | N/A | ||||||||||||||||||||||||
MyDestination 2045 | N/A | N/A | N/A | N/A | 45,285 | 74,220 | 15,118 | N/A | ||||||||||||||||||||||||
MyDestination 2055 | N/A | N/A | N/A | N/A | N/A | N/A | 95,601 | 37,685 | ||||||||||||||||||||||||
Conservative Allocation | N/A | N/A | N/A | N/A | 85,986 | 148,927 | 119,266 | 58,313 | ||||||||||||||||||||||||
Balanced Allocation | N/A | N/A | N/A | N/A | 44,858 | 157,363 | 117,270 | 50,229 | ||||||||||||||||||||||||
Growth Allocation | N/A | N/A | N/A | N/A | 65,662 | 133,967 | 104,633 | 44,751 | ||||||||||||||||||||||||
Aggressive Allocation | N/A | N/A | N/A | N/A | 59,666 | 129,580 | 97,258 | 41,887 | ||||||||||||||||||||||||
Conservative Allocation I | $ | 33,009 | $ | 66,248 | $ | 42,753 | $ | 22,373 | N/A | N/A | N/A | N/A | ||||||||||||||||||||
Balanced Allocation I | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Growth Allocation I | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Aggressive Allocation I | 7,100 | 38,072 | 17,895 | 7,503 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Money Market | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Low-Duration Bond | 55,742 | 59,610 | 53,538 | 30,234 | 468,377 | 501,417 | 493,263 | 254,111 | ||||||||||||||||||||||||
Medium-Duration Bond | 962 | 34,814 | 12,070 | 12,410 | 799,436 | 701,423 | 679,378 | 328,760 | ||||||||||||||||||||||||
Extended-Duration Bond | N/A | N/A | N/A | N/A | 108,124 | 141,631 | 82,647 | 43,265 | ||||||||||||||||||||||||
Inflation Protected Bond | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Global Bond | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Defensive Market Strategies | N/A | 8,654 | 46,439 | 9,877 | N/A | 20,289 | 133,940 | 11,759 | ||||||||||||||||||||||||
Equity Index | N/A | 900 | 1,408 | N/A | 128,840 | 240,739 | 210,543 | 106,356 | ||||||||||||||||||||||||
Real Estate Securities | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Value Equity | N/A | N/A | N/A | N/A | 159,664 | 28,595 | N/A | N/A | ||||||||||||||||||||||||
Growth Equity | N/A | N/A | N/A | N/A | 1,049,330 | 775,619 | 544,115 | 117,533 | ||||||||||||||||||||||||
Small Cap Equity | N/A | N/A | N/A | N/A | 188,066 | 232,755 | 186,783 | N/A | ||||||||||||||||||||||||
International Equity | 483,790 | 494,427 | 388,370 | 202,513 | 2,260,849 | 2,083,992 | 1,703,913 | 851,982 |
During the period ended June 30, 2013, GSCM recaptured the following amounts:
GS2 Class | GS4 Class | |||||||
MyDestination 2035 | N/A | $ | 34,850 | |||||
MyDestination 2045 | N/A | 8,376 | ||||||
Equity Index | $ | 64 | N/A |
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 | $ | 21,681 | ||
Growth Equity | 21,824 | |||
Small Cap Equity | 33,293 | |||
International Equity | 24,022 |
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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 period ended June 30, 2013, BNY Mellon received $1,367,804 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.
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
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, 2013, 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 | 2.80 | % | 1.09 | % | — | 5.39 | % | — | 2.28 | % | 0.63 | % | 0.33 | % | 0.35 | % | 0.21 | % | 0.42 | % | ||||||||||||||||||||||||
MyDestination 2015 | 4.29 | 4.35 | 2.06 | % | 21.32 | 5.78 | % | 16.38 | 7.93 | 2.37 | 2.36 | 1.77 | 2.85 | |||||||||||||||||||||||||||||||
MyDestination 2025 | 1.67 | 3.67 | 4.22 | 6.34 | 10.69 | 16.46 | 11.87 | 3.74 | 3.89 | 3.15 | 4.77 | |||||||||||||||||||||||||||||||||
MyDestination 2035 | — | 0.62 | 1.32 | — | 6.02 | — | 6.67 | 3.11 | 3.25 | 3.04 | 4.14 | |||||||||||||||||||||||||||||||||
MyDestination 2045 | — | — | 0.32 | — | 3.14 | — | 5.68 | 2.37 | 2.51 | 2.50 | 3.20 | |||||||||||||||||||||||||||||||||
MyDestination 2055 | — | — | — | — | 0.19 | — | 0.39 | 0.15 | 0.16 | 0.16 | 0.20 | |||||||||||||||||||||||||||||||||
Conservative Allocation | 20.76 | — | — | 19.73 | — | 5.42 | 0.46 | 0.96 | 1.04 | 0.66 | 1.20 | |||||||||||||||||||||||||||||||||
Balanced Allocation | 18.12 | 21.31 | 16.85 | 10.15 | 26.08 | 25.42 | 4.26 | 9.20 | 9.47 | 6.10 | 10.62 | |||||||||||||||||||||||||||||||||
Growth Allocation | 6.60 | 7.70 | 6.34 | — | 10.07 | — | 3.95 | 12.19 | 12.59 | 7.59 | 14.26 | |||||||||||||||||||||||||||||||||
Aggressive Allocation | — | — | — | — | — | — | — | 13.57 | 14.15 | 8.51 | 18.77 | |||||||||||||||||||||||||||||||||
Conservative Allocation I | 8.61 | — | — | 5.25 | — | 1.44 | 0.12 | 0.52 | 0.46 | 0.27 | 0.42 | |||||||||||||||||||||||||||||||||
Balanced Allocation I | 8.70 | 13.27 | 15.81 | 3.13 | 8.04 | 7.84 | 1.31 | 5.81 | 4.90 | 2.92 | 4.29 | |||||||||||||||||||||||||||||||||
Growth Allocation I | 2.95 | 4.46 | 5.53 | — | 2.89 | — | 1.13 | 7.16 | 6.06 | 3.38 | 5.36 | |||||||||||||||||||||||||||||||||
Aggressive Allocation I | — | — | — | — | — | — | — | 5.89 | 5.03 | 2.80 | 5.22 |
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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 period ended June 30, 2013 is as follows:
Total Value at 12/31/12 | Total Value at 06/30/13 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2005 | ||||||||||||||||||||||||
Money Market | $ | 1,736,846 | $ | 1,158,236 | $ | 12,715,805 | $ | 13,294,415 | $ | 77 | $ | — | ||||||||||||
Low-Duration Bond | 23,178,698 | 25,416,274 | 3,116,884 | 533,650 | 127,784 | 14,600 | ||||||||||||||||||
Medium-Duration Bond | 12,957,406 | 11,828,823 | 708,489 | 1,418,650 | 81,287 | 6,202 | ||||||||||||||||||
Inflation Protected Bond | 11,644,573 | 11,634,957 | 1,648,546 | 651,850 | 51,437 | 53,460 | ||||||||||||||||||
Global Bond | — | 741,450 | 741,450 | — | — | — | ||||||||||||||||||
Defensive Market Strategies | 10,365,666 | 10,307,859 | 255,271 | 1,132,750 | 45,637 | 48,484 | ||||||||||||||||||
Real Estate Securities | 1,696,755 | 1,477,932 | 19,584 | 304,500 | 12,170 | 7,414 | ||||||||||||||||||
Value Equity | 5,379,933 | 5,064,374 | 147,822 | 1,283,150 | 54,822 | — | ||||||||||||||||||
Growth Equity | 5,320,915 | 5,056,097 | 192,963 | 951,150 | — | 84,962 | ||||||||||||||||||
Small Cap Equity | 1,348,977 | 1,171,019 | 51,500 | 420,150 | — | — | ||||||||||||||||||
International Equity | 6,685,711 | 6,484,453 | 215,850 | 435,000 | — | — | ||||||||||||||||||
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$ | 80,315,480 | $ | 80,341,474 | $ | 19,814,164 | $ | 20,425,265 | $ | 373,214 | $ | 215,122 | |||||||||||||
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MyDestination 2015 | ||||||||||||||||||||||||
Money Market | $ | 4,696,654 | $ | 5,768,669 | $ | 27,124,412 | $ | 26,052,397 | $ | 319 | $ | — | ||||||||||||
Low-Duration Bond | 31,307,086 | 39,033,122 | 8,222,294 | — | 180,121 | 20,474 | ||||||||||||||||||
Medium-Duration Bond | 42,710,156 | 47,217,858 | 6,562,573 | 527,850 | 285,990 | 21,582 | ||||||||||||||||||
Extended-Duration Bond | 12,871,681 | 10,218,166 | 346,599 | 1,806,750 | 184,883 | 61,716 | ||||||||||||||||||
Inflation Protected Bond | 43,670,168 | 46,029,315 | 10,501,246 | 4,045,050 | 214,079 | 213,292 | ||||||||||||||||||
Global Bond | 14,129,910 | 15,407,698 | 1,840,491 | — | 188,241 | — | ||||||||||||||||||
Defensive Market Strategies | 67,882,208 | 73,936,656 | 1,917,717 | 1,195,500 | 323,761 | 343,955 | ||||||||||||||||||
Real Estate Securities | 18,965,722 | 18,530,366 | 253,631 | 1,350,200 | 157,616 | 96,015 | ||||||||||||||||||
Value Equity | 33,221,896 | 36,692,610 | 392,790 | 2,059,500 | 392,790 | — | ||||||||||||||||||
Growth Equity | 32,049,744 | 34,315,402 | 559,684 | 1,195,350 | — | 559,685 | ||||||||||||||||||
Small Cap Equity | 8,829,041 | 9,628,165 | — | 513,600 | — | — | ||||||||||||||||||
International Equity | 42,074,716 | 43,579,366 | 1,504,650 | — | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 352,408,982 | $ | 380,357,393 | $ | 59,226,087 | $ | 38,746,197 | $ | 1,927,800 | $ | 1,316,719 | |||||||||||||
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MyDestination 2025 | ||||||||||||||||||||||||
Money Market | $ | 5,298,470 | $ | 7,776,283 | $ | 39,739,324 | $ | 37,261,511 | $ | 350 | $ | — | ||||||||||||
Low-Duration Bond | 8,894,556 | 15,165,882 | 6,437,674 | — | 56,588 | 6,236 | ||||||||||||||||||
Medium-Duration Bond | 32,007,365 | 39,840,079 | 9,070,211 | — | 222,817 | 16,543 | ||||||||||||||||||
Extended-Duration Bond | 23,160,943 | 20,985,231 | 4,968,767 | 4,699,500 | 370,198 | 121,069 | ||||||||||||||||||
Inflation Protected Bond | 10,683,899 | 13,685,194 | 5,232,592 | 1,073,700 | 59,978 | 55,664 | ||||||||||||||||||
Global Bond | 23,945,093 | 28,513,347 | 5,665,812 | — | 347,112 | — | ||||||||||||||||||
Defensive Market Strategies | 61,891,535 | 74,308,062 | 8,581,542 | 1,217,400 | 325,456 | 345,756 | ||||||||||||||||||
Real Estate Securities | 24,153,755 | 27,762,657 | 3,519,608 | 765,200 | 229,688 | 139,919 | ||||||||||||||||||
Value Equity | 51,673,128 | 57,851,089 | 610,944 | 2,423,700 | 610,944 | — | ||||||||||||||||||
Growth Equity | 51,546,186 | 56,626,226 | 2,535,762 | 2,174,850 | — | 926,762 | ||||||||||||||||||
Small Cap Equity | 15,649,935 | 17,192,007 | — | 784,800 | — | — | ||||||||||||||||||
International Equity | 66,113,612 | 72,932,602 | 6,904,150 | — | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 375,018,477 | $ | 432,638,659 | $ | 93,266,386 | $ | 50,400,661 | $ | 2,223,131 | $ | 1,611,949 | |||||||||||||
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Table of Contents
Total Value at 12/31/12 | Total Value at 06/30/13 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2035 | ||||||||||||||||||||||||
Money Market | $ | 3,762,803 | $ | 5,109,711 | $ | 23,186,945 | $ | 21,840,037 | $ | 233 | $ | — | ||||||||||||
Medium-Duration Bond | 4,998,964 | 6,736,327 | 2,129,757 | 170,100 | 37,980 | 2,777 | ||||||||||||||||||
Extended-Duration Bond | 5,012,252 | 6,562,955 | 2,384,296 | 199,050 | 90,652 | 29,144 | ||||||||||||||||||
Global Bond | 12,856,753 | 16,050,975 | 3,828,151 | — | 197,251 | — | ||||||||||||||||||
Real Estate Securities | 12,984,905 | 15,590,558 | 2,605,472 | 428,800 | 128,620 | 78,352 | ||||||||||||||||||
Value Equity | 40,888,978 | 48,102,736 | 2,718,318 | 1,948,500 | 507,318 | — | ||||||||||||||||||
Growth Equity | 40,865,787 | 47,304,665 | 4,451,803 | 1,805,400 | — | 774,022 | ||||||||||||||||||
Small Cap Equity | 14,154,286 | 16,543,134 | 933,000 | 699,500 | — | — | ||||||||||||||||||
International Equity | 52,506,416 | 63,260,089 | 11,020,035 | — | — | — | ||||||||||||||||||
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$ | 188,031,144 | $ | 225,261,150 | $ | 53,257,777 | $ | 27,091,387 | $ | 962,054 | $ | 884,295 | |||||||||||||
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MyDestination 2045 | ||||||||||||||||||||||||
Money Market | $ | 3,135,660 | $ | 3,809,957 | $ | 15,609,040 | $ | 14,934,743 | $ | 166 | $ | — | ||||||||||||
Extended-Duration Bond | 1,326,683 | 1,582,402 | 408,191 | 1,650 | 22,104 | 7,087 | ||||||||||||||||||
Global Bond | 6,632,689 | 8,379,365 | 2,091,630 | — | 103,880 | — | ||||||||||||||||||
Real Estate Securities | 11,954,159 | 13,288,297 | 2,267,916 | 1,330,750 | 117,089 | 71,327 | ||||||||||||||||||
Value Equity | 30,426,322 | 36,646,706 | 2,560,872 | 1,176,150 | 383,372 | — | ||||||||||||||||||
Growth Equity | 30,523,562 | 36,471,583 | 4,206,709 | 1,080,600 | — | 591,860 | ||||||||||||||||||
Small Cap Equity | 11,391,795 | 13,644,175 | 930,000 | 434,850 | — | — | ||||||||||||||||||
International Equity | 39,397,456 | 48,905,871 | 9,773,600 | — | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 134,788,326 | $ | 162,728,356 | $ | 37,847,958 | $ | 18,958,743 | $ | 626,611 | $ | 670,274 | |||||||||||||
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MyDestination 2055 | ||||||||||||||||||||||||
Money Market | $ | 140,843 | $ | 176,488 | $ | 3,455,755 | $ | 3,420,110 | $ | 9 | $ | — | ||||||||||||
Global Bond | 307,765 | 495,466 | 225,889 | 17,500 | 5,889 | — | ||||||||||||||||||
Real Estate Securities | 619,147 | 913,944 | 415,922 | 132,600 | 8,154 | 4,967 | ||||||||||||||||||
Value Equity | 1,424,338 | 2,254,981 | 736,397 | 147,750 | 23,147 | — | ||||||||||||||||||
Growth Equity | 1,423,806 | 2,257,832 | 852,736 | 149,450 | — | 35,987 | ||||||||||||||||||
Small Cap Equity | 540,926 | 854,454 | 282,500 | 60,050 | — | — | ||||||||||||||||||
International Equity | 1,840,197 | 3,104,888 | 1,406,650 | 103,000 | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 6,297,022 | $ | 10,058,053 | $ | 7,375,849 | $ | 4,030,460 | $ | 37,199 | $ | 40,954 | |||||||||||||
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| |||||||||||||
Conservative Allocation | ||||||||||||||||||||||||
Money Market | $ | 5,925,474 | $ | 5,223,825 | $ | 21,500,473 | $ | 22,202,122 | $ | 238 | $ | — | ||||||||||||
Low-Duration Bond | 191,140,214 | 188,751,946 | 3,528,670 | 3,354,093 | 966,124 | 112,545 | ||||||||||||||||||
Inflation Protected Bond | 46,875,888 | 42,603,444 | 1,436,224 | 1,935,994 | 193,415 | 202,809 | ||||||||||||||||||
Defensive Market Strategies | 24,043,313 | 24,479,014 | 218,980 | 1,638,323 | 106,178 | 112,801 | ||||||||||||||||||
Real Estate Securities | — | 1,067,700 | 1,067,700 | — | — | — | ||||||||||||||||||
Value Equity | 16,962,524 | 14,874,593 | 187,252 | 4,771,749 | 187,252 | — | ||||||||||||||||||
Growth Equity | 16,930,172 | 15,102,283 | 275,875 | 3,584,429 | — | 275,876 | ||||||||||||||||||
Small Cap Equity | 3,856,292 | 3,582,659 | — | 839,584 | — | — | ||||||||||||||||||
International Equity | 20,907,918 | 18,404,351 | — | 2,524,828 | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 326,641,795 | $ | 314,089,815 | $ | 28,215,174 | $ | 40,851,122 | $ | 1,453,207 | $ | 704,031 | |||||||||||||
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Total Value at 12/31/12 | Total Value at 06/30/13 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Balanced Allocation | ||||||||||||||||||||||||
Money Market | $ | 25,212,869 | $ | 32,530,919 | $ | 33,318,116 | $ | 26,000,066 | $ | 1,617 | $ | — | ||||||||||||
Low-Duration Bond | 171,847,392 | 164,728,323 | 3,225,100 | 8,033,192 | 873,043 | 102,057 | ||||||||||||||||||
Medium-Duration Bond | 248,047,517 | 231,441,912 | 7,634,344 | 16,354,732 | 1,518,590 | 115,754 | ||||||||||||||||||
Extended-Duration Bond | 100,515,605 | 83,741,082 | 9,228,550 | 16,322,427 | 1,487,547 | 496,004 | ||||||||||||||||||
Inflation Protected Bond | — | 21,925,200 | 21,925,200 | — | — | — | ||||||||||||||||||
Global Bond | 58,885,101 | 69,550,589 | 13,439,271 | 556,866 | 747,171 | — | ||||||||||||||||||
Defensive Market Strategies | 115,930,568 | 114,745,863 | 1,083,246 | 11,325,439 | 525,242 | 558,004 | ||||||||||||||||||
Real Estate Securities | — | 9,966,000 | 9,966,000 | — | — | — | ||||||||||||||||||
Value Equity | 141,390,538 | 142,322,417 | 1,595,702 | 21,960,815 | 1,595,702 | — | ||||||||||||||||||
Growth Equity | 139,533,578 | 137,720,232 | 2,388,665 | 16,721,896 | — | 2,388,664 | ||||||||||||||||||
Small Cap Equity | 32,695,791 | 33,239,794 | — | 4,291,235 | — | — | ||||||||||||||||||
International Equity | 169,629,188 | 162,334,181 | — | 7,409,998 | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 1,203,688,147 | $ | 1,204,246,512 | $ | 103,804,194 | $ | 128,976,666 | $ | 6,748,912 | $ | 3,660,483 | |||||||||||||
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| |||||||||||||
Growth Allocation | ||||||||||||||||||||||||
Money Market | $ | 18,606,768 | $ | 17,711,290 | $ | 21,529,390 | $ | 22,424,868 | $ | 987 | $ | — | ||||||||||||
Low-Duration Bond | 59,249,861 | 59,988,897 | 2,691,726 | 1,175,555 | 293,963 | 34,363 | ||||||||||||||||||
Medium-Duration Bond | 86,256,786 | 83,603,423 | 1,724,946 | 1,705,161 | 515,157 | 39,189 | ||||||||||||||||||
Extended-Duration Bond | 35,063,972 | 31,496,617 | 5,429,092 | 5,585,628 | 525,581 | 173,511 | ||||||||||||||||||
Global Bond | 20,678,872 | 26,856,942 | 7,359,426 | 411,863 | 259,626 | — | ||||||||||||||||||
Real Estate Securities | — | 9,244,500 | 9,244,500 | — | — | — | ||||||||||||||||||
Value Equity | 184,200,559 | 188,583,064 | 2,079,769 | 25,703,917 | 2,079,769 | — | ||||||||||||||||||
Growth Equity | 181,742,369 | 183,140,001 | 3,110,794 | 18,036,643 | — | 3,110,794 | ||||||||||||||||||
Small Cap Equity | 42,282,215 | 41,368,424 | — | 7,019,035 | — | — | ||||||||||||||||||
International Equity | 224,959,845 | 218,029,294 | 893,100 | 8,032,598 | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 853,041,247 | $ | 860,022,452 | $ | 54,062,743 | $ | 90,095,268 | $ | 3,675,083 | $ | 3,357,857 | |||||||||||||
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| |||||||||||||
Aggressive Allocation | ||||||||||||||||||||||||
Money Market | $ | 14,287,922 | $ | 15,024,116 | $ | 20,051,212 | $ | 19,315,018 | $ | 764 | $ | — | ||||||||||||
Value Equity | 190,846,412 | 209,937,123 | 2,156,279 | 12,347,390 | 2,156,279 | — | ||||||||||||||||||
Growth Equity | 189,842,940 | 205,797,602 | 3,261,642 | 4,414,262 | — | 3,261,642 | ||||||||||||||||||
Small Cap Equity | 42,824,378 | 46,361,631 | — | 2,757,608 | — | — | ||||||||||||||||||
International Equity | 288,345,749 | 286,945,055 | 5,130,700 | 6,700,840 | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 726,147,401 | $ | 764,065,527 | $ | 30,599,833 | $ | 45,535,118 | $ | 2,157,043 | $ | 3,261,642 | |||||||||||||
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| |||||||||||||
Conservative Allocation I | ||||||||||||||||||||||||
Money Market | $ | 1,257,792 | $ | 630,787 | $ | 6,308,790 | $ | 6,935,796 | $ | 365 | $ | — | ||||||||||||
Low-Duration Bond | 48,270,806 | 50,243,218 | 4,915,256 | 2,078,000 | 477,745 | 47,118 | ||||||||||||||||||
Inflation Protected Bond | 11,841,975 | 11,340,955 | 1,141,767 | 664,000 | 50,741 | 54,732 | ||||||||||||||||||
Defensive Market Strategies | 6,076,033 | 6,519,622 | 547,055 | 591,000 | 34,311 | 29,220 | ||||||||||||||||||
Real Estate Securities | — | 284,000 | 284,000 | — | — | — | ||||||||||||||||||
Value Equity | 4,287,962 | 3,961,358 | 348,061 | 1,276,000 | 108,812 | — | ||||||||||||||||||
Growth Equity | 4,277,949 | 4,024,059 | 365,287 | 968,000 | — | 118,859 | ||||||||||||||||||
Small Cap Equity | 974,717 | 954,297 | 62,584 | 232,000 | — | — | ||||||||||||||||||
International Equity | 5,286,140 | 4,903,548 | 348,528 | 741,000 | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 82,273,374 | $ | 82,861,844 | $ | 14,321,328 | $ | 13,485,796 | $ | 671,974 | $ | 249,929 | |||||||||||||
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Total Value at 12/31/12 | Total Value at 06/30/13 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Balanced Allocation I | ||||||||||||||||||||||||
Money Market | $ | 6,348,888 | $ | 6,371,316 | $ | 12,428,048 | $ | 12,405,619 | $ | 1,865 | $ | — | ||||||||||||
Low-Duration Bond | 49,353,157 | 50,775,001 | 3,384,708 | 1,064,000 | 486,357 | 47,459 | ||||||||||||||||||
Medium-Duration Bond | 71,271,324 | 71,335,384 | 5,983,597 | 3,032,000 | 1,021,671 | 69,694 | ||||||||||||||||||
Extended-Duration Bond | 28,885,176 | 25,811,251 | 5,170,699 | 4,120,000 | 1,421,981 | 437,890 | ||||||||||||||||||
Inflation Protected Bond | — | 6,756,000 | 6,756,000 | — | — | — | ||||||||||||||||||
Global Bond | 16,910,122 | 21,434,185 | 5,349,203 | 156,000 | 224,337 | — | ||||||||||||||||||
Defensive Market Strategies | 33,335,730 | 35,405,301 | 1,808,749 | 2,396,000 | 196,267 | 167,143 | ||||||||||||||||||
Real Estate Securities | — | 3,068,000 | 3,068,000 | — | — | — | ||||||||||||||||||
Value Equity | 40,609,639 | 43,871,997 | 2,920,500 | 5,400,000 | 1,071,785 | — | ||||||||||||||||||
Growth Equity | 40,072,993 | 42,468,167 | 3,120,142 | 3,980,000 | — | 1,189,647 | ||||||||||||||||||
Small Cap Equity | 9,389,671 | 10,248,196 | 423,335 | 1,000,000 | — | — | ||||||||||||||||||
International Equity | 48,756,549 | 50,057,346 | 2,543,298 | 1,244,000 | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 344,933,249 | $ | 367,602,144 | $ | 52,956,279 | $ | 34,797,619 | $ | 4,424,263 | $ | 1,911,833 | |||||||||||||
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| |||||||||||||
Growth Allocation I | ||||||||||||||||||||||||
Money Market | $ | 3,753,596 | $ | 4,919,895 | $ | 7,672,764 | $ | 6,506,465 | $ | 1,234 | $ | — | ||||||||||||
Low-Duration Bond | 15,083,811 | 17,196,355 | 2,503,628 | 108,000 | 153,118 | 14,956 | ||||||||||||||||||
Medium-Duration Bond | 21,982,444 | 23,965,341 | 3,065,031 | 172,000 | 322,801 | 22,069 | ||||||||||||||||||
Extended-Duration Bond | 8,929,444 | 9,030,040 | 2,624,247 | 1,173,000 | 467,237 | 143,282 | ||||||||||||||||||
Global Bond | 5,267,041 | 7,698,375 | 2,677,718 | 28,000 | 72,855 | — | ||||||||||||||||||
Real Estate Securities | — | 2,648,000 | 2,648,000 | — | — | — | ||||||||||||||||||
Value Equity | 46,889,255 | 54,064,317 | 5,679,332 | 5,400,000 | 1,307,215 | — | ||||||||||||||||||
Growth Equity | 46,283,021 | 52,523,693 | 5,789,292 | 3,384,000 | — | 1,450,849 | ||||||||||||||||||
Small Cap Equity | 10,770,610 | 11,862,766 | 947,535 | 1,514,000 | — | — | ||||||||||||||||||
International Equity | 57,287,210 | 62,531,367 | 6,430,598 | 1,088,000 | — | — | ||||||||||||||||||
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|
| |||||||||||||
$ | 216,246,432 | $ | 246,440,149 | $ | 40,038,145 | $ | 19,373,465 | $ | 2,324,460 | $ | 1,631,156 | |||||||||||||
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| |||||||||||||
Aggressive Allocation I | ||||||||||||||||||||||||
Money Market | $ | 2,213,460 | $ | 2,711,775 | $ | 6,264,416 | $ | 5,766,101 | $ | 813 | $ | — | ||||||||||||
Value Equity | 37,636,761 | 44,517,154 | 3,638,834 | 2,282,000 | 1,025,544 | — | ||||||||||||||||||
Growth Equity | 37,455,347 | 43,657,392 | 4,120,634 | 1,013,000 | — | 1,150,972 | ||||||||||||||||||
Small Cap Equity | 8,456,203 | 9,831,279 | 648,208 | 580,000 | — | — | ||||||||||||||||||
International Equity | 56,916,582 | 60,876,855 | 5,539,840 | 1,528,000 | — | — | ||||||||||||||||||
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| |||||||||||||
$ | 142,678,353 | $ | 161,594,455 | $ | 20,211,932 | $ | 11,169,101 | $ | 1,026,357 | $ | 1,150,972 | |||||||||||||
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Table of Contents
g. Transactions with Affiliates
Advisers to Investment Companies, including GuideStone Funds, are permitted under Rule 17a-7 of the 1940 Act to purchase or sell securities directly between affiliated clients. When affecting these “cross” transactions, Rule 17a-7 imposes restrictions on how the trades are processed and reported. The specified conditions within Rule 17a-7 are outlined in procedures established by or under the direction of the Board of Trustees. The procedures have been designed to provide assurance that any purchase or sale of securities by the Fund from or to another Fund complies with Rule 17a-7 under the 1940 act.
