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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: December 31, 2014
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, 450 Fifth St, NW, Washington, DC 20549-0609. 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 non-public 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 non-public personal information about you with regard to your IRA and/or 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 non-public 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 Capital Management, LLC, GuideStone Resource Management, Inc., GuideStone Investment Services, GuideStone Trust Services, GuideStone Financial Services and GuideStone Advisors (collectively “GuideStone”) are affiliates of one another. GuideStone and Foreside Funds Distributors LLC do not sell your personal information to non-affiliated third parties.
We may also disclose any of the personal information that we collect about you to non-affiliated third parties as permitted by law. For example, we may provide your information to non-affiliated 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 non-public 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-GS-FUNDS (1-888-473-8637).
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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. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. 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 2014 GuideStone Funds Annual Report. This report reflects our unwavering commitment to integrity in financial reporting so that you may stay fully informed of your investments. We trust that you will find this information valuable when making investment decisions.
In 2014 GuideStone Funds was recognized, for the third consecutive year, by the Lipper Fund Awards. Ranking No. 1 out of 57 eligible funds, the Extended-Duration Bond Fund was recognized as the Best Fund Over 3 Years, and ranking No. 1 out of 51 eligible funds, as the Best Fund Over 5 Years in the Corporate Debt A-Rated Funds category for the fund’s risk-adjusted total return ending November 30, 2013.
As you likely have heard, GuideStone Funds were made available to an expanded audience in 2014. In early May, we expanded our availability to individual and institutional retail investors, providing access to our award-winning, values-driven investments. This expansion helps provide additional economies of scale, allowing us to continue to provide quality services at competitive pricing for all of our investors. Investors may choose to invest directly with GuideStone Funds, or work through their established advisor relationships to invest with GuideStone Funds. To better communicate the fund offerings and eligibility, we changed the names of our share classes in 2014, as well: the GS2 Class is now known as the Institutional Class, and the GS4 Class is now known as the Investor Class.
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.com/Disclosures or by calling us at 1-888-GS-FUNDS (1-888-473-8637). 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. Lipper Fund Awards are based on Lipper Ratings for Consistent Return (Effective Return), which reflect a fund’s historical risk-adjusted total returns relative to funds in the same Lipper Global Classification. 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 GS2 share-class (also known as the Institutional Class) of the GuideStone Extended-Duration Bond Fund won the 2014 Lipper Funds Awards for 3-year and 5-year periods in the Corporate Debt A-Rated category. Additional information is available at www.lipperweb.com.
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FROM THE CHIEF INVESTMENT OFFICER
Financial Market Review As we reflect on 2014, the measurable differences in returns across geographic regions, asset classes and sectors served as a great reminder that a well-diversified portfolio is often the best strategy for long-term investors. The year was characterized by many external events including ISIS terrorism, elevated geopolitical risks, such as the Russia/Ukraine conflict, disease such as Ebola and plummeting oil prices. Economically, the biggest story continued to be the growth and sustainability of the U.S. economy.
U.S. stocks, specifically large-cap U.S. stocks, generated strong returns during the fourth quarter, resulting in another robust performance year for the extended U.S. bull market. Since the end of the Great Financial Crisis in March 2009, the U.S. stock market, as measured by the S&P 500® Index, | ||
Rodric E. Cummins, CFA | ||
has returned nearly 200%, cumulatively, as of year-end. It should be noted that this bull market is considered one of the strongest and longest lasting bull markets in U.S. history. Relative to the rest of the world, the U.S. economy ended the year as the primary economic driver for global economic growth, buoyed by the Federal Reserve’s accommodative monetary policy, strong corporate earnings and a much improved employment picture. This environment provided a supportive backdrop for risk-based investments such as U.S. stocks. Non-U.S. stocks, in contrast, struggled relative to their U.S. counterparts, impacted, in general, by very modest economic growth and an appreciating U.S. dollar, which served as a headwind to U.S. investors investing abroad. | ||
Turning to the other asset classes, bonds were flat during the fourth quarter but surprised many pundits on the upside as the asset class generated mid-single digit returns for the year in response to declining interest rates and a flattening U.S. yield curve. With inflation expectations generally declining during the quarter and year, real asset returns were very mixed among underlying strategies. | ||
Equity investments, and more specifically U.S. stocks, were by far the big winners among the three asset classes of stocks, bonds and real assets. |
As of 12/31/14 | ||||||||
4th Quarter | 1 Year | |||||||
U.S. Stocks | 4.93 | % | 13.69 | % | ||||
Non-U.S. Stocks | (3.57 | )% | (4.91 | )% | ||||
Bonds | 1.79 | % | 5.97 | % | ||||
TIPS1 | (0.03 | )% | 3.64 | % |
1 | Proxy for real assets. |
In the U.S., the S&P 500® Index returned 4.93% in the fourth quarter, bringing 2014 returns to 13.69%, well above expectations at the beginning of the year following a very robust 2013 return of 32.39%. The underlying composition of stock returns in 2014 were much different than 2013, with more return being generated through earnings growth compared to multiple expansion which is consistent with later stages of bull equity markets. Within the U.S., small-cap stocks lagged their large-cap counterparts for the year, generating quarterly and annual returns of 9.73% and 4.89%, respectively, as measured by the Russell 2000® Index. Non-U.S. stocks, as measured by the MSCI EAFE Index (Net), lagged materially with a quarterly return of -3.57% and an annual return of -4.91% in U.S. dollar terms.
Following a negative annual return in 2013 and its worst annualized return since 1994, bond market returns surprised many as U.S. Treasury yields declined across most of the yield curve from already historically low levels. For illustration purposes, the yield on the 10-year U.S. Treasury was at 3.03% at the beginning of 2014 compared to 2.17% at year-end, a decline of 86 basis points. Given the inverse relationship between bond yields and bond prices, the declining yield environment proved to be a tailwind for bond investors as the broad bond market, as measured by the Barclays Aggregate Bond Index, posted an annual return of 5.97%.
Real assets are inflation sensitive investments used by investors to provide their portfolios a defense from unexpected spikes in inflation. Despite accommodative monetary policies by central banks and historical amounts of liquidity in the markets, inflation expectations were benign during 2014, leading to a difficult environment for several real asset strategies, most notably commodities and natural resource equities. U.S. Treasury Inflation Protected Securities (“TIPS”) fared adequately during the year while global real estate securities performed best, posting an annual return of 15.02%, as measured by the FTSE EPRA/ NAREIT Developed Index.
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What can investors expect as we turn the calendar to 2015?
First and foremost, an increase in volatility in the capital markets should be expected by all investors. While it may not have necessarily felt so, market volatility has actually been relatively low (compared to history), and investors have been heavily rewarded for having exposure to risk-based assets, such as equities, without having to absorb a great deal of volatility.
Expectations are for volatility to increase due to uncertainty related to several factors including:
• | The divergences in central bank monetary policies across the globe, with projections for the Federal Reserve to begin tightening in mid-2015. |
• | The possible disappointments in economic growth in major economies such as Europe, Japan and China (and the increased reliance on the U.S. economy). |
• | The elevation of geopolitical risks. |
• | The impact of materially lower oil prices, especially on emerging markets. |
• | The length of the current U.S. equity bull market. This brings into question how much longer can the bull market last? |
Secondly, and as stated last year, investors should have return expectations across all asset classes that directionally are lower compared to their respective historical norms. In the U.S., equity valuations are at the upper end of long-term averages while non-U.S. stocks face the projected headwinds of modest economic growth and an appreciating U.S. dollar. Bond yields are historically low across the globe providing limited upside for fixed income securities while inflation appears to be at bay hampering real asset strategies.
Finally, expect some exogenous events, such as geopolitical risks, to occur that are completely unexpected. The year 2014 experienced its share of events and more will take place in 2015, contributing to volatility. Therefore, we continue to encourage investors to ensure their portfolio remains diversified and corresponds with their underlying risk/return profile.
As we enter into the New Year, the team at GuideStone Capital Management, LLC would like to take this opportunity to once again express our gratitude to you, our customer, for the opportunity to manage your investment portfolio. It is a privilege we take very seriously each day as we continue to work diligently on your behalf. We wish all of you a Happy New Year.
A complete GuideStone Funds performance report can be found at www.GuideStoneFunds.com.
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Asset Class Performance Comparison |
The following graph illustrates the performance of the major assets classes during 2014.
Index
1The 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.
2The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
3The MSCI EM (Emerging Markets) Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The index consisted of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
4The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure that larger stocks do not distort the performance and characteristics of the actual small-cap opportunity set.
5The 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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S&P 500® Index Returns
The U.S. large cap equity market, as represented by the S&P 500® Index, posted a positive annual return of 13.7%. This was the sixth consecutive year of positive results and the eleventh out of the last twelve years. It was a solid year for the index as all four quarters were positive. Performances in the first and second quarters were up about 1.8% and 5.2% respectively. The third quarter ended positive at 1.1% despite an intra-quarter drawdown of around 7%. The fourth quarter finished the year strong up just under 5%.
Eight of the nine sectors in the index finished positive for the year, and the best performing sectors were Health Care and Technology. The Energy sector was the lone detractor for the index, primarily fueled by the decline in the price of oil. Overall, stocks with higher earnings growth were the largest positive contributors to performance this year.
The S&P 500® Index includes 500 leading companies in major industries of the U.S. economy. The index represents about 75% of U.S. equity market capitalization. It is a capitalization-weighted index calculated on a total return basis with dividends reinvested. Constituents are selected by a team of Standard & Poor’s economists and analysts.
Data Source: Bloomberg,S&P website
Russell 2000® Index Returns
The U.S. small cap equity market, as represented by the Russell 2000®Index, posted a positive return of 4.9% for the year. The index was up about 1.1% the first quarter followed by a volatile second quarter performance of roughly 2.1%. The third quarter detracted from performance about -7.4%. A strong fourth quarter performance at 9.7% turned the index positive for the year.
The calendars year’s best performing sectors were Health Care, Utilities, and Consumer Staples. Energy and Materials were the only two sectors to have negative performance for the year. Overall, stocks with lower beta, higher dividend yield, and higher market capitalization were the largest positive contributors to performance this year.
The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure that larger stocks do not distort the performance and characteristics of the actual small-cap opportunity set.
Data Source: Russell Investments, Bloomberg
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MSCI EAFE (Net) Returns
The international equity developed markets, as represented by the MSCI EAFE Index (Net), posted a negative annual return of -4.9%. The international equity developed markets lagged the U.S. in 2014 due to slower economic growth and the strength of the U.S. dollar. The first and second quarters were positive at 0.7% and 4.1% respectively. Performance turned negative the second half of the year, as the index posted 3rd and 4th quarter returns of -5.9% and -3.6%, respectively.
The best performing countries during this calendar year were Israel and New Zealand. The countries which had the worst relative performance were Portugal, Austria, and Norway. Only the Health Care and Utilities sectors were positive for the year. The sectors in the index that lagged the most this year were Energy and Materials.
The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
Data Source: Factset
MSCI EM (Net) Returns
Emerging market equities, as represented by the MSCI Emerging Market Index (net), posted a negative annual return of -2.2%. Emerging market equities faced headwinds of falling commodity prices and a strengthening U.S dollar which contributed to the year’s negative performance. The 1st half of the year ended positive with 1st quarter down slightly at -0.4% and 2nd quarter performance up 6.6%. The 3rd and 4th quarters were each down at -3.5% and -4.5%, respectively.
The best performing countries during this calendar year were Egypt, Indonesia, India, and Philippines. The countries which had the worst performance were Greece and Russia. The sectors that led in performance results for the year were Health Care and Information Technology. The sectors in the index that lagged the most this year were Materials and Energy.
The MSCI EM (Emerging Markets) Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The index consisted of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
Data Source: Factset
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Barclays U.S. Aggregate Bond Index Returns
The broad U.S. bond market, as measured by the Barclays Capital U.S. Aggregate Bond Index, posted a positive return of 6.0% for the year. Debt securities with longer maturities and/or lower credit quality were the best performing for the year. The best performing sub sectors were corporate utilities and industrial bonds. The U.S. Treasury sector posted an annual return of 5.1%, largely due to falling rates at the long end of the yield curve. The U.S. Treasury sector was the worst performing sector within the Barclays U.S. Aggregate Bond Index during the year.
The Barclays U.S. Aggregate Bond Index is a broad-based benchmark representing approximately 8,200 U.S. dollar-denominated, taxable fixed income securities. To be included in this market capitalization-weighted index, bonds must be rated investment grade quality by Moody’s and Standard & Poor’s and have a maturity of at least one year. The types of fixed income instruments in this index primarily consist of U.S. Treasury securities, government-related securities, mortgage-backed securities, asset-backed securities and corporate bonds.
Data Source: Factset
Federal Reserve
The Federal Reserve (“Fed”) maintained an accommodative monetary policy stance throughout the 2014 calendar year. The Fed maintained the same targeted Fed Funds level of 0-0.25% for the sixth consecutive year. Although the Fed formally met to review this rate level on eight separate occasions during the year, no action on changing this rate was taken. The last time an action was taken was December 2008 when the Fed cut rates to their current levels.
In addition to is historically low Fed Funds level, the Fed continued to engage in asset purchases (also referred to as “QE”) throughout most of 2014, finally ending this program in October after slowly tapering purchases throughout the year.
The Federal Reserve (“Fed”) is the central bank of the United States. It was created by Congress to provide the nation with a safer, more flexible, and more stable monetary and financial system. The Federal Funds Rate is the interest rate at which depository institutions lend balances at the Fed to other depository institutions overnight. The rate is one tool the Fed can use in their efforts of controlling the supply of money. Changes in the Federal Funds Rate trigger a chain of events that affect other short-term interest rates, foreign exchange rates, long-term interest rates, the amount of money and credit, and, ultimately, a range of economic variables, including employment, output, and prices of goods and services.
Data Source: Bloomberg, Federal Reserve
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U.S. Treasury Yield Curve
Short-term rates remained at historically low levels as the Federal Reserve (the “Fed”) maintained its aggressively accommodative monetary policy and left unchanged the target federal funds rate at 0-0.25% throughout the year. The very short end of the curve, where the maturity is less than 6 months, remained basically unchanged from the prior year. Between the 6 month and the 2-year maturity level there was an increase in yield levels, as investors began to price in more possibility of future rate hikes compared to the end of 2013. On the other hand, long-term yields behaved quite differently, as the yield curve flattened as yields fell significantly at the long-end of the curve. At year-end 2014, yields on the 2-year, 5-year, 10-year and 30-year U.S. Treasury securities were 0.66%, 1.65%, 2.17% and 2.75%, respectively.
The Treasury yield curve illustrates the relationship between yields on short-term, intermediate-term and long-term Treasury securities. Normally, the shape of the yield curve is upward sloping with rates increasing from the short end of the curve moving higher to the long end. The short end of the curve is impacted more by monetary policy (demand for money) while inflationary expectations and market forces impact the long end of the curve.
Data Source: Bloomberg
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About Your Expenses (Unaudited)
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 July 1, 2014 to December 31, 2014.
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 07/01/14 | Ending Account Value 12/31/14 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2005 | Investor | $1,000.00 | $ 988.41 | 0.20% | $1.00 | |||||
MyDestination 2015 | Investor | 1,000.00 | 989.58 | 0.14 | 0.71 | |||||
MyDestination 2025 | Investor | 1,000.00 | 984.98 | 0.14 | 0.70 | |||||
MyDestination 2035 | Investor | 1,000.00 | 973.76 | 0.15 | 0.77 | |||||
MyDestination 2045 | Investor | 1,000.00 | 969.96 | 0.20 | 0.99 | |||||
MyDestination 2055 | Investor | 1,000.00 | 971.51 | 0.20 | 0.99 | |||||
Conservative Allocation | Investor | 1,000.00 | 984.04 | 0.12 | 0.60 | |||||
Balanced Allocation | Investor | 1,000.00 | 981.51 | 0.12 | 0.60 | |||||
Growth Allocation | Investor | 1,000.00 | 976.32 | 0.12 | 0.60 | |||||
Aggressive Allocation | Investor | 1,000.00 | 987.79 | 0.12 | 0.60 | |||||
Conservative Allocation I | Institutional | 1,000.00 | 984.51 | 0.15 | 0.74 | |||||
Balanced Allocation I | Institutional | 1,000.00 | 982.25 | 0.13 | 0.67 | |||||
Growth Allocation I | Institutional | 1,000.00 | 976.85 | 0.14 | 0.71 | |||||
Aggressive Allocation I | Institutional | 1,000.00 | 988.24 | 0.15 | 0.75 | |||||
Money Market | Institutional Investor | 1,000.00 1,000.00 | 1,000.14 1,000.13 | 0.18 0.19 | 0.92 0.94 | |||||
Low-Duration Bond | Institutional Investor | 1,000.00 1,000.00 | 1,000.91 1,000.17 | 0.36 0.57 | 1.82 2.87 | |||||
Medium-Duration Bond | Institutional Investor | 1,000.00 1,000.00 | 1,017.58 1,016.61 | 0.48 0.63 | 2.43 3.20 |
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About Your Expenses (Unaudited) (Continued)
Actual |
Fund | Class | Beginning Account Value 07/01/14 | Ending Account Value 12/31/14 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | ||||||||||||||||||||
Extended-Duration Bond | Institutional | $1,000.00 | $1,046.94 | 0.56 | % | $2.91 | |||||||||||||||||||
Investor | 1,000.00 | 1,046.94 | 0.75 | 3.87 | |||||||||||||||||||||
Global Bond | Investor | 1,000.00 | 968.91 | 0.81 | 4.00 | ||||||||||||||||||||
Defensive Market Strategies (3) | Institutional | 1,000.00 | 1,033.92 | 0.75 | 3.87 | ||||||||||||||||||||
Investor | 1,000.00 | 1,032.84 | 0.99 | 5.05 | |||||||||||||||||||||
Equity Index | Institutional | 1,000.00 | 1,060.96 | 0.22 | 1.13 | ||||||||||||||||||||
Investor | 1,000.00 | 1,059.88 | 0.38 | 1.97 | |||||||||||||||||||||
Value Equity | Institutional | 1,000.00 | 1,039.97 | 0.65 | 3.35 | ||||||||||||||||||||
Investor | 1,000.00 | 1,038.59 | 0.89 | 4.60 | |||||||||||||||||||||
Growth Equity | Institutional | 1,000.00 | 1,063.14 | 0.85 | 4.44 | ||||||||||||||||||||
Investor | 1,000.00 | 1,062.02 | 1.06 | 5.49 | |||||||||||||||||||||
Small Cap Equity | Institutional | 1,000.00 | 1,017.70 | 0.97 | 4.96 | ||||||||||||||||||||
Investor | 1,000.00 | 1,016.53 | 1.20 | 6.08 | |||||||||||||||||||||
International Equity (3) | Institutional | 1,000.00 | 907.46 | 1.06 | 5.10 | ||||||||||||||||||||
Investor | 1,000.00 | 906.72 | 1.30 | 6.25 | |||||||||||||||||||||
Emerging Markets Equity | Institutional | 1,000.00 | 894.37 | 1.25 | 5.97 | ||||||||||||||||||||
Investor | 1,000.00 | 893.04 | 1.50 | 7.16 | |||||||||||||||||||||
Inflation Protected Bond | Investor | 1,000.00 | 974.71 | 0.62 | 3.11 | ||||||||||||||||||||
Flexible Income | Investor | 1,000.00 | 987.42 | 1.20 | 6.01 | ||||||||||||||||||||
Real Assets | Investor | 1,000.00 | 902.24 | 0.12 | 0.58 | ||||||||||||||||||||
Real Estate Securities | Investor | 1,000.00 | 1,037.76 | 1.19 | 6.12 | ||||||||||||||||||||
Global Natural Resources Equity | Investor | 1,000.00 | 712.76 | 1.35 | 5.81 |
HYPOTHETICAL (assuming a 5% return before expenses) |
Fund | Class | Beginning Account Value 07/01/14 | Ending Account Value 12/31/14 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | ||||||||||||||||||||
MyDestination 2005 | Investor | $1,000.00 | $1,024.19 | 0.20 | % | $1.02 | |||||||||||||||||||
MyDestination 2015 | Investor | 1,000.00 | 1,024.48 | 0.14 | 0.73 | ||||||||||||||||||||
MyDestination 2025 | Investor | 1,000.00 | 1,024.50 | 0.14 | 0.71 | ||||||||||||||||||||
MyDestination 2035 | Investor | 1,000.00 | 1,024.42 | 0.15 | 0.79 | ||||||||||||||||||||
MyDestination 2045 | Investor | 1,000.00 | 1,024.19 | 0.20 | 1.02 | ||||||||||||||||||||
MyDestination 2055 | Investor | 1,000.00 | 1,024.19 | 0.20 | 1.02 | ||||||||||||||||||||
Conservative Allocation | Investor | 1,000.00 | 1,024.60 | 0.12 | 0.61 | ||||||||||||||||||||
Balanced Allocation | Investor | 1,000.00 | 1,024.60 | 0.12 | 0.61 | ||||||||||||||||||||
Growth Allocation | Investor | 1,000.00 | 1,024.60 | 0.12 | 0.61 | ||||||||||||||||||||
Aggressive Allocation | Investor | 1,000.00 | 1,024.60 | 0.12 | 0.61 | ||||||||||||||||||||
Conservative Allocation I | Institutional | 1,000.00 | 1,024.45 | 0.15 | 0.76 | ||||||||||||||||||||
Balanced Allocation I | Institutional | 1,000.00 | 1,024.52 | 0.13 | 0.69 | ||||||||||||||||||||
Growth Allocation I | Institutional | 1,000.00 | 1,024.48 | 0.14 | 0.73 | ||||||||||||||||||||
Aggressive Allocation I | Institutional | 1,000.00 | 1,024.45 | 0.15 | 0.76 | ||||||||||||||||||||
Money Market | Institutional | 1,000.00 | 1,024.28 | 0.18 | 0.93 | ||||||||||||||||||||
Investor | 1,000.00 | 1,024.26 | 0.19 | 0.95 | |||||||||||||||||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.37 | 0.36 | 1.84 |
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HYPOTHETICAL (assuming a 5% return before expenses) |
Fund | Class | Beginning Account Value 07/01/14 | Ending Account Value 12/31/14 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | ||||||||||||||||||||
Investor | $1,000.00 | $1,022.30 | 0.57 | % | $2.91 | ||||||||||||||||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,022.77 | 0.48 | 2.44 | ||||||||||||||||||||
Investor | 1,000.00 | 1,022.00 | 0.63 | 3.21 | |||||||||||||||||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,022.33 | 0.56 | 2.88 | ||||||||||||||||||||
Investor | 1,000.00 | 1,021.38 | 0.75 | 3.83 | |||||||||||||||||||||
Global Bond | Investor | 1,000.00 | 1,021.09 | 0.81 | 4.12 | ||||||||||||||||||||
Defensive Market Strategies (3) | Institutional | 1,000.00 | 1,021.36 | 0.75 | 3.85 | ||||||||||||||||||||
Investor | 1,000.00 | 1,020.18 | 0.99 | 5.03 | |||||||||||||||||||||
Equity Index | Institutional | 1,000.00 | 1,024.10 | 0.22 | 1.11 | ||||||||||||||||||||
Investor | 1,000.00 | 1,023.27 | 0.38 | 1.94 | |||||||||||||||||||||
Value Equity | Institutional | 1,000.00 | 1,021.89 | 0.65 | 3.32 | ||||||||||||||||||||
Investor | 1,000.00 | 1,020.64 | 0.89 | 4.57 | |||||||||||||||||||||
Growth Equity | Institutional | 1,000.00 | 1,020.86 | 0.85 | 4.35 | ||||||||||||||||||||
Investor | 1,000.00 | 1,019.82 | 1.06 | 5.39 | |||||||||||||||||||||
Small Cap Equity | Institutional | 1,000.00 | 1,020.23 | 0.97 | 4.98 | ||||||||||||||||||||
Investor | 1,000.00 | 1,019.10 | 1.20 | 6.11 | |||||||||||||||||||||
International Equity (3) | Institutional | 1,000.00 | 1,019.79 | 1.06 | 5.42 | ||||||||||||||||||||
Investor | 1,000.00 | 1,018.57 | 1.30 | 6.64 | |||||||||||||||||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,018.83 | 1.25 | 6.38 | ||||||||||||||||||||
Investor | 1,000.00 | 1,017.55 | 1.50 | 7.66 | |||||||||||||||||||||
Inflation Protected Fund | Investor | 1,000.00 | 1,022.02 | 0.62 | 3.19 | ||||||||||||||||||||
Flexible Income | Investor | 1,000.00 | 1,019.08 | 1.20 | 6.13 | ||||||||||||||||||||
Real Assets | Investor | 1,000.00 | 1,024.60 | 0.12 | 0.61 | ||||||||||||||||||||
Real Estate Securities Fund | Investor | 1,000.00 | 1,019.13 | 1.19 | 6.08 | ||||||||||||||||||||
Global Natural Resources Equity | Investor | 1,000.00 | 1,018.33 | 1.35 | 6.88 |
(1) | Expenses include the effect of contractual waivers by GuideStone Capital Management. The Date Target Funds’, Asset Allocation Funds’ and Real Assets Fund’s 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 July 1, 2014 through December 31, 2014, multiplied by the average account value over the period, multiplied by 184/365 (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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ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
INVESTMENT ABBREVIATIONS:
ADR | — | American Depositary Receipt | ||
CDO | — | Collateralized Debt Obligation | ||
CLO | — | Collateralized Loan Obligation | ||
CMBS | — | Commercial Mortgage-Backed Securities | ||
CONV | — | Convertible | ||
GDR | — | Global Depositary Receipt | ||
IO | — | Interest Only (Principal amount shown is notional) | ||
KLIBOR | — | Kuala Lumpur Interbank Offer Rate | ||
KORIBOR | — | Korea Interbank Offer Rate | ||
LIBOR | — | London Interbank Offered Rate | ||
LLC | — | Limited Liability Company | ||
LOC | — | Letter of Credit | ||
LP | — | Limited Partnership | ||
NVDR | — | Non-Voting Depository Receipt | ||
PIK | — | Payment-in-Kind Bonds | ||
PLC | — | Public Limited Company | ||
REIT | — | Real Estate Investment Trust | ||
REMIC | — | Real Estate Mortgage Investment Conduit | ||
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 December 31, 2014, 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 | $ | 508,909,053 | 39.60 | % | ||||||
Low-Duration Bond | 175,205,103 | 20.70 | ||||||||
Medium-Duration Bond | 81,817,203 | 9.00 | ||||||||
Extended-Duration Bond | 25,291,269 | 8.38 | ||||||||
Global Bond | 67,371,275 | 16.79 | ||||||||
Defensive Market Strategies | 35,270,550 | 6.13 | ||||||||
Small Cap Equity | 1 | — | ||||||||
International Equity | 2,623,583 | 0.19 | ||||||||
Emerging Markets Equity | 1,254,325 | 0.42 | ||||||||
Flexible Income Fund | 1,836,875 | 1.41 |
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. Maturity date for money market instruments is the date of the next interest rate reset. | ||
W | — | Rates shown reflect the effective yields as of December 31, 2014. | ||
¥ | — | Affiliated fund. | ||
D | — | Security either partially or fully on loan. | ||
S | — | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. | ||
+ | — | Security is valued at fair value by the Valuation Committee (see Note 1 in Notes to Financial Statements). As of December 31, 2014, 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 | $ | — | — | % | ||||||
Medium-Duration Bond | 3,232,087 | 0.36 | ||||||||
Global Bond | 3,526,481 | 0.88 | ||||||||
Defensive Market Strategies | 5,321,463 | 0.93 | ||||||||
Small Cap Equity | 54 | — | ||||||||
International Equity | 10,909,935 | 0.79 | ||||||||
Emerging Markets Equity | 3,600 | — |
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ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
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). | ||||
(K) | — | Par is denominated in Norwegian Krone (NOK). | ||||
(M) | — | Par is denominated in Mexican Pesos (MXN). | ||||
(T) | — | Par is denominated in Turkish Lira (TRL). | ||||
(U) | — | Par is denominated in British Pounds (GBP). | ||||
(V) | — | Par is denominated in Dominican Peso (DOP). | ||||
(W) | — | Par is denominated in South Korean Won (KRW). | ||||
(X) | — | Par is denominated in Colombian Peso (COP). | ||||
(Z) | — | Par is denominated in New Zealand Dollars (NZD). |
COUNTERPARTY ABBREVIATIONS:
AD | — | Counterparty to contract is Advest. | ||||
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. | ||||
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. | ||||
ICE | — | Counterparty to contract is Intercontinental Exchange. | ||||
JEFF | — | Counterparty to contract is Jefferies. | ||||
JPM | — | Counterparty to contract is JPMorgan Chase Bank. | ||||
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. | ||||
WF | — | Counterparty to contract is Wells Fargo. |
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ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
INDEX DEFINITIONS:
The Bank of America Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury notes and bonds with maturities greater than or equal to one year and less than three years.
The Barclays Global Aggregate Bond Index — Unhedged provides a broad-based measure of the global investment grade fixed-rate debt markets.
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 fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
The Barclays U.S. Corporate High Yield — 2% Issuer Capped Index is an issuer-constrained version of the Barclays U.S. Corporate High Yield Index that measures the market of U.S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro rata basis.
The Barclays U.S. Long-Term Credit Bond Index is composed of a subset of the Barclays U.S. Credit Bond Index covering all corporate, publicly issued, fixed-rate, nonconvertible U.S. debt issues rated at least Baa with at least $50 million principal outstanding and maturity greater than 10 years.
The Barclays U.S. Long-Term Government Bond Index is composed of securities in the long (more than 10 years) range of the Barclays U.S. Government Index and is composed of a subset of the Barclays Credit Bond Index covering all corporate, publicly issued, fixed-rate, nonconvertible U.S. debt issues rated at least Baa with at least $50 million principal outstanding and maturity greater than 10 years.
The Barclays U.S. TIPS Index measures the performance of the U.S. Treasury Inflation Protected Securities (“TIPS”) market and includes TIPS with one or more years remaining until maturity with total outstanding issue size of $500 million or more.
The Bloomberg Commodity Index provides a broadly diversified representation of commodity markets as an asset class. The index is made up of exchange-traded futures on physical commodities and represents 20 commodities, which are weighted to account for economic significance and market liquidity. Weighting restrictions on individual commodities and commodity groups promote diversification.
The Citigroup 3-Month Treasury Bill Index is an unmanaged index that is generally representative of 3-month U.S. Treasury bills, consisting of an average of the last 3-month U.S. Treasury bill issues.
The CMBX Indexes are a group of indices made up of 25 tranches of commercial mortgage-backed securities (CMBS), each with different credit ratings.
The Dow Jones CDX Indexes are a series of indices that track North American and emerging market credit derivative indexes. This family of indices comprises a basket of credit derivatives that are representative of certain segments such as North American investment grade credit derivatives (NA.IG), high yield (NA.HY), and emerging markets (NA.EM).
The Dow Jones U.S. Select Real Estate Securities IndexSM is an unmanaged, broad-based, market capitalization-weighted index comprised of publicly traded REITs and real estate operating companies, not including special purpose or healthcare REITs. It is comprised of major companies engaged in the equity ownership and operation of commercial real estate.
The FTSE EPRA/NAREIT Developed Index is designed to track the performance of listed real estate companies and REITS worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (“ETFs”).
The iTraxx Indexes are a group of international credit derivative indices that are monitored by the International Index Company (IIC). iTraxx indices cover credit derivatives markets in Europe, Asia and Australia.
The JPMorgan Emerging Markets Bond Index Plus is a traditional, market-capitalization weighted index comprised of U.S. dollar denominated Brady bonds, Eurobonds and traded loans issued by sovereign entities.
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 U.S.) and emerging markets.
The MSCI Commodity Producers Index is a free float-adjusted market capitalization index designed to reflect the performance of the three underlying commodity markets: energy, metals and agricultural products.
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ABBREVIATIONS, FOOTNOTES AND INDEX DEFINITIONS
The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
The MSCI EM (Emerging Markets) Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The index consisted of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey
The NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies involved primarily in mining for gold and silver. The index is calculated and maintained by the American Stock Exchange.
The Russell 1000® Growth Index is a large-cap index consisting of those Russell 1000® Index securities with greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-to-earnings-ratios, lower dividend yields and higher forecasted growth values than the value universe.
The Russell 1000® Value Index is a large-cap index consisting of those Russell 1000® Index securities with a less-than-average growth orientation. Companies in this index tend to exhibit lower price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth values than the growth universe.
The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure that larger stocks do not distort the performance and characteristics of the actual small-cap opportunity set.
The Russell 3000® Index is composed of 3,000 large companies. This portfolio of securities represents approximately 98% of the investable U.S. equity market.
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.
The S&P/LSTA U.S. B- Ratings and Above Loan Index is a daily total return index that tracks the current outstanding balance and spread over LIBOR for fully funded term loans. The facilities included in the S&P/LSTA U.S. B- Ratings and Above Loan Index represent a broad cross section of leveraged loans syndicated in the United States, including dollar-denominated loans to overseas issuers.
The WTI Crude Oil Subindex Total Return index is a single commodity subindex of the Bloomberg CI composed of futures contracts on crude oil. It reflects the return of underlying commodity futures price movements only and is quoted in USD.
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The MyDestination Funds® maintain diversified exposure to all three asset classes of equities, fixed income and real assets.
Exposure to U.S. equities contributed positively to performance for the MyDestination Funds®. U.S. equities experienced a strong year of performance, with the broader equity market, as measured by the Russell 3000® Index, advancing 12.56% for the calendar year 2014. Equity market gains were spurred on by exceptionally accommodative monetary policy and generally improving economic conditions that encouraged investors to take on risk. From a sector perspective, performance was positive for every sector within the Russell 3000® except energy. The energy sector was down 9.86% largely due to the steep fall in oil prices. The WTI Crude Oil Sub-index Total Return saw a decline of 41.69% for the year.
Developed non-U.S. markets struggled relative to the U.S. as the MSCI EAFE Index (Net), a measure of international developed country returns, posted a one-year return of -4.90%. Two of the main causes for the MSCI EAFE Index performance were slower economic growth outside the U.S. and the strong appreciation of the U.S. dollar versus global currencies. The developed non-U.S. market on average would have delivered a positive single digit return, but the global currency losses against the U.S. dollar led to the negative return for U.S. based investors. The only region to post a positive return was Africa/Middle East, while Europe and Japan were the largest detractors. From a sector perspective, only healthcare and utilities had a positive return. The energy sector was the worst performing sector, falling just over 18%.
Bond markets generally posted positive returns during 2014, as bond yields generally fell over the course of the year, particularly for maturities greater than two years. The Barclays U.S. Aggregate Bond Index, a proxy for the broad domestic bond market, generated an annual return of 5.97%, rebounding from last year’s first annual decline since 1999. Exposure to fixed income within the MyDestination Funds®, which is an important part of a properly diversified portfolio, added to performance during 2014.
In 2014, the MyDestination Funds® utilized equity and U.S treasury futures contracts to provide market exposure to cash held within the Funds. This allows the Funds to stay more fully invested and to minimize cash drag. In aggregate, the use of futures contracts contributed positively to the performance of the MyDestination Funds® in 2014.
Exposure to real assets detracted from performance within the MyDestination Funds®, although the returns of the various underlying strategies were very mixed for the year. Key drivers of performance for the year were subdued inflation and inflation expectations and falling commodity prices — all of which put downward pressure on most real asset strategies. The primary detractors to absolute performance for the MyDestination Funds® were negative performance across global natural resource equites and commodities. Global natural resource equities, as measured by the MSCI World Commodity Producers Index, fell 12.61% in 2014. The Bloomberg Commodity Index, a broad-based measure of returns for a diversified basket of commodity futures, posted a 17.01% decline for 2014.
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MyDestination 2005 Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to fixed income securities with a smaller percentage allocated to equity and real asset securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 31, 2014, targeted allocations were approximately 50.50% Fixed Income Assets Funds, 21.99% U.S. Equity Select Funds, 7.51% Non-U.S. Equity Select Funds, 18.00% Real Return Select Funds and 2.00% Credit Suisse Commodity Return Strategy.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 2.54% for the one-year period ending December 31, 2014. Overall exposure to the U.S. Equity Select Funds was a primary contributor to the Fund’s performance. The Defensive Market Strategies Fund was the largest contributor to absolute performance. In addition, the Value Equity Fund and the Growth Equity Fund were both significant contributors to performance. International equity exposure detracted from performance largely due to currency losses from the rally of the U.S. dollar. The Fund’s fixed income allocation added to investment returns, as the Low-Duration Bond Fund, Medium-Duration Bond Fund, and Global Bond Fund had positive investment returns for the year. Real assets detracted from absolute performance, with the Global Natural Resources Equity Fund and the Credit Suisse Commodity Return Strategy being the primary detractors as each fell over 16% for the year. The Real Estate Securities Fund and the Inflation Protected Bond Fund partially offset the commodity and natural resources equity exposures by delivering positive gains for 2014.
The Fund underperformed its composite benchmark in 2014 (2.54% versus 2.84%). The largest detractors to relative underperformance were the Growth Equity Fund, Value Equity Fund and Global Natural Resource Equity Fund. The largest positive contributor to relative performance was the Defensive Market Strategies Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is 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 12 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and retired at an age that was near the year 2005. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. 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 Fund.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Fixed Income Select Funds | 51.5 | |||
U.S. Equity Select Funds | 22.2 | |||
Real Return Select Funds | 17.5 | |||
Non-U.S. Equity Select Funds | 7.3 | |||
Credit Suisse Commodity Return Strategy | 1.7 | |||
|
| |||
100.2 | ||||
|
|
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MyDestination 2005 Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
| Investor Class* | Benchmark** | ||
One Year | 2.54% | 2.84% | ||
Five Year | 6.09% | 5.88% | ||
Since Inception | 3.78% | 3.90% | ||
Inception Date | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.09% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the Investor Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of 37.87% of the Bank of America Merrill Lynch 1-3 Year Treasury Index, 10.10% of the Barclays U.S. Aggregate Bond Index, 1.27% of the Barclays Global Aggregate Bond Index — Unhedged, 0.63% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 0.63% of the J.P. Morgan Emerging Markets Bond Index Plus, 10.00% of the Barclays U.S. TIPS Index, 10.75% of the S&P 500® Index, 5.00% of the S&P U.S. BB-Ratings and Above Loan Index, 1.00% of the FTSE EPRA/NAREIT Developed Index, 5.02% of the Russell 1000® Value Index, 5.02% of the Russell 1000® Growth Index, 1.20% of the Russell 2000® Index, 2.00% of the Dow Jones — UBS Commodity Index, 1.50% of the MSCI World Commodity Producers Index, 0.50% of the NYSE Gold Miners Index, 5.93% of the MSCI EAFE Index and 1.58% of the MSCI EM Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
20
Table of Contents
MYDESTINATION 2005 FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||||
MUTUAL FUNDS — 100.2% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 1,910,861 | $ | 1,910,861 | |||||||||
GuideStone Low-Duration Bond Fund (Investor Class)¥ | 2,539,007 | 33,794,181 | ||||||||||
GuideStone Medium-Duration Bond Fund (Investor Class)¥ | 647,648 | 9,488,036 | ||||||||||
GuideStone Global Bond Fund (Investor Class)¥ | 232,432 | 2,331,291 | ||||||||||
GuideStone Defensive Market Strategies Fund (Investor Class)¥ | 860,952 | 9,987,044 | ||||||||||
GuideStone Value Equity Fund (Investor Class)¥ | 219,322 | 4,673,762 | ||||||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 203,519 | 4,664,644 | ||||||||||
GuideStone Small Cap Equity Fund (Investor Class)¥ | 67,800 | 1,158,017 | ||||||||||
GuideStone International Equity Fund (Investor Class)¥ | 378,966 | 5,316,895 | ||||||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 153,831 | 1,398,322 |
Shares | Value | |||||||||||
GuideStone Inflation Protected Bond Fund (Investor Class)¥ | 889,729 | $ | 9,093,029 | |||||||||
GuideStone Flexible Income Fund (Investor Class)¥ | 459,656 | 4,486,247 | ||||||||||
GuideStone Real Estate Securities Fund (Investor Class)¥ | 90,943 | 933,078 | ||||||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 205,834 | 1,607,567 | ||||||||||
Credit Suisse Commodity Return Strategy Fund* | 262,093 | 1,575,177 | ||||||||||
|
| |||||||||||
Total Mutual Funds | 92,418,151 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 100.2% |
| 92,418,151 | ||||||||||
Liabilities in Excess of | (196,519 | ) | ||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 92,221,632 | ||||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 92,418,151 | $ | 92,418,151 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 92,418,151 | $ | 92,418,151 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 7,103 | $ | 7,103 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 7,103 | $ | 7,103 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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. | 21 |
Table of Contents
MyDestination 2015 Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to equity securities with a smaller percentage allocated to fixed income and real asset securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 31, 2014, targeted allocations were approximately 32.00% Fixed income Select Funds, 36.00% U.S. Equity Select Funds, 12.00% Non-U.S. Equity Select Funds, 18.00% Real Assets Select Funds and 2.00% Credit Suisse Commodity Return Strategy.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 3.92% for the one-year period ended December 31, 2014. Overall exposure to the U.S. Equity Select Funds was a primary contributor to the Fund’s performance. The Defensive Market Strategies Fund was the largest contributor to absolute performance, followed by the Value Equity Fund and Growth Equity Fund. International equity exposure detracted from performance largely due to currency losses from the rally of the U.S. dollar. The Fund’s fixed income allocation added to investment returns, as all underlying Fixed Income Select Funds contributed positively to performance led by the Medium-Duration Bond Fund. Real assets detracted from absolute performance, with the Global Natural Resources Equity Fund and the Credit Suisse Commodity Return Strategy being the primary detractors as each fell over 16% for the year. The Real Estate Securities Fund and the Inflation Protected Bond Fund partially offset the commodity and natural resources equity exposures by delivering positive gains for 2014.
The Fund underperformed its composite benchmark in 2014 (3.92% versus 4.23%). The largest detractors to relative underperformance were the Growth Equity Fund, Value Equity Fund and International Equity Fund. The largest positive contributor to relative performance was the Defensive Market Strategies Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is 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 12 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2015. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. 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 Fund.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Equity Select Funds | 36.3 | |||
Fixed Income Select Funds | 32.8 | |||
Real Return Select Funds | 17.6 | |||
Non-U.S. Equity Select Funds | 11.5 | |||
Credit Suisse Commodity Return Strategy | 1.8 | |||
|
| |||
100.0 | ||||
|
|
22
Table of Contents
MyDestination 2015 Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
| Investor Class* | Benchmark** | ||
One Year | 3.92% | 4.23% | ||
Five Year | 8.13% | 7.87% | ||
Since Inception | 4.29% | 4.44% | ||
Inception Date | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.10% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the Investor Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of 12.80% of the Bank of America Merrill Lynch 1-3 Year Treasury Index, 12.80% of the Barclays U.S. Aggregate Bond Index, 0.80% of the Barclays U.S. Long-Term Government Bond Index, 0.80% of the Barclays U.S. Long-Term Credit Bond Index, 2.40% of the Barclays Global Aggregate Bond Index — Unhedged, 1.20% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 2.00 of the Bloomberg Commodity Index, 1.20% of the J.P. Morgan Emerging Markets Bond Index Plus, 10.00% of the Barclays U.S. TIPS Index, 18.00% of the S&P 500® Index, 5.00% of the S&P/LSTA U.S. B-Ratings and Above Loan Index, 7.96% of the Russell 1000® Value Index, 7.96% of the Russell 1000® Growth Index, 2.08% of the Russell 2000® Index, 1.00% of the FTSE EPRA/NAREIT Developed Index, 1.50% of the MSCI World Commodity Producers Index, 0.50% of the NYSE Arca Gold Miners Index, 9.48% of the MSCI EAFE Index and 2.52% of the MSCI Emerging Markets Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
23
Table of Contents
MYDESTINATION 2015 FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 6,850,488 | $ | 6,850,488 | |||||||||
GuideStone Low-Duration Bond Fund (Investor Class)¥ | 4,494,526 | 59,822,143 | ||||||||||
GuideStone Medium-Duration Bond Fund (Investor Class)¥ | 4,135,066 | 60,578,712 | ||||||||||
GuideStone Extended-Duration Bond Fund (Investor Class)¥ | 433,277 | 7,928,977 | ||||||||||
GuideStone Global Bond Fund (Investor Class)¥ | 2,226,767 | 22,334,469 | ||||||||||
GuideStone Defensive Market Strategies Fund (Investor Class)¥ | 7,487,090 | 86,850,243 | ||||||||||
GuideStone Value Equity Fund (Investor Class)¥ | 1,818,783 | 38,758,256 | ||||||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 1,684,372 | 38,605,800 | ||||||||||
GuideStone Small Cap Equity Fund (Investor Class)¥ | 605,372 | 10,339,751 | ||||||||||
GuideStone International Equity Fund (Investor Class)¥ | 3,116,029 | 43,717,885 |
Shares | Value | |||||||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 1,249,111 | $ | 11,354,421 | |||||||||
GuideStone Inflation Protected Bond Fund (Investor Class)¥ | 4,698,341 | 48,017,050 | ||||||||||
GuideStone Flexible Income Fund (Investor Class)¥ | 2,300,856 | 22,456,356 | ||||||||||
GuideStone Real Estate Securities Fund (Investor Class)¥ | 512,916 | 5,262,519 | ||||||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 1,101,086 | 8,599,479 | ||||||||||
Credit Suisse Commodity Return Strategy Fund* | 1,437,211 | 8,637,640 | ||||||||||
|
| |||||||||||
Total Mutual Funds | 480,114,189 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 100.0% |
| 480,114,189 | ||||||||||
Other Assets in Excess of Liabilities — 0.0% | 210,820 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 480,325,009 | ||||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 480,114,189 | $ | 480,114,189 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 480,114,189 | $ | 480,114,189 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 13,834 | $ | 13,834 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 13,834 | $ | 13,834 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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.
24 | See Notes to Financial Statements. |
Table of Contents
MyDestination 2025 Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to equity securities with smaller percentages allocated to fixed income and real asset securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 31, 2014, targeted allocations were approximately 24.00% Fixed Income Select Funds, 44.05% U.S. Equity Select Funds, 17.70% Non-U.S. Equity Select Funds, 11.25% Real Assets Select Funds and 3.00% Credit Suisse Commodity Return Strategy.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. The Fund generated a positive return of 3.88% for the one-year period ended December 31, 2014. Overall exposure to the U.S. Equity Select Funds was a primary contributor to the Fund’s performance. The Defensive Market Strategies Fund was the largest contributor to absolute performance, followed by the Value Equity Fund and Growth Equity Fund. International equity exposure detracted from performance largely due to currency losses from the rally of the U.S. dollar. The Fund’s fixed income allocation added to investment returns, as all underlying Fixed Income Select Funds contributed positively to performance led by the Medium-Duration Bond Fund. Real assets detracted from absolute performance, with the Global Natural Resources Equity Fund and the Credit Suisse Commodity Return Strategy being the primary detractors as each fell over 16% for the year. The Real Estate Securities Fund and the Inflation Protected Bond Fund partially offset the commodity and natural resources equity exposures by delivering positive gains for 2014.
The Fund underperformed its composite benchmark in 2014 (3.88% versus 4.55%). The largest detractors to relative underperformance were the Growth Equity Fund, Value Equity Fund and International Equity Fund. The largest contributor to relative performance was the Defensive Market Strategies Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is 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 12 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2025. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. 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 Fund.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Equity Select Funds | 43.8 | |||
Fixed Income Select Funds | 25.6 | |||
Non-U.S. Equity Select Funds | 17.2 | |||
Real Return Select Funds | 10.7 | |||
Credit Suisse Commodity Return Strategy | 2.6 | |||
|
| |||
99.9 | ||||
|
|
25
Table of Contents
MyDestination 2025 Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
| Investor Class* | Benchmark** | ||
One Year | 3.88% | 4.55% | ||
Five Year | 9.46% | 9.33% | ||
Since Inception | 4.29% | 4.61% | ||
Inception Date | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.19% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the Investor Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of 6.00% of the Bank of America Merrill Lynch 1-3 Year Treasury Index, 9.60% of the Barclays U.S. Aggregate Bond Index, 1.20% of the Barclays U.S. Long-Term Government Bond Index, 1.20% of the Barclays U.S. Long-Term Credit Bond Index, 3.00% of the Barclays Global Aggregate Bond Index — Unhedged, 1.50% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 3.00% of the Bloomberg Commodity Index, 1.50% of the J.P. Morgan Emerging Markets Bond Index Plus, 4.00% of the Barclays U.S. TIPS Index, 3.25% of the S&P 500® Index, 1.50% of the S&P/LSTA U.S. BB-Ratings and Above Loan Index, 2.75% of the FTSE EPRA/NAREIT Developed Index, 11.65% of the Russell 1000® Value Index, 11.65% of the Russell 1000® Growth Index, 17.50% of the Russell 2000® Index, 2.25% of the MSCI World Commodity Producers Index, 0.75% of the NYSE Arca Gold Miners Index, 13.98% of the MSCI EAFE Index and 3.72% of the MSCI Emerging Markets Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
26
Table of Contents
MYDESTINATION 2025 FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 12,981,724 | $ | 12,981,724 | |||||||||
GuideStone Low-Duration Bond Fund (Investor Class)¥ | 2,876,768 | 38,289,787 | ||||||||||
GuideStone Medium-Duration Bond Fund (Investor Class)¥ | 4,265,731 | 62,492,952 | ||||||||||
GuideStone Extended-Duration Bond Fund (Investor Class)¥ | 878,437 | 16,075,404 | ||||||||||
GuideStone Global Bond Fund (Investor Class)¥ | 3,886,519 | 38,981,786 | ||||||||||
GuideStone Defensive Market Strategies Fund (Investor Class)¥ | 9,771,397 | 113,348,211 | ||||||||||
GuideStone Value Equity Fund (Investor Class)¥ | 3,600,185 | 76,719,945 | ||||||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 3,324,837 | 76,205,257 | ||||||||||
GuideStone Small Cap Equity Fund (Investor Class)¥ | 1,279,945 | 21,861,453 | ||||||||||
GuideStone International Equity Fund (Investor Class)¥ | 6,377,687 | 89,478,946 |
Shares | Value | |||||||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 2,603,274 | $ | 23,663,760 | |||||||||
GuideStone Inflation Protected Bond Fund (Investor Class)¥ | 2,460,694 | 25,148,288 | ||||||||||
GuideStone Flexible Income Fund (Investor Class)¥ | 947,937 | 9,251,864 | ||||||||||
GuideStone Real Estate Securities Fund (Investor Class)¥ | 1,818,640 | 18,659,251 | ||||||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 2,216,863 | 17,313,698 | ||||||||||
Credit Suisse Commodity Return Strategy Fund* | 2,890,322 | 17,370,835 | ||||||||||
|
| |||||||||||
Total Mutual Funds | 657,843,161 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 99.9% |
| 657,843,161 | ||||||||||
Other Assets in Excess of Liabilities — 0.1% | 852,240 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 658,695,401 | ||||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 657,843,161 | $ | 657,843,161 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 657,843,161 | $ | 657,843,161 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 38,702 | $ | 38,702 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 38,702 | $ | 38,702 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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
MyDestination 2035 Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combines a high percentage of exposure to equity securities with only modest percentages to fixed income and real asset securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 31, 2014, targeted allocations were approximately 15.25% Fixed Income Select Funds, 45.45% U.S. Equity Select Funds, 29.30% Non-U.S. Equity Select Funds, 6.67% Real Assets Select Funds and 3.33% Credit Suisse Commodity Return Strategy.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. Equity exposure represented approximately 75% of the Fund and, therefore, contributed to most of the Fund’s return. The Fund generated a positive return of 2.70% for the one-year period ended December 31, 2014. The Value Equity Fund was the largest contributor to absolute performance, followed by the Growth Equity Fund. International equity exposure detracted from performance largely due to currency losses from the rally of the U.S. dollar. The Fund’s fixed income allocation added to investment returns, with the Extended-Duration Bond Fund being the largest contributor with a 17.39% return in 2014. Real assets detracted from absolute performance with the Global Natural Resources Equity Fund and the Credit Suisse Commodity Return Strategy being the primary detractors as each fell over 16% for the year. The Real Estate Securities Fund partially offset the commodity and natural resources equity exposures by delivering a positive gain for 2014.
The Fund underperformed its composite benchmark in 2014 (2.70% versus 4.45%). The largest detractors to relative underperformance were the Growth Equity Fund, Value Equity Fund and International Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is 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 12 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2035. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. 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 Fund.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
|
| |||
U.S. Equity Select Funds | 44.9 | |||
Non-U.S. Equity Select Funds | 28.3 | |||
Fixed Income Select Funds | 17.1 | |||
Real Return Select Funds | 6.7 | |||
Credit Suisse Commodity Return Strategy | 2.9 | |||
|
| |||
99.9 | ||||
|
|
28
Table of Contents
MyDestination 2035 Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Investor Class* | Benchmark** | |||
One Year | 2.70% | 4.45% | ||
Five Year | 10.29% | 10.70% | ||
Since Inception | 4.06% | 4.74% | ||
Inception Date | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.31% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the Investor Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of 0.75% of the Bank of America Merrill Lynch 1-3 Year Index, 5.00% of the Barclays U.S. Aggregate Bond Index, 3.33% of the Bloomberg Commodity Index, 0.50% of the Barclays U.S. Long-Term Government Bond Index, 0.50% of the Barclays U.S. Long-Term Credit Bond Index, 4.25% of the Barclays Global Aggregate Bond Index — Unhedged, 2.13% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 2.13% of the J.P. Morgan Emerging Markets Bond Index Plus, 3.33% of the FTSE EPRA/NAREIT Developed Index, 1.50% of the S&P 500® Index, 18.83% of the Russell 1000® Value Index, 18.83% of the Russell 1000® Growth Index, 6.29% of the Russell 2000® Index, 2.50% of the MSCI World Commodity Producers Index, 0.84% of the NYSE Arca Gold Miners Index, 23.14% of the MSCI EAFE Index and 6.15% of the MSCI Emerging Markets Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
29
Table of Contents
MYDESTINATION 2035 FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 7,156,947 | $ | 7,156,947 | |||||||||
GuideStone Low-Duration Bond Fund (Investor Class)¥ | 195,711 | 2,604,914 | ||||||||||
GuideStone Medium-Duration Bond Fund (Investor Class)¥ | 1,208,223 | 17,700,463 | ||||||||||
GuideStone Extended-Duration Bond Fund (Investor Class)¥ | 205,578 | 3,762,080 | ||||||||||
GuideStone Global Bond Fund (Investor Class)¥ | 2,996,030 | 30,050,179 | ||||||||||
GuideStone Defensive Market Strategies Fund (Investor Class)¥ | 370,998 | 4,303,574 | ||||||||||
GuideStone Value Equity Fund (Investor Class)¥ | 3,136,876 | 66,846,825 | ||||||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 2,913,391 | 66,774,924 | ||||||||||
GuideStone Small Cap Equity Fund (Investor Class)¥ | 1,351,881 | 23,090,120 |
Shares | Value | |||||||||||
GuideStone International Equity Fund (Investor Class)¥ | 5,719,205 | $ | 80,240,442 | |||||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 2,352,347 | 21,382,838 | ||||||||||
GuideStone Real Estate Securities Fund (Investor Class)¥ | 1,183,343 | 12,141,095 | ||||||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 1,523,384 | 11,897,628 | ||||||||||
Credit Suisse Commodity Return Strategy Fund* | 1,746,425 | 10,496,015 | ||||||||||
|
|
|
| |||||||||
Total Mutual Funds | 358,448,044 | |||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS — 99.9% |
| 358,448,044 | ||||||||||
Other Assets in Excess of | 364,138 | |||||||||||
|
|
|
| |||||||||
NET ASSETS — 100.0% | $ | 358,812,182 | ||||||||||
|
|
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 358,448,044 | $ | 358,448,044 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 358,448,044 | $ | 358,448,044 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 20,600 | $ | 20,600 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 20,600 | $ | 20,600 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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.