For the period ended June 30, 2013, the Funds engaged in the following security transactions with affiliates:
Purchases | Sales Proceeds | Net Realized Loss from Sales | ||||||||||
Low-Duration Bond | $ | 5,782,385 | $ | 11,434,343 | $ | (576,481 | ) | |||||
Medium-Duration Bond | — | 8,724,401 | 313,960 | |||||||||
International Equity | 117,817 | 407,800 | 112,404 |
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, 2013, the market values of loaned securities and collateral received were as follows:
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral | ||||||||||||
Money Market | $ | 86,558,586 | $ | 86,514,039 | $ | 1,804,428 | $ | 88,318,467 | ||||||||
Low-Duration Bond | 148,285,524 | 80,693,155 | 70,791,875 | 151,485,030 | ||||||||||||
Medium-Duration Bond | 110,053,151 | 19,061,825 | 94,512,041 | 113,573,866 | ||||||||||||
Extended-Duration Bond | 27,211,379 | — | 27,676,254 | 27,676,254 | ||||||||||||
Global Bond | 38,291,502 | — | 39,143,248 | 39,143,248 | ||||||||||||
Defensive Market Strategies | 79,845,258 | 127,170 | 82,224,036 | 82,351,206 | ||||||||||||
Equity Index | 27,729,909 | 77,221 | 28,369,087 | 28,446,308 | ||||||||||||
Real Estate Securities | 51,855,761 | — | 53,411,864 | 53,411,864 | ||||||||||||
Value Equity | 117,826,195 | — | 124,502,163 | 124,502,163 | ||||||||||||
Growth Equity | 198,167,393 | 819,963 | 202,697,903 | 203,517,866 | ||||||||||||
Small Cap Equity | 142,561,806 | 396,999 | 153,219,311 | 153,616,310 | ||||||||||||
International Equity | 147,957,161 | 10,406,709 | 144,910,392 | 155,317,101 |
Securities lending transactions are entered into by the Funds under a Securities Lending Authorization Agreement which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund.
At June 30, 2013, the securities loaned which are subject to an MA on a net payment basis are as follows:
Fund | Value of Securities Loaned | Fair Value of Non-cash Collateral | Cash Collateral (Pledged) | Net Amount(1) | ||||||||||||
Money Market | $ | 86,558,586 | $ | (86,514,039 | ) | $ | (44,547 | ) | $ | — | ||||||
Low-Duration Bond | 148,285,524 | (80,693,155 | ) | (67,592,369 | ) | — | ||||||||||
Medium-Duration Bond | 110,053,151 | (19,061,825 | ) | (90,991,326 | ) | — | ||||||||||
Extended-Duration Bond | 27,211,379 | — | (27,211,379 | ) | — |
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Table of Contents
Fund | Value of Securities Loaned | Fair Value of Non-cash Collateral | Cash Collateral (Pledged) | Net Amount(1) | ||||||||||||
Global Bond | $ | 38,291,502 | $ | — | $ | (38,291,502 | ) | $ | — | |||||||
Defensive Market Strategies | 79,845,258 | (127,170 | ) | (79,718,088 | ) | — | ||||||||||
Equity Index | 27,729,909 | (77,221 | ) | (27,652,688 | ) | — | ||||||||||
Real Estate Securities | 51,855,761 | — | (51,855,761 | ) | — | |||||||||||
Value Equity | 117,826,195 | — | (117,826,195 | ) | — | |||||||||||
Growth Equity | 198,167,393 | (819,963 | ) | (197,347,430 | ) | — | ||||||||||
Small Cap Equity | 142,561,806 | (396,999 | ) | (142,164,807 | ) | — | ||||||||||
International Equity | 147,957,161 | (10,406,709 | ) | (137,550,452 | ) | — |
(1) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Additional information about master netting arrangements can be found in the Repurchase Agreements and Derivative Financial Instruments sections of the Notes to Financial Statements.
5. INVESTMENT TRANSACTIONS
For the period ended June 30, 2013, 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 | $ | 6,510,100 | $ | 7,130,850 | $ | — | $ | — | ||||||||
MyDestination 2015 | 28,857,475 | 12,693,800 | — | — | ||||||||||||
MyDestination 2025 | 49,692,330 | 13,139,150 | — | — | ||||||||||||
MyDestination 2035 | 28,224,715 | 5,251,350 | — | — | ||||||||||||
MyDestination 2045 | 20,942,200 | 4,024,000 | — | — | ||||||||||||
MyDestination 2055 | 3,841,950 | 610,350 | — | — | ||||||||||||
Conservative Allocation | 4,557,700 | 18,649,000 | — | — | ||||||||||||
Balanced Allocation | 60,078,300 | 102,976,600 | — | — | ||||||||||||
Growth Allocation | 25,501,400 | 67,670,400 | — | — | ||||||||||||
Aggressive Allocation | 5,130,700 | 26,220,100 | — | — | ||||||||||||
Conservative Allocation I | 7,091,000 | 6,550,000 | — | — | ||||||||||||
Balanced Allocation I | 34,194,000 | 22,392,000 | — | — | ||||||||||||
Growth Allocation I | 28,411,000 | 12,867,000 | — | — | ||||||||||||
Aggressive Allocation I | 11,771,000 | 5,403,000 | — | — | ||||||||||||
Low-Duration Bond | 540,374,367 | 590,547,696 | 244,260,742 | 210,680,150 | ||||||||||||
Medium-Duration Bond | 1,430,748,216 | 1,524,543,651 | 412,591,273 | 371,889,745 | ||||||||||||
Extended-Duration Bond | 29,446,803 | 79,856,734 | 23,247,817 | 32,965,137 | ||||||||||||
Inflation Protected Bond | 11,872,132 | 5,776,743 | 138,583,936 | 91,223,865 | ||||||||||||
Global Bond | 105,068,254 | 95,474,585 | 9,392,028 | 3,732,978 | ||||||||||||
Defensive Market Strategies | 515,174,512 | 509,541,753 | — | — | ||||||||||||
Equity Index | 9,757,174 | 2,886,879 | — | — | ||||||||||||
Real Estate Securities | 126,253,573 | 115,502,402 | — | — | ||||||||||||
Value Equity | 301,342,027 | 361,592,780 | — | — | ||||||||||||
Growth Equity | 686,265,319 | 733,315,281 | — | — | ||||||||||||
Small Cap Equity | 383,007,080 | 378,159,224 | 18,420,521 | 14,777,030 | ||||||||||||
International Equity | 312,452,077 | 296,667,291 | — | — |
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Table of Contents
Financial Futures Contracts
Investments as of June 30, 2013, 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 | 09/2013 | 4 | $ | 327,940 | GSC | $ | (3,958 | ) | ||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 1 | 46,685 | GSC | (420 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 9 | 719,685 | GSC | (6,648 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 14 | 1,694,656 | GSC | (3,266 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 2,788,966 | $ | (14,292 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
MyDestination 2015 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 39 | $ | 4,935,937 | GSC | $ | (54,014 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 25 | 2,049,625 | GSC | (40,601 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 14 | 653,590 | GSC | (2,115 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 62 | 4,957,830 | GSC | (49,157 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 12,596,982 | $ | (145,887 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
MyDestination 2025 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 30 | $ | 3,796,875 | GSC | $ | (40,398 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 31 | 2,541,535 | GSC | (59,413 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 17 | 793,645 | GSC | (2,904 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 80 | 6,397,200 | GSC | (71,279 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 13,529,255 | $ | (173,994 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
MyDestination 2035 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 7 | $ | 885,938 | GSC | $ | (18,257 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 21 | 1,721,685 | GSC | (43,703 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 13 | 606,905 | GSC | (2,636 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 54 | 4,318,110 | GSC | (42,669 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 7,532,638 | $ | (107,265 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
MyDestination 2045 Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 2 | $ | 253,125 | GSC | $ | (7,453 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 17 | 1,393,745 | GSC | (33,146 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 9 | 420,165 | GSC | (1,898 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 42 | 3,358,530 | GSC | (39,889 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 5,425,565 | $ | (82,386 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Conservative Allocation Fund | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 11 | $ | 901,835 | GSC | $ | (11,727 | ) | ||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 5 | 233,425 | GSC | (688 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 26 | 2,079,090 | GSC | (6,138 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 09/2013 | 41 | 9,020,000 | GSC | 172 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 12,234,350 | $ | (18,381 | ) | ||||||||||||||||
|
|
|
|
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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 | |||||||||||||||
Balanced Allocation Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 62 | $ | 7,846,875 | GSC | $ | (74,482 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2013 | 52 | 7,063,875 | GSC | (143,123 | ) | ||||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 106 | 8,690,410 | GSC | (190,029 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 58 | 2,707,730 | GSC | (9,300 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 278 | 22,230,270 | GSC | (227,248 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 108 | 13,073,062 | GSC | (127,828 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 61,612,222 | $ | (772,010 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Growth Allocation Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 16 | $ | 2,025,000 | GSC | $ | (28,312 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2013 | 14 | 1,901,813 | GSC | (33,874 | ) | ||||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 84 | 6,886,740 | GSC | (153,233 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 46 | 2,147,510 | GSC | (8,025 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 214 | 17,112,510 | GSC | (179,128 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 28 | 3,389,312 | GSC | (36,812 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 33,462,885 | $ | (439,384 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 56 | $ | 4,591,160 | GSC | $ | (197,248 | ) | ||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 35 | 1,633,975 | GSC | (16,775 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 115 | 9,195,975 | GSC | (192,876 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 15,421,110 | $ | (406,899 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Conservative Allocation Fund I | ||||||||||||||||||||
S&P 500® E-Mini | 09/2013 | 3 | $ | 239,895 | GSC | $ | (2,247 | ) | ||||||||||||
2-Year U.S. Treasury Note | 09/2013 | 4 | 880,000 | GSC | (312 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 1,119,895 | $ | (2,559 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Balanced Allocation Fund I | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 8 | $ | 1,012,500 | GSC | $ | (14,766 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2013 | 5 | 679,219 | GSC | (26,687 | ) | ||||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 11 | 901,835 | GSC | (38,416 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 5 | 233,425 | GSC | (2,100 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 31 | 2,478,915 | GSC | (43,300 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 11 | 1,331,515 | GSC | (23,117 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 6,637,409 | $ | (148,386 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Growth Allocation Fund I | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 2 | $ | 253,125 | GSC | $ | (7,453 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2013 | 1 | 135,844 | GSC | (6,062 | ) | ||||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 14 | 1,147,790 | GSC | (48,892 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 4 | 186,740 | GSC | (1,680 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 31 | 2,478,915 | GSC | (48,992 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 4 | 484,187 | GSC | (8,406 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 4,686,601 | $ | (121,485 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Aggressive Allocation Fund I | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 11 | $ | 901,835 | GSC | $ | (31,743 | ) | ||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 5 | 233,425 | GSC | (2,100 | ) | ||||||||||||||
S&P 500® E-Mini | 09/2013 | 24 | 1,919,160 | GSC | (34,899 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 3,054,420 | $ | (68,742 | ) | ||||||||||||||||
|
|
|
|
220
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 | |||||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||
90-Day Euro | 07/2013 | 1 | $ | 248,312 | CITI | $ | 997 | |||||||||||||
Euro-OAT | 09/2013 | (9 | ) | (1,551,857 | ) | GSC | 28,343 | |||||||||||||
5-Year U.S. Treasury Note | 09/2013 | (34 | ) | (3,327,750 | ) | CITI | 33,432 | |||||||||||||
90-Day Euro | 09/2013 | 2 | 498,425 | CITI | 1,395 | |||||||||||||||
90-Day Euro | 09/2013 | 2 | 498,125 | CITI | 1,320 | |||||||||||||||
90-Day Euro | 09/2013 | (1 | ) | (248,588 | ) | CITI | (2,428 | ) | ||||||||||||
10-Year U.S. Treasury Note | 09/2013 | (49 | ) | (6,201,562 | ) | UBS | 135,069 | |||||||||||||
10-Year U.S. Treasury Note | 09/2013 | (60 | ) | (7,593,750 | ) | CS | 168,354 | |||||||||||||
10-Year U.S. Treasury Note | 09/2013 | (100 | ) | (12,656,250 | ) | CITI | 20,703 | |||||||||||||
2-Year U.S. Treasury Note | 09/2013 | 160 | 35,200,000 | UBS | (36,078 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 09/2013 | 130 | 28,600,000 | CITI | (44,311 | ) | ||||||||||||||
2-Year U.S. Treasury Note | 09/2013 | 94 | 20,680,000 | GSC | (35,467 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | (26 | ) | (3,147,219 | ) | UBS | 65,609 | |||||||||||||
5-Year U.S. Treasury Note | 09/2013 | (42 | ) | (5,083,969 | ) | CS | 49,720 | |||||||||||||
5-Year U.S. Treasury Note | 09/2013 | (193 | ) | (23,362,047 | ) | GSC | 239,244 | |||||||||||||
5-Year U.S. Treasury Note | 09/2013 | (217 | ) | (26,267,172 | ) | CITI | 423,499 | |||||||||||||
90-Day Euro | 06/2014 | (1 | ) | (248,775 | ) | CITI | (2,103 | ) | ||||||||||||
90-Day Euro | 03/2015 | 1 | 247,938 | CITI | 1,022 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | (3,716,139 | ) | $ | 1,048,320 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
Euro-OAT | 09/2013 | (11 | ) | $ | (1,896,715 | ) | DEUT | $ | 34,641 | |||||||||||
10-Year U.S. Treasury Note | 09/2013 | (8 | ) | (1,760,000 | ) | GSC | 1,458 | |||||||||||||
10-Year U.S. Treasury Note | 09/2013 | (23 | ) | (2,910,938 | ) | BAR | 66,993 | |||||||||||||
10-Year U.S. Treasury Note | 09/2013 | (226 | ) | (28,603,125 | ) | CITI | 355,030 | |||||||||||||
10-Year U.S. Treasury Note | 09/2013 | (250 | ) | (31,640,625 | ) | GSC | 820,461 | |||||||||||||
Long U.S. Treasury Bond | 09/2013 | 10 | 1,358,438 | GSC | (41,595 | ) | ||||||||||||||
Long U.S. Treasury Bond | 09/2013 | (30 | ) | (4,075,312 | ) | CITI | (27,549 | ) | ||||||||||||
Ultra Long U.S. Treasury Bond | 09/2013 | 81 | 11,932,312 | CITI | (420,313 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 581 | 70,328,234 | CITI | (625,910 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 47 | 5,689,203 | GSC | (69,473 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | (61 | ) | (7,383,859 | ) | BAR | 93,581 | |||||||||||||
90-Day Euro | 03/2014 | 32 | 7,965,600 | GSC | 3,096 | |||||||||||||||
90-Day Euro | 03/2015 | 16 | 3,967,000 | GSC | 7,348 | |||||||||||||||
3-Month EURIBOR | 06/2015 | 42 | 13,559,277 | GSC | (5,557 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 36,529,490 | $ | 192,211 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Inflation Protected Bond Fund | ||||||||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | 148 | $ | 18,731,250 | UBS | $ | (342,071 | ) | ||||||||||||
Long U.S. Treasury Bond | 09/2013 | (31 | ) | (4,211,156 | ) | UBS | 154,937 | |||||||||||||
Ultra Long U.S. Treasury Bond | 09/2013 | (53 | ) | (7,807,563 | ) | UBS | 168,131 | |||||||||||||
2-Year U.S. Treasury Note | 09/2013 | (44 | ) | (9,680,000 | ) | UBS | 20,096 | |||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 45 | 5,447,109 | UBS | 12,075 | |||||||||||||||
Long Gilt | 09/2013 | (8 | ) | (1,361,562 | ) | UBS | 46,882 | |||||||||||||
|
|
|
| |||||||||||||||||
$ | 1,118,078 | $ | 60,050 | |||||||||||||||||
|
|
|
|
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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 | |||||||||||||||
Global Bond Fund | ||||||||||||||||||||
Euro-BOBL | 09/2013 | (38 | ) | $ | (6,192,695 | ) | GSC | $ | 48,431 | |||||||||||
10-Year U.S. Treasury Note | 09/2013 | 19 | 2,404,687 | GSC | (79,640 | ) | ||||||||||||||
Long U.S. Treasury Bond | 09/2013 | (10 | ) | (1,358,438 | ) | GSC | 44,866 | |||||||||||||
Ultra Long U.S. Treasury Bond | 09/2013 | (10 | ) | (1,473,125 | ) | GSC | 56,374 | |||||||||||||
Long Gilt | 09/2013 | 15 | 2,552,930 | GSC | (104,902 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 3 | 363,141 | GSC | (6,635 | ) | ||||||||||||||
90-Day Euro | 03/2015 | 100 | 24,793,750 | GSC | 17,175 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 21,090,250 | $ | (24,331 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Defensive Market Strategies Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2013 | 405 | $ | 32,385,825 | GSC | $ | (671,460 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
Equity Index Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2013 | 160 | $ | 12,794,400 | GSC | $ | (192,637 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
Real Estate Securities Fund | ||||||||||||||||||||
S&P 500® MidCap 400 E-Mini | 09/2013 | 54 | $ | 6,252,660 | GSC | $ | (50,614 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
Value Equity Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2013 | 523 | $ | 41,821,695 | GSC | $ | (135,878 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
Growth Equity Fund | ||||||||||||||||||||
S&P 500® E-Mini | 09/2013 | 622 | $ | 49,738,230 | GSC | $ | (274,617 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||
90-Day Euro | 09/2013 | (10 | ) | $ | (2,492,125 | ) | GSC | $ | (32 | ) | ||||||||||
10-Year U.S. Treasury Note | 09/2013 | (125 | ) | (15,820,312 | ) | GSC | 246,172 | |||||||||||||
Long U.S. Treasury Bond | 09/2013 | (9 | ) | (1,222,594 | ) | GSC | 25,846 | |||||||||||||
Ultra Long U.S. Treasury Bond | 09/2013 | (13 | ) | (1,915,062 | ) | GSC | 51,145 | |||||||||||||
Russell 2000® IMM-Mini | 09/2013 | 748 | 72,907,560 | GSC | (507,905 | ) | ||||||||||||||