30 | See Notes to Financial Statements. |
Table of Contents
MyDestination 2045 Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a high percentage of exposure to equity securities with only modest percentages allocated to fixed income and real asset securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 31, 2014, targeted allocations were approximately 6.50% Fixed Income Select Funds, 50.10% U.S. Equity Select Funds, 33.40% Non-U.S. Equity Select Funds, 6.67% Real Assets Select Funds and 3.33% Credit Suisse Commodity Return Strategy.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. Equity exposure represented approximately 83.50% of the Fund and, therefore, contributed to most of the Fund’s returns. The Fund generated a positive return of 2.23% for the one-year period ended December 31, 2014. The Value Equity Fund was the largest contributor to absolute performance, followed by the Growth Equity Fund. International equity exposure detracted from performance largely due to currency losses from the rally of the U.S. dollar. The Fund’s fixed income allocation added to investment returns, with the Extended-Duration Bond Fund being the largest contributor with a 17.39% return in 2014. Real assets detracted from absolute performance with the Global Natural Resources Equity Fund and the Credit Suisse Commodity Return Strategy being the primary detractors as each fell over 16% for the year. The Real Estate Securities Fund partially offset the commodity and natural resources equity exposures by delivering a positive gain for 2014.
The Fund underperformed its composite benchmark in 2014 (2.23% versus 4.16%). The largest detractors to relative underperformance were the Growth Equity Fund, Value Equity Fund and International Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is 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 12 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2045. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. 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 Fund.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Equity Select Funds | 49.4 | |||
Non-U.S. Equity Select Funds | 32.4 | |||
Fixed Income Select Funds | 8.4 | |||
Real Return Select Funds | 6.7 | |||
Credit Suisse Commodity Return Strategy | 3.0 | |||
|
| |||
99.9 | ||||
|
|
31
Table of Contents
MyDestination 2045 Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Investor Class* | Benchmark** | |||
One Year | 2.23% | 4.16% | ||
Five Year | 10.62% | 11.09% | ||
Since Inception | 3.82% | 4.59% | ||
Inception Date | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.37% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the Investor Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of 0.25% of the Bank of America Merrill Lynch 1-3 Year Index, 3.13% of the Barclays Global Aggregate Bond Index — Unhedged, 1.56% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 3.33% of the Bloomberg Commodity Index, 1.56% of the J.P. Morgan Emerging Markets Bond Index Plus, 3.33% of the FTSE EPRA/NAREIT Developed Index, 21.14% of the Russell 1000® Value Index, 21.14% of the Russell 1000® Growth Index, 7.82% of the Russell 2000® Index, 2.50% of the MSCI World Commodity Producers Index, 0.84% of the NYSE Arca Gold Miners Index, 26.39% of the MSCI EAFE Index and 7.01% of the MSCI Emerging Markets Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
32
Table of Contents
MYDESTINATION 2045 FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 5,036,721 | $ | 5,036,721 | |||||||||
GuideStone Medium-Duration Bond Fund (Investor Class)¥ | 65,183 | 954,926 | ||||||||||
GuideStone Global Bond Fund (Investor Class)¥ | 1,533,826 | 15,384,277 | ||||||||||
GuideStone Value Equity Fund (Investor Class)¥ | 2,482,715 | 52,906,662 | ||||||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 2,293,797 | 52,573,836 | ||||||||||
GuideStone Small Cap Equity Fund (Investor Class)¥ | 1,162,411 | 19,853,981 | ||||||||||
GuideStone International Equity Fund | 4,615,161 | 64,750,708 | ||||||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 1,896,276 | 17,237,150 | ||||||||||
GuideStone Real Estate Securities Fund (Investor Class)¥ | 828,237 | 8,497,709 | ||||||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 1,080,220 | 8,436,522 | ||||||||||
Credit Suisse Commodity Return Strategy Fund* | 1,254,435 | 7,539,154 | ||||||||||
|
|
|
| |||||||||
Total Mutual Funds | 253,171,646 | |||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS — 99.9% |
| 253,171,646 | ||||||||||
Other Assets in Excess of | 223,079 | |||||||||||
|
|
|
| |||||||||
NET ASSETS — 100.0% | $ | 253,394,725 | ||||||||||
|
|
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 253,171,646 | $ | 253,171,646 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 253,171,646 | $ | 253,171,646 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 30,356 | $ | 30,356 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | 30,356 | $ | 30,356 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements.
See Notes to Financial Statements. | 33 |
Table of Contents
MyDestination 2055 Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a high percentage of exposure to equity securities with only modest percentages allocated to fixed income and real asset securities. The Fund followed an allocation glide path designed to become more conservative over time, and the December 31, 2014, targeted allocations were approximately 5.00% Fixed Income Select Funds, 51.00% U.S. Equity Select Funds, 34.00% Non-U.S. Equity Select Funds, 6.67% Real Assets Select Funds and 3.33% Credit Suisse Commodity Return Strategy.
As a fund of funds, the Fund’s performance was based on the performance of the underlying Select Funds. Equity exposure represented approximately 85% of the Fund and, therefore, contributed to most of the Fund’s returns. The Fund generated a positive return of 2.25% for the one-year period ended December 31, 2014. The Value Equity Fund was the largest contributor to absolute performance, followed by the Growth Equity Fund. International equity exposure detracted from performance largely due to currency losses from the rally of the U.S. dollar. The Fund’s fixed income allocation contributed marginally to investment returns, as the Global Bond Fund had a slightly positive return for the year. Real assets detracted from absolute performance, with the Global Natural Resources Equity Fund and the Credit Suisse Commodity Return Strategy being the primary detractors as each fell over 16% for the year. The Real Estate Securities Fund partially offset the commodity and natural resources equity exposures by delivering a positive gain for 2014.
The Fund underperformed its composite benchmark in 2014 (2.25% versus 4.07%). The largest detractors to relative underperformance were the Growth Equity Fund, Value Equity Fund and International Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. The Fund is 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 12 years thereafter. The target date in the name of the Fund is the approximate date when an investor plans to start withdrawing money. This Fund may be suitable for investors who want a simplified “one fund” retirement solution, are willing to pay slightly higher fees to get a diversified mix of investments that becomes more conservative over time and plan to retire at an age that is near the year 2055. The Fund’s value will fluctuate due to changes in interest rates. There is a risk that the issuer of a fixed-income investment may fail to pay interest or even principal due in a timely manner or at all. The Fund’s value will fluctuate due to business developments concerning a particular issuer, industry or country, as well as general market and economic conditions. The Fund is subject to risks presented by investments in foreign issuers, and changes in currency exchange rates relative to the U.S. dollar may negatively affect the values of foreign investments held by the Select Funds. By investing in this Fund, you will incur the expenses of the Fund, in addition to those of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. 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 Fund.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Non-U.S. Equity Select Funds | 32.7 | |||
U.S. Equity Select Funds | 50.2 | |||
Fixed Income Select Funds | 7.5 | |||
Real Return Select Funds | 6.5 | |||
Credit Suisse Commodity Return Strategy | 2.9 | |||
|
| |||
99.8 | ||||
|
|
34
Table of Contents
MyDestination 2055 Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||
Investor Class* | Benchmark** | |||||
One Year | 2.25% | 4.07% | ||||
Since Inception | 12.94% | 14.32% | ||||
Inception Date | 01/01/12 | |||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 2.21% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph illustrates the results of a hypothetical $10,000 investment in the Investor Class of the Fund since January 1, 2012 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of 3.33% of the Bloomberg Commodity Index, 2.50% of the Barclays Global Aggregate Bond Index — Unhedged, 1.25% of the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index, 1.25% of the J.P. Morgan Emerging Markets Bond Index Plus, 3.33% of the FTSE EPRA/NAREIT Developed Index, 21.45% of the Russell 1000® Value Index, 21.45% of the Russell 1000® Growth Index, 8.10% of the Russell 2000® Index, 2.50% of the MSCI World Commodity Producers Index, 0.84% of the NYSE Arca Gold Miners Index, 26.86% of the MSCI EAFE Index and 7.14% of the MSCI Emerging Markets Index.
The construction of the composite index corresponds to the target percentage allocations to the underlying asset classes as represented by the Fund’s investment in the Select Funds. As the target percentage allocations to the underlying investments change according to the MyDestination Funds® glide path, the target percentage allocations to the composite index also change.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
35
Table of Contents
MYDESTINATION 2055 FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
MUTUAL FUNDS — 99.8% | ||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 709,183 | $ | 709,183 | |||||||
GuideStone Global Bond Fund | 135,737 | 1,361,445 | ||||||||
GuideStone Value Equity Fund | 273,414 | 5,826,452 | ||||||||
GuideStone Growth Equity Fund |
| 256,575 |
|
| 5,880,705 |
| ||||
GuideStone Small Cap Equity Fund (Investor Class)¥ | 132,787 | 2,268,008 | ||||||||
GuideStone International Equity Fund (Investor Class)¥ | 511,166 | 7,171,664 | ||||||||
GuideStone Emerging Market Equity Fund | 213,257 | 1,938,503 | ||||||||
GuideStone Real Estate Securities Fund | 85,961 | 881,955 | ||||||||
GuideStone Global Natural Resources Equity Fund | 118,139 | 922,666 | ||||||||
Credit Suisse Commodity Return Strategy Fund* | 134,569 | 808,760 | ||||||||
|
| |||||||||
Total Mutual Funds | 27,769,341 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% | 27,769,341 | |||||||||
Other Assets in Excess of | 43,335 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 27,812,676 | ||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 27,769,341 | $ | 27,769,341 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 27,769,341 | $ | 27,769,341 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 7,102 | $ | 7,102 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | 7,102 | $ | 7,102 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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.
36 | See Notes to Financial Statements. |
Table of Contents
(This page intentionally left blank)
37
Table of Contents
December 31, 2014 |
MyDestination 2005 Fund | MyDestination 2015 Fund | |||||||
Assets | ||||||||
Investments in securities of unaffiliated issuers, at value | $ | 1,575,177 | $ | 8,637,640 | ||||
Investments in securities of affiliated issuers, at value | 90,842,974 | 471,476,549 | ||||||
|
|
|
| |||||
Total investments(1) | 92,418,151 | 480,114,189 | ||||||
Cash collateral for derivatives | 77,200 | 219,000 | ||||||
Receivables: | ||||||||
Dividends | 15 | 59 | ||||||
Receivable from advisor | — | — | ||||||
Investment securities sold | — | — | ||||||
Fund shares sold | 1,806 | 75,365 | ||||||
Variation margin on financial futures contracts | — | 4,158 | ||||||
Prepaid expenses and other assets | 18,426 | 20,644 | ||||||
|
|
|
| |||||
Total Assets | 92,515,598 | 480,433,415 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Fund shares redeemed | 262,204 | — | ||||||
Variation margin on financial futures contracts | 6,075 | 33,006 | ||||||
Accrued expenses: | ||||||||
Investment advisory fees | 6,251 | 41,321 | ||||||
Other expenses | 19,436 | 34,079 | ||||||
|
|
|
| |||||
Total Liabilities | 293,966 | 108,406 | ||||||
|
|
|
| |||||
Net Assets | $ | 92,221,632 | $ | 480,325,009 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in-capital | $ | 89,984,576 | $ | 441,073,203 | ||||
Accumulated net investment income | 2,654 | 11,815 | ||||||
Undistributed net realized gain on investments and derivative transactions | 588,134 | 5,170,777 | ||||||
Net unrealized appreciation (depreciation) on investments and derivative transactions | 1,646,268 | 34,069,214 | ||||||
|
|
|
| |||||
Net Assets | $ | 92,221,632 | $ | 480,325,009 | ||||
|
|
|
| |||||
Net Asset Value: | ||||||||
$0.001 par value, unlimited shares authorized | ||||||||
Net assets applicable to the Investor Class | $ | 92,221,632 | $ | 480,325,009 | ||||
|
|
|
| |||||
Investor shares outstanding | 8,746,464 | 44,300,946 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per Investor share | $ | 10.54 | $ | 10.84 | ||||
|
|
|
|
(1) Investments in securities of unaffiliated issuers, at cost | $ | 1,897,332 | $ | 10,496,400 | ||||
Investments in securities of affiliated issuers, at cost | 88,881,654 | 435,562,409 | ||||||
|
|
|
| |||||
Total investments at cost | $ | 90,778,986 | $ | 446,058,809 | ||||
|
|
|
|
38 | See Notes to Financial Statements. |
Table of Contents
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||||||
$ | 17,370,835 | $ | 10,496,015 | $ | 7,539,154 | $ | 808,760 | |||||||
640,472,326 | 347,952,029 | 245,632,492 | 26,960,581 | |||||||||||
|
|
|
|
|
|
|
| |||||||
657,843,161 | 358,448,044 | 253,171,646 | 27,769,341 | |||||||||||
478,000 | 353,900 | 275,500 | 35,000 | |||||||||||
103 | 67 | 48 | 6 | |||||||||||
— | — | — | 4,907 | |||||||||||
— | — | 79 | — | |||||||||||
529,529 | 107,271 | 104,624 | 24,797 | |||||||||||
5,637 | 2,519 | 988 | — | |||||||||||
19,436 | 20,706 | 17,681 | 13,671 | |||||||||||
|
|
|
|
|
|
|
| |||||||
658,875,866 | 358,932,507 | 253,570,566 | 27,847,722 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,055 | — | 75,902 | 10,618 | |||||||||||
77,335 | 54,975 | 43,116 | 6,075 | |||||||||||
56,584 | 31,011 | 29,050 | — | |||||||||||
45,491 | 34,339 | 27,773 | 18,353 | |||||||||||
|
|
|
|
|
|
|
| |||||||
180,465 | 120,325 | 175,841 | 35,046 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 658,695,401 | $ | 358,812,182 | $ | 253,394,725 | $ | 27,812,676 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 600,719,003 | $ | 321,269,053 | $ | 226,920,624 | $ | 27,129,598 | |||||||
— | — | 7,410 | 1,069 | |||||||||||
10,129,252 | 9,242,973 | 6,552,691 | 981,506 | |||||||||||
47,847,146 | 28,300,156 | 19,914,000 | (299,497 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 658,695,401 | $ | 358,812,182 | $ | 253,394,725 | $ | 27,812,676 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 658,695,401 | $ | 358,812,182 | $ | 253,394,725 | $ | 27,812,676 | |||||||
|
|
|
|
|
|
|
| |||||||
61,805,362 | 34,211,368 | 25,333,316 | 2,207,823 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.66 | $ | 10.49 | $ | 10.00 | $ | 12.60 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 20,898,700 | $ | 12,623,449 | $ | 9,113,900 | $ | 974,480 | |||||||
589,136,017 | 317,545,039 | 224,174,102 | 27,101,460 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 610,034,717 | $ | 330,168,488 | $ | 233,288,002 | $ | 28,075,940 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 39 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2014 |
MyDestination 2005 Fund | MyDestination 2015 Fund | |||||||
Investment Income | ||||||||
Income distributions received from affiliated funds | $ | 1,271,790 | $ | 6,692,562 | ||||
|
|
|
| |||||
Total Investment Income | 1,271,790 | 6,692,562 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory fees | 91,372 | 474,906 | ||||||
Transfer agent fees: | ||||||||
Investor Shares | 20,386 | 25,739 | ||||||
Custodian fees | 8,126 | 23,469 | ||||||
Accounting and administration fees | 8,839 | 28,520 | ||||||
Professional fees | 46,316 | 46,316 | ||||||
Blue sky fees: | ||||||||
Investor Shares | 18,566 | 20,348 | ||||||
Shareholder reporting fees: | ||||||||
Investor Shares | 6,795 | 17,393 | ||||||
Trustee expenses | 933 | 4,859 | ||||||
Line of credit facility fees | 590 | 3,084 | ||||||
Other expenses | 10,050 | 15,402 | ||||||
|
|
|
| |||||
Total Expenses | 211,973 | 660,036 | ||||||
Expenses waived/reimbursed net of amount recaptured(1) | (32,879 | ) | — | |||||
|
|
|
| |||||
Net Expenses | 179,094 | 660,036 | ||||||
|
|
|
| |||||
Net investment income | 1,092,696 | 6,032,526 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Capital gain distributions received from affiliated funds | 1,749,102 | 14,670,678 | ||||||
Net realized gain on investment securities of unaffiliated issuers | 1,087,271 | 4,988,367 | ||||||
Net realized gain on futures transactions | 81,843 | 413,357 | ||||||
|
|
|
| |||||
Net realized gain | 2,918,216 | 20,072,402 | ||||||
|
|
|
| |||||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (1,422,623 | ) | (6,607,568 | ) | ||||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (310,315 | ) | (1,710,739 | ) | ||||
Change in unrealized appreciation (depreciation) on futures | (11,000 | ) | (86,666 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (1,743,938 | ) | (8,404,973 | ) | ||||
|
|
|
| |||||
Net Realized and Unrealized Gain | 1,174,278 | 11,667,429 | ||||||
|
|
|
| |||||
Net Increase in Net Assets Resulting from Operations | $ | 2,266,974 | $ | 17,699,955 | ||||
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
40 | See Notes to Financial Statements. |
Table of Contents
MyDestination | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||||||
$8,300,259 | $ | 4,136,062 | $ | 2,631,285 | $ | 265,673 | ||||||||
|
|
|
|
|
|
|
| |||||||
8,300,259 | 4,136,062 | 2,631,285 | 265,673 | |||||||||||
|
|
|
|
|
|
|
| |||||||
618,927 | 337,365 | 239,673 | 22,304 | |||||||||||
27,977 | 23,116 | 22,660 | 18,241 | |||||||||||
28,691 | 22,521 | 18,535 | 13,047 | |||||||||||
35,722 | 21,277 | 16,304 | 4,447 | |||||||||||
46,316 | 46,316 | 46,316 | 46,317 | |||||||||||
20,164 | 18,864 | 17,837 | 16,697 | |||||||||||
22,292 | 12,472 | 11,391 | 2,717 | |||||||||||
6,228 | 3,357 | 2,394 | 210 | |||||||||||
3,956 | 2,143 | 1,526 | 134 | |||||||||||
25,645 | 19,580 | 14,910 | 10,566 | |||||||||||
|
|
|
|
|
|
|
| |||||||
835,918 | 507,011 | 391,546 | 134,680 | |||||||||||
— | — | 77,156 | (91,150 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
835,918 | 507,011 | 468,702 | 43,530 | |||||||||||
|
|
|
|
|
|
|
| |||||||
7,464,341 | 3,629,051 | 2,162,583 | 222,143 | |||||||||||
|
|
|
|
|
|
|
| |||||||
24,911,176 | 15,164,718 | 11,646,396 | 1,262,028 | |||||||||||
2,749,398 | 1,384,048 | 1,698,794 | 161,069 | |||||||||||
573,944 | 506,649 | 350,591 | 62,896 | |||||||||||
|
|
|
|
|
|
|
| |||||||
28,234,518 | 17,055,415 | 13,695,781 | 1,485,993 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(10,220,030) | (10,549,441 | ) | (9,510,850 | ) | (1,180,585 | ) | ||||||||
(3,437,567) | (2,077,470 | ) | (1,483,231 | ) | (163,193 | ) | ||||||||
(143,792) | (139,630 | ) | (99,166 | ) | (3,760 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(13,801,389) | (12,766,541 | ) | (11,093,247 | ) | (1,347,538 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
14,433,129 | 4,288,874 | 2,602,534 | 138,455 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$21,897,470 | $ | 7,917,925 | $ | 4,765,117 | $ | 360,598 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 41 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
MyDestination 2005 Fund | MyDestination 2015 Fund | |||||||||||||||
For the Year Ended 12/31/14 | For the Year Ended 12/31/13 | For the Year Ended 12/31/14 | For the Year Ended 12/31/13 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 1,092,696 | $ | 737,222 | $ | 6,032,526 | $ | 4,363,754 | ||||||||
Net realized gain on investment securities and futures transactions | 2,918,216 | 6,635,901 | 20,072,402 | 30,185,454 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (1,743,938 | ) | (2,368,726 | ) | (8,404,973 | ) | 4,099,123 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 2,266,974 | 5,004,397 | 17,699,955 | 38,648,331 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | (1,608,633 | ) | (1,430,800 | ) | (9,591,134 | ) | (11,087,547 | ) | ||||||||
Distributions from net realized capital gains | (2,064,197 | ) | — | (14,318,200 | ) | (502,477 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (3,672,830 | ) | (1,430,800 | ) | (23,909,334 | ) | (11,590,024 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from Investor shares sold | 26,180,994 | 25,244,242 | 76,410,888 | 84,263,438 | ||||||||||||
Reinvestment of dividends and distributions into Investor shares | 3,672,256 | 1,430,198 | 23,902,599 | 11,589,750 | ||||||||||||
Value of Investor shares redeemed | (21,042,438 | ) | (26,013,585 | ) | (54,260,161 | ) | (35,006,811 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from capital share transactions(2) | 8,810,812 | 660,855 | 46,053,326 | 60,846,377 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 7,404,956 | 4,234,452 | 39,843,947 | 87,904,684 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Year | 84,816,676 | 80,582,224 | 440,481,062 | 352,576,378 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year* | $ | 92,221,632 | $ | 84,816,676 | $ | 480,325,009 | $ | 440,481,062 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Including undistributed net investment income | $ | 2,654 | $ | 83,785 | $ | 11,815 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(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. |
42 | See Notes to Financial Statements. |
Table of Contents
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||||||||||||||||||||||
For the Year Ended 12/31/14 | For the Year Ended 12/31/13 | For the Year Ended 12/31/14 | For the Year Ended 12/31/13 | For the Year Ended 12/31/14 | For the Year Ended 12/31/13 | For the Year Ended 12/31/14 | For the Year Ended 12/31/13 | |||||||||||||||||||||||
$ | 7,464,341 | $ | 5,440,061 | $ | 3,629,051 | $ | 2,496,038 | $ | 2,162,583 | $ | 1,602,964 | $ | 222,143 | $ | 113,731 | |||||||||||||||
28,234,518 | 32,924,021 | 17,055,415 | 20,635,090 | 13,695,781 | 21,473,432 | 1,485,993 | 1,415,762 | |||||||||||||||||||||||
(13,801,389 | ) | 25,057,082 | (12,766,541 | ) | 22,713,146 | (11,093,247 | ) | 12,875,542 | (1,347,538 | ) | 717,247 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
21,897,470 | 63,421,164 | 7,917,925 | 45,844,274 | 4,765,117 | 35,951,938 | 360,598 | 2,246,740 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(13,308,504 | ) | (13,457,157 | ) | (6,498,605 | ) | (5,775,453 | ) | (4,349,803 | ) | (4,223,953 | ) | (460,778 | ) | (317,866 | ) | |||||||||||||||
(19,891,012 | ) | (12,131,890 | ) | (12,938,463 | ) | (10,105,288 | ) | (10,268,393 | ) | (12,839,584 | ) | (894,166 | ) | (708,786 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(33,199,516 | ) | (25,589,047 | ) | (19,437,068 | ) | (15,880,741 | ) | (14,618,196 | ) | (17,063,537 | ) | (1,354,944 | ) | (1,026,652 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
117,034,212 | 122,536,784 | 69,056,168 | 64,052,474 | 45,733,966 | 45,024,377 | 14,017,411 | 9,768,081 | |||||||||||||||||||||||
33,198,784 | 25,589,047 | 19,437,068 | 15,880,741 | 14,618,196 | 17,063,537 | 1,354,944 | 1,026,652 | |||||||||||||||||||||||
(25,887,589 | ) | (15,543,835 | ) | (10,035,436 | ) | (6,265,695 | ) | (9,205,978 | ) | (4,070,598 | ) | (2,947,845 | ) | (1,948,729 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
124,345,407 | 132,581,996 | 78,457,800 | 73,667,520 | 51,146,184 | 58,017,316 | 12,424,510 | 8,846,004 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
113,043,361 | 170,414,113 | 66,938,657 | 103,631,053 | 41,293,105 | 76,905,717 | 11,430,164 | 10,066,092 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
545,652,040 | 375,237,927 | 291,873,525 | 188,242,472 | 212,101,620 | 135,195,903 | 16,382,512 | 6,316,420 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 658,695,401 | $ | 545,652,040 | $ | 358,812,182 | $ | 291,873,525 | $ | 253,394,725 | $ | 212,101,620 | $ | 27,812,676 | $ | 16,382,512 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 7,410 | $ | — | $ | 1,069 | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 43 |
Table of Contents
FINANCIAL HIGHLIGHTS
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 (Loss) on | 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)(4) | Expenses, Gross(3)(5) | Investment (1)(4) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
MyDestination 2005 Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ 10.70 | $0.13 | # | $0.21 | $(0.06 | ) | $(0.19 | ) | $ (0.25 | ) | $10.54 | 2.54 | % | $92,222 | 0.20 | % | 0.24 | % | 1.22 | % | 9 | % | ||||||||||||||||||||||||||||||
2013 | 10.25 | 0.09 | # | 0.25 | 0.29 | (0.18 | ) | — | 10.70 | 6.18 | 84,817 | 0.20 | 0.25 | 0.87 | 27 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
MyDestination 2015 Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ 10.97 | $0.15 | # | $0.35 | $(0.07 | ) | $(0.22 | ) | $ (0.34 | ) | $10.84 | 3.92 | % | $480,325 | 0.14 | % | 0.14 | % | 1.29 | % | 6 | % | ||||||||||||||||||||||||||||||
2013 | 10.21 | 0.12 | # | 0.44 | 0.49 | (0.28 | ) | (0.01 | ) | 10.97 | 10.35 | 440,481 | 0.14 | 0.14 | 1.10 | 15 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
MyDestination 2025 Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $10.80 | $0.14 | # | $0.46 | $(0.18 | ) | $(0.22 | ) | $ (0.34 | ) | $10.66 | 3.88 | % | $658,695 | 0.14 | % | 0.14 | % | 1.23 | % | 3 | % | ||||||||||||||||||||||||||||||
2013 | 9.84 | 0.13 | # | 0.57 | 0.78 | (0.27 | ) | (0.25 | ) | 10.80 | 15.15 | 545,652 | 0.14 | 0.14 | 1.19 | 16 | ||||||||||||||||||||||||||||||||||||
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 |
# | 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 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 higher (lower), respectively, than the ratio shown. |
(5) | 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. |
44 | See Notes to Financial Statements. |
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 tions | Realized (Loss) on | 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, (3)(4) | Expenses, (3)(5) | Investment (1)(4) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
MyDestination 2035 Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 10.79 | $ | 0.12 | # | $ | 0.51 | $ | (0.34 | ) | $ | (0.19 | ) | $ | (0.40 | ) | $ | 10.49 | 2.70 | % | $ | 358,812 | 0.15 | % | 0.15 | % | 1.10 | % | 5 | % | ||||||||||||||||||||||
2013 | 9.40 | 0.11 | # | 0.64 | 1.26 | (0.22 | ) | (0.40 | ) | 10.79 | 21.41 | 291,874 | 0.19 | 0.16 | 1.05 | 17 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
MyDestination 2045 Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 10.37 | $ | 0.10 | # | $ | 0.53 | $ | (0.40 | ) | $ | (0.17 | ) | $ | (0.43 | ) | $ | 10.00 | 2.23 | % | $ | 253,395 | 0.20 | % | 0.17 | % | 0.92 | % | 4 | % | ||||||||||||||||||||||
2013 | 9.14 | 0.10 | # | 0.68 | 1.35 | (0.21 | ) | (0.69 | ) | 10.37 | 23.44 | 212,102 | 0.20 | 0.18 | 0.94 | 18 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
MyDestination 2055 Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 12.95 | $ | 0.14 | # | $ | 0.77 | $ | (0.62 | ) | $ | (0.21 | ) | $ | (0.43 | ) | $ | 12.60 | 2.25 | % | $ | 27,813 | 0.20 | % | 0.62 | % | 1.02 | % | 5 | % | ||||||||||||||||||||||
2013 | 11.20 | 0.13 | # | 1.02 | 1.47 | (0.26 | ) | (0.61 | ) | 12.95 | 23.44 | 16,383 | 0.20 | 1.01 | 1.05 | 30 | ||||||||||||||||||||||||||||||||||||
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 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 higher (lower), respectively, than the ratio shown. |
(5) | 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. |
See Notes to Financial Statements. | 45 |
Table of Contents
ASSET ALLOCATION FUNDS (Unaudited)
The capital markets in 2014 presented a range of challenges and opportunities for investors. U.S. equities saw substantial gains across the capitalization spectrum as the broad market index, as measured by the Russell 3000® Index, advanced 12.56% through the year. The U.S. equity market experienced a material dispersion across sector returns. The healthcare sector proved to be the most favored, outperforming all other sectors for the year. However, it provided a stark contrast to the energy sector which fell 9.86% on the back of a material decline in oil prices. Supporting the overall equity rally was a backdrop of accommodative monetary policy, strong corporate earnings and overall improvement in the employment data.
International equity markets faced challenges in 2014 and finished the year in negative territory. The MSCI EAFE Index (Net), a measure of international developed country returns, declined 4.90% over the one-year period. Overall slack in global demand was apparent across many major economic metrics. In addition to this weakness, mounting geopolitical issues contributed to market uncertainty. This was most notably apparent in countries such as Russia and Syria. Also contributing to performance weakness was the continued strengthening of the U.S. dollar versus global currencies. The only region to post a positive return was Africa/Middle East while Europe and Japan were the largest detractors. From a sector perspective, a more defensive characteristics profile was favored through the year. Following this theme, sectors such as healthcare and utilities were the best performing sectors of the year. Conversely, the higher cyclicality within the energy sector contributed to its relative underperformance.
In response to the current market environment, interest rates continued to decline through 2014. In general, bond markets produced positive returns which averaged 5.97% for the year, as measured by the Barclays U.S. Aggregate Bond Index, which is a proxy for the broad domestic bond market. The decline in interest rates most benefitted the long duration Treasury and government related segment of the market. From a credit perspective, lower quality investment grade securities outperformed the broad market as credit spreads tightened along this quality tier.
In 2014, the Asset Allocation Funds utilized equity and U.S treasury futures contracts to provide market exposure to cash held within the Funds. This allows the Funds to stay more fully invested and to minimize cash drag. In aggregate, the use of futures contracts contributed positively to the performance of the Asset Allocation Funds in 2014.
46
Table of Contents
Conservative Allocation Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to fixed income securities with a smaller percentage to equity securities and real asset securities. The Fund had a target of, but was not limited to, an asset allocation of 55.00% Fixed Income Select Funds, 18.60% U.S. Equity Select Funds, 6.40% Non-U.S. Equity Select Funds, and 20.00% Real Assets Select Funds.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a return of 1.40% for the one-year period ended December 31, 2014, benefiting from positive absolute performance of certain underlying Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the Defensive Market Strategies Fund, followed by exposure to the Value Equity Fund and the Growth Equity Fund. The Fund’s fixed income allocation added to investment returns, as all underlying Fixed Income Select Funds contributed positively. Detracting from absolute performance was the allocation to the International Equity Fund, which trailed primarily due to the impact of an appreciating U.S. Dollar to U.S. based investors. Additionally, exposure to real assets detracted from absolute performance as the Global Natural Resources Equity Fund fell materially.
The Fund underperformed its composite benchmark in 2014 (1.40% versus 2.24%). While the Defensive Market Strategies Fund was the largest contributor to the Fund’s absolute return, it also served as the leading driver to the Fund’s relative performance during the year. Lastly, allocations to the Growth Equity Fund, Value Equity Fund, and Global Natural Resources Equity Fund had a material impact on relative underperformance over the period.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. The Fund may be suitable for investors who have a short- to medium-time investment horizon, possess a relatively low tolerance for risk and want some exposure to the growth potential of the stock market tempered by a larger allocation to short-term, fixed income securities. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Fixed Income Select Funds | 55.8 | |||
Real Return Select Funds | 19.5 | |||
U.S. Equity Select Funds | 18.5 | |||
Non-U.S. Equity Select Funds | 6.1 | |||
|
| |||
99.9 | ||||
|
|
47
Table of Contents
Conservative Allocation Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Investor Class* | Benchmark** | |||
One Year | 1.40% | 2.24% | ||
Five Year | 4.17% | 4.37% | ||
Ten Year | 3.77% | 4.19% | ||
Inception Date | 08/27/01 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.93% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of the Bank of America Merrill Lynch 1-3 Year Treasury Index, the Barclays U.S. Aggregate Bond Index, the Barclays U.S. TIPS Index, the Russell 3000® Index, the FTSE EPRA/ NAREIT Developed Index, the S&P/LSTA U.S. BB- Ratings and Above Loan Index, the MSCI World Commodity Producers Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 41%, 14%, 10%, 19%, 1%, 5%, 4% and 6%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
48
Table of Contents
CONSERVATIVE ALLOCATION FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||
GuideStone Money Market Fund (Investor | 3,302,579 | $ | 3,302,579 | |||||||
GuideStone Low-Duration Bond Fund (Investor | 9,625,506 | 128,115,480 | ||||||||
GuideStone Medium-Duration Bond Fund (Investor | 2,302,682 | 33,734,297 | ||||||||
GuideStone Global Bond Fund (Investor Class)¥ | 843,932 | 8,464,633 | ||||||||
GuideStone Defensive Market Strategies Fund (Investor Class)¥ | 2,407,855 | 27,931,117 | ||||||||
GuideStone Value Equity Fund (Investor Class)¥ | 629,569 | 13,416,106 | ||||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 583,319 | 13,369,667 | ||||||||
GuideStone Small Cap Equity Fund (Investor Class)¥ | 177,112 | 3,025,072 | ||||||||
GuideStone International Equity Fund (Investor Class)¥ | 1,079,613 | 15,146,967 |
Shares | Value | |||||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 432,611 | $ | 3,932,432 | |||||||
GuideStone Inflation Protected Bond Fund (Investor Class)¥ | 3,050,796 | 31,179,137 | ||||||||
GuideStone Flexible Income Fund (Investor Class)¥ | 1,583,361 | 15,453,603 | ||||||||
GuideStone Real Estate Securities Fund (Investor Class)¥ | 311,574 | 3,196,748 | ||||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 1,406,175 | 10,982,229 | ||||||||
|
| |||||||||
Total Mutual Funds | 311,250,067 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% |
| 311,250,067 | ||||||||
Other Assets in Excess of | 187,566 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 311,437,633 | ||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 311,250,067 | $ | 311,250,067 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 311,250,067 | $ | 311,250,067 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 5,116 | $ | 5,116 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | 5,116 | $ | 5,116 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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. | 49 |
Table of Contents
Balanced Allocation Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined approximately equal percentages to equity securities and fixed income securities in addition to a smaller allocation to real asset securities. The Fund had a target of, but was not limited to, an asset allocation of 41.00% Fixed Income Select Funds, 27.88% U.S. Equity Select Funds, 13.12% Non-U.S. Equity Select Funds, and 18.00% Real Assets Select Funds.
As a fund of funds, its performance is based on the performance of the underlying Select Funds. The Fund generated a return of 3.53% for the one-year period ending December 31, 2014, benefiting from positive absolute performance of the underlying U.S. Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the Defensive Market Strategies Fund, followed by exposure to the Value Equity Fund and Growth Equity Fund. The Fund’s fixed income allocation added to investment returns as all underlying Fixed Income Select Funds contributed positively. Detracting from absolute performance was the allocation to the International Equity Fund, which trailed primarily due to the impact of an appreciating U.S. Dollar to U.S. based investors. Additionally, exposure to real assets detracted from absolute performance, as the Global Natural Resources Equity Fund fell materially.
The Fund underperformed its composite benchmark in 2014 (3.53% versus 5.41%), which was primarily driven by its allocation to the Equity Select Funds. Within this asset class, the Growth Equity Fund, the Value Equity Fund and the International Equity Fund had a material impact on relative underperformance over the period. While the Defensive Market Strategies Fund was the largest contributor to the Fund’s absolute return, it also served as the leading driver in the Fund’s relative performance during the year.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This 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 stocks but want to achieve this result more slowly and with less volatility through a balanced allocation of fixed-income and equity investments.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Fixed Income Select Funds | 42.6 | |||
U.S. Equity Select Funds | 27.9 | |||
Real Return Select Funds | 17.0 | |||
Non-U.S. Equity Select Funds | 12.4 | |||
|
| |||
99.9 | ||||
|
|
50
Table of Contents
Balanced Allocation Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Investor Class* | Benchmark** | |||
One Year | 3.53% | 5.41% | ||
Five Year | 7.56% | 8.20% | ||
Ten Year | 5.36% | 6.04% | ||
Inception Date | 08/27/01 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.08% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of the Barclays U.S. Aggregate Bond Index, the Barclays U.S. TIPS Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, the S&P/LSTA U.S. BB- Ratings and Above Loan Index, the MSCI World Commodity Producers Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 41%, 6%, 28%, 3%, 3%, 6% and 13%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
51
Table of Contents
BALANCED ALLOCATION FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market Fund (Investor Class)¥ | 31,194,352 | $ | 31,194,352 | |||||
GuideStone Low-Duration Bond Fund | 11,672,329 | 155,358,696 | ||||||
GuideStone Medium-Duration Bond Fund (Investor Class)¥ | 14,290,164 | 209,350,903 | ||||||
GuideStone Extended-Duration Bond Fund (Investor Class)¥ | 2,900,982 | 53,087,969 | ||||||
GuideStone Global Bond Fund (Investor Class)¥ | 10,227,902 | 102,585,859 | ||||||
GuideStone Defensive Market Strategies Fund (Investor Class)¥ | 8,953,874 | 103,864,940 | ||||||
GuideStone Value Equity Fund (Investor Class)¥ | 5,397,680 | 115,024,563 | ||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 5,008,304 | 114,790,336 | ||||||
GuideStone Small Cap Equity Fund | 1,534,952 | 26,216,986 | ||||||
GuideStone International Equity Fund | 9,044,715 | 126,897,358 |
Shares | Value | |||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 3,638,229 | $ | 33,071,501 | |||||
GuideStone Inflation Protected Bond Fund (Investor Class)¥ | 7,205,191 | 73,637,055 | ||||||
GuideStone Flexible Income Fund (Investor Class)¥ | 3,935,719 | 38,412,620 | ||||||
GuideStone Real Estate Securities Fund | 3,564,691 | 36,573,726 | ||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 9,090,443 | 70,996,359 | ||||||
|
| |||||||
Total Mutual Funds | 1,291,063,223 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% |
| 1,291,063,223 | ||||||
Other Assets in Excess of Liabilities — 0.1% | 796,056 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,291,859,279 | ||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 1,291,063,223 | $ | 1,291,063,223 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 1,291,063,223 | $ | 1,291,063,223 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 153,131 | $ | 153,131 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | 153,131 | $ | 153,131 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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.
52 | See Notes to Financial Statements. |
Table of Contents
Growth Allocation Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to equity securities with a smaller percentage to fixed income securities and real asset securities. The Fund had a target of, but was not limited to, an asset allocation of 25.00% Fixed Income Select Funds, 39.00% U.S. Equity Select Funds, 26.00% Non-U.S. Equity Select Funds, and 10.00% Real Assets Select Funds.
As a fund of funds, its performance is based on the performance of the underlying Select Funds. The Fund generated a return of 2.93% for the one-year period ended December 31, 2014, largely attributable to positive absolute performance of the underlying Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the Value Equity Fund. The Growth Equity Fund also provided material benefit over the period. The Fund’s fixed income allocation added to investment returns as all underlying Fixed Income Select Funds contributed positively. Detracting from absolute performance was the allocation to the International Equity Fund, which trailed primarily due to the impact of an appreciating U.S. Dollar to U.S. based investors.
The Fund underperformed its composite benchmark in 2014 (2.93% versus 5.24%). The Fund’s relative performance was negatively impacted by allocations to the Growth Equity Fund, the Value Equity Fund and the International Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a long-term investment horizon, possess a relatively high tolerance for risk and seek to participate in the return potential of stocks at a slightly lower risk level than an all stock portfolio. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Equity Select Funds | 38.8 | |||
Fixed Income Select Funds | 26.9 | |||
Non-U.S. Equity Select Funds | 24.7 | |||
Real Return Select Funds | 9.5 | |||
|
| |||
99.9 | ||||
|
|
53
Table of Contents
Growth Allocation Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Investor Class* | Benchmark** | |||
One Year | 2.93% | 5.24% | ||
Five Year | 9.21% | 9.69% | ||
Ten Year | 5.53% | 6.33% | ||
Inception Date | 08/27/01 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.21% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of the Barclays U.S. Aggregate Bond Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, the MSCI World Commodity Producers Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 25%, 40%, 4%, 6% and 25%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
54
Table of Contents
GROWTH ALLOCATION FUND | ||||
SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||||
GuideStone Money Market | 22,955,888 | $ | 22,955,888 | |||||||||
GuideStone Low-Duration Bond Fund | 5,193,331 | 69,123,237 | ||||||||||
GuideStone Medium-Duration Bond Fund (Investor Class)¥ | 6,390,694 | 93,623,667 | ||||||||||
GuideStone Extended-Duration Bond Fund (Investor Class)¥ | 1,309,817 | 23,969,654 | ||||||||||
GuideStone Global Bond Fund (Investor Class)¥ | 4,605,909 | 46,197,272 | ||||||||||
GuideStone Value Equity Fund (Investor Class)¥ | 7,779,982 | 165,791,412 | ||||||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 7,222,677 | 165,543,750 | ||||||||||
GuideStone Small Cap Equity Fund | 2,205,062 | 37,662,459 |
Shares | Value | |||||||||||
GuideStone International Equity Fund | 13,356,424 | $ | 187,390,627 | |||||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 5,296,353 | 48,143,848 | ||||||||||
GuideStone Real Estate Securities Fund (Investor Class)¥ | 3,306,673 | 33,926,470 | ||||||||||
GuideStone Global Natural Resources Equity Fund | 7,284,650 | 56,893,117 | ||||||||||
|
| |||||||||||
Total Mutual Funds | 951,221,401 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS— 99.9% |
| 951,221,401 | ||||||||||
|
| |||||||||||
Other Assets in Excess of Liabilities — 0.1% | 881,211 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 952,102,612 | ||||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 951,221,401 | $ | 951,221,401 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 951,221,401 | $ | 951,221,401 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 82,988 | $ | 82,988 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | 82,988 | $ | 82,988 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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. | 55 |
Table of Contents
Aggressive Allocation Fund (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to U.S. equity securities with a smaller percentage to non-U.S. equity securities. The Fund had a target of, but was not limited to, an asset allocation of 60.00% U.S. Equity Select Funds and 40.00% Non-U.S. Select Funds.
As a fund of funds, its performance was based on the performance of the underlying Equity Select Funds. The Fund generated a return of 3.38% for the one-year period ended December 31, 2014, as absolute performance was largely attributable to exposure to the Value Equity Fund and Growth Equity Fund. Detracting from absolute performance was the allocation to the International Equity Fund, which trailed primarily due to the impact of an appreciating U.S. Dollar to U.S. based investors.
The Fund underperformed its composite benchmark in 2014 (3.38% versus 5.75%). The Fund’s relative performance was negatively impacted by allocations to the Growth Equity Fund, the Value Equity Fund and the International Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a long-term investment horizon, possess a relatively high tolerance for risk and want to diversify by adding an aggressive investment option that combines U.S. and international stocks. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Equity Select Funds | 59.5 | |||
Non-U.S. Equity Select Funds | 38.2 | |||
Fixed Income Select Fund | 2.2 | |||
|
| |||
99.9 | ||||
|
|
56
Table of Contents
Aggressive Allocation Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Investor Class* | Benchmark** | |||
One Year | 3.38% | 5.75% | ||
Five Year | 11.01% | 11.45% | ||
Ten Year | 5.64% | 6.65% | ||
Inception Date | 08/27/01 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.35% |
(1)The Fund’s shareholders indirectly bear the expenses of the Investor Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of the Russell 3000® Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 60.00% and 40.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
57
Table of Contents
AGGRESSIVE ALLOCATION FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 19,468,875 | $ | 19,468,875 | |||||||
GuideStone Value Equity Fund (Investor Class)¥ | 10,905,641 | 232,399,206 | ||||||||
GuideStone Growth Equity Fund (Investor Class)¥ | 10,108,940 | 231,696,900 | ||||||||
GuideStone Small Cap Equity Fund (Investor Class)¥ | 3,139,718 | 53,626,378 | ||||||||
GuideStone International Equity Fund (Investor Class)¥ | 18,805,746 | 263,844,623 | ||||||||
GuideStone Emerging Market Equity Fund (Investor Class)¥ | 7,479,387 | 67,987,625 | ||||||||
|
| |||||||||
Total Mutual Funds | 869,023,607 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% |
| 869,023,607 | ||||||||
Other Assets in Excess of | 702,175 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 869,725,782 | ||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 869,023,607 | $ | 869,023,607 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 869,023,607 | $ | 869,023,607 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 59,785 | $ | 59,785 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | 59,785 | $ | 59,785 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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.
58 | See Notes to Financial Statements. |
Table of Contents
(This page intentionally left blank)
59
Table of Contents
December 31, 2014 |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated issuers, at value (1) | $ | 311,250,067 | $ | 1,291,063,223 | $ | 951,221,401 | $ | 869,023,607 | ||||||||
Cash | 7 | — | 2 | 2 | ||||||||||||
Cash collateral for derivatives | 78,200 | 846,600 | 832,000 | 926,000 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends from affiliated funds | 32 | 262 | 219 | 181 | ||||||||||||
Investment securities sold | — | — | — | 132 | ||||||||||||
Fund shares sold | 162,507 | 277,107 | 302,945 | 71,868 | ||||||||||||
Variation margin on financial futures contracts | 525 | 20,671 | 9,854 | 1,815 | ||||||||||||
Prepaid expenses and other assets | 11,614 | 14,071 | 10,215 | 9,807 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 311,502,952 | 1,292,221,934 | 952,376,636 | 870,033,412 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Cash overdraft | — | 97 | — | — | ||||||||||||
Payables: | ||||||||||||||||
Fund shares redeemed | 7,125 | 70,661 | — | 19,339 | ||||||||||||
Variation margin on financial futures contracts | 7,681 | 131,240 | 154,135 | 180,140 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | 15,037 | 98,582 | 71,975 | 66,700 | ||||||||||||
Professional fees | 7,988 | 7,987 | 7,987 | 7,988 | ||||||||||||
Other expenses | 27,488 | 54,088 | 39,927 | 33,463 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 65,319 | 362,655 | 274,024 | 307,630 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 311,437,633 | $ | 1,291,859,279 | $ | 952,102,612 | $ | 869,725,782 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 300,248,889 | $ | 1,158,130,975 | $ | 844,466,202 | $ | 724,819,154 | ||||||||
Accumulated net investment income | 695 | 31,791 | 7,199 | — | ||||||||||||
Undistributed net realized gain on investments and derivative transactions | 4,104,196 | 19,280,519 | 27,575,840 | 39,734,066 | ||||||||||||
Net unrealized appreciation (depreciation) on investments and derivative transactions | 7,083,853 | 114,415,994 | 80,053,371 | 105,172,562 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 311,437,633 | $ | 1,291,859,279 | $ | 952,102,612 | $ | 869,725,782 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the Investor Class | $ | 311,437,633 | $ | 1,291,859,279 | $ | 952,102,612 | $ | 869,725,782 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor shares outstanding | 26,873,592 | 100,249,551 | 70,885,840 | 61,861,903 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per Investor share | $ | 11.59 | $ | 12.89 | $ | 13.43 | $ | 14.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 304,171,330 | $ | 1,176,800,360 | $ | 871,251,018 | $ | 763,910,830 | ||||||||
|
|
|
|
|
|
|
|
60 | See Notes to Financial Statements. |
Table of Contents
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2014 |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
Investment Income | ||||||||||||||||
Income distributions received from affiliated funds | $ | 4,107,881 | $ | 19,712,351 | $ | 11,499,637 | $ | 7,969,202 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 4,107,881 | 19,712,351 | 11,499,637 | 7,969,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 323,864 | 1,338,875 | 989,174 | 895,088 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
Investor shares | 33,819 | 65,112 | 43,144 | 36,753 | ||||||||||||
Custodian fees | 18,420 | 37,457 | 32,541 | 25,695 | ||||||||||||
Accounting and administration fees | 21,266 | 72,496 | 54,734 | 49,567 | ||||||||||||
Professional fees | 46,317 | 46,316 | 46,316 | 46,317 | ||||||||||||
Blue sky fees: | ||||||||||||||||
Investor shares | 25,632 | 23,791 | 20,779 | 19,530 | ||||||||||||
Shareholder reporting fees: | ||||||||||||||||
Investor shares | 31,715 | 64,847 | 43,631 | 36,716 | ||||||||||||
Trustee expenses | 3,351 | 13,762 | 10,167 | 9,159 | ||||||||||||
Line of credit facility fees | 2,131 | 8,759 | 6,473 | 5,839 | ||||||||||||
Other expenses | 8,551 | 7,537 | 9,382 | 11,109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 515,066 | 1,678,952 | 1,256,341 | 1,135,773 | ||||||||||||
Expenses waived/reimbursed(1) | (131,974 | ) | (107,068 | ) | (95,613 | ) | (85,002 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 383,092 | 1,571,884 | 1,160,728 | 1,050,771 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 3,724,789 | 18,140,467 | 10,338,909 | 6,918,431 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 5,081,760 | 34,829,230 | 36,315,696 | 46,420,097 | ||||||||||||
Net realized gain on investment securities of affiliated issuers | 5,290,440 | 12,353,721 | 16,945,209 | 20,894,804 | ||||||||||||
Net realized gain on futures transactions | 127,329 | 1,818,821 | 1,692,771 | 1,406,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | 10,499,529 | 49,001,772 | 54,953,676 | 68,721,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (9,676,174 | ) | (21,745,331 | ) | (36,496,540 | ) | (46,280,815 | ) | ||||||||
Change in unrealized appreciation (depreciation) on futures | (33,075 | ) | (240,012 | ) | (472,413 | ) | (696,269 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | (9,709,249 | ) | (21,985,343 | ) | (36,968,953 | ) | (46,977,084 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain | 790,280 | 27,016,429 | 17,984,723 | 21,744,085 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 4,515,069 | $ | 45,156,896 | $ | 28,323,632 | $ | 28,662,516 | ||||||||
|
|
|
|
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements. | 61 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund | Balanced Allocation Fund | |||||||||||||||
For the Year Ended | For the Year Ended | |||||||||||||||
12/31/14 | 12/31/13 | 12/31/14 | 12/31/13 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 3,724,789 | $ | 2,732,261 | $ | 18,140,467 | $ | 15,446,235 | ||||||||
Net realized gain on investment securities and futures transactions | 10,499,529 | 21,019,598 | 49,001,772 | 78,636,889 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (9,709,249 | ) | (12,258,840 | ) | (21,985,343 | ) | 25,436,869 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 4,515,069 | 11,493,019 | 45,156,896 | 119,519,993 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | (5,082,503 | ) | (4,587,228 | ) | (26,663,373 | ) | (26,717,331 | ) | ||||||||
Distributions from net realized capital gains | (5,814,296 | ) | (17,676,838 | ) | (42,105,899 | ) | (54,188,791 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (10,896,799 | ) | (22,264,066 | ) | (68,769,272 | ) | (80,906,122 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from Investor shares sold | 37,399,207 | 44,406,970 | 59,860,682 | 81,882,324 | ||||||||||||
Reinvestment of dividends and distributions into Investor shares | 10,890,939 | 22,243,595 | 68,739,088 | 80,865,441 | ||||||||||||
Value of Investor shares redeemed | (49,683,717 | ) | (63,987,436 | ) | (101,656,659 | ) | (117,701,721 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(2) | (1,393,571 | ) | 2,663,129 | 26,943,111 | 45,046,044 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (7,775,301 | ) | (8,107,918 | ) | 3,330,735 | 83,659,915 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Year | 319,212,934 | 327,320,852 | 1,288,528,544 | 1,204,868,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year* | $ | 311,437,633 | $ | 319,212,934 | $ | 1,291,859,279 | $ | 1,288,528,544 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Including undistributed net investment income | $ | 695 | $ | — | $ | 31,791 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(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. |
62 | See Notes to Financial Statements. |
Table of Contents
Growth Allocation Fund | Aggressive Allocation Fund | |||||||||||||
For the Year Ended | For the Year Ended | |||||||||||||
12/31/14 | 12/31/13 | 12/31/14 | 12/31/13 | |||||||||||
$ | 10,338,909 | $ | 9,316,274 | $ | 6,918,431 | $ | 6,114,532 | |||||||
|
54,953,676 |
| 95,016,447 | 68,721,169 | 69,027,097 | |||||||||
|
(36,968,953 |
) | 48,875,218 | (46,977,084 | ) | 118,241,629 | ||||||||
|
|
|
|
|
|
|
| |||||||
28,323,632 | 153,207,939 | 28,662,516 | 193,383,258 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(17,351,172 | ) | (18,512,739 | ) | (13,898,214 | ) | (16,817,289 | ) | |||||||
(48,439,446 | ) | (72,279,436 | ) | (59,010,154 | ) | (41,616,328 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(65,790,618 | ) | (90,792,175 | ) | (72,908,368 | ) | (58,433,617 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
36,300,427 | 43,881,701 | 24,675,504 | 30,036,829 | |||||||||||
65,783,344 | 90,787,186 | 72,902,702 | 58,430,316 | |||||||||||
(76,415,769 | ) | (86,415,713 | ) | (63,169,720 | ) | (70,518,946 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
25,668,002 | 48,253,174 | 34,408,486 | 17,948,199 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(11,798,984 | ) | 110,668,938 | (9,837,366 | ) | 152,897,840 | |||||||||
|
|
|
|
|
|
|
| |||||||
963,901,596 | 853,232,658 | 879,563,148 | 726,665,308 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 952,102,612 | $ | 963,901,596 | $ | 869,725,782 | $ | 879,563,148 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 7,199 | $ | — | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 63 |
Table of Contents
FINANCIAL HIGHLIGHTS
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 tions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distribu- tions from Net Realized Capital Gains | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(3)(4) | Expenses, Gross (3)(5) | Investment Income, Net (1)(4) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
Conservative Allocation Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 11.84 | $ | 0.14 | # | $ | 0.19 | $ | (0.17 | ) | $ | (0.19 | ) | $ | (0.22 | ) | $ | 11.59 | 1.40 | % | $ | 311,438 | 0.12 | % | 0.16 | % | 1.17 | % | 20 | % | ||||||||||||||||||||||
2013 | 12.27 | 0.11 | # | 0.21 | 0.12 | (0.17 | ) | (0.70 | ) | 11.84 | 3.67 | 319,213 | 0.12 | 0.16 | 0.85 | 12 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Balanced Allocation Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 13.14 | $ | 0.19 | # | $ | 0.36 | $ | (0.09 | ) | $ | (0.27 | ) | $ | (0.44 | ) | $ | 12.89 | 3.53 | % | $ | 1,291,859 | 0.12 | % | 0.13 | % | 1.38 | % | 3 | % | ||||||||||||||||||||||
2013 | 12.73 | 0.16 | # | 0.44 | 0.68 | (0.28 | ) | (0.59 | ) | 13.14 | 10.08 | 1,288,529 | 0.12 | 0.13 | 1.23 | 27 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Growth Allocation Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | �� | $ | 14.00 | $ | 0.15 | # | $ | 0.54 | $ | (0.28 | ) | $ | (0.25 | ) | $ | (0.73 | ) | $ | 13.43 | 2.93 | % | $ | 952,103 | 0.12 | % | 0.13 | % | 1.07 | % | 4 | % | |||||||||||||||||||||
2013 | 13.04 | 0.15 | # | 0.67 | 1.57 | (0.27 | ) | (1.16 | ) | 14.00 | 18.49 | 963,902 | 0.12 | 0.13 | 1.03 | 22 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Aggressive Allocation Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 14.82 | $ | 0.12 | # | $ | 0.80 | $ | (0.41 | ) | $ | (0.23 | ) | $ | (1.04 | ) | $ | 14.06 | 3.38 | % | $ | 869,726 | 0.12 | % | 0.13 | % | 0.79 | % | 4 | % | ||||||||||||||||||||||
2013 | 12.46 | 0.11 | # | 0.90 | 2.39 | (0.29 | ) | (0.75 | ) | 14.82 | 27.41 | 879,563 | 0.12 | 0.13 | 0.77 | 12 | ||||||||||||||||||||||||||||||||||||
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 |
† | 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 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 higher (lower), respectively, than the ratio shown. |
(5) | 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. |
64 | See Notes to Financial Statements. |
Table of Contents
Conservative Allocation Fund I (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to fixed income securities with a smaller percentage to equity securities and real asset securities. The Fund had a target of, but was not limited to, an asset allocation of 55.00% Fixed Income Select Funds, 18.60% U.S. Equity Select Funds, 6.400% Non-U.S. Equity Select Funds, and 20.00% Real Assets Select Funds.