10-Year U.S. Treasury Note | 09/2013 | (46 | ) | (10,120,000 | ) | GSC | 4,053 | |||||||||||||
5-Year U.S. Treasury Note | 09/2013 | 40 | 4,841,875 | GSC | (49,552 | ) | ||||||||||||||
90-Day Euro | 06/2014 | (12 | ) | (2,985,300 | ) | GSC | (39 | ) | ||||||||||||
3-Month EURIBOR | 06/2015 | 7 | 2,259,879 | GSC | (926 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 45,453,921 | $ | (231,238 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
International Equity Fund | ||||||||||||||||||||
Amsterdam Exchanges Index | 07/2013 | 32 | $ | 2,872,361 | BAR | $ | (49,396 | ) | ||||||||||||
CAC40 Index | 07/2013 | 223 | 10,839,996 | BAR | (305,148 | ) | ||||||||||||||
IBEX 35 | 07/2013 | 48 | 4,791,440 | BAR | (246,038 | ) | ||||||||||||||
OMX 30 Index | 07/2013 | (518 | ) | (8,884,888 | ) | BAR | 326,544 | |||||||||||||
SGX CNX Nifty Index | 07/2013 | (444 | ) | (5,174,376 | ) | BAR | (193,531 | ) | ||||||||||||
Hang Seng Index | 07/2013 | 51 | 6,815,189 | BAR | 286,247 | |||||||||||||||
Hang Seng Index | 07/2013 | 25 | 1,489,805 | BAR | 49,835 | |||||||||||||||
Hang Seng Index | 07/2013 | 3 | 178,777 | GSC | 7,009 | |||||||||||||||
MSCI Singapore Index | 07/2013 | 20 | 1,115,266 | BAR | 23,507 | |||||||||||||||
MSCI Taiwan Index | 07/2013 | 128 | 3,577,600 | BAR | 127,094 | |||||||||||||||
MSCI Taiwan Index | 07/2013 | 22 | 614,900 | GSC | 23,134 | |||||||||||||||
FTSE Bursa Malaysia KLCI | 07/2013 | 24 | 671,309 | BAR | 12,089 | |||||||||||||||
Borsa Istanbul 30 Index | 08/2013 | 81 | 387,004 | JPM | 6,832 | |||||||||||||||
KOSPI 200 Index | 09/2013 | (20 | ) | (2,118,997 | ) | BAR | 86,576 | |||||||||||||
TOPIX Index® | 09/2013 | 145 | 16,535,088 | BAR | 423,823 | |||||||||||||||
RTS Index | 09/2013 | 501 | 1,260,416 | GSC | 12,881 |
222
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 | |||||||||||||||
FTSE/JSE Top 40 Dividend Index | 09/2013 | 105 | $ | 3,697,022 | BAR | $ | (170,279 | ) | ||||||||||||
OPIC200 Index | 09/2013 | (115 | ) | (12,539,322 | ) | BAR | 62,530 | |||||||||||||
S&P/TSE 60 Index | 09/2013 | 258 | 33,991,138 | GSC | 10,303 | |||||||||||||||
S&P/TSE 60 Index | 09/2013 | (87 | ) | (11,462,128 | ) | BAR | 106,337 | |||||||||||||
DAX Index | 09/2013 | 31 | 8,036,391 | BAR | (214,808 | ) | ||||||||||||||
FTSE 100 Index® | 09/2013 | 99 | 9,277,675 | BAR | (236,283 | ) | ||||||||||||||
FTSE MIB Index | 09/2013 | (28 | ) | (2,781,194 | ) | BAR | 164,987 | |||||||||||||
Mexican Bolsa IPC Index | 09/2013 | (14 | ) | (441,054 | ) | JPM | (15,440 | ) | ||||||||||||
MSCI EAFE Index E-Mini | 09/2013 | 614 | 50,338,790 | GSC | (1,669,449 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini | 09/2013 | 362 | 16,899,970 | GSC | (267,610 | ) | ||||||||||||||
Swiss Market Index Future | 09/2013 | (58 | ) | (4,704,230 | ) | JPM | 46,730 | |||||||||||||
WIG20 Index | 09/2013 | 212 | 1,383,899 | GSC | (142,938 | ) | ||||||||||||||
SET50 Index | 09/2013 | (9 | ) | (283,073 | ) | BAR | (15,823 | ) | ||||||||||||
Canadian Dollar Future | 09/2013 | 297 | 28,226,880 | GSC | (853,840 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 154,611,654 | $ | (2,604,125 | ) | ||||||||||||||||
|
|
|
|
Forward Foreign Currency Contracts
As of June 30, 2013, 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:
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 | ||||||||||||||||||||
07/02/13 | U.S. Dollars | 398,604 | Euro | 299,000 | DEUT | $ | 9,406 | |||||||||||||
07/02/13 | U.S. Dollars | 6,579,931 | Euro | 5,094,000 | MSCS | (50,745 | ) | |||||||||||||
07/02/13 | Euro | 2,889,000 | U.S. Dollars | 3,734,709 | BAR | 25,798 | ||||||||||||||
07/02/13 | Brazilian Reals | 2,652,300 | U.S. Dollars | 1,260,000 | GSC | (72,461 | ) | |||||||||||||
07/02/13 | U.S. Dollars | 1,260,000 | Brazilian Reals | 2,703,960 | UBS | 49,331 | ||||||||||||||
07/02/13 | Euro | 930,000 | U.S. Dollars | 1,235,534 | BAR | (24,987 | ) | |||||||||||||
07/02/13 | Euro | 929,000 | U.S. Dollars | 1,234,205 | BAR | (24,960 | ) | |||||||||||||
07/02/13 | Euro | 645,000 | U.S. Dollars | 844,047 | RBC | (4,474 | ) | |||||||||||||
07/09/13 | U.S. Dollars | 4,165,846 | Euro | 3,183,000 | CITIG | 22,532 | ||||||||||||||
07/09/13 | U.S. Dollars | 1,594,922 | British Pounds | 1,036,000 | HSBC | 19,331 | ||||||||||||||
07/10/13 | U.S. Dollars | 3,364,718 | Australian Dollars | 3,439,000 | WEST | 222,433 | ||||||||||||||
07/10/13 | U.S. Dollars | 165,195 | Australian Dollars | 180,000 | BAR | 725 | ||||||||||||||
07/10/13 | U.S. Dollars | 160,933 | Australian Dollars | 174,000 | HSBC | 1,945 | ||||||||||||||
07/10/13 | U.S. Dollars | 92,545 | Australian Dollars | 96,000 | HSBC | 4,828 | ||||||||||||||
07/10/13 | U.S. Dollars | 91,487 | Australian Dollars | 99,000 | DEUT | 1,029 | ||||||||||||||
07/17/13 | Japanese Yen | 59,808,600 | U.S. Dollars | 600,000 | BNP | 3,075 | ||||||||||||||
07/17/13 | Japanese Yen | 58,483,140 | U.S. Dollars | 600,000 | BNP | (10,290 | ) | |||||||||||||
07/17/13 | Japanese Yen | 58,483,140 | U.S. Dollars | 600,000 | BNP | (10,290 | ) | |||||||||||||
07/17/13 | Japanese Yen | 58,310,400 | U.S. Dollars | 600,000 | DEUT | (12,032 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 11,526,304 | British Pounds | 7,529,000 | BAR | 76,545 | ||||||||||||||
07/17/13 | Mexican Pesos | 8,019,768 | U.S. Dollars | 650,000 | CITI | (32,149 | ) | |||||||||||||
07/17/13 | Mexican Pesos | 7,905,177 | U.S. Dollars | 650,000 | CS | (40,977 | ) | |||||||||||||
07/17/13 | Mexican Pesos | 7,686,484 | U.S. Dollars | 600,000 | DEUT | (7,825 | ) | |||||||||||||
07/17/13 | Norwegian Krone | 7,500,000 | U.S. Dollars | 1,287,090 | BAR | (53,215 | ) | |||||||||||||
07/17/13 | Norwegian Krone | 7,465,608 | Canadian Dollars | 1,300,000 | RBS | (7,301 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 7,236,347 | Australian Dollars | 6,901,027 | UBS | 934,091 |
223
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
07/17/13 | Swedish Kronor | 4,286,906 | U.S. Dollars | 648,671 | BAR | $ | (9,709 | ) | ||||||||||||
07/17/13 | Swedish Kronor | 4,253,029 | U.S. Dollars | 644,213 | BAR | (10,300 | ) | |||||||||||||
07/17/13 | Swedish Kronor | 3,948,122 | U.S. Dollars | 605,387 | BAR | (16,921 | ) | |||||||||||||
07/17/13 | Norwegian Krone | 3,500,000 | U.S. Dollars | 606,565 | DEUT | (30,757 | ) | |||||||||||||
07/17/13 | British Pounds | 2,421,000 | U.S. Dollars | 3,679,281 | GSC | 2,465 | ||||||||||||||
07/17/13 | British Pounds | 1,720,000 | U.S. Dollars | 2,624,271 | BNP | (8,574 | ) | |||||||||||||
07/17/13 | New Zealand Dollars | 1,552,261 | U.S. Dollars | 1,234,746 | BNP | (33,504 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 1,287,090 | Swedish Kronor | 8,437,065 | BAR | 29,548 | ||||||||||||||
07/17/13 | U.S. Dollars | 1,234,746 | Australian Dollars | 1,300,000 | BNP | 47,541 | ||||||||||||||
07/17/13 | U.S. Dollars | 1,200,000 | Japanese Yen | 118,926,144 | BNP | 819 | ||||||||||||||
07/17/13 | U.S. Dollars | 660,714 | British Pounds | 425,000 | DEUT | 14,394 | ||||||||||||||
07/17/13 | U.S. Dollars | 650,000 | Mexican Pesos | 8,143,200 | CITI | 22,639 | ||||||||||||||
07/17/13 | Canadian Dollars | 650,000 | Norwegian Krone | 3,678,558 | RBC | 12,575 | ||||||||||||||
07/17/13 | Canadian Dollars | 650,000 | Norwegian Krone | 3,708,448 | RBS | 7,658 | ||||||||||||||
07/17/13 | Australian Dollars | 650,000 | U.S. Dollars | 598,554 | BNP | (4,952 | ) | |||||||||||||
07/17/13 | Australian Dollars | 650,000 | U.S. Dollars | 619,874 | BNP | (26,271 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 648,671 | Norwegian Krone | 3,750,000 | BAR | 31,734 | ||||||||||||||
07/17/13 | U.S. Dollars | 644,213 | Norwegian Krone | 3,750,000 | BAR | 27,275 | ||||||||||||||
07/17/13 | U.S. Dollars | 620,897 | British Pounds | 400,000 | CS | 12,595 | ||||||||||||||
07/17/13 | U.S. Dollars | 619,874 | New Zealand Dollars | 765,112 | BNP | 27,780 | ||||||||||||||
07/17/13 | U.S. Dollars | 606,565 | Swedish Kronor | 3,978,198 | DEUT | 13,616 | ||||||||||||||
07/17/13 | U.S. Dollars | 605,387 | Norwegian Krone | 3,500,000 | BAR | 29,579 | ||||||||||||||
07/17/13 | U.S. Dollars | 600,000 | Mexican Pesos | 7,711,882 | JPM | 5,868 | ||||||||||||||
07/17/13 | U.S. Dollars | 600,000 | Mexican Pesos | 7,844,347 | CS | (4,337 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 600,000 | Japanese Yen | 60,341,940 | JPM | (8,453 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 600,000 | Japanese Yen | 60,867,060 | GSC | (13,748 | ) | |||||||||||||
07/17/13 | Australian Dollars | 600,000 | U.S. Dollars | 563,088 | UBS | (15,147 | ) | |||||||||||||
07/17/13 | Australian Dollars | 600,000 | U.S. Dollars | 576,241 | JPM | (28,300 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 598,554 | New Zealand Dollars | 774,881 | BNP | (1,100 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 590,591 | Australian Dollars | 600,000 | JPM | 42,651 | ||||||||||||||
07/17/13 | U.S. Dollars | 564,167 | Australian Dollars | 600,000 | GSC | 16,226 | ||||||||||||||
07/17/13 | British Pounds | 425,000 | U.S. Dollars | 669,338 | BAR | (23,017 | ) | |||||||||||||
07/17/13 | British Pounds | 400,000 | U.S. Dollars | 628,760 | CS | (20,458 | ) | |||||||||||||
07/18/13 | Japanese Yen | 243,100,000 | U.S. Dollars | 2,578,386 | CS | (127,099 | ) | |||||||||||||
07/18/13 | U.S. Dollars | 2,582,875 | Japanese Yen | 255,000,000 | UBS | 11,595 | ||||||||||||||
07/23/13 | U.S. Dollars | 4,354,797 | Euro | 3,316,677 | CITIC | 37,223 | ||||||||||||||
07/23/13 | Euro | 1,000,000 | U.S. Dollars | 1,333,253 | DEUT | (31,476 | ) | |||||||||||||
07/24/13 | Norwegian Krone | 7,000,000 | U.S. Dollars | 1,157,417 | DEUT | (6,084 | ) | |||||||||||||
07/24/13 | U.S. Dollars | 1,156,560 | Swedish Kronor | 7,783,650 | DEUT | (3,394 | ) | |||||||||||||
07/24/13 | Euro | 500,000 | Switzerland Francs | 612,398 | DEUT | 2,404 | ||||||||||||||
07/30/13 | U.S. Dollars | 1,920,933 | Mexican Pesos | 23,610,000 | RBS | 104,172 | ||||||||||||||
07/30/13 | Mexican Pesos | 260,000 | U.S. Dollars | 21,209 | RBS | (1,202 | ) | |||||||||||||
08/02/13 | Japanese Yen | 117,700,000 | U.S. Dollars | 1,216,940 | MLCS | (30,043 | ) | |||||||||||||
08/02/13 | U.S. Dollars | 7,327,533 | British Pounds | 4,851,000 | JPM | (48,816 | ) | |||||||||||||
08/02/13 | U.S. Dollars | 1,218,051 | Japanese Yen | 117,700,000 | CITIG | 31,154 | ||||||||||||||
08/02/13 | U.S. Dollars | 844,183 | Euro | 645,000 | RBC | 4,498 | ||||||||||||||
08/02/13 | U.S. Dollars | 117,485 | Brazilian Reals | 238,705 | UBS | 11,352 | ||||||||||||||
08/02/13 | Brazilian Reals | 85,607 | U.S. Dollars | 39,626 | UBS | (1,563 | ) | |||||||||||||
08/02/13 | Brazilian Reals | 85,568 | U.S. Dollars | 39,626 | BAR | (1,581 | ) | |||||||||||||
08/02/13 | Brazilian Reals | 34,238 | U.S. Dollars | 15,850 | JPM | (627 | ) | |||||||||||||
08/02/13 | Brazilian Reals | 33,292 | U.S. Dollars | 15,425 | DEUT | (622 | ) | |||||||||||||
08/15/13 | Norwegian Krone | 3,585,000 | U.S. Dollars | 621,500 | UBS | (32,341 | ) |
224
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/12/13 | U.S. Dollars | 7,002,521 | British Pounds | 4,563,000 | HSBC | $ | 65,960 | |||||||||||||
09/13/13 | U.S. Dollars | 16,292,335 | Euro | 12,453,913 | BAR | 76,067 | ||||||||||||||
09/13/13 | U.S. Dollars | 9,163,326 | Euro | 7,300,000 | HKSB | (342,021 | ) | |||||||||||||
09/13/13 | Euro | 7,300,000 | U.S. Dollars | 9,576,870 | HSBC | (71,524 | ) | |||||||||||||
09/18/13 | Mexican Pesos | 1,168,232 | U.S. Dollars | 94,617 | JPM | (5,127 | ) | |||||||||||||
10/11/13 | U.S. Dollars | 6,394,724 | Euro | 5,184,000 | JPM | (356,313 | ) | |||||||||||||
10/11/13 | Euro | 5,400,000 | U.S. Dollars | 7,028,100 | JPM | 4,230 | ||||||||||||||
10/11/13 | U.S. Dollars | 261,992 | Euro | 216,000 | JPM | (19,301 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 378,299 | |||||||||||||||||||
|
| |||||||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
07/02/13 | Euro | 2,405,000 | U.S. Dollars | 3,147,183 | RBS | $ | (16,682 | ) | ||||||||||||
07/02/13 | U.S. Dollars | 6,760,769 | Euro | 5,234,000 | MSCS | (52,139 | ) | |||||||||||||
07/02/13 | Euro | 1,419,000 | U.S. Dollars | 1,885,186 | BAR | (38,125 | ) | |||||||||||||
07/02/13 | Euro | 1,410,000 | U.S. Dollars | 1,873,229 | BAR | (37,883 | ) | |||||||||||||
07/17/13 | Russian Rubles | 4,488,381 | U.S. Dollars | 136,053 | CS | 78 | ||||||||||||||
07/17/13 | Russian Rubles | 2,696,819 | U.S. Dollars | 82,170 | JPM | (376 | ) | |||||||||||||
07/17/13 | U.S. Dollars | 225,950 | Russian Rubles | 7,185,200 | CS | 8,025 | ||||||||||||||
07/18/13 | Japanese Yen | 261,900,000 | U.S. Dollars | 2,777,784 | CS | (136,930 | ) | |||||||||||||
07/18/13 | U.S. Dollars | 2,772,387 | Japanese Yen | 273,710,000 | UBS | 12,446 | ||||||||||||||
07/26/13 | Mexican Pesos | 51,931,904 | U.S. Dollars | 3,963,027 | RBC | 34,559 | ||||||||||||||
07/26/13 | U.S. Dollars | 3,834,452 | Mexican Pesos | 50,902,347 | BAR | (83,881 | ) | |||||||||||||
07/26/13 | U.S. Dollars | 395,960 | Mexican Pesos | 5,098,977 | DEUT | 3,454 | ||||||||||||||
07/26/13 | U.S. Dollars | 324,363 | Mexican Pesos | 4,105,294 | RBC | 8,347 | ||||||||||||||
07/26/13 | U.S. Dollars | 170,444 | Mexican Pesos | 2,275,083 | BAR | (4,686 | ) | |||||||||||||
07/26/13 | U.S. Dollars | 141,061 | Mexican Pesos | 1,804,278 | UBS | 2,172 | ||||||||||||||
07/26/13 | U.S. Dollars | 124,738 | Mexican Pesos | 1,608,871 | UBS | 891 | ||||||||||||||
07/26/13 | U.S. Dollars | 87,573 | Mexican Pesos | 1,178,344 | JPM | (3,133 | ) | |||||||||||||
08/01/13 | U.S. Dollars | 293,640 | Australian Dollars | 318,000 | HSBC | 3,563 | ||||||||||||||
08/01/13 | U.S. Dollars | 3,156,550 | Australian Dollars | 3,361,000 | DEUT | 90,682 | ||||||||||||||
08/02/13 | Philippine Peso | 61,200,000 | U.S. Dollars | 1,488,399 | CITIC | (72,443 | ) | |||||||||||||
08/02/13 | U.S. Dollars | 3,147,691 | Euro | 2,405,000 | RBS | 16,771 | ||||||||||||||
08/02/13 | U.S. Dollars | 412,370 | Brazilian Reals | 837,853 | UBS | 39,844 | ||||||||||||||
08/02/13 | Brazilian Reals | 300,480 | U.S. Dollars | 139,085 | UBS | (5,486 | ) | |||||||||||||
08/02/13 | Brazilian Reals | 300,341 | U.S. Dollars | 139,085 | BAR | (5,548 | ) | |||||||||||||
08/02/13 | Brazilian Reals | 120,175 | U.S. Dollars | 55,634 | JPM | (2,202 | ) | |||||||||||||
08/02/13 | Brazilian Reals | 116,856 | U.S. Dollars | 54,140 | DEUT | (2,184 | ) | |||||||||||||
08/05/13 | U.S. Dollars | 620,380 | Chinese Yuan Renminbi | 3,893,508 | BAR | (11,823 | ) | |||||||||||||
08/05/13 | Chinese Yuan Renminbi | 3,364,650 | U.S. Dollars | 532,803 | UBS | 13,528 | ||||||||||||||
08/07/13 | U.S. Dollars | 1,080,979 | Euro | 829,053 | JPM | 1,659 | ||||||||||||||
08/08/13 | U.S. Dollars | 1,121,553 | British Pounds | 725,084 | JPM | 19,048 | ||||||||||||||
08/15/13 | Chinese Yuan Renminbi | 1,000,000 | U.S. Dollars | 159,642 | DEUT | 2,615 | ||||||||||||||
08/15/13 | Brazilian Reals | 3,150,000 | U.S. Dollars | 1,548,825 | JPM | (151,613 | ) | |||||||||||||
08/15/13 | Norwegian Krone | 1,133,000 | U.S. Dollars | 196,418 | UBS | (10,221 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 3,738,575 | Japanese Yen | 369,388,000 | CITIC | 13,375 | ||||||||||||||
08/16/13 | Japanese Yen | 285,950,000 | U.S. Dollars | 2,880,600 | CITIC | 3,144 | ||||||||||||||
08/16/13 | U.S. Dollars | 6,279,426 | Euro | 4,781,701 | CITIC | 53,974 | ||||||||||||||
08/16/13 | U.S. Dollars | 3,257,102 | British Pounds | 2,102,000 | CITIC | 61,142 | ||||||||||||||
08/16/13 | U.S. Dollars | 2,205,502 | Japanese Yen | 219,850,000 | CITIC | (11,638 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 1,553,042 | Japanese Yen | 153,366,000 | BAR | 6,379 | ||||||||||||||
08/16/13 | U.S. Dollars | 1,079,000 | Euro | 824,514 | UBS | 5,539 | ||||||||||||||
09/12/13 | U.S. Dollars | 3,646,306 | British Pounds | 2,347,000 | BNP | 78,454 |
225
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/13/13 | U.S. Dollars | 11,171,726 | Euro | 8,900,000 | HKSB | $ | (416,983 | ) | ||||||||||||
09/13/13 | U.S. Dollars | 123,225 | Euro | 100,000 | JPM | (6,985 | ) | |||||||||||||
09/18/13 | U.S. Dollars | �� | 139,000 | Japanese Yen | 13,747,239 | SS | 336 | |||||||||||||
09/18/13 | U.S. Dollars | 139,000 | Canadian Dollars | 146,236 | RBC | 235 | ||||||||||||||
09/18/13 | Australian Dollars | 75,088 | Euro | 53,000 | WEST | (759 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 69,308 | Australian Dollars | 76,000 | SC | 225 | ||||||||||||||
09/18/13 | Euro | 53,000 | U.S. Dollars | 69,091 | CS | (78 | ) | |||||||||||||
09/18/13 | Japanese Yen | 27,726,235 | U.S. Dollars | 284,153 | MLCS | (4,488 | ) | |||||||||||||
09/18/13 | Japanese Yen | 13,961,805 | U.S. Dollars | 143,000 | JPM | (2,172 | ) | |||||||||||||
09/18/13 | Japanese Yen | 13,805,640 | U.S. Dollars | 141,487 | SS | (2,235 | ) | |||||||||||||
09/18/13 | Japanese Yen | 13,788,273 | U.S. Dollars | 144,000 | MLCS | (4,922 | ) | |||||||||||||
09/18/13 | Japanese Yen | 13,557,772 | U.S. Dollars | 144,000 | MLCS | (7,247 | ) | |||||||||||||
09/18/13 | Japanese Yen | 10,257,502 | U.S. Dollars | 103,500 | JPM | (36 | ) | |||||||||||||
09/18/13 | Japanese Yen | 7,064,208 | U.S. Dollars | 72,000 | DEUT | (746 | ) | |||||||||||||
09/18/13 | Japanese Yen | 7,025,594 | U.S. Dollars | 72,000 | SS | (1,135 | ) | |||||||||||||
09/18/13 | Japanese Yen | 6,970,968 | U.S. Dollars | 72,000 | JPM | (1,686 | ) | |||||||||||||
09/18/13 | Japanese Yen | 6,861,326 | U.S. Dollars | 72,000 | DEUT | (2,792 | ) | |||||||||||||
09/18/13 | Japanese Yen | 6,851,631 | U.S. Dollars | 69,000 | DEUT | 110 | ||||||||||||||
09/18/13 | U.S. Dollars | 705,872 | Switzerland Francs | 660,089 | MSCS | 6,519 | ||||||||||||||
09/18/13 | Swedish Kronor | 677,587 | U.S. Dollars | 102,995 | UBS | (2,143 | ) | |||||||||||||
09/18/13 | Australian Dollars | 610,000 | U.S. Dollars | 573,333 | WEST | (18,851 | ) | |||||||||||||
09/18/13 | Swedish Kronor | 480,446 | U.S. Dollars | 70,929 | MSCS | 581 | ||||||||||||||
09/18/13 | U.S. Dollars | 479,746 | Swedish Kronor | 3,140,201 | HKSB | 12,360 | ||||||||||||||
09/18/13 | Swedish Kronor | 479,171 | U.S. Dollars | 72,835 | MLCS | (1,516 | ) | |||||||||||||
09/18/13 | Swedish Kronor | 477,628 | U.S. Dollars | 71,003 | UBS | 87 | ||||||||||||||
09/18/13 | Swedish Kronor | 472,824 | U.S. Dollars | 71,779 | BNP | (1,404 | ) | |||||||||||||
09/18/13 | Swedish Kronor | 471,037 | U.S. Dollars | 72,227 | JPM | (2,118 | ) | |||||||||||||