As a fund of funds, its performance was based on the performance of the underlying Select Funds. The Fund generated a return of 1.48% for the one-year period ended December 31, 2014, benefiting from positive absolute performance of certain underlying Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the Defensive Market Strategies Fund, followed by exposure to the Value Equity Fund and the Growth Equity Fund. The Fund’s fixed income allocation added to investment returns, as all underlying Fixed Income Select Funds contributed positively. Detracting from absolute performance was the allocation to the International Equity Fund, which trailed primarily due to the impact of an appreciating U.S. Dollar to U.S. based investors. Additionally, exposure to real assets detracted from absolute performance as the Global Natural Resources Equity Fund fell materially.
The Fund underperformed its composite benchmark in 2014 (1.48% versus 2.24%). While the Defensive Market Strategies Fund was the largest contributor to the Fund’s absolute return, it also served as the leading driver to the Fund’s relative performance during the year. Lastly, allocations to the Growth Equity Fund, Value Equity Fund, and Global Natural Resources Equity Fund had a material impact on relative underperformance over the period.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. The Fund may be suitable for investors who have a short- to medium-time investment horizon, possess a relatively low tolerance for risk and want some exposure to the growth potential of the stock market tempered by a larger allocation to short-term, fixed income securities. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Fixed Income Select Funds | 55.9 | |||
Real Return Select Funds | 19.5 | |||
U.S. Equity Select Funds | 18.5 | |||
Non-U.S. Equity Select Funds | 6.1 | |||
|
| |||
100.0 | ||||
|
|
65
Table of Contents
Conservative Allocation Fund I (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Institutional Class* | Benchmark** | |||
One Year | 1.48% | 2.24% | ||
Five Year | 4.28% | 4.37% | ||
Ten Year | 3.94% | 4.19% | ||
Inception Date | 07/01/03 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on | 0.79% |
(1)The Fund’s shareholders indirectly bear the expenses of the shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Institutional Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of the Bank of America Merrill Lynch 1-3 Year Treasury Index, the Barclays U.S. TIPS Index, the Barclays U.S. Aggregate Bond Index, the Russell 3000® Index, the FTSE EPRA/ NAREIT Developed Index, the S&P/LSTA U.S. BB- Ratings and Above Loan Index, the MSCI World Commodity Producers Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 41%, 10%, 14%, 19%, 1%, 5%, 4% and 6%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
66 |
Table of Contents
CONSERVATIVE ALLOCATION FUND I | ||
SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||
MUTUAL FUNDS — 100.0% |
| |||||||
GuideStone Money Market Fund (Institutional Class)¥ | 1,105,057 | $ | 1,105,057 | |||||
GuideStone Low-Duration Bond Fund | 3,810,286 | 32,158,818 | ||||||
GuideStone Medium-Duration Bond Fund | 1,211,927 | 8,471,373 | ||||||
GuideStone Global Bond Fund (Investor Class)¥ | 211,814 | 2,124,498 | ||||||
GuideStone Defensive Market Strategies Fund (Institutional Class)¥ | 604,244 | 7,015,274 | ||||||
GuideStone Value Equity Fund (Institutional Class)¥ | 373,820 | 3,368,119 | ||||||
GuideStone Growth Equity Fund (Institutional Class)¥ | 303,781 | 3,356,776 | ||||||
GuideStone Small Cap Equity Fund (Institutional Class)¥ | 85,288 | 760,771 | ||||||
GuideStone International Equity Fund | 360,814 | 3,806,585 |
Shares | Value | |||||||
GuideStone Funds Emerging Market Equity Fund (Institutional Class)¥ | 108,601 | $ | 987,186 | |||||
GuideStone Inflation Protected Bond Fund (Investor Class)¥ | 766,260 | 7,831,173 | ||||||
GuideStone Flexible Income Fund (Investor Class)¥ | 397,705 | 3,881,602 | ||||||
GuideStone Real Estate Securities Fund | 78,001 | 800,286 | ||||||
GuideStone Global Natural Resources Equity Fund | 352,891 | 2,756,076 | ||||||
|
| |||||||
Total Mutual Funds | 78,423,594 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% |
| 78,423,594 | ||||||
Other Assets in Excess of Liabilities — 0.0% | 36,670 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 78,460,264 | ||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 78,423,594 | $ | 78,423,594 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 78,423,594 | $ | 78,423,594 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 2,841 | $ | 2,841 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 2,841 | $ | 2,841 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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. | 67 |
Table of Contents
Balanced Allocation Fund I (Unaudited)
The Fund, through investments in the underlying Select Funds, combined approximately equal percentages to equity securities and fixed income securities in addition to a smaller allocation to real asset securities. The Fund had a target of, but was not limited to, an asset allocation of 41.00% Fixed Income Select Funds, 27.88% U.S. Equity Select Funds, 13.12% Non-U.S. Equity Select Funds, and 18.00% Real Assets Select Funds.
As a fund of funds, its performance is based on the performance of the underlying Select Funds. The Fund generated a return of 3.65% for the one-year period ending December 31, 2014, benefiting from positive absolute performance of the underlying U.S. Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the Defensive Market Strategies Fund, followed by exposure to the Value Equity Fund and Growth Equity Fund. The Fund’s fixed income allocation added to investment returns as all underlying Fixed Income Select Funds contributed positively. Detracting from absolute performance was the allocation to the International Equity Fund, which trailed primarily due to the impact of an appreciating U.S. Dollar to U.S. based investors. Additionally, exposure to real assets detracted from absolute performance, as the Global Natural Resources Equity Fund fell materially.
The Fund underperformed its composite benchmark in 2014 (3.65% versus 5.41%), which was primarily driven by its allocation to the Equity Select Funds. Within this asset class, the Growth Equity Fund, the Value Equity Fund and the International Equity Fund had a material impact on relative underperformance over the period. While the Defensive Market Strategies Fund was the largest contributor to the Fund’s absolute return, it also served as the leading driver in the Fund’s relative performance during the year.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This 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 stocks but want to achieve this result more slowly and with less volatility through a balanced allocation of fixed-income and equity investments.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||
Fixed Income Select Funds | 42.5 | |
U.S. Equity Select Funds | 28.0 | |
Real Return Select Funds | 17.1 | |
Non-U.S. Equity Select Funds | 12.5 | |
| ||
100.1 | ||
|
68 |
Table of Contents
Balanced Allocation Fund I (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Institutional Class* | Benchmark** | |||
One Year | 3.65% | 5.41% | ||
Five Year | 7.72% | 8.20% | ||
Ten Year | 5.52% | 6.04% | ||
Inception Date | 07/01/03 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.92% |
(1)The Fund’s shareholders indirectly bear the expenses of the shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Institutional Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of the Barclays U.S. Aggregate Bond Index, the Barclays U.S. TIPS Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, the S&P/LSTA U.S. BB- Ratings and Above Loan Index, the MSCI World Commodity Producers Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 41%, 6%, 28%, 3%, 3%, 6% and 13%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
69 |
Table of Contents
BALANCED ALLOCATION FUND I SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
MUTUAL FUNDS — 100.1% |
| |||||||||
GuideStone Money | 6,957,931 | $ | 6,957,931 | |||||||
GuideStone Low-Duration | 5,353,391 | 45,182,622 | ||||||||
GuideStone Medium-Duration | 8,711,676 | 60,894,618 | ||||||||
GuideStone Extended-Duration | 3,320,884 | 15,442,110 | ||||||||
GuideStone Global Bond Fund | 2,976,670 | 29,855,998 | ||||||||
GuideStone Defensive Market Strategies Fund | | 2,603,435 | 30,225,875 | ||||||||
GuideStone Value Equity Fund | 3,716,242 | 33,483,341 | ||||||||
GuideStone Growth | 3,021,884 | 33,391,818 | ||||||||
GuideStone Small Cap | 854,970 | 7,626,332 | ||||||||
GuideStone International | 3,503,190 | 36,958,652 |
Shares | Value | |||||||||
GuideStone Funds Emerging Market Equity Fund (Institutional Class)¥ | 1,058,675 | $ | 9,623,357 | |||||||
GuideStone Inflation | 2,097,234 | 21,433,733 | ||||||||
GuideStone Flexible | 1,145,091 | 11,176,086 | ||||||||
GuideStone Real Estate Securities Fund | 1,037,181 | 10,641,473 | ||||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 2,645,615 | 20,662,250 | ||||||||
|
| |||||||||
Total Mutual Funds | 373,556,196 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.1% |
| 373,556,196 | ||||||||
Liabilities in Excess of |
| (196,591 | ) | |||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 373,359,605 | ||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 373,556,196 | $ | 373,556,196 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 373,556,196 | $ | 373,556,196 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 27,025 | $ | 27,025 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 27,025 | $ | 27,025 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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.
70 | See Notes to Financial Statements. |
Table of Contents
Growth Allocation Fund I (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to equity securities with a smaller percentage to fixed income securities and real asset securities. The Fund had a target of, but was not limited to, an asset allocation of 25.00% Fixed Income Select Funds, 39.00% U.S. Equity Select Funds, 26.00% Non-U.S. Equity Select Funds, and 10.00% Real Assets Select Funds.
As a fund of funds, its performance is based on the performance of the underlying Select Funds. The Fund generated a return of 3.02% for the one-year period ended December 31, 2014, largely attributable to positive absolute performance of the underlying Equity Select Funds. The Fund’s absolute return was most positively influenced by its exposure to the Value Equity Fund. The Growth Equity Fund also provided material benefit over the period. The Fund’s fixed income allocation added to investment returns as all underlying Fixed Income Select Funds contributed positively. Detracting from absolute performance was the allocation to the International Equity Fund, which trailed primarily due to the impact of an appreciating U.S. Dollar to U.S. based investors.
The Fund underperformed its composite benchmark in 2014 (3.02% versus 5.24%). The Fund’s relative performance was negatively impacted by allocations to the Growth Equity Fund, the Value Equity Fund and the International Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a long-term investment horizon, possess a relatively high tolerance for risk and seek to participate in the return potential of stocks at a slightly lower risk level than an all stock portfolio. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Equity Select Funds | 39.1 | |||
Fixed Income Select Funds | 26.3 | |||
Non-U.S. Equity Select Funds | 24.9 | |||
Real Return Select Funds | 9.6 | |||
|
| |||
99.9 | ||||
|
|
71
Table of Contents
Growth Allocation Fund I (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Institutional Class* | Benchmark** | |||
One Year | 3.02% | 5.24% | ||
Five Year | 9.37% | 9.69% | ||
Ten Year | 5.71% | 6.33% | ||
Inception Date | 07/01/03 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.02% |
(1)The Fund’s shareholders indirectly bear the expenses of the shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Institutional Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of the Barclays U.S. Aggregate Bond Index, the Russell 3000® Index, the FTSE EPRA/NAREIT Developed Index, the MSCI World Commodity Producers Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 25%, 40%, 4%, 6% and 25%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
72
Table of Contents
GROWTH ALLOCATION FUND I | ||
SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||
MUTUAL FUNDS — 99.9% | ||||||||
GuideStone Money Market Fund (Institutional Class)¥ | 4,836,862 | $ | 4,836,862 | |||||
GuideStone Low-Duration Bond Fund | 2,340,927 | 19,757,423 | ||||||
GuideStone Medium-Duration Bond Fund | 3,829,032 | 26,764,932 | ||||||
GuideStone Extended-Duration Bond Fund (Institutional Class)¥ | 1,474,247 | 6,855,247 | ||||||
GuideStone Global Bond Fund (Investor Class)¥ | 1,317,514 | 13,214,669 | ||||||
GuideStone Value Equity Fund (Institutional Class)¥ | 5,265,131 | 47,438,832 | ||||||
GuideStone Growth Equity Fund (Institutional Class)¥ | 4,283,032 | 47,327,507 | ||||||
GuideStone Small Cap Equity Fund (Institutional Class)¥ | 1,207,734 | 10,772,988 |
Shares | Value | |||||||
GuideStone International Equity Fund | 5,084,380 | $ | 53,640,213 | |||||
GuideStone Funds Emerging Market Equity Fund (Institutional Class)¥ | 1,515,396 | 13,774,951 | ||||||
GuideStone Real Estate Securities Fund | 946,033 | 9,706,295 | ||||||
GuideStone Global Natural Resources Equity Fund | 2,083,612 | 16,273,007 | ||||||
|
| |||||||
Total Mutual Funds | 270,362,926 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% |
| 270,362,926 | ||||||
Other Assets in Excess of Liabilities — 0.1% | 139,434 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 270,502,360 | ||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 270,362,926 | $ | 270,362,926 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 270,362,926 | $ | 270,362,926 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** |
| |||||||||||||||||||
Futures Contracts | $ | 19,397 | $ | 19,397 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 19,397 | $ | 19,397 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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. | 73 |
Table of Contents
Aggressive Allocation Fund I (Unaudited)
The Fund, through investments in the underlying Select Funds, combined a greater percentage of exposure to U.S. equity securities with a smaller percentage to non-U.S. equity securities. The Fund had a target of, but was not limited to, an asset allocation of 60.00% U.S. Equity Select Funds and 40.00% Non-U.S. Select Funds.
As a fund of funds, its performance was based on the performance of the underlying Equity Select Funds. The Fund generated a return of 3.48% for the one-year period ended December 31, 2014, as absolute performance was largely attributable to exposure to the Value Equity Fund and Growth Equity Fund. Detracting from absolute performance was the allocation to the International Equity Fund, which trailed primarily due to the impact of an appreciating U.S. Dollar to U.S. based investors.
The Fund underperformed its composite benchmark in 2014 (3.48% versus 5.75%). The Fund’s relative performance was negatively impacted by allocations to the Growth Equity Fund, the Value Equity Fund and the International Equity Fund.
The Fund attempted to achieve its objective by investing in the Select Funds. By investing in the Fund you will also incur the expenses and risks of the underlying Select Funds. The principal risks of the Fund will change depending on the asset mix of the Select Funds in which it invests. You may directly invest in the Select Funds. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund. This Fund may be suitable for investors who have a long-term investment horizon, possess a relatively high tolerance for risk and want to diversify by adding an aggressive investment option that combines U.S. and international stocks. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Equity Select Funds | 59.8 | |||
Non-U.S. Equity Select Funds | 38.3 | |||
Fixed Income Select Fund | 1.8 | |||
|
| |||
99.9 | ||||
|
|
74 |
Table of Contents
Aggressive Allocation Fund I (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Institutional Class* | Benchmark** | |||
One year | 3.48% | 5.75% | ||
Five year | 11.18% | 11.45% | ||
Ten Year | 5.81% | 6.65% | ||
Inception Date | 07/01/03 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.14% |
(1)The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Institutional Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a composite index as of December 2014, consisting of the Russell 3000® Index and the MSCI ACWI (All Country World Index) Ex-U.S. Index, weighted 60.00% and 40.00%, respectively.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
75 |
Table of Contents
AGGRESSIVE ALLOCATION FUND I SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||||
GuideStone Money Market Fund (Institutional Class)¥ | 3,356,259 | $ | 3,356,259 | |||||||||
GuideStone Value Equity Fund | 5,532,405 | 49,846,967 | ||||||||||
GuideStone Growth Equity Fund (Institutional Class)¥ | 4,493,586 | 49,654,121 | ||||||||||
GuideStone Small Cap Equity Fund (Institutional Class)¥ | 1,289,198 | 11,499,645 | ||||||||||
GuideStone International Equity Fund (Institutional Class)¥ | 5,365,947 | 56,610,739 | ||||||||||
GuideStone Funds Emerging Market Equity Fund (Institutional Class)¥ | 1,603,705 | 14,577,678 | ||||||||||
|
| |||||||||||
Total Mutual Funds |
| 185,545,409 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 99.9% |
| 185,545,409 | ||||||||||
Other Assets in Excess of |
| 133,020 | ||||||||||
|
| |||||||||||
NET ASSETS — 100.0% |
| $ | 185,678,429 | |||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 185,545,409 | $ | 185,545,409 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 185,545,409 | $ | 185,545,409 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 17,716 | $ | 17,716 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 17,716 | $ | 17,716 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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.
76 | See Notes to Financial Statements. |
Table of Contents
(This page intentionally left blank)
77 |
Table of Contents
December 31, 2014 |
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) | $ | 78,423,594 | $ | 373,556,196 | $ | 270,362,926 | $ | 185,545,409 | ||||||||
Cash | — | — | — | 21 | ||||||||||||
Cash collateral for derivatives | 50,400 | 216,000 | 221,950 | 164,000 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends from affiliated funds | 24 | 146 | 101 | 71 | ||||||||||||
Fund shares sold | 414 | — | — | 23,239 | ||||||||||||
Variation margin on financial futures contracts | — | 4,650 | 1,681 | 275 | ||||||||||||
Prepaid expenses and other assets | 4,539 | 4,538 | 4,538 | 4,538 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 78,478,971 | 373,781,530 | 270,591,196 | 185,737,553 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Cash overdraft | — | 22 | — | — | ||||||||||||
Payables: | ||||||||||||||||
Fund shares redeemed | — | 335,841 | 13,885 | — | ||||||||||||
Variation margin on financial futures contracts | 2,430 | 29,505 | 30,720 | 28,825 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Investment advisory fees | 710 | 32,390 | 23,323 | 13,181 | ||||||||||||
Professional fees | 7,988 | 7,987 | 7,988 | 7,987 | ||||||||||||
Other expenses | 7,579 | 16,180 | 12,920 | 9,131 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 18,707 | 421,925 | 88,836 | 59,124 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 78,460,264 | $ | 373,359,605 | $ | 270,502,360 | $ | 185,678,429 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in-capital | $ | 82,108,876 | $ | 383,280,715 | $ | 267,333,924 | $ | 180,610,817 | ||||||||
Undistributed net investment income | 2,212 | 6,621 | 5,072 | 6,667 | ||||||||||||
Undistributed (accumulated) net realized gain (loss) on investments and futures transactions | (1,417,766 | ) | (10,056,421 | ) | (813,207 | ) | 1,832,733 | |||||||||
Net unrealized appreciation (depreciation) on investments and futures | (2,233,058 | ) | 128,690 | 3,976,571 | 3,228,212 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 78,460,264 | $ | 373,359,605 | $ | 270,502,360 | $ | 185,678,429 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value: | ||||||||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||||||||
Net assets applicable to the Institutional Class | $ | 78,460,264 | $ | 373,359,605 | $ | 270,502,360 | $ | 185,678,429 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional shares outstanding | 8,272,557 | 35,881,016 | 23,154,147 | 13,998,996 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per Institutional share | $ | 9.48 | $ | 10.41 | $ | 11.68 | $ | 13.26 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 80,659,493 | $ | 373,454,531 | $ | 266,405,752 | $ | 182,334,913 | ||||||||
|
|
|
|
|
|
|
|
78 | See Notes to Financial Statements. |
Table of Contents
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2014 |
Conservative Allocation Fund I | Balanced Allocation Fund I | Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
Investment Income | ||||||||||||||||
Income distributions received from affiliated funds | $ | 1,618,580 | $ | 10,007,142 | $ | 6,021,492 | $ | 3,198,235 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 1,618,580 | 10,007,142 | 6,021,492 | 3,198,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 82,546 | 396,522 | 278,420 | 192,027 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
Institutional Shares | 3,909 | 4,103 | 3,918 | 3,860 | ||||||||||||
Custodian fees | 9,231 | 27,576 | 22,863 | 14,773 | ||||||||||||
Accounting and administration fees | 8,520 | 24,820 | 18,707 | 13,897 | ||||||||||||
Professional fees | 46,316 | 46,316 | 46,317 | 46,315 | ||||||||||||
Blue sky fees: | ||||||||||||||||
Institutional Shares | 1,900 | 1,900 | 1,900 | 1,900 | ||||||||||||
Shareholder reporting fees | 499 | 923 | 532 | 390 | ||||||||||||
Trustee expenses | 864 | 4,097 | 2,857 | 1,973 | ||||||||||||
Line of credit facility fees | 547 | 2,612 | 1,825 | 1,259 | ||||||||||||
Other expenses | 9,362 | 10,420 | 10,514 | 9,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 163,694 | 519,289 | 387,853 | 286,251 | ||||||||||||
Expenses waived/reimbursed net of amount | (41,323 | ) | — | — | (3,175 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 122,371 | 519,289 | 387,853 | 283,076 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 1,496,209 | 9,487,853 | 5,633,639 | 2,915,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 1,938,311 | 17,608,913 | 19,976,316 | 19,514,496 | ||||||||||||
Net realized gain (loss) on investment securities of affiliated issuers | 222,448 | 6,811,115 | 1,460,676 | 99,135 | ||||||||||||
Net realized gain on futures transactions | 33,856 | 445,297 | 393,823 | 291,811 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | 2,194,615 | 24,865,325 | 21,830,815 | 19,905,442 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (2,362,307 | ) | (20,356,196 | ) | (19,135,536 | ) | (16,157,866 | ) | ||||||||
Change in unrealized depreciation on futures | (4,400 | ) | (65,672 | ) | (121,182 | ) | (122,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | (2,366,707 | ) | (20,421,868 | ) | (19,256,718 | ) | (16,279,998 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) | (172,092 | ) | 4,443,457 | 2,574,097 | 3,625,444 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 1,324,117 | $ | 13,931,310 | $ | 8,207,736 | $ | 6,540,603 | ||||||||
|
|
|
|
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
See Notes to Financial Statements. | 79 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Conservative Allocation Fund I | Balanced Allocation Fund I | |||||||||||||||
For the Year Ended | For the Year Ended | |||||||||||||||
12/31/14 | 12/31/13 | 12/31/14 | 12/31/13 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 1,496,209 | $ | 1,260,250 | $ | 9,487,853 | $ | 9,394,078 | ||||||||
Net realized gain on investment securities and futures transactions | 2,194,615 | 5,102,173 | 24,865,325 | 21,655,771 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (2,366,707 | ) | (3,235,070 | ) | (20,421,868 | ) | 4,996,631 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 1,324,117 | 3,127,353 | 13,931,310 | 36,046,480 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends to Shareholders: | ||||||||||||||||
Dividends from net investment income(1) | (1,913,134 | ) | (2,555,816 | ) | (18,280,125 | ) | (13,881,599 | ) | ||||||||
Distributions from net realized capital gains | (1,485,422 | ) | (476,714 | ) | (4,586,199 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends | (3,398,556 | ) | (3,032,530 | ) | (22,866,324 | ) | (13,881,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from Institutional shares sold | 10,535,416 | 10,446,277 | 19,100,799 | 30,704,095 | ||||||||||||
Reinvestment of dividends and distributions into Institutional shares | 3,378,625 | 3,015,087 | 22,795,617 | 13,840,284 | ||||||||||||
Value of Institutional shares redeemed | (17,018,223 | ) | (12,635,464 | ) | (46,969,152 | ) | (24,596,392 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions(2) | (3,104,182 | ) | 825,900 | (5,072,736 | ) | 19,947,987 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (5,178,621 | ) | 920,723 | (14,007,750 | ) | 42,112,868 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of Year | 83,638,885 | 82,718,162 | 387,367,355 | 345,254,487 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year* | $ | 78,460,264 | $ | 83,638,885 | $ | 373,359,605 | $ | 387,367,355 | ||||||||
|
|
|
|
|
|
|
| |||||||||
*Including undistributed net investment income | $ | 2,212 | $ | — | $ | 6,621 | $ | 5,275,083 | ||||||||
|
|
|
|
|
|
|
|
(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. |
80 | See Notes to Financial Statements. |
Table of Contents
Growth Allocation Fund I | Aggressive Allocation Fund I | |||||||||||||
For the Year Ended | For the Year Ended | |||||||||||||
12/31/14 | 12/31/13 | 12/31/14 | 12/31/13 | |||||||||||
$ | 5,633,639 | $ | 5,423,835 | $ | 2,915,159 | $ | 2,726,763 | |||||||
|
21,830,815 |
| 16,880,871 | 19,905,442 | 13,387,781 | |||||||||
|
(19,256,718 |
) | 20,212,758 | (16,279,998 | ) | 24,808,491 | ||||||||
|
|
|
|
|
|
|
| |||||||
8,207,736 | 42,517,464 | 6,540,603 | 40,923,035 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(10,334,898 | ) | (9,414,953 | ) | (9,973,326 | ) | (4,675,371 | ) | |||||||
(10,495,559 | ) | — | (6,195,848 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||
(20,830,457 | ) | (9,414,953 | ) | (16,169,174 | ) | (4,675,371 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
13,206,215 | 29,753,490 | 7,792,356 | 17,600,936 | |||||||||||
|
20,812,280 |
| 9,406,951 | 16,162,392 | 4,673,297 | |||||||||
(21,989,417 | ) | (17,497,829 | ) | (17,509,150 | ) | (12,491,272 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
12,029,078 | 21,662,612 | 6,445,598 | 9,782,961 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(593,643 | ) | 54,765,123 | (3,182,973 | ) | 46,030,625 | |||||||||
|
|
|
|
|
|
|
| |||||||
271,096,003 | 216,330,880 | 188,861,402 | 142,830,777 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 270,502,360 | $ | 271,096,003 | $ | 185,678,429 | $ | 188,861,402 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 5,072 | $ | 1,464,856 | $ | 6,667 | $ | 4,390,854 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 81 |
Table of Contents
FINANCIAL HIGHLIGHTS
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 (Loss) on | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset End of | Total Return | Net Assets, End of Year (000) | Expenses, Net(3)(4) | Expenses, Gross(3)(5) | Investment (1)(4) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
Conservative Allocation Fund I
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $9.76 | $0.18 | # | $0.24 | $(0.27 | ) | $(0.24 | ) | $(0.19 | ) | $9.48 | 1.48 | % | $78,460 | 0.15 | % | 0.20 | % | 1.84 | % | 25 | % | ||||||||||||||||||||||||||||||
2013 | 9.75 | 0.15 | # | 0.22 | 0.01 | (0.31 | ) | (0.06 | ) | 9.76 | 3.85 | 83,639 | 0.15 | 0.20 | 1.48 | 21 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Balanced Allocation Fund I
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $10.69 | $0.27 | # | $0.50 | $(0.37 | ) | $(0.54 | ) | $(0.14 | ) | $10.41 | 3.65 | % | $373,360 | 0.13 | % | 0.13 | % | 2.44 | % | 6 | % | ||||||||||||||||||||||||||||||
2013 | 10.06 | 0.27 | # | 0.55 | 0.21 | (0.40 | ) | — | 10.69 | 10.22 | 387,367 | 0.13 | 0.13 | 2.51 | 31 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Growth Allocation Fund I
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $12.26 | $0.26 | # | $0.92 | $(0.81 | ) | $(0.46 | ) | $(0.49 | ) | $11.68 | 3.02 | % | $270,502 | 0.14 | % | 0.14 | % | 2.06 | % | 8 | % | ||||||||||||||||||||||||||||||
2013 | 10.70 | 0.25 | # | 0.92 | 0.83 | (0.44 | ) | — | 12.26 | 18.72 | 271,096 | 0.14 | 0.14 | 2.15 | 28 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Aggressive Allocation Fund I
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | $14.00 | $0.22 | # | $1.48 | $(1.21 | ) | $(0.75 | ) | $(0.48 | ) | $13.26 | 3.48 | % | $185,678 | 0.15 | % | 0.15 | % | 1.55 | % | 6 | % | ||||||||||||||||||||||||||||||
2013 | 11.24 | 0.21 | # | 1.40 | 1.51 | (0.36 | ) | — | 14.00 | 27.73 | 188,861 | 0.15 | 0.16 | 1.62 | 17 | |||||||||||||||||||||||||||||||||||||
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 |
† | 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 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 higher (lower), respectively, than the ratio shown. |
(5) | 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. |
82 | See Notes to Financial Statements. |
Table of Contents
FIXED INCOME SELECT FUNDS (Unaudited)
2014 – A Review
At the beginning of calendar year 2014, expectations by many pundits were for U.S. Treasury yields to end the calendar year at higher levels due to projections of an improving domestic economy and the possible end to the Federal Reserve’s quantitative easing program. As is normally the case, what actually happened during 2014 was much different than what was originally projected.
The U.S. yield curve flattened during 2014 as short-term yields, which are more sensitive to projected Federal Reserve actions, increased with expectations the central bank would begin modestly reducing stimulus policies. In contrast, the mid- and longer-term yields fell in response to economic pressures from moderate global growth, lower inflation (including declining oil prices), fiscal austerity, struggling emerging market economies (including China) and strong foreign demand. As evidence, the 2-year U.S. Treasury yield increased from 0.38% to 0.67% during the year while the 30-year U.S. Treasury yield fell from 3.97% to 2.75% for the same period. In general, the declining interest rate environment provided a tailwind to the overall bond market given bond prices move inversely with yields. The broad U.S. bond market, as measured by the Barclays Aggregate Bond Index, posted quarterly and annual returns of 1.79% and 5.97%, respectively. The broad bond market’s positive return was welcomed in 2014 following a negative annual return in 2013.
Another economic theme during the year was the divergence in monetary policy of the major central banks across the globe. Over recent years, the major central banks, including the Federal Reserve in the U.S., have been implementing aggressive monetary policies from the same “playbook” in a somewhat coordinated manner. However, the U.S. economy has emerged compared to other major economies, posting a third quarter Gross Domestic Product (“GDP”) of 5.0%. The Federal Reserve appeared to be further along in their process compared to many others, with expectations for it to possibly make the first rate hike during 2015, while weak economic environments in continental Europe and Japan are forcing those central banks to accelerate their efforts to boost economic activity and thwart deflationary pressures. The U.S. dollar appreciated meaningfully in this environment, up approximately 10% during the year, as yield-hungry global investors were attracted to the higher relative yields in the U.S. and the “safe-haven” characteristic of the currency in the midst of economic uncertainty and heightened geopolitical risks.
When reviewing the fixed income markets during the year, returns generally differed by sector, quality and duration with almost all areas posting positive absolute returns for the year. In general, bonds with longer-durations outpaced bonds with shorter durations given their prices are more sensitive to movements in interest rates. Therefore, an investor’s return during the year for his or her bond portfolio was largely dependent upon the portfolio’s duration position. The best area of the bond market during 2014 was the 30-year U.S. Treasury. This long-duration security was up an astonishing 29.38% for the year. Related to quality, investment grade corporate bonds were up 7.46% during 2014, outpacing high yield (or below investment grade) corporate bonds that posted an annual return of 2.46%, as measured by the Barclay’s U.S. High Yield – Corporate Index. Emerging market debt, as measured by the J.P. Morgan EMBI+ (a U.S. dollar denominated index), generated an annual return of 6.15%. A difficult area of the bond market for U.S. based investors (that were not hedged back to the U.S. dollar) was non-U.S. bonds that were denominated in currencies that depreciated versus the U.S. dollar.
2015 – A Preview
Looking forward in 2015, all eyes will be on the Federal Reserve’s Federal Open Market Committee (“FOMC”) with speculation abounding as to when it will begin to raise interest rates. The Federal Reserve’s two primary purposes are employment and price stability. Employment measures, including the unemployment rate, improved during the year while inflation has remained below
83
Table of Contents
the Federal Reserves’ long-term target of 2%. At year-end, consensus appeared to be that the Federal Reserve will first raise rates in mid-2015 with possible future rate hikes in the latter half of the year. The Federal Reserve remains data-dependent, so a change in the direction or the magnitude of economic data could change the central bank’s course. As stated last quarter, The Federal Reserve remains in the difficult and unenviable position of removing accommodative policy without thwarting domestic economic growth.
Also, expectations are for volatility in returns to increase, especially if global monetary policies continue to diverge and/or the Federal Reserve begins raising rates. U.S. Treasury yields will continue to have conflicting pressures - upward pressure from the projected Federal Reserve rate increases and a strengthening U.S. economy offset by downward pressure from sluggish global economic growth, strong demand and a low inflationary environment. The year 2014 surprised many on the upside, but the return expectations for fixed income securities during 2015 should be somewhat muted compared to long-term averages.
84
Table of Contents
During 2014, the Federal Reserve maintained its very aggressive monetary policy, keeping the federal funds rate at 0% - 0.25% in a concerted effort to stimulate economic growth, improve unemployment and thwart any deflationary pressures. As a result, short-term rates remained at historically low levels throughout the year. Although there was no change to the target fed funds rate, the Federal Reserve reduced and eventually ended its asset purchase program (quantitative easing) during the year in response to improving economic conditions, especially in the labor markets.
At the regularly scheduled Federal Open Market Committee meeting in December, the Committee released language stating “the Committee judges that it can be patient in beginning to normalize the stance of monetary policy”. Chairman Yellen later confirmed that the Committee may not raise rates until after a “couple of meetings” during 2015. However, it should be noted that Yellen further stressed that any future change in policy will be data dependent, specifically as it relates to labor market improvement, a continued decline in the unemployment rate and inflation near desired levels. Therefore, expectations at the end of the year were for the Federal Reserve to implement the first rate hike in mid-2015.
Given the environment of historically low interest rates, money market funds (which are lenders to borrowers at short-term interest rates) experienced another year of “just-above-zero” returns. At the end of 2014, the 90-day U.S. Treasury Bill was yielding a very modest 0.04%. The low yield environment, coupled with the regulatory constraints of Rule 2a-7 of the Investment Company Act of 1940, made it incredibly difficult for money market funds across the industry to post positive returns after paying for fund-related expenses.
The Fund was invested in a broad range of high quality, short-term money market instruments denominated exclusively in U.S. dollars. The Fund maintained a stable per share price of $1.00, while paying monthly dividends based on the daily account value. The Investor Class of the Fund returned 0.02% for the one-year period ended December 31, 2014, as compared to a 0.03% return for the Citigroup 3-Month Treasury Bill Index (the benchmark index). The Fund’s relative underperformance was due to the impact of Fund expenses as the low-rate environment provided little opportunity to generate returns sufficient to cover expenses and outpace the benchmark index. In the midst of the difficult interest rate and economic environment, the management of the Fund remained true and steadfast to its primary objectives of preservation of capital and liquidity versus sacrificing quality and taking imprudent risk in an effort to stretch for incremental yield. Stretching for yield in this environment provided an asymmetrical payoff, providing little, if any upside, while increasing the potential for a material negative return event. Throughout 2014, the Fund remained well diversified across many sectors including commercial paper, certificates of deposits, time deposits, floating rate notes and U.S. Treasuries. At year-end, the Fund’s weighted average maturity was 42 days, compared to 47 days at the end of 2013.
This Fund may be suitable for investors who have a short-term investment horizon, seek to maintain a stable dollar value for their investment and can accept a long-term rate of return that may be lower than other fixed income and stock investments.
An investment in the Fund is not insured or guaranteed by the Federal Depository Insurance Corporation or any other governmental agency. Although the Fund seeks to maintain a value of $1.00 per share, it is possible to lose money.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Commercial Paper | 48.3 | |||
Certificates of Deposit | 30.5 | |||
Municipal Bonds | 10.8 | |||
Time Deposits | 2.8 | |||
Agency Obligations | 2.7 | |||
Repurchase Agreements | 2.6 | |||
U.S. Treasury Obligations | 1.4 | |||
Corporate Bond | 0.9 | |||
|
| |||
100.0 | ||||
|
|
85
Table of Contents
Money Market Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||
Institutional Class* | Investor Class* | Benchmark** | ||||
One Year | 0.02% | 0.02% | 0.03% | |||
Five Year | 0.09% | 0.02% | 0.07% | |||
Ten Year | 1.69% | 1.55% | 1.46% | |||
Inception Date | 08/27/01 | 08/27/01 | ||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.20% | 0.04% |
Yield as of 12/31/14(2) | ||||
Institutional Class* | Investor Class* | |||
7-Day Annualized Yield (Net) | 0.02% | 0.01% | ||
7-Day Annualized Yield (Gross) | 0.19% | 0.19% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
(2) | Yield for the Money Market Fund represents the annualization of the Fund’s declared dividends over the period indicated, excluding capital gains distributions. The yield more closely reflects the current earnings of the Fund than the total return. Gross Yield reflects the yield without fee waivers in effect. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. Investment return will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The yield for the Money Market Fund represents annualization of the Fund’s declared dividends over the period indicated, excluding capital gains distributions. The 7-day annualized yield more closely reflects the current earnings of the Fund than the total return.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Citigroup 3-Month Treasury Bill Index.
*These performance figures reflect expense waivers by the Fund’s investment adviser. Without these waivers, performance would have been lower. Performance figures shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
86
Table of Contents
MONEY MARKET FUND | ||||
SCHEDULE OF INVESTMENTS | December 31, 2014 |
Par | Value | |||||||||
AGENCY OBLIGATIONS — 2.7% |
| |||||||||
Federal Home Loan Bank | ||||||||||
0.05%, 01/09/15 | $ | 20,000,000 | $ | 19,999,778 | ||||||
0.06%, 01/28/15 | 15,000,000 | 14,999,325 | ||||||||
|
|
| ||||||||
Total Agency Obligations | 34,999,103 | |||||||||
|
|
| ||||||||
CERTIFICATES OF DEPOSIT — 30.5% |
| |||||||||
Bank of Montreal CHI | ||||||||||
0.24%, 04/09/15† | 10,000,000 | 10,000,000 | ||||||||
0.24%, 05/29/15 | 13,000,000 | 13,000,000 | ||||||||
0.24%, 07/16/15† | 13,000,000 | 13,000,000 | ||||||||
Bank of Nova Scotia Houston | ||||||||||
0.26%, 06/24/15† | 10,000,000 | 10,000,000 | ||||||||
0.24%, 07/09/15† | 10,500,000 | 10,500,000 | ||||||||
0.68%, 09/11/15† | 5,000,000 | 5,014,203 | ||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||||
1.01%, 03/27/15† | 14,000,000 | 14,023,667 | ||||||||
Canadian Imperial Bank of Commerce NY | ||||||||||
0.32%, 06/01/15† | 10,000,000 | 10,000,000 | ||||||||
Citibank NA | ||||||||||
0.25%, 02/06/15 | 24,000,000 | 24,000,000 | ||||||||
0.25%, 05/04/15 | 10,000,000 | 10,000,000 | ||||||||
0.25%, 05/11/15 | 12,000,000 | 12,000,000 | ||||||||
Credit Industriel et Commercial | ||||||||||
0.30%, 04/08/15 | 15,000,000 | 15,000,000 | ||||||||
Mitubishi UFJ Trust and Bank | ||||||||||
0.25%, 01/16/15 | 27,000,000 | 27,000,000 | ||||||||
National Australia Bank, Ltd. | ||||||||||
0.23%, 07/10/15† | 11,000,000 | 11,000,000 | ||||||||
National Bank of Canada NY | ||||||||||
0.26%, 06/19/15† | 5,000,000 | 5,000,000 | ||||||||
0.30%, 09/24/15† | 14,000,000 | 14,000,000 | ||||||||
Natixis NY | ||||||||||
0.25%, 02/02/15† | 4,000,000 | 4,000,000 | ||||||||
Rabobank Nederland NY | ||||||||||
0.35%, 01/12/15 | 5,000,000 | 5,000,000 | ||||||||
0.28%, 05/06/15† | 8,000,000 | 8,000,000 | ||||||||
0.28%, 09/16/15† | 22,500,000 | 22,500,000 | ||||||||
Royal Bank of Canada NY | ||||||||||
0.26%, 09/10/15† | 10,000,000 | 10,000,000 | ||||||||
Skandinaviska Enskilda Banken AB | ||||||||||
0.25%, 02/06/15 | 10,000,000 | 10,000,000 | ||||||||
0.63%, 02/26/15† | 15,000,000 | 15,008,077 | ||||||||
0.25%, 03/03/15 | 10,000,000 | 10,000,000 | ||||||||
Societe Generale NY | ||||||||||
0.25%, 02/02/15 | 4,000,000 | 4,000,000 | ||||||||
State Street Bank and Trust Co. | ||||||||||
0.28%, 10/01/15 | 20,000,000 | 20,000,000 | ||||||||
0.28%, 10/23/15 | 3,000,000 | 3,000,000 | ||||||||
Sumitomo Mitsui Banking Corporation | ||||||||||
0.25%, 03/17/15 | 25,500,000 | 25,500,000 | ||||||||
Sumitomo Mitsui Trust Bank, Ltd. | ||||||||||
0.27%, 04/15/15 | 15,000,000 | 15,000,000 | ||||||||
0.26%, 06/01/15 | 12,000,000 | 12,000,000 | ||||||||
Toronto-Dominion Bank NY | ||||||||||
0.30%, 07/15/15 | 14,000,000 | 13,999,990 |
Par | Value | |||||||||
UBS AG | ||||||||||
0.28%, 03/05/15† | $ | 10,000,000 | $ | 10,000,000 | ||||||
|
|
| ||||||||
Total Certificates of Deposit (Cost $391,545,937) | 391,545,937 | |||||||||
|
|
| ||||||||
COMMERCIAL PAPER — 48.3% |
| |||||||||
Antalis US Funding Corporation | ||||||||||
0.23%, 01/06/15 144A | 12,000,000 | 11,999,617 | ||||||||
Bedford Row Funding Corporation | ||||||||||
0.28%, 01/28/15 144A | 14,000,000 | 13,997,060 | ||||||||
0.29%, 11/20/15 144A | 10,000,000 | 10,000,000 | ||||||||
Caisse Centrale Desjardins Du Quebec | ||||||||||
0.13%, 01/05/15 144A | 45,000,000 | 44,999,350 | ||||||||
Chariot Funding LLC | ||||||||||
0.26%, 08/13/15 144A | 15,000,000 | 14,975,733 | ||||||||
Charta LLC | ||||||||||
0.25%, 02/06/15 144A | 20,000,000 | 19,995,000 | ||||||||
0.25%, 05/04/15 144A | 8,000,000 | 7,993,167 | ||||||||
0.25%, 05/12/15 144A | 12,000,000 | 11,989,083 | ||||||||
Ciesco LLC | ||||||||||
0.25%, 02/09/15 144A | 16,000,000 | 15,995,667 | ||||||||
Collateralized Commercial Paper Co. LLC | ||||||||||
0.30%, 02/02/15 | 16,000,000 | 15,995,733 | ||||||||
0.30%, 03/09/15 | 13,000,000 | 12,992,742 | ||||||||
0.30%, 03/16/15 | 14,000,000 | 13,991,367 | ||||||||
Commonwealth Bank of Australia | ||||||||||
0.25%, 03/23/15 144A | 10,000,000 | 10,000,000 | ||||||||
0.24%, 04/23/15 144A | 10,000,000 | 9,999,844 | ||||||||
0.25%, 05/15/15 144A | 13,000,000 | 13,000,000 | ||||||||
0.24%, 05/18/15 144A | 17,000,000 | 17,000,000 | ||||||||
CRC Funding LLC | ||||||||||
0.25%, 02/04/15 144A | 10,000,000 | 9,997,639 | ||||||||
DNB Bank ASA | ||||||||||
0.23%, 04/28/15 144A | 18,000,000 | 17,986,545 | ||||||||
General Electric Capital Corporation | ||||||||||
0.20%, 02/02/15 | 10,000,000 | 9,998,222 | ||||||||
0.21%, 02/17/15 | 13,000,000 | 12,996,436 | ||||||||
0.22%, 06/04/15 | 28,000,000 | 27,973,649 | ||||||||
Gotham Funding | ||||||||||
0.11%, 01/02/15 144A | 17,768,000 | 17,767,946 | ||||||||
HSBC Bank PLC | ||||||||||
0.25%, 10/23/15 144A | 10,000,000 | 10,000,000 | ||||||||
ING U.S. Funding LLC | ||||||||||
0.24%, 01/16/15 | 20,000,000 | 19,998,000 | ||||||||
Kells Funding LLC | ||||||||||
0.24%, 01/07/15 144A | 9,000,000 | 9,000,000 | ||||||||
0.24%, 02/13/15 144A | 14,500,000 | 14,500,096 | ||||||||
0.23%, 09/22/15 144A | 14,000,000 | 13,998,904 | ||||||||
Macquarie Bank, Ltd. | ||||||||||
0.32%, 02/19/15 144A | 11,000,000 | 10,995,209 | ||||||||
National Australia Funding | ||||||||||
0.23%, 03/13/15 144A | 15,000,000 | 15,000,000 | ||||||||
Natixis NY | ||||||||||
0.10%, 01/02/15 | 10,000,000 | 9,999,972 | ||||||||
Nederlandse Water-chapsbank NV | ||||||||||
0.23%, 10/01/15 144A | 25,000,000 | 25,000,000 |
See Notes to Financial Statements. | 87 |
Table of Contents
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||||
Nieuw Amsterdam Receivables Corporation | ||||||||||||
0.23%, 01/21/15 144A | $ | 15,000,000 | $ | 14,998,083 | ||||||||
0.24%, 01/23/15 144A | 12,000,000 | 11,998,240 | ||||||||||
Old Line Funding LLC | ||||||||||||
0.22%, 03/06/15 144A | 10,000,000 | 9,996,089 | ||||||||||
0.25%, 06/02/15 144A | 10,000,000 | 9,989,444 | ||||||||||
Sumitomo Mitsui Banking Corporation | ||||||||||||
0.25%, 04/06/15 144A | 15,000,000 | 14,990,104 | ||||||||||
Svenska Handelsbanken AB | ||||||||||||
0.31%, 06/15/15 144A† | 9,800,000 | 9,800,000 | ||||||||||
Victory Receivables Corporation | ||||||||||||
0.11%, 01/02/15 144A | 45,000,000 | 44,999,863 | ||||||||||
Westpac Banking Corporation | ||||||||||||
0.24%, 04/17/15 144A | 20,000,000 | 20,000,000 | ||||||||||
Working Capital Management | ||||||||||||
0.13%, 01/06/15 144A | 14,000,000 | 13,999,747 | ||||||||||
|
|
| ||||||||||
Total Commercial Paper | 620,908,551 | |||||||||||
|
|
| ||||||||||
CORPORATE BONDS — 0.9% | ||||||||||||
Jets Stadium Development LLC | ||||||||||||
0.09%, 01/07/15 144A† | 4,900,000 | 4,900,000 | ||||||||||
Metropolitan Life Global Funding | ||||||||||||
1.70%, 06/29/15 144A | 7,000,000 | 7,046,623 | ||||||||||
|
|
| ||||||||||
Total Corporate Bonds | 11,946,623 | |||||||||||
|
|
| ||||||||||
MUNICIPAL BONDS — 10.8% | ||||||||||||
California Housing Finance Agency, Revenue Bond, Series D | ||||||||||||
0.01%, 01/07/15† | 2,600,000 | 2,600,000 | ||||||||||
California Housing Finance Agency, Multi-Family III, Revenue Bond, Series E (LOC-Fannie Mae, Freddie Mac) | ||||||||||||
0.04%, 01/07/15† | 3,000,000 | 3,000,000 | ||||||||||
California Statewide Communities Development Authority, Hallmark House Apartments, Revenue Bond, Series ZZ | ||||||||||||
0.06%, 01/07/15† | 6,420,000 | 6,420,000 | ||||||||||
California Statewide Communities Development Authority, Kimberly Woods Apartments, Revenue Bond, Series B | ||||||||||||
0.04%, 01/07/15† | 17,100,000 | 17,100,000 | ||||||||||
Los Angeles Community Redevelopment Agency, Hollywood & Vine Apartments, Revenue Bond, Series A | ||||||||||||
0.06%, 01/07/15† | 7,700,000 | 7,700,000 | ||||||||||
Los Angeles County Housing Authority, Malibu Meadows II, Revenue Bond, Series C | ||||||||||||
0.05%, 01/07/15† | 5,799,000 | 5,799,000 |
Par | Value | |||||||||||
Maryland Community Development Administration, Multifamily Barrington Apartments Project, Revenue Bond, Series A | ||||||||||||
0.06%, 01/07/15† | $ | 27,575,000 | $ | 27,575,000 | ||||||||
New York City Industrial Development Agency, New York Law School Project, Revenue Bond, Series A (LOC-JPMorgan Chase Bank NA) | ||||||||||||
0.05%, 01/07/15† | 7,200,000 | 7,200,000 | ||||||||||
New York Housing Development Corporation, Multi-Family Housing (90 West Street), Revenue Bond, Series A | ||||||||||||
0.02%, 01/07/15† | 6,000,000 | 6,000,000 | ||||||||||
New York State Housing Finance Agency, 10 Barclay Street Housing, Revenue Bond, Series A | ||||||||||||
0.02%, 01/07/15† | 10,000,000 | 10,000,000 | ||||||||||
New York State Housing Finance Agency, 10 Liberty Housing, Revenue Bond, Series A (LOC - Freddie Mac) | ||||||||||||
0.02%, 01/07/15† | 18,000,000 | 18,000,000 | ||||||||||
New York State Housing Finance Agency, Biltmore Tower Housing Project, Revenue Bond, Series A | ||||||||||||
0.04%, 01/07/15† | 4,000,000 | 4,000,000 | ||||||||||
New York State Housing Finance Agency, Gotham West Project, Revenue Bond, Series A (LOC - Wells Fargo Bank N.A.) | ||||||||||||
0.08%, 01/07/15† | 10,000,000 | 10,000,000 | ||||||||||
New York State Housing Finance Agency, Victory Housing, Revenue Bond, Series 2001-A | ||||||||||||
0.04%, 01/07/15† | 2,700,000 | 2,700,000 | ||||||||||
Sacramento Housing Authority, The Lofts at Natomas Apartments, Revenue Bond, Series F | ||||||||||||
0.06%, 01/07/15† | 10,190,000 | 10,190,000 | ||||||||||
|
|
| ||||||||||
Total Municipal Bonds | 138,284,000 | |||||||||||
|
|
| ||||||||||
TIME DEPOSITS — 2.8% | ||||||||||||
ING Bank NV | ||||||||||||
0.12%, 01/05/15 | 11,000,000 | 11,000,000 | ||||||||||
Natixis SA | ||||||||||||
0.05%, 01/02/15 | 25,000,000 | 25,000,000 | ||||||||||
|
|
| ||||||||||
Total Time Deposits | 36,000,000 | |||||||||||
|
|
|
88 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
U.S. TREASURY OBLIGATIONS — 1.4% |
| |||||||||
U.S. Treasury Notes | ||||||||||
0.11%, 04/30/16† | $ | 10,000,000 | $ | 10,000,000 | ||||||
0.09%, 10/31/16† | 8,000,000 | 7,993,022 | ||||||||
|
| |||||||||
17,993,022 | ||||||||||
|
| |||||||||
Total U.S. Treasury Obligations |
| 17,993,022 | ||||||||
|
| |||||||||
REPURCHASE AGREEMENTS — 2.6% |
| |||||||||
Goldman Sachs & Co. | ||||||||||
0.08% (dated 12/31/14, due 01/02/15, repurchase price $34,000,151, collateralized by U.S. Treasury Bill, 0.000%, due 02/15/27 to 11/15/41, total market value $34,680,000) | ||||||||||
(Cost $34,000,000) | 34,000,000 | 34,000,000 | ||||||||
|
|
Value | ||||||||
TOTAL INVESTMENTS — 100.0% | $ | 1,285,677,236 | ||||||
Liabilities in Excess of | (558,062 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,285,119,174 | ||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 34,999,103 | $ | — | $ | 34,999,103 | $ | — | ||||||||||||
Certificates of Deposit | 391,545,937 | — | 391,545,937 | — | ||||||||||||||||
Commercial Paper | 620,908,551 | — | 620,908,551 | — | ||||||||||||||||
Corporate Bonds | 11,946,623 | — | 11,946,623 | — | ||||||||||||||||
Municipal Bonds | 138,284,000 | — | 138,284,000 | — | ||||||||||||||||
Repurchase Agreements | 34,000,000 | — | 34,000,000 | — | ||||||||||||||||
Time Deposits | 36,000,000 | — | 36,000,000 | — | ||||||||||||||||
U.S. Treasury Obligations | 17,993,022 | — | 17,993,022 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 1,285,677,236 | $ | — | $ | 1,285,677,236 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 89 |
Table of Contents
Low-Duration Bond Fund (Unaudited)
The Fund invested in a diversified portfolio composed primarily of investment grade fixed income securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally between one to three years. The Investor Class of the Fund outperformed its all-U.S. Treasury benchmark index, the Bank of America Merrill Lynch 1-3 Year Treasury Index, for the one-year period ended December 31, 2014 (0.97% versus 0.62%). In an effort to outperform its benchmark index, the Fund tactically utilized spread sectors (such as investment grade corporates, mortgage-backed securities and asset-backed securities) that traded at a yield premium relative to their U.S. Treasury counterparts. The strategy of overweighting non-U.S. Treasuries sectors, particularly investment grade corporate bonds, added value relative to the benchmark index for most of the year with the exception of the fourth quarter, a period that experienced spread widening due to elevated market volatility and fears over economic growth outside of the U.S.
Other strategies involving derivatives were utilized during the year resulting in an overall modest impact to performance. U.S. Treasury futures and Eurodollar futures contracts were used for the common purposes of duration management and yield curve positioning strategies. Over the course of the calendar year, these positions had a minimal impact on relative performance. Credit default swaps were utilized which slightly benefitted the Fund’s relative performance during the year as spreads compressed within the corporate bond sector during the period the positions were held. In an effort to gain exposure to non-U.S. interest rates and duration, interest rate swaps were utilized and detracted modestly from relative performance. Currency forward contracts were used to hedge certain non-U.S. dollar positions. On an overall net basis, the currency strategies modestly benefitted relative performance.
During the year, the Fund remained true to its overall objective of seeking current income consistent with conservation of capital.
This Fund may be suitable for investors who have a short-term investment horizon, seek an investment return that is relatively stable and want to diversify their portfolio with a fixed income investment option. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and by its ability to select sub-advisers to allocate assets. Some derivatives may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns.
90
Table of Contents
Low-Duration Bond Fund (Unaudited)
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Corporate Bonds | 25.8 | |||
U.S. Treasury Obligations | 23.1 | |||
Mortgage-Backed Securities | 18.1 | |||
Money Market Funds | 14.8 | |||
Foreign Bonds | 13.7 | |||
Asset-Backed Securities | 10.8 | |||
Municipal Bonds | 1.4 | |||
Foreign Government Inflation-Linked Bond | 1.3 | |||
Agency Obligations | 0.7 | |||
Loan Agreements | 0.2 | |||
Purchased Option | 0.1 | |||
Written Options | (0.1 | ) | ||
TBA Sale Commitments | (0.4 | ) | ||
|
| |||
109.5 | ||||
|
|
91
Table of Contents
Low-Duration Bond Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||
Institutional Class* | Investor Class* | Benchmark** | ||||
One Year | 1.16% | 0.97% | 0.62% | |||
Five Year | 2.31% | 2.12% | 1.06% | |||
Ten Year | 3.22% | 3.04% | 2.54% | |||
Inception Date | 08/27/01 | 08/27/01 | ||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.43% | 0.67% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Bank of America Merrill Lynch 1-3 Year Treasury Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
92 |
Table of Contents
LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Par | Value | |||||||||||
AGENCY OBLIGATIONS — 0.7% |
| |||||||||||
Federal Home Loan Bank | ||||||||||||
0.50%, 09/28/16 | $ | 2,610,000 | $ | 2,603,757 | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||||||
0.57%, 08/26/16 | 3,500,000 | 3,490,424 | ||||||||||
Small Business Administration | ||||||||||||
6.95%, 11/01/16 | 57,425 | 59,617 | ||||||||||
|
|
| ||||||||||
Total Agency Obligations | 6,153,798 | |||||||||||
|
|
| ||||||||||
ASSET-BACKED SECURITIES — 10.8% |
| |||||||||||
ABCLO 2007-1, Ltd. | ||||||||||||
0.58%, 04/15/21 144A† | 1,275,000 | 1,260,888 | ||||||||||
ACAS CLO 2007-1, Ltd. | ||||||||||||
0.46%, 04/20/21 144A† | 1,329,958 | 1,319,462 | ||||||||||
Aircraft Lease Securitisation, Ltd. | ||||||||||||
0.42%, 05/10/32 144A† | 356,131 | 350,344 | ||||||||||
Ally Master Owner Trust | ||||||||||||
0.61%, 04/15/18† | 1,400,000 | 1,399,089 | ||||||||||
American Express Credit Account Master Trust | ||||||||||||
0.98%, 05/15/19 | 2,250,000 | 2,249,224 | ||||||||||
American Homes 4 Rent | ||||||||||||
1.25%, 06/17/31 144A† | 981,163 | 969,758 | ||||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||||
4.04%, 07/10/17 | 1,226,000 | 1,248,028 | ||||||||||
1.31%, 11/08/17 | 370,000 | 371,156 | ||||||||||
0.96%, 04/09/18 | 1,200,000 | 1,201,446 | ||||||||||
1.19%, 05/08/18 | 785,000 | 785,798 | ||||||||||
1.66%, 09/10/18 | 500,000 | 502,592 | ||||||||||
1.79%, 03/08/19 | 980,000 | 978,800 | ||||||||||
2.72%, 09/09/19 | 400,000 | 406,894 | ||||||||||
2.29%, 11/08/19 | 655,000 | 659,680 | ||||||||||
2.15%, 03/09/20 | 825,000 | 823,968 | ||||||||||
Apidos CDO XIV | ||||||||||||
1.38%, 04/15/25 144A† | 2,090,000 | 2,043,184 | ||||||||||
1.93%, 04/15/25 144A† | 250,000 | 238,099 | ||||||||||
Asset-Backed Securities Corporation Home Equity Loan Trust | ||||||||||||
0.72%, 09/25/34† | 32,535 | 32,534 | ||||||||||
Atrium VII | ||||||||||||
1.33%, 11/16/22 144A† | 1,000,000 | 995,473 | ||||||||||
Avalon IV Capital, Ltd. | ||||||||||||
1.40%, 04/17/23 144A† | 1,190,000 | 1,182,969 | ||||||||||
BA Credit Card Trust | ||||||||||||
0.54%, 06/15/21† | 1,110,000 | 1,109,128 | ||||||||||
Babson CLO, Inc. | ||||||||||||
0.46%, 01/18/21 144A† | 1,162,099 | 1,160,515 | ||||||||||
Babson CLO, Ltd. | ||||||||||||
1.33%, 04/20/25 144A† | 2,300,000 | 2,259,863 | ||||||||||
Bear Stearns Asset Backed Securities Trust | ||||||||||||
0.62%, 12/25/42† | 124,478 | 122,069 | ||||||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||||||
1.17%, 10/25/37† | 739,749 | 689,437 | ||||||||||
0.36%, 01/25/47† | 90,885 | 90,583 | ||||||||||
BNC Mortgage Loan Trust | ||||||||||||
0.23%, 03/25/37† | 51,845 | 51,594 |
Par | Value | |||||||||||
Capital Auto Receivables Asset Trust | ||||||||||||
1.29%, 04/20/18 | $ | 260,000 | $ | 259,276 | ||||||||
1.74%, 10/22/18 | 270,000 | 270,893 | ||||||||||
Cent CLO 18, Ltd. | ||||||||||||
1.35%, 07/23/25 144A†D | 1,400,000 | 1,362,210 | ||||||||||
CenterPoint Energy Transition Bond Co., LLC | ||||||||||||
0.90%, 04/15/18 | 809,761 | 810,962 | ||||||||||
Citibank Credit Card Issuance Trust | ||||||||||||
1.32%, 09/07/18 | 493,000 | 495,733 | ||||||||||
1.02%, 02/22/19 | 2,600,000 | 2,590,003 | ||||||||||
5.65%, 09/20/19 | 3,500,000 | 3,882,130 | ||||||||||
Colony American Homes | ||||||||||||
1.40%, 05/17/31 144A† | 572,751 | 569,060 | ||||||||||
1.11%, 07/17/31 144A† | 844,305 | 831,758 | ||||||||||
Conseco Financial Corporation | ||||||||||||
6.04%, 11/01/29 | 6,423 | 6,592 | ||||||||||
Credit Acceptance Auto Loan Trust | ||||||||||||
1.50%, 04/15/21 144A | 1,410,000 | 1,413,734 | ||||||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||||||
0.60%, 05/25/35† | 278,216 | 276,774 | ||||||||||
Crusade ABS Trust | ||||||||||||
3.62%, 07/12/23(A)† | 869,884 | 712,290 | ||||||||||
CSAB Mortgage Backed Trust | ||||||||||||
5.72%, 09/25/36 STEP | 539,719 | 412,754 | ||||||||||
Dell Equipment Finance Trust | ||||||||||||
1.36%, 06/22/20 144A | 900,000 | 899,102 | ||||||||||
Drug Royalty II LP 2 | ||||||||||||
3.08%, 07/15/23 144A†@ | 285,206 | 286,859 | ||||||||||
Dryden XXII Senior Loan Fund | ||||||||||||
1.40%, 01/15/22 144A† | 1,185,000 | 1,179,387 | ||||||||||
Dryden XXVIII Senior Loan Fund | ||||||||||||
1.33%, 08/15/25 144A† | 930,000 | 906,218 | ||||||||||
1.78%, 08/15/25 144A† | 1,175,000 | 1,124,631 | ||||||||||
Eagle Creek CLO, Ltd. | ||||||||||||
1.14%, 02/28/18 144A† | 915,000 | 909,468 | ||||||||||
Enterprise Fleet Financing LLC | ||||||||||||
1.14%, 11/20/17 144A | 201,316 | 201,420 | ||||||||||
FHLMC Structured Pass-Through Securities | ||||||||||||
0.43%, 08/25/31† | 569,249 | 556,625 | ||||||||||
Gracechurch Card Funding PLC | ||||||||||||
0.82%, 02/15/17 144A(E)† | 800,000 | 969,134 | ||||||||||
Great America Leasing Receivables Funding LLC | ||||||||||||
1.83%, 06/17/19 144A | 200,000 | 199,288 | ||||||||||
IFC SBA Loan-Backed Adjustable Rate Certificate | ||||||||||||
1.25%, 01/15/24 144A† | 88,031 | 88,137 | ||||||||||
ING IM CLO 2012-1, Ltd. | ||||||||||||
1.44%, 03/14/22 144A† | 1,190,000 | 1,183,391 | ||||||||||
Invitation Homes 2013-SFR1 Trust | ||||||||||||
1.40%, 12/17/30 144A† | 776,418 | 772,647 | ||||||||||
Invitation Homes 2014-SFR1 Trust | ||||||||||||
1.16%, 06/17/31 144A† | 2,420,000 | 2,388,058 |
See Notes to Financial Statements. | 93 |
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||||
Invitation Homes 2014-SFR2 Trust | ||||||||||||
1.26%, 09/17/31 144A† | $ | 1,500,000 | $ | 1,481,367 | ||||||||
JP Morgan Mortgage Acquisition Corporation | ||||||||||||
0.90%, 07/25/35† | 231,416 | 230,325 | ||||||||||
0.35%, 02/25/36† | 468,391 | 446,904 | ||||||||||
LA Arena Funding LLC | ||||||||||||
7.66%, 12/15/26 144A | 284,027 | 315,489 | ||||||||||
Mayport CLO, Ltd. | ||||||||||||
0.88%, 02/22/20 144A† | 1,430,000 | 1,407,264 | ||||||||||
Navient Private Education Loan Trust | ||||||||||||
0.86%, 09/16/24 144A† | 294,551 | 294,603 | ||||||||||
Oaktree Enhanced Income Funding, | ||||||||||||
1.43%, 07/20/23 144A† | 900,000 | 896,565 | ||||||||||
1.88%, 07/20/23 144A† | 1,300,000 | 1,253,504 | ||||||||||
Octagon Investment Partners XIX, Ltd. | ||||||||||||
1.75%, 04/15/26 144A† | 1,900,000 | 1,887,422 | ||||||||||
2.23%, 04/15/26 144A† | 905,000 | 881,339 | ||||||||||
OHA Intrepid Leveraged Loan Fund, Ltd. | ||||||||||||
1.15%, 04/20/21 144A† | 981,991 | 980,232 | ||||||||||
OneMain Financial Issuance Trust | ||||||||||||
2.47%, 09/18/24 144A | 2,605,000 | 2,615,212 | ||||||||||
Option One Mortgage Loan Trust | ||||||||||||
0.43%, 11/25/35† | 980,535 | 967,372 | ||||||||||
Santander Drive Auto Receivables Trust | ||||||||||||
3.11%, 05/16/16 | 259,275 | 259,806 | ||||||||||
1.94%, 03/15/18 | 270,000 | 271,613 | ||||||||||
3.01%, 04/16/18 | 1,305,000 | 1,323,684 | ||||||||||
2.70%, 08/15/18 | 300,000 | 305,070 | ||||||||||
1.78%, 11/15/18 144A | 1,770,000 | 1,774,780 | ||||||||||
1.76%, 01/15/19 | 1,690,000 | 1,694,088 | ||||||||||
3.12%, 10/15/19 144A | 1,025,000 | 1,043,393 | ||||||||||
2.60%, 11/16/20 | 1,350,000 | 1,352,265 | ||||||||||
Securitized Asset Backed Receivables LLC Trust | ||||||||||||
0.54%, 10/25/35† | 2,800,000 | 2,665,776 | ||||||||||
SLM Private Credit Student Loan Trust | ||||||||||||
0.44%, 06/15/21† | 504,602 | 501,053 | ||||||||||
0.64%, 03/15/22† | 376,794 | 373,787 | ||||||||||
SLM Private Education Loan Trust | ||||||||||||
1.26%, 12/15/21 144A† | 127,323 | 127,722 | ||||||||||
1.01%, 02/15/22 144A† | 899,225 | 902,979 | ||||||||||
1.26%, 08/15/23 144A† | 655,228 | 658,818 | ||||||||||
0.91%, 10/16/23 144A† | 262,972 | 263,647 | ||||||||||
1.56%, 12/15/23 144A† | 890,901 | 895,567 | ||||||||||
1.31%, 01/15/26 144A† | 1,245,000 | 1,257,415 | ||||||||||
2.59%, 01/15/26 144A | 555,000 | 561,861 | ||||||||||
3.41%, 05/16/44 144A† | 2,106,844 | 2,228,870 | ||||||||||
Structured Asset Securities Corporation Mortgage Loan Trust | ||||||||||||
1.66%, 04/25/35† | 594,579 | 573,001 | ||||||||||
Symphony CLO, Ltd. | ||||||||||||
1.33%, 01/09/23 144A† | 1,675,000 | 1,663,994 |
Par | Value | |||||||||||
Trade MAPS 1, Ltd. | ||||||||||||
0.86%, 12/10/18 144A† | $ | 1,500,000 | $ | 1,501,943 | ||||||||
Tyron Park CLO, Ltd. | ||||||||||||
1.35%, 07/15/25 144A† | 1,270,000 | 1,242,611 | ||||||||||
1.78%, 07/15/25 144A† | 1,175,000 | 1,120,662 | ||||||||||
Volkswagen Auto Loan Enhanced Trust | ||||||||||||
0.46%, 01/20/17 | 2,112,395 | 2,112,006 | ||||||||||
World Omni Master Owner Trust | ||||||||||||
0.51%, 02/15/18 144A† | 750,000 | 750,043 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 91,145,161 | |||||||||||
|
| |||||||||||
CORPORATE BONDS — 25.8% |
| |||||||||||
AbbVie, Inc. | ||||||||||||
1.75%, 11/06/17D | 1,130,000 | 1,133,235 | ||||||||||
AES Corporation | ||||||||||||
3.23%, 06/01/19† | 900,000 | 879,750 | ||||||||||
Air Lease Corporation | ||||||||||||
4.50%, 01/15/16D | 1,700,000 | 1,751,000 | ||||||||||
3.38%, 01/15/19D | 625,000 | 635,938 | ||||||||||
Ally Financial, Inc. | ||||||||||||
8.30%, 02/12/15 | 300,000 | 301,875 | ||||||||||
4.63%, 06/26/15 | 500,000 | 504,375 | ||||||||||
2.75%, 01/30/17D | 1,400,000 | 1,399,132 | ||||||||||
3.25%, 09/29/17D | 810,000 | 812,025 | ||||||||||
American Express Credit Corporation | ||||||||||||
1.13%, 06/05/17D | 630,000 | 628,240 | ||||||||||
0.79%, 03/18/19†D | 4,900,000 | 4,884,604 | ||||||||||
American Express, Co. | ||||||||||||
0.82%, 05/22/18† | 1,240,000 | 1,240,994 | ||||||||||
American Honda Finance Corporation | ||||||||||||
1.13%, 10/07/16 | 500,000 | 502,530 | ||||||||||
AmeriGas Partners LP | ||||||||||||
6.25%, 08/20/19D | 500,000 | 518,750 | ||||||||||
Amgen, Inc. | ||||||||||||
1.25%, 05/22/17D | 1,210,000 | 1,201,155 | ||||||||||
ARC Properties Operating Partnership LP | ||||||||||||
2.00%, 02/06/17D | 1,900,000 | 1,812,647 | ||||||||||
Ashland, Inc. | ||||||||||||
3.00%, 03/15/16 | 240,000 | 242,400 | ||||||||||
3.88%, 04/15/18 | 1,480,000 | 1,500,350 | ||||||||||
Astoria Financial Corporation | ||||||||||||
5.00%, 06/19/17 | 770,000 | 813,646 | ||||||||||
Autodesk, Inc. | ||||||||||||
1.95%, 12/15/17 | 350,000 | 351,337 | ||||||||||
Aviation Capital Group Corporation | ||||||||||||
3.88%, 09/27/16 144A | 1,900,000 | 1,948,649 | ||||||||||
4.63%, 01/31/18 144A | 500,000 | 517,500 | ||||||||||
Bank of America Corporation | ||||||||||||
3.75%, 07/12/16 | 920,000 | 953,251 | ||||||||||
6.50%, 08/01/16 | 1,582,000 | 1,704,972 | ||||||||||
3.88%, 03/22/17 | 130,000 | 136,091 | ||||||||||
1.70%, 08/25/17D | 570,000 | 570,496 | ||||||||||
6.40%, 08/28/17 | 400,000 | 445,941 | ||||||||||
6.00%, 09/01/17 | 850,000 | 937,836 | ||||||||||
5.75%, 12/01/17 | 1,700,000 | 1,879,593 | ||||||||||
1.32%, 03/22/18† | 1,200,000 | 1,209,718 | ||||||||||
6.88%, 04/25/18 | 800,000 | 919,554 |
94 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||||
1.27%, 01/15/19† | $ | 280,000 | $ | 284,257 | ||||||||
2.65%, 04/01/19 | 2,500,000 | 2,520,848 | ||||||||||
BB&T Corporation | ||||||||||||
1.60%, 08/15/17D | 340,000 | 340,034 | ||||||||||
Becton Dickinson and Co. | ||||||||||||
0.69%, 06/15/16† | 3,000,000 | 3,001,794 | ||||||||||
1.80%, 12/15/17D | 700,000 | 703,083 | ||||||||||
Boston Scientific Corporation | ||||||||||||
2.65%, 10/01/18D | 1,800,000 | 1,803,712 | ||||||||||
Burlington Northern Santa Fe LLC | ||||||||||||
3.40%, 09/01/24 | 500,000 | 510,147 | ||||||||||
Cameron International Corporation | ||||||||||||
1.40%, 06/15/17D | 270,000 | 266,086 | ||||||||||
Capital One Financial Corporation | ||||||||||||
1.00%, 11/06/15 | 920,000 | 919,314 | ||||||||||
Capital One NA | ||||||||||||
1.50%, 09/05/17 | 690,000 | 684,886 | ||||||||||
CareFusion Corporation | ||||||||||||
1.45%, 05/15/17 | 1,250,000 | 1,241,870 | ||||||||||
Case New Holland Industrial, Inc. | ||||||||||||
7.88%, 12/01/17 | 380,000 | 419,900 | ||||||||||
Caterpillar Financial Services Corporation | ||||||||||||
1.25%, 08/18/17 | 490,000 | 488,293 | ||||||||||
CC Holdings GS V LLC | ||||||||||||
2.38%, 12/15/17 | 300,000 | 302,874 | ||||||||||
Chesapeake Energy Corporation | ||||||||||||
3.48%, 04/15/19† | 3,300,000 | 3,242,250 | ||||||||||
CHS/Community Health Systems, Inc. | ||||||||||||
5.13%, 08/15/18 | 200,000 | 207,500 | ||||||||||
Cisco Systems, Inc. | ||||||||||||
1.10%, 03/03/17 | 900,000 | 900,859 | ||||||||||
CIT Group, Inc. | ||||||||||||
4.75%, 02/15/15 144A | 1,800,000 | 1,803,037 | ||||||||||
4.25%, 08/15/17 | 1,950,000 | 1,993,875 | ||||||||||
Citigroup, Inc. | ||||||||||||
3.95%, 06/15/16 | 1,360,000 | 1,412,273 | ||||||||||
1.19%, 07/25/16† | 3,200,000 | 3,221,510 | ||||||||||
4.45%, 01/10/17 | 450,000 | 475,917 | ||||||||||
1.55%, 08/14/17D | 1,300,000 | 1,296,827 | ||||||||||
Citizens Bank NA | ||||||||||||
1.60%, 12/04/17 | 900,000 | 896,666 | ||||||||||
Compass Bank | ||||||||||||
1.85%, 09/29/17 | 500,000 | 498,197 | ||||||||||
Computer Sciences Corporation | ||||||||||||
2.50%, 09/15/15D | 210,000 | 211,932 | ||||||||||
ConAgra Foods, Inc. | ||||||||||||
1.30%, 01/25/16D | 240,000 | 240,021 | ||||||||||
Continental Airlines 2010-1 Class B Pass Through Trust | ||||||||||||
6.00%, 07/12/20 | 442,060 | 457,533 | ||||||||||
Cox Communications, Inc. | ||||||||||||
6.25%, 06/01/18 144A | 1,250,000 | 1,412,512 | ||||||||||
Daimler Finance North America LLC | ||||||||||||
1.25%, 01/11/16 144A | 530,000 | 531,576 | ||||||||||
1.13%, 03/10/17 144A | 300,000 | 298,415 | ||||||||||
0.57%, 08/01/17 144A†@ | 200,000 | 199,563 | ||||||||||
1.38%, 08/01/17 144A | 660,000 | 657,333 |
Par | Value | |||||||||||
Delta Air Lines 2010-2 Class B Pass Through Trust | ||||||||||||
6.75%, 05/23/17 | $ | 300,000 | $ | 312,000 | ||||||||
Digital Realty Trust LP | ||||||||||||
4.50%, 07/15/15D | 905,000 | 913,655 | ||||||||||
DIRECTV Holdings LLC | ||||||||||||
3.13%, 02/15/16D | 320,000 | 327,353 | ||||||||||
Discover Bank | ||||||||||||
2.00%, 02/21/18 | 1,380,000 | 1,377,441 | ||||||||||
DISH DBS Corporation | ||||||||||||
7.13%, 02/01/16 | 2,800,000 | 2,950,500 | ||||||||||
DTE Energy Co. | ||||||||||||
2.40%, 12/01/19 | 100,000 | 100,132 | ||||||||||
Enable Midstream Partners LP | ||||||||||||
2.40%, 05/15/19 144A@ | 300,000 | 292,080 | ||||||||||
Enterprise Products Operating LLC | ||||||||||||
1.25%, 08/13/15 | 230,000 | 230,642 | ||||||||||
ERAC USA Finance LLC | ||||||||||||
1.40%, 04/15/16 144A | 180,000 | 180,479 | ||||||||||
6.38%, 10/15/17 144A | 600,000 | 674,116 | ||||||||||
Express Scripts Holding Co. | ||||||||||||
1.25%, 06/02/17 | 380,000 | �� | 376,280 | |||||||||
Federal Express Corporation 2012 Pass-Through Trust | ||||||||||||
2.63%, 01/15/18 144A | 366,521 | 371,050 | ||||||||||
Fidelity National Information Services, Inc. | ||||||||||||
2.00%, 04/15/18 | 340,000 | 338,431 | ||||||||||
Fifth Third Bancorp | ||||||||||||
5.45%, 01/15/17 | 250,000 | 268,408 | ||||||||||
Fifth Third Bank | ||||||||||||
1.15%, 11/18/16 | 700,000 | 698,980 | ||||||||||
Ford Motor Credit Co., LLC | ||||||||||||
3.98%, 06/15/16 | 700,000 | 725,036 | ||||||||||
8.00%, 12/15/16 | 1,820,000 | 2,038,720 | ||||||||||
3.00%, 06/12/17 | 560,000 | 574,901 | ||||||||||
1.07%, 03/12/19† | 4,460,000 | 4,438,962 | ||||||||||
Freeport-McMoRan, Inc. | ||||||||||||
2.15%, 03/01/17D | 210,000 | 210,456 | ||||||||||
2.30%, 11/14/17D | 840,000 | 841,587 | ||||||||||
General Mills, Inc. | ||||||||||||
1.40%, 10/20/17D | 720,000 | 717,432 | ||||||||||
General Motors Co. | ||||||||||||
3.50%, 10/02/18D | 953,000 | 976,825 | ||||||||||
General Motors Financial Co., Inc. | ||||||||||||
2.75%, 05/15/16 144A | 863,000 | 878,642 | ||||||||||
2.63%, 07/10/17 | 1,060,000 | 1,065,239 | ||||||||||
3.00%, 09/25/17D | 1,300,000 | 1,316,289 | ||||||||||
General Motors Financial Co., Inc. | ||||||||||||
2.75%, 05/15/16D | 1,100,000 | 1,119,937 | ||||||||||
Glencore Funding LLC | ||||||||||||
1.59%, 01/15/19 144A† | 1,200,000 | 1,221,457 | ||||||||||
Goldman Sachs Group, Inc. | ||||||||||||
1.60%, 11/23/15 | 640,000 | 643,492 | ||||||||||
5.35%, 01/15/16 | 761,000 | 794,317 | ||||||||||
3.63%, 02/07/16D | 2,874,000 | 2,949,678 | ||||||||||
5.75%, 10/01/16D | 135,000 | 144,920 | ||||||||||
5.95%, 01/18/18 | 2,003,000 | 2,226,829 | ||||||||||
1.43%, 04/30/18† | 1,250,000 | 1,265,691 | ||||||||||
1.33%, 11/15/18† | 5,080,000 | 5,134,600 | ||||||||||
HCA, Inc. | ||||||||||||
3.75%, 03/15/19D | 1,600,000 | 1,606,000 |
See Notes to Financial Statements. | 95 |
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Health Care REIT, Inc. | ||||||||
3.63%, 03/15/16 | $ | 400,000 | $ | 411,807 | ||||
6.20%, 06/01/16 | 1,546,000 | 1,654,095 | ||||||
Healthcare Realty Trust, Inc. | ||||||||
6.50%, 01/17/17 | 235,000 | 256,747 | ||||||
Hess Corporation | ||||||||
1.30%, 06/15/17 | 310,000 | 305,609 | ||||||
Hewlett-Packard Co. | ||||||||
1.17%, 01/14/19† | 520,000 | 511,604 | ||||||
HSBC Finance Corporation | ||||||||
0.66%, 06/01/16† | 400,000 | 399,266 | ||||||
HSBC USA, Inc. | ||||||||
1.14%, 09/24/18† | 800,000 | 807,742 | ||||||
Huntington National Bank | ||||||||
1.30%, 11/20/16D | 500,000 | 498,166 | ||||||
0.66%, 04/24/17† | 250,000 | 249,883 | ||||||
1.38%, 04/24/17 | 290,000 | 287,705 | ||||||
Hyundai Capital America | ||||||||
1.63%, 10/02/15 144A | 500,000 | 502,143 | ||||||
3.75%, 04/06/16 144A | 190,000 | 195,405 | ||||||
1.45%, 02/06/17 144A | 800,000 | 797,402 | ||||||
IAC/InterActiveCorp | ||||||||
4.88%, 11/30/18 | 300,000 | 306,750 | ||||||
Ingredion, Inc. | ||||||||
3.20%, 11/01/15 | 200,000 | 203,387 | ||||||
International Lease Finance Corporation | ||||||||
4.88%, 04/01/15 | 550,000 | 555,019 | ||||||
8.63%, 09/15/15 | 600,000 | 627,000 | ||||||
5.75%, 05/15/16 | 1,000,000 | 1,039,375 | ||||||
6.75%, 09/01/16 144A | 1,365,000 | 1,457,138 | ||||||
3.88%, 04/15/18 | 795,000 | 796,491 | ||||||
Interpublic Group of Cos., Inc. | ||||||||
2.25%, 11/15/17 | 283,000 | 283,536 | ||||||
IPALCO Enterprises, Inc. | ||||||||
7.25%, 04/01/16 144A | 400,000 | 424,000 | ||||||
Jabil Circuit, Inc. | ||||||||
7.75%, 07/15/16 | 295,000 | 317,494 | ||||||
Jackson National Life Global Funding | ||||||||
1.25%, 02/21/17 144A | 600,000 | 597,226 | ||||||
JB Hunt Transport Services, Inc. | ||||||||
3.38%, 09/15/15 | 550,000 | 559,534 | ||||||
2.40%, 03/15/19D | 620,000 | 620,946 | ||||||
John Deere Capital Corporation | ||||||||
1.05%, 10/11/16 | 480,000 | 480,888 | ||||||
1.13%, 06/12/17 | 840,000 | 837,256 | ||||||
Johnson Controls, Inc. | ||||||||
1.40%, 11/02/17 | 130,000 | 128,908 | ||||||
JPMorgan Chase & Co. | ||||||||
3.45%, 03/01/16 | 1,249,000 | 1,282,341 | ||||||
3.15%, 07/05/16 | 2,252,000 | 2,315,423 | ||||||
0.68%, 11/18/16† | 1,300,000 | 1,300,082 | ||||||
0.75%, 02/15/17† | 3,400,000 | 3,393,186 | ||||||
1.35%, 02/15/17D | 1,240,000 | 1,240,615 | ||||||
2.00%, 08/15/17 | 1,000,000 | 1,010,149 | ||||||
1.13%, 01/25/18†D | 3,110,000 | 3,136,774 | ||||||
Kinder Morgan, Inc. | ||||||||
7.00%, 06/15/17 | 351,000 | 388,732 | ||||||
2.00%, 12/01/17 | 415,000 | 412,722 | ||||||
3.05%, 12/01/19D | 850,000 | 844,195 | ||||||
4.30%, 06/01/25D | 100,000 | 100,255 |
Par | Value | |||||||
Kinder Morgan Finance Co. LLC | ||||||||
6.00%, 01/15/18 144A | $ | 2,300,000 | $ | 2,504,240 | ||||
Kroger Co. | ||||||||
2.20%, 01/15/17 | 500,000 | 508,200 | ||||||
L-3 Communications Corporation | ||||||||
1.50%, 05/28/17D | 300,000 | 297,223 | ||||||
Lehman Escrow Bonds | ||||||||
0.00%, 12/28/17+W†# | 2,600,000 | — | ||||||
0.00%, 12/31/99W†# | 600,000 | 88,500 | ||||||
Lennar Corporation | ||||||||
4.50%, 06/15/19 | 1,000,000 | 1,000,000 | ||||||
Liberty Property LP | �� | |||||||
6.63%, 10/01/17 | 375,000 | 420,489 | ||||||
Life Technologies Corporation | ||||||||
3.50%, 01/15/16 | 800,000 | 809,886 | ||||||
Manufacturers & Traders Trust Co. | ||||||||
1.25%, 01/30/17 | 700,000 | 698,777 | ||||||
1.40%, 07/25/17 | 780,000 | 779,345 | ||||||
Masco Corporation | ||||||||
4.80%, 06/15/15 | 365,000 | 370,664 | ||||||
6.13%, 10/03/16 | 500,000 | 532,750 | ||||||
Maxim Integrated Products, Inc. | ||||||||
2.50%, 11/15/18 | 1,350,000 | 1,348,194 | ||||||
McKesson Corporation | ||||||||
1.29%, 03/10/17 | 300,000 | 298,627 | ||||||
Medtronic, Inc. | ||||||||
1.50%, 03/15/18 144A | 270,000 | 268,918 | ||||||
2.50%, 03/15/20 144AD | 2,840,000 | 2,850,900 | ||||||
Morgan Stanley | ||||||||
5.75%, 10/18/16 | 5,400,000 | 5,800,518 | ||||||
4.75%, 03/22/17 | 1,015,000 | 1,081,742 | ||||||
1.88%, 01/05/18 | 510,000 | 508,502 | ||||||
1.51%, 04/25/18† | 1,520,000 | 1,545,433 | ||||||
2.13%, 04/25/18D | 234,000 | 234,322 | ||||||
0.97%, 07/23/19†D | 940,000 | 937,277 | ||||||
Motorola Solutions, Inc. | ||||||||
3.50%, 09/01/21D | 1,900,000 | 1,902,858 | ||||||
MUFG Union Bank NA | ||||||||
1.00%, 09/26/16† | 600,000 | 603,334 | ||||||
Mylan, Inc. | ||||||||
1.80%, 06/24/16 | 180,000 | 181,151 | ||||||
Nabors Industries, Inc. | ||||||||
2.35%, 09/15/16 | 1,100,000 | 1,088,498 | ||||||
National Oilwell Varco, Inc. | ||||||||
1.35%, 12/01/17D | 660,000 | 651,986 | ||||||
Naviet Corporation | ||||||||
6.25%, 01/25/16 | 3,000,000 | 3,127,500 | ||||||
NBCUniversal Enterprise, Inc. | ||||||||
0.92%, 04/15/18 144A† | 355,000 | 358,242 | ||||||
NCUA Guaranteed Notes | ||||||||
1.40%, 06/12/15 | 1,180,000 | 1,186,053 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
1.34%, 09/01/15 | 3,300,000 | 3,310,484 | ||||||
Nissan Motor Acceptance Corporation | ||||||||
1.00%, 03/15/16 144AD | 910,000 | 910,673 | ||||||
1.95%, 09/12/17 144A | 520,000 | 523,720 | ||||||
Northwest Airlines 2002-1 Class G-2 Pass Through Trust | ||||||||
6.26%, 05/20/23 | 130,670 | 140,548 |
96 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||
Ohio Power Co. | ||||||||
6.05%, 05/01/18D | $ | 1,000,000 | $ | 1,130,855 | ||||
Omnicom Group, Inc. | ||||||||
5.90%, 04/15/16 | 285,000 | 301,716 | ||||||
PACCAR Financial Corporation | ||||||||
0.75%, 05/16/16D | 270,000 | 270,038 | ||||||
1.10%, 06/06/17D | 250,000 | 249,118 | ||||||
0.84%, 12/06/18† | 250,000 | 251,684 | ||||||
Parker Hannifin Corporation | ||||||||
4.13%, 11/11/15(E) | 700,000 | 872,899 | ||||||
Penske Truck Leasing Co. LP | ||||||||
2.50%, 03/15/16 144AD | 1,650,000 | 1,673,199 | ||||||
3.38%, 03/15/18 144A | 1,115,000 | 1,150,811 | ||||||
2.50%, 06/15/19 144A | 190,000 | 189,039 | ||||||
Phillips 66 | ||||||||
2.95%, 05/01/17D | 210,000 | 217,006 | ||||||
Pioneer Natural Resources Co. | ||||||||
5.88%, 07/15/16 | 1,960,000 | 2,082,443 | ||||||
6.65%, 03/15/17 | 900,000 | 986,501 | ||||||
6.88%, 05/01/18 | 400,000 | 448,106 | ||||||
Piper Jaffray Cos. | ||||||||
4.76%, 11/30/15 144A†@ | 100,000 | 100,596 | ||||||
Plains All American Pipeline LP | ||||||||
2.60%, 12/15/19 | 900,000 | 894,775 | ||||||
Plains Exploration & Production Co. | ||||||||
6.50%, 11/15/20 | 350,000 | 379,739 | ||||||
Principal Life Global Funding II | ||||||||
1.00%, 12/11/15 144A | 530,000 | 531,478 | ||||||
Prologis LP | ||||||||
4.50%, 08/15/17 | 500,000 | 533,138 | ||||||
Prudential Covered Trust | ||||||||
3.00%, 09/30/15 144A | 600,000 | 608,538 | ||||||
Prudential Financial, Inc. | ||||||||
1.01%, 08/15/18† | 500,000 | 503,467 | ||||||
QVC, Inc. | ||||||||
3.13%, 04/01/19D | 750,000 | 749,758 | ||||||
Regions Financial Corporation | ||||||||
2.00%, 05/15/18D | 550,000 | 545,043 | ||||||
Rockies Express Pipeline LLC | ||||||||
3.90%, 04/15/15 144AD | 200,000 | 199,500 | ||||||
Samsung Electronics America, Inc. | ||||||||
1.75%, 04/10/17 144A | 1,150,000 | 1,154,123 | ||||||
Santander Bank NA | ||||||||
8.75%, 05/30/18 | 700,000 | 834,329 | ||||||
SteelRiver Transmission Co., LLC | ||||||||
4.71%, 06/30/17 144A | 494,870 | 515,552 | ||||||
SunTrust Bank | ||||||||
5.20%, 01/17/17 | 890,000 | 953,599 | ||||||
1.35%, 02/15/17 | 1,240,000 | 1,240,422 | ||||||
Synchrony Financial | ||||||||
1.88%, 08/15/17D | 750,000 | 751,918 | ||||||
3.00%, 08/15/19 | 390,000 | 394,517 | ||||||
Sysco Corporation | ||||||||
1.45%, 10/02/17 | 280,000 | 279,879 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.30%, 02/15/22 | 1,900,000 | 1,906,137 | ||||||
TIAA Asset Management Finance Co. LLC | ||||||||
2.95%, 11/01/19 144A@ | 1,400,000 | 1,404,276 | ||||||
T-Mobile USA, Inc. | ||||||||
5.25%, 09/01/18D | 600,000 | 624,750 |
Par | Value | |||||||
Toyota Motor Credit Corp | ||||||||
1.13%, 05/16/17 | $ | 1,260,000 | $ | 1,255,969 | ||||
United Air Lines 2009-1 Pass-Through Trust | ||||||||
10.40%, 05/01/18D | 308,181 | 343,406 | ||||||
United Airline 2009-2A Pass Through Trust | ||||||||
9.75%, 07/15/18 | �� | 496,462 | 551,073 | |||||
United Airlines 2014-2 Class B Pass Through Trust | ||||||||
4.63%, 03/03/24 | 470,000 | 460,600 | ||||||
UnitedHealth Group, Inc. | ||||||||
1.40%, 10/15/17D | 210,000 | 209,937 | ||||||
USG Corporation | ||||||||
8.38%, 10/15/18 144AD | 100,000 | 104,950 | ||||||
Ventas Realty LP | ||||||||
1.55%, 09/26/16 | 414,000 | 415,836 | ||||||
1.25%, 04/17/17 | 230,000 | 227,985 | ||||||
Verizon Communications, Inc. | ||||||||
1.77%, 09/15/16† | 5,900,000 | 6,009,474 | ||||||
1.35%, 06/09/17 | 840,000 | 836,611 | ||||||
1.99%, 09/14/18† | 570,000 | 593,475 | ||||||
Vesey Street Investment Trust I | ||||||||
4.40%, 09/01/16 STEP | 700,000 | 734,649 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
1.25%, 05/23/17 144A | 1,060,000 | 1,055,401 | ||||||
1.60%, 11/20/17 144A | 470,000 | 468,608 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
0.68%, 05/18/16† | 400,000 | 400,124 | ||||||
1.75%, 11/17/17 | 230,000 | 230,730 | ||||||
2.70%, 11/18/19 | 170,000 | 171,056 | ||||||
WEA Finance LLC | ||||||||
1.75%, 09/15/17 144A | 220,000 | 218,959 | ||||||
2.70%, 09/17/19 144AD | 260,000 | 260,209 | ||||||
WellPoint, Inc. | ||||||||
2.38%, 02/15/17D | 1,060,000 | 1,080,260 | ||||||
Wells Fargo & Co. | ||||||||
1.15%, 06/02/17D | 990,000 | 985,176 | ||||||
1.40%, 09/08/17 | 600,000 | 599,748 | ||||||
0.86%, 04/23/18†D | 270,000 | 270,662 | ||||||
Whirlpool Corporation | ||||||||
1.65%, 11/01/17 | 340,000 | 339,104 | ||||||
Wm. Wrigley Jr. Co. | ||||||||
1.40%, 10/21/16 144A | 200,000 | 200,250 | ||||||
2.00%, 10/20/17 144A | 200,000 | 201,579 | ||||||
WPX Energy, Inc. | ||||||||
5.25%, 01/15/17D | 780,000 | 791,700 | ||||||
Xcel Energy, Inc. | ||||||||
0.75%, 05/09/16 | 410,000 | 409,403 | ||||||
|
| |||||||
Total Corporate Bonds | 218,847,468 | |||||||
|
| |||||||
FOREIGN BONDS — 13.7% |
| |||||||
Australia — 1.4% | ||||||||
Asciano Finance, Ltd. | ||||||||
5.00%, 04/07/18 144A | 1,500,000 | 1,613,805 | ||||||
Australia & New Zealand Banking Group, Ltd. | ||||||||
0.79%, 05/15/18† | 1,230,000 | 1,233,897 | ||||||
Macquarie Bank, Ltd. | ||||||||
2.00%, 08/15/16 144A | 1,500,000 | 1,518,869 | ||||||
5.00%, 02/22/17 144A@ | 250,000 | 266,786 | ||||||
0.86%, 10/27/17 144A† | 480,000 | 480,859 | ||||||
1.60%, 10/27/17 144A | 860,000 | 854,932 |
See Notes to Financial Statements. | 97 |
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
Macquarie Group, Ltd. | ||||||||
1.23%, 01/31/17 144A† | $ | 1,240,000 | $ | 1,252,321 | ||||
4.88%, 08/10/17 144A | 355,000 | 379,829 | ||||||
National Australia Bank, Ltd. | ||||||||
1.30%, 06/30/17 144A | 1,190,000 | 1,184,658 | ||||||
Perpetual Trustee- Apollo | ||||||||
3.96%, 10/03/40(A) | 621,787 | 512,181 | ||||||
QBE Insurance Group, Ltd. | ||||||||
6.13%, 09/28/15(U)D | 250,000 | 403,516 | ||||||
Virgin Australia 2013-1A Trust | ||||||||
5.00%, 04/23/25 144AD | 626,510 | 645,305 | ||||||
Westpac Banking Corporation | ||||||||
1.50%, 12/01/17 | 1,220,000 | 1,219,446 | ||||||
|
| |||||||
11,566,404 | ||||||||
|
| |||||||
Bermuda — 0.1% | ||||||||
Aircastle, Ltd. | ||||||||
6.75%, 04/15/17D | 1,000,000 | 1,072,500 | ||||||
|
| |||||||
Brazil — 0.2% | ||||||||
Banco do Nordeste do Brasil SA | ||||||||
3.63%, 11/09/15 144A | 710,000 | 710,000 | ||||||
Banco Santander Brasil SA | ||||||||
4.63%, 02/13/17 144A | 1,000,000 | 1,041,300 | ||||||
|
| |||||||
1,751,300 | ||||||||
|
| |||||||
Canada — 0.8% | ||||||||
Bell Canada | ||||||||
1.80%, 04/22/16(C)† | 1,150,000 | 990,019 | ||||||
Canadian Natural Resources, Ltd. | ||||||||
1.75%, 01/15/18 | 480,000 | 477,526 | ||||||
Glencore Finance Canada, Ltd. | ||||||||
2.70%, 10/25/17 144A | 1,290,000 | 1,305,979 | ||||||
Husky Energy, Inc. | ||||||||
7.25%, 12/15/19 | 605,000 | 710,084 | ||||||
Nexen Energy ULC | ||||||||
5.20%, 03/10/15 | 790,000 | 795,711 | ||||||
Rogers Communications, Inc. | ||||||||
1.88%, 03/13/17(C)† | 550,000 | 474,447 | ||||||
Shaw Communications, Inc. | ||||||||
1.97%, 02/01/16(C)† | 1,000,000 | 860,940 | ||||||
Thomson Reuters Corporation | ||||||||
0.88%, 05/23/16 | 600,000 | 597,095 | ||||||
1.65%, 09/29/17 | 640,000 | 636,501 | ||||||
TransAlta Corporation | ||||||||
1.90%, 06/03/17 | 250,000 | 249,087 | ||||||
|
| |||||||
7,097,389 | ||||||||
|
| |||||||
Cayman Islands — 0.5% | ||||||||
Alibaba Group Holding, Ltd. | ||||||||
1.63%, 11/28/17 144A | 400,000 | 398,468 | ||||||
Baidu, Inc. | ||||||||
2.25%, 11/28/17 | 440,000 | 440,917 | ||||||
Hutchison Whampoa International, | ||||||||
2.00%, 11/08/17 144A | 370,000 | 371,669 | ||||||
Petrobras International Finance Co. | ||||||||
3.88%, 01/27/16 | 1,900,000 | 1,869,220 | ||||||
Seagate HDD Cayman | ||||||||
3.75%, 11/15/18 144A | 985,000 | 1,013,319 |
Par | Value | |||||||
Trafford Centre Finance, Ltd. | ||||||||
0.76%, 07/28/15(U)† | $ | 21,220 | $ | 33,043 | ||||
|
| |||||||
4,126,636 | ||||||||
|
| |||||||
Chile — 0.5% | ||||||||
Banco Santander Chile | ||||||||
1.83%, 01/19/16 144A† | 2,500,000 | 2,512,500 | ||||||
Celulosa Arauco y Constitucion SA | ||||||||
5.63%, 04/20/15 | 1,260,000 | 1,272,682 | ||||||
Corpbanca SA | ||||||||
3.88%, 09/22/19 144A | 500,000 | 502,322 | ||||||
|
| |||||||
4,287,504 | ||||||||
|
| |||||||
Denmark — 0.1% | ||||||||
AP Moeller - Maersk A/S | ||||||||
2.55%, 09/22/19 144A | 670,000 | 672,621 | ||||||
|
| |||||||
France — 2.3% | ||||||||
Banque Federative du Credit Mutuel SA | ||||||||
1.08%, 10/28/16 144A† | 1,200,000 | 1,208,089 | ||||||
BNP Paribas SA | ||||||||
0.83%, 12/12/16† | 500,000 | 501,196 | ||||||
BPCE SA | ||||||||
1.63%, 02/10/17 | 440,000 | 441,575 | ||||||
0.86%, 06/23/17† | 856,000 | 855,954 | ||||||
Credit Agricole SA | ||||||||
1.03%, 04/15/19 144A† | 1,260,000 | 1,271,009 | ||||||
Dexia Credit Local SA | ||||||||
0.61%, 11/07/16 144A† | 2,500,000 | 2,506,640 | ||||||
0.63%, 01/11/17† | 9,800,000 | 9,843,982 | ||||||
Electricite de France | ||||||||
1.15%, 01/20/17 144A | 777,000 | 776,908 | ||||||
Lafarge SA | ||||||||
6.63%, 11/29/18(E) | 600,000 | 849,335 | ||||||
RCI Banque SA | ||||||||
0.98%, 04/07/15(E)† | 900,000 | 1,087,356 | ||||||
|
| |||||||
19,342,044 | ||||||||
|
| |||||||
Germany — 0.3% | ||||||||
FMS Wertmanagement AoeR | ||||||||
0.63%, 01/30/17D | 1,110,000 | 1,104,793 | ||||||
1.13%, 09/05/17 | 1,100,000 | 1,100,082 | ||||||
|
| |||||||
2,204,875 | ||||||||
|
| |||||||
Iceland — 0.1% | ||||||||
Iceland Government International Bond | ||||||||
4.88%, 06/16/16 | 860,000 | 897,109 | ||||||
|
| |||||||
Ireland — 0.1% | ||||||||
AerCap Ireland Capital, Ltd. | ||||||||
2.75%, 05/15/17 144AD | 700,000 | 686,875 | ||||||
|
| |||||||
Italy — 0.6% | ||||||||
Enel SpA | ||||||||
4.88%, 02/20/18(E) | 1,500,000 | 2,042,157 | ||||||
Intesa Sanpaolo SpA | ||||||||
1.61%, 04/11/16† | 3,300,000 | 3,305,772 | ||||||
|
| |||||||
5,347,929 | ||||||||
|
| |||||||
Japan — 0.8% | ||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
0.65%, 03/10/17 144A†@ | 3,000,000 | 2,986,647 |
98 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||||
1.20%, 03/10/17 144A | $ | 620,000 | $ | 615,290 | ||||||||
1.45%, 09/08/17 144A | 750,000 | 743,546 | ||||||||||
Japan Finance Organization for Municipalities | ||||||||||||
1.50%, 09/12/17 | 200,000 | 201,133 | ||||||||||
Mitsubishi UFJ Trust & Banking Corporation | ||||||||||||
1.60%, 10/16/17 144A | 500,000 | 496,615 | ||||||||||
Mizuho Bank, Ltd. | ||||||||||||
1.30%, 04/16/17 144A | 490,000 | 485,766 | ||||||||||
0.70%, 09/25/17 144AW† | 300,000 | 300,428 | ||||||||||
1.70%, 09/25/17 144A@ | 1,110,000 | 1,105,421 | ||||||||||
|
| |||||||||||
6,934,846 | ||||||||||||
|
| |||||||||||
Mexico — 0.3% | ||||||||||||
Kansas City Southern de Mexico SA de CV | ||||||||||||
0.93%, 10/28/16† | 1,000,000 | 1,001,066 | ||||||||||
Petroleos Mexicanos | ||||||||||||
5.50%, 01/21/21 | 1,400,000 | 1,522,500 | ||||||||||
|
| |||||||||||
2,523,566 | ||||||||||||
|
| |||||||||||
Netherlands — 0.4% | ||||||||||||
ABN AMRO Bank NV | ||||||||||||
1.03%, 10/28/16 144A† | 600,000 | 604,790 | ||||||||||
EDP Finance BV | ||||||||||||
6.00%, 02/02/18 144A | 800,000 | 867,808 | ||||||||||
GMAC International Finance BV | ||||||||||||
7.50%, 04/21/15(E) | 400,000 | 491,893 | ||||||||||
ING Bank NV | ||||||||||||
0.95%, 10/01/19 144A†@ | 250,000 | 250,637 | ||||||||||
Petrobras Global Finance BV | ||||||||||||
1.85%, 05/20/16† | 300,000 | 285,000 | ||||||||||
2.60%, 03/17/17† | 1,300,000 | 1,203,280 | ||||||||||
|
| |||||||||||
3,703,408 | ||||||||||||
|
| |||||||||||
New Zealand — 0.1% | ||||||||||||
ANZ New Zealand International, Ltd. | ||||||||||||
1.40%, 04/27/17 144A | 660,000 | 659,058 | ||||||||||
|
| |||||||||||
Norway — 0.0% | ||||||||||||
Eksportfinans ASA | ||||||||||||
2.38%, 05/25/16 | 300,000 | 301,452 | ||||||||||
|
| |||||||||||
Panama — 0.0% | ||||||||||||
Carnival Corporation | ||||||||||||
1.20%, 02/05/16 | 310,000 | 309,903 | ||||||||||
|
| |||||||||||
Singapore — 0.1% | ||||||||||||
DBS Group Holdings, Ltd. | ||||||||||||
0.73%, 07/16/19 144A† | 400,000 | 400,264 | ||||||||||
|
| |||||||||||
Slovenia — 0.3% | ||||||||||||
Slovenia Government International Bond | ||||||||||||
4.70%, 11/01/16 144A(E) | 1,700,000 | 2,203,862 | ||||||||||
4.75%, 05/10/18 | 200,000 | 214,500 | ||||||||||
|
| |||||||||||
2,418,362 | ||||||||||||
|
| |||||||||||
South Korea — 2.9% | ||||||||||||
Export-Import Bank of Korea | ||||||||||||
1.09%, 09/17/16† | 800,000 | 803,402 | ||||||||||
5.38%, 10/04/16 144A | 1,300,000 | 1,395,551 | ||||||||||
Hana Bank | ||||||||||||
4.00%, 11/03/16 | 1,500,000 | 1,570,845 | ||||||||||
3.50%, 10/25/17 | 800,000 | 833,136 |
Par | Value | |||||||||||
Hyundai Capital Services, Inc. | ||||||||||||
4.38%, 07/27/16 | $ | 1,657,000 | $ | 1,735,108 | ||||||||
4.38%, 07/27/16 144A | 2,900,000 | 3,036,700 | ||||||||||
Industrial Bank of Korea | ||||||||||||
2.38%, 07/17/17 | 2,000,000 | 2,030,680 | ||||||||||
Korea Development Bank | ||||||||||||
3.88%, 05/04/17 | 4,800,000 | 5,032,752 | ||||||||||
Korea Exchange Bank | ||||||||||||
1.75%, 09/27/15 | 500,000 | 502,824 | ||||||||||
Korea Land & Housing Corporation | ||||||||||||
1.88%, 08/02/17 144A | 2,000,000 | 1,995,186 | ||||||||||
Korea Western Power Co., Ltd. | ||||||||||||
2.88%, 10/10/18D | 3,000,000 | 3,064,215 | ||||||||||
KT Corporation | ||||||||||||
1.75%, 04/22/17 144A | 2,000,000 | 1,996,980 | ||||||||||
2.63%, 04/22/19@ | 800,000 | 805,284 | ||||||||||
|
| |||||||||||
24,802,663 | ||||||||||||
|
| |||||||||||
Spain — 0.2% | ||||||||||||
Instituto de Credito Oficial | ||||||||||||
1.13%, 04/01/16 144A | 1,300,000 | 1,295,352 | ||||||||||
|
| |||||||||||
Switzerland — 0.4% | ||||||||||||
Credit Suisse | ||||||||||||
1.38%, 05/26/17 | 1,480,000 | 1,476,503 | ||||||||||
3.63%, 09/09/24 | 500,000 | 509,240 | ||||||||||
UBS AG | ||||||||||||
1.38%, 08/14/17 | 1,200,000 | 1,192,952 | ||||||||||
|
| |||||||||||
3,178,695 | ||||||||||||
|
| |||||||||||
United Kingdom — 0.8% | ||||||||||||
Abbey National Treasury Services PLC | ||||||||||||
1.65%, 09/29/17 | 1,150,000 | 1,147,366 | ||||||||||
Anglo American Capital PLC | ||||||||||||
1.18%, 04/15/16 144A† | 300,000 | 300,397 | ||||||||||
AXIS Specialty Finance PLC | ||||||||||||
2.65%, 04/01/19 | 600,000 | 602,116 | ||||||||||
Barclays Bank PLC | ||||||||||||
0.81%, 02/17/17† | 890,000 | 891,196 | ||||||||||
HSBC Bank PLC | ||||||||||||
0.87%, 05/15/18 144A† | 1,190,000 | 1,195,740 | ||||||||||
Jaguar Land Rover Automotive PLC | ||||||||||||
4.13%, 12/15/18 144A | 700,000 | 707,000 | ||||||||||
Rofin | ||||||||||||
1.97%, 08/16/46 | 430,280 | 673,914 | ||||||||||
Standard Chartered PLC | ||||||||||||
1.50%, 09/08/17 144A | 1,320,000 | 1,318,387 | ||||||||||
|
| |||||||||||
6,836,116 | ||||||||||||
|
| |||||||||||
Virgin Islands (British) — 0.4% |
| |||||||||||
Sinopec Group Overseas Development 2014, Ltd. | ||||||||||||
1.01%, 04/10/17 144A† | 3,000,000 | 3,005,694 | ||||||||||
TSMC Global, Ltd. | ||||||||||||
1.63%, 04/03/18 144A | 370,000 | 363,732 | ||||||||||
|
| |||||||||||
3,369,426 | ||||||||||||
|
| |||||||||||
Total Foreign Bonds | 115,786,297 | |||||||||||
|
|
See Notes to Financial Statements. | 99 |
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||||
FOREIGN GOVERNMENT |
| |||||||||||
INFLATION-LINKED BOND — 1.3% |
| |||||||||||
Germany — 0.7% | ||||||||||||
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond | ||||||||||||
0.75%, 04/15/18(E) | $ | 4,100,000 | $ | 5,422,594 | ||||||||
|
| |||||||||||
Italy — 0.6% | ||||||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||||
2.45%, 03/26/16(E) | 4,300,000 | 5,319,534 | ||||||||||
|
| |||||||||||
Total Foreign Government Inflation-Linked Bond | 10,742,128 | |||||||||||
|
| |||||||||||
LOAN AGREEMENTS — 0.2% |
| |||||||||||
Activision Blizzard, Inc. Term B Loan | ||||||||||||
3.25%, 10/11/20 | 720,375 | 718,574 | ||||||||||
FMG Resources August 2006 Proprietary, Ltd. Term B Loan | ||||||||||||
3.75%, 06/30/19 | 839,375 | 760,474 | ||||||||||
H.J. Heinz Co. Term B2 Loan | ||||||||||||
3.50%,06/05/20 | 179,570 | 178,255 | ||||||||||
|
| |||||||||||
Total Loan Agreements | 1,657,303 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED SECURITIES — 18.1% |
| |||||||||||
Adjustable Rate Mortgage Trust | ||||||||||||
3.90%, 03/25/37† | 1,724,082 | 1,320,150 | ||||||||||
Alternative Loan Trust | ||||||||||||
6.00%, 10/25/32 | 7,998 | 7,802 | ||||||||||
American Home Mortgage Investment Trust | ||||||||||||
2.07%, 10/25/34† | 356,386 | 357,177 | ||||||||||
American Home Mortgage Assets Trust | ||||||||||||
1.03%, 11/25/46† | 905,269 | 494,855 | ||||||||||
Arran Residential Mortgages Funding PLC | ||||||||||||
1.68%, 11/19/47 144A† | 924,496 | 930,769 | ||||||||||
Banc of America Commercial Mortgage Trust | ||||||||||||
5.62%, 07/10/46† | 291,297 | 308,406 | ||||||||||
5.55%, 06/10/49† | 610,755 | 658,386 | ||||||||||
5.82%, 02/10/51† | 1,290,000 | 1,402,786 | ||||||||||
Banc of America Mortgage 2003-L Trust | ||||||||||||
2.70%, 01/25/34† | 189,396 | 185,074 | ||||||||||
Banc of America Mortgage 2004-I Trust | ||||||||||||
2.62%, 10/25/34† | 305,903 | 303,977 | ||||||||||
Banc of America Funding 2006 J Trust | ||||||||||||
2.80%, 01/20/47† | 490,713 | 390,041 | ||||||||||
Banc of America Mortgage Trust | ||||||||||||
6.50%, 10/25/31 | 57,505 | 60,328 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||||||
2.69%, 01/25/34† | 261,014 | 261,425 | ||||||||||
2.96%, 07/25/34† | 382,942 | 383,430 | ||||||||||
2.58%, 10/25/34† | 83,281 | 82,168 | ||||||||||
2.58%, 03/25/35† | 600,626 | 606,730 |
Par | Value | |||||||||||
Bear Stearns Alt-A Trust | ||||||||||||
0.91%, 11/25/34† | $ | 206,041 | $ | 204,913 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust | ||||||||||||
5.43%, 03/11/39† | 1,488,981 | 1,549,146 | ||||||||||
5.32%, 02/11/44 | 1,190,738 | 1,270,796 | ||||||||||
5.74%, 06/11/50 | 279,722 | 281,200 | ||||||||||
BLCP Hotel Trust | ||||||||||||
1.11%, 08/15/29 144A† | 2,000,000 | 2,002,054 | ||||||||||
CD 2007-CD4 Commercial Mortgage Trust | ||||||||||||
5.37%, 12/11/49† | 395,000 | 409,636 | ||||||||||
CDGJ Commercial Mortgage Trust | ||||||||||||
1.55%, 12/15/27 144A† | 790,000 | 790,260 | ||||||||||
COBALT CMBS Commercial Mortgage Trust | ||||||||||||
5.77%, 05/15/46† | 1,040,000 | 1,123,713 | ||||||||||
COMM 2006-C8 Mortgage Trust | ||||||||||||
5.31%, 12/10/46 | 1,128,388 | 1,195,331 | ||||||||||
COMM 2010-C1 Mortgage Trust | ||||||||||||
3.16%, 07/10/46 144A | 1,173,074 | 1,185,411 | ||||||||||
COMM 2012-CCRE2 Mortgage Trust | ||||||||||||
2.91%, 08/15/45 IOW† | 2,026,151 | 201,311 | ||||||||||
COMM 2013-CCRE11 Mortgage Trust | ||||||||||||
3.42%, 10/10/46 IOW† | 5,962,768 | 439,265 | ||||||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||||||
2.90%, 10/10/46 | 2,055,000 | 2,116,510 | ||||||||||
COMM 2013-CCRE7 Mortgage Trust | ||||||||||||