09/18/13 | Swedish Kronor | 469,419 | U.S. Dollars | 72,499 | JPM | (2,631 | ) | |||||||||||||
09/18/13 | Swedish Kronor | 436,519 | U.S. Dollars | 66,133 | JPM | (1,162 | ) | |||||||||||||
09/18/13 | Norwegian Krone | 435,038 | U.S. Dollars | 71,064 | SS | 342 | ||||||||||||||
09/18/13 | U.S. Dollars | 380,918 | Japanese Yen | 36,152,889 | WEST | 16,255 | ||||||||||||||
09/18/13 | Australian Dollars | 380,000 | U.S. Dollars | 357,190 | WEST | (11,775 | ) | |||||||||||||
09/18/13 | Euro | 363,594 | U.S. Dollars | 479,746 | HKSB | (6,298 | ) | |||||||||||||
09/18/13 | Switzerland Francs | 349,415 | U.S. Dollars | 382,000 | UBS | (11,800 | ) | |||||||||||||
09/18/13 | Australian Dollars | 304,778 | U.S. Dollars | 283,916 | WEST | (6,877 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 287,807 | Euro | 218,000 | HKSB | 3,942 | ||||||||||||||
09/18/13 | U.S. Dollars | 287,254 | Australian Dollars | 305,000 | SC | 10,014 | ||||||||||||||
09/18/13 | U.S. Dollars | 286,642 | Euro | 216,000 | JPM | 5,382 | ||||||||||||||
09/18/13 | U.S. Dollars | 285,938 | British Pounds | 183,694 | BNP | 6,702 | ||||||||||||||
09/18/13 | U.S. Dollars | 284,153 | Euro | 216,000 | MLCS | 2,893 | ||||||||||||||
09/18/13 | U.S. Dollars | 283,916 | Euro | 216,000 | WEST | 2,656 | ||||||||||||||
09/18/13 | Euro | 226,986 | U.S. Dollars | 302,650 | BNP | (7,085 | ) | |||||||||||||
09/18/13 | Euro | 215,000 | U.S. Dollars | 285,938 | BNP | (5,981 | ) | |||||||||||||
09/18/13 | British Pounds | 200,670 | U.S. Dollars | 311,302 | SS | (6,260 | ) | |||||||||||||
09/18/13 | British Pounds | 185,376 | U.S. Dollars | 287,807 | HKSB | (6,012 | ) | |||||||||||||
09/18/13 | New Zealand Dollars | 183,000 | U.S. Dollars | 140,828 | WEST | 147 | ||||||||||||||
09/18/13 | New Zealand Dollars | 180,000 | U.S. Dollars | 140,169 | WEST | (1,505 | ) | |||||||||||||
09/18/13 | Australian Dollars | 154,000 | U.S. Dollars | 141,169 | WEST | (1,186 | ) | |||||||||||||
09/18/13 | Australian Dollars | 153,000 | U.S. Dollars | 140,848 | WEST | (1,773 | ) | |||||||||||||
09/18/13 | Canadian Dollars | 148,159 | U.S. Dollars | 141,000 | RBC | (410 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 144,695 | Euro | 109,000 | CS | 2,763 | ||||||||||||||
09/18/13 | U.S. Dollars | 144,463 | Euro | 109,138 | RBS | 2,351 |
226
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/18/13 | U.S. Dollars | 144,233 | Euro | 108,000 | MLCS | $ | 3,603 | |||||||||||||
09/18/13 | U.S. Dollars | 144,104 | Switzerland Francs | 134,588 | UBS | 1,510 | ||||||||||||||
09/18/13 | U.S. Dollars | 144,000 | Canadian Dollars | 147,120 | RBC | 4,395 | ||||||||||||||
09/18/13 | U.S. Dollars | 144,000 | Canadian Dollars | 147,872 | RBC | 3,682 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,965 | British Pounds | 92,000 | HSBC | 4,114 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,904 | British Pounds | 92,000 | BAR | 4,053 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,820 | Switzerland Francs | 134,143 | UBS | 1,699 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,794 | Euro | 109,000 | JPM | 1,862 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,444 | Australian Dollars | 152,000 | MLCS | 5,278 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,384 | Euro | 108,000 | MLCS | 2,754 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,361 | British Pounds | 92,000 | RBS | 3,510 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,328 | Australian Dollars | 152,000 | WEST | 5,162 | ||||||||||||||
09/18/13 | U.S. Dollars | 143,000 | Canadian Dollars | 148,704 | RBC | 1,892 | ||||||||||||||
09/18/13 | U.S. Dollars | 142,448 | Australian Dollars | 155,000 | DEUT | 1,555 | ||||||||||||||
09/18/13 | U.S. Dollars | 142,088 | New Zealand Dollars | 184,000 | RBS | 343 | ||||||||||||||
09/18/13 | U.S. Dollars | 142,000 | Japanese Yen | 13,923,227 | MSCS | 1,561 | ||||||||||||||
09/18/13 | U.S. Dollars | 142,000 | Canadian Dollars | 148,693 | RBC | 903 | ||||||||||||||
09/18/13 | U.S. Dollars | 141,487 | Euro | 108,000 | SS | 857 | ||||||||||||||
09/18/13 | U.S. Dollars | 141,217 | Swedish Kronor | 936,807 | RBS | 1,783 | ||||||||||||||
09/18/13 | U.S. Dollars | 141,000 | Japanese Yen | 13,826,178 | BNP | 1,540 | ||||||||||||||
09/18/13 | U.S. Dollars | 140,697 | Australian Dollars | 152,000 | WEST | 2,531 | ||||||||||||||
09/18/13 | U.S. Dollars | 140,068 | Australian Dollars | 152,000 | HKSB | 1,902 | ||||||||||||||
09/18/13 | U.S. Dollars | 139,897 | Japanese Yen | 13,675,905 | DEUT | 1,952 | ||||||||||||||
09/18/13 | U.S. Dollars | 138,204 | Australian Dollars | 151,104 | WEST | 853 | ||||||||||||||
09/18/13 | Switzerland Francs | 134,169 | U.S. Dollars | 144,695 | CS | (2,546 | ) | |||||||||||||
09/18/13 | Swedish Kronor | 133,645 | U.S. Dollars | 20,320 | HKSB | (428 | ) | |||||||||||||
09/18/13 | Switzerland Francs | 132,837 | U.S. Dollars | 144,000 | UBS | (3,261 | ) | |||||||||||||
09/18/13 | Switzerland Francs | 132,834 | U.S. Dollars | 143,000 | CS | (2,265 | ) | |||||||||||||
09/18/13 | Euro | 118,800 | U.S. Dollars | 158,257 | MLCS | (3,564 | ) | |||||||||||||
09/18/13 | Euro | 109,000 | U.S. Dollars | 144,104 | UBS | (2,171 | ) | |||||||||||||
09/18/13 | Euro | 108,000 | U.S. Dollars | 141,485 | BNP | (855 | ) | |||||||||||||
09/18/13 | Euro | 108,000 | U.S. Dollars | 144,386 | RBC | �� | (3,756 | ) | ||||||||||||
09/18/13 | Euro | 107,500 | U.S. Dollars | 141,217 | RBS | (1,238 | ) | |||||||||||||
09/18/13 | Euro | 107,000 | U.S. Dollars | 139,897 | DEUT | (569 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 102,995 | Euro | 78,000 | UBS | 1,429 | ||||||||||||||
09/18/13 | British Pounds | 93,000 | U.S. Dollars | 143,820 | UBS | (2,449 | ) | |||||||||||||
09/18/13 | British Pounds | 92,970 | U.S. Dollars | 144,463 | RBS | (3,136 | ) | |||||||||||||
09/18/13 | New Zealand Dollars | 90,000 | U.S. Dollars | 70,205 | RBS | (873 | ) | |||||||||||||
09/18/13 | Australian Dollars | 76,000 | U.S. Dollars | 70,220 | DEUT | (1,137 | ) | |||||||||||||
09/18/13 | Australian Dollars | 76,000 | U.S. Dollars | 71,514 | DEUT | (2,432 | ) | |||||||||||||
09/18/13 | Australian Dollars | 76,000 | U.S. Dollars | 71,551 | RBS | (2,468 | ) | |||||||||||||
09/18/13 | Australian Dollars | 76,000 | U.S. Dollars | 71,644 | WEST | (2,561 | ) | |||||||||||||
09/18/13 | Australian Dollars | 76,000 | U.S. Dollars | 71,762 | WEST | (2,679 | ) | |||||||||||||
09/18/13 | Australian Dollars | 76,000 | U.S. Dollars | 71,832 | DEUT | (2,749 | ) | |||||||||||||
09/18/13 | Canadian Dollars | 74,928 | U.S. Dollars | 71,000 | RBC | 100 | ||||||||||||||
09/18/13 | Canadian Dollars | 74,754 | U.S. Dollars | 71,000 | DEUT | (65 | ) | |||||||||||||
09/18/13 | Canadian Dollars | 73,625 | U.S. Dollars | 72,000 | RBC | (2,136 | ) | |||||||||||||
09/18/13 | Canadian Dollars | 73,507 | U.S. Dollars | 72,000 | RBC | (2,248 | ) | |||||||||||||
09/18/13 | Canadian Dollars | 72,841 | U.S. Dollars | 69,000 | RBC | 120 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,835 | Euro | 55,000 | MLCS | 1,218 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,713 | Switzerland Francs | 67,744 | JPM | 939 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,499 | Euro | 54,000 | JPM | 2,184 |
227
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/18/13 | U.S. Dollars | 72,285 | Euro | 54,000 | MSCS | $ | 1,970 | |||||||||||||
09/18/13 | U.S. Dollars | 72,227 | Euro | 54,000 | JPM | 1,912 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,077 | British Pounds | 45,883 | BAR | 2,330 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,045 | Australian Dollars | 76,000 | WEST | 2,962 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,036 | Switzerland Francs | 66,489 | CS | 1,591 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,000 | Japanese Yen | 6,837,408 | MLCS | 3,033 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,000 | Japanese Yen | 6,874,488 | UBS | 2,659 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,000 | Canadian Dollars | 73,434 | RBC | 2,318 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,000 | Japanese Yen | 6,980,184 | MLCS | 1,593 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,000 | Japanese Yen | 6,997,464 | SS | 1,419 | ||||||||||||||
09/18/13 | U.S. Dollars | 72,000 | Japanese Yen | 7,004,664 | MLCS | 1,346 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,996 | Australian Dollars | 75,000 | WEST | 3,822 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,905 | Australian Dollars | 76,000 | MLCS | 2,822 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,899 | Australian Dollars | 76,000 | WEST | 2,816 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,834 | Australian Dollars | 76,000 | WEST | 2,751 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,779 | Euro | 54,000 | BNP | 1,464 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,472 | New Zealand Dollars | 93,000 | WEST | (171 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 71,444 | Australian Dollars | 75,000 | WEST | 3,270 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,228 | Australian Dollars | 75,000 | WEST | 3,054 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,115 | Australian Dollars | 76,000 | DEUT | 2,033 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,064 | Euro | 54,000 | SS | 749 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,048 | Australian Dollars | 75,000 | MLCS | 2,874 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,020 | Australian Dollars | 76,762 | MSCS | 1,245 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,003 | Euro | 54,000 | UBS | 688 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,000 | Japanese Yen | 6,985,264 | JPM | 542 | ||||||||||||||
09/18/13 | U.S. Dollars | 71,000 | Canadian Dollars | 74,554 | RBC | 255 | ||||||||||||||
09/18/13 | U.S. Dollars | 70,929 | Euro | 54,000 | MSCS | 614 | ||||||||||||||
09/18/13 | U.S. Dollars | 70,710 | Swedish Kronor | 477,090 | JPM | (300 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 70,217 | Norwegian Krone | 425,952 | JPM | 303 | ||||||||||||||
09/18/13 | U.S. Dollars | 70,000 | Japanese Yen | 6,856,290 | DEUT | 843 | ||||||||||||||
09/18/13 | U.S. Dollars | 69,126 | New Zealand Dollars | 90,000 | WEST | (206 | ) | |||||||||||||
09/18/13 | Switzerland Francs | 67,064 | U.S. Dollars | 71,000 | UBS | 54 | ||||||||||||||
09/18/13 | Switzerland Francs | 66,667 | U.S. Dollars | 72,000 | UBS | (1,368 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 66,133 | Euro | 50,267 | JPM | 679 | ||||||||||||||
09/18/13 | Euro | 55,000 | U.S. Dollars | 72,713 | JPM | (1,096 | ) | |||||||||||||
09/18/13 | Euro | 54,000 | U.S. Dollars | 70,217 | JPM | 99 | ||||||||||||||
09/18/13 | Euro | 54,000 | U.S. Dollars | 70,241 | SS | 74 | ||||||||||||||
09/18/13 | Euro | 54,000 | U.S. Dollars | 70,357 | MLCS | (42 | ) | |||||||||||||
09/18/13 | Euro | 54,000 | U.S. Dollars | 70,710 | JPM | (395 | ) | |||||||||||||
09/18/13 | Euro | 54,000 | U.S. Dollars | 71,384 | JPM | (1,069 | ) | |||||||||||||
09/18/13 | Euro | 54,000 | U.S. Dollars | 72,036 | CS | (1,721 | ) | |||||||||||||
09/18/13 | Euro | 54,000 | U.S. Dollars | 72,077 | BAR | (1,762 | ) | |||||||||||||
09/18/13 | Euro | 54,000 | U.S. Dollars | 72,457 | BAR | (2,142 | ) | |||||||||||||
09/18/13 | Euro | 53,000 | U.S. Dollars | 68,932 | BAR | 81 | ||||||||||||||
09/18/13 | U.S. Dollars | 35,740 | Australian Dollars | 38,000 | DEUT | 1,199 | ||||||||||||||
09/18/13 | U.S. Dollars | 35,052 | Australian Dollars | 38,000 | WEST | 510 | ||||||||||||||
09/18/13 | U.S. Dollars | 34,941 | Australian Dollars | 38,000 | MLCS | 400 | ||||||||||||||
09/18/13 | U.S. Dollars | 34,264 | Australian Dollars | 36,316 | BAR | 1,253 | ||||||||||||||
09/18/13 | U.S. Dollars | 20,320 | Euro | 15,334 | HKSB | 353 | ||||||||||||||
09/18/13 | U.S. Dollars | 6,367 | Australian Dollars | 6,684 | WEST | 292 | ||||||||||||||
09/23/13 | Canadian Dollars | 106,000 | U.S. Dollars | 103,886 | CITI | (3,314 | ) | |||||||||||||
10/11/13 | U.S. Dollars | 7,860,182 | Euro | 6,372,000 | JPM | (437,969 | ) |
228
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
10/11/13 | Euro | 6,588,000 | U.S. Dollars | 8,574,282 | JPM | $ | 5,161 | |||||||||||||
10/11/13 | U.S. Dollars | 261,992 | Euro | 216,000 | JPM | (19,301 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (1,030,180 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Inflation Protected Bond Fund | ||||||||||||||||||||
07/10/13 | Euro | 800,000 | Switzerland Francs | 986,165 | GSC | $ | (2,796 | ) | ||||||||||||
07/17/13 | Japanese Yen | 95,196,000 | U.S. Dollars | 1,000,000 | UBS | (40,100 | ) | |||||||||||||
07/17/13 | Norwegian Krone | 11,592,945 | Australian Dollars | 2,100,000 | GSC | (10,559 | ) | |||||||||||||
07/23/13 | U.S. Dollars | 4,215,899 | Euro | 3,280,000 | BNP | (53,930 | ) | |||||||||||||
07/23/13 | U.S. Dollars | 933,794 | Switzerland Francs | 862,141 | UBS | 20,852 | ||||||||||||||
07/23/13 | U.S. Dollars | 726,181 | Euro | 560,761 | DEUT | (3,805 | ) | |||||||||||||
07/23/13 | Euro | 700,000 | U.S. Dollars | 933,794 | UBS | (22,550 | ) | |||||||||||||
07/23/13 | U.S. Dollars | 675,255 | Euro | 522,686 | DEUT | (5,165 | ) | |||||||||||||
07/23/13 | U.S. Dollars | 265,992 | Euro | 199,998 | DEUT | 5,639 | ||||||||||||||
|
| |||||||||||||||||||
$ | (112,414 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Global Bond Fund | ||||||||||||||||||||
08/02/13 | U.S. Dollars | 1,201,052 | Chinese Yuan Renminbi | 7,414,800 | HSBC | $ | (3,176 | ) | ||||||||||||
08/02/13 | South Korean Won | 590,596,400 | U.S. Dollars | 531,160 | DEUT | (14,979 | ) | |||||||||||||
08/02/13 | Philippine Peso | 94,112,000 | U.S. Dollars | 2,288,716 | HKSB | (111,290 | ) | |||||||||||||
08/02/13 | Indian Rupees | 64,920,000 | U.S. Dollars | 1,180,007 | CITIC | (94,548 | ) | |||||||||||||
08/02/13 | Indian Rupees | 51,960,000 | U.S. Dollars | 945,071 | JPM | (76,302 | ) | |||||||||||||
08/02/13 | Chinese Yuan Renminbi | 7,414,800 | U.S. Dollars | 1,202,121 | HKSB | 2,107 | ||||||||||||||
08/02/13 | Brazilian Reals | 2,440,000 | U.S. Dollars | 1,175,337 | JPM | (90,467 | ) | |||||||||||||
08/02/13 | U.S. Dollars | 1,104,886 | Philippine Peso | 48,758,615 | HSBC | (23,220 | ) | |||||||||||||
08/02/13 | U.S. Dollars | 1,074,686 | Brazilian Reals | 2,180,000 | JPM | 105,418 | ||||||||||||||
08/02/13 | U.S. Dollars | 1,050,000 | Philippine Peso | 45,353,385 | HSBC | 679 | ||||||||||||||
08/02/13 | U.S. Dollars | 520,120 | South Korean Won | 590,596,400 | DEUT | 3,940 | ||||||||||||||
08/16/13 | Swedish Kronor | 5,133,306 | U.S. Dollars | 787,578 | BAR | (22,999 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 4,220,689 | Euro | 3,218,387 | JPM | 30,567 | ||||||||||||||
08/16/13 | U.S. Dollars | 2,620,598 | Euro | 2,002,520 | UBS | 13,452 | ||||||||||||||
08/16/13 | U.S. Dollars | 2,558,037 | Euro | 1,947,319 | GSC | 22,759 | ||||||||||||||
08/16/13 | U.S. Dollars | 2,540,456 | Euro | 1,934,524 | CITIC | 21,836 | ||||||||||||||
08/16/13 | U.S. Dollars | 2,375,071 | Euro | 1,808,255 | MSCS | 20,845 | ||||||||||||||
08/16/13 | U.S. Dollars | 1,742,399 | Canadian Dollars | 1,780,000 | BAR | 51,956 | ||||||||||||||
08/16/13 | U.S. Dollars | 1,366,299 | British Pounds | 879,710 | BAR | 28,756 | ||||||||||||||
08/16/13 | U.S. Dollars | 1,215,125 | British Pounds | 790,000 | RBC | 13,980 | ||||||||||||||
08/16/13 | U.S. Dollars | 1,210,322 | Mexican Pesos | 14,680,000 | DEUT | 82,521 | ||||||||||||||
08/16/13 | U.S. Dollars | 1,146,869 | British Pounds | 741,041 | JPM | 20,163 | ||||||||||||||
08/16/13 | Canadian Dollars | 1,140,000 | U.S. Dollars | 1,132,964 | BAR | (50,321 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 1,127,103 | Turkish Lira | 2,190,000 | RBC | 603 | ||||||||||||||
08/16/13 | U.S. Dollars | 1,008,901 | British Pounds | 650,000 | CS | 20,616 | ||||||||||||||
08/16/13 | U.S. Dollars | 901,216 | South African Rand | 8,273,340 | JPM | 70,401 | ||||||||||||||
08/16/13 | U.S. Dollars | 775,282 | Swedish Kronor | 5,130,000 | UBS | 11,195 | ||||||||||||||
08/16/13 | Canadian Dollars | 691,338 | U.S. Dollars | 686,637 | JPM | (30,083 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 677,532 | Canadian Dollars | 691,338 | JPM | 20,977 | ||||||||||||||
08/16/13 | Canadian Dollars | 640,000 | U.S. Dollars | 627,263 | BAR | (19,464 | ) | |||||||||||||
08/16/13 | Euro | 587,578 | U.S. Dollars | 775,282 | UBS | (10,295 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 310,546 | British Pounds | 200,000 | GSC | 6,459 | ||||||||||||||
08/16/13 | Canadian Dollars | 230,000 | U.S. Dollars | 225,420 | CS | (6,992 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 228,188 | Canadian Dollars | 230,000 | CS | 9,760 | ||||||||||||||
08/16/13 | Canadian Dollars | 191,315 | U.S. Dollars | 189,999 | DEUT | (8,309 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 187,498 | Canadian Dollars | 191,315 | DEUT | 5,808 |
229
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
08/16/13 | U.S. Dollars | 154,376 | British Pounds | 100,000 | JPM | $ | 2,332 | |||||||||||||
08/16/13 | Singapore Dollars | 126,464 | U.S. Dollars | 102,957 | HSBC | (3,174 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 1,511 | |||||||||||||||||||
|
| |||||||||||||||||||
Defensive Market Strategies Fund | ||||||||||||||||||||
07/31/13 | U.S. Dollars | 1,050,082 | Euro | 801,749 | UBS | $ | 6,348 | |||||||||||||
07/31/13 | U.S. Dollars | 274,495 | Switzerland Francs | 258,783 | CS | 444 | ||||||||||||||
07/31/13 | U.S. Dollars | 272,950 | Swedish Kronor | 1,836,624 | JPM | (707 | ) | |||||||||||||
07/31/13 | U.S. Dollars | 243,528 | Japanese Yen | 23,800,000 | CS | 3,529 | ||||||||||||||
07/31/13 | Euro | 70,849 | U.S. Dollars | 92,155 | UBS | 78 | ||||||||||||||
07/31/13 | U.S. Dollars | 11,726 | Switzerland Francs | 11,089 | CS | (17 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 9,675 | |||||||||||||||||||
|
| |||||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||
07/25/13 | U.S. Dollars | 43,107 | Euro | 33,000 | CS | $ | 148 | |||||||||||||
08/16/13 | Japanese Yen | 49,400,000 | U.S. Dollars | 497,645 | MLCS | 543 | ||||||||||||||
08/16/13 | U.S. Dollars | 747,484 | Euro | 569,200 | MLCS | 6,425 | ||||||||||||||
08/16/13 | U.S. Dollars | 566,209 | Japanese Yen | 55,944,000 | MLCS | 2,026 | ||||||||||||||
08/16/13 | U.S. Dollars | 512,226 | Japanese Yen | 51,060,000 | CITIG | (2,703 | ) | |||||||||||||