3.01%, 03/10/46 IOW† | 5,698,359 | 463,191 | ||||||||||
COMM 2013-FL3 Mortgage Trust | ||||||||||||
1.68%, 10/13/28 144A† | 1,062,238 | 1,064,667 | ||||||||||
COMM 2013-SFS Mortgage Trust | ||||||||||||
1.87%, 04/12/35 144A | 664,267 | 646,362 | ||||||||||
COMM 2014-FL5 Mortgage Trust | ||||||||||||
2.30%, 10/15/31 144A† | 670,000 | 667,711 | ||||||||||
COMM 2014-KYO Mortgage Trust | ||||||||||||
1.06%, 06/11/27 144A† | 3,400,000 | 3,394,424 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||||||
0.71%, 02/25/35† | 159,786 | 150,735 | ||||||||||
Credit Suisse Commercial Mortgage Trust | ||||||||||||
5.47%, 02/15/39† | 655,000 | 681,069 | ||||||||||
5.62%, 09/15/40† | 407,623 | 427,612 | ||||||||||
5.97%, 02/15/41† | 451,104 | 449,990 | ||||||||||
Crusade Global Trust | ||||||||||||
0.29%, 11/15/37† | 1,376,499 | 1,367,568 | ||||||||||
CSMC Trust 13-IVR3 | ||||||||||||
1.55%, 05/25/43 144A† | 610,414 | 578,630 | ||||||||||
CSMC Trust 2013-IVR2 | ||||||||||||
1.55%, 04/25/43 144A† | 1,178,710 | 1,100,269 | ||||||||||
DBRR 2011-C32 Trust | ||||||||||||
5.72%, 06/17/49 144A† | 1,805,000 | 1,939,843 | ||||||||||
Del Coronado Trust | ||||||||||||
0.96%, 03/15/26 144A† | 530,000 | 529,116 |
100 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||||
Deutsche Alt-B Securities Mortgage Loan Trust | ||||||||||||
5.87%, 10/25/36 STEP | $ | 435,630 | $ | 359,029 | ||||||||
5.89%, 10/25/36 STEP | 435,630 | 359,369 | ||||||||||
Fannie Mae Connecticut Avenue Securities | ||||||||||||
2.17%, 10/25/23† | 1,036,523 | 1,041,509 | ||||||||||
1.77%, 01/25/24† | 1,092,638 | 1,090,558 | ||||||||||
1.12%, 05/25/24† | 1,559,911 | 1,530,572 | ||||||||||
1.37%, 07/25/24† | 2,319,276 | 2,297,844 | ||||||||||
Fannie Mae Grantor Trust | ||||||||||||
3.31%, 02/25/32 | 63,792 | 65,097 | ||||||||||
FDIC 2010-R1 Trust | ||||||||||||
2.18%, 05/25/50 144A | 674,585 | 677,502 | ||||||||||
FDIC Guaranteed Notes Trust | ||||||||||||
0.88%, 12/04/20 144A† | 1,569,602 | 1,579,052 | ||||||||||
3.25%, 04/25/38 144A | 407,927 | 417,588 | ||||||||||
0.70%, 02/25/48 144A† | 177,037 | 177,104 | ||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||||
5.00%, 01/01/19 | 123,903 | 131,453 | ||||||||||
5.00%, 02/01/19 | 148,391 | 157,387 | ||||||||||
5.00%, 12/01/19 | 281,859 | 299,077 | ||||||||||
5.50%, 05/01/22 | 913,136 | 981,878 | ||||||||||
2.48%, 07/01/27† | 11,888 | 12,662 | ||||||||||
2.38%, 11/01/31† | 52,141 | 55,479 | ||||||||||
2.38%, 04/01/32† | 9,031 | 9,576 | ||||||||||
2.16%, 06/01/33† | 832,335 | 881,595 | ||||||||||
2.38%, 10/01/34† | 209,419 | 223,119 | ||||||||||
2.25%, 08/01/35† | 747,211 | 798,890 | ||||||||||
1.85%, 09/01/35† | 440,514 | 460,700 | ||||||||||
2.13%, 10/01/35† | 646,674 | 687,075 | ||||||||||
2.16%, 04/01/36† | 542,951 | 574,186 | ||||||||||
5.50%, 05/01/38 | 538,982 | 602,731 | ||||||||||
5.50%, 02/01/40 | 174,877 | 195,514 | ||||||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||||||
4.00%, 08/15/25 STEP | 376,587 | 401,483 | ||||||||||
4.50%, 09/15/41 | 900,967 | 968,672 | ||||||||||
4.50%, 11/15/41 | 964,151 | 1,046,332 | ||||||||||
Federal National Mortgage Association | ||||||||||||
0.51%, 01/25/17 | 1,260,207 | 1,260,848 | ||||||||||
5.00%, 07/01/19 | 65,355 | 70,013 | ||||||||||
5.00%, 05/01/21 | 553,508 | 594,092 | ||||||||||
5.00%, 11/01/21 | 234,413 | 251,749 | ||||||||||
2.19%, 12/01/24 CONV† | 15,298 | 15,731 | ||||||||||
9.00%, 05/01/25 | 6,566 | 6,647 | ||||||||||
9.00%, 07/01/25 | 15,549 | 15,738 | ||||||||||
3.00%, 01/01/26 TBA | 3,715,000 | 3,861,423 | ||||||||||
3.50%, 01/01/26 TBA | 1,940,000 | 2,049,428 | ||||||||||
2.50%, 12/01/27 | 2,682,810 | 2,737,253 | ||||||||||
2.34%, 09/01/31† | 70,772 | 75,633 | ||||||||||
1.46%, 08/01/32† | 677,926 | 707,575 | ||||||||||
5.50%, 10/01/32 | 410,177 | 460,791 | ||||||||||
2.29%, 12/01/32† | 484,150 | 515,824 | ||||||||||
2.00%, 04/01/33† | 151,499 | 161,007 | ||||||||||
1.94%, 06/01/33† | 119,255 | 126,832 | ||||||||||
2.54%, 06/01/33† | 59,353 | 63,571 | ||||||||||
2.43%, 10/01/33† | 263,536 | 279,568 | ||||||||||
2.29%, 12/01/33† | 93,738 | 99,470 | ||||||||||
2.70%, 03/01/34† | 93,752 | 95,176 | ||||||||||
1.92%, 09/01/34† | 168,034 | 178,407 | ||||||||||
1.92%, 09/01/34† | 201,076 | 213,884 | ||||||||||
1.81%, 10/01/34† | 198,659 | 209,963 |
Par | Value | |||||||||||
1.99%, 10/01/34† | $ | 251,996 | $ | 265,812 | ||||||||
2.29%, 02/01/35† | 317,886 | 341,822 | ||||||||||
2.23%, 09/01/35† | 497,571 | 535,498 | ||||||||||
2.36%, 12/01/35† | 21,174 | 22,458 | ||||||||||
5.50%, 01/01/40 TBA | 6,000,000 | 6,711,563 | ||||||||||
5.50%, 02/01/40 TBA | 500,000 | 558,750 | ||||||||||
1.32%, 08/01/42† | 478,525 | 492,390 | ||||||||||
3.64%, 09/01/42† | 1,489,646 | 1,569,983 | ||||||||||
1.32%, 07/01/44† | 317,325 | 323,946 | ||||||||||
1.32%, 10/01/44† | 229,235 | 234,609 | ||||||||||
Federal National Mortgage Association REMIC | ||||||||||||
4.00%, 11/25/19 | 72,703 | 75,597 | ||||||||||
4.00%, 06/25/26 STEP | 651,608 | 698,100 | ||||||||||
0.72%, 09/25/41† | 3,506,060 | 3,537,053 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates | ||||||||||||
1.56%, 05/25/19 IOW† | 5,248,676 | 347,258 | ||||||||||
FHLMC Multifamily VRD Certificates | ||||||||||||
5.50%, 08/15/51 | 3,000,000 | 3,187,500 | ||||||||||
FHLMC Structured Pass-Through Securities | ||||||||||||
1.17%, 05/25/43† | 776,922 | 791,949 | ||||||||||
1.52%, 07/25/44† | 1,141,426 | 1,147,968 | ||||||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||||||
2.21%, 06/25/34† | 417,262 | 408,680 | ||||||||||
GE Capital Commercial Mortgage Corporation | ||||||||||||
5.48%, 12/10/49† | 1,009,871 | 1,084,238 | ||||||||||
Giovecca Mortgages SRL | ||||||||||||
0.68%, 04/23/48(E)† | 480,315 | 580,465 | ||||||||||
GMAC Commercial Mortgage Securities, Inc. | ||||||||||||
5.23%, 11/10/45† | 1,368,347 | 1,407,194 | ||||||||||
Government National Mortgage Association | ||||||||||||
1.63%, 06/20/17† | 3,134 | 3,241 | ||||||||||
2.00%, 06/20/21† | 3,036 | 3,206 | ||||||||||
1.63%, 03/20/22† | 168,926 | 173,595 | ||||||||||
1.63%, 01/20/23† | 27,445 | 28,874 | ||||||||||
1.63%, 05/20/24† | 51,391 | 52,875 | ||||||||||
1.63%, 07/20/25† | 67,548 | 69,515 | ||||||||||
1.63%, 08/20/25† | 17,015 | 17,578 | ||||||||||
1.63%, 11/20/25† | 56,806 | 58,616 | ||||||||||
1.63%, 12/20/26† | 75,865 | 78,454 | ||||||||||
1.63%, 07/20/27† | 1,842 | 1,911 | ||||||||||
1.63%, 10/20/27† | 30,850 | 31,932 | ||||||||||
8.50%, 10/15/29 | 24,357 | 25,226 | ||||||||||
0.76%, 02/16/30† | 92,910 | 93,768 | ||||||||||
8.50%, 03/15/30 | 811 | 814 | ||||||||||
8.50%, 04/15/30 | 5,135 | 5,285 | ||||||||||
8.50%, 05/15/30 | 64,962 | 68,671 | ||||||||||
1.63%, 05/20/30† | 47,674 | 49,452 | ||||||||||
8.50%, 07/15/30 | 52,009 | 56,584 | ||||||||||
8.50%, 08/15/30 | 13,087 | 14,241 | ||||||||||
8.50%, 11/15/30 | 8,352 | 8,897 | ||||||||||
8.50%, 12/15/30 | 29,233 | 34,189 | ||||||||||
8.50%, 02/15/31 | 17,181 | 18,184 | ||||||||||
0.47%, 03/20/37† | 704,167 | 705,835 | ||||||||||
0.47%, 05/20/37† | 302,182 | 302,869 | ||||||||||
Granite Master Issuer PLC | ||||||||||||
0.24%, 12/17/54† | 548,099 | 544,206 |
See Notes to Financial Statements. | 101 |
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||||
0.25%, 12/17/54† | $ | 139,093 | $ | 138,118 | ||||||||
0.25%, 12/20/54† | 1,310,974 | 1,301,738 | ||||||||||
0.31%, 12/20/54 144A† | 514,574 | 511,204 | ||||||||||
Granite Mortgages 03-3 PLC | ||||||||||||
0.46%, 01/20/44(E)† | 106,425 | 128,587 | ||||||||||
Granite Mortgages 04-1 PLC | ||||||||||||
0.88%, 03/20/44(U)† | 257,412 | 399,197 | ||||||||||
Granite Mortgages 04-2 PLC | ||||||||||||
0.88%, 06/20/44(U)† | 1,047,557 | 1,624,561 | ||||||||||
GreenPoint Mortgage Funding Trust | ||||||||||||
0.35%, 01/25/37† | 706,037 | 537,532 | ||||||||||
0.44%, 11/25/45† | 192,788 | 164,081 | ||||||||||
GS Mortgage Securities Trust | ||||||||||||
5.80%, 08/10/45† | 224,927 | 244,419 | ||||||||||
GSR Mortgage Loan Trust | ||||||||||||
2.58%, 09/25/34† | 434,494 | 421,357 | ||||||||||
2.67%, 09/25/35† | 357,850 | 359,265 | ||||||||||
Hilton USA Trust 2013-HLF | ||||||||||||
1.16%, 11/05/30 144A† | 1,202,267 | 1,200,397 | ||||||||||
Hilton USA Trust 2013-HLT | ||||||||||||
4.41%, 11/05/30 144A | 825,000 | 844,041 | ||||||||||
5.22%, 11/05/30 144A† | 975,000 | 998,994 | ||||||||||
Holmes Master Issuer PLC | ||||||||||||
1.78%, 10/15/54 144A† | 285,545 | 285,637 | ||||||||||
1.88%, 10/15/54 144A† | 969,808 | 973,010 | ||||||||||
2.31%, 10/15/54(U)† | 680,618 | 1,064,823 | ||||||||||
Holmes Master Issuer PLC | ||||||||||||
1.78%, 10/15/54† | 399,199 | 399,329 | ||||||||||
Impac CMB Trust | ||||||||||||
0.97%, 03/25/33† | 343,661 | 340,404 | ||||||||||
IndyMac INDX Mortgage Loan Trust | ||||||||||||
0.44%, 06/25/37† | 451,234 | 296,678 | ||||||||||
0.36%, 09/25/46† | 787,805 | 672,012 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||||||
1.56%, 11/15/31 144A† | 845,000 | 844,258 | ||||||||||
5.34%, 08/12/37† | 400,364 | 400,833 | ||||||||||
5.50%, 10/12/37 144A | 1,830,000 | 1,919,397 | ||||||||||
5.81%, 06/12/43† | 2,952,616 | 3,104,091 | ||||||||||
5.70%, 02/12/49† | 774,204 | 837,016 | ||||||||||
5.85%, 02/15/51† | 1,239,603 | 1,351,250 | ||||||||||
JP Morgan Mortgage Trust | ||||||||||||
2.64%, 02/25/35† | 104,064 | 101,884 | ||||||||||
2.50%, 03/25/43 144A† | 490,783 | 485,218 | ||||||||||
Lanark Master Issuer PLC | ||||||||||||
1.63%, 12/22/54 144A† | 680,538 | 686,592 | ||||||||||
LB-UBS Commercial Mortgage Trust | ||||||||||||
5.42%, 02/15/40 | 1,180,160 | 1,263,777 | ||||||||||
6.11%, 07/15/40† | 455,000 | 493,244 | ||||||||||
6.16%, 09/15/45† | 1,600,000 | 1,780,403 | ||||||||||
Luminent Mortgage Trust | ||||||||||||
0.34%, 12/25/36† | 786,026 | 628,053 | ||||||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||||||
2.48%, 12/25/33† | 261,288 | 258,760 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
2.16%, 12/25/34† | 478,292 | 473,370 | ||||||||||
2.12%, 02/25/36† | 575,049 | 575,223 |
Par | Value | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||||||
2.69%, 08/15/45 IO 144AW† | $ | 9,528,960 | $ | 786,506 | ||||||||
3.15%, 11/15/46 IOW† | 4,949,741 | 370,493 | ||||||||||
Morgan Stanley Capital I Trust | ||||||||||||
5.41%, 03/15/44 | 1,090,000 | 1,160,128 | ||||||||||
Morgan Stanley Re-REMIC Trust | ||||||||||||
1.00%, 03/27/51 144A | 25,676 | 25,651 | ||||||||||
Motel 6 Trust | ||||||||||||
1.50%, 10/05/25 144A | 294,304 | 294,197 | ||||||||||
1.95%, 10/05/25 144A | 1,695,000 | 1,692,656 | ||||||||||
National RMBS Trust | ||||||||||||
3.74%, 06/20/44(A)† | 497,585 | 414,488 | ||||||||||
NCUA Guaranteed Notes Trust | ||||||||||||
1.84%, 10/07/20 | 56,273 | 56,612 | ||||||||||
0.72%, 12/08/20† | 2,949,977 | 2,978,093 | ||||||||||
0.69%, 03/09/21 | 1,743,726 | 1,754,150 | ||||||||||
Progress 2007-1G Trust | ||||||||||||
0.37%, 08/19/38 144A† | 224,758 | 222,600 | ||||||||||
RALI Series 2003-QS1 Trust | ||||||||||||
0.57%, 01/25/33† | 43,844 | 43,218 | ||||||||||
RBSSP Resecuritization Trust | ||||||||||||
4.00%, 12/26/36 144A | 471,555 | 472,179 | ||||||||||
RCMC LLC | ||||||||||||
5.62%, 11/15/44 144A | 278,931 | 286,907 | ||||||||||
RFMSI Series 2003-S9 Trust | ||||||||||||
6.50%, 03/25/32 | 15,483 | 16,055 | ||||||||||
Selkirk No. 1, Ltd. | ||||||||||||
1.33%, 02/20/41 144A | 2,164,214 | 2,145,431 | ||||||||||
Sequoia Mortgage Trust | ||||||||||||
2.87%, 01/25/42† | 566,955 | 568,851 | ||||||||||
3.50%, 04/25/42† | 537,341 | 545,808 | ||||||||||
1.45%, 02/25/43† | 720,427 | 684,734 | ||||||||||
1.55%, 04/25/43† | 777,689 | 725,531 | ||||||||||
SMHL Global Fund | ||||||||||||
0.24%, 06/12/40(E)† | 261,564 | 316,438 | ||||||||||
Springleaf Mortgage Loan Trust | ||||||||||||
2.22%, 10/25/57 144A† | 283,562 | 287,364 | ||||||||||
1.27%, 06/25/58 144A† | 851,620 | 848,039 | ||||||||||
1.57%, 12/25/59 144A† | 381,860 | 381,578 | ||||||||||
1.78%, 12/25/65 144A† | 455,890 | 455,091 | ||||||||||
STRIPs 2012-1, Ltd. | ||||||||||||
1.50%, 12/25/44 144A | 318,416 | 318,416 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||||||
2.45%, 08/25/34† | 672,692 | 649,847 | ||||||||||
0.47%, 09/25/34† | 138,543 | 122,874 | ||||||||||
Structured Agency Credit Risk Debt Notes | ||||||||||||
1.61%, 11/25/23† | 760,506 | 755,853 | ||||||||||
Structured Asset Mortgage Investments II Trust | ||||||||||||
2.16%, 10/19/34† | 156,342 | 129,219 | ||||||||||
0.41%, 07/19/35† | 130,788 | 119,086 | ||||||||||
0.45%, 02/25/36† | 651,762 | 522,299 | ||||||||||
Talisman-6 Finance PLC | ||||||||||||
0.26%, 10/22/16(E)† | 536,521 | 633,800 | ||||||||||
TBW Mortgage Backed Trust | ||||||||||||
6.01%, 07/25/37 STEP | 409,743 | 307,235 | ||||||||||
TORRENS Series 2013-1 Trust | ||||||||||||
3.57%, 04/12/44(A)† | 2,111,765 | 1,726,821 |
102 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||||||
2.24%, 05/10/63 IO 144AW† | $ | 6,406,083 | $ | 508,220 | ||||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||||||
5.42%, 01/15/45† | 1,108,032 | 1,136,660 | ||||||||||
5.72%, 06/15/49† | 1,088,407 | 1,169,879 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||||||
2.39%, 08/25/33† | 477,414 | 490,794 | ||||||||||
2.18%, 02/25/37† | 544,362 | 452,162 | ||||||||||
2.62%, 05/25/37† | 554,600 | 452,882 | ||||||||||
2.12%, 07/25/37† | 1,569,895 | 1,330,984 | ||||||||||
1.51%, 06/25/42† | 20,617 | 19,877 | ||||||||||
0.48%, 01/25/45† | 696,011 | 643,018 | ||||||||||
1.09%, 06/25/46† | 1,191,746 | 1,083,145 | ||||||||||
0.85%, 01/25/47† | 660,639 | 542,218 | ||||||||||
0.95%, 05/25/47 IO† | 391,386 | 33,991 | ||||||||||
Wells Fargo Mortgage-Backed Securities 2004-EE Trust | ||||||||||||
2.61%, 12/25/34† | 458,427 | 461,090 | ||||||||||
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust | ||||||||||||
2.59%, 08/25/33† | 85,932 | 87,583 | ||||||||||
WFRBS Commercial Mortgage Trust | ||||||||||||
2.70%, 08/15/45 IO 144AW† | 3,611,686 | 371,482 | ||||||||||
2.71%, 11/15/45 IO 144AW† | 6,134,894 | 687,519 | ||||||||||
|
| |||||||||||
Total Mortgage-Backed Securities |
| 153,287,249 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 1.4% |
| |||||||||||
California Earthquake Authority, Revenue Bond | ||||||||||||
1.82%, 07/01/17 | 480,000 | 479,813 | ||||||||||
2.81%, 07/01/19 | 1,300,000 | 1,301,989 | ||||||||||
Energy Northwest, Revenue Bond | ||||||||||||
1.79%, 07/01/18 | 400,000 | 405,236 | ||||||||||
Florida Hurricane Catastrophe Fund Finance Corporation, Series A, Revenue Bond | ||||||||||||
1.30%, 07/01/16 | 720,000 | 724,953 | ||||||||||
North Texas Higher Education Authority, Inc. Taxable Student Loan, Revenue Bond, Series 1 | ||||||||||||
1.34%, 04/01/40† | 304,993 | 308,607 | ||||||||||
State of Texas, General Obligation, Series C-2 | ||||||||||||
0.56%, 06/01/19† | 3,300,000 | 3,314,784 | ||||||||||
University of California, Revenue Bond | ||||||||||||
0.66%, 07/01/41† | 1,000,000 | 1,001,910 | ||||||||||
University of California, Revenue Bond, Series Y-1 | ||||||||||||
0.66%, 07/01/41† | 1,100,000 | 1,102,101 | ||||||||||
University of Massachusetts Building Authority, Revenue Bond, | ||||||||||||
1.31%, 11/01/17 | 3,000,000 | 3,008,370 | ||||||||||
|
| |||||||||||
Total Municipal Bonds | 11,647,763 | |||||||||||
|
|
Notional Amount | Value | |||||||||||
PURCHASED OPTION — 0.1% |
| |||||||||||
Put Swaptions — 0.1% |
| |||||||||||
3-Month LIBOR, Strike Price 3.21%, Expires | ||||||||||||
01/20/18 (GSC) | ||||||||||||
(Cost $647,815) | $ | 44,600,000 | $ | 537,274 | ||||||||
|
| |||||||||||
Par | ||||||||||||
U.S. TREASURY OBLIGATIONS — 23.1% |
| |||||||||||
U.S. Treasury Inflationary Index Bonds | ||||||||||||
0.63%, 07/15/21 | 6,400,000 | 6,835,958 | ||||||||||
|
| |||||||||||
U.S. Treasury Notes | ||||||||||||
0.38%, 03/15/15 | 100,000 | 100,070 | ||||||||||
0.38%, 06/30/15‡‡ | 140,000 | 140,197 | ||||||||||
0.38%, 01/31/16D | 1,000,000 | 1,000,547 | ||||||||||
0.25%, 05/15/16D | 4,860,000 | 4,850,129 | ||||||||||
0.38%, 05/31/16D | 28,000,000 | 27,984,684 | ||||||||||
0.50%, 07/31/16D | 7,705,000 | 7,709,215 | ||||||||||
0.50%, 08/31/16D | 18,890,000 | 18,884,106 | ||||||||||
0.50%, 09/30/16 | 7,000,000 | 6,992,342 | ||||||||||
0.38%, 10/31/16 | 8,030,000 | 7,997,382 | ||||||||||
0.63%, 12/31/16 | 24,000,000 | 23,970,000 | ||||||||||
0.75%, 01/15/17 | 12,065,000 | 12,074,423 | ||||||||||
0.63%, 02/15/17 | 3,180,000 | 3,172,298 | ||||||||||
0.88%, 04/30/17 | 25,500,000 | 25,531,875 | ||||||||||
0.88%, 05/15/17 | 7,500,000 | 7,504,688 | ||||||||||
0.88%, 07/15/17 | 10,005,000 | 9,994,055 | ||||||||||
0.88%, 08/15/17 | 6,630,000 | 6,614,459 | ||||||||||
1.00%, 09/15/17D | 550,000 | 550,344 | ||||||||||
1.00%, 12/15/17D | 14,920,000 | 14,886,191 | ||||||||||
1.38%, 06/30/18D | 750,000 | 751,523 | ||||||||||
1.63%, 08/31/19D | 2,000,000 | 2,002,344 | ||||||||||
2.00%, 08/31/21 | 3,900,000 | 3,912,188 | ||||||||||
2.38%, 08/15/24 | 2,100,000 | 2,139,047 | ||||||||||
|
| |||||||||||
188,762,107 | ||||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 195,598,065 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET FUNDS — 14.8% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 51,769,099 | 51,769,099 | ||||||||||
Northern Institutional Liquid Assets Portfolio§ | 73,502,584 | 73,502,584 | ||||||||||
|
| |||||||||||
Total Money Market Funds | 125,271,683 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS—110.0% |
| 930,674,189 | ||||||||||
|
|
See Notes to Financial Statements. | 103 |
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Notional Amount | Value | |||||||
WRITTEN OPTIONS — (0.1)% |
| |||||||
Call Swaption — 0.0% | ||||||||
3-Month LIBOR, Strike Price 3.00%, Expires 07/21/15 (JPM) | $ | (46,200,000 | ) | $ | (238,914 | ) | ||
|
| |||||||
Put Swaption — (0.1)% | ||||||||
3-Month LIBOR, Strike Price 2.80%, Expires 01/20/18 (GSC) | (44,600,000 | ) | (471,083 | ) | ||||
|
| |||||||
Total Written Options |
| (709,997 | ) | |||||
|
|
Par | Value | |||||||
TBA SALE COMMITMENTS — (0.4)% |
| |||||||
Federal Home Loan Mortgage Corporation | ||||||||
5.50%, 01/01/39 TBA (Proceeds $(3,360,937)) | $ | (3,000,000 | ) | $ | (3,351,328 | ) | ||
|
| |||||||
Liabilities in Excess of Other |
| (80,273,762 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 846,339,102 | ||||||
|
|
104 | See Notes to Financial Statements. |
Table of Contents
Swap agreements outstanding at December 31, 2014:
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 |
| ||||||||||||||||||||||||||||||||||||||||||||
Barclays Bank PLC, | |||||||||||||||||||||||||||||||||||||||||||||
1.551% due 10/27/15 | 0.31 | % | 1.00 | % | 12/20/17 | GSC | EUR | 1,200,000 | $ | 30,191 | $ | (28,996 | ) | $ | 59,187 | ||||||||||||||||||||||||||||||
LaFarge SA, | |||||||||||||||||||||||||||||||||||||||||||||
5.375% due 11/29/18 | 0.59 | % | 1.00 | % | 06/20/19 | CITI | EUR | 100,000 | 2,216 | (532 | ) | 2,748 | |||||||||||||||||||||||||||||||||
Wendel SA, | |||||||||||||||||||||||||||||||||||||||||||||
4.88% due 5/26/16 | 0.86 | % | 1.00 | % | 09/20/19 | CITI | EUR | 300,000 | 2,483 | (1,302 | ) | 3,785 | |||||||||||||||||||||||||||||||||
Volvo Treasury AB, | |||||||||||||||||||||||||||||||||||||||||||||
1.00% due 12/20/19 | 0.75 | % | 1.00 | % | 12/20/19 | BAR | EUR | 300,000 | 4,545 | (369 | ) | 4,914 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||
$ | 39,435 | $ | (31,199 | ) | $ | 70,634 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||||
Credit Default Swaps on Credit Indices — Buy Protection |
| |||||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.4 Index | (0.35 | )% | 02/17/51 | GSC | USD | 5,520,767 | $ | 24,251 | $ | 736,639 | $ | (712,388 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
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 |
| ||||||||||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.1 Index | 0.00 | % | 1.00 | % | 10/12/52 | GSC | USD | 5,408,785 | $ | (10,222 | ) | $ | (18,386 | ) | $ | 8,164 | |||||||||||||||||||||||||||||
CMBX.NA.AAA.1 Index | 0.00 | % | 1.00 | % | 10/12/52 | CS | USD | 348,954 | (659 | ) | (1,116 | ) | 457 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||
$ | (10,881 | ) | $ | (19,502 | ) | $ | 8,621 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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 | 8.27 | % | 01/02/15 | MSCS | BRL | 2,500,000 | $ | (21,533 | ) | $ | (3,096 | ) | $ | (18,437 | ) | |||||||||||||||||
Brazil CETIP Interbank Deposit | 8.56 | % | 01/02/15 | UBS | BRL | 2,200,000 | (15,213 | ) | 57 | (15,270 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.08 | % | 01/02/15 | HSBC | BRL | 1,200,000 | (10,056 | ) | 2,119 | (12,175 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.43 | % | 01/02/15 | DEUT | BRL | 1,000,000 | (4,924 | ) | 5,741 | (10,665 | ) | |||||||||||||||||||||
Brazil CETIP Interbank Deposit | 7.92 | % | 01/02/15 | BAR | BRL | 600,000 | (6,376 | ) | (42 | ) | (6,334 | ) | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 9.93 | % | 01/02/15 | UBS | BRL | 400,000 | 3,582 | 66 | 3,516 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 8.83 | % | 01/02/15 | HSBC | BRL | 200,000 | (264 | ) | 338 | (602 | ) | |||||||||||||||||||||
U.S. Federal Funds Rate | 0.69 | % | 12/22/16 | CME | USD | 196,320,000 | 86,433 | — | 86,433 | |||||||||||||||||||||||
6-Month BBR BBSW Index | 5.50 | % | 12/15/17 | BAR | AUD | 1,500,000 | 105,494 | (3,039 | ) | 108,533 | ||||||||||||||||||||||
6-Month BBR BBSW Index | 5.50 | % | 12/15/17 | DEUT | AUD | 1,000,000 | 70,332 | (1,802 | ) | 72,134 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 207,475 | $ | 342 | $ | 207,133 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap agreements outstanding at December 31, 2014 |
| $ | 260,280 | $ | 686,280 | $ | (426,000 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Financial Statements. | 105 |
Table of Contents
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 6,153,798 | $ | — | $ | 6,153,798 | $ | — | ||||||||||||
Asset-Backed Securities | 91,145,161 | — | 65,689,424 | 25,455,737 | ||||||||||||||||
Corporate Bonds | 218,847,468 | — | 215,396,254 | 3,451,214 | ||||||||||||||||
Foreign Bonds: | ||||||||||||||||||||
Australia | 11,566,404 | — | 10,408,918 | 1,157,486 | ||||||||||||||||
Bermuda | 1,072,500 | — | 1,072,500 | — | ||||||||||||||||
Brazil | 1,751,300 | — | 1,751,300 | — | ||||||||||||||||
Canada | 7,097,389 | — | 7,097,389 | — | ||||||||||||||||
Cayman Islands | 4,126,636 | — | 4,126,636 | — | ||||||||||||||||
Chile | 4,287,504 | — | 4,287,504 | — | ||||||||||||||||
Denmark | 672,621 | — | 672,621 | — | ||||||||||||||||
France | 19,342,044 | — | 19,342,044 | — | ||||||||||||||||
Germany | 2,204,875 | — | 2,204,875 | — | ||||||||||||||||
Iceland | 897,109 | — | 897,109 | — | ||||||||||||||||
Ireland | 686,875 | — | 686,875 | — | ||||||||||||||||
Italy | 5,347,929 | — | 5,347,929 | — | ||||||||||||||||
Japan | 6,934,846 | — | 6,934,846 | — | ||||||||||||||||
Mexico | 2,523,566 | — | 2,523,566 | — | ||||||||||||||||
Netherlands | 3,703,408 | — | 3,703,408 | — | ||||||||||||||||
New Zealand | 659,058 | — | 659,058 | — | ||||||||||||||||
Norway | 301,452 | — | 301,452 | — | ||||||||||||||||
Panama | 309,903 | — | 309,903 | — | ||||||||||||||||
Singapore | 400,264 | — | 400,264 | — | ||||||||||||||||
Slovenia | 2,418,362 | — | 2,418,362 | — | ||||||||||||||||
South Korea | 24,802,663 | — | 24,802,663 | — | ||||||||||||||||
Spain | 1,295,352 | — | 1,295,352 | — | ||||||||||||||||
Switzerland | 3,178,695 | — | 3,178,695 | — | ||||||||||||||||
United Kingdom | 6,836,116 | — | 6,836,116 | — | ||||||||||||||||
Virgin Islands (British) | 3,369,426 | — | 3,369,426 | — | ||||||||||||||||
Foreign Government Inflation-Linked Bond | 10,742,128 | — | 10,742,128 | — | ||||||||||||||||
Loan Agreements | 1,657,303 | — | 1,657,303 | — | ||||||||||||||||
Money Market Funds | 125,271,683 | 125,271,683 | — | — | ||||||||||||||||
Mortgage-Backed Securities | 153,287,249 | — | 139,488,366 | 13,798,883 | ||||||||||||||||
Municipal Bonds | 11,647,763 | — | 11,647,763 | — | ||||||||||||||||
Purchased Option | 537,274 | — | 537,274 | — | ||||||||||||||||
U.S. Treasury Obligations | 195,598,065 | — | 195,598,065 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 930,674,189 | $ | 125,271,683 | $ | 761,539,186 | $ | 43,863,320 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 825,903 | $ | — | $ | 825,903 | $ | — | ||||||||||||
Swap Agreements | 260,280 | — | 260,280 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 1,086,183 | $ | — | $ | 1,086,183 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
106 | See Notes to Financial Statements. |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Liabilities: | ||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
TBA Sale Commitments | $ | (3,351,328 | ) | $ | — | $ | (3,351,328 | ) | $ | — | ||||||||||
Written Options | (709,997 | ) | — | (709,997 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Investments in Securities | $ | (4,061,325 | ) | $ | — | $ | (4,061,325 | ) | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | (718,490 | ) | $ | (718,490 | ) | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | (718,490 | ) | $ | (718,490 | ) | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
***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 securities transferred between Level 1 and Level 2 during the year ended December 31, 2014.
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.
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 | Written Option | |||||||||||||||||||
Balance, 12/31/13 | $ | 20,265,191 | $ | 3,881,837 | $ | 3,442,534 | $ | 1,544,292 | $ | 11,548,393 | $ | (151,865 | ) | |||||||||||
Accrued discounts/premiums | (36,273 | ) | 4,176 | (33,115 | ) | (56 | ) | (7,278 | ) | — | ||||||||||||||
Realized gain (loss)(1) | (97,950 | ) | 7,881 | (27,067 | ) | (44,474 | ) | (72,059 | ) | 37,769 | ||||||||||||||
Change in unrealized appreciation (depreciation)(2) | (62,391 | ) | (13,485 | ) | (22,642 | ) | (3,321 | ) | (178,139 | ) | 155,196 | |||||||||||||
Purchases | 17,688,532 | 13,803,162 | 470,000 | — | 3,415,370 | — | ||||||||||||||||||
Sales | (1,080,619 | ) | (107,551 | ) | — | (265,465 | ) | (666,503 | ) | (41,100 | ) | |||||||||||||
Transfers in to Level 3(3) | 17,446,056 | 11,400,827 | — | — | 6,045,229 | — | ||||||||||||||||||
Transfers out of Level 3(4) | (5,934,468 | ) | (2,482,174 | ) | — | — | (3,452,294 | ) | — | |||||||||||||||
Maturities | — | — | — | — | — | — | ||||||||||||||||||
Paydowns | (4,324,758 | ) | (1,038,936 | ) | (378,496 | ) | (73,490 | ) | (2,833,836 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Balance, 12/31/14 | $ | 43,863,320 | $ | 25,455,737 | $ | 3,451,214 | $ | 1,157,486 | $ | 13,798,883 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(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 and Net change in unrealized appreciation (depreciation) on: Option contracts written. |
(3) | Transfers in to Level 3 represent the value of a security at December 31, 2014 that was 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 December 31, 2014 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. | 107 |
Table of Contents
Medium-Duration Bond Fund (Unaudited)
The Fund invested in a diversified portfolio composed primarily of investment grade fixed income securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally between three to seven years. The Investor Class of the Fund slightly underperformed its benchmark index, the Barclays U.S. Aggregate Bond Index, for the one-year period ended December 31, 2014 (5.82% versus 5.97%).
The Fund outpaced its benchmark index for each of the first three quarters of the year, then below benchmark returns in the fourth quarter led to a very slight relative underperformance for the calendar year 2014. During the first three quarters, the Fund’s benchmark-relative performance was positively impacted by the Fund’s relative yield advantage and exposure to spread sectors (such as corporates and mortgaged-backed securities). The Fund’s relative performance was negatively impacted during the fourth quarter due to spread widening and a shorter-than-benchmark duration position during a declining interest rate environment. During the year, the Fund remained diversified across multiple spread sectors to take advantage of the relative yield advantage of these sectors compared to U.S. Treasuries. Other sectors, such as high yield bonds, non-U.S. bonds and emerging market bonds, were also utilized on a tactical basis in an effort to add relative value.
Other strategies involving derivatives were utilized during the year. U.S. Treasury futures contracts, options on U.S. Treasuries and Euro-futures were used for the common purposes of managing duration, implementing yield curve positioning strategies and expressing cross-sector views. Overall, on a net basis, these positions had a slight negative impact on performance. In an effort to better manage credit risk and to express views on credit from a synthetic perspective, credit default swaps were utilized on a very modest basis. Such strategies were additive to the Fund’s relative performance during an environment of spread compression. Currency forward contracts were utilized to hedge foreign currency risk and to express active currency views. These currency strategies resulted in a positive impact to the Fund’s performance. Through the process of implementing interest rate views and emerging markets strategies during the year, interest rate and total return swaps were used and resulted in mixed results.
During the year, the Fund remained focused on its objective of seeking maximum total return consistent with preservation of capital.
This Fund may be suitable for investors who have a short- to medium-term investment horizon, seek higher returns than those offered by a shorter maturity bond fund, can accept some short-term fluctuations in account value and want to diversify their portfolio with a fixed income investment option. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and by its ability to select sub-advisers to allocate assets. Some derivatives may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns.
108
Table of Contents
Medium-Duration Bond Fund (Unaudited)
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Treasury Obligations | 36.6 | |||
Mortgage-Backed Securities | 27.1 | |||
Money Market Funds | 23.7 | |||
Corporate Bonds | 17.5 | |||
Foreign Bonds | 10.7 | |||
Repurchase Agreements | 3.4 | |||
Asset-Backed Securities | 2.3 | |||
Agency Obligations | 2.0 | |||
Municipal Bonds | 0.8 | |||
Loan Agreements | 0.4 | |||
Foreign Government Inflation-Linked Note | 0.2 | |||
Preferred Stocks | 0.1 | |||
Purchased Options | — | |||
Written Options | — | |||
Security Sold Short | (1.0 | ) | ||
TBA Sale Commitment | (0.1 | ) | ||
|
| |||
123.7 | ||||
|
|
109
Table of Contents
Medium-Duration Bond Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||
Institutional Class* | Investor Class* | Benchmark** | ||||
One Year | 6.03% | 5.82% | 5.97% | |||
Five Year | 5.42% | 5.26% | 4.45% | |||
Ten Year | 5.30% | 5.16% | 4.71% | |||
Inception Date | 08/27/01 | 08/27/01 | ||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, | 0.54% | 0.79% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Barclays U.S. Aggregate Bond Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
110
Table of Contents
MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Par | Value | |||||||||||
AGENCY OBLIGATIONS — 2.0% |
| |||||||||||
Federal Farm Credit Bank | ||||||||||||
5.05%, 11/06/17 | $ | 400,000 | $ | 443,720 | ||||||||
Federal Home Loan Bank | ||||||||||||
0.01%, 03/25/15 | 1,900,000 | 1,899,913 | ||||||||||
0.88%, 05/24/17D | 20,000 | 19,970 | ||||||||||
3.00%, 09/10/21D | 800,000 | 839,610 | ||||||||||
3.38%, 12/08/23 | 200,000 | 213,591 | ||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||||
0.08%, 02/03/15 | 200,000 | 199,991 | ||||||||||
2.38%, 01/13/22D | 1,300,000 | 1,314,230 | ||||||||||
Federal National Mortgage Association | ||||||||||||
0.08%, 03/03/15 | 100,000 | 99,997 | ||||||||||
0.08%, 03/18/15 | 500,000 | 499,979 | ||||||||||
0.10%, 05/01/15 | 4,300,000 | 4,298,848 | ||||||||||
0.00%, 10/09/19W | 3,350,000 | 3,015,435 | ||||||||||
2.63%, 09/06/24 | 1,000,000 | 1,012,721 | ||||||||||
6.25%, 05/15/29 | 500,000 | 697,706 | ||||||||||
6.63%, 11/15/30 | 1,170,000 | 1,740,154 | ||||||||||
Tennessee Valley Authority | ||||||||||||
3.88%, 02/15/21D | 1,000,000 | 1,102,822 | ||||||||||
5.25%, 09/15/39 | 230,000 | 293,913 | ||||||||||
4.63%, 09/15/60 | 200,000 | 228,382 | ||||||||||
|
| |||||||||||
Total Agency Obligations | 17,920,982 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 2.3% |
| |||||||||||
Access Group, Inc. | ||||||||||||
1.53%, 10/27/25† | 873,041 | 880,307 | ||||||||||
Asset-Backed Securities Corporation Home Equity Loan Trust | ||||||||||||
0.72%, 09/25/34† | 54,226 | 54,223 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||||||
1.92%, 09/20/19 144A | 160,000 | 158,333 | ||||||||||
2.97%, 02/20/20 144A | 160,000 | 164,040 | ||||||||||
2.46%, 07/20/20 144A | 150,000 | 150,468 | ||||||||||
2.50%, 02/20/21 144A | 550,000 | 549,971 | ||||||||||
Bayview Financial Mortgage Pass-Through Trust | ||||||||||||
0.84%, 02/28/44† | 122,414 | 121,594 | ||||||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||||||
6.00%, 10/25/36 | 1,638,246 | 1,330,151 | ||||||||||
6.50%, 10/25/36 | 2,624,756 | 2,176,224 | ||||||||||
CWHEQ Revolving Home Equity Loan Trust | ||||||||||||
0.40%, 12/15/35† | 316,756 | 289,821 | ||||||||||
0.30%, 07/15/36† | 527,129 | 446,137 | ||||||||||
Edsouth Indenture No. 7 LLC | ||||||||||||
0.77%, 02/25/36 144A† | 1,667,467 | 1,642,960 | ||||||||||
Education Funding Capital Trust | ||||||||||||
2.04%, 06/15/43W† | 700,000 | 680,124 | ||||||||||
EMC Mortgage Loan Trust | ||||||||||||
0.72%, 11/25/41 144A† | 28,437 | 28,256 | ||||||||||
Financial Asset Securities Corporation AAA Trust | ||||||||||||
0.58%, 02/27/35 144A† | 945,043 | 685,084 | ||||||||||
GMACM Home Equity Loan Trust | ||||||||||||
6.78%, 09/25/37† | 134,321 | 140,411 | ||||||||||
7.00%, 09/25/37† | 73,715 | 73,849 |
Par | Value | |||||||||||
Hertz Vehicle Financing LLC | ||||||||||||
1.83%, 08/25/19 144A | $ | 210,000 | $ | 207,220 | ||||||||
JGWPT XXXIII LLC | ||||||||||||
3.50%, 06/15/77 144A | 449,494 | 449,301 | ||||||||||
Mississippi Higher Education Assistance Corporation | ||||||||||||
0.85%, 10/25/35† | 944,579 | 944,647 | ||||||||||
Nelnet Education Loan Funding, Inc. | ||||||||||||
1.17%, 02/25/39† | 800,000 | 773,378 | ||||||||||
Panhandle-Plains Higher Education Authority, Inc. | ||||||||||||
1.37%, 10/01/35† | 516,089 | 524,019 | ||||||||||
Park Place Securities, Inc. | ||||||||||||
0.73%, 01/25/36† | 100,000 | 93,623 | ||||||||||
Provident Home Equity Loan Trust | ||||||||||||
0.71%, 08/25/31† | 82,311 | 55,522 | ||||||||||
RAMP Series 2004-RZ1 Trust | ||||||||||||
0.65%, 03/25/34† | 313,517 | 311,060 | ||||||||||
RAMP Series 2006-NC1 Trust | ||||||||||||
0.36%, 01/25/36† | 690,403 | 687,802 | ||||||||||
Salomon Brothers Mortgage Securities VII, Inc. | ||||||||||||
0.65%, 03/25/28† | 9,821 | 9,704 | ||||||||||
Saxon Asset Securities Trust | ||||||||||||
0.95%, 03/25/35† | 964,983 | 875,532 | ||||||||||
SLM Private Education Loan Trust | ||||||||||||
3.41%, 05/16/44 144A† | 877,852 | 928,696 | ||||||||||
SLM Student Loan EDC Repackaging Trust | ||||||||||||
3.50%, 10/28/29+ 144A | 410,263 | 406,201 | ||||||||||
SLM Student Loan Trust | ||||||||||||
1.73%, 04/25/23† | 3,781,166 | 3,883,474 | ||||||||||
0.99%, 12/15/25 144A† | 400,000 | 398,993 | ||||||||||
0.98%, 10/25/28† | 400,000 | 364,824 | ||||||||||
SpringCastle America Funding LLC | ||||||||||||
2.70%, 05/25/23 144A | 453,945 | 453,849 | ||||||||||
Structured Asset Investment Loan Trust | ||||||||||||
1.01%, 08/25/34† | 349,081 | 342,880 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| 21,282,678 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 17.5% |
| |||||||||||
21st Century Fox America, Inc. | ||||||||||||
3.70%, 09/15/24 144AD
| 725,000 | 747,236 | ||||||||||
ABB Finance USA, Inc. | ||||||||||||
4.38%, 05/08/42 | 40,000 | 43,490 | ||||||||||
AbbVie, Inc. | ||||||||||||
1.75%, 11/06/17 | 340,000 | 340,973 | ||||||||||
2.90%, 11/06/22 | 120,000 | 118,349 | ||||||||||
Access Midstream Partners LP | ||||||||||||
5.88%, 04/15/21D | 330,000 | 345,675 | ||||||||||
4.88%, 05/15/23 | 60,000 | 61,200 | ||||||||||
AES Corporation | ||||||||||||
4.88%, 05/15/23D | 80,000 | 79,800 | ||||||||||
Alcoa, Inc. | ||||||||||||
5.13%, 10/01/24D | 300,000 | 318,530 | ||||||||||
Amazon.com, Inc. | ||||||||||||
3.30%, 12/05/21 | 525,000 | 532,989 | ||||||||||
4.95%, 12/05/44 | 910,000 | 943,721 |
See Notes to Financial Statements. | 111 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||||
American Campus Communities Operating Partnership LP | ||||||||||||
3.75%, 04/15/23 | $ | 525,000 | $ | 525,020 | ||||||||
American Express Co. | ||||||||||||
6.80%, 09/01/66† | 1,215,000 | 1,275,750 | ||||||||||
American Honda Finance Corporation | ||||||||||||
1.00%, 08/11/15 144A | 480,000 | 481,860 | ||||||||||
American International Group, Inc. | ||||||||||||
6.40%, 12/15/20 | 59,000 | 70,445 | ||||||||||
4.50%, 07/16/44 | 100,000 | 106,092 | ||||||||||
6.25%, 03/15/87 | 380,000 | 426,722 | ||||||||||
American Tower Corporation REIT | ||||||||||||
3.40%, 02/15/19D | 200,000 | 203,758 | ||||||||||
Amgen, Inc. | ||||||||||||
3.63%, 05/22/24 | 150,000 | 152,761 | ||||||||||
Anadarko Petroleum Corporation | ||||||||||||
6.38%, 09/15/17 | 10,000 | 11,125 | ||||||||||
6.45%, 09/15/36 | 250,000 | 301,366 | ||||||||||
Antero Resources Finance Corporation | ||||||||||||
5.38%, 11/01/21D | 100,000 | 97,125 | ||||||||||
ARC Properties Operating Partnership LP | ||||||||||||
3.00%, 02/06/19D | 500,000 | 463,530 | ||||||||||
Arch Coal, Inc. | ||||||||||||
7.25%, 06/15/21D | 500,000 | 148,125 | ||||||||||
Arizona Public Service Co. | ||||||||||||
8.75%, 03/01/19 | 525,000 | 660,949 | ||||||||||
AT&T, Inc. | ||||||||||||
2.95%, 05/15/16D | 425,000 | 435,876 | ||||||||||
4.45%, 05/15/21D | 80,000 | 86,072 | ||||||||||
3.88%, 08/15/21 | 400,000 | 419,132 | ||||||||||
3.00%, 02/15/22D | 170,000 | 167,065 | ||||||||||
3.90%, 03/11/24D | 180,000 | 185,336 | ||||||||||
4.35%, 06/15/45D | 100,000 | 94,662 | ||||||||||
Atwood Oceanics, Inc. | ||||||||||||
6.50%, 02/01/20 | 30,000 | 27,600 | ||||||||||
Avon Products, Inc. | ||||||||||||
4.60%, 03/15/20D | 525,000 | 479,062 | ||||||||||
Baker Hughes, Inc. | ||||||||||||
7.50%, 11/15/18D | 710,000 | 848,211 | ||||||||||
Ball Corporation | ||||||||||||
5.00%, 03/15/22D | 300,000 | 310,500 | ||||||||||
Bank of America Corporation | ||||||||||||
6.05%, 05/16/16D | 275,000 | 291,301 | ||||||||||
3.88%, 03/22/17 | 130,000 | 136,091 | ||||||||||
5.70%, 05/02/17 | 1,100,000 | 1,189,758 | ||||||||||
5.75%, 12/01/17 | 1,890,000 | 2,089,665 | ||||||||||
5.65%, 05/01/18D | 700,000 | 778,275 | ||||||||||
2.60%, 01/15/19 | 320,000 | 322,672 | ||||||||||
5.63%, 07/01/20 | 50,000 | 56,998 | ||||||||||
5.88%, 01/05/21 | 150,000 | 174,144 | ||||||||||
5.00%, 05/13/21 | 320,000 | 357,564 | ||||||||||
3.30%, 01/11/23 | 120,000 | 120,135 | ||||||||||
4.13%, 01/22/24D | 450,000 | 473,105 | ||||||||||
4.00%, 04/01/24 | 4,845,000 | 5,050,578 | ||||||||||
4.20%, 08/26/24 | 390,000 | 397,773 | ||||||||||
5.00%, 01/21/44 | 660,000 | 742,053 | ||||||||||
4.88%, 04/01/44 | 370,000 | 410,430 | ||||||||||
6.25%, 09/29/49† | 300,000 | 298,031 |
Par | Value | |||||||||||
6.50%, 04/23/55†D | $ | 150,000 | $ | 153,060 | ||||||||
Barclays PLC | ||||||||||||
4.38%, 09/11/24 | 350,000 | 337,845 | ||||||||||
Barrick North America Finance LLC | ||||||||||||
4.40%, 05/30/21 | 570,000 | 576,356 | ||||||||||
Bear Stearns Cos. LLC | ||||||||||||
6.40%, 10/02/17D | 1,200,000 | 1,344,748 | ||||||||||
Becton Dickinson and Co. | ||||||||||||
2.68%, 12/15/19D | 400,000 | 405,728 | ||||||||||
Berkshire Hathaway Energy Co. | ||||||||||||
6.50%, 09/15/37 | 70,000 | 91,919 | ||||||||||
Berkshire Hathaway, Inc. | ||||||||||||
3.20%, 02/11/15D | 280,000 | 280,808 | ||||||||||
BNP Paribas SA | ||||||||||||
4.25%, 10/15/24 | 230,000 | 232,830 | ||||||||||
Boeing Capital Corporation | ||||||||||||
4.70%, 10/27/19D | 230,000 | 256,303 | ||||||||||
Boeing Co. | ||||||||||||
4.88%, 02/15/20D | 50,000 | 56,428 | ||||||||||
6.63%, 02/15/38D | 210,000 | 296,192 | ||||||||||
Calpine Corporation | ||||||||||||
7.88%, 01/15/23 144A | 542,000 | 600,265 | ||||||||||
Catholic Health Initiatives | ||||||||||||
4.35%, 11/01/42 | 40,000 | 39,869 | ||||||||||
CBRE Services, Inc. | ||||||||||||
5.25%, 03/15/25 | 400,000 | 409,000 | ||||||||||
CCO Holdings LLC | ||||||||||||
7.00%, 01/15/19 | 200,000 | 208,000 | ||||||||||
Chesapeake Energy Corporation | ||||||||||||
3.48%, 04/15/19† | 3,200,000 | 3,144,000 | ||||||||||
6.13%, 02/15/21D | 220,000 | 232,100 | ||||||||||
5.75%, 03/15/23 | 70,000 | 72,450 | ||||||||||
Chrysler Group LLC | ||||||||||||
8.00%, 06/15/19D | 300,000 | 316,875 | ||||||||||
CHS/Community Health Systems, Inc. | ||||||||||||
8.00%, 11/15/19 | 100,000 | 107,000 | ||||||||||
Chubb Corporation | ||||||||||||
6.38%, 03/29/67†D | 375,000 | 403,894 | ||||||||||
Cigna Corporation | ||||||||||||
2.75%, 11/15/16D | 225,000 | 231,150 | ||||||||||
CIT Group, Inc. | ||||||||||||
4.25%, 08/15/17 | 1,100,000 | 1,124,750 | ||||||||||
Citigroup, Inc. | ||||||||||||
6.01%, 01/15/15 | 101,000 | 101,144 | ||||||||||
5.50%, 02/15/17D | 1,160,000 | 1,247,607 | ||||||||||
6.13%, 11/21/17D | 1,205,000 | 1,344,572 | ||||||||||
3.38%, 03/01/23 | 175,000 | 176,878 | ||||||||||
3.50%, 05/15/23D | �� | 260,000 | 253,379 | |||||||||
3.88%, 10/25/23 | 1,100,000 | 1,145,474 | ||||||||||
5.50%, 09/13/25 | 290,000 | 321,544 | ||||||||||
6.63%, 06/15/32 | 50,000 | 62,462 | ||||||||||
6.68%, 09/13/43 | 10,000 | 12,978 | ||||||||||
5.35%, 04/29/49† | 180,000 | 166,950 | ||||||||||
5.95%, 07/29/49† | 170,000 | 167,662 | ||||||||||
6.30%, 12/29/49† | 225,000 | 222,187 | ||||||||||
5.80%, 12/31/55†D | 1,700,000 | 1,704,250 | ||||||||||
Clean Harbors, Inc. | ||||||||||||
5.25%, 08/01/20 | 195,000 | 196,950 | ||||||||||
Cliffs Natural Resources, Inc. | ||||||||||||
5.70%, 01/15/18D | 200,000 | 131,000 | ||||||||||
4.80%, 10/01/20D | 50,000 | 27,500 |
112 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||||
Comcast Corporation | ||||||||||||
5.70%, 05/15/18D | $ | 1,250,000 | $ | 1,408,659 | ||||||||
6.95%, 08/15/37 | 70,000 | 98,948 | ||||||||||
6.55%, 07/01/39D | 30,000 | 41,115 | ||||||||||
6.40%, 03/01/40 | 120,000 | 162,926 | ||||||||||
Compass Bank | ||||||||||||
2.75%, 09/29/19D | 375,000 | 375,366 | ||||||||||
5.50%, 04/01/20 | 300,000 | 327,932 | ||||||||||
Concho Resources, Inc. | ||||||||||||
5.50%, 10/01/22D | 170,000 | 172,550 | ||||||||||
5.50%, 04/01/23D | 70,000 | 70,679 | ||||||||||
ConocoPhillips Co. | ||||||||||||
3.35%, 11/15/24D | 175,000 | 177,172 | ||||||||||
4.15%, 11/15/34D | 175,000 | 180,164 | ||||||||||
ConocoPhillips Holding Co. | ||||||||||||
6.95%, 04/15/29 | 220,000 | 293,801 | ||||||||||
Continental Airlines 1998-1 | ||||||||||||
6.65%, 03/15/19 | 133,082 | 137,899 | ||||||||||
Continental Resources, Inc. | ||||||||||||
3.80%, 06/01/24D | 10,000 | 8,963 | ||||||||||
Cox Communications, Inc. | ||||||||||||
6.95%, 06/01/38 144A | 10,000 | 12,638 | ||||||||||
Crown Castle International Corporation REIT | ||||||||||||
5.25%, 01/15/23 | 525,000 | 538,125 | ||||||||||
CVS Health Corporation | ||||||||||||
4.13%, 05/15/21 | 250,000 | 271,458 | ||||||||||
2.75%, 12/01/22D | 500,000 | 487,848 | ||||||||||
4.00%, 12/05/23 | 400,000 | 424,086 | ||||||||||
CVS Pass-Through Trust | ||||||||||||
6.94%, 01/10/30 | 737,723 | 896,035 | ||||||||||
Daimler Finance North America LLC | ||||||||||||
1.30%, 07/31/15 144A | 640,000 | 642,703 | ||||||||||
DaVita HealthCare Partners, Inc. | ||||||||||||
5.13%, 07/15/24D | 230,000 | 235,031 | ||||||||||
DDR Corporation REIT | ||||||||||||
4.63%, 07/15/22 | 400,000 | 427,664 | ||||||||||
Delta Air Lines 2007-1 | ||||||||||||
6.82%, 02/10/24 | 314,521 | 364,844 | ||||||||||
Devon Energy Corporation | ||||||||||||
3.25%, 05/15/22D | 90,000 | 88,556 | ||||||||||
5.60%, 07/15/41 | 190,000 | 211,825 | ||||||||||
Devon Financing Corporation LLC | ||||||||||||
7.88%, 09/30/31 | 60,000 | 82,062 | ||||||||||
DIRECTV Holdings LLC | ||||||||||||
3.80%, 03/15/22 | 550,000 | 560,430 | ||||||||||
4.45%, 04/01/24 | 500,000 | 524,144 | ||||||||||
3.95%, 01/15/25 | 650,000 | 656,464 | ||||||||||
DISH DBS Corporation | ||||||||||||
5.88%, 07/15/22D | 360,000 | 369,900 | ||||||||||
5.88%, 11/15/24 144AD | 170,000 | 171,275 | ||||||||||
Dynegy Finance I, Inc. | ||||||||||||
6.75%, 11/01/19 144A | 1,100,000 | 1,120,625 | ||||||||||
Eastman Chemical Co. | ||||||||||||
3.80%, 03/15/25 | 425,000 | 433,534 | ||||||||||
Eaton Corporation | ||||||||||||
1.50%, 11/02/17D | 120,000 | 119,387 | ||||||||||
2.75%, 11/02/22 | 710,000 | 698,720 | ||||||||||
4.15%, 11/02/42 | 200,000 | 199,317 |
Par | Value | |||||||||||
Ecolab, Inc. | ||||||||||||
3.00%, 12/08/16 | $ | 275,000 | $ | 284,076 | ||||||||
4.35%, 12/08/21 | 100,000 | 109,123 | ||||||||||
5.50%, 12/08/41 | 175,000 | 211,452 | ||||||||||
Education Realty Operating Partnership LP | ||||||||||||
4.60%, 12/01/24 | 625,000 | 641,226 | ||||||||||
Enterprise Products Operating LLC | ||||||||||||
5.70%, 02/15/42D | 60,000 | 69,643 | ||||||||||
8.38%, 08/01/66† | 475,000 | 510,220 | ||||||||||
7.03%, 01/15/68† | 475,000 | 521,373 | ||||||||||
ERP Operating LP REIT | ||||||||||||
4.63%, 12/15/21 | 250,000 | 273,898 | ||||||||||
4.50%, 07/01/44 | 550,000 | 575,561 | ||||||||||
Exelon Corporation | ||||||||||||
5.63%, 06/15/35 | 415,000 | 486,743 | ||||||||||
Express Scripts Holding Co. | ||||||||||||
2.65%, 02/15/17 | 250,000 | 255,754 | ||||||||||
First Data Corporation | ||||||||||||
6.75%, 11/01/20 144A | 490,000 | 524,300 | ||||||||||
First Niagara Financial Group, Inc. | ||||||||||||
6.75%, 03/19/20D | 250,000 | 278,076 | ||||||||||
FirstEnergy Corporation | ||||||||||||
2.75%, 03/15/18D | 120,000 | 121,019 | ||||||||||
4.25%, 03/15/23D | 490,000 | 506,461 | ||||||||||
7.38%, 11/15/31D | 770,000 | 934,384 | ||||||||||
Florida Power & Light Co. | ||||||||||||
3.80%, 12/15/42 | 525,000 | 532,199 | ||||||||||
Ford Motor Co. | ||||||||||||
4.75%, 01/15/43D | 100,000 | 105,929 | ||||||||||
Ford Motor Credit Co., LLC | ||||||||||||
8.00%, 12/15/16D | 1,300,000 | 1,456,229 | ||||||||||
5.00%, 05/15/18 | 225,000 | 244,663 | ||||||||||
5.88%, 08/02/21 | 575,000 | 666,652 | ||||||||||
Freeport-McMoRan, Inc. | ||||||||||||
3.10%, 03/15/20D | 190,000 | 185,039 | ||||||||||
3.55%, 03/01/22 | 20,000 | 18,920 | ||||||||||
5.40%, 11/14/34 | 500,000 | 488,915 | ||||||||||
Fresenius Medical Care US Finance, Inc. | ||||||||||||
6.88%, 07/15/17 | 250,000 | 273,125 | ||||||||||
GE Capital Trust | ||||||||||||
6.38%, 11/15/67†D | 321,000 | 346,537 | ||||||||||
General Electric Capital Corporation | ||||||||||||
1.63%, 07/02/15 | 810,000 | 815,190 | ||||||||||
8.50%, 04/06/18(M) | 1,000,000 | 75,167 | ||||||||||
6.00%, 08/07/19 | 1,050,000 | 1,222,577 | ||||||||||
4.38%, 09/16/20 | 690,000 | 756,671 | ||||||||||
4.65%, 10/17/21D | 140,000 | 158,030 | ||||||||||
3.15%, 09/07/22D | 800,000 | 816,197 | ||||||||||
5.88%, 01/14/38 | 150,000 | 190,197 | ||||||||||
General Electric Co. | ||||||||||||
0.85%, 10/09/15 | 210,000 | 210,577 | ||||||||||
4.50%, 03/11/44 | 100,000 | 110,385 | ||||||||||
General Motors Co. | ||||||||||||
6.25%, 10/02/43 | 50,000 | 59,980 | ||||||||||
General Motors Financial Co., Inc. | ||||||||||||
2.75%, 05/15/16D | 90,000 | 91,631 | ||||||||||
3.25%, 05/15/18D | 320,000 | 321,200 | ||||||||||
3.50%, 07/10/19 | 325,000 | 332,209 | ||||||||||
4.25%, 05/15/23D | 80,000 | 81,791 |
See Notes to Financial Statements. | 113 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||||
Gilead Sciences, Inc. | ||||||||||||
3.70%, 04/01/24 | $ | 340,000 | $ | 357,285 | ||||||||
GlaxoSmithKline Capital, Inc. | ||||||||||||
5.65%, 05/15/18 | 380,000 | 428,411 | ||||||||||
Glencore Funding LLC | ||||||||||||
2.50%, 01/15/19 144AD | 400,000 | 394,244 | ||||||||||
Goldman Sachs Capital II | ||||||||||||
4.00%, 12/29/49† | 60,000 | 44,400 | ||||||||||
Goldman Sachs Group, Inc. | ||||||||||||
5.95%, 01/18/18 | 1,000,000 | 1,111,747 | ||||||||||
1.33%, 11/15/18†D | 3,800,000 | 3,840,842 | ||||||||||
6.00%, 06/15/20 | 540,000 | 624,991 | ||||||||||
5.25%, 07/27/21D | 560,000 | 632,583 | ||||||||||
4.00%, 03/03/24D | 900,000 | 935,408 | ||||||||||
3.85%, 07/08/24D | 150,000 | 154,019 | ||||||||||
6.75%, 10/01/37 | 40,000 | 50,392 | ||||||||||
6.25%, 02/01/41 | 550,000 | 697,764 | ||||||||||
HCA Holdings, Inc. | ||||||||||||
7.75%, 05/15/21 | 75,000 | 80,062 | ||||||||||
HCA, Inc. | ||||||||||||
6.50%, 02/15/16 | 686,000 | 717,727 | ||||||||||
7.69%, 06/15/25 | 250,000 | 282,500 | ||||||||||
HCP, Inc. REIT | ||||||||||||
6.00%, 01/30/17 | 300,000 | 327,500 | ||||||||||
2.63%, 02/01/20D | 300,000 | 297,234 | ||||||||||
HD Supply, Inc. | ||||||||||||
5.25%, 12/15/21 144A | 200,000 | 204,000 | ||||||||||
Hess Corporation | ||||||||||||
8.13%, 02/15/19 | 110,000 | 130,994 | ||||||||||
Hewlett-Packard Co. | ||||||||||||
3.00%, 09/15/16 | 300,000 | 308,160 | ||||||||||
2.60%, 09/15/17 | 300,000 | 305,830 | ||||||||||
2.75%, 01/14/19D | 375,000 | 375,835 | ||||||||||
HJ Heinz Co. | ||||||||||||
4.25%, 10/15/20 | 90,000 | 91,125 | ||||||||||
HSBC Holdings PLC | ||||||||||||
6.38%, 09/17/54† | 1,450,000 | 1,466,312 | ||||||||||
Humana, Inc. | ||||||||||||
7.20%, 06/15/18D | 480,000 | 561,166 | ||||||||||
3.15%, 12/01/22 | 70,000 | 68,183 | ||||||||||
4.63%, 12/01/42 | 60,000 | 61,072 | ||||||||||
Hyundai Capital America | ||||||||||||
2.13%, 10/02/17 144A | 130,000 | 130,720 | ||||||||||
ILFC E-Capital Trust | ||||||||||||
6.25%, 12/21/65 144A† | 280,000 | 270,200 | ||||||||||
International Lease Finance Corporation | ||||||||||||
6.75%, 09/01/16 144AD | 990,000 | 1,056,825 | ||||||||||
7.13%, 09/01/18 144A | 1,975,000 | 2,216,938 | ||||||||||
8.63%, 01/15/22 | 250,000 | 310,938 | ||||||||||
John Deere Capital Corporation | ||||||||||||
2.25%, 04/17/19D | 160,000 | 161,592 | ||||||||||
1.70%, 01/15/20D | 80,000 | 78,064 | ||||||||||
JPMorgan Chase & Co. | ||||||||||||
5.15%, 10/01/15 | 960,000 | 986,872 | ||||||||||
0.78%, 04/25/18† | 3,000,000 | 2,995,563 | ||||||||||
4.40%, 07/22/20 | 980,000 | 1,063,085 | ||||||||||
4.35%, 08/15/21D | 70,000 | 76,177 | ||||||||||
4.50%, 01/24/22D | 700,000 | 765,388 | ||||||||||
3.38%, 05/01/23D | 210,000 | 207,980 | ||||||||||
3.63%, 05/13/24D | 1,680,000 | 1,721,694 | ||||||||||
Kerr-McGee Corporation | ||||||||||||
6.95%, 07/01/24 | 290,000 | 355,083 | ||||||||||
7.88%, 09/15/31 | 280,000 | 383,783 |
Par | Value | |||||||||||
Kimberly-Clark Corporation | ||||||||||||
3.70%, 06/01/43D | $ | 500,000 | $ | 487,900 | ||||||||
Kinder Morgan, Inc. | ||||||||||||
7.00%, 06/15/17D | 710,000 | 786,325 | ||||||||||
5.00%, 02/15/21 144A | 675,000 | 703,150 | ||||||||||
Kraft Foods Group, Inc. | ||||||||||||
5.38%, 02/10/20D | 223,000 | 253,371 | ||||||||||
3.50%, 06/06/22 | 320,000 | 328,442 | ||||||||||
Kroger Co. | ||||||||||||
6.15%, 01/15/20 | 360,000 | 416,535 | ||||||||||
Lehman Escrow Bonds | ||||||||||||
6.50%, 07/19/17+W†# | 150,000 | — | ||||||||||
6.75%, 12/28/17+W# | 3,340,000 | — | ||||||||||
5.87%, 11/30/49+W†# | 2,330,000 | — | ||||||||||
5.26%, 12/31/99W# | 2,300,000 | 339,250 | ||||||||||
6.25%, 12/31/99W†# | 200,000 | 29,500 | ||||||||||
Level 3 Financing, Inc. | ||||||||||||
9.38%, 04/01/19D | 50,000 | 53,000 | ||||||||||
Liberty Property LP REIT | ||||||||||||
4.75%, 10/01/20D | 575,000 | 620,402 | ||||||||||
Lloyds Banking Group PLC | ||||||||||||
4.50%, 11/04/24 | 240,000 | 242,672 | ||||||||||
M&T Bank Corporation | ||||||||||||
6.88%, 12/29/49 | 750,000 | 770,625 | ||||||||||
Macquarie Bank, Ltd. | ||||||||||||
6.63%, 04/07/21 144A | 375,000 | 433,465 | ||||||||||
MarkWest Energy Partners LP | ||||||||||||
6.25%, 06/15/22 | 170,000 | 176,800 | ||||||||||
MDC Holdings, Inc. | ||||||||||||
5.63%, 02/01/20D | 325,000 | 340,437 | ||||||||||
5.50%, 01/15/24 | 250,000 | 243,125 | ||||||||||
6.00%, 01/15/43 | 225,000 | 187,875 | ||||||||||
Medtronic, Inc. | ||||||||||||
2.50%, 03/15/20 144AD | 125,000 | 125,480 | ||||||||||
4.45%, 03/15/20D | 300,000 | 329,532 | ||||||||||
3.15%, 03/15/22 144A | 300,000 | 304,289 | ||||||||||
3.50%, 03/15/25 144AD | 2,230,000 | 2,286,100 | ||||||||||
MetLife Capital Trust | ||||||||||||
7.88%, 12/15/67 144A | 300,000 | 384,750 | ||||||||||
MetLife, Inc. | ||||||||||||
4.75%, 02/08/21D | 270,000 | 302,185 | ||||||||||
6.40%, 12/15/66 | 50,000 | 56,000 | ||||||||||
Mondelez International, Inc. | ||||||||||||
5.38%, 02/10/20D | 367,000 | 416,208 | ||||||||||
4.00%, 02/01/24 | 450,000 | 471,695 | ||||||||||
Morgan Stanley | ||||||||||||
0.68%, 10/18/16† | 340,000 | 339,130 | ||||||||||
4.75%, 03/22/17 | 60,000 | 63,945 | ||||||||||
6.63%, 04/01/18 | 700,000 | 797,914 | ||||||||||
3.88%, 04/29/24 | 275,000 | 282,710 | ||||||||||
3.70%, 10/23/24 | 1,475,000 | 1,498,149 | ||||||||||
Navient LLC | ||||||||||||
8.45%, 06/15/18 | 300,000 | 335,250 | ||||||||||
NBCUniversal Media LLC | ||||||||||||
2.88%, 01/15/23 | 750,000 | 750,592 | ||||||||||
NCUA Guaranteed Notes | ||||||||||||
3.00%, 06/12/19 | 300,000 | 316,080 | ||||||||||
Nielsen Finance LLC | ||||||||||||
4.50%, 10/01/20D | 300,000 | 303,000 | ||||||||||
Noble Energy, Inc. | ||||||||||||
4.15%, 12/15/21 | 620,000 | 633,163 | ||||||||||
Northwestern Mutual Life Insurance Co. | ||||||||||||
6.06%, 03/30/40 144A | 500,000 | 648,639 |
114 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
Occidental Petroleum Corporation | ||||||||||
3.13%, 02/15/22D | $ | 100,000 | $ | 98,998 | ||||||
2.70%, 02/15/23 | 20,000 | 19,044 | ||||||||
Oracle Corporation | ||||||||||
1.20%, 10/15/17D | 470,000 | 468,519 | ||||||||
Pacific Gas & Electric Co. | ||||||||||
8.25%, 10/15/18 | 130,000 | 156,564 | ||||||||
6.05%, 03/01/34 | 250,000 | 319,254 | ||||||||
5.80%, 03/01/37D | 210,000 | 258,111 | ||||||||
Penske Truck Leasing Co. LP | ||||||||||
2.88%, 07/17/18 144A | 575,000 | 585,152 | ||||||||
PepsiCo, Inc. | ||||||||||
0.70%, 08/13/15 | 520,000 | 521,057 | ||||||||
7.90%, 11/01/18D | 140,000 | 170,468 | ||||||||
Plains Exploration & Production Co. | ||||||||||
6.50%, 11/15/20 | 46,000 | 49,909 | ||||||||
6.88%, 02/15/23 | 62,000 | 69,130 | ||||||||
PNC Preferred Funding Trust II | ||||||||||
1.46%, 03/29/49 144A†D | 600,000 | 567,000 | ||||||||
Principal Life Global Funding II | ||||||||||
2.38%, 09/11/19 144A@ | 2,900,000 | 2,903,204 | ||||||||
Private Export Funding Corporation | ||||||||||
5.45%, 09/15/17 | 1,600,000 | 1,781,550 | ||||||||
Progress Energy, Inc. | ||||||||||
7.75%, 03/01/31D | 350,000 | 508,180 | ||||||||
Puget Sound Energy, Inc. | ||||||||||
6.97%, 06/01/67† | 200,000 | 205,870 | ||||||||
PVNGS II Funding Corporation, Inc. | ||||||||||
8.00%, 12/30/15 | 98,000 | 98,991 | ||||||||
QEP Resources, Inc. | ||||||||||
5.25%, 05/01/23D | 80,000 | 75,200 | ||||||||
Range Resources Corporation | ||||||||||
5.00%, 03/15/23D | 310,000 | 311,550 | ||||||||
Raytheon Co. | ||||||||||
3.13%, 10/15/20D | 200,000 | 206,832 | ||||||||
Regency Energy Partners LP | ||||||||||
4.50%, 11/01/23 | 310,000 | 285,975 | ||||||||
Rensselaer Polytechnic Institute | ||||||||||
5.60%, 09/01/20 | 675,000 | 771,254 | ||||||||
Roche Holdings, Inc. | ||||||||||
6.00%, 03/01/19 144A | 148,000 | 171,098 | ||||||||
3.35%, 09/30/24 144A@ | 1,700,000 | 1,753,202 | ||||||||
Rock-Tenn Co. | ||||||||||
3.50%, 03/01/20 | 150,000 | 152,396 | ||||||||
4.00%, 03/01/23 | 30,000 | 30,614 | ||||||||
Roper Industries, Inc. | ||||||||||
2.05%, 10/01/18 | 375,000 | 372,237 | ||||||||
Sally Holdings LLC | ||||||||||
6.88%, 11/15/19 | 100,000 | 106,750 | ||||||||
Santander Holdings USA, Inc. | ||||||||||
3.00%, 09/24/15 | 300,000 | 303,650 | ||||||||
Senior Housing Properties Trust REIT | ||||||||||
3.25%, 05/01/19 | 250,000 | 251,794 | ||||||||
SESI LLC | ||||||||||
7.13%, 12/15/21D | 80,000 | 77,200 | ||||||||
Southern Copper Corporation | ||||||||||
5.25%, 11/08/42 | 760,000 | 682,743 | ||||||||
Southern Natural Gas Co. LLC | ||||||||||
8.00%, 03/01/32D | 400,000 | 519,554 |
Par | Value | |||||||||
Springleaf Finance Corporation | ||||||||||
5.40%, 12/01/15D | $ | 100,000 | $ | 102,750 | ||||||
Sprint Capital Corporation | ||||||||||
8.75%, 03/15/32 | 120,000 | 116,700 | ||||||||
Sprint Communications, Inc. | ||||||||||
9.00%, 11/15/18 144AD | 80,000 | 91,192 | ||||||||
Sprint Corporation | ||||||||||
7.25%, 09/15/21 | 40,000 | 39,850 | ||||||||
State Street Corporation | ||||||||||
4.96%, 03/15/18 | 530,000 | 574,442 | ||||||||
SunTrust Banks, Inc. | ||||||||||
3.60%, 04/15/16 | 300,000 | 309,516 | ||||||||
Synchrony Financial | ||||||||||
3.00%, 08/15/19 | 375,000 | 379,343 | ||||||||
Sysco Corporation | ||||||||||
3.50%, 10/02/24 | 850,000 | 876,426 | ||||||||
Teachers Insurance & Annuity Association of America | ||||||||||
6.85%, 12/16/39 144A | 540,000 | 740,091 | ||||||||
4.90%, 09/15/44 144AD | 360,000 | 402,808 | ||||||||
Tennessee Gas Pipeline Co. LLC | ||||||||||
7.50%, 04/01/17 | 250,000 | 279,455 | ||||||||
Thermo Fisher Scientific, Inc. | ||||||||||
3.60%, 08/15/21D | 160,000 | 165,470 | ||||||||
5.30%, 02/01/44 | 30,000 | 34,591 | ||||||||
Time Warner Cable, Inc. | ||||||||||
4.13%, 02/15/21 | 300,000 | 321,492 | ||||||||
7.30%, 07/01/38D | 600,000 | 830,003 | ||||||||
5.88%, 11/15/40D | 280,000 | 335,056 | ||||||||
5.50%, 09/01/41 | 225,000 | 262,406 | ||||||||
Time Warner, Inc. | ||||||||||
4.70%, 01/15/21D | 10,000 | 10,960 | ||||||||
7.70%, 05/01/32 | 610,000 | 864,171 | ||||||||
6.10%, 07/15/40 | 140,000 | 171,096 | ||||||||
6.25%, 03/29/41D | 40,000 | 49,846 | ||||||||
Time Warner Entertainment Co. LP | ||||||||||
8.38%, 07/15/33 | 390,000 | 586,912 | ||||||||
Toyota Motor Credit Corporation | ||||||||||
1.25%, 10/05/17 | 520,000 | 518,797 | ||||||||
Transatlantic Holdings, Inc. | ||||||||||
8.00%, 11/30/39 | 200,000 | 288,964 | ||||||||
Tyson Foods, Inc. | ||||||||||
5.15%, 08/15/44D | 60,000 | 67,658 | ||||||||
United Airline 1995 Pass Through Trust | ||||||||||
9.56%, 10/19/18 | 107,870 | 24,271 | ||||||||
United Airline 2009-2A Pass Through Trust | ||||||||||
9.75%, 07/15/18 | 91,738 | 101,829 | ||||||||
United Technologies Corporation | ||||||||||
4.50%, 06/01/42 | 250,000 | 273,302 | ||||||||
UnitedHealth Group, Inc. | ||||||||||
1.63%, 03/15/19D | 170,000 | 167,742 | ||||||||
Univision Communications, Inc. | ||||||||||
6.75%, 09/15/22 144A | 334,000 | 359,050 | ||||||||
Verizon Communications, Inc. | ||||||||||
1.77%, 09/15/16† | 1,200,000 | 1,222,266 | ||||||||
1.99%, 09/14/18† | 400,000 | 416,474 | ||||||||
6.35%, 04/01/19 | 90,000 | 104,387 | ||||||||
2.63%, 02/21/20 144A | 1,056,000 | 1,045,170 |
See Notes to Financial Statements. | 115 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
4.50%, 09/15/20 | $ | 975,000 | $ | 1,059,414 | ||||||
3.45%, 03/15/21D | 130,000 | 132,976 | ||||||||
2.45%, 11/01/22 | 10,000 | 9,399 | ||||||||
5.15%, 09/15/23 | 1,470,000 | 1,624,371 | ||||||||
4.15%, 03/15/24D | 1,675,000 | 1,735,340 | ||||||||
3.50%, 11/01/24D | 140,000 | 137,833 | ||||||||
6.40%, 09/15/33 | 459,000 | 566,380 | ||||||||
6.55%, 09/15/43 | 1,379,000 | 1,769,291 | ||||||||
4.86%, 08/21/46 144A | 495,000 | 509,721 | ||||||||
Voya Financial, Inc. | ||||||||||
2.90%, 02/15/18 | 60,000 | 61,471 | ||||||||
Wachovia Capital Trust | ||||||||||
5.57%, 03/29/49†D | 580,000 | 562,890 | ||||||||
Walgreen Co. | ||||||||||
1.80%, 09/15/17D | 300,000 | 300,344 | ||||||||
Walgreens Boots Alliance, Inc. | ||||||||||
2.70%, 11/18/19 | 425,000 | 427,639 | ||||||||
3.80%, 11/18/24 | 325,000 | 332,133 | ||||||||
Waste Management, Inc. | ||||||||||
3.50%, 05/15/24 | 150,000 | 152,180 | ||||||||
7.38%, 05/15/29D | 140,000 | 190,345 | ||||||||
WEA Finance LLC | ||||||||||
3.75%, 09/17/24 144A | 400,000 | 406,728 | ||||||||
WellPoint, Inc. | ||||||||||
1.25%, 09/10/15 | 110,000 | 110,464 | ||||||||
5.88%, 06/15/17 | 720,000 | 791,839 | ||||||||
Wells Fargo & Co. | ||||||||||
3.68%, 06/15/16 STEP | 290,000 | 300,923 | ||||||||
4.60%, 04/01/21 | 70,000 | 77,993 | ||||||||
3.45%, 02/13/23D | 200,000 | 202,913 | ||||||||
4.48%, 01/16/24D | 2,196,000 | 2,345,750 | ||||||||
5.38%, 11/02/43 | 190,000 | 217,004 | ||||||||
4.65%, 11/04/44 | 90,000 | 93,246 | ||||||||
Wells Fargo Capital X | ||||||||||
5.95%, 12/01/86 | 200,000 | 204,500 | ||||||||
West Corporation | ||||||||||
5.38%, 07/15/22 144A | 200,000 | 191,500 | ||||||||
Williams Cos., Inc. | ||||||||||
7.50%, 01/15/31 | 10,000 | 10,636 | ||||||||
7.75%, 06/15/31D | 25,000 | 26,837 | ||||||||
8.75%, 03/15/32 | 451,000 | 527,594 | ||||||||
Williams Partners LP | ||||||||||
3.90%, 01/15/25D | 500,000 | 481,521 | ||||||||
Wm. Wrigley Jr. Co. | ||||||||||
2.40%, 10/21/18 144AD | 60,000 | 60,476 | ||||||||
2.90%, 10/21/19 144A | 230,000 | 233,230 | ||||||||
3.38%, 10/21/20 144A | 70,000 | 71,643 | ||||||||
Ymobile Corporation | ||||||||||
8.25%, 04/01/18 144A | 200,000 | 210,500 | ||||||||
|
| |||||||||
Total Corporate Bonds | 158,971,884 | |||||||||
|
| |||||||||
FOREIGN BONDS — 10.7% |
| |||||||||
Australia — 0.4% |
| |||||||||
Australia & New Zealand Banking Group, Ltd. | ||||||||||
4.50%, 03/19/24 144A | 275,000 | 281,252 | ||||||||
BHP Billiton Finance (USA), Ltd. | ||||||||||
3.25%, 11/21/21D | 920,000 | 951,605 | ||||||||
5.00%, 09/30/43 | 220,000 | 250,376 | ||||||||
Commonwealth Bank of Australia | ||||||||||
1.25%, 09/18/15 | 320,000 | 321,511 |
Par | Value | |||||||||
5.00%, 10/15/19 144A | $ | 50,000 | $ | 55,883 | ||||||
FMG Resources August 2006 Proprietary, Ltd. | ||||||||||
8.25%, 11/01/19 144AD | 390,000 | 356,362 | ||||||||
6.88%, 04/01/22 144AD | 200,000 | 167,250 | ||||||||
Macquarie Bank, Ltd. | ||||||||||
2.60%, 06/24/19 144A | 50,000 | 50,472 | ||||||||
Rio Tinto Finance USA, Ltd. | ||||||||||
2.50%, 05/20/16D | 30,000 | 30,576 | ||||||||
3.50%, 11/02/20D | 760,000 | 789,588 | ||||||||
3.75%, 09/20/21 | 10,000 | 10,293 | ||||||||
|
| |||||||||
3,265,168 | ||||||||||
|
| |||||||||
Austria — 0.1% | ||||||||||
Sappi Papier Holding GmbH | ||||||||||
7.75%, 07/15/17 144AD | 225,000 | 241,875 | ||||||||
8.38%, 06/15/19 144A | 300,000 | 322,500 | ||||||||
|
| |||||||||
564,375 | ||||||||||
|
| |||||||||
Bermuda — 0.1% | ||||||||||
Arch Capital Group, Ltd. | ||||||||||
7.35%, 05/01/34D | 175,000 | 243,674 | ||||||||
Endurance Specialty Holdings, Ltd. | ||||||||||
6.15%, 10/15/15 | 150,000 | 155,525 | ||||||||
Weatherford International, Ltd. | ||||||||||
9.63%, 03/01/19 | 265,000 | 314,587 | ||||||||
|
| |||||||||
713,786 | ||||||||||
|
| |||||||||
Brazil — 0.2% | ||||||||||
Brazil Notas do Tesouro Nacional Serie F | ||||||||||
10.00%, 01/01/17(B) | 3,249,000 | 1,167,277 | ||||||||
Brazilian Government International Bond | ||||||||||
4.25%, 01/07/25 | 460,000 | 460,575 | ||||||||
|
| |||||||||
1,627,852 | ||||||||||
|
| |||||||||
Canada — 0.4% | ||||||||||
Bank of Nova Scotia | ||||||||||
1.65%, 10/29/15 144A | 300,000 | 302,664 | ||||||||
Barrick Gold Corporation | ||||||||||
3.85%, 04/01/22D | 130,000 | 125,300 | ||||||||
4.10%, 05/01/23D | 230,000 | 224,225 | ||||||||
Canadian Imperial Bank of Commerce | ||||||||||
2.60%, 07/02/15 144A | 400,000 | 404,130 | ||||||||
Glencore Finance Canada, Ltd. | ||||||||||
2.05%, 10/23/15 144A | 390,000 | 392,615 | ||||||||
5.80%, 11/15/16 144A | 80,000 | 85,617 | ||||||||
2.70%, 10/25/17 144A | 360,000 | 364,459 | ||||||||
Nexen Energy ULC | ||||||||||
6.40%, 05/15/37 | 165,000 | 206,183 | ||||||||
Potash Corporation of Saskatchewan, Inc. | ||||||||||
4.88%, 03/30/20 | 110,000 | 122,400 | ||||||||
PTTEP Canada International Finance, Ltd. | ||||||||||
5.69%, 04/05/21 144A | 320,000 | 356,650 | ||||||||
Rogers Communications, Inc. | ||||||||||
6.75%, 03/15/15 | 10,000 | 10,117 | ||||||||
TransCanada PipeLines, Ltd. | ||||||||||
6.35%, 05/15/67† | 400,000 | 389,000 |
116 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
Videotron, Ltd. | ||||||||||
5.00%, 07/15/22D | $ | 300,000 | $ | 306,750 | ||||||
|
| |||||||||
3,290,110 | ||||||||||
|
| |||||||||
Cayman Islands — 0.4% | ||||||||||
Brazil Minas SPE | ||||||||||
5.33%, 02/15/28 | 470,000 | 466,475 | ||||||||
Petrobras International Finance Co. | ||||||||||
6.13%, 10/06/16D | 271,000 | 272,520 | ||||||||
5.75%, 01/20/20 | 235,000 | 227,530 | ||||||||
5.38%, 01/27/21D | 1,230,000 | 1,145,831 | ||||||||
Shelf Drilling Holdings, Ltd. | ||||||||||
8.63%, 11/01/18 144A | 70,000 | 58,100 | ||||||||
Transocean, Inc. | ||||||||||
5.05%, 12/15/16D | 130,000 | 130,682 | ||||||||
6.50%, 11/15/20D | 275,000 | 259,625 | ||||||||
6.38%, 12/15/21D | 20,000 | 18,474 | ||||||||
Vale Overseas, Ltd. | ||||||||||
4.38%, 01/11/22D | 932,000 | 897,991 | ||||||||
8.25%, 01/17/34D | 80,000 | 96,539 | ||||||||
6.88%, 11/21/36 | 511,000 | 541,246 | ||||||||
|
| |||||||||
4,115,013 | ||||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
Celulosa Arauco y Constitucion SA | ||||||||||
4.75%, 01/11/22D | 240,000 | 247,398 | ||||||||
Chile Government International Bond | ||||||||||
3.63%, 10/30/42 | 160,000 | 146,000 | ||||||||
|
| |||||||||
393,398 | ||||||||||
|
| |||||||||
Colombia — 0.2% | ||||||||||
Colombia Government International Bond | ||||||||||
4.00%, 02/26/24 | 394,000 | 403,850 | ||||||||
5.63%, 02/26/44D | 710,000 | 798,750 | ||||||||
Ecopetrol SA | ||||||||||
5.88%, 05/28/45 | 290,000 | 269,700 | ||||||||
|
| |||||||||
1,472,300 | ||||||||||
|
| |||||||||
Costa Rica — 0.0% | ||||||||||
Costa Rica Government International Bond | ||||||||||
7.00%, 04/04/44 | 200,000 | 196,500 | ||||||||
|
| |||||||||
Dominican Republic — 0.0% | ||||||||||
Dominican Republic International Bond | ||||||||||
14.50%, 02/10/23(V) | 2,600,000 | 64,861 | ||||||||
7.45%, 04/30/44 144A | 320,000 | 351,491 | ||||||||
|
| |||||||||
416,352 | ||||||||||
|
| |||||||||
France — 0.9% | ||||||||||
BNP Paribas SA | ||||||||||
2.38%, 09/14/17 | 270,000 | 274,797 | ||||||||
BPCE SA | ||||||||||
4.63%, 07/11/24 144AD | 700,000 | 680,888 | ||||||||
4.50%, 03/15/25 144A | 1,300,000 | 1,272,830 | ||||||||
Credit Agricole SA | ||||||||||
8.38%, 10/29/49 144A†D | 720,000 | 833,400 | ||||||||
7.88%, 12/31/99 144A† | 1,600,000 | 1,633,054 | ||||||||
Dexia Credit Local SA | ||||||||||
0.61%, 11/07/16 144A† | 3,200,000 | 3,208,499 | ||||||||
|
| |||||||||
7,903,468 | ||||||||||
|
|
Par | Value | |||||||||
Iceland — 0.0% | ||||||||||
Glitnir 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 | ||||||||||
|
| |||||||||
Indonesia — 0.1% | ||||||||||
Indonesia Government International Bond | ||||||||||
4.88%, 05/05/21D | 770,000 | 817,163 | ||||||||
7.75%, 01/17/38 | 100,000 | 131,375 | ||||||||
|
| |||||||||
948,538 | ||||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
Israel Government AID Bond | ||||||||||
5.50%, 09/18/23 | 1,200,000 | 1,479,990 | ||||||||
5.50%, 12/04/23D | 200,000 | 247,140 | ||||||||
5.50%, 04/26/24 | 500,000 | 621,068 | ||||||||
|
| |||||||||
2,348,198 | ||||||||||
|
| |||||||||
Italy — 0.7% | ||||||||||
Intesa Sanpaolo SpA | ||||||||||
3.63%, 08/12/15 144A | 290,000 | 293,961 | ||||||||
2.38%, 01/13/17 | 400,000 | 403,699 | ||||||||
3.88%, 01/16/18 | 1,200,000 | 1,250,276 | ||||||||
5.02%, 06/26/24 144A | 975,000 | 948,009 | ||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||
4.75%, 08/01/23(E) | 2,400,000 | 3,609,831 | ||||||||
|
| |||||||||
6,505,776 | ||||||||||
|
| |||||||||
Japan — 0.2% | ||||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||||
3.85%, 01/22/15 144A | 330,000 | 330,553 | ||||||||
Resona Bank, Ltd. | ||||||||||
5.85%, 09/29/49 144A† | 250,000 | 262,187 | ||||||||
Sumitomo Mitsui Banking Corporation | ||||||||||
3.15%, 07/22/15 144A | 330,000 | 334,407 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||||
4.44%, 04/02/24 144A | 550,000 | 570,544 | ||||||||
|
| |||||||||
1,497,691 | ||||||||||
|
| |||||||||
Jersey — 0.0% | ||||||||||
UBM PLC | ||||||||||
5.75%, 11/03/20 144A | 230,000 | 251,211 | ||||||||
|
| |||||||||
Jordan — 0.1% | ||||||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||||
2.50%, 10/30/20 | 1,200,000 | 1,219,993 | ||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||
7.50%, 04/01/21 | 500,000 | 536,875 | ||||||||
|
| |||||||||
Mexico — 2.0% | ||||||||||
America Movil SAB de CV | ||||||||||
5.63%, 11/15/17D | 370,000 | 407,152 | ||||||||
6.00%, 06/09/19(M) | 3,030,000 | 205,679 | ||||||||
5.00%, 03/30/20D | 240,000 | 265,858 | ||||||||
Mexican Bonos | ||||||||||
8.00%, 06/11/20(M) | 3,840,600 | 294,292 |
See Notes to Financial Statements. | 117 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||
6.50%, 06/10/21(M) | $ 1,625,000 | $ 116,222 | ||||||
6.50%, 06/09/22(M) | 22,995,700 | 1,638,087 | ||||||
8.00%, 12/07/23(M) | 1,761,600 | 137,462 | ||||||
10.00%, 12/05/24(M) | 8,540,000 | 759,603 | ||||||
7.50%, 06/03/27(M) | 1,334,300 | 101,150 | ||||||
8.50%, 05/31/29(M) | 964,000 | 79,116 | ||||||
7.75%, 11/13/42(M) | 45,505,200 | 3,559,558 | ||||||
Mexico Cetes | ||||||||
0.00%, 01/15/15(M)W† | 41,188,800 | 278,848 | ||||||
0.00%, 02/19/15(M)W† | 18,173,800 | 122,720 | ||||||
0.00%, 02/26/15(M)W† | 24,203,500 | 163,351 | ||||||
0.00%, 03/05/15(M)W† | 43,808,000 | 295,508 | ||||||
0.00%, 03/12/15(M)W† | 165,385,900 | 1,114,642 | ||||||
0.00%, 03/19/15(M)W† | 258,025,100 | 1,737,738 | ||||||
0.00%, 03/26/15+(M)W† | 31,360,100 | 211,133 | ||||||
0.00%, 04/01/15(M)W | 148,060,000 | 996,085 | ||||||
Mexico Government International Bond | ||||||||
6.05%, 01/11/40 | 134,000 | 164,552 | ||||||
4.75%, 03/08/44D | 1,578,000 | 1,652,955 | ||||||
5.55%, 01/21/45 | 1,210,000 | 1,409,650 | ||||||
Petroleos Mexicanos | ||||||||
3.50%, 07/18/18D | 90,000 | 91,350 | ||||||
6.00%, 03/05/20D | 72,000 | 81,180 | ||||||
5.50%, 01/21/21 | 570,000 | 619,875 | ||||||
6.63%, 06/15/35 | 159,000 | 184,440 | ||||||
5.50%, 06/27/44 144AD | 170,000 | 174,250 | ||||||
6.38%, 01/23/45 | 770,000 | 875,875 | ||||||
Trust F/1401 REIT | ||||||||
5.25%, 12/15/24 144A | 200,000 | 206,520 | ||||||
| ||||||||
17,944,851 | ||||||||
| ||||||||
Netherlands — 0.7% | ||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
4.63%, 12/01/23D | 400,000 | 425,062 | ||||||
11.00%, 12/29/49 144A† | 487,000 | 627,987 | ||||||
Deutsche Telekom International Finance BV | ||||||||
5.75%, 03/23/16 | 510,000 | 538,718 | ||||||
ING Bank NV | ||||||||
5.80%, 09/25/23 144A | 340,000 | 377,808 | ||||||
4.13%, 11/21/23† | 600,000 | 610,515 | ||||||
Petrobras Global Finance BV | ||||||||
2.60%, 03/17/17† | 2,400,000 | 2,221,440 | ||||||
4.88%, 03/17/20 | 320,000 | 300,163 | ||||||
6.25%, 03/17/24D | 430,000 | 410,237 | ||||||
Royal Bank of Scotland NV | ||||||||
4.65%, 06/04/18D | 130,000 | 135,187 | ||||||
Shell International Finance BV | ||||||||
4.38%, 03/25/20D | 320,000 | 351,065 | ||||||
| ||||||||
5,998,182 | ||||||||
| ||||||||
New Zealand — 0.1% | ||||||||
ANZ New Zealand International, Ltd. | ||||||||
1.85%, 10/15/15 144A | 220,000 | 222,154 | ||||||
New Zealand Government Bond | ||||||||
3.00%, 04/15/20(Z) | 1,270,000 | 963,170 | ||||||
| ||||||||
1,185,324 | ||||||||
| ||||||||
Norway — 0.0% | ||||||||
Kommunalbanken AS | ||||||||
1.00%, 09/26/17 144AD | 500,000 | 496,914 | ||||||
|
Par | Value | |||||||||
Poland — 0.1% | ||||||||||
Poland Government International Bond | ||||||||||
4.00%, 01/22/24 | $ | 980,000 | $1,044,925 | |||||||
| ||||||||||
Russia — 0.1% | ||||||||||
Russian Foreign Bond | ||||||||||
7.50%, 03/31/30 STEPD | 877,045 | 911,688 | ||||||||
7.50%, 03/31/30 STEP 144A | 176,850 | 183,836 | ||||||||
| ||||||||||
1,095,524 | ||||||||||
| ||||||||||
Singapore — 0.0% | ||||||||||
Temasek Financial I, Ltd. | ||||||||||
2.38%, 01/23/23 144A | 330,000 | 322,191 | ||||||||
| ||||||||||
South Africa — 0.1% | ||||||||||
South Africa Government International Bond | ||||||||||
5.88%, 09/16/25D | 860,000 | 971,155 | ||||||||
| ||||||||||
South Korea — 0.4% | ||||||||||
Hyundai Capital Services, Inc. | ||||||||||
4.38%, 07/27/16 144A | 3,400,000 | 3,560,269 | ||||||||
| ||||||||||
Spain — 0.1% | ||||||||||
Santander US Debt SA Unipersonal | ||||||||||
3.72%, 01/20/15 144A | 300,000 | 300,414 | ||||||||
3.78%, 10/07/15 144A | 100,000 | 102,137 | ||||||||
Telefonica Emisiones SA Unipersonal | ||||||||||
6.42%, 06/20/16 | 90,000 | 96,311 | ||||||||
6.22%, 07/03/17 | 20,000 | 22,155 | ||||||||
5.88%, 07/15/19D | 70,000 | 79,745 | ||||||||
| ||||||||||
600,762 | ||||||||||
| ||||||||||
Supranational — 0.0% | ||||||||||
Inter-American Development Bank | ||||||||||
1.00%, 02/27/18 | 400,000 | 389,428 | ||||||||
| ||||||||||
Sweden — 0.2% | ||||||||||
Nordea Bank AB | ||||||||||
4.88%, 05/13/21 144A | 640,000 | 694,307 | ||||||||
Stadshypotek AB | ||||||||||
1.88%, 10/02/19 144AD | 900,000 | 889,962 | ||||||||
| ||||||||||
1,584,269 | ||||||||||
| ||||||||||
Switzerland — 0.4% | ||||||||||
Credit Suisse | ||||||||||
0.54%, 03/11/16† | 1,700,000 | 1,699,822 | ||||||||
1.38%, 05/26/17D | 1,500,000 | 1,496,455 | ||||||||
Credit Suisse AG | ||||||||||
6.50%, 08/08/23 144A | 225,000 | 247,550 | ||||||||
Credit Suisse Group AG | ||||||||||
7.50%, 12/29/49 144A† | 525,000 | 547,312 | ||||||||
| ||||||||||
3,991,139 | ||||||||||
| ||||||||||
Turkey — 0.2% | ||||||||||
Turkey Government International Bond | ||||||||||
7.00%, 03/11/19 | 230,000 | 263,062 | ||||||||
5.63%, 03/30/21 | 160,000 | 176,600 | ||||||||
6.25%, 09/26/22D | 1,020,000 | 1,166,625 | ||||||||
5.75%, 03/22/24 | 410,000 | 460,225 | ||||||||
| ||||||||||
2,066,512 | ||||||||||
|
118 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
United Kingdom — 1.3% |
| |||||||||
Aire Valley Mortgages PLC | ||||||||||
0.38%, 09/20/66(E)† | $ | 422,972 | $ | 496,731 | ||||||
Bank of Scotland PLC | ||||||||||
5.25%, 02/21/17 144A | 100,000 | 108,650 | ||||||||
Barclays Bank PLC | ||||||||||
6.05%, 12/04/17 144A | 230,000 | 253,320 | ||||||||
2.50%, 02/20/19 | 300,000 | 304,283 | ||||||||
Barclays PLC | ||||||||||
6.50%, 12/15/55(E)† | 800,000 | 949,650 | ||||||||
BP Capital Markets PLC | ||||||||||
3.88%, 03/10/15 | 310,000 | 311,895 | ||||||||
3.56%, 11/01/21 | 30,000 | 30,697 | ||||||||
GlaxoSmithKline Capital PLC | ||||||||||
2.85%, 05/08/22D | 350,000 | 350,595 | ||||||||
HSBC Bank PLC | ||||||||||
4.75%, 01/19/21 144A | 200,000 | 222,943 | ||||||||
HSBC Holdings PLC | ||||||||||
4.25%, 03/14/24 | 240,000 | 250,214 | ||||||||
Lloyds Bank PLC | ||||||||||
2.30%, 11/27/18 | 275,000 | 277,855 | ||||||||
12.00%, 12/29/49 144A† | 1,600,000 | 2,288,000 | ||||||||
NRAM Covered Bond LLP | ||||||||||
5.63%, 06/22/17 144A | 1,400,000 | 1,537,564 | ||||||||
Paragon Mortgages No. 15 PLC | ||||||||||
0.32%, 12/15/39(E)† | 1,220,666 | 1,376,189 | ||||||||
Royal Bank of Scotland PLC | ||||||||||
9.50%, 03/16/22† | 175,000 | 199,247 | ||||||||
Royal Bank of Scotland Group PLC | ||||||||||
2.55%, 09/18/15 | 560,000 | 565,705 | ||||||||
6.40%, 10/21/19 | 160,000 | 186,034 | ||||||||
6.13%, 12/15/22 | 180,000 | 196,223 | ||||||||
6.00%, 12/19/23 | 410,000 | 444,558 | ||||||||
5.13%, 05/28/24 | 280,000 | 285,342 | ||||||||
7.64%, 03/29/49† | 200,000 | 211,000 | ||||||||
Standard Chartered PLC | ||||||||||
5.70%, 03/26/44 144A | 680,000 | 710,302 | ||||||||
|
|
| ||||||||
11,556,997 | ||||||||||
|
|
| ||||||||
Virgin Islands (British) — 0.8% |
| |||||||||
Gerdau Trade, Inc. | ||||||||||
5.75%, 01/30/21 144AD | 3,000,000 | 3,061,500 | ||||||||
Sinopec Group Overseas Development 2012, Ltd. | ||||||||||
2.75%, 05/17/17 144A | 230,000 | 234,354 | ||||||||
Sinopec Group Overseas Development 2014, Ltd. | ||||||||||
1.01%, 04/10/17 144A† | 3,200,000 | 3,206,074 | ||||||||
4.38%, 04/10/24 144AD | 750,000 | 789,708 | ||||||||
|
|
| ||||||||
7,291,636 | ||||||||||
|
|
| ||||||||
Total Foreign Bonds | 97,366,696 | |||||||||
|
|
| ||||||||
FOREIGN GOVERNMENT INFLATION-LINKED |
| |||||||||
Brazil — 0.2% | ||||||||||
Brazil Notas do Tesouro Nacional Serie B | 2,072,000 | 1,903,946 | ||||||||
|
|
|
Par | Value | |||||||||
LOAN AGREEMENTS — 0.4% |
| |||||||||
Avago Technologies Cayman, Ltd. Term B Loan | ||||||||||
3.75%, 05/06/21 | $ | 3,184,000 | $ | 3,169,417 | ||||||
Burger King Term B Loan | ||||||||||
4.50%, 09/25/21 | 800,000 | 796,568 | ||||||||
|
|
| ||||||||
Total Loan Agreements | 3,965,985 | |||||||||
|
|
| ||||||||
MORTGAGE-BACKED SECURITIES — 27.1% |
| |||||||||
Aire Valley Mortgages PLC | ||||||||||
0.47%, 09/20/66 144A† | 130,930 | 126,114 | ||||||||
0.49%, 09/20/66 144A† | 313,367 | 302,931 | ||||||||
0.59%, 09/20/66† | 425,732 | 414,212 | ||||||||
Alternative Loan Trust | ||||||||||
5.50%, 10/25/33 | 74,483 | 75,968 | ||||||||
0.49%, 11/20/35† | 1,405,973 | 1,128,715 | ||||||||
0.44%, 01/25/36† | 412,443 | 366,542 | ||||||||
0.36%, 09/25/46† | 856,005 | 718,329 | ||||||||
American Home Mortgage Assets Trust | ||||||||||
1.03%, 11/25/46† | 1,041,487 | 569,317 | ||||||||
American Home Mortgage Investment Trust | ||||||||||
1.83%, 09/25/45† | 1,625,069 | 1,563,467 | ||||||||
Banc of America Commercial Mortgage Trust | ||||||||||
5.45%, 09/10/47 | 40,000 | 41,910 | ||||||||
5.62%, 04/10/49† | 75,000 | 81,038 | ||||||||
Banc of America Mortgage 2004-F Trust | ||||||||||
2.53%, 07/25/34† | 142,705 | 144,207 | ||||||||
Banc of America Re-REMIC Trust | ||||||||||
5.65%, 02/17/51+ 144A† | 91,874 | 96,735 | ||||||||
Bayview Commercial Asset Trust | ||||||||||
0.54%, 01/25/35 144A† | 666,637 | 614,850 | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||||
2.35%, 02/25/33† | 13,380 | 12,820 | ||||||||
2.63%, 05/25/34† | 54,418 | 51,923 | ||||||||
2.58%, 03/25/35† | 588,113 | 594,090 | ||||||||
Bear Stearns ALT-A Trust | ||||||||||
2.55%, 05/25/35† | 405,655 | 400,353 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust | ||||||||||
5.60%, 06/11/50 | 829,868 | 904,617 | ||||||||
Bear Stearns Structured Products, Inc. Trust | ||||||||||
2.59%, 01/26/36† | 1,049,708 | 857,831 | ||||||||
Berica 8 Residential MBS SRL | ||||||||||
0.38%, 03/31/48(E)† | 178,677 | 212,433 | ||||||||
Berica ABS SRL | ||||||||||
0.38%, 12/31/55(E)† | 1,158,850 | 1,393,011 | ||||||||
CHL Mortgage Pass-Through Trust | ||||||||||
2.56%, 02/19/34† | 674,446 | 670,023 | ||||||||
Citigroup Commercial Mortgage Trust | ||||||||||
0.00%, 05/10/47 IOW† | 3,102,673 | 280,249 | ||||||||
6.06%, 12/10/49† | 613,939 | 675,771 |
See Notes to Financial Statements. | 119 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
COBALT CMBS Commercial Mortgage Trust | ||||||
5.53%, 04/15/47† | $ 60,000 | $ 64,436 | ||||
COMM 2013-CCRE12 Mortgage Trust | ||||||
4.05%, 10/10/46 | 90,000 | 97,033 | ||||
4.30%, 10/10/46 | 100,000 | 106,925 | ||||
4.76%, 10/10/46† | 40,000 | 43,704 | ||||
5.09%, 10/10/46† | 20,000 | 21,622 | ||||
COMM 2013-CCRE13 Mortgage Trust | ||||||
0.00%, 12/10/23 IOW† | 3,317,889 | 192,335 | ||||
COMM 2014-CCRE19 Mortgage Trust | ||||||
4.72%, 08/10/47† | 218,000 | 228,255 | ||||
COMM 2014-SAVA Mortgage Trust | ||||||
3.26%, 06/15/34 144A† | 400,000 | 400,253 | ||||
Commercial Mortgage Pass-Through Certificates | ||||||
2.82%, 10/15/45 | 30,000 | 30,026 | ||||
Commercial Mortgage Trust | ||||||
5.82%, 07/10/38† | 177,000 | 186,547 | ||||
Credit Suisse Commercial Mortgage Trust | ||||||
5.61%, 01/15/49† | 203,000 | 217,326 | ||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||
0.00%, 07/25/33 IOW† | 90,181 | 363 | ||||
0.00%, 08/25/33 IOW† | 87,719 | — | ||||
Credit Suisse Mortgage Trust | ||||||
4.19%, 09/15/37+ 144A | 300,000 | 313,805 | ||||
4.37%, 09/15/37+ 144A | 310,000 | 300,254 | ||||
1.12%, 09/15/38 144A† | 300,000 | 300,420 | ||||
EQTY 2014-INNS Mortgage Trust | ||||||
2.51%, 05/08/31 144A† | 300,000 | 298,775 | ||||
Federal Home Loan Mortgage Corporation | ||||||
7.00%, 04/01/15 | 685 | 686 | ||||
8.50%, 06/01/18 | 1,251 | 1,315 | ||||
4.50%, 09/01/18 | 4,635 | 4,872 | ||||
8.00%, 08/01/24 | 1,644 | 1,868 | ||||
4.00%, 10/01/25 | 476,188 | 508,424 | ||||
5.50%, 02/01/27 | 73,141 | 81,697 | ||||
7.50%, 11/01/29 | 5,730 | 7,004 | ||||
7.50%, 12/01/29 | 7,928 | 9,259 | ||||
7.50%, 02/01/31 | 17,496 | 19,585 | ||||
2.36%, 07/01/31† | 23,973 | 24,858 | ||||
7.50%, 11/01/31 | 9,152 | 9,245 | ||||
2.48%, 04/01/32† | 2,296 | 2,411 | ||||
3.50%, 08/01/33 | 1,830,365 | 1,934,878 | ||||
5.00%, 08/01/33 | 10,780 | 11,938 | ||||
5.00%, 09/01/33 | 2,141 | 2,371 | ||||
5.00%, 10/01/33 | 6,943 | 7,690 | ||||
2.48%, 03/01/34† | 3,369 | 3,608 | ||||
5.00%, 12/01/34 | 178,016 | 196,960 | ||||
5.50%, 05/01/35 | 417,853 | 469,223 | ||||
5.00%, 07/01/35 | 9,709 | 10,756 | ||||
5.00%, 11/01/35 | 356,170 | 392,859 | ||||
5.50%, 11/01/35 | 69,570 | 78,330 | ||||
5.00%, 12/01/35 | 26,124 | 29,070 | ||||
5.50%, 01/01/36 | 42,376 | 47,544 | ||||
6.00%, 02/01/36 | 585,607 | 661,771 |
Par | Value | |||||
2.83%, 01/01/37† | $ 641,215 | $ 694,957 | ||||
5.00%, 02/01/37 | 39,863 | 43,942 | ||||
5.50%, 07/01/37 | 86,147 | 96,897 | ||||
1.74%, 09/01/37† | 58,416 | 61,620 | ||||
5.50%, 04/01/38 | 21,621 | 24,187 | ||||
7.00%, 02/01/39 | 259,637 | 295,631 | ||||
7.00%, 03/01/39 | 48,894 | 54,158 | ||||
5.50%, 04/01/39 | 519,980 | 584,542 | ||||
4.50%, 06/01/39 | 234,171 | 253,748 | ||||
6.50%, 09/01/39 | 88,708 | 102,389 | ||||
4.50%, 08/01/40 | 190,214 | 206,421 | ||||
5.50%, 08/01/40 | 453,889 | 507,844 | ||||
5.00%, 06/01/41 | 7,733 | 8,564 | ||||
3.50%, 10/01/42 | 178,454 | 186,248 | ||||
4.00%, 10/01/42 | 88,314 | 95,210 | ||||
3.50%, 11/01/42 | 366,693 | 382,719 | ||||
0.00%, 11/15/42 IOW† | 87,533 | 17,858 | ||||
3.50%, 12/01/42 | 88,726 | 92,609 | ||||
3.50%, 01/01/43 | 566,437 | 591,206 | ||||
3.50%, 02/01/43 | 377,947 | 394,491 | ||||
3.50%, 04/01/43 | 187,610 | 196,111 | ||||
4.00%, 04/01/43 | 186,943 | 201,677 | ||||
3.50%, 05/01/43 | 704,478 | 735,191 | ||||
4.00%, 05/01/43 | 93,146 | 100,506 | ||||
4.00%, 06/01/43 | 92,221 | 99,537 | ||||
4.00%, 07/01/43 | 361,793 | 390,211 | ||||
4.00%, 08/01/43 | 186,460 | 201,131 | ||||
4.50%, 12/01/43 | 1,257,295 | 1,393,248 | ||||
3.50%, 02/01/44 | 99,499 | 103,867 | ||||
4.50%, 02/01/44 | 969,723 | 1,074,620 | ||||
4.50%, 03/01/44 | 292,946 | 324,616 | ||||
Federal Home Loan Mortgage Corporation REMIC | ||||||
3.50%, 06/15/27 IOW† | 788,292 | 95,137 | ||||
3.00%, 09/15/31 IOW† | 755,823 | 97,670 | ||||
6.00%, 05/15/36 | 450,267 | 511,456 | ||||
0.66%, 06/15/37† | 344,024 | 347,544 | ||||
6.34%, 07/15/37 IOW† | 2,323,748 | 390,433 | ||||
6.07%, 01/15/40 IOW† | 570,962 | 92,415 | ||||
5.79%, 10/15/41 IOW† | 372,442 | 69,328 | ||||
0.00%, 11/15/41 IOW† | 358,898 | 71,504 | ||||
5.89%, 07/15/42 IOW† | 82,663 | 19,051 | ||||