08/16/13 | U.S. Dollars | 471,980 | Euro | 359,341 | MSCS | 4,142 | ||||||||||||||
08/16/13 | U.S. Dollars | 443,164 | British Pounds | 286,000 | MLCS | 8,319 | ||||||||||||||
08/16/13 | U.S. Dollars | 266,405 | Japanese Yen | 26,308,000 | BAR | 1,094 | ||||||||||||||
|
| |||||||||||||||||||
$ | 19,994 | |||||||||||||||||||
|
| |||||||||||||||||||
International Equity Fund | ||||||||||||||||||||
07/31/13 | U.S. Dollars | 9,202,751 | Australian Dollars | 8,994,000 | NT | $ | 997,887 | |||||||||||||
09/18/13 | Hungarian Forint | 7,000,000 | U.S. Dollars | 30,741 | RBS | (103 | ) | |||||||||||||
09/18/13 | Israeli Shekels | 5,037,000 | U.S. Dollars | 1,382,055 | RBS | 86 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 1,433,000 | U.S. Dollars | 184,682 | RBS | 136 | ||||||||||||||
09/18/13 | Singapore Dollars | 546,000 | U.S. Dollars | 435,805 | RBS | (4,966 | ) | |||||||||||||
09/18/13 | Hong Kong Dollars | 400,000 | U.S. Dollars | 51,585 | RBS | 4 | ||||||||||||||
09/18/13 | Singapore Dollars | 180,000 | U.S. Dollars | 142,320 | RBS | (285 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 156,663 | Malaysian Ringgits | 500,000 | RBS | (735 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 140,205 | Hong Kong Dollars | 1,088,000 | RBS | (118 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 69,973 | Hong Kong Dollars | 543,000 | RBS | (59 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 33,657 | Hong Kong Dollars | 261,000 | RBS | (5 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 31,599 | Hong Kong Dollars | 245,000 | RBS | — | ||||||||||||||
09/18/13 | U.S. Dollars | 23,008 | Singapore Dollars | 29,000 | RBS | 124 | ||||||||||||||
09/18/13 | U.S. Dollars | 19,179 | Thailand Baht | 600,000 | RBS | (83 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 16,764 | Singapore Dollars | 21,000 | RBS | 193 | ||||||||||||||
09/18/13 | U.S. Dollars | 11,897 | Singapore Dollars | 15,000 | RBS | 61 | ||||||||||||||
09/18/13 | U.S. Dollars | 3,941 | Singapore Dollars | 5,000 | RBS | (4 | ) | |||||||||||||
09/18/13 | Indonesian Rupiahs | 7,200,000,000 | U.S. Dollars | 682,154 | RBS | 35,385 | ||||||||||||||
09/18/13 | Hungarian Forint | 1,495,000,000 | U.S. Dollars | 6,576,933 | RBS | (33,553 | ) | |||||||||||||
09/18/13 | Indonesian Rupiahs | 1,245,127,919 | U.S. Dollars | 121,476 | RBS | 2,611 | ||||||||||||||
09/18/13 | Japanese Yen | 775,552,000 | U.S. Dollars | 7,823,829 | RBS | (1,093 | ) | |||||||||||||
09/18/13 | Columbian Peso | 760,000,000 | U.S. Dollars | 389,049 | RBS | 3,141 | ||||||||||||||
09/18/13 | Japanese Yen | 736,840,000 | U.S. Dollars | 7,756,717 | RBS | (324,456 | ) | |||||||||||||
09/18/13 | Japanese Yen | 575,545,000 | U.S. Dollars | 5,677,210 | RBS | 128,122 | ||||||||||||||
09/18/13 | Japanese Yen | 363,738,000 | U.S. Dollars | 3,631,947 | RBS | 36,958 | ||||||||||||||
09/18/13 | Taiwan Dollars | 316,965,000 | U.S. Dollars | 10,634,464 | RBS | (48,851 | ) | |||||||||||||
09/18/13 | Hungarian Forint | 135,000,000 | U.S. Dollars | 599,226 | RBS | (8,352 | ) | |||||||||||||
09/18/13 | Norwegian Krone | 112,922,000 | U.S. Dollars | 19,326,885 | RBS | (792,362 | ) |
230
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/18/13 | Hungarian Forint | 81,000,000 | U.S. Dollars | 358,032 | RBS | $ | (3,507 | ) | ||||||||||||
09/18/13 | Philippine Peso | 51,700,000 | U.S. Dollars | 1,168,913 | RBS | 26,605 | ||||||||||||||
09/18/13 | Indian Rupees | 51,634,000 | U.S. Dollars | 896,579 | RBS | (40,024 | ) | |||||||||||||
09/18/13 | Swedish Kronor | 48,816,000 | U.S. Dollars | 7,417,880 | RBS | (152,137 | ) | |||||||||||||
09/18/13 | Swedish Kronor | 38,092,000 | U.S. Dollars | 5,799,486 | RBS | (129,897 | ) | |||||||||||||
09/18/13 | Mexican Pesos | 37,491,000 | U.S. Dollars | 2,902,237 | RBS | (30,317 | ) | |||||||||||||
09/18/13 | Polish Zloty | 32,751,000 | U.S. Dollars | 10,033,751 | RBS | (227,703 | ) | |||||||||||||
09/18/13 | Japanese Yen | 29,622,000 | U.S. Dollars | 303,354 | RBS | (4,567 | ) | |||||||||||||
09/18/13 | Malaysian Ringgits | 28,369,000 | U.S. Dollars | 9,022,357 | RBS | (91,887 | ) | |||||||||||||
09/18/13 | Taiwan Dollars | 20,253,000 | U.S. Dollars | 679,631 | RBS | (3,246 | ) | |||||||||||||
09/18/13 | Danish Kroner | 16,123,000 | U.S. Dollars | 2,875,308 | RBS | (59,037 | ) | |||||||||||||
09/18/13 | Israeli Shekels | 15,410,000 | U.S. Dollars | 4,228,203 | RBS | 263 | ||||||||||||||
09/18/13 | U.S. Dollars | 13,196,443 | British Pounds | 8,570,000 | RBS | 169,010 | ||||||||||||||
09/18/13 | U.S. Dollars | 12,499,465 | Singapore Dollars | 15,660,000 | RBS | 142,423 | ||||||||||||||
09/18/13 | U.S. Dollars | 12,380,265 | Canadian Dollars | 12,834,000 | RBS | 201,891 | ||||||||||||||
09/18/13 | Switzerland Francs | 11,639,000 | U.S. Dollars | 12,554,418 | RBS | (223,101 | ) | |||||||||||||
09/18/13 | South African Rand | 9,900,000 | U.S. Dollars | 981,946 | RBS | 7,524 | ||||||||||||||
09/18/13 | South African Rand | 9,500,000 | U.S. Dollars | 919,946 | RBS | 29,546 | ||||||||||||||
09/18/13 | U.S. Dollars | 8,956,853 | Switzerland Francs | 8,462,000 | RBS | (8,489 | ) | |||||||||||||
09/18/13 | Hong Kong Dollars | 8,057,000 | U.S. Dollars | 1,038,233 | RBS | 903 | ||||||||||||||
09/18/13 | Czech Republic Koruna | 7,800,000 | U.S. Dollars | 392,400 | RBS | (1,955 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 7,721,368 | Indonesian Rupiahs | 78,271,512,648 | RBS | (79,027 | ) | |||||||||||||
09/18/13 | Czech Republic Koruna | 7,700,000 | U.S. Dollars | 389,395 | RBS | (3,956 | ) | |||||||||||||
09/18/13 | Euro | 6,908,000 | U.S. Dollars | 9,258,976 | RBS | (263,861 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 6,701,858 | New Zealand Dollars | 8,426,000 | RBS | 210,852 | ||||||||||||||
09/18/13 | U.S. Dollars | 6,576,856 | Australian Dollars | 6,895,000 | RBS | 309,404 | ||||||||||||||
09/18/13 | U.S. Dollars | 6,290,957 | New Zealand Dollars | 7,905,000 | RBS | 201,305 | ||||||||||||||
09/18/13 | Brazilian Reals | 5,850,000 | U.S. Dollars | 2,549,034 | RBS | 28,340 | ||||||||||||||
09/18/13 | Euro | 5,601,000 | U.S. Dollars | 7,353,108 | RBS | (59,877 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 5,581,235 | Philippine Peso | 235,800,000 | RBS | 128,560 | ||||||||||||||
09/18/13 | U.S. Dollars | 5,544,772 | New Zealand Dollars | 7,161,000 | RBS | 28,264 | ||||||||||||||
09/18/13 | U.S. Dollars | 5,416,233 | Switzerland Francs | 5,056,000 | RBS | 59,488 | ||||||||||||||
09/18/13 | U.S. Dollars | 5,374,886 | Brazilian Reals | 11,728,000 | RBS | 207,802 | ||||||||||||||
09/18/13 | Australian Dollars | 5,323,000 | U.S. Dollars | 4,899,885 | RBS | (61,351 | ) | |||||||||||||
09/18/13 | Czech Republic Koruna | 5,300,000 | U.S. Dollars | 274,547 | RBS | (9,245 | ) | |||||||||||||
09/18/13 | Switzerland Francs | 5,287,000 | U.S. Dollars | 5,461,537 | RBS | 139,947 | ||||||||||||||
09/18/13 | Czech Republic Koruna | 5,200,000 | U.S. Dollars | 261,886 | RBS | (1,589 | ) | |||||||||||||
09/18/13 | Euro | 5,115,000 | U.S. Dollars | 6,792,597 | RBS | (132,201 | ) | |||||||||||||
09/18/13 | South African Rand | 5,100,000 | U.S. Dollars | 506,596 | RBS | 3,132 | ||||||||||||||
09/18/13 | U.S. Dollars | 4,383,389 | Turkish Lira | 8,328,000 | RBS | 121,187 | ||||||||||||||
09/18/13 | Czech Republic Koruna | 4,300,000 | U.S. Dollars | 217,964 | RBS | (2,719 | ) | |||||||||||||
09/18/13 | Czech Republic Koruna | 4,100,000 | U.S. Dollars | 211,606 | RBS | (6,373 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 3,901,431 | Norwegian Krone | 22,760,000 | RBS | 165,704 | ||||||||||||||
09/18/13 | U.S. Dollars | 3,830,901 | Norwegian Krone | 23,422,000 | RBS | (13,483 | ) | |||||||||||||
09/18/13 | Czech Republic Koruna | 3,800,000 | U.S. Dollars | 198,569 | RBS | (8,352 | ) | |||||||||||||
09/18/13 | Switzerland Francs | 3,796,000 | U.S. Dollars | 4,005,793 | RBS | 16,002 | ||||||||||||||
09/18/13 | U.S. Dollars | 3,742,464 | Russian Rubles | 122,837,000 | RBS | 58,487 | ||||||||||||||
09/18/13 | Thailand Baht | 3,700,000 | U.S. Dollars | 118,402 | RBS | 380 | ||||||||||||||
09/18/13 | U.S. Dollars | 3,680,139 | Canadian Dollars | 3,872,000 | RBS | 5,940 | ||||||||||||||
09/18/13 | U.S. Dollars | 3,659,825 | Japanese Yen | 356,377,000 | RBS | 65,168 | ||||||||||||||
09/18/13 | Czech Republic Koruna | 3,600,000 | U.S. Dollars | 182,548 | RBS | (2,343 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 3,304,397 | Columbian Peso | 6,330,000,000 | RBS | 37,865 |
231
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/18/13 | Indian Rupees | 3,300,000 | U.S. Dollars | 54,303 | RBS | $ | 440 | |||||||||||||
09/18/13 | U.S. Dollars | 3,122,629 | Swedish Kronor | 20,921,000 | RBS | 8,761 | ||||||||||||||
09/18/13 | Australian Dollars | 3,116,000 | U.S. Dollars | 2,978,351 | RBS | (145,949 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 3,066,368 | Euro | 2,334,000 | RBS | 27,196 | ||||||||||||||
09/18/13 | Russian Rubles | 3,000,000 | U.S. Dollars | 93,227 | RBS | (3,255 | ) | |||||||||||||
09/18/13 | South African Rand | 2,700,000 | U.S. Dollars | 269,551 | RBS | 305 | ||||||||||||||
09/18/13 | U.S. Dollars | 2,579,267 | British Pounds | 1,659,000 | RBS | 57,387 | ||||||||||||||
09/18/13 | U.S. Dollars | 2,407,183 | Switzerland Francs | 2,212,000 | RBS | 63,607 | ||||||||||||||
09/18/13 | Singapore Dollars | 2,260,000 | U.S. Dollars | 1,770,276 | RBS | 13,052 | ||||||||||||||
09/18/13 | U.S. Dollars | 2,229,045 | Australian Dollars | 2,401,000 | RBS | 46,568 | ||||||||||||||
09/18/13 | Czech Republic Koruna | 2,200,000 | U.S. Dollars | 111,950 | RBS | (1,824 | ) | |||||||||||||
09/18/13 | Czech Republic Koruna | 2,200,000 | U.S. Dollars | 113,344 | RBS | (3,218 | ) | |||||||||||||
09/18/13 | New Zealand Dollars | 2,200,000 | U.S. Dollars | 1,748,320 | RBS | (53,540 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 2,129,382 | Polish Zloty | 7,000,000 | RBS | 33,496 | ||||||||||||||
09/18/13 | South African Rand | 2,100,000 | U.S. Dollars | 208,160 | RBS | 1,728 | ||||||||||||||
09/18/13 | Czech Republic Koruna | 2,100,000 | U.S. Dollars | 108,839 | RBS | (3,719 | ) | |||||||||||||
09/18/13 | Australian Dollars | 1,743,000 | U.S. Dollars | 1,674,047 | RBS | (89,684 | ) | |||||||||||||
09/18/13 | Turkish Lira | 1,740,000 | U.S. Dollars | 890,846 | RBS | (329 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 1,738,031 | British Pounds | 1,155,000 | RBS | (17,708 | ) | |||||||||||||
09/18/13 | Canadian Dollars | 1,727,000 | U.S. Dollars | 1,655,907 | RBS | (17,131 | ) | |||||||||||||
09/18/13 | Turkish Lira | 1,630,000 | U.S. Dollars | 868,041 | RBS | (33,820 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 1,591,730 | Norwegian Krone | 9,165,000 | RBS | 87,427 | ||||||||||||||
09/18/13 | Turkish Lira | 1,430,000 | U.S. Dollars | 754,432 | RBS | (22,569 | ) | |||||||||||||
09/18/13 | Thailand Baht | 1,400,000 | U.S. Dollars | 45,455 | RBS | (510 | ) | |||||||||||||
09/18/13 | Czech Republic Koruna | 1,400,000 | U.S. Dollars | 71,065 | RBS | (985 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 1,367,963 | Brazilian Reals | 2,989,000 | RBS | 51,080 | ||||||||||||||
09/18/13 | Thailand Baht | 1,300,000 | U.S. Dollars | 41,767 | RBS | (33 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 1,245,106 | British Pounds | 796,000 | RBS | 35,090 | ||||||||||||||
09/18/13 | U.S. Dollars | 1,238,242 | Euro | 962,000 | RBS | (14,407 | ) | |||||||||||||
09/18/13 | Australian Dollars | 1,201,000 | U.S. Dollars | 1,133,350 | RBS | (41,657 | ) | |||||||||||||
09/18/13 | South African Rand | 1,200,000 | U.S. Dollars | 121,272 | RBS | (1,336 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 1,158,829 | Canadian Dollars | 1,199,000 | RBS | 21,081 | ||||||||||||||
09/18/13 | Malaysian Ringgits | 1,152,000 | U.S. Dollars | 367,347 | RBS | (4,701 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 1,134,426 | South African Rand | 11,450,000 | RBS | (9,962 | ) | |||||||||||||
09/18/13 | Singapore Dollars | 1,080,000 | U.S. Dollars | 864,061 | RBS | (11,851 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 1,028,298 | Malaysian Ringgits | 3,250,000 | RBS | 5,209 | ||||||||||||||
09/18/13 | U.S. Dollars | 994,751 | Hungarian Forint | 227,000,000 | RBS | 1,208 | ||||||||||||||
09/18/13 | Polish Zloty | 950,000 | U.S. Dollars | 285,055 | RBS | (613 | ) | |||||||||||||
09/18/13 | New Zealand Dollars | 912,000 | U.S. Dollars | 701,465 | RBS | 1,099 | ||||||||||||||
09/18/13 | South African Rand | 900,000 | U.S. Dollars | 86,498 | RBS | 3,454 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 900,000 | U.S. Dollars | 116,029 | RBS | 47 | ||||||||||||||
09/18/13 | Thailand Baht | 900,000 | U.S. Dollars | 29,586 | RBS | (693 | ) | |||||||||||||
09/18/13 | Singapore Dollars | 880,000 | U.S. Dollars | 701,597 | RBS | (7,204 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 868,689 | Mexican Pesos | 11,200,000 | RBS | 10,736 | ||||||||||||||
09/18/13 | U.S. Dollars | 868,212 | Mexican Pesos | 11,200,000 | RBS | 10,260 | ||||||||||||||
09/18/13 | U.S. Dollars | 859,830 | British Pounds | 562,000 | RBS | 5,522 | ||||||||||||||
09/18/13 | U.S. Dollars | 841,308 | Indian Rupees | 49,200,000 | RBS | 25,131 | ||||||||||||||
09/18/13 | U.S. Dollars | 836,534 | Malaysian Ringgits | 2,600,000 | RBS | 18,062 | ||||||||||||||
09/18/13 | U.S. Dollars | 830,619 | Indian Rupees | 51,100,000 | RBS | (17,077 | ) | |||||||||||||
09/18/13 | Turkish Lira | 820,000 | U.S. Dollars | 427,029 | RBS | (7,360 | ) | |||||||||||||
09/18/13 | Hong Kong Dollars | 800,000 | U.S. Dollars | 103,098 | RBS | 81 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 800,000 | U.S. Dollars | 103,098 | RBS | 80 |
232
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/18/13 | Hong Kong Dollars | 800,000 | U.S. Dollars | 103,185 | RBS | $ | (7 | ) | ||||||||||||
09/18/13 | U.S. Dollars | 796,292 | Malaysian Ringgits | 2,500,000 | RBS | 9,300 | ||||||||||||||
09/18/13 | U.S. Dollars | 792,032 | Malaysian Ringgits | 2,510,000 | RBS | 1,892 | ||||||||||||||
09/18/13 | U.S. Dollars | 782,388 | Norwegian Krone | 4,635,000 | RBS | 21,620 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 753,000 | U.S. Dollars | 97,006 | RBS | 110 | ||||||||||||||
09/18/13 | U.S. Dollars | 745,781 | Czech Republic Koruna | 14,600,000 | RBS | 14,949 | ||||||||||||||
09/18/13 | U.S. Dollars | 713,175 | Turkish Lira | 1,360,000 | RBS | 17,138 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 700,000 | U.S. Dollars | 90,203 | RBS | 78 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 700,000 | U.S. Dollars | 90,226 | RBS | 55 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 700,000 | U.S. Dollars | 90,282 | RBS | (1 | ) | |||||||||||||
09/18/13 | Thailand Baht | 700,000 | U.S. Dollars | 22,825 | RBS | (352 | ) | |||||||||||||
09/18/13 | Singapore Dollars | 660,000 | U.S. Dollars | 523,660 | RBS | (2,865 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 650,943 | Taiwan Dollars | 19,600,000 | RBS | (3,634 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 631,940 | Malaysian Ringgits | 1,960,000 | RBS | 14,938 | ||||||||||||||
09/18/13 | Thailand Baht | 600,000 | U.S. Dollars | 19,136 | RBS | 126 | ||||||||||||||
09/18/13 | Thailand Baht | 600,000 | U.S. Dollars | 19,605 | RBS | (343 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 592,976 | Brazilian Reals | 1,290,000 | RBS | 24,632 | ||||||||||||||
09/18/13 | U.S. Dollars | 559,780 | Indian Rupees | 32,000,000 | RBS | 28,933 | ||||||||||||||
09/18/13 | U.S. Dollars | 519,522 | Malaysian Ringgits | 1,630,000 | RBS | 6,403 | ||||||||||||||
09/18/13 | Thailand Baht | 500,000 | U.S. Dollars | 15,967 | RBS | 85 | ||||||||||||||
09/18/13 | Thailand Baht | 500,000 | U.S. Dollars | 16,268 | RBS | (216 | ) | |||||||||||||
09/18/13 | Turkish Lira | 500,000 | U.S. Dollars | 261,738 | RBS | (5,842 | ) | |||||||||||||
09/18/13 | Polish Zloty | 480,000 | U.S. Dollars | 150,302 | RBS | (6,584 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 478,350 | Singapore Dollars | 600,000 | RBS | 4,900 | ||||||||||||||
09/18/13 | U.S. Dollars | 473,120 | Mexican Pesos | 6,100,000 | RBS | 5,842 | ||||||||||||||
09/18/13 | New Zealand Dollars | 467,000 | U.S. Dollars | 373,883 | RBS | (14,128 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 463,951 | Mexican Pesos | 5,957,000 | RBS | 7,627 | ||||||||||||||
09/18/13 | Singapore Dollars | 460,000 | U.S. Dollars | 361,168 | RBS | 1,811 | ||||||||||||||
09/18/13 | U.S. Dollars | 423,288 | Malaysian Ringgits | 1,370,000 | RBS | (7,983 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 414,639 | Czech Republic Koruna | 8,100,000 | RBS | 9,177 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 400,000 | U.S. Dollars | 51,552 | RBS | 37 | ||||||||||||||
09/18/13 | Polish Zloty | 390,000 | U.S. Dollars | 118,275 | RBS | (1,505 | ) | |||||||||||||
09/18/13 | Turkish Lira | 370,000 | U.S. Dollars | 188,631 | RBS | 732 | ||||||||||||||
09/18/13 | U.S. Dollars | 366,061 | Hungarian Forint | 82,000,000 | RBS | 7,160 | ||||||||||||||
09/18/13 | U.S. Dollars | 366,026 | Indian Rupees | 21,700,000 | RBS | 6,046 | ||||||||||||||
09/18/13 | U.S. Dollars | 362,234 | Japanese Yen | 36,632,000 | RBS | (7,261 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 359,780 | Hong Kong Dollars | 2,792,000 | RBS | (313 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 357,389 | Japanese Yen | 36,471,000 | RBS | (10,482 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 346,281 | Japanese Yen | 34,958,000 | RBS | (6,329 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 344,542 | Mexican Pesos | 4,400,000 | RBS | 7,489 | ||||||||||||||
09/18/13 | U.S. Dollars | 334,985 | Taiwan Dollars | 10,100,000 | RBS | (2,323 | ) | |||||||||||||
09/18/13 | Turkish Lira | 330,000 | U.S. Dollars | 171,974 | RBS | (3,083 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 311,941 | Malaysian Ringgits | 970,000 | RBS | 6,588 | ||||||||||||||
09/18/13 | U.S. Dollars | 304,555 | Mexican Pesos | 4,100,000 | RBS | (9,517 | ) | |||||||||||||
09/18/13 | Hong Kong Dollars | 300,000 | U.S. Dollars | 38,661 | RBS | 31 | ||||||||||||||
09/18/13 | Thailand Baht | 300,000 | U.S. Dollars | 9,884 | RBS | (253 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 289,503 | South African Rand | 3,000,000 | RBS | (10,337 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 289,485 | Mexican Pesos | 3,900,000 | RBS | (9,266 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 286,375 | Taiwan Dollars | 8,600,000 | RBS | (838 | ) | |||||||||||||
09/18/13 | Brazilian Reals | 280,000 | U.S. Dollars | 123,052 | RBS | 309 | ||||||||||||||
09/18/13 | Singapore Dollars | 280,000 | U.S. Dollars | 222,100 | RBS | (1,157 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 273,783 | Brazilian Reals | 610,000 | RBS | 5,031 |
233
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/18/13 | U.S. Dollars | 272,252 | Malaysian Ringgits | 870,000 | RBS | $ | (1,621 | ) | ||||||||||||
09/18/13 | U.S. Dollars | 243,791 | Thailand Baht | 7,556,000 | RBS | 1,218 | ||||||||||||||
09/18/13 | U.S. Dollars | 224,560 | Polish Zloty | 730,000 | RBS | 5,989 | ||||||||||||||
09/18/13 | U.S. Dollars | 223,053 | Indian Rupees | 13,100,000 | RBS | 5,738 | ||||||||||||||
09/18/13 | U.S. Dollars | 214,365 | Danish Kroner | 1,204,000 | RBS | 4,057 | ||||||||||||||
09/18/13 | U.S. Dollars | 202,401 | Indian Rupees | 12,300,000 | RBS | (1,643 | ) | |||||||||||||
09/18/13 | Hong Kong Dollars | 200,000 | U.S. Dollars | 25,776 | RBS | 19 | ||||||||||||||
09/18/13 | Singapore Dollars | 200,000 | U.S. Dollars | 159,667 | RBS | (1,850 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 199,523 | Danish Kroner | 1,132,000 | RBS | 1,792 | ||||||||||||||
09/18/13 | U.S. Dollars | 193,025 | South African Rand | 1,936,000 | RBS | (472 | ) | |||||||||||||
09/18/13 | Singapore Dollars | 190,000 | U.S. Dollars | 149,874 | RBS | 52 | ||||||||||||||
09/18/13 | Singapore Dollars | 180,000 | U.S. Dollars | 143,021 | RBS | (986 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 178,323 | Turkish Lira | 350,000 | RBS | (804 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 168,221 | South African Rand | 1,700,000 | RBS | (1,688 | ) | |||||||||||||
09/18/13 | Danish Kroner | 165,000 | U.S. Dollars | 28,505 | RBS | 317 | ||||||||||||||
09/18/13 | U.S. Dollars | 163,505 | Polish Zloty | 520,000 | RBS | 7,811 | ||||||||||||||
09/18/13 | Polish Zloty | 160,000 | U.S. Dollars | 48,738 | RBS | (832 | ) | |||||||||||||
09/18/13 | Singapore Dollars | 160,000 | U.S. Dollars | 127,700 | RBS | (1,446 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 157,651 | Singapore Dollars | 200,000 | RBS | (166 | ) | |||||||||||||
09/18/13 | Taiwan Dollars | 156,000 | U.S. Dollars | 5,233 | RBS | (23 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 152,910 | Malaysian Ringgits | 490,000 | RBS | (1,340 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 152,840 | Polish Zloty | 500,000 | RBS | 3,134 | ||||||||||||||
09/18/13 | U.S. Dollars | 146,925 | Brazilian Reals | 330,000 | RBS | 1,535 | ||||||||||||||
09/18/13 | U.S. Dollars | 139,028 | Mexican Pesos | 1,800,000 | RBS | 1,142 | ||||||||||||||
09/18/13 | U.S. Dollars | 128,957 | Hong Kong Dollars | 1,000,000 | RBS | (16 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 111,987 | Singapore Dollars | 140,000 | RBS | 1,515 | ||||||||||||||
09/18/13 | Singapore Dollars | 110,000 | U.S. Dollars | 86,754 | RBS | 45 | ||||||||||||||
09/18/13 | Turkish Lira | 110,000 | U.S. Dollars | 57,183 | RBS | (886 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 108,508 | Malaysian Ringgits | 350,000 | RBS | (1,671 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 106,932 | Polish Zloty | 350,000 | RBS | 2,138 | ||||||||||||||
09/18/13 | U.S. Dollars | 104,876 | Indian Rupees | 6,000,000 | RBS | 5,342 | ||||||||||||||
09/18/13 | U.S. Dollars | 101,379 | Israeli Shekels | 370,000 | RBS | (148 | ) | |||||||||||||
09/18/13 | Singapore Dollars | 100,000 | U.S. Dollars | 78,774 | RBS | 135 | ||||||||||||||
09/18/13 | Thailand Baht | 100,000 | U.S. Dollars | 3,191 | RBS | 19 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 100,000 | U.S. Dollars | 12,887 | RBS | 10 | ||||||||||||||
09/18/13 | U.S. Dollars | 99,243 | Thailand Baht | 3,016,000 | RBS | 2,420 | ||||||||||||||
09/18/13 | U.S. Dollars | 93,526 | Danish Kroner | 533,000 | RBS | 425 | ||||||||||||||
09/18/13 | U.S. Dollars | 90,207 | Hong Kong Dollars | 700,000 | RBS | (74 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 88,844 | Indian Rupees | 5,400,000 | RBS | (736 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 85,988 | Indian Rupees | 5,100,000 | RBS | 1,385 | ||||||||||||||
09/18/13 | U.S. Dollars | 80,128 | Hungarian Forint | 18,000,000 | RBS | 1,345 | ||||||||||||||
09/18/13 | Polish Zloty | 80,000 | U.S. Dollars | 25,103 | RBS | (1,150 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 79,898 | Thailand Baht | 2,500,000 | RBS | (361 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 78,742 | Polish Zloty | 260,000 | RBS | 895 | ||||||||||||||
09/18/13 | U.S. Dollars | 77,051 | Indian Rupees | 4,600,000 | RBS | 742 | ||||||||||||||
09/18/13 | U.S. Dollars | 75,516 | Polish Zloty | 250,000 | RBS | 663 | ||||||||||||||
09/18/13 | Turkish Lira | 70,000 | U.S. Dollars | 36,694 | RBS | (869 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 61,126 | Danish Kroner | 340,000 | RBS | 1,736 | ||||||||||||||
09/18/13 | Singapore Dollars | 60,000 | U.S. Dollars | 47,563 | RBS | (218 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 59,827 | Indian Rupees | 3,528,000 | RBS | 1,301 | ||||||||||||||
09/18/13 | U.S. Dollars | 59,016 | Polish Zloty | 190,000 | RBS | 2,128 | ||||||||||||||
09/18/13 | U.S. Dollars | 55,921 | Polish Zloty | 180,000 | RBS | 2,027 |
234
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/18/13 | U.S. Dollars | 55,760 | Brazilian Reals | 120,000 | RBS | $ | 2,891 | |||||||||||||
09/18/13 | U.S. Dollars | 51,728 | Polish Zloty | 170,000 | RBS | 827 | ||||||||||||||
09/18/13 | U.S. Dollars | 51,546 | Hong Kong Dollars | 400,000 | RBS | (43 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 51,529 | Hong Kong Dollars | 400,000 | RBS | (61 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 49,257 | South African Rand | 500,000 | RBS | (717 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 47,024 | Israeli Shekels | 172,000 | RBS | (172 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 43,514 | Brazilian Reals | 95,000 | RBS | 1,659 | ||||||||||||||
09/18/13 | U.S. Dollars | 42,125 | Thailand Baht | 1,300,000 | RBS | 391 | ||||||||||||||
09/18/13 | U.S. Dollars | 42,051 | Thailand Baht | 1,300,000 | RBS | 316 | ||||||||||||||
09/18/13 | U.S. Dollars | 40,777 | Turkish Lira | 77,000 | RBS | 1,369 | ||||||||||||||
09/18/13 | U.S. Dollars | 36,353 | Hungarian Forint | 8,000,000 | RBS | 1,338 | ||||||||||||||
09/18/13 | U.S. Dollars | 34,983 | Israeli Shekels | 126,000 | RBS | 409 | ||||||||||||||
09/18/13 | U.S. Dollars | 32,877 | Indian Rupees | 1,900,000 | RBS | 1,358 | ||||||||||||||
09/18/13 | Peruvian Nuevos Soles | 30,000 | U.S. Dollars | 10,705 | RBS | 1 | ||||||||||||||
09/18/13 | U.S. Dollars | 25,791 | Hong Kong Dollars | 200,000 | RBS | (4 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 25,788 | Hong Kong Dollars | 200,000 | RBS | (6 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 25,788 | Hong Kong Dollars | 200,000 | RBS | (7 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 22,914 | Israeli Shekels | 83,000 | RBS | 139 | ||||||||||||||
09/18/13 | U.S. Dollars | 21,182 | Singapore Dollars | 27,000 | RBS | (123 | ) | |||||||||||||
09/18/13 | Peruvian Nuevos Soles | 20,000 | U.S. Dollars | 7,214 | RBS | (77 | ) | |||||||||||||
09/18/13 | Peruvian Nuevos Soles | 20,000 | U.S. Dollars | 7,286 | RBS | (149 | ) | |||||||||||||
09/18/13 | Peruvian Nuevos Soles | 20,000 | U.S. Dollars | 7,299 | RBS | (162 | ) | |||||||||||||
09/18/13 | Singapore Dollars | 20,000 | U.S. Dollars | 16,109 | RBS | (327 | ) | |||||||||||||
09/18/13 | Brazilian Reals | 20,000 | U.S. Dollars | 9,161 | RBS | (349 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 19,706 | Thailand Baht | 600,000 | RBS | 444 | ||||||||||||||
09/18/13 | U.S. Dollars | 15,420 | Mexican Pesos | 200,000 | RBS | 99 | ||||||||||||||
09/18/13 | U.S. Dollars | 13,837 | Israeli Shekels | 51,000 | RBS | (158 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 12,128 | Polish Zloty | 40,000 | RBS | 152 | ||||||||||||||
09/18/13 | U.S. Dollars | 10,891 | Peruvian Nuevos Soles | 30,000 | RBS | 186 | ||||||||||||||
09/18/13 | Peruvian Nuevos Soles | 10,000 | U.S. Dollars | 3,630 | RBS | (61 | ) | |||||||||||||
09/18/13 | Peruvian Nuevos Soles | 10,000 | U.S. Dollars | 3,640 | RBS | (72 | ) | |||||||||||||
09/18/13 | Singapore Dollars | 10,000 | U.S. Dollars | 8,015 | RBS | (125 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 9,592 | Thailand Baht | 300,000 | RBS | (39 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 9,149 | Israeli Shekels | 34,000 | RBS | (181 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 7,319 | Peruvian Nuevos Soles | 20,000 | RBS | 182 | ||||||||||||||
09/18/13 | U.S. Dollars | 7,207 | Peruvian Nuevos Soles | 20,000 | RBS | 70 | ||||||||||||||
09/18/13 | U.S. Dollars | 7,194 | Peruvian Nuevos Soles | 20,000 | RBS | 57 | ||||||||||||||
09/18/13 | U.S. Dollars | 7,077 | Peruvian Nuevos Soles | 20,000 | RBS | (60 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 6,481 | Thailand Baht | 200,000 | RBS | 60 | ||||||||||||||
09/18/13 | U.S. Dollars | 6,371 | Thailand Baht | 200,000 | RBS | (50 | ) | |||||||||||||
09/18/13 | British Pounds | 6,000 | U.S. Dollars | 9,343 | RBS | (222 | ) | |||||||||||||
09/18/13 | Euro | 5,000 | U.S. Dollars | 6,527 | RBS | (16 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 3,690 | Peruvian Nuevos Soles | 10,000 | RBS | 121 | ||||||||||||||
09/18/13 | U.S. Dollars | 3,654 | Peruvian Nuevos Soles | 10,000 | RBS | 85 | ||||||||||||||
09/18/13 | U.S. Dollars | 3,552 | Peruvian Nuevos Soles | 10,000 | RBS | (16 | ) | |||||||||||||
09/18/13 | U.S. Dollars | 2,302 | Indian Rupees | 135,000 | RBS | 62 | ||||||||||||||
09/18/13 | U.S. Dollars | 1,405 | Mexican Pesos | 18,000 | RBS | 26 | ||||||||||||||
09/18/13 | Hong Kong Dollars | 1,000 | U.S. Dollars | 129 | RBS | — | ||||||||||||||
09/18/13 | U.S. Dollars | 793 | South African Rand | 8,000 | RBS | (6 | ) | |||||||||||||
09/23/13 | U.S. Dollars | 188,786 | Chilean Peso | 97,000,000 | RBS | 502 | ||||||||||||||
09/23/13 | South Korean Won | 7,468,233,000 | U.S. Dollars | 6,615,441 | RBS | (101,699 | ) | |||||||||||||
09/23/13 | South Korean Won | 578,660,000 | U.S. Dollars | 510,733 | RBS | (6,029 | ) |
235
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/23/13 | Chilean Peso | 465,531,000 | U.S. Dollars | 916,097 | RBS | $ | (12,469 | ) | ||||||||||||
09/23/13 | Chilean Peso | 304,000,000 | U.S. Dollars | 608,986 | RBS | (18,901 | ) | |||||||||||||
09/23/13 | Chilean Peso | 215,000,000 | U.S. Dollars | 426,129 | RBS | (8,799 | ) | |||||||||||||
09/23/13 | Chilean Peso | 93,000,000 | U.S. Dollars | 183,758 | RBS | (3,239 | ) | |||||||||||||
09/23/13 | U.S. Dollars | 345,119 | South Korean Won | 400,000,000 | RBS | (3,759 | ) | |||||||||||||
09/23/13 | U.S. Dollars | 258,935 | Chilean Peso | 130,115,000 | RBS | 6,373 | ||||||||||||||
09/23/13 | U.S. Dollars | 133,122 | Chilean Peso | 68,000,000 | RBS | 1,129 | ||||||||||||||
09/23/13 | U.S. Dollars | 80,313 | Chilean Peso | 41,000,000 | RBS | 730 | ||||||||||||||
09/23/13 | U.S. Dollars | 3,370 | Chilean Peso | 1,683,000 | RBS | 103 | ||||||||||||||
|
| |||||||||||||||||||
$ | 751,879 | |||||||||||||||||||
|
|
Options Written
Transactions in options written during the period ended June 30, 2013 were as follows:
Fund | Number of Contracts | Premiums Received | Notional Amount | Premiums Received | Total Premiums Received | |||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Options written, 12/31/12 | — | $ | — | $ | 36,000,000 | $ | 586,250 | $ | 586,250 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 375 | 60,656 | 121,900,000 | 325,684 | 386,340 | |||||||||||||||
Options expired | (375 | ) | (60,656 | ) | (44,400,000 | ) | (387,949 | ) | (448,605 | ) | ||||||||||
Options closed | — | — | (22,800,000 | ) | (95,098 | ) | (95,098 | ) | ||||||||||||
|
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|
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|
| |||||||||||
Options written, 06/30/13 | — | $ | — | $ | 90,700,000 | $ | 428,887 | $ | 428,887 | |||||||||||
|
|
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| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Options written, 12/31/12 | — | $ | — | $ | 43,100,000 | $ | 702,140 | $ | 702,140 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 30,569 | 220,046 | 132,100,000 | 356,027 | 576,073 | |||||||||||||||
Options expired | (85 | ) | (29,989 | ) | (49,500,000 | ) | (457,529 | ) | (487,518 | ) | ||||||||||
Options closed | (30,452 | ) | (179,411 | ) | (26,200,000 | ) | (112,910 | ) | (292,321 | ) | ||||||||||
|
|
|
|
|
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|
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|
| |||||||||||
Options written, 06/30/13 | 32 | $ | 10,646 | $ | 99,500,000 | $ | 487,728 | $ | 498,374 | |||||||||||
|
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| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Options written, 12/31/12 | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Options written | 423 | 44,560 | 8,800,000 | 96,526 | 141,086 | |||||||||||||||
Options expired | — | — | — | — | — | |||||||||||||||
Options closed | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 06/30/13 | 423 | $ | 44,560 | $ | 8,800,000 | $ | 96,526 | $ | 141,086 | |||||||||||
|
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| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Options written, 12/31/12 | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 760 | 77,246 | — | — | 77,246 | |||||||||||||||
Options expired | (83 | ) | (4,068 | ) | — | — | (4,068 | ) | ||||||||||||
Options closed | (277 | ) | (27,279 | ) | — | — | (27,279 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 06/30/13 | 400 | $ | 45,899 | $ | — | $ | — | $ | 45,899 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Options written, 12/31/12 | 18 | $ | 11,848 | $ | — | $ | — | $ | 11,848 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 5,289 | 34,064 | — | — | 34,064 | |||||||||||||||
Options expired | (27 | ) | (11,756 | ) | — | — | (11,756 | ) | ||||||||||||
Options closed | (5,260 | ) | (26,205 | ) | — | — | (26,205 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 06/30/13 | 20 | $ | 7,951 | $ | — | $ | — | $ | 7,951 | |||||||||||
|
|
|
|
|
|
|
|
|
|
236
Table of Contents
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
Six Months Ended 06/30/13 | Year Ended 12/31/12 | |||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||
MyDestination 2005 | ||||||||||||
Shares sold | 1,112,986 | 2,186,065 | ||||||||||
Shares reinvested | — | 154,580 | ||||||||||
Shares redeemed | (1,072,733 | ) | (1,213,387 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 40,253 | 1,127,258 | ||||||||||
|
|
|
| |||||||||
MyDestination 2015 | ||||||||||||
Shares sold | 3,613,399 | 7,180,208 | ||||||||||
Shares reinvested | — | 772,986 | ||||||||||
Shares redeemed | (1,305,569 | ) | (2,677,229 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 2,307,830 | 5,275,965 | ||||||||||
|
|
|
| |||||||||
MyDestination 2025 | ||||||||||||
Shares sold | 4,967,492 | 7,889,241 | ||||||||||
Shares reinvested | — | 740,061 | ||||||||||
Shares redeemed | (655,194 | ) | (2,077,575 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 4,312,298 | 6,551,727 | ||||||||||
|
|
|
| |||||||||
MyDestination 2035 | ||||||||||||
Shares sold | 2,904,836 | 4,505,585 | ||||||||||
Shares reinvested | — | 334,266 | ||||||||||
Shares redeemed | (252,690 | ) | (801,820 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 2,652,146 | 4,038,031 | ||||||||||
|
|
|
| |||||||||
MyDestination 2045 | ||||||||||||
Shares sold | 2,140,058 | 3,601,217 | ||||||||||
Shares reinvested | — | 224,875 | ||||||||||
Shares redeemed | (202,067 | ) | (336,308 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 1,937,991 | 3,489,784 | ||||||||||
|
|
|
| |||||||||
MyDestination 2055(1) | ||||||||||||
Shares sold | 367,587 | 1,228,311 | ||||||||||
Shares reinvested | — | 10,652 | ||||||||||
Shares redeemed | (87,546 | ) | (675,062 | ) | ||||||||
|
|
|
| |||||||||
Net increase (decrease) | 280,041 | 563,901 | ||||||||||
|
|
|
|
(1) | Inception date was January 1, 2012 |
237
Table of Contents
Six Months Ended 06/30/13 | Year Ended 12/31/12 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
Conservative Allocation | ||||||||||||||||
Shares sold | 1,885,488 | 3,749,359 | ||||||||||||||
Shares reinvested | — | 532,286 | ||||||||||||||
Shares redeemed | (2,497,498 | ) | (2,659,967 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (612,010 | ) | 1,621,678 | |||||||||||||
|
|
|
| |||||||||||||
Balanced Allocation | ||||||||||||||||
Shares sold | 3,542,196 | 4,803,801 | ||||||||||||||
Shares reinvested | (16 | ) | 3,071,332 | |||||||||||||
Shares redeemed | (3,693,963 | ) | (6,451,079 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (151,783 | ) | 1,424,054 | |||||||||||||
|
|
|
| |||||||||||||
Growth Allocation | ||||||||||||||||
Shares sold | 1,437,365 | 2,499,289 | ||||||||||||||
Shares reinvested | — | 1,385,054 | ||||||||||||||
Shares redeemed | (3,348,458 | ) | (5,983,566 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (1,911,093 | ) | (2,099,223 | ) | ||||||||||||
|
|
|
| |||||||||||||
Aggressive Allocation | ||||||||||||||||
Shares sold | 1,011,612 | 6,233,287 | ||||||||||||||
Shares reinvested | — | 1,382,510 | ||||||||||||||
Shares redeemed | (2,596,538 | ) | (11,235,355 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net decrease | (1,584,926 | ) | (3,619,558 | ) | ||||||||||||
|
|
|
| |||||||||||||
Conservative Allocation I | ||||||||||||||||
Shares sold | 683,781 | 1,302,574 | ||||||||||||||
Shares reinvested | — | 218,686 | ||||||||||||||
Shares redeemed | (666,818 | ) | (971,386 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 16,963 | 549,874 | ||||||||||||||
|
|
|
| |||||||||||||
Balanced Allocation I | ||||||||||||||||
Shares sold | 2,204,326 | 2,004,250 | ||||||||||||||
Shares reinvested | — | 1,359,355 | ||||||||||||||
Shares redeemed | (989,014 | ) | (2,221,689 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 1,215,312 | 1,141,916 | ||||||||||||||
|
|
|
| |||||||||||||
Growth Allocation I | ||||||||||||||||
Shares sold | 2,098,913 | 968,767 | ||||||||||||||
Shares reinvested | — | 556,094 | ||||||||||||||