5.84%, 08/15/42 IOW† | 424,444 | 98,115 | ||||
589.00%, 08/15/42 IOW† | 82,136 | 17,838 | ||||
0.00%, 11/15/42 IOW† | 82,392 | 17,473 | ||||
5.99%, 11/15/42 IOW† | 85,828 | 18,578 | ||||
4.00%, 04/15/43 | 796,909 | 130,080 | ||||
3.00%, 05/15/43 | 412,912 | 372,080 | ||||
3.00%, 07/15/43 | 208,672 | 184,101 | ||||
5.79%, 02/15/44 IOW† | 192,315 | 43,544 | ||||
5.79%, 05/15/44 IOW† | 194,983 | 45,320 | ||||
Federal Housing Administration | ||||||
7.43%, 10/01/18 | 39,718 | 40,708 | ||||
Federal National Mortgage Association | ||||||
8.00%, 06/01/15 | 608 | 610 | ||||
8.00%, 09/01/15 | 843 | 851 | ||||
3.07%, 12/01/17 | 932,237 | 962,655 | ||||
5.00%, 12/01/17 | 11,197 | 11,978 | ||||
2.80%, 03/01/18 | 555,087 | 574,252 | ||||
3.74%, 05/01/18 | 1,328,618 | 1,414,229 | ||||
3.84%, 05/01/18 | 420,000 | 447,787 | ||||
4.51%, 06/01/19 | 1,000,000 | 1,081,664 | ||||
3.42%, 10/01/20 | 279,784 | 297,751 |
120 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
3.62%, 12/01/20 | $ | 178,262 | $ | 192,531 | ||||||
4.38%, 06/01/21 | 650,934 | 726,522 | ||||||||
9.50%, 05/01/22 | 769 | 843 | ||||||||
1.93%, 07/01/22† | 5,551 | 5,706 | ||||||||
5.50%, 09/01/23 | 96,089 | 105,562 | ||||||||
5.50%, 10/01/23 | 20,649 | 22,706 | ||||||||
5.00%, 05/01/24 | 71,868 | 79,344 | ||||||||
9.50%, 07/01/24 | 1,434 | 1,581 | ||||||||
5.50%, 05/01/25 | 525,709 | 556,080 | ||||||||
3.00%, 01/01/26 TBA | 7,200,000 | 7,483,782 | ||||||||
3.50%, 01/01/26 TBA | 1,100,000 | 1,162,047 | ||||||||
6.00%, 06/01/27 | 204,840 | 232,222 | ||||||||
1.91%, 07/01/27† | 18,378 | 19,201 | ||||||||
2.26%, 08/01/27† | 35,541 | 37,855 | ||||||||
1.91%, 11/01/27 CONV† | 22,290 | 23,511 | ||||||||
2.50%, 01/01/28 | 300,000 | 305,438 | ||||||||
2.76%, 02/01/30† | 102,649 | 105,206 | ||||||||
2.51%, 06/01/30 CONV† | 15,703 | 16,119 | ||||||||
8.00%, 10/01/30 | 21,619 | 26,967 | ||||||||
2.63%, 12/01/30 CONV† | 5,846 | 6,034 | ||||||||
1.91%, 01/01/31† | 6,645 | 6,778 | ||||||||
4.50%, 04/01/31 | 127,302 | 138,984 | ||||||||
2.32%, 05/01/31† | 14,050 | 14,289 | ||||||||
4.50%, 05/01/31 | 444,285 | 485,188 | ||||||||
4.50%, 06/01/31 | 132,175 | 144,333 | ||||||||
4.50%, 11/01/31 | 188,978 | 206,419 | ||||||||
6.00%, 11/01/31 | 3,737 | 4,289 | ||||||||
4.50%, 12/01/31 | 266,179 | 290,683 | ||||||||
6.00%, 01/01/32 | 64,170 | 72,742 | ||||||||
6.00%, 03/01/32 | 15,768 | 17,961 | ||||||||
6.00%, 04/01/32 | 223,449 | 253,649 | ||||||||
3.50%, 05/01/32 | 651,539 | 688,804 | ||||||||
1.91%, 06/01/32† | 8,228 | 8,431 | ||||||||
1.93%, 08/01/32† | 10,245 | 10,585 | ||||||||
6.00%, 08/01/32 | 1,862 | 2,135 | ||||||||
2.25%, 02/01/33† | 1,092 | 1,119 | ||||||||
5.50%, 04/01/33 | 40,609 | 46,088 | ||||||||
1.93%, 05/01/33† | 41,302 | 43,974 | ||||||||
6.00%, 05/01/33 | 526 | 595 | ||||||||
5.00%, 07/01/33 | 57,776 | 64,005 | ||||||||
3.50%, 08/01/33 | 88,915 | 93,828 | ||||||||
5.00%, 08/01/33 | 4,813 | 5,364 | ||||||||
5.00%, 09/01/33 | 556,852 | 616,869 | ||||||||
5.50%, 09/01/33 | 7,943 | 8,944 | ||||||||
3.50%, 10/01/33 | 178,073 | 187,861 | ||||||||
3.50%, 11/01/33 | 89,819 | 94,761 | ||||||||
3.50%, 12/01/33 | 91,025 | 95,890 | ||||||||
5.00%, 12/01/33 | 455,823 | 504,972 | ||||||||
5.50%, 12/01/33 | 11,704 | 13,221 | ||||||||
6.00%, 12/01/33 | 467 | 529 | ||||||||
5.50%, 02/01/34 | 20,171 | 22,736 | ||||||||
5.50%, 04/01/34 | 2,089 | 2,359 | ||||||||
3.50%, 05/01/34 | 293,155 | 310,735 | ||||||||
5.50%, 05/01/34 | 98,046 | 110,518 | ||||||||
5.50%, 08/01/34 | 4,612 | 5,237 | ||||||||
5.50%, 10/01/34 | 204 | 229 | ||||||||
6.00%, 10/01/34 | 30,883 | 34,989 | ||||||||
5.50%, 11/01/34 | 9,768 | 10,986 | ||||||||
2.00%, 12/01/34† | 120,382 | 128,184 | ||||||||
5.50%, 12/01/34 | 21,382 | 24,112 | ||||||||
6.00%, 12/01/34 | 351 | 398 | ||||||||
5.50%, 02/01/35 | 2,383 | 2,678 | ||||||||
5.50%, 04/25/35 | 938,542 | 1,040,516 | ||||||||
6.00%, 05/01/35 | 1,253,867 | 1,425,504 |
Par | Value | |||||||||
5.50%, 07/01/35 | $ | 255 | $ | 289 | ||||||
6.00%, 07/01/35 | 204,205 | 233,312 | ||||||||
5.50%, 08/01/35 | 446 | 506 | ||||||||
6.00%, 08/01/35 | 45 | 51 | ||||||||
5.50%, 09/01/35 | 76,640 | 85,713 | ||||||||
5.00%, 10/01/35 | 193,966 | 214,897 | ||||||||
6.00%, 10/01/35 | 45,398 | 51,565 | ||||||||
1.91%, 11/01/35† | 16,494 | 17,192 | ||||||||
2.10%, 11/01/35† | 78,971 | 83,670 | ||||||||
2.10%, 11/01/35† | 80,580 | 85,144 | ||||||||
2.11%, 11/01/35† | 102,625 | 108,937 | ||||||||
2.11%, 11/01/35† | 76,708 | 81,035 | ||||||||
2.14%, 11/01/35† | 110,189 | 117,594 | ||||||||
6.00%, 11/01/35 | 523,550 | 594,472 | ||||||||
5.00%, 12/01/35 | 307,137 | 340,039 | ||||||||
5.50%, 12/01/35 | 2,065 | 2,344 | ||||||||
6.00%, 12/01/35 | 8,958 | 10,305 | ||||||||
6.00%, 01/01/36 | 107,184 | 121,525 | ||||||||
6.00%, 02/01/36 | 5,070 | 5,829 | ||||||||
6.00%, 03/01/36 | 6,236 | 7,171 | ||||||||
5.50%, 04/01/36 | 63,464 | 69,034 | ||||||||
6.00%, 04/01/36 | 8,234 | 9,464 | ||||||||
3.80%, 05/01/36† | 117,354 | 123,467 | ||||||||
5.50%, 09/01/36 | 16,735 | 18,855 | ||||||||
6.00%, 09/01/36 | 138,553 | 157,131 | ||||||||
5.50%, 11/01/36 | 176,639 | 197,754 | ||||||||
6.00%, 01/01/37 | 983,740 | 1,117,325 | ||||||||
1.76%, 02/01/37† | 689,462 | 720,931 | ||||||||
5.50%, 02/01/37 | 254 | 285 | ||||||||
6.00%, 02/01/37 | 730,793 | 833,353 | ||||||||
5.50%, 03/01/37 | 10,539 | 11,816 | ||||||||
6.00%, 03/01/37 | 461,134 | 522,620 | ||||||||
5.50%, 04/01/37 | 372 | 416 | ||||||||
5.50%, 05/01/37 | 399 | 445 | ||||||||
5.50%, 06/01/37 | 178 | 200 | ||||||||
6.00%, 06/01/37 | 395 | 448 | ||||||||
6.00%, 07/01/37 | 1,429,725 | 1,630,741 | ||||||||
5.50%, 08/01/37 | 485,310 | 544,485 | ||||||||
6.00%, 08/01/37 | 140,312 | 159,165 | ||||||||
6.00%, 09/01/37 | 260,322 | 294,835 | ||||||||
6.50%, 10/01/37 | 94,303 | 107,394 | ||||||||
7.00%, 10/01/37 | 8,454 | 9,476 | ||||||||
7.00%, 11/01/37 | 10,954 | 13,376 | ||||||||
1.91%, 12/01/37† | 56,901 | 59,227 | ||||||||
6.00%, 12/01/37 | 645,471 | 732,812 | ||||||||
7.00%, 12/01/37 | 6,203 | 6,933 | ||||||||
1.91%, 01/01/38† | 38,710 | 41,208 | ||||||||
6.00%, 01/01/38 | 381,436 | 439,230 | ||||||||
5.50%, 02/01/38 | 5,983 | 6,707 | ||||||||
6.00%, 02/01/38 | 3,086 | 3,499 | ||||||||
7.00%, 02/01/38 | 7,864 | 8,841 | ||||||||
4.50%, 03/01/38 | 13,091 | 14,206 | ||||||||
5.50%, 03/01/38 | 656 | 742 | ||||||||
6.00%, 03/01/38 | 247,845 | 280,608 | ||||||||
4.50%, 04/01/38 | 566,496 | 616,142 | ||||||||
5.00%, 04/01/38 | 212,803 | 234,942 | ||||||||
6.00%, 04/01/38 | 798 | 903 | ||||||||
5.50%, 05/01/38 | 247 | 277 | ||||||||
6.00%, 05/01/38 | 54,142 | 61,437 | ||||||||
5.00%, 06/01/38 | 235,915 | 260,458 | ||||||||
5.50%, 06/01/38 | 673 | 755 | ||||||||
5.50%, 07/01/38 | 115,419 | 130,452 | ||||||||
5.50%, 08/01/38 | 141,312 | 159,846 | ||||||||
7.00%, 08/01/38 | 9,655 | 11,796 |
See Notes to Financial Statements. | 121 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
5.50%, 09/01/38 | $ | 619 | $ | 700 | ||||||
6.00%, 11/01/38 | 68,399 | 77,656 | ||||||||
7.00%, 11/01/38 | 43,719 | 50,185 | ||||||||
5.50%, 12/01/38 | 289 | 327 | ||||||||
6.00%, 12/01/38 | 226,653 | 257,203 | ||||||||
6.00%, 01/01/39 | 289,091 | 328,397 | ||||||||
5.00%, 01/13/39 | 1,900,000 | 2,099,166 | ||||||||
7.00%, 02/01/39 | 22,166 | 24,952 | ||||||||
7.00%, 03/01/39 | 196,742 | 225,995 | ||||||||
4.50%, 06/01/39 | 589,251 | 640,805 | ||||||||
6.00%, 09/01/39 | 155,201 | 175,828 | ||||||||
6.00%, 10/01/39 | 52,075 | 59,144 | ||||||||
5.50%, 12/01/39 | 252,917 | 286,147 | ||||||||
6.00%, 12/01/39 | 738,347 | 837,082 | ||||||||
4.50%, 01/01/40 | 1,000,000 | 1,085,469 | ||||||||
5.00%, 01/01/40 | 1,000,000 | 1,104,824 | ||||||||
1.52%, 06/01/40† | 54,825 | 57,321 | ||||||||
1.52%, 10/01/40† | 146,263 | 155,504 | ||||||||
6.00%, 10/01/40 | 38,914 | 44,151 | ||||||||
1.91%, 11/01/40† | 19,165 | 20,024 | ||||||||
4.50%, 01/01/41 | 1,002,111 | 1,087,495 | ||||||||
4.00%, 01/13/41 | 2,000,000 | 2,134,508 | ||||||||
4.00%, 02/01/41 | 5,000,000 | 5,322,598 | ||||||||
4.50%, 04/01/41 | 194,580 | 212,130 | ||||||||
6.00%, 05/01/41 | 1,946,192 | 2,208,439 | ||||||||
4.50%, 06/01/41 | 670,932 | 728,846 | ||||||||
4.50%, 08/01/41 | 151,272 | 164,446 | ||||||||
4.50%, 09/01/41 | 416,793 | 452,687 | ||||||||
6.23%, 09/25/41† | 141,370 | 28,489 | ||||||||
4.50%, 11/01/41 | 573,116 | 622,935 | ||||||||
3.50%, 01/01/42 | 5,500,000 | 5,733,321 | ||||||||
4.00%, 01/01/42 | 14,500,000 | 15,475,182 | ||||||||
4.50%, 01/01/42 | 1,600,000 | 1,736,750 | ||||||||
3.50%, 01/13/42 | 1,000,000 | 1,042,422 | ||||||||
3.50%, 02/01/42 | 11,000,000 | 11,436,996 | ||||||||
4.50%, 04/01/42 | 21,590 | 23,430 | ||||||||
5.00%, 05/01/42 | 191,672 | 212,061 | ||||||||
4.00%, 06/01/42 | 81,662 | 87,524 | ||||||||
3.00%, 08/01/42 | 327,001 | 331,747 | ||||||||
3.00%, 09/01/42 | 280,532 | 284,701 | ||||||||
3.50%, 09/01/42 | 88,706 | 92,602 | ||||||||
2.50%, 10/01/42 | 608,592 | 595,033 | ||||||||
4.00%, 10/01/42 | 354,402 | 382,289 | ||||||||
2.50%, 11/01/42 | 33,702 | 32,951 | ||||||||
3.00%, 11/01/42 | 126,636 | 128,492 | ||||||||
4.00%, 11/01/42 | 806,355 | 869,793 | ||||||||
2.50%, 12/01/42 | 25,833 | 25,257 | ||||||||
3.00%, 12/01/42 | 1,757,163 | 1,782,643 | ||||||||
3.50%, 12/01/42 | 530,345 | 554,385 | ||||||||
4.00%, 12/01/42 | 248,383 | 265,401 | ||||||||
2.50%, 01/01/43 | 22,667 | 22,161 | ||||||||
3.00%, 01/01/43 | 1,668,475 | 1,691,820 | ||||||||
3.00%, 01/14/43 | 3,000,000 | 3,034,688 | ||||||||
2.50%, 02/01/43 | 26,185 | 25,601 | ||||||||
3.00%, 02/01/43 | 450,896 | 457,506 | ||||||||
3.00%, 02/12/43 | 11,000,000 | 11,099,473 | ||||||||
2.50%, 03/01/43 | 1,927,527 | 1,884,554 | ||||||||
3.00%, 03/01/43 | 406,101 | 412,148 | ||||||||
3.50%, 03/01/43 | 274,681 | 287,162 | ||||||||
4.00%, 03/25/43 | 662,903 | 110,033 | ||||||||
2.50%, 04/01/43 | 1,846,988 | 1,805,824 | ||||||||
3.00%, 04/01/43 | 497,486 | 504,898 | ||||||||
3.50%, 04/01/43 | 1,188,012 | 1,241,984 | ||||||||
4.00%, 04/01/43 | 88,459 | 95,454 |
Par | Value | |||||||||
0.00%, 04/25/43 | $ | 1,796,081 | $ | 294,612 | ||||||
2.50%, 05/01/43 | 39,993 | 39,101 | ||||||||
3.00%, 05/01/43 | 295,745 | 300,150 | ||||||||
3.50%, 05/01/43 | 91,581 | 95,745 | ||||||||
4.00%, 05/01/43 | 361,311 | 388,299 | ||||||||
2.50%, 06/01/43 | 38,232 | 37,380 | ||||||||
3.00%, 06/01/43 | 88,746 | 90,064 | ||||||||
4.00%, 06/01/43 | 900,858 | 969,784 | ||||||||
3.00%, 07/01/43 | 788,922 | 800,689 | ||||||||
4.00%, 07/01/43 | 900,550 | 968,440 | ||||||||
2.50%, 08/01/43 | 931,165 | 910,420 | ||||||||
4.00%, 08/01/43 | 288,850 | 311,655 | ||||||||
4.50%, 09/01/43 | 1,380,648 | 1,504,778 | ||||||||
2.50%, 10/01/43 | 48,277 | 47,202 | ||||||||
4.50%, 10/01/43 | 286,645 | 317,597 | ||||||||
4.50%, 11/01/43 | 190,202 | 210,787 | ||||||||
4.50%, 12/01/43 | 287,574 | 318,671 | ||||||||
4.50%, 01/01/44 | 191,933 | 212,645 | ||||||||
4.50%, 02/01/44 | 1,703,963 | 1,849,177 | ||||||||
4.50%, 07/01/44 | 196,467 | 216,861 | ||||||||
4.50%, 10/01/44 | 890,591 | 982,159 | ||||||||
Federal National Mortgage Association Interest STRIP | ||||||||||
0.00%, 04/25/27 IOW | 620,071 | 70,020 | ||||||||
0.00%, 11/25/39 IOW | 127,121 | 23,097 | ||||||||
0.00%, 11/25/41 IOW | 827,329 | 162,234 | ||||||||
0.00%, 04/25/42 IOW | 873,388 | 192,521 | ||||||||
Federal National Mortgage Association REMIC | ||||||||||
0.00%, 08/25/21 IOW | 59 | 934 | ||||||||
0.00%, 10/25/21 IOW | 83 | 1,486 | ||||||||
0.00%, 07/25/27 IOW | 1,691,649 | 203,170 | ||||||||
0.61%, 10/18/30† | 19,672 | 19,898 | ||||||||
0.00%, 03/25/37 IOW† | 1,390,559 | 216,701 | ||||||||
6.50%, 06/25/39 | 50,020 | 56,009 | ||||||||
0.00%, 12/25/39 IOW | 589,069 | 93,882 | ||||||||
0.00%, 10/25/40 IOW† | 748,881 | 139,828 | ||||||||
0.00%, 12/25/40 IOW† | 143,629 | 22,330 | ||||||||
0.00%, 02/25/41 IOW† | 74,428 | 13,552 | ||||||||
5.00%, 06/25/41 | 750,000 | 840,212 | ||||||||
5.50%, 07/25/41 | 969,395 | 1,117,234 | ||||||||
0.72%, 09/25/41† | 4,148,837 | 4,185,513 | ||||||||
0.00%, 10/25/41 IOW† | 866,512 | 149,691 | ||||||||
0.00%, 03/25/42 IOW† | 384,888 | 68,839 | ||||||||
5.50%, 04/25/42 | 1,446,162 | 1,600,947 | ||||||||
6.00%, 05/25/42 | 394,299 | 442,833 | ||||||||
0.00%, 07/25/42 IOW† | 267,646 | 55,965 | ||||||||
6.50%, 07/25/42 | 660,452 | 750,512 | ||||||||
7.00%, 07/25/42 | 258,072 | 297,840 | ||||||||
0.00%, 09/25/42 IOW† | 245,903 | 50,779 | ||||||||
7.00%, 10/25/42 | 89,798 | 101,415 | ||||||||
0.00%, 11/25/42 IOW† | 436,996 | 95,527 | ||||||||
0.00%, 12/25/42 IOW† | 338,647 | 74,423 | ||||||||
0.00%, 07/25/43 IOW† | 179,080 | 41,558 | ||||||||
0.00%, 08/25/44 IOW† | 2,619,707 | 184,558 | ||||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||||
4.32%, 11/25/19 | 1,100,000 | 1,209,205 | ||||||||
1.85%, 04/25/20 IOW† | 2,239,144 | 103,179 | ||||||||
1.65%, 06/25/20 IOW | 738,690 | 50,099 | ||||||||
3.03%, 10/25/20 | 800,000 | 835,930 | ||||||||
1.65%, 07/25/21 IOW | 647,471 | 57,274 | ||||||||
1.56%, 10/25/21 IOW | 206,842 | 17,739 | ||||||||
2.78%, 09/25/22 | 282,659 | 291,697 |
122 |
See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
3.46%, 08/25/23 | $ | 100,000 | $ | 106,224 | ||||||
FHLMC Multifamily | ||||||||||
5.50%, 07/15/16 | 3,500,000 | 3,718,750 | ||||||||
FHLMC Structured Pass-Through Securities | ||||||||||
1.52%, 07/25/44† | 1,151,617 | 1,158,217 | ||||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||||
2.21%, 06/25/34† | 556,349 | 544,907 | ||||||||
FREMF Mortgage Trust | ||||||||||
0.20%, 05/25/22 | 5,798,247 | 67,834 | ||||||||
4.07%, 09/25/24 | 550,000 | 539,869 | ||||||||
3.83%, 10/25/24 | 300,000 | 289,638 | ||||||||
GE Business Loan Trust | ||||||||||
0.33%, 04/16/35 144A† | 366,437 | 348,245 | ||||||||
GE Commercial Mortgage Corporation | ||||||||||
5.54%, 12/10/49 | 800,000 | 850,142 | ||||||||
Giovecca Mortgages SRL | ||||||||||
0.68%, 04/23/48(E)† | 480,315 | 580,465 | ||||||||
Government National Mortgage Association | ||||||||||
3.95%, 07/15/25 | 138,617 | 148,200 | ||||||||
7.00%, 10/15/25 | 12,034 | 12,312 | ||||||||
7.00%, 01/15/26 | 5,254 | 5,890 | ||||||||
7.00%, 07/15/27 | 58,627 | 68,610 | ||||||||
7.00%, 12/15/27 | 1,263 | 1,305 | ||||||||
7.00%, 01/15/28 | 15,135 | 15,570 | ||||||||
7.00%, 03/15/28 | 77,419 | 91,354 | ||||||||
7.00%, 07/15/28 | 9,958 | 11,112 | ||||||||
7.50%, 07/15/28 | 12,716 | 13,123 | ||||||||
6.50%, 08/15/28 | 5,156 | 6,012 | ||||||||
7.00%, 08/15/28 | 17,348 | 19,966 | ||||||||
7.50%, 08/15/28 | 9,463 | 10,741 | ||||||||
6.50%, 09/15/28 | 27,263 | 31,215 | ||||||||
7.00%, 10/15/28 | 37,752 | 40,470 | ||||||||
7.50%, 03/15/29 | 23,795 | 28,841 | ||||||||
1.63%, 11/20/29† | 41,716 | 43,286 | ||||||||
8.50%, 08/15/30 | 811 | 884 | ||||||||
8.50%, 11/20/30 | 8,808 | 10,650 | ||||||||
6.50%, 08/15/31 | 44,497 | 51,164 | ||||||||
7.50%, 08/15/31 | 11,292 | 12,951 | ||||||||
6.50%, 10/15/31 | 79,696 | 91,998 | ||||||||
6.00%, 11/15/31 | 199,905 | 225,664 | ||||||||
6.50%, 11/15/31 | 99,328 | 114,212 | ||||||||
6.00%, 12/15/31 | 51,725 | 58,390 | ||||||||
6.00%, 01/15/32 | 109,050 | 124,301 | ||||||||
6.00%, 02/15/32 | 219,257 | 247,511 | ||||||||
6.50%, 02/15/32 | 116,678 | 133,621 | ||||||||
6.00%, 04/15/32 | 63,901 | 72,315 | ||||||||
7.50%, 04/15/32 | 62,001 | 64,402 | ||||||||
6.50%, 06/15/32 | 105,884 | 121,750 | ||||||||
6.50%, 07/15/32 | 1,979 | 2,275 | ||||||||
6.50%, 08/15/32 | 184,920 | 212,629 | ||||||||
6.50%, 09/15/32 | 176,686 | 203,161 | ||||||||
6.00%, 10/15/32 | 120,056 | 135,526 | ||||||||
5.50%, 11/15/32 | 33,954 | 38,070 | ||||||||
6.00%, 11/15/32 | 109,121 | 124,068 | ||||||||
6.00%, 12/15/32 | 41,284 | 46,603 | ||||||||
6.50%, 12/15/32 | 16,666 | 19,163 | ||||||||
5.50%, 01/15/33 | 27,070 | 30,463 | ||||||||
6.00%, 01/15/33 | 78,070 | 88,130 | ||||||||
5.50%, 02/15/33 | 29,619 | 33,311 |
Par | Value | |||||||||
6.00%, 02/15/33 | $ | 52,616 | $ | 59,396 | ||||||
5.50%, 03/15/33 | 30,744 | 34,528 | ||||||||
6.50%, 04/15/33 | 338,175 | 388,847 | ||||||||
6.00%, 05/15/33 | 244,625 | 276,147 | ||||||||
6.00%, 06/15/33 | 21,454 | 24,218 | ||||||||
5.50%, 07/15/33 | 36,017 | 40,537 | ||||||||
5.50%, 08/15/33 | 19,176 | 21,581 | ||||||||
5.50%, 09/15/33 | 15,371 | 17,357 | ||||||||
6.00%, 10/15/33 | 150,639 | 170,050 | ||||||||
6.50%, 10/15/33 | 149,090 | 171,430 | ||||||||
6.00%, 12/15/33 | 229,052 | 258,567 | ||||||||
5.50%, 04/15/34 | 15,913 | 17,964 | ||||||||
5.50%, 05/15/34 | 19,396 | 21,661 | ||||||||
6.50%, 08/15/34 | 318,314 | 366,658 | ||||||||
5.50%, 09/15/34 | 172,281 | 194,339 | ||||||||
5.50%, 12/15/34 | 129,020 | 144,912 | ||||||||
5.50%, 01/15/35 | 139,780 | 157,642 | ||||||||
2.25%, 03/16/35 | 169,282 | 171,122 | ||||||||
0.47%, 03/20/37† | 713,434 | 715,124 | ||||||||
0.47%, 05/20/37† | 311,930 | 312,639 | ||||||||
0.00%, 02/20/38 IOW | 379,606 | 49,950 | ||||||||
6.00%, 09/20/38 | 445,940 | 502,785 | ||||||||
0.00%, 03/20/39 IOW† | 108,284 | 13,598 | ||||||||
0.00%, 01/20/40 IOW† | 137,309 | 22,772 | ||||||||
5.00%, 07/20/40 | 38,263 | 42,704 | ||||||||
0.00%, 08/20/40 IOW† | 239,444 | 45,328 | ||||||||
5.00%, 09/20/40 | 152,422 | 170,120 | ||||||||
6.00%, 10/20/40 | 59,485 | 67,135 | ||||||||
3.50%, 01/15/41 TBA | 1,900,000 | 1,994,406 | ||||||||
4.00%, 01/20/41 TBA | 2,000,000 | 2,144,352 | ||||||||
6.00%, 01/20/41 | 66,615 | 75,888 | ||||||||
4.50%, 04/20/41 | 759,691 | 833,280 | ||||||||
0.00%, 10/16/41 IOW† | 268,145 | 54,889 | ||||||||
3.50%, 01/20/42 TBA | 3,800,000 | 3,988,812 | ||||||||
3.00%, 01/15/43 | 9,000,000 | 9,203,625 | ||||||||
0.00%, 06/20/43 IOW† | 515,657 | 100,264 | ||||||||
0.00%, 08/16/43 IOW† | 343,255 | 54,622 | ||||||||
0.00%, 12/20/43 IOW† | 85,755 | 17,104 | ||||||||
2.90%, 06/16/44 | 335,638 | 344,807 | ||||||||
0.00%, 08/20/44 IOW† | 95,605 | 14,921 | ||||||||
2.00%, 12/16/49 | 116,937 | 116,504 | ||||||||
0.83%, 08/16/52 IOW | 855,545 | 54,064 | ||||||||
0.93%, 06/16/55 IOW | 898,586 | 53,025 | ||||||||
1.72%, 11/16/55 IOW | 3,655,234 | 281,755 | ||||||||
0.98%, 01/16/56 | 8,116,038 | 624,046 | ||||||||
0.56%, 12/20/60† | 413,183 | 410,745 | ||||||||
0.64%, 03/20/61† | 496,163 | 494,657 | ||||||||
0.66%, 03/20/61† | 326,230 | 325,488 | ||||||||
0.51%, 12/20/62† | 1,607,898 | 1,592,438 | ||||||||
Granite Master Issuer PLC | ||||||||||
0.24%, 12/17/54† | 193,674 | 192,299 | ||||||||
0.24%, 12/20/54 144A† | 1,289,119 | 1,277,904 | ||||||||
0.31%, 12/20/54† | 616,237 | 611,357 | ||||||||
Granite Mortgages 03-3 PLC | ||||||||||
0.46%, 01/20/44(E)† | 88,687 | 107,156 | ||||||||
0.94%, 01/20/44(U)† | 26,924 | 41,822 | ||||||||
GreenPoint Mortgage Funding Trust | ||||||||||
0.35%, 01/25/37† | 894,314 | 680,874 | ||||||||
GS Mortgage Securities Trust | ||||||||||
4.09%, 08/10/44 IO 144AW† | 458,235 | 26,744 | ||||||||
5.80%, 08/10/45† | 810,000 | 827,574 | ||||||||
4.27%, 11/10/46 | 130,000 | 142,496 |
See Notes to Financial Statements. | 123 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
5.16%, 11/10/46† | $ | 150,000 | $ | 165,808 | ||||||
GSMPS Mortgage Loan Trust | ||||||||||
0.63%, 02/25/35 144A† | 82,228 | 76,858 | ||||||||
GSR Mortgage Loan Trust | ||||||||||
2.67%, 09/25/35† | 378,900 | 380,399 | ||||||||
Impac CMB Trust | ||||||||||
0.89%, 10/25/34† | 66,536 | 58,055 | ||||||||
IndyMac ARM Trust | ||||||||||
1.72%, 01/25/32† | 7,179 | 6,674 | ||||||||
IndyMac INDX Mortgage Loan Trust | ||||||||||
0.36%, 09/25/46† | 985,657 | 840,783 | ||||||||
JP Morgan Alternative Loan Trust | ||||||||||
0.69%, 01/25/36† | 328,439 | 298,740 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||||
5.21%, 05/15/45† | 280,000 | 306,519 | ||||||||
5.88%, 02/12/51† | 10,000 | 10,959 | ||||||||
JP Morgan Mortgage Trust | ||||||||||
2.64%, 02/25/35† | 136,584 | 133,723 | ||||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||||
5.08%, 11/15/45† | 90,000 | 98,042 | ||||||||
4.89%, 01/15/47† | 50,000 | 55,259 | ||||||||
3.93%, 11/15/47 144A† | 340,000 | 297,459 | ||||||||
4.07%, 11/15/47 | 290,000 | 304,464 | ||||||||
4.12%, 11/15/47† | 290,000 | 301,269 | ||||||||
LB Commercial Mortgage Trust | ||||||||||
5.86%, 07/15/44† | 563,979 | 614,192 | ||||||||
5.90%, 07/15/44† | 130,000 | 141,397 | ||||||||
LB-UBS Commercial Mortgage Trust | ||||||||||
0.00%, 06/15/36 IO 144AW† | 418,929 | 1,110 | ||||||||
6.16%, 09/15/45† | 70,000 | 77,893 | ||||||||
Leek Finance Number Seventeen PLC | ||||||||||
0.36%, 12/21/37(E)† | 62,698 | 79,854 | ||||||||
0.53%, 12/21/37 144A† | 156,745 | 164,112 | ||||||||
0.84%, 12/21/37(U)† | 31,349 | 51,401 | ||||||||
Leek Finance Number Eighteen PLC | ||||||||||
0.34%, 09/21/38(E)† | 47,427 | 59,667 | ||||||||
0.51%, 09/21/38† | 379,416 | 394,552 | ||||||||
Lehman XS Trust | ||||||||||
0.47%, 11/25/35† | 535,331 | 468,000 | ||||||||
Luminent Mortgage Trust | ||||||||||
0.34%, 12/25/36† | 2,153,497 | 1,720,694 | ||||||||
0.37%, 02/25/46† | 650,900 | 490,424 | ||||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||||
2.42%, 05/25/34† | 213,320 | 207,818 | ||||||||
0.81%, 11/25/34† | 297,392 | 295,388 | ||||||||
2.56%, 11/25/35 144A† | 826,113 | 602,847 | ||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||
1.58%, 10/25/35† | 52,869 | 51,308 | ||||||||
ML-CFC Commercial Mortgage Trust | ||||||||||
5.87%, 06/12/46† | 1,353,658 | 1,420,489 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 4.03%, | ||||||||||
08/15/45 IO 144AW† | 986,255 | 81,404 |
Par | Value | |||||||||
2.92%, 02/15/46 | $ | 70,000 | $ | 70,194 | ||||||
3.21%, 02/15/46 | 41,000 | 41,061 | ||||||||
3.10%, 05/15/46 | 300,000 | 304,288 | ||||||||
3.46%, 05/15/46 | 140,000 | 142,752 | ||||||||
4.00%, 12/15/47 | 340,000 | 349,690 | ||||||||
Morgan Stanley Capital I Trust | ||||||||||
5.48%, 02/12/44† | 50,000 | 53,338 | ||||||||
Prime Mortgage Trust | ||||||||||
5.50%, 05/25/35 144A | 2,892,469 | 2,906,130 | ||||||||
6.00%, 05/25/35 144A | 2,308,589 | 2,311,228 | ||||||||
Prime Mortgage Trust | ||||||||||
6.00%, 05/25/35 144A | 192,800 | 201,696 | ||||||||
Quadrivio Finance SRL | ||||||||||
0.59%, 07/25/60(E) | 256,963 | 310,833 | ||||||||
RBSCF Trust | ||||||||||
5.94%, 02/16/51 144A† | 2,685,459 | 2,797,961 | ||||||||
Reperforming Loan REMIC Trust | ||||||||||
0.59%, 11/25/34 144A† | 11,802 | 10,371 | ||||||||
Sequoia Mortgage Trust | ||||||||||
0.99%, 07/20/33† | 119,171 | 111,688 | ||||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||||
0.51%, 08/25/35† | 252,686 | 241,324 | ||||||||
Structured Asset Mortgage Investments II Trust | ||||||||||
0.41%, 07/19/35† | 171,660 | 156,300 | ||||||||
Structured Asset Securities Corporation | ||||||||||
0.52%, 06/25/35 144A† | 156,027 | 126,039 | ||||||||
Thornburg Mortgage Securities Trust | ||||||||||
0.81%, 09/25/43† | 18,363 | 17,541 | ||||||||
2.25%, 04/25/45† | 168,014 | 168,751 | ||||||||
Thrones 2013-1 PLC | ||||||||||
2.06%, 07/20/44(U)† | 82,609 | 130,121 | ||||||||
UBS Commercial Mortgage Trust | ||||||||||
0.00%, 05/10/45 IO 144AW† | 2,616,784 | 306,998 | ||||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||||
0.00%, 12/10/45 IO 144AW† | 975,216 | 100,343 | ||||||||
4.50%, 12/10/45 144A† | 320,000 | 315,804 | ||||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||||
3.00%, 11/15/30 144A | 100,000 | 100,098 | ||||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||||
0.36%, 12/15/43 144A† | 398,000 | 381,155 | ||||||||
5.38%, 12/15/43 | 140,000 | 148,526 | ||||||||
5.56%, 10/15/48 | 421,519 | 445,704 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates | ||||||||||
2.40%, 02/25/33† | 10,473 | 10,345 | ||||||||
2.18%, 02/25/37† | 540,641 | 449,072 | ||||||||
2.30%, 02/25/37† | 357,098 | 306,101 | ||||||||
1.51%, 06/25/42† | 24,484 | 23,604 | ||||||||
0.46%, 07/25/45† | 253,510 | 236,747 | ||||||||
0.87%, 04/25/47† | 960,586 | 836,121 | ||||||||
Wells Fargo Alternative Loan 2007-PA6 Trust | ||||||||||
2.58%, 12/28/37† | 1,154,508 | 982,945 |
124 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||
4.30%, 07/15/46† | $ | 20,000 | $ | 21,191 | ||||||
4.22%, 08/15/50 IOW† | 3,074,235 | 274,420 | ||||||||
Wells Fargo Mortgage-Backed Securities | ||||||||||
5.25%, 05/25/35† | 99,510 | 99,713 | ||||||||
Wells Fargo Mortgage-Backed Securities | ||||||||||
2.59%, 08/25/33† | 257,796 | 262,750 | ||||||||
Wells Fargo Mortgage-Backed Securities | ||||||||||
2.61%, 03/25/35† | 159,298 | 162,023 | ||||||||
WFRBS Commercial Mortgage Trust | ||||||||||
5.65%, 02/15/44 IO 144AW† | 1,505,000 | 44,874 | ||||||||
4.04%, 05/15/45 IO 144AW† | 3,046,171 | 249,672 | ||||||||
3.61%, 06/15/45 IO 144AW† | 317,401 | 27,532 | ||||||||
0.00%, 12/15/45 IO 144AW† | 2,422,010 | 238,642 | ||||||||
4.11%, 03/15/47 IOW† | 1,078,124 | 84,117 | ||||||||
4.22%, 08/15/47 IOW† | 3,678,049 | 294,671 | ||||||||
3.93%, 11/15/47 | 290,000 | 300,854 | ||||||||
4.29%, 11/15/47 | 300,000 | 302,272 | ||||||||
3.91%, 09/15/57 144A† | 350,000 | 306,099 | ||||||||
|
| |||||||||
Total Mortgage-Backed Securities |
| 245,883,605 | ||||||||
|
| |||||||||
MUNICIPAL BONDS — 0.8% |
| |||||||||
Alameda County Joint Powers Authority, Revenue Bond, | ||||||||||
7.05%, 12/01/44 | 3,300,000 | 4,544,661 | ||||||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||||||||
8.08%, 02/15/50 | 300,000 | 484,617 | ||||||||
American Municipal Power, Inc., Revenue Bond, Series E | ||||||||||
6.27%, 02/15/50 | 250,000 | 320,250 | ||||||||
Commonwealth of Puerto Rico, General Obligation, Series A | ||||||||||
6.00%, 07/01/34 | 10,000 | 7,412 | ||||||||
8.00%, 07/01/35 | 590,000 | 515,513 | ||||||||
5.25%, 07/01/37 | 20,000 | 14,191 | ||||||||
5.50%, 07/01/39 | 80,000 | 58,201 | ||||||||
5.00%, 07/01/41 | 10,000 | 6,858 | ||||||||
5.75%, 07/01/41 | 10,000 | 7,202 | ||||||||
Commonwealth of Puerto Rico, General Obligation, Series B | ||||||||||
5.88%, 07/01/36 | 10,000 | 7,271 | ||||||||
Commonwealth of Puerto Rico, General Obligation, Series C | ||||||||||
6.00%, 07/01/39 | 10,000 | 7,361 | ||||||||
Los Angeles Community College District, General Obligation, Series D | ||||||||||
6.68%, 08/01/36 | 300,000 | 406,950 | ||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bond, Series A | ||||||||||
5.75%, 07/01/37 | 20,000 | 14,293 | ||||||||
6.00%, 07/01/44 | 75,000 | 53,254 |
Par | Value | |||||||||
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, Series C | ||||||||||
5.25%, 08/01/40 | $ | 10,000 | $ | 7,861 | ||||||
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, | ||||||||||
5.25%, 08/01/27 | 5,000 | 3,956 | ||||||||
5.50%, 08/01/28 | 60,000 | 47,671 | ||||||||
6.13%, 08/01/29 | 5,000 | 4,127 | ||||||||
0.00%, 08/01/32 | 85,000 | 64,854 | ||||||||
0.00%, 08/01/33 | 25,000 | 13,995 | ||||||||
5.50%, 08/01/37 | 65,000 | 47,535 | ||||||||
5.75%, 08/01/37 | 45,000 | 33,523 | ||||||||
5.38%, 08/01/39 | 35,000 | 24,586 | ||||||||
6.38%, 08/01/39 | 5,000 | 3,975 | ||||||||
5.50%, 08/01/42 | 70,000 | 49,926 | ||||||||
6.00%, 08/01/42 | 100,000 | 75,656 | ||||||||
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, | ||||||||||
5.25%, 08/01/43 | 5,000 | 3,464 | ||||||||
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, | ||||||||||
0.00%, 08/01/37 | 10,000 | 1,386 | ||||||||
5.38%, 08/01/38 | 15,000 | 10,597 | ||||||||
6.00%, 08/01/39 | 20,000 | 15,208 | ||||||||
5.25%, 08/01/41 | 95,000 | 66,401 | ||||||||
Puerto Rico Sales Tax Financing Corporation, Revenue Bond, | ||||||||||
5.00%, 08/01/43 | 15,000 | 10,033 | ||||||||
State of California, General Obligation | ||||||||||
7.95%, 03/01/36 | 165,000 | 204,143 | ||||||||
7.55%, 04/01/39 | 85,000 | 131,256 | ||||||||
State of Illinois, General Obligation | ||||||||||
7.35%, 07/01/35 | 375,000 | 441,469 | ||||||||
|
| |||||||||
Total Municipal Bonds |
| 7,709,656 | ||||||||
|
| |||||||||
Number of Contracts | ||||||||||
PURCHASED OPTIONS — 0.0% |
| |||||||||
Call Options — 0.0% |
| |||||||||
U.S. Treasury Long Bond, Strike Price $147.00, Expires (MLCS) | 40 | 13,750 | ||||||||
|
| |||||||||
Put Options — 0.0% |
| |||||||||
U.S. Treasury Long Bond, Strike Price $142.00, Expires (WF) | 52 | 15,437 | ||||||||
U.S. Treasury Long Bond, Strike Price $144.00, Expires (MLCS) | 14 | 12,250 | ||||||||
|
| |||||||||
27,687 | ||||||||||
|
|
See Notes to Financial Statements. | 125 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Notional Amount | Value | |||||||||
Put Swaptions — 0.0% |
| |||||||||
3-Month LIBOR, Strike Price 1.00%, Expires 06/17/15 (MSCS) | $ | 28,000,000 | $ | 24,329 | ||||||
3-Month LIBOR, Strike Price 3.45%, Expires 09/21/15 (RBS) | 2,300,000 | 22,107 | ||||||||
3-Month LIBOR, Strike Price 3.96%, Expires 05/11/15 (GSC) | 15,300,000 | 2,780 | ||||||||
49,216 | ||||||||||
|
| |||||||||
Total Purchased Options |
| 90,653 | ||||||||
|
| |||||||||
Par | ||||||||||
U.S. TREASURY OBLIGATIONS — 36.6% |
| |||||||||
Federal Home Loan Mortgage Corporation | ||||||||||
0.06%, 04/01/15 | 2,500,000 | 2,499,525 | ||||||||
|
| |||||||||
U.S. Treasury Bills | ||||||||||
0.04%, 03/12/15‡‡ | 300,000 | 299,989 | ||||||||
|
| |||||||||
U.S. Treasury Bonds | ||||||||||
2.75%, 11/15/42 | 350,000 | 349,699 | ||||||||
3.63%, 08/15/43‡‡ | 4,500,000 | 5,292,774 | ||||||||
3.75%, 11/15/43 | 2,320,000 | 2,789,257 | ||||||||
3.63%, 02/15/44 | 5,710,000 | 6,720,402 | ||||||||
3.38%, 05/15/44D | 5,420,000 | 6,102,584 | ||||||||
3.13%, 08/15/44D | 37,590,000 | 40,476,799 | ||||||||
3.00%, 11/15/44 | 6,120,000 | 6,433,650 | ||||||||
|
| |||||||||
68,165,165 | ||||||||||
|
| |||||||||
U.S. Treasury Inflationary Index Bonds | ||||||||||
0.13%, 04/15/16‡‡ | 4,800,000 | 5,149,530 | ||||||||
0.13%, 04/15/18‡‡ | 2,700,000 | 2,763,959 | ||||||||
0.13%, 04/15/19‡‡ | 1,200,000 | 1,204,168 | ||||||||
1.13%, 01/15/21 | 3,800,000 | 4,290,139 | ||||||||
0.13%, 01/15/22 | 900,000 | 919,570 | ||||||||
0.13%, 07/15/22 | 6,800,000 | 6,849,780 | ||||||||
0.38%, 07/15/23 | 1,540,000 | 1,555,488 | ||||||||
0.63%, 01/15/24 | 2,660,000 | 2,722,836 | ||||||||
0.13%, 07/15/24‡‡ | 9,270,000 | 8,942,194 | ||||||||
2.38%, 01/15/25 | 1,530,000 | 2,265,866 | ||||||||
2.50%, 01/15/29 | 800,000 | 1,099,956 | ||||||||
2.13%, 02/15/40 | 1,280,000 | 1,826,110 | ||||||||
1.38%, 02/15/44 | 3,850,000 | 4,448,750 | ||||||||
|
| |||||||||
44,038,346 | ||||||||||
|
| |||||||||
U.S. Treasury Notes | ||||||||||
0.25%, 09/30/15 | 11,900,000 | 11,904,653 | ||||||||
0.25%, 10/31/15 | 96,000 | 96,000 | ||||||||
0.38%, 02/15/16D | 6,400,000 | 6,403,002 | ||||||||
2.13%, 02/29/16 | 3,900,000 | 3,980,133 | ||||||||
0.38%, 03/15/16D | 8,600,000 | 8,601,342 | ||||||||
0.38%, 03/31/16 | 34,100,000 | 34,097,340 | ||||||||
2.25%, 03/31/16D | 3,200,000 | 3,274,749 | ||||||||
0.25%, 05/15/16 | 9,200,000 | 9,181,315 | ||||||||
0.88%, 11/15/17D | 30,000 | 29,859 | ||||||||
0.63%, 11/30/17 | 3,360,000 | 3,317,214 | ||||||||
1.50%, 08/31/18 | 1,410,000 | 1,416,940 | ||||||||
1.50%, 12/31/18 | 2,800,000 | 2,803,937 | ||||||||
1.63%, 04/30/19 | 17,870,000 | 17,932,831 |
Par | Value | |||||||||
1.63%, 07/31/19 | $ | 120,000 | $ | 120,197 | ||||||
1.75%, 09/30/19 | 8,510,000 | 8,560,533 | ||||||||
1.50%, 10/31/19 | 430,000 | 427,413 | ||||||||
1.50%, 11/30/19D | 10,620,000 | 10,553,625 | ||||||||
1.63%, 12/31/19 | 6,650,000 | 6,640,650 | ||||||||
2.25%, 04/30/21 | 14,900,000 | 15,207,312 | ||||||||
2.00%, 05/31/21D | 15,450,000 | 15,528,455 | ||||||||
2.25%, 07/31/21D | 27,590,000 | 28,139,648 | ||||||||
2.00%, 10/31/21 | 2,600,000 | 2,606,906 | ||||||||
2.13%, 12/31/21 | 2,600,000 | 2,625,594 | ||||||||
2.50%, 08/15/23D | 1,100,000 | 1,135,407 | ||||||||
2.75%, 02/15/24D | 9,100,000 | 9,576,330 | ||||||||
2.50%, 05/15/24 | 2,700,000 | 2,781,632 | ||||||||
2.38%, 08/15/24 | 8,470,000 | 8,627,491 | ||||||||
2.25%, 11/15/24D | 2,020,000 | 2,033,887 | ||||||||
|
| |||||||||
217,604,395 | ||||||||||
|
| |||||||||
U.S. Treasury STRIP | ||||||||||
0.00%, 11/15/43WD | 540,000 | 238,823 | ||||||||
|
| |||||||||
Total U.S. Treasury Obligations |
| 332,846,243 | ||||||||
|
| |||||||||
Shares | ||||||||||
PREFERRED STOCKS — 0.1% |
| |||||||||
GMAC Capital Trust I, 8.125%, 02/15/40 | 23,879 | 629,928 | ||||||||
|
| |||||||||
Par | ||||||||||
REPURCHASE AGREEMENTS — 3.4% |
| |||||||||
BNP Paribas Securities Corporation | ||||||||||
0.14% (dated 12/31/14, due 01/05/15, repurchase price $15,500,181, collateralized by U.S. Treasury Note, 0.073%, due 10/31/16, total market value $15,816,772) | $ | 15,500,000 | 15,500,000 | |||||||
Citigroup Global Markets, Inc. | ||||||||||
0.15% (dated 12/31/14, due 01/02/15, repurchase price $14,800,123, collateralized by U.S. Treasury Note, 2.000%, due 01/31/16, total market value $15,104,593) | 14,800,000 | 14,800,000 | ||||||||
JPMorgan Securities LLC | ||||||||||
0.15% (dated 12/31/14, due 01/02/15, repurchase price $800,007, collateralized by U.S. Treasury Bond, 0.125%, due 04/15/16, total market value $817,020) | 800,000 | 800,000 | ||||||||
|
| |||||||||
Total Repurchase Agreements |
| 31,100,000 | ||||||||
|
|
126 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||||
MONEY MARKET FUNDS — 23.7% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 83,032,439 | $ | 83,032,439 | |||||||||
Northern Institutional Liquid Assets Portfolio§ | 132,049,333 | 132,049,333 | ||||||||||
|
| |||||||||||
Total Money Market Funds |
| 215,081,772 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 124.8% |
| 1,134,754,028 | ||||||||||
|
| |||||||||||
Number of Contracts | ||||||||||||
WRITTEN OPTIONS — 0.0% |
| |||||||||||
Call Options — 0.0% |
| |||||||||||
10-Year U.S. Treasury Note, Strike $129.00, Expires 01/23/15 (MLCS) | (105 | ) | (9,844 | ) | ||||||||
10-Year U.S. Treasury Note, Strike $129.50, Expires 01/23/15 (MLCS) | (54 | ) | (3,375 | ) | ||||||||
10-Year U.S. Treasury Note, Strike Price $129.00, Expires 02/20/15 (MLCS) | (33 | ) | (9,281 | ) | ||||||||
10-Year U.S. Treasury Note, Strike Price $130.00, Expires 02/20/15 (MLCS) | (145 | ) | (24,922 | ) | ||||||||
90-Day Euro, Strike Price $99.50, Expires 06/15/15 (AD) | (35 | ) | (10,719 | ) | ||||||||
U.S. Treasury Long Bond, Strike Price $150.00, Expires (MLCS) | (80 | ) | (5,000 | ) | ||||||||
|
| |||||||||||
(63,141 | ) | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
U.S. Dollar vs. South Korean Won, Strike Price $1,132.00, Expires 01/30/15 (UBS) | $ | (3,360,000 | ) | |||||||||
(8,238 | ) | |||||||||||
|
| |||||||||||
(71,379 | ) | |||||||||||
|
| |||||||||||
Call Swaptions — 0.0% |
| |||||||||||
3-Month LIBOR, Strike Price 2.35%, Expires 01/21/15 (MSCS) | (1,900,000 | ) | (14,997 | ) | ||||||||
Dow Jones CDX.NA.IG23 Index, Strike Price 0.60%, Expires 01/21/15 (CITI) | (1,300,000 | ) | (370 | ) | ||||||||
Dow Jones CDX.NA.IG23 Index, Strike Price 0.60%, Expires 01/21/15 (BAR) | (1,600,000 | ) | (455 | ) | ||||||||
Dow Jones iTraxx, Strike Price 0.55%, Expires 02/18/15 (JPM) | (200,000 | ) | (207 | ) | ||||||||
Dow Jones iTraxx, Strike Price 0.55%, Expires 02/18/15 (CITI) | (600,000 | ) | (621 | ) | ||||||||
Dow Jones iTraxx, Strike Price 0.60%, Expires 01/21/15 (JPM) | (500,000 | ) | (601 | ) | ||||||||
Dow Jones iTraxx, Strike Price 0.60%, Expires 01/21/15 (GSC) | (500,000 | ) | (601 | ) |
Notional Amount | Value | |||||||||||
Dow Jones iTraxx, Strike Price 0.60%, Expires 01/21/15 (BNP) | $ | (500,000 | ) | $ | (601 | ) | ||||||
Dow Jones iTraxx, Strike Price 0.60%, Expires 01/21/15 (CITI) | (1,000,000 | ) | (1,203 | ) | ||||||||
|
| |||||||||||
(19,656 | ) | |||||||||||
|
| |||||||||||
Number of Contracts | ||||||||||||
Put Options — 0.0% |
| |||||||||||
10-Year U.S. Treasury Note, Strike $123.50, Expires 01/23/15 (MLCS) | (53 | ) | (1,656 | ) | ||||||||
10-Year U.S. Treasury Note, Strike $124.00, Expires 01/23/15 (MLCS) | (23 | ) | (1,078 | ) | ||||||||
10-Year U.S. Treasury Note, Strike $125.50, Expires 01/23/15 (MLCS) | (28 | ) | (4,813 | ) | ||||||||
2-Year Eurodollar Mid-Curve, Strike Price $98.00, Expires 01/16/15 (JEFF) | (28 | ) | (6,825 | ) | ||||||||
90-Day Euro, Strike Price $99.50, Expires 06/15/15 (AD) | (35 | ) | (5,031 | ) | ||||||||
U.S. Treasury Long Bond, Strike Price $139.00, Expires 01/23/15 (MLCS) | (38 | ) | (2,375 | ) | ||||||||
|
| |||||||||||
(21,778 | ) | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
U.S. Dollar vs. South Korean Won, Strike Price $1,080.00, Expires 01/30/15 (UBS) | $ | (3,360,000 | ) | |||||||||
(18,584 | ) | |||||||||||
|
| |||||||||||
(40,362 | ) | |||||||||||
|
| |||||||||||
Put Swaptions — 0.0% |
| |||||||||||
3-Month LIBOR, Strike Price 2.50%, Expires 09/21/15 (RBS) | (9,700,000 | ) | (66,055 | ) | ||||||||
3-Month LIBOR, Strike Price 2.65%, Expires 01/16/15 (MSCS) | (1,900,000 | ) | (159 | ) | ||||||||
3-Month LIBOR, Strike Price 2.70%, Expires 01/26/15 (DEUT) | (9,200,000 | ) | (1,296 | ) | ||||||||
3-Month LIBOR, Strike Price 3.24%, Expires 01/07/15 (MSCS) | (2,600,000 | ) | — | |||||||||
3-Month LIBOR, Strike Price 3.60%, Expires 05/11/15 (GSC) | (34,200,000 | ) | (4,272 | ) | ||||||||
Dow Jones CDX.NA.IG22 Index, Strike Price 0.90%, Expires 01/21/15 (GSC) | (2,700,000 | ) | (57 | ) | ||||||||
Dow Jones CDX.NA.IG23 Index, Strike Price 0.80%, Expires 01/21/15 (CITI) | (1,300,000 | ) | (389 | ) | ||||||||
Dow Jones CDX.NA.IG23 Index, Strike Price 0.80%, Expires 01/21/15 (BAR) | (1,600,000 | ) | (479 | ) | ||||||||
Dow Jones iTraxx, Strike Price 0.85%, Expires 02/18/15 (JPM) | (200,000 | ) | (196 | ) |
See Notes to Financial Statements. | 127 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Notional Amount | Value | |||||||||
Dow Jones iTraxx, Strike Price 0.85%, Expires 02/18/15 (CITI) | $ | (600,000 | ) | $ | (589 | ) | ||||
Dow Jones iTraxx, Strike Price 0.90%, Expires 01/21/15 (BNP) | (500,000 | ) | (88 | ) | ||||||
Dow Jones iTraxx, Strike Price 0.90%, Expires 01/21/15 (CITI) | (600,000 | ) | (106 | ) | ||||||
Dow Jones iTraxx, Strike Price 1.00%, Expires 01/21/15 (CITI) | (400,000 | ) | (36 | ) | ||||||
Dow Jones iTraxx, Strike Price 1.00%, Expires 01/21/15 (JPM) | (500,000 | ) | (45 | ) | ||||||
Dow Jones iTraxx, Strike Price 1.00%, Expires 01/21/15 (GSC) | (500,000 | ) | (45 | ) | ||||||
|
| |||||||||
(73,812 | ) | |||||||||
|
| |||||||||
Total Written Options |
| (205,209 | ) | |||||||
|
|
Par | Value | |||||||||
SECURITIES SOLD SHORT — (1.0)% |
| |||||||||
U.S. Treasury Notes | ||||||||||
1.63%, 08/15/22 | $ | (8,100,000 | ) | $ | (7,879,145 | ) | ||||
2.75%, 11/15/23 | (900,000 | ) | (947,531 | ) | ||||||
|
| |||||||||
Total Securities Sold Short |
| (8,826,676 | ) | |||||||
|
| |||||||||
TBA SALE COMMITMENT — (0.1)% |
| |||||||||
Federal National Mortgage Association | ||||||||||
3.00%, 01/14/23 | (1,000,000 | ) | (1,011,563 | ) | ||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 908,925,977 | ||||||||
|
|
128 | See Notes to Financial Statements. |
Table of Contents
Swap agreements outstanding at December 31, 2014:
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 | ||||||||||||||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 950,000 | $ | (12,175 | ) | $ | — | $ | (12,175 | ) | ||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 460,000 | (5,872 | ) | (1,771 | ) | (4,101 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 430,000 | (6,267 | ) | (2,242 | ) | (4,025 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 250,000 | (3,204 | ) | (1,487 | ) | (1,717 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 220,000 | (3,206 | ) | (1,226 | ) | (1,980 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 210,000 | (2,691 | ) | (1,318 | ) | (1,373 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 190,000 | (2,769 | ) | (426 | ) | (2,343 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 190,000 | (2,769 | ) | (543 | ) | (2,226 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 180,000 | (2,623 | ) | (373 | ) | (2,250 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 140,000 | (2,040 | ) | (652 | ) | (1,388 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 130,000 | (1,895 | ) | (188 | ) | (1,707 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 120,000 | (1,532 | ) | (682 | ) | (850 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 120,000 | (1,532 | ) | (1,563 | ) | 31 | |||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 120,000 | (1,532 | ) | (694 | ) | (838 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 120,000 | (1,538 | ) | (1,386 | ) | (152 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 120,000 | (1,749 | ) | (191 | ) | (1,558 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | JPM | USD | 120,000 | (1,749 | ) | (336 | ) | (1,413 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 80,000 | (1,021 | ) | (1,094 | ) | 73 | |||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 80,000 | (1,166 | ) | (274 | ) | (892 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 60,000 | (766 | ) | (343 | ) | (423 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 60,000 | (769 | ) | (338 | ) | (431 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | JPM | USD | 60,000 | (874 | ) | (191 | ) | (683 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 50,000 | (641 | ) | (308 | ) | (333 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 40,000 | (513 | ) | (476 | ) | (37 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | BOA | USD | 30,000 | (384 | ) | (161 | ) | (223 | ) | ||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | BOA | USD | 20,000 | (256 | ) | (119 | ) | (137 | ) |
See Notes to Financial Statements. | 129 |
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) | ||||||||||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | CITI | USD | 20,000 | $ | (291 | ) | $ | (109 | ) | $ | (182 | ) | |||||||||||