Shares redeemed | (593,105 | ) | (2,009,594 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 1,505,808 | (484,733 | ) | |||||||||||||
|
|
|
| |||||||||||||
Aggressive Allocation I | ||||||||||||||||
Shares sold | 1,152,679 | 563,200 | ||||||||||||||
Shares reinvested | — | 206,778 | ||||||||||||||
Shares redeemed | (539,303 | ) | (1,360,178 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 613,376 | (590,200 | ) | |||||||||||||
|
|
|
|
238
Table of Contents
Six Months Ended 06/30/13 | Year Ended 12/31/12 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
Money Market | ||||||||||||||||
Shares sold | 44,808,050 | 1,802,801,041 | 83,682,824 | 3,411,426,687 | ||||||||||||
Shares reinvested | 24,626 | 21,990 | 96,490 | 73,574 | ||||||||||||
Shares redeemed | (45,163,591 | ) | (1,642,077,122 | ) | (93,414,476 | ) | (3,441,385,827 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (330,915 | ) | 160,745,909 | (9,635,162 | ) | (29,885,566 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Low-Duration Bond | ||||||||||||||||
Shares sold | 1,451,436 | 3,148,008 | 1,736,358 | 10,131,882 | ||||||||||||
Shares reinvested | 167,791 | 287,573 | 425,569 | 818,950 | ||||||||||||
Shares redeemed | (677,605 | ) | (1,969,158 | ) | (853,542 | ) | (7,872,202 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 941,622 | 1,466,423 | 1,308,385 | 3,078,630 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Medium-Duration Bond | ||||||||||||||||
Shares sold | 2,428,415 | 2,513,929 | 3,397,961 | 4,647,929 | ||||||||||||
Shares reinvested | 514,512 | 280,558 | 2,151,022 | 1,406,047 | ||||||||||||
Shares redeemed | (2,985,623 | ) | (3,061,832 | ) | (2,638,135 | ) | (8,957,431 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (42,696 | ) | (267,345 | ) | 2,910,848 | (2,903,455 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Extended-Duration Bond | ||||||||||||||||
Shares sold | 1,091,379 | 1,420,340 | 1,716,122 | 3,486,474 | ||||||||||||
Shares reinvested | 826,296 | 385,267 | 2,028,140 | 1,132,113 | ||||||||||||
Shares redeemed | (3,295,098 | ) | (5,276,962 | ) | (1,682,883 | ) | (3,286,612 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,377,423 | ) | (3,471,355 | ) | 2,061,379 | 1,331,975 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation Protected Bond | ||||||||||||||||
Shares sold | 5,214,901 | 4,566,757 | ||||||||||||||
Shares reinvested | 157,791 | 824,710 | ||||||||||||||
Shares redeemed | (2,103,060 | ) | (2,437,517 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 3,269,632 | 2,953,950 | ||||||||||||||
|
|
|
| |||||||||||||
Global Bond | ||||||||||||||||
Shares sold | 4,652,964 | 5,063,867 | ||||||||||||||
Shares reinvested | 299,455 | 1,042,050 | ||||||||||||||
Shares redeemed | (699,046 | ) | (1,155,096 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 4,253,373 | 4,950,821 | ||||||||||||||
|
|
|
| |||||||||||||
Defensive Market Strategies | ||||||||||||||||
Shares sold | 442,785 | 3,189,460 | 1,394,675 | 5,372,393 | ||||||||||||
Shares reinvested | 80,897 | 289,244 | 357,500 | 1,246,865 | ||||||||||||
Shares redeemed | (566,961 | ) | (1,668,755 | ) | (1,010,990 | ) | (527,398 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (43,279 | ) | 1,809,949 | 741,185 | 6,091,860 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Index | ||||||||||||||||
Shares sold | 741,567 | 1,064,539 | 1,309,015 | 1,535,150 | ||||||||||||
Shares reinvested | 134,960 | 99,940 | 400,508 | 330,280 | ||||||||||||
Shares redeemed | (280,466 | ) | (699,246 | ) | (674,532 | ) | (1,761,582 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 596,061 | 465,233 | 1,034,991 | 103,848 | ||||||||||||
|
|
|
|
|
|
|
|
239
Table of Contents
Six Months Ended 06/30/13 | Year Ended 12/31/12 | |||||||||||||||
GS2 | GS4 | GS2 | GS4 | |||||||||||||
Real Estate Securities | ||||||||||||||||
Shares sold | 5,260,576 | 4,786,237 | ||||||||||||||
Shares reinvested | 265,386 | 246,062 | ||||||||||||||
Shares redeemed | (2,253,240 | ) | (3,358,942 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 3,272,722 | 1,673,357 | ||||||||||||||
|
|
|
| |||||||||||||
Value Equity | ||||||||||||||||
Shares sold | 1,816,227 | 2,292,212 | 1,248,320 | 2,949,920 | ||||||||||||
Shares reinvested | 646,418 | 596,256 | 919,754 | 839,556 | ||||||||||||
Shares redeemed | (2,136,217 | ) | (5,026,706 | ) | (3,682,506 | ) | (7,027,650 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 326,428 | (2,138,238 | ) | (1,514,432 | ) | (3,238,174 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Growth Equity | ||||||||||||||||
Shares sold | 899,505 | 1,184,934 | 608,864 | 2,980,715 | ||||||||||||
Shares reinvested | 455,098 | 813,654 | 1,904,890 | 3,649,389 | ||||||||||||
Shares redeemed | (956,574 | ) | (3,283,687 | ) | (1,935,265 | ) | (5,320,301 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 398,029 | (1,285,099 | ) | 578,489 | 1,309,803 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Equity | ||||||||||||||||
Shares sold | 393,623 | 1,352,475 | 335,769 | 1,682,203 | ||||||||||||
Shares reinvested | — | — | 537,278 | 1,237,825 | ||||||||||||
Shares redeemed | (454,073 | ) | (1,780,733 | ) | (866,465 | ) | (3,478,641 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (60,450 | ) | (428,258 | ) | 6,582 | (558,613 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity | ||||||||||||||||
Shares sold | 1,603,239 | 3,522,275 | 2,421,769 | 8,188,523 | ||||||||||||
Shares reinvested | — | (1 | ) | 589,493 | 1,281,757 | |||||||||||
Shares redeemed | (758,376 | ) | (2,999,966 | ) | (1,678,205 | ) | (5,351,027 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 844,863 | 522,308 | 1,333,057 | 4,119,253 | ||||||||||||
|
|
|
|
|
|
|
|
7. BANK BORROWINGS
On November 8, 2012, the Board of Trustees approved the renewal of a credit agreement with Bank of America, N.A. dated November 30, 2012 through November 29, 2013. 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.
On January 18, 2013, the MyDestination 2055 Fund borrowed $250,000 at the rate of 1.2057%. The MyDestination 2055 Fund repaid the loan in the amount of $250,033.50, which represents principal and four days of accrued interest, January 22, 2013.
On June 4, 2013, the Extended-Duration Bond Fund borrowed $1,000,000 at the rate of 1.19428%. The Extended-Duration Bond Fund repaid the loan in the amount of $1,000,033.17 which represents principal and one day of accrued interest on June 5, 2013.
No other Funds borrowed for the period ended June 30, 2013, and there were no outstanding loans at June 30, 2013.
240
Table of Contents
8. 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 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 period ended June 30, 2013, the International Equity Fund accrued non-U.S. taxes on unrealized gains of $59,414.
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, 2012, were characterized as follows for tax purposes:
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | ||||||||||||||||
MyDestination 2005 | 2012 | $ | 1,578,267 | $ | — | $ | — | 1,578,267 | ||||||||||||
2011 | 1,118,885 | — | — | 1,118,885 | ||||||||||||||||
MyDestination 2015 | 2012 | 7,838,073 | — | — | 7,838,073 | |||||||||||||||
2011 | 4,639,060 | — | — | 4,639,060 | ||||||||||||||||
MyDestination 2025 | 2012 | 7,215,597 | — | — | 7,215,597 | |||||||||||||||
2011 | 4,085,427 | — | — | 4,085,427 | ||||||||||||||||
MyDestination 2035 | 2012 | 2,242,099 | 879,202 | — | 3,121,301 | |||||||||||||||
2011 | 1,557,736 | 641,898 | — | 2,199,634 | ||||||||||||||||
MyDestination 2045 | 2012 | 1,379,906 | 660,432 | — | 2,040,338 | |||||||||||||||
2011 | 778,529 | 1,902,435 | — | 2,680,964 | ||||||||||||||||
MyDestination 2055 | 2012 | 118,877 | — | — | 118,877 | |||||||||||||||
Conservative Allocation | 2012 | 5,840,997 | 688,186 | — | 6,529,183 | |||||||||||||||
2011 | 4,849,965 | 4,252,565 | — | 9,102,530 | ||||||||||||||||
Balanced Allocation | 2012 | 25,943,077 | 13,284,081 | — | 39,227,158 | |||||||||||||||
2011 | 24,215,019 | 18,074,022 | — | 42,289,041 | ||||||||||||||||
Growth Allocation | 2012 | 12,093,852 | 5,913,471 | — | 18,007,323 | |||||||||||||||
2011 | 12,007,052 | 13,021,185 | — | 25,028,237 | ||||||||||||||||
Aggressive Allocation | 2012 | 7,350,220 | 9,829,880 | — | 17,180,100 | |||||||||||||||
2011 | 7,015,783 | 10,439,039 | — | 17,454,822 |
241
Table of Contents
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | ||||||||||||||||
Conservative Allocation I | 2012 | $ | 2,141,071 | $ | — | $ | — | $ | 2,141,071 | |||||||||||
2011 | 1,925,326 | — | — | 1,925,326 | ||||||||||||||||
Balanced Allocation I | 2012 | 13,614,253 | — | — | 13,614,253 | |||||||||||||||
2011 | 12,643,249 | — | — | 12,643,249 | ||||||||||||||||
Growth Allocation I | 2012 | 5,883,636 | — | — | 5,883,636 | |||||||||||||||
2011 | 5,922,267 | — | — | 5,922,267 | ||||||||||||||||
Aggressive Allocation I | 2012 | 2,288,303 | — | — | 2,288,303 | |||||||||||||||
2011 | 2,389,446 | — | — | 2,389,446 | ||||||||||||||||
Money Market | 2012 | 256,904 | — | — | 256,904 | |||||||||||||||
2011 | 251,150 | — | — | 251,150 | ||||||||||||||||
Low-Duration Bond | 2012 | 14,200,533 | 430,869 | — | 14,631,402 | |||||||||||||||
2011 | 14,375,468 | 607,824 | — | 14,983,292 | ||||||||||||||||
Medium-Duration Bond | 2012 | 36,230,589 | — | — | 36,230,589 | |||||||||||||||
2011 | 35,664,491 | — | — | 35,664,491 | ||||||||||||||||
Extended-Duration Bond | 2012 | 25,350,803 | 8,562,989 | — | 33,913,792 | |||||||||||||||
2011 | 22,914,621 | 15,984,265 | — | 38,898,886 | ||||||||||||||||
Inflation Protected Bond | 2012 | 7,052,735 | 2,263,673 | — | 9,316,408 | |||||||||||||||
2011 | 5,135,441 | 1,036,828 | — | 6,172,269 | ||||||||||||||||
Global Bond | 2012 | 10,523,011 | — | — | 10,523,011 | |||||||||||||||
2011 | 8,997,511 | — | — | 8,997,511 | ||||||||||||||||
Defensive Market Strategies | 2012 | 14,722,792 | 2,364,615 | — | 17,087,407 | |||||||||||||||
2011 | 1,375,713 | — | — | 1,375,713 | ||||||||||||||||
Equity Index | 2012 | 5,289,625 | 2,667,155 | — | 7,956,780 | |||||||||||||||
2011 | 6,801,014 | 34,862,054 | — | 41,663,068 | ||||||||||||||||
Real Estate Securities | 2012 | 2,553,245 | — | — | 2,553,245 | |||||||||||||||
2011 | 1,079,417 | — | — | 1,079,417 | ||||||||||||||||
Value Equity | 2012 | 19,346,383 | — | — | 19,346,383 | |||||||||||||||
2011 | 16,657,286 | — | — | 16,657,286 | ||||||||||||||||
Growth Equity | 2012 | 2,148,451 | 95,278,551 | — | 97,427,002 | |||||||||||||||
2011 | — | — | — | — | ||||||||||||||||
Small Cap Equity | 2012 | 3,052,762 | 22,280,774 | — | 25,333,536 | |||||||||||||||
2011 | 703,937 | — | — | 703,937 | ||||||||||||||||
International Equity | 2012 | 22,469,818 | — | — | 22,469,818 | |||||||||||||||
2011 | 24,239,880 | — | — | 24,239,880 |
At December 31, 2012, 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 | $ | 102,131 | $ | (1,881,232 | ) | $ | — | $ | 1,848,416 | |||||||
MyDestination 2015 | 1,380,527 | (9,086,079 | ) | — | 26,108,430 | |||||||||||
MyDestination 2025 | 606,875 | 4,996,344 | — | 25,843,108 | ||||||||||||
MyDestination 2035 | 44,599 | 3,655,886 | — | 15,398,254 | ||||||||||||
MyDestination 2045 | 36,521 | 2,748,611 | — | 14,653,647 | ||||||||||||
MyDestination 2055 | 1,987 | 124,191 | — | 330,794 | ||||||||||||
Conservative Allocation | 12,108 | 2,072,553 | — | 26,256,860 | ||||||||||||
Balanced Allocation | 193,133 | 15,269,958 | — | 103,263,718 | ||||||||||||
Growth Allocation | 222,505 | 17,119,879 | — | 65,345,248 | ||||||||||||
Aggressive Allocation | 217,143 | 20,506,141 | — | 33,479,555 | ||||||||||||
Conservative Allocation I | 705,405 | (2,058,253 | ) | — | (316,148 | ) | ||||||||||
Balanced Allocation I | 5,274,456 | (17,415,548 | ) | — | (11,009,885 | ) |
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Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain/ (Capital Loss Carryforward) | Late Year Loss Deferrals | Net Unrealized Appreciation (Depreciation) on Investments | ||||||||||||
Growth Allocation I | $ | 1,465,336 | $ | (7,761,554 | ) | $ | — | $ | (11,015,136 | ) | ||||||
Aggressive Allocation I | 2,572,546 | (7,608,540 | ) | — | (16,515,487 | ) | ||||||||||
Money Market | 12,575 | — | — | — | ||||||||||||
Low-Duration Bond | 820,288 | — | — | 5,881,031 | ||||||||||||
Medium-Duration Bond | 789,057 | — | — | 27,008,296 | ||||||||||||
Extended-Duration Bond | 30,667 | 2,965,168 | — | 66,921,878 | ||||||||||||
Inflation Protected Bond | 210,990 | 682,106 | — | 12,172,097 | ||||||||||||
Global Bond | 323,777 | (10,404,225 | ) | — | 18,286,231 | |||||||||||
Defensive Market Strategies | 376,033 | 1,856,663 | — | 15,630,806 | ||||||||||||
Equity Index | 56,177 | 448,720 | — | 53,660,232 | ||||||||||||
Real Estate Securities | 468,376 | 1,057,070 | — | 18,410,509 | ||||||||||||
Value Equity | 7,694,927 | (91,152,620 | ) | — | 83,743,517 | |||||||||||
Growth Equity | — | 23,692,796 | (579,420 | ) | 234,368,155 | |||||||||||
Small Cap Equity | 94,978 | 5,770,339 | — | 48,869,719 | ||||||||||||
International Equity | 208,040 | (135,079,850 | ) | — | 82,737,188 |
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, 2012:
Expiring December 31, | 2016 | 2017 | 2018 | Unlimited | Total | |||||||||||||||
MyDestination 2005 | $ | — | $ | 312,902 | $ | 1,568,330 | $ | — | $ | 1,881,232 | ||||||||||
MyDestination 2015 | 889,637 | 3,304,014 | 3,056,941 | 1,835,487 | 9,086,079 | |||||||||||||||
Conservative Allocation I | — | 1,689,723 | 368,530 | — | 2,058,253 | |||||||||||||||
Balanced Allocation I | 4,262,186 | 5,929,663 | 3,461,879 | 3,761,820 | 17,415,548 | |||||||||||||||
Growth Allocation I | 412,556 | 2,508,443 | 1,253,278 | 3,587,277 | 7,761,554 | |||||||||||||||
Aggressive Allocation I | 3,489,043 | 902,289 | 2,119,350 | 1,097,858 | 7,608,540 | |||||||||||||||
Global Bond | — | 9,635,041 | — | 769,184 | 10,404,225 | |||||||||||||||
Value Equity | — | 91,152,620 | — | — | 91,152,620 | |||||||||||||||
International Equity | — | 116,531,925 | — | 18,547,925 | 135,079,850 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward 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.
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At June 30, 2013, 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 | $ | 79,839,811 | $ | 501,663 | $ | 1,022,635 | $ | (520,972 | ) | |||||||
MyDestination 2015 | 348,570,201 | 31,787,192 | 34,367,881 | (2,580,689 | ) | |||||||||||
MyDestination 2025 | 393,512,942 | 39,125,717 | 40,550,336 | (1,424,619 | ) | |||||||||||
MyDestination 2035 | 199,367,088 | 25,894,062 | 26,289,379 | (395,317 | ) | |||||||||||
MyDestination 2045 | 140,440,376 | 22,287,980 | 22,450,736 | (162,756 | ) | |||||||||||
MyDestination 2055 | 9,402,217 | 655,836 | 667,182 | (11,346 | ) | |||||||||||
Conservative Allocation | 292,543,389 | 21,546,426 | 21,547,804 | (1,378 | ) | |||||||||||
Balanced Allocation | 1,089,095,808 | 115,150,704 | 115,758,413 | (607,709 | ) | |||||||||||
Growth Allocation | 762,408,142 | 97,614,310 | 103,738,711 | (6,124,401 | ) | |||||||||||
Aggressive Allocation | 682,514,334 | 81,551,193 | 102,375,995 | (20,824,802 | ) | |||||||||||
Conservative Allocation I | 84,908,994 | (2,047,150 | ) | — | (2,047,150 | ) | ||||||||||
Balanced Allocation I | 372,561,960 | (4,959,816 | ) | 6,900,813 | (11,860,629 | ) | ||||||||||
Growth Allocation I | 247,139,633 | (699,484 | ) | 4,532,091 | (5,231,575 | ) | ||||||||||
Aggressive Allocation I | 167,452,129 | (5,857,674 | ) | 200,906 | (6,058,580 | ) | ||||||||||
Money Market | 1,398,531,103 | — | — | — | ||||||||||||
Low-Duration Bond | 963,356,554 | (9,436,768 | ) | 2,988,874 | (12,425,642 | ) | ||||||||||
Medium-Duration Bond | 1,109,774,268 | (3,354,276 | ) | 19,077,786 | (22,432,062 | ) | ||||||||||
Extended-Duration Bond | 365,309,191 | 18,328,959 | 29,412,576 | (11,083,617 | ) | |||||||||||
Inflation Protected Bond | 224,316,310 | (4,369,169 | ) | 4,852,885 | (9,222,054 | ) | ||||||||||
Global Bond | 274,570,669 | 6,349,451 | 12,425,504 | (6,076,053 | ) | |||||||||||
Defensive Market Strategies | 496,429,222 | 31,222,690 | 34,419,939 | (3,197,249 | ) | |||||||||||
Equity Index | 240,547,395 | 84,232,255 | 91,929,790 | (7,697,535 | ) | |||||||||||
Real Estate Securities | 251,094,313 | 9,949,394 | 12,944,889 | (2,995,495 | ) | |||||||||||
Value Equity | 1,221,009,112 | 197,610,819 | 231,182,092 | (33,571,273 | ) | |||||||||||
Growth Equity | 1,291,555,502 | 242,555,841 | 253,495,247 | (10,939,406 | ) | |||||||||||
Small Cap Equity | 613,483,378 | 57,064,340 | 66,203,471 | (9,139,131 | ) | |||||||||||
International Equity | 1,560,216,054 | 54,875,845 | 157,631,621 | (102,755,776 | ) |
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, 2012, 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 | $ | — | $ | 674,431 | $ | (674,431 | ) | |||||
MyDestination 2015 | — | 3,135,359 | (3,135,359 | ) | ||||||||
MyDestination 2025 | — | 2,231,439 | (2,231,439 | ) | ||||||||
MyDestination 2035 | — | 103,912 | (103,912 | ) | ||||||||
MyDestination 2045 | — | 11,048 | (11,048 | ) | ||||||||
MyDestination 2055 | — | 42 | (42 | ) | ||||||||
Conservative Allocation | — | 1,767,824 | (1,767,824 | ) | ||||||||
Balanced Allocation | — | 7,134,151 | (7,134,151 | ) | ||||||||
Growth Allocation | — | 1,551,452 | (1,551,452 | ) | ||||||||
Aggressive Allocation | — | 911 | (911 | ) |
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Fund | Paid in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions | |||||||||
Conservative Allocation I | $ | — | $ | 486,525 | $ | (486,525 | ) | |||||
Balanced Allocation I | — | 3,458,803 | (3,458,803 | ) | ||||||||
Growth Allocation I | — | 833,405 | (833,405 | ) | ||||||||
Aggressive Allocation I | — | 63 | (63 | ) | ||||||||
Money Market | — | (38 | ) | 38 | ||||||||
Low-Duration Bond | — | 241,975 | (241,975 | ) | ||||||||
Medium-Duration Bond | — | 2,626,194 | (2,626,194 | ) | ||||||||
Extended-Duration Bond | — | 34,636 | (34,636 | ) | ||||||||
Inflation Protected Bond | — | 504 | (504 | ) | ||||||||
Global Bond | — | 1,193,273 | (1,193,273 | ) | ||||||||
Defensive Market Strategies | (37 | ) | 226,617 | (226,580 | ) | |||||||
Equity Index | — | 251 | (251 | ) | ||||||||
Real Estate Securities | — | 113 | (113 | ) | ||||||||
Value Equity | — | 467 | (467 | ) | ||||||||
Growth Equity | — | 10,512 | (10,512 | ) | ||||||||
Small Cap Equity | — | 397,797 | (397,797 | ) | ||||||||
International Equity | — | 438,448 | (438,448 | ) |
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.
9. 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.
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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.
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.
10. 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 Trusteee | ||||
DISINTERESTED TRUSTEES2 | ||||||||
Michael R. Buster (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2002 | Executive Pastor, Prestonwood Baptist Church, 1989 – present. | 27 | Ouachita Baptist University – Board of Trustees Member | ||||
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 |
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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 | Other Trusteeships/ Directorships Held by Trusteee | ||||
INTERESTED TRUSTEES23 | ||||||||
Thomas G. Evans (1961) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2012 | President and Owner, Encompass Financial Services, Inc., 1984 – present, President and Owner, Custom Land Management, LLC, 1984 – present; Manager, Private Partners Opportunity Fund, LLC, 2011 – present. | 27 | GuideStone Financial Resources – Board of Trustees Member, June 2010 – present; Baptist Foundation of Oklahoma, Board of Directors Member and Chairman, 2004 – present; Pioneer Spirit Foundation – Board of Trustees Member, 1993 – present; GuideStone Capital Management, Board of Directors Member, July 2011 – July 2012 | ||||
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 | ||||
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 | ||||
Cherika N. Latham (1982) 2401 Cedar Springs Road Dallas, TX 75201-1407 Chief Legal Officer and Secretary | Since 2013 | Associate Counsel, Legal and Compliance, GuideStone Financial Resources, 2008 – 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 | Messrs. Evans and Hixson are “interested persons” of the Trust as the term is defined in the Investment Company Act of 1940, due to their positions 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 NEW SUB-ADVISORY AGREEMENTS FOR THE EXTENDED-DURATION BOND FUND, INTERNATIONAL EQUITY FUND AND THE FUNDS PARTICIPATING IN THE CASH OVERLAY PROGRAM (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 in the 1940 Act (the “Independent Trustees”), considered the approval of the following new sub-advisory agreements among: (i) STW Fixed Income Management LLC (“STW”), GuideStone Capital Management (the “Adviser”) and the Trust on behalf of the Extended-Duration Bond Fund; (ii) Parametric Portfolio Associates LLC d/b/a The Clifton Group (“The Clifton Group”), the Adviser and the Trust on behalf of the International Equity Fund; and (iii) The Clifton Group, the Adviser and the Trust on behalf of each participating series of the Trust (each, a “Fund” and collectively, the “Funds”) for the purpose of investing cash balances (the “Cash Overlay Program”). Each of the approvals above involved a change of control causing the assignment of the current sub-advisory agreement for each sub-adviser.
The Board approved the new sub-advisory agreement with STW and the two new sub-advisory agreements with The Clifton Group for a two-year term at an in-person meeting of the Board held on February 28 – March 1, 2013 (the new sub-advisory agreements for STW and The Clifton Group are collectively referred to herein as the “New Sub-Advisory Agreements”). The STW sub-advisory agreement took effect immediately upon the change of control of STW which was April 2, 2013. The Clifton Group sub-advisory agreements were effective March 1, 2013.
The Board’s decision to approve the New Sub-Advisory Agreements reflects the exercise of its business judgment to enter into new sub-advisory arrangements. In approving the New Sub-Advisory Agreements, the Board considered information provided by the Adviser and each sub-adviser 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 Sub-Advisory Agreements for STW and The Clifton Group. The factors considered by the Board included, but were not limited to: (i) the resources of each sub-adviser; (ii) the experience and expertise of each sub-adviser; (iii) the financial capability of each sub-adviser; (iv) the compliance procedures and history of each sub-adviser; (v) the performance of similarly managed funds and accounts in comparison to relevant benchmarks for each Fund, as applicable; (vi) the costs of the services to be provided by each sub-adviser; (vii) the amount of the contractual sub-advisory fee in comparison to similarly managed funds and any available information for each sub-adviser’s other similarly situated clients and the effect of any fee waiver and expense reimbursement arrangement; (viii) the total expenses of each Fund, as applicable, in comparison to similarly managed funds and the use of any anticipated expense caps; (ix) to the extent available, the anticipated profitability of each sub-adviser with respect to each Fund, as applicable, and their 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 each sub-adviser; and (xii) the existence of any collateral benefits to be realized by each Fund, as applicable.
The Board evaluated the material aspects of each change of control transaction and considered whether the approval of the New Sub-Advisory Agreements was in the best interests of the Extended-Duration Bond Fund, International Equity Fund and the Funds participating in the Cash Overlay Program and their shareholders. No one factor was determinative in the Board’s consideration of the New Sub-Advisory Agreements, and each Board member may have attributed different weights to the factors considered.
Prior to the meeting, STW and The Clifton Group each provided the Board with a memorandum summarizing the details of each entity’s change of control, which addressed, most, if not all, of the critical aspects of each change of control transaction.
The Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider the information presented in connection with each change of control transaction and the approval of the New Sub-Advisory Agreements, including the Board’s responsibilities and duties in approving the New Sub-Advisory Agreements.
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BOARD BOARD APPROVAL OF NEW SUB-ADVISORY AGREEMENTS FOR THE EXTENDED-DURATION BOND FUND, INTERNATIONAL EQUITY FUND AND THE FUNDS PARTICIPATING IN THE CASH OVERLAY PROGRAM
In considering the approval of the New Sub-Advisory Agreements for the Extended-Duration Bond Fund, International Equity Fund and the Funds participating in the Cash Overlay Program, the Board took into account the materials provided prior to the meeting, including the materials that the Board had considered at its September 13 – 14, 2012 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 independent legal counsel. The Board also took into account the Investment Management Committee’s (the “Committee”) review of information related to each new sub-advisory arrangement, questions submitted by the Committee to Trust management regarding those sub-advisers, Trust management’s responses to those questions and recommendations made by the Committee. The Board considered its responsibilities with respect to reviewing and approving the terms of the New Sub-Advisory Agreements, the investment management teams at each sub-adviser, the reasonableness of the sub-advisory fees, the material aspects of each change of control transaction and whether the appointment of each sub-adviser would be in the best interests of the shareholders of the Extended-Duration Bond Fund, International Equity Fund and the Funds participating in the Cash Overlay Program. The Board reviewed the above factors 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 STW and The Clifton Group. The Board also considered the experience of key personnel at each sub-adviser in providing investment management services to the Extended-Duration Bond Fund, International Equity Fund and the Funds participating in the Cash Overlay Program; the systems and resources used by such persons to implement and manage the applicable 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 Extended-Duration Bond Fund, International Equity Fund and the Funds participating in the Cash Overlay Program, including the responsibility of day-to-day management and compliance with each Fund’s investment objectives and policies. The Board concluded that the Extended-Duration Bond Fund, International Equity Fund and the Funds participating in the Cash Overlay Program were likely to benefit from the nature, extent and quality of the services with respect to each sub-adviser’s experience, personnel, operations and resources.
With respect to the Extended-Duration Bond Fund, the Board examined the nature, extent and quality of the services provided by STW. The Board noted that the Adviser had received assurances from STW that there would be no impact on the quality of services, investment philosophy or the investment team as a result of the change of control transaction. In addition, the Board noted that the Adviser had discussed STW’s retention efforts to maintain the current investment management team. Counsel to the Trust confirmed that the proposed sub-advisory agreement with STW was identical in all material respects to the prior agreement, including compensation.
With respect to the International Equity Fund and the Funds participating in the Cash Overlay Program, the Board examined the nature, extent and quality of the services provided by The Clifton Group. The Board took into account that the two New Sub-Advisory Agreements were identical in all material respects to the two interim sub-advisory agreements previously approved by the Board in December 2012, including compensation, except that the new agreements would be with Parametric Portfolio Associates LLC d/b/a The Clifton Group.
The Board also noted 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, concluded that the Extended-Duration Bond Fund, International Equity Fund and the Funds participating in the Cash Overlay Program were likely to benefit from the nature, extent and quality of each sub-adviser’s services, and the Board determined to approve the New Sub-Advisory Agreements. The Board also determined that the approval of the New Sub-Advisory Agreements was in the best interests of the Extended-Duration Bond Fund, International Equity Fund and the Funds participating in the Cash Overlay Program and their shareholders.
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BOARD REVIEW OF AMENDED FEE SCHEDULES TO THE SUB-ADVISORY AGREEMENTS FOR THE GROWTH EQUITY FUND, INFLATION PROTECTED BOND FUND AND SMALL CAP EQUITY FUND
As required by the 1940 Act, the Board, including all of the Independent Trustees, considered the approval of an amendment to the fee schedule for each of the following sub-advisory agreements: (i) AJO, LP (“AJO”), the Adviser and the Trust on behalf of the Small Cap Equity Fund; (ii) BlackRock Financial Management, Inc. (“BFM”), the Adviser and the Trust on behalf of the Inflation Protected Bond Fund; and (iii) Marsico Capital Management, LLC (“Marsico”), the Adviser and the Trust on behalf of the Growth Equity Fund.
The Board approved the amended sub-advisory fee schedules for AJO and BFM at an in-person meeting of the Board held on February 28 – March 1, 2013. The Board approved the amended sub-advisory fee schedule for Marsico at an in-person meeting of the Board held on May 20 – 21, 2013 (the amended sub-advisory fee schedules to the sub-advisory agreements for AJO, BFM and Marsico are collectively referred to herein as the “Amended Sub-Advisory Fee Schedules”).
The Board’s decision to approve the Amended Sub-Advisory Fee Schedules reflects the exercise of its business judgment to enter into amended sub-advisory arrangements. In approving the Amended Sub-Advisory Fee Schedules, the Board considered information provided by the Adviser and each sub-adviser with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.
The Board undertook a review of the terms of the Amended Sub-Advisory Fee Schedules and the proposed fee changes to AJO, BFM and Marsico. The Adviser provided the Board with details regarding the proposed new fees to be charged under the Amended Sub-Advisory Fee Schedules and responded to questions from the Board regarding these matters. In addition, the Adviser stated that it anticipated that there would be no reduction in services provided to the Trust as a result of the fee reductions.
BOARD APPROVAL OF AMENDED FEE SCHEDULES TO THE SUB-ADVISORY AGREEMENTS FOR THE GROWTH EQUITY FUND, INFLATION PROTECTED BOND FUND AND SMALL CAP EQUITY FUND
With respect to the Amended Sub-Advisory Fee Schedules, the Board commended the Adviser’s efforts in monitoring sub-advisory fees on behalf of the Trust and the Trust’s shareholders. The Board noted that, with the exception of the sub-advisory fee, there would be no change to the terms of the sub-advisory agreements. The Board noted that there would be no modification in services provided to the Trust as a result of the fee reductions. The Board noted that the effect of the sub-advisory fee reductions on the management fee for each of the Growth Equity Fund, Inflation Protected Bond Fund, and Small Cap Equity Fund would be minimal.
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, concluded that the Trust, as a whole, and each applicable Fund, individually, were likely to benefit from the Amended Sub-Advisory Fee Schedules, and the Board determined to approve the Amended Sub-Advisory Fee Schedules. It was noted that Trust management would update the fee schedules for each sub-adviser accordingly in the respective sub-advisory agreements.
BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR THE REAL ESTATE SECURITIES FUND, GROWTH EQUITY FUND AND SMALL CAP EQUITY FUND
As required by the 1940 Act, the Board, including all of the Independent Trustees, considered the approval of the following new sub-advisory agreements among: (i) Heitman Real Estate Securities LLC (“Heitman”), the Adviser and the Trust on behalf of the Real Estate Securities Fund; (ii) Brown Advisory, LLC (“Brown”), the Adviser and the Trust on behalf of the Growth Equity Fund; and (iii) RBC Global Asset Management (U.S.) Inc. (“RBC”), the Adviser and the Trust on behalf of the Small Cap Equity Fund. Heitman, Brown and RBC, each are new sub-advisers to the Trust.
The Board approved the new sub-advisory agreement with Heitman for a two-year term at an in-person meeting of the Board held on February 28 – March 1, 2013. The Board approved the new sub-advisory agreements with Brown and RBC for a two-year term at an in-person meeting of the Board held on May 20 – 21, 2013 (the new sub-advisory agreements for Heitman, Brown and RBC are collectively hereinafter referred to as “New Agreements”).
The Board’s decision to approve the New Agreements reflects the exercise of its business judgment to enter into new sub-advisory arrangements. In approving the New Agreements, the Board considered information provided by the Adviser and each sub-adviser with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.
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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 Agreements for Heitman, Brown and RBC. The factors considered by the Board included, but were not limited to: (i) the resources of each sub-adviser; (ii) the experience and expertise of each sub-adviser; (iii) the financial capability of each sub-adviser; (iv) the compliance procedures and history of each sub-adviser; (v) the performance of similarly managed funds and accounts in comparison to the relevant benchmarks for the Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund; (vi) the costs of the services to be provided by each sub-adviser; (vii) the amount of the contractual advisory fee in comparison to similarly managed funds and any available information for each sub-adviser’s other similarly situated clients and the effect of any fee waiver and expense reimbursement arrangement; (viii) the total expenses of each Fund in comparison to similarly managed funds and the use of past and anticipated expense caps; (ix) to the extent available, the anticipated profitability of each sub-adviser with respect to the Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund and their 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 realized by each sub-adviser; and (xii) the existence of any collateral benefits realized by the Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund. The Board also evaluated whether the approval of the New Agreements was in the best interest of the Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund and their shareholders. No one factor was determinative in the Board’s consideration of the New Agreements, and each Board member may have attributed different weights to the factors considered.
The Board undertook a review of the terms of the New Agreements, and the nature, extent and quality of the services to be provided by Heitman, Brown and RBC. The Adviser provided the Board with information in the form of reports about each sub-adviser prior to the relevant meeting, which addressed the factors listed previously. The Adviser also provided additional information about each sub-adviser in a presentation made during the relevant meeting, discussed the comprehensive screening process used to recommend Heitman, Brown and RBC and responded to questions from the Board.
The Independent Trustees met separately in executive sessions with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the New Agreements, including the Board’s responsibilities and duties in approving the New Agreements.
BOARD APPROVAL OF NEW AGREEMENTS FOR THE REAL ESTATE SECURITIES FUND, GROWTH EQUITY FUND AND SMALL CAP EQUITY FUND
In considering the approval of the New Agreements, the Board took into account the materials provided prior to and during the relevant meeting, the presentations made during the relevant meeting and the extensive discussions during the relevant meeting, including the discussions the Independent Trustees had during their executive sessions with independent legal counsel. The Board also took into account the Committee’s review of information related to each new sub-advisory arrangement, questions submitted by the Committee to Trust management regarding those sub-advisers, Trust management’s responses to those questions and recommendations made by the Committee. The Board considered its responsibilities with respect to reviewing and approving the terms of the New Agreements, the investment management teams at each sub-adviser, the reasonableness of the sub-advisory fees and whether the appointment of each sub-adviser would be in the best interests of the shareholders of the Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund. The Board reviewed the above factors in evaluating whether to approve the New Agreements and the materials provided to support each factor.
The Board considered the reputation, compliance history, compliance program and financial condition of Heitman, Brown and RBC. The Board also considered the experience of key personnel at each sub-adviser in providing investment management services to the Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund, the systems and resources used by such persons to implement and manage the strategies and the ability of each sub-adviser to attract and retain capable personnel. The Board also noted the terms of the New Agreements and the responsibilities that each sub-adviser has to Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund, including the responsibility of day-to-day management and compliance with each Fund’s objectives and policies. The Board concluded that each Fund is likely to benefit from the nature, extent and quality of services with respect to each sub-adviser’s experience, personnel, operations and resources.
With respect to the Real Estate Securities Fund, the Board examined the nature, extent and quality of the services to be provided by Heitman. While noting that past performance is not indicative of future results, the Board examined the performance history
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of the Heitman Global Focused Developed Strategy. The Board noted that the recommended Heitman strategy has outperformed the benchmark in three of the past five calendar years and on a since-inception basis. The Board also noted that the recommended Heitman strategy would provide diversification benefits to the overall sub-adviser composite.
The Board examined the proposed fees, noting that the proposed sub-advisory fees to be paid to Heitman had been negotiated and included breakpoints at future specified asset levels. The Board noted that while the proposed sub-advisory fee was somewhat higher than the median sub-adviser fee for the peer universe, the Adviser had been able to negotiate fees that were favorable in comparison to Heitman’s standard fee schedule. The Board noted that the Fund’s aggregate management fees would not increase as a result of the appointment of Heitman.
With respect to the Growth Equity Fund, the Board examined the nature, extent and quality of the services to be provided by Brown. While noting that past performance is not indicative of future results, the Board examined the performance history of the Brown U.S. Large-Cap Growth Strategy. The Board noted that the performance history of the recommended Brown strategy has been relatively strong compared to the strategy’s benchmark since inception. The Board noted that the recommended strategy had outpaced its benchmark in six out of the past seven calendar years. The Board also noted that the recommended Brown strategy would provide diversification benefits to the overall sub-adviser composite.
The Board examined the proposed fees, noting that the proposed sub-advisory fees to be paid to Brown had been negotiated and included breakpoints at future specified asset levels. The Board noted that the Fund’s aggregate management fee would remain unchanged as a result of the appointment of Brown.
With respect to the Small Cap Equity Fund, the Board examined the nature, extent and quality of the services to be provided by RBC. While noting that past performance is not indicative of future results, the Board examined the performance history of the RBC Small Cap Core Equity Strategy. The Board noted that the performance history of the recommended RBC strategy had been relatively strong compared to the strategy’s benchmark since inception. The Board noted that the recommended strategy had outpaced its benchmark in eight of the previous ten calendar years. The Board also noted that the recommended RBC strategy would provide diversification benefits to the overall sub-adviser composite.
The Board examined the proposed fees, noting that while RBC’s fee schedule did not provide for future breakpoints in the sub-advisory fee, the Adviser had been able to negotiate fees that were favorable in comparison to RBC’s standard fee schedule. The Board noted that the Fund’s aggregate management fee would not increase as a result of the appointment of RBC.
The Board noted the terms of the New 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, concluded that the Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund were likely to benefit from the nature, extent and quality of each sub-adviser’s services, and the Board determined to approve the New Agreements. The Board also determined that approval of the New Agreements was in the best interests of the Real Estate Securities Fund, Growth Equity Fund and Small Cap Equity Fund and their shareholders.
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INVESTMENT SUB-ADVISERS (Assets under management as of June 30, 2013) (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 | $ | 3.9Tr | ||||||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1988 | $ | 3.9Tr | ||||||
Payden & Rygel | 1983 | $ | 82.8B | |||||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | $ | 2.0Tr | |||||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ | 739.5B | ||||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | $ | 2.0Tr | |||||||
Western Asset Management Company | 1971 | $ | 436.4B | |||||||
Western Asset Management Company Limited | 1971 | $ | 37.8B | |||||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 187.6B | ||||||
STW Fixed Income Management Ltd. | 1977 | $ | 11.2B | |||||||
Inflation Protected Bond | BlackRock Financial Management, Inc. | 1988 | $ | 3.9Tr | ||||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 187.6B | ||||||
Western Asset Management Company | 1971 | $ | 436.4B | |||||||
Western Asset Management Company Limited | 1971 | $ | 37.8B | |||||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $ | 129.9B | ||||||
AQR Capital Management, LLC | 1998 | $ | 83.7B | |||||||
Shenkman Capital Management, Inc. | 1985 | $ | 23.6B | |||||||
Turner Investments, L.P. | 1990 | $ | 8.9B | |||||||
Equity Index | Northern Trust Investments, Inc. | 1889 | $ | 803B | ||||||
Real Estate Securities | RREEF America L.L.C. | 1975 | $ | 47.7B | ||||||
Value Equity | AJO, LP | 1984 | $ | 22.2B | ||||||
Barrow, Hanley, Mewhinney & Straus, LLC | 1979 | $ | 79.2B | |||||||
Northern Trust Investments, Inc. | 1889 | $ | 803B | |||||||
TCW Investment Management Company | 1971 | $ | 128.1B | |||||||
Growth Equity | Brown Advisory, LLC | 1993 | $ | 19.5B | ||||||
Columbus Circle Investors | 1975 | $ | 15.0B | |||||||
Marsico Capital Management, LLC | 1997 | $ | 19.6B | |||||||
Rainier Investment Management, Inc.® | 1991 | $ | 11.7B | |||||||
Sands Capital Management, LLC | 1992 | $ | 32.4B | |||||||
Small Cap Equity | AJO, LP | 1984 | $ | 22.2B | ||||||
Columbus Circle Investors | 1975 | $ | 15.0B | |||||||
RBC Global Asset Management (U.S.) Inc. | 1983 | $ | 42.7B | |||||||
TimesSquare Capital Management, LLC | 2000 | $ | 16.8B | |||||||
Western Asset Management Company | 1971 | $ | 436.4B | |||||||
Western Asset Management Company Limited | 1971 | $ | 37.8B | |||||||
International Equity | AQR Capital Management, LLC | 1998 | $ | 83.7B | ||||||
Baillie Gifford Overseas Limited | 1908 | $ | 141.2B | |||||||
Barrow, Hanley, Mewhinney & Strauss | 1979 | $ | 79.2B | |||||||
Genesis Asset Managers, LLP | 1989 | $ | 34.3B | |||||||
McKinley Capital Management, LLC | 1990 | $ | 7.6B | |||||||
MFS Institutional Advisors, Inc. | 1970 | $ | 353.3B | |||||||
Mondrian Investment Partners Ltd. | 1990 | $ | 66.6B | |||||||
Philadelphia International Advisors, L.P. | 1956 | $ | 2.7B | |||||||
Parametric Portfolio Associates LLC | 1992 | $ | 98.3B | |||||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ | 5.0Tr | ||||||
Cash Overlay for Date Target, Asset Allocation, Fixed Income and Equity Funds | Parametric Portfolio Associates LLC | 1992 | $ | 98.3B |
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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, Suite 110, Berwyn, PA 19312 | |||
© 2013 GuideStone Funds 22646 9/13 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.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
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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 | 9/6/2013 |
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 | 9/6/2013 |
By (Signature and Title)* | /s/ Jeffrey P. Billinger | |
Jeffrey P. Billinger, Vice President and Treasurer (principal financial officer) |
Date | 9/6/2013 |
* | Print the name and title of each signing officer under his or her signature. |