Peoples Republic of China, | ||||||||||||||||||||||||||
4.25% due 10/28/14 | (1.00 | )% | 06/20/19 | JPM | USD | 10,000 | (128 | ) | (55 | ) | (73 | ) | ||||||||||||||
Credit Suisse, Inc., | ||||||||||||||||||||||||||
6.50%, due 01/15/12 | (1.00 | )% | 09/20/20 | GSC | USD | 300,000 | (6,879 | ) | 4,423 | (11,302 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (68,831 | ) | $ | (14,123 | ) | $ | (54,708 | ) | ||||||||||||||||||
|
|
|
|
|
|
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 |
| |||||||||||||||||||||||||||||
Federated Republic of Brazil, | ||||||||||||||||||||||||||||||
12.50% due 03/06/30 | 1.29 | % | (1.04 | )% | 05/20/17 | DEUT | USD | 1,000,000 | $ | (4,689 | ) | $ | — | $ | (4,689 | ) | ||||||||||||||
GMAC LLC, | ||||||||||||||||||||||||||||||
6.88% due 08/28/12 | 1.23 | % | (3.53 | )% | 09/20/17 | DEUT | USD | 2,300,000 | 142,713 | — | 142,713 | |||||||||||||||||||
Goldman Sachs Group, Inc., | ||||||||||||||||||||||||||||||
5.95% due 01/18/18 | 0.68 | % | (1.00 | )% | 12/20/18 | MSCS | USD | 700,000 | 9,364 | 6,690 | 2,674 | |||||||||||||||||||
Italy, | ||||||||||||||||||||||||||||||
6.875% due 09/27/33 | 1.11 | % | 1.00 | % | 06/20/19 | HKSB | USD | 100,000 | (455 | ) | 808 | (1,263 | ) | |||||||||||||||||
Italy, | ||||||||||||||||||||||||||||||
6.875% due 09/27/33 | 1.16 | % | 1.00 | % | 09/20/19 | CITI | USD | 5,600,000 | (37,055 | ) | 16,207 | (53,262 | ) | |||||||||||||||||
Italy, | ||||||||||||||||||||||||||||||
6.875% due 09/27/23 | 1.19 | % | (1.00 | )% | 12/20/19 | BAR | USD | 600,000 | (5,603 | ) | 1,423 | (7,026 | ) | |||||||||||||||||
Italy, | ||||||||||||||||||||||||||||||
6.875% due 09/27/23 | 0.00 | % | (1.00 | )% | 12/20/19 | GSC | USD | 300,000 | (2,801 | ) | 699 | (3,500 | ) | |||||||||||||||||
Italy, | ||||||||||||||||||||||||||||||
6.875% due 09/27/23 | 0.00 | % | (1.00 | )% | 12/20/19 | JPM | USD | 100,000 | (934 | ) | 256 | (1,190 | ) | |||||||||||||||||
Italy, | ||||||||||||||||||||||||||||||
6.875% due 09/27/23 | 1.19 | % | (1.00 | )% | 12/20/19 | BAR | USD | 100,000 | (934 | ) | 187 | (1,121 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 99,606 | $ | 26,270 | $ | 73,336 | |||||||||||||||||||||||||
|
|
|
|
|
|
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.HY15 Index | (5.00 | )% | 12/20/15 | CME | USD | 2,090,000 | $ | (47,525 | ) | $ | 43,106 | $ | (90,631 | ) | ||||||||||||||||||
|
|
|
|
|
|
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 | 0.16 | % | 1.00 | % | 06/20/16 | JPM | USD | 4,825,000 | $ | 61,275 | $ | 5,947 | $ | 55,328 | ||||||||||||||||||||||
Dow Jones CDX.NA.IG16 Index | 0.16 | % | 1.00 | % | 06/20/16 | BOA | USD | 3,000,000 | 38,098 | 2,003 | 36,095 | |||||||||||||||||||||||||
Dow Jones CDX.HY.23 Index | 3.56 | % | 5.00 | % | 12/20/19 | ICE | USD | 1,100,000 | 70,332 | 77,550 | (7,218 | ) | ||||||||||||||||||||||||
Dow Jones CDX.NA.IG23 Index | 0.00 | % | (1.00 | )% | 12/20/19 | ICE | USD | 26,625,000 | 437,870 | 430,752 | 7,118 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | 607,575 | $ | 516,252 | $ | 91,323 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
130 | See Notes to Financial Statements. |
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 | 12.27 | % | 01/02/17 | DEUT | BRL | 20,000 | $ | 15 | $ | — | $ | 15 | ||||||||||||||||||||
Brazil CETIP Interbank Deposit | 12.65 | % | 01/02/17 | DEUT | BRL | 10,000 | 37 | — | 37 | |||||||||||||||||||||||
3-Month KORIBOR | 2.88 | % | 03/07/17 | CITI | KRW | 706,340,000 | 11,339 | — | 11,339 | |||||||||||||||||||||||
3-Month LIBOR | (1.25 | )% | 03/18/17 | CME | USD | 10,100,000 | (38,963 | ) | (55,892 | ) | 16,929 | |||||||||||||||||||||
3-Month LIBOR | (2.20 | )% | 08/04/17 | CME | USD | 3,600,000 | (12,414 | ) | (3,807 | ) | (8,607 | ) | ||||||||||||||||||||
3-Month KORIBOR | 2.25 | % | 10/15/17 | DEUT | KRW | 3,619,650,000 | 29,729 | — | 29,729 | |||||||||||||||||||||||
3-Month KORIBOR | 2.17 | % | 10/28/17 | CITI | KRW | 382,410,000 | 2,083 | — | 2,083 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 13.06 | % | 01/02/18 | CS | BRL | 38,200,000 | 130,436 | 68,303 | 62,133 | |||||||||||||||||||||||
Brazil CETIP Interbank Deposit | 13.06 | % | 01/02/18 | DEUT | BRL | 10,700,000 | 36,536 | 20,645 | 15,891 | |||||||||||||||||||||||
3-Month KLIBOR | (3.88 | )% | 11/14/18 | DEUT | MYR | 860,000 | (393 | ) | — | (393 | ) | |||||||||||||||||||||
3-Month KLIBOR | (3.92 | )% | 11/19/18 | CITI | MYR | 960,000 | 379 | — | 379 | |||||||||||||||||||||||
3-Month KLIBOR | (3.97 | )% | 12/11/18 | JPM | MYR | 1,570,000 | (344 | ) | — | (344 | ) | |||||||||||||||||||||
3-Month LIBOR | (1.70 | )% | 10/16/19 | CME | USD | 10,500,000 | 14,908 | — | 14,908 | |||||||||||||||||||||||
3-Month LIBOR | (1.65 | )% | 10/16/19 | CME | USD | 9,400,000 | 35,091 | — | 35,091 | |||||||||||||||||||||||
3-Month LIBOR | (2.25 | )% | 03/18/20 | CME | USD | 6,500,000 | (117,406 | ) | (143,650 | ) | 26,244 | |||||||||||||||||||||
3-Month LIBOR | 2.56 | % | 10/20/20 | CME | USD | 2,800,000 | 115,932 | 11,262 | 104,670 | |||||||||||||||||||||||
3-Month LIBOR | (3.02 | )% | 08/04/21 | CME | USD | 5,400,000 | 146,219 | 24,594 | 121,625 | |||||||||||||||||||||||
MXN-TIIE-Banxico | 6.07 | % | 09/21/21 | CME | MXN | 79,700,000 | 103,365 | — | 103,365 | |||||||||||||||||||||||
3-Month LIBOR | (2.50 | )% | 12/17/21 | CME | USD | 130,300,000 | (4,036,589 | ) | (1,666,118 | ) | (2,370,471 | ) | ||||||||||||||||||||
3-Month LIBOR | (2.50 | )% | 03/18/22 | CME | USD | 11,800,000 | (289,314 | ) | (362,195 | ) | 72,881 | |||||||||||||||||||||
3-Month LIBOR | 2.65 | % | 07/31/23 | CME | USD | 6,200,000 | 293,493 | — | 293,493 | |||||||||||||||||||||||
3-Month KORIBOR | (3.45 | )% | 08/08/23 | CITI | KRW | 1,328,210,000 | (101,397 | ) | — | (101,397 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.42 | )% | 08/13/23 | JPM | KRW | 391,340,000 | (28,865 | ) | — | (28,865 | ) | |||||||||||||||||||||
3-Month KLIBOR | (4.49 | )% | 08/14/23 | DEUT | MYR | 220,000 | (1,483 | ) | — | (1,483 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.49 | )% | 08/16/23 | CITI | KRW | 185,320,000 | (14,460 | ) | — | (14,460 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.56 | )% | 08/19/23 | JPM | KRW | 228,920,000 | (19,452 | ) | 5 | (19,457 | ) | |||||||||||||||||||||
3-Month KLIBOR | (4.33 | )% | 09/26/23 | JPM | MYR | 370,000 | (1,094 | ) | — | (1,094 | ) | |||||||||||||||||||||
3-Month KLIBOR | (4.45 | )% | 11/15/23 | CITI | MYR | 600,000 | (4,144 | ) | — | (4,144 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.47 | )% | 12/23/23 | CITI | KRW | 239,520,000 | (18,819 | ) | — | (18,819 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.47 | )% | 12/23/23 | JPM | KRW | 114,310,000 | (8,960 | ) | — | (8,960 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.47 | )% | 01/07/24 | JPM | KRW | 275,210,000 | (22,176 | ) | — | (22,176 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.47 | )% | 01/07/24 | CITI | KRW | 172,160,000 | (14,673 | ) | — | (14,673 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.47 | )% | 01/08/24 | DEUT | KRW | 137,280,000 | (11,744 | ) | — | (11,744 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.48 | )% | 01/10/24 | CITI | KRW | 237,220,000 | (19,170 | ) | — | (19,170 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.45 | )% | 01/13/24 | JPM | KRW | 71,390,000 | (5,602 | ) | — | (5,602 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.47 | )% | 01/15/24 | JPM | KRW | 86,930,000 | (5,368 | ) | — | (5,368 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.46 | )% | 01/16/24 | JPM | KRW | 87,250,000 | (6,931 | ) | — | (6,931 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.45 | )% | 01/16/24 | BOA | KRW | 27,040,000 | (2,123 | ) | — | (2,123 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.44 | )% | 01/17/24 | JPM | KRW | 119,775,000 | (9,333 | ) | — | (9,333 | ) | |||||||||||||||||||||
3-Month KORIBOR | (3.38 | )% | 01/27/24 | JPM | KRW | 163,080,000 | (11,832 | ) | — | (11,832 | ) | |||||||||||||||||||||
6-Month LIBOR | (2.45 | )% | 11/13/24 | CME | GBP | 5,800,000 | (493,038 | ) | (440 | ) | (492,598 | ) | ||||||||||||||||||||
6-Month EURIBOR | 1.25 | % | 03/18/25 | CME | EUR | 900,000 | 42,881 | (7,809 | ) | 50,690 | ||||||||||||||||||||||
3-Month LIBOR | (3.41 | )% | 08/04/26 | JPM | USD | 2,900,000 | (182,159 | ) | (22,779 | ) | (159,380 | ) | ||||||||||||||||||||
MXN-TIIE-Banxico | 6.77 | % | 11/29/29 | CME | MXN | 30,300,000 | 34,891 | — | 34,891 | |||||||||||||||||||||||
3-Month LIBOR | 3.25 | % | 03/18/30 | CME | USD | 3,200,000 | 279,252 | 248,935 | 30,317 | |||||||||||||||||||||||
3-Month LIBOR | (3.00 | )% | 12/18/43 | JPM | USD | 2,700,000 | (166,310 | ) | 445,086 | (611,396 | ) |
See Notes to Financial Statements. | 131 |
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) | ||||||||||||||||||||||||
United Kingdom Retail Price Index | 3.45 | % | 12/15/44 | GSC | GBP | 400,000 | $ | — | $ | (697 | ) | $ | 697 | |||||||||||||||||||
United Kingdom Retail Price Index | 3.51 | % | 12/15/44 | GSC | GBP | 200,000 | — | — | — | |||||||||||||||||||||||
United Kingdom Retail Price Index | (3.53 | )% | 12/15/44 | CS | GBP | 100,000 | 151 | 829 | (678 | ) | ||||||||||||||||||||||
United Kingdom Retail Price Index | 3.45 | % | 12/15/44 | CS | GBP | 100,000 | — | (358 | ) | 358 | ||||||||||||||||||||||
3-Month LIBOR | (3.50 | )% | 12/17/44 | JPM | USD | 8,100,000 | (1,336,081 | ) | (405,117 | ) | (930,964 | ) | ||||||||||||||||||||
6-Month EURIBOR | (2.00 | )% | 03/18/45 | CME | EUR | 1,300,000 | (206,109 | ) | 27,377 | (233,486 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (5,910,009 | ) | $ | (1,821,826 | ) | $ | (4,088,183 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap agreements outstanding at December 31, 2014 |
| $ | (5,271,659 | ) | $ | (1,293,427 | ) | $ | (3,978,232 | ) | ||||||||||||||||||||||
|
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|
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|
|
132 | See Notes to Financial Statements. |
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 17,920,982 | $ | — | $ | 17,920,982 | $ | — | ||||||||||||
Asset-Backed Securities | 21,282,678 | — | 19,144,092 | 2,138,585 | ||||||||||||||||
Corporate Bonds | 158,971,884 | — | 157,711,982 | 1,259,902 | ||||||||||||||||
Foreign Bonds: | ||||||||||||||||||||
Australia | 3,265,168 | — | 3,265,168 | — | ||||||||||||||||
Austria | 564,375 | — | 564,375 | — | ||||||||||||||||
Bermuda | 713,786 | — | 713,786 | — | ||||||||||||||||
Brazil | 1,627,852 | — | 1,627,852 | — | ||||||||||||||||
Canada | 3,290,110 | — | 3,290,110 | — | ||||||||||||||||
Cayman Islands | 4,115,013 | — | 4,115,013 | — | ||||||||||||||||
Chile | 393,398 | — | 393,398 | — | ||||||||||||||||
Colombia | 1,472,300 | — | 1,472,300 | — | ||||||||||||||||
Costa Rica | 196,500 | — | 196,500 | — | ||||||||||||||||
Dominican Republic | 416,352 | — | 416,352 | — | ||||||||||||||||
France | 7,903,468 | — | 7,903,468 | — | ||||||||||||||||
Iceland | 14 | — | — | 14 | ||||||||||||||||
Indonesia | 948,538 | — | 948,538 | — | ||||||||||||||||
Israel | 2,348,198 | — | 2,348,198 | — | ||||||||||||||||
Italy | 6,505,776 | — | 6,505,776 | — | ||||||||||||||||
Japan | 1,497,691 | — | 1,497,691 | — | ||||||||||||||||
Jersey | 251,211 | — | 251,211 | — | ||||||||||||||||
Jordan | 1,219,993 | — | 1,219,993 | — | ||||||||||||||||
Luxembourg | 536,875 | — | 536,875 | — | ||||||||||||||||
Mexico | 17,944,851 | — | 17,733,718 | 211,133 | ||||||||||||||||
Netherlands | 5,998,182 | — | 5,998,182 | — | ||||||||||||||||
New Zealand | 1,185,324 | — | 1,185,324 | — | ||||||||||||||||
Norway | 496,914 | — | 496,914 | — | ||||||||||||||||
Poland | 1,044,925 | — | 1,044,925 | — | ||||||||||||||||
Russia | 1,095,524 | — | 1,095,524 | — | ||||||||||||||||
Singapore | 322,191 | — | 322,191 | — | ||||||||||||||||
South Africa | 971,155 | — | 971,155 | — | ||||||||||||||||
South Korea | 3,560,269 | — | 3,560,269 | — | ||||||||||||||||
Spain | 600,762 | — | 600,762 | — | ||||||||||||||||
Supranational | 389,428 | — | 389,428 | — | ||||||||||||||||
Sweden | 1,584,269 | — | 1,584,269 | — | ||||||||||||||||
Switzerland | 3,991,139 | — | 3,991,139 | — | ||||||||||||||||
Turkey | 2,066,512 | — | 2,066,512 | — | ||||||||||||||||
United Kingdom | 11,556,997 | — | 11,556,997 | — | ||||||||||||||||
Virgin Islands (British) | 7,291,636 | — | 7,291,636 | — | ||||||||||||||||
Foreign Government Inflation-Linked Note | 1,903,946 | — | — | 1,903,946 | ||||||||||||||||
Loan Agreements | 3,965,985 | — | 3,965,985 | — | ||||||||||||||||
Money Market Funds | 215,081,772 | 215,081,772 | — | — | ||||||||||||||||
Mortgage-Backed Securities | 245,883,605 | — | 238,494,865 | 7,388,741 | ||||||||||||||||
Municipal Bonds | 7,709,656 | — | 7,709,656 | — | ||||||||||||||||
Preferred Stocks | 629,928 | 629,928 | — | — | ||||||||||||||||
Purchased Options | 90,653 | 41,437 | 49,216 | — | ||||||||||||||||
Repurchase Agreements | 31,100,000 | — | 31,100,000 | — | ||||||||||||||||
U.S. Treasury Obligations | 332,846,243 | — | 332,846,243 | — | ||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 1,134,754,028 | $ | 215,753,137 | $ | 906,098,570 | $ | 12,902,321 | ||||||||||||
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|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 1,003,101 | $ | — | $ | 1,003,101 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 1,003,101 | $ | — | $ | 1,003,101 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 133 |
Table of Contents
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Liabilities: | ||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Securities Sold Short | $ | (8,826,676 | ) | $ | — | $ | (8,826,676 | ) | $ | — | ||||||||||
TBA Sale Commitment | (1,011,563 | ) | — | (1,011,563 | ) | — | ||||||||||||||
Written Options | (205,209 | ) | (84,918 | ) | (120,291 | ) | — | |||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Investments in Securities | $ | (10,043,448 | ) | $ | (84,918 | ) | $ | (9,958,530 | ) | $ | — | |||||||||
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|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | (488,912 | ) | $ | (488,912 | ) | $ | — | $ | — | ||||||||||
Swap Agreements | (5,319,184 | ) | — | (5,319,184 | ) | — | ||||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | (5,808,096 | ) | $ | (488,912 | ) | $ | (5,319,184 | ) | $ | — | |||||||||
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|
***Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Details of these investments can be found in the Notes to Financial Statements.
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2014.
The unobservable inputs used in the fair value measurement of the reporting entity’s asset-backed securities, corporate bonds, foreign bonds, foreign government inflation-linked note 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.
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 | Foreign Government Inflation- Linked Note | Mortgage-Backed Securities | Preferred Stock | Written Option | |||||||||||||||||||||||||
Balance, 12/31/13 | $ | 10,579,728 | $ | 1,885,701 | $ | 1,506,297 | $ | 14 | $ | — | $ | 4,716,402 | $ | 2,652,000 | $ | (180,686 | ) | |||||||||||||||
Accrued discounts/premiums | (6,451 | ) | 6,654 | (4,215 | ) | 27 | 66 | (8,983 | ) | — | — | |||||||||||||||||||||
Realized gain (loss)(1) | 1,593,553 | 1,981 | (3,263 | ) | — | — | 37,280 | 1,514,543 | 43,012 | |||||||||||||||||||||||
Change in unrealized appreciation (depreciation)(2) | (1,548,962 | ) | 98,788 | (81,739 | ) | 313 | (381,294 | ) | (140,237 | ) | (1,231,367 | ) | 186,574 | |||||||||||||||||||
Purchases | 4,195,683 | — | — | 210,793 | 2,285,174 | 1,699,716 | — | — | ||||||||||||||||||||||||
Sales | (3,910,332 | ) | (26,195 | ) | (67,460 | ) | — | — | (832,601 | ) | (2,935,176 | ) | (48,900 | ) | ||||||||||||||||||
Transfers in to | 2,844,164 | 685,084 | — | — | — | 2,159,080 | — | — | ||||||||||||||||||||||||
Transfers out of | (406,201 | ) | (406,201 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
Maturities | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Paydowns | (438,861 | ) | (107,227 | ) | (89,718 | ) | — | — | (241,916 | ) | — | — | ||||||||||||||||||||
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| �� |
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| ||||||||||||||||
Balance, 12/31/14 | $ | 12,902,321 | $ | 2,138,585 | $ | 1,259,902 | $ | 211,147 | $ | 1,903,946 | $ | 7,388,741 | $ | — | $ | — | ||||||||||||||||
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|
(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 and Net change in unrealized appreciation (depreciation) on: Option contracts written. |
(3) | Transfers in to Level 3 represent the value of securities at December 31, 2014 that were transferred from Level 1 and 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 December 31, 2014 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. |
134 | See Notes to Financial Statements. |
Table of Contents
Extended-Duration Bond Fund (Unaudited)
The Fund invested in a diversified portfolio composed primarily of investment grade fixed income securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally greater than or equal to seven years. The Investor Class of the Fund posted strong positive absolute returns but underperformed its composite benchmark index, 50% Barclays U.S. Long-Term Government Index and 50% Barclays U.S. Long-Term Credit Index, for the one-year period ended December 31, 2014 (17.32% versus 20.48%). Throughout the year, the Fund underweighted lower yielding U.S. Treasury securities in favor of higher yielding corporate bonds, non-U.S. bonds and high yield bonds. The Fund’s benchmark-relative performance was positively impacted by the Fund’s higher-than-benchmark yield and exposure to investment grade credits. In contrast, the Fund’s relative performance was negatively impacted by several factors including an underweight to U.S. Treasuries, a shorter-than-benchmark duration position and exposure to non-U.S. dollar securities. Long-term U.S. Treasuries were the best performing segment of the bond market during the year, enjoying a somewhat unexpected strong tailwind from a material decline in long-term U.S. Treasury yields. The Fund’s lower-than-benchmark duration position hurt relative returns as longer-term yields decreased from the beginning to the end of the year. Lastly, the Fund’s non-U.S. dollar denominated securities were negatively impacted by the appreciating U.S. dollar.
During the year, the Fund remained focused on its objective of seeking maximum total return consistent with preservation of capital.
This Fund may be suitable for investors who are seeking higher returns without investing in stocks, can accept short-term fluctuations in account value and want to diversify their portfolio with a fixed income investment option. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and by its ability to select sub-advisers to allocate assets. Some derivatives may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Corporate Bonds | 48.4 | |||
U.S. Treasury Obligations | 21.6 | |||
Foreign Bonds | 20.8 | |||
Money Market Funds | 18.7 | |||
Municipal Bonds | 2.1 | |||
Asset-Backed Security | 1.0 | |||
Mortgage-Backed Security | 0.3 | |||
Preferred Stocks | 0.2 | |||
Common Stock | 0.1 | |||
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| |||
113.2 | ||||
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135
Table of Contents
Extended-Duration Bond Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||
Institutional | Investor | Benchmark** | ||||
One Year | 17.47% | 17.32% | 20.48% | |||
Five Year | 10.36% | 10.15% | 9.87% | |||
Ten Year | 8.50% | 8.31% | 7.39% | |||
Inception Date | 08/27/01 | 08/27/01 | ||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.56% | 0.81% |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
136
Table of Contents
EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Par | Value | |||||||||||
ASSET-BACKED SECURITY — 1.0% |
| |||||||||||
Citibank Credit Card Issuance Trust | ||||||||||||
6.15%, 06/15/39 | $ | 2,300,000 | $ | 3,082,554 | ||||||||
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| |||||||||
CORPORATE BONDS — 48.4% |
| |||||||||||
21st Century Fox America, Inc. | ||||||||||||
4.75%, 09/15/44 144AD | 1,847,000 | 2,026,600 | ||||||||||
AES Corporation | ||||||||||||
4.88%, 05/15/23D | 60,000 | 59,850 | ||||||||||
Aflac, Inc. | ||||||||||||
6.45%, 08/15/40D | 4,705,000 | 6,142,415 | ||||||||||
Alcatel-Lucent USA, Inc. | ||||||||||||
6.45%, 03/15/29 | 105,000 | 100,800 | ||||||||||
Alcoa, Inc. | ||||||||||||
5.87%, 02/23/22D | 10,000 | 11,077 | ||||||||||
6.75%, 01/15/28 | 235,000 | 264,865 | ||||||||||
5.95%, 02/01/37 | 85,000 | 87,100 | ||||||||||
Ally Financial, Inc. | ||||||||||||
8.00%, 11/01/31 | 177,000 | 226,118 | ||||||||||
Alta Wind Holdings LLC | ||||||||||||
7.00%, 06/30/35 144A | 485,393 | 552,287 | ||||||||||
Andarko Holding Co. | ||||||||||||
7.15%, 05/15/28 | 250,000 | 309,561 | ||||||||||
AT&T, Inc. | ||||||||||||
4.30%, 12/15/42 | 1,242,000 | 1,185,475 | ||||||||||
Bank of America Corporation | ||||||||||||
6.11%, 01/29/37 | 900,000 | 1,066,109 | ||||||||||
Bank of America NA | ||||||||||||
6.00%, 10/15/36 | 5,000,000 | 6,283,500 | ||||||||||
Barrick North America Finance LLC | ||||||||||||
5.70%, 05/30/41 | 3,634,000 | 3,579,868 | ||||||||||
Bruce Mansfield Unit | ||||||||||||
6.85%, 06/01/34D | 1,020,150 | 1,149,328 | ||||||||||
California Institute of Technology | ||||||||||||
4.70%, 11/01/11 | 3,030,000 | 3,258,410 | ||||||||||
CenturyLink, Inc. | ||||||||||||
6.45%, 06/15/21 | 260,000 | 280,150 | ||||||||||
6.88%, 01/15/28 | 65,000 | 65,325 | ||||||||||
7.65%, 03/15/42 | 295,000 | 296,475 | ||||||||||
Chesapeake Energy Corporation | ||||||||||||
6.63%, 08/15/20D | 10,000 | 10,675 | ||||||||||
6.88%, 11/15/20 | 15,000 | 16,200 | ||||||||||
2.75%, 11/15/35 CONVD | 75,000 | 75,281 | ||||||||||
2.50%, 05/15/37 CONV | 200,000 | 195,250 | ||||||||||
2.25%, 12/15/38 CONV | 50,000 | 45,156 | ||||||||||
Ciena Corporation | ||||||||||||
3.75%, 10/15/18 CONV 144AD | 155,000 | 192,684 | ||||||||||
Citigroup, Inc. | ||||||||||||
8.13%, 07/15/39 | 3,584,000 | 5,504,909 | ||||||||||
Cliffs Natural Resources, Inc. | ||||||||||||
4.80%, 10/01/20D | 40,000 | 22,000 | ||||||||||
4.88%, 04/01/21D | 25,000 | 13,562 | ||||||||||
6.25%, 10/01/40D | 75,000 | 39,375 | ||||||||||
Comcast Corporation | ||||||||||||
4.20%, 08/15/34 | 2,612,000 | 2,740,427 | ||||||||||
4.50%, 01/15/43 | 1,460,000 | 1,561,682 | ||||||||||
ConocoPhillips Co. | ||||||||||||
4.30%, 11/15/44 | 558,000 | 586,189 |
Par | Value | |||||||||||
Continental Airlines 1999-2 Class B Pass Through Trust | ||||||||||||
7.57%, 09/15/21 | $ | 34,020 | $ | 35,742 | ||||||||
Continental Airlines 2000-2 Class B Pass Through Trust | ||||||||||||
8.31%, 10/02/19 | 63,948 | 68,904 | ||||||||||
Continental Resources, Inc. | ||||||||||||
4.50%, 04/15/23 | 5,000 | 4,764 | ||||||||||
3.80%, 06/01/24D | 30,000 | 26,888 | ||||||||||
Corning, Inc. | ||||||||||||
7.25%, 08/15/36 | 850,000 | 1,106,572 | ||||||||||
Cummins, Inc. | ||||||||||||
5.65%, 03/01/98 | 1,620,000 | 2,002,872 | ||||||||||
Darden Restaurants, Inc. | ||||||||||||
6.00%, 08/15/35D | 990,000 | 1,002,761 | ||||||||||
DCP Midstream LLC | ||||||||||||
6.45%, 11/03/36 144A | 490,000 | 514,404 | ||||||||||
Dillard’s, Inc. | ||||||||||||
7.00%, 12/01/28 | 500,000 | 532,500 | ||||||||||
Dow Chemical Co. | ||||||||||||
9.40%, 05/15/39 | 920,000 | 1,497,376 | ||||||||||
DPL, Inc. | ||||||||||||
6.75%, 10/01/19 144A | 173,000 | 175,595 | ||||||||||
Enterprise Products Operating LLC | ||||||||||||
5.10%, 02/15/45 | 595,000 | 642,260 | ||||||||||
4.95%, 10/15/54 | 515,000 | 529,433 | ||||||||||
Foot Locker, Inc. | ||||||||||||
8.50%, 01/15/22 | 1,000,000 | 1,215,000 | ||||||||||
Ford Motor Co. | ||||||||||||
6.63%, 10/01/28 | 680,000 | 837,153 | ||||||||||
6.38%, 02/01/29 | 1,255,000 | 1,518,980 | ||||||||||
General Electric Capital Corporation | ||||||||||||
6.75%, 03/15/32 | 2,000,000 | 2,739,458 | ||||||||||
6.15%, 08/07/37 | 3,000,000 | 3,926,223 | ||||||||||
5.88%, 01/14/38 | 150,000 | 190,197 | ||||||||||
General Motors Financial Co., Inc. | ||||||||||||
4.38%, 09/25/21 | 130,000 | 135,850 | ||||||||||
Genworth Holdings, Inc. | ||||||||||||
4.90%, 08/15/23 | 70,000 | 56,776 | ||||||||||
4.80%, 02/15/24D | 40,000 | 32,653 | ||||||||||
6.50%, 06/15/34D | 50,000 | 41,780 | ||||||||||
Goldman Sachs Group, Inc. | ||||||||||||
6.75%, 10/01/37 | 500,000 | 629,895 | ||||||||||
HCA, Inc. | ||||||||||||
7.58%, 09/15/25 | 1,000,000 | 1,125,000 | ||||||||||
7.05%, 12/01/27 | 500,000 | 512,500 | ||||||||||
HSBC Bank USA NA | ||||||||||||
7.00%, 01/15/39 | 4,248,000 | 6,102,218 | ||||||||||
Intel Corporation | ||||||||||||
3.25%, 08/01/39 CONV | 1,155,000 | 2,010,428 | ||||||||||
International Paper Co. | ||||||||||||
8.70%, 06/15/38 | 2,643,000 | 3,996,137 | ||||||||||
iStar Financial, Inc. | ||||||||||||
3.00%, 11/15/16 CONV | 95,000 | 120,353 | ||||||||||
7.13%, 02/15/18 | 180,000 | 189,900 | ||||||||||
Jefferies Group LLC | ||||||||||||
6.45%, 06/08/27D | 50,000 | 52,127 | ||||||||||
3.88%, 11/01/29 CONV | 65,000 | 67,397 | ||||||||||
6.25%, 01/15/36 | 185,000 | 182,738 | ||||||||||
6.50%, 01/20/43 | 1,990,000 | 2,036,558 | ||||||||||
JPMorgan Chase & Co. | ||||||||||||
4.25%, 11/02/18(Z) | 385,000 | 298,815 |
See Notes to Financial Statements. | 137 |
Table of Contents
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
5.60%, 07/15/41 | $ | 4,590,000 | $ | 5,577,952 | ||||||
KB Home | ||||||||||
1.38%, 02/01/19 CONVD | 30,000 | 29,888 | ||||||||
Kinder Morgan Energy Partners LP | ||||||||||
5.80%, 03/15/35D | 280,000 | 298,264 | ||||||||
5.00%, 08/15/42D | 271,000 | 258,489 | ||||||||
Kinder Morgan, Inc. | ||||||||||
5.55%, 06/01/45 | 1,128,000 | 1,159,586 | ||||||||
Kraft Foods Group, Inc. | ||||||||||
6.88%, 01/26/39 | 2,268,000 | 3,007,735 | ||||||||
6.50%, 02/09/40 | 1,000,000 | 1,289,821 | ||||||||
Liberty Mutual Group, Inc. | ||||||||||
6.50%, 03/15/35 144A | 1,400,000 | 1,715,651 | ||||||||
Macy’s Retail Holdings, Inc. | ||||||||||
6.38%, 03/15/37D | 240,000 | 304,685 | ||||||||
Marathon Petroleum Corporation | ||||||||||
5.00%, 09/15/54 | 1,241,000 | 1,173,468 | ||||||||
Masco Corporation | ||||||||||
7.75%, 08/01/29 | 275,000 | 317,625 | ||||||||
6.50%, 08/15/32 | 55,000 | 56,513 | ||||||||
Mead Corporation | ||||||||||
7.55%, 03/01/47@ | 515,000 | 648,253 | ||||||||
Medtronic, Inc. | ||||||||||
4.63%, 03/15/45 144A | 1,852,000 | 2,015,985 | ||||||||
MetLife, Inc. | ||||||||||
5.88%, 02/06/41 | 2,675,000 | 3,346,077 | ||||||||
4.72%, 12/15/44 | 586,000 | 654,518 | ||||||||
6.40%, 12/15/66 | 310,000 | 347,200 | ||||||||
Monsanto Co. | ||||||||||
4.70%, 07/15/64 | 537,000 | 565,841 | ||||||||
Morgan Stanley | ||||||||||
4.75%, 11/16/18(A) | 295,000 | 249,987 | ||||||||
3.13%, 08/05/21(C) | 235,000 | 203,473 | ||||||||
4.10%, 05/22/23 | 300,000 | 304,053 | ||||||||
6.25%, 08/09/26 | 600,000 | 724,913 | ||||||||
4.35%, 09/08/26D | 410,000 | 413,013 | ||||||||
Motorola Solutions, Inc. | ||||||||||
6.63%, 11/15/37 | 46,000 | 52,934 | ||||||||
Mutual of Omaha Insurance Co. | ||||||||||
6.80%, 06/15/36 144A | 100,000 | 132,327 | ||||||||
New Albertsons, Inc. | ||||||||||
7.45%, 08/01/29D | 55,000 | 49,500 | ||||||||
8.70%, 05/01/30 | 25,000 | 24,125 | ||||||||
8.00%, 05/01/31 | 295,000 | 268,450 | ||||||||
Newell Rubbermaid, Inc. | ||||||||||
4.00%, 12/01/24D | 200,000 | 204,522 | ||||||||
Old Republic International Corporation | ||||||||||
3.75%, 03/15/18 CONVD | 2,255,000 | 2,624,256 | ||||||||
4.88%, 10/01/24 | 230,000 | 241,017 | ||||||||
Owens Corning | ||||||||||
7.00%, 12/01/36 | 2,360,000 | 2,932,645 | ||||||||
Penn Mutual Life Insurance Co. | ||||||||||
7.63%, 06/15/40 144A | 1,750,000 | 2,568,769 | ||||||||
Phillips 66 | ||||||||||
4.65%, 11/15/34 | 1,271,000 | 1,306,941 | ||||||||
Prudential Financial, Inc. | ||||||||||
6.63%, 06/21/40 | 3,912,000 | 5,160,229 | ||||||||
5.63%, 05/12/41 | 987,000 | 1,162,313 | ||||||||
PulteGroup, Inc. | ||||||||||
6.38%, 05/15/33D | 1,000,000 | 1,005,000 |
Par | Value | |||||||||
Qwest Corporation | ||||||||||
7.25%, 09/15/25D | $ | 490,000 | $ | 584,705 | ||||||
6.88%, 09/15/33D | 2,250,000 | 2,268,149 | ||||||||
RPM International, Inc. | ||||||||||
2.25%, 12/15/20 CONVD | 22,000 | 25,754 | ||||||||
SandRidge Energy, Inc. | ||||||||||
7.50%, 02/15/23D | 350,000 | 225,750 | ||||||||
Sempra Energy | ||||||||||
6.00%, 10/15/39 | 991,000 | 1,228,600 | ||||||||
SLM Corporation | ||||||||||
5.00%, 06/15/18 | 335,000 | 333,325 | ||||||||
5.63%, 08/01/33 | 1,460,000 | 1,102,300 | ||||||||
Sprint Capital Corporation | ||||||||||
6.90%, 05/01/19 | 30,000 | 30,750 | ||||||||
6.88%, 11/15/28 | 1,025,000 | 907,125 | ||||||||
8.75%, 03/15/32 | 20,000 | 19,450 | ||||||||
Sprint Communications, Inc. | ||||||||||
6.00%, 11/15/22D | 25,000 | 23,094 | ||||||||
Textron, Inc. | ||||||||||
6.63%, 04/07/20(U) | 160,000 | 293,449 | ||||||||
Toro Co. | ||||||||||
6.63%, 05/01/37@ | 300,000 | 355,219 | ||||||||
Tyson Foods, Inc. | ||||||||||
5.15%, 08/15/44D | 895,000 | 1,009,225 | ||||||||
United Air Lines 2014-1 Class A Pass Through Trust | ||||||||||
4.00%, 10/11/27D | 115,000 | 117,875 | ||||||||
University of Pennsylvania | ||||||||||
4.67%, 09/01/12 | 3,370,000 | 3,600,370 | ||||||||
University of Southern California | ||||||||||
5.25%, 10/01/11 | 2,779,000 | 3,787,054 | ||||||||
US Airways 2012-1 Class A Pass Through Trust | ||||||||||
5.90%, 04/01/26 | 411,384 | 458,694 | ||||||||
US Airways 2012-2 Class A Pass Through Trust | ||||||||||
4.63%, 12/03/26 | 276,233 | 291,254 | ||||||||
Valeant Pharmaceuticals International | ||||||||||
6.38%, 10/15/20 144A | 10,000 | 10,488 | ||||||||
Verizon Communications, Inc. | ||||||||||
6.00%, 04/01/41D | 2,770,000 | 3,276,409 | ||||||||
6.55%, 09/15/43 | 491,000 | 629,965 | ||||||||
5.01%, 08/21/54 144A | 491,000 | 510,192 | ||||||||
Verizon Maryland, Inc. | ||||||||||
5.13%, 06/15/33 | 150,000 | 158,744 | ||||||||
WellPoint, Inc. | ||||||||||
6.38%, 06/15/37 | 1,208,000 | 1,573,048 | ||||||||
Wells Fargo & Co. | ||||||||||
5.61%, 01/15/44 | 4,912,000 | 5,804,800 | ||||||||
Weyerhaeuser Co. | ||||||||||
6.88%, 12/15/33 | 580,000 | 760,451 | ||||||||
|
| |||||||||
Total Corporate Bonds | 145,889,167 | |||||||||
|
| |||||||||
FOREIGN BONDS — 20.8% |
| |||||||||
Australia — 2.8% | ||||||||||
Barrick PD Australia Finance Propriety, Ltd. | ||||||||||
5.95%, 10/15/39 | 2,870,000 | 2,758,222 | ||||||||
BHP Billiton Finance (USA), Ltd. | ||||||||||
5.00%, 09/30/43 | 1,439,000 | 1,637,687 |
138 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
New South Wales Treasury Corporation | ||||||||||
6.00%, 02/01/18(A) | $ | 730,000 | $ | 660,533 | ||||||
3.50%, 03/20/19(A) | 60,000 | 51,062 | ||||||||
Rio Tinto Finance USA, Ltd. | ||||||||||
5.20%, 11/02/40 | 2,946,000 | 3,248,996 | ||||||||
|
| |||||||||
8,356,500 | ||||||||||
|
| |||||||||
Brazil — 0.3% |
| |||||||||
Brazilian Government International Bond | ||||||||||
10.25%, 01/10/28(B) | 2,525,000 | 958,440 | ||||||||
|
| |||||||||
Canada — 4.7% |
| |||||||||
Bombardier, Inc. | ||||||||||
6.00%, 10/15/22 144AD | 745,000 | 753,381 | ||||||||
Canada Generic Residual STRIP | ||||||||||
1.99%, 06/01/25(C)W† | 3,685,000 | 2,598,499 | ||||||||
Glencore Finance Canada, Ltd. | ||||||||||
6.00%, 11/15/41 144AD | 3,591,000 | 3,883,311 | ||||||||
Ontario Generic Residual STRIP | ||||||||||
3.28%, 03/08/29(C)W† | 4,600,000 | 2,532,495 | ||||||||
Saskatchewan Residual STRIP | ||||||||||
2.22%, 02/04/22(C)W† | 3,000,000 | 2,139,273 | ||||||||
Talisman Energy, Inc. | ||||||||||
6.25%, 02/01/38 | 450,000 | 458,243 | ||||||||
TransCanada PipeLines, Ltd. | ||||||||||
6.20%, 10/15/37 | 1,541,000 | 1,823,277 | ||||||||
|
| |||||||||
14,188,479 | ||||||||||
|
| |||||||||
Cayman Islands — 0.6% |
| |||||||||
Transocean, Inc. | ||||||||||
6.38%, 12/15/21D | 40,000 | 36,948 | ||||||||
3.80%, 10/15/22D | 85,000 | 68,989 | ||||||||
XLIT, Ltd. | ||||||||||
6.25%, 05/15/27D | 1,530,000 | 1,851,519 | ||||||||
|
| |||||||||
1,957,456 | ||||||||||
|
| |||||||||
Ireland — 0.1% |
| |||||||||
eircom Finance, Ltd. | ||||||||||
9.25%, 05/15/20 | 200,000 | 261,977 | ||||||||
|
| |||||||||
Italy — 0.6% |
| |||||||||
Telecom Italia Capital SA | ||||||||||
6.38%, 11/15/33 | 755,000 | 777,650 | ||||||||
6.00%, 09/30/34D | 1,010,000 | 1,015,050 | ||||||||
|
| |||||||||
1,792,700 | ||||||||||
|
| |||||||||
Luxembourg — 0.4% |
| |||||||||
ArcelorMittal | ||||||||||
7.50%, 10/15/39D | 215,000 | 223,600 | ||||||||
7.25%, 03/01/41D | 975,000 | 989,625 | ||||||||
|
| |||||||||
1,213,225 | ||||||||||
|
| |||||||||
Malaysia — 0.1% |
| |||||||||
Telekom Malaysia Bhd | ||||||||||
7.88%, 08/01/25 144A | 225,000 | 299,981 | ||||||||
|
| |||||||||
Mexico — 1.1% |
| |||||||||
America Movil SAB de CV | ||||||||||
8.46%, 12/18/36(M) | 12,000,000 | 819,784 | ||||||||
6.45%, 12/05/22(M) | 2,600,000 | 173,142 | ||||||||
Mexican Bonos | ||||||||||
8.00%, 12/07/23(M) | 21,300,000 | 1,662,092 |
Par | Value | |||||||||
10.00%, 12/05/24(M) | $ | 3,500,000 | $ | 311,313 | ||||||
7.50%, 06/03/27(M) | 3,500,000 | 265,326 | ||||||||
8.50%, 05/31/29(M) | 500,000 | 41,035 | ||||||||
7.75%, 05/29/31(M) | 1,000,000 | 77,132 | ||||||||
|
| |||||||||
3,349,824 | ||||||||||
|
| |||||||||
Netherlands — 4.0% |
| |||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||||
5.25%, 05/24/41 | 1,023,000 | 1,228,213 | ||||||||
5.75%, 12/01/43 | 2,750,000 | 3,294,580 | ||||||||
EDP Finance BV | ||||||||||
4.90%, 10/01/19 144AD | 500,000 | 521,660 | ||||||||
Enel Finance International NV | ||||||||||
6.80%, 09/15/37 144A | 100,000 | 128,265 | ||||||||
6.00%, 10/07/39 144A | 2,210,000 | 2,605,767 | ||||||||
Koninklijke Philips Electronics NV | ||||||||||
6.88%, 03/11/38 | 3,250,000 | 4,428,456 | ||||||||
|
| |||||||||
12,206,941 | ||||||||||
|
| |||||||||
New Zealand — 0.3% |
| |||||||||
New Zealand Government Bond | ||||||||||
5.00%, 03/15/19(Z) | 945,000 | 778,810 | ||||||||
|
| |||||||||
Norway — 0.4% |
| |||||||||
Norway Government Bond | ||||||||||
5.00%, 05/15/15(K) | 540,000 | 73,476 | ||||||||
4.25%, 05/19/17(K) | 7,670,000 | 1,111,601 | ||||||||
|
| |||||||||
1,185,077 | ||||||||||
|
| |||||||||
Spain — 0.8% |
| |||||||||
Telefonica Emisiones SA Unipersonal | ||||||||||
5.13%, 04/27/20 | 75,000 | 83,122 | ||||||||
7.05%, 06/20/36 | 1,720,000 | 2,269,640 | ||||||||
|
| |||||||||
2,352,762 | ||||||||||
|
| |||||||||
Supranational — 0.8% |
| |||||||||
Inter-American Development Bank | ||||||||||
6.00%, 12/15/17(Z) | 3,115,000 | 2,570,930 | ||||||||
|
| |||||||||
United Kingdom — 3.8% |
| |||||||||
Barclays Bank PLC | ||||||||||
3.68%, 08/20/15(W) | 740,000,000 | 683,319 | ||||||||
Ensco PLC | ||||||||||
5.75%, 10/01/44D | 2,434,000 | 2,450,889 | ||||||||
HBOS PLC | ||||||||||
6.00%, 11/01/33 144A | 925,000 | 1,050,936 | ||||||||
Rio Tinto Finance USA PLC | ||||||||||
4.13%, 08/21/42D | 2,013,000 | 1,962,472 | ||||||||
Standard Chartered PLC | ||||||||||
5.70%, 03/26/44 144A | 4,985,000 | 5,207,142 | ||||||||
|
| |||||||||
11,354,758 | ||||||||||
|
| |||||||||
Total Foreign Bonds |
| 62,827,860 | ||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITY — 0.3% |
| |||||||||
Community Program Loan Trust | ||||||||||
4.50%, 04/01/29 | ||||||||||
(Cost $924,080) | 1,020,947 | 1,029,898 | ||||||||
|
|
See Notes to Financial Statements. | 139 |
Table of Contents
EXTENDED-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
MUNICIPAL BONDS — 2.1% |
| |||||||||
State of Illinois, General Obligation | ||||||||||
5.10%, 06/01/33 | $ | 635,000 | $ | 630,993 | ||||||
State of Illinois, General Obligation, Series B | ||||||||||
5.52%, 04/01/38 | 425,000 | 419,156 | ||||||||
University of California, Revenue Bond, Series AD | ||||||||||
4.86%, 05/15/12 | 4,912,000 | 5,122,430 | ||||||||
|
| |||||||||
Total Municipal Bonds |
| 6,172,579 | ||||||||
|
| |||||||||
U.S. TREASURY OBLIGATIONS — 21.6% |
| |||||||||
U.S. Treasury Bonds | ||||||||||
4.50%, 02/15/36D | 13,161,000 | 17,558,630 | ||||||||
2.75%, 11/15/42D | 1,200,000 | 1,198,969 | ||||||||
2.88%, 05/15/43 | 1,345,000 | 1,375,893 | ||||||||
3.75%, 11/15/43 | 4,844,300 | 5,824,137 | ||||||||
3.63%, 02/15/44 | 9,867,000 | 11,612,995 | ||||||||
3.38%, 05/15/44D | 1,808,000 | 2,035,696 | ||||||||
3.13%, 08/15/44D | 18,257,000 | 19,659,083 | ||||||||
|
| |||||||||
59,265,403 | ||||||||||
|
| |||||||||
U.S. Treasury Notes | ||||||||||
0.25%, 02/29/16 | 860,000 | 858,992 | ||||||||
2.25%, 11/15/24D | 4,900,000 | 4,933,688 | ||||||||
|
| |||||||||
5,792,680 | ||||||||||
|
| |||||||||
Total U.S. Treasury Obligations |
| 65,058,083 | ||||||||
|
| |||||||||
Shares | ||||||||||
COMMON STOCK — 0.1% |
| |||||||||
Consumer Discretionary — 0.1% |
| |||||||||
Ford Motor Co.D | 20,420 | 316,510 | ||||||||
|
| |||||||||
PREFERRED STOCKS — 0.2% |
| |||||||||
Alcoa, Inc., | ||||||||||
5.38%, 10/01/17 CONVD | 680 | 34,306 | ||||||||
Ally Financial, Inc., | ||||||||||
7.00%, 12/31/49 144A | 82 | 81,967 | ||||||||
Chesapeake Energy Corporation, | ||||||||||
5.00%, 12/31/49 CONV | 620 | 61,076 | ||||||||
Chesapeake Energy Corporation, | ||||||||||
5.75%, 12/31/49 CONV 144AD | 80 | 81,900 | ||||||||
El Paso Energy Capital Trust I, | ||||||||||
4.75%, 03/31/28 CONV | 5,350 | 324,424 | ||||||||
|
| |||||||||
Total Preferred Stocks | 583,673 | |||||||||
|
|
Shares | Value | |||||||||
MONEY MARKET FUNDS — 18.7% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 13,064,969 | $ | 13,064,969 | |||||||
Northern Institutional Liquid Assets Portfolio§ | 43,396,372 | 43,396,372 | ||||||||
|
| |||||||||
Total Money Market Funds | 56,461,341 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 113.2% |
| 341,421,665 | ||||||||
|
| |||||||||
Liabilities in Excess of Other | (39,788,017 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 301,633,648 | ||||||||
|
|
140 | See Notes to Financial Statements. |
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Asset-Backed Security | $ | 3,082,554 | $ | — | $ | 3,082,554 | $ | — | ||||||||||||
Common Stock | 316,510 | 316,510 | — | — | ||||||||||||||||
Corporate Bonds | 145,889,167 | — | 143,767,371 | 2,121,796 | ||||||||||||||||
Foreign Bonds | 62,827,860 | — | 62,827,860 | — | ||||||||||||||||
Money Market Funds | 56,461,341 | 56,461,341 | — | — | ||||||||||||||||
Mortgage-Backed Security | 1,029,898 | — | 1,029,898 | — | ||||||||||||||||
Municipal Bonds | 6,172,579 | — | 6,172,579 | — | ||||||||||||||||
Preferred Stocks | 583,673 | 583,673 | — | — | ||||||||||||||||
U.S. Treasury Obligations | 65,058,083 | — | 65,058,083 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 341,421,665 | $ | 57,361,524 | $ | 281,938,345 | $ | 2,121,796 | ||||||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2014.
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 December 31, 2014.
See Notes to Financial Statements. | 141 |
Table of Contents
Coming into 2014, the major central banks were working in tandem in an effort to stimulate economic growth through extreme accommodative policies. However, during 2014, a divergence in monetary policies began to surface as the economies in the United States and United Kingdom appeared to be farther down the path of recovery compared to others. Both the Federal Reserve and the Bank of England appear poised to implement rate hikes during 2015, but even so, the policy rates in these two countries should remain historically low. Government yields ended the year lower in the major regions of the U.S., Europe and Japan reflecting the heightened concern over global economic growth (especially in Continental Europe, Japan and China), low inflationary pressures and elevated geopolitical risks. Related to currency, the U.S. dollar appreciated against most currencies, including the Great Britain pound, the Japanese yen and the euro. In many cases, returns were positive in government bond markets in local currencies, but the appreciating U.S. dollar served as an offset to gains for U.S. based investors. The global bond market, as measured by the Barclays Global Aggregate Index, posted an annual return of 0.59%. Emerging market debt, as measured by the J.P. Morgan EMBI+ (a U.S. dollar denominated index), generated an annual return of 6.15%.
The Fund is actively managed and invests in a diversified portfolio composed primarily of global fixed income securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally between three to 10 years. The Fund maintained its global focus, seeking investment opportunities across a wide array of economies, credits, yield curves and currencies. For the one-year period ended December 31, 2014, the Fund outperformed its composite benchmark, 50% Barclays Global Aggregate Bond Index – Unhedged, 25% JPMorgan Emerging Markets Bond Index Plus and 25% Barclays U.S. Corporate High Yield Index – 2% Issuer Capped (2.90% versus 2.45%). The outperformance was primarily generated during the first and third quarters. The Fund’s benchmark-relative outperformance was attributable to several factors including exposure to and security selection within the corporate bond sector. Also, a yield curve strategy that focused on the long end of the U.S. yield curve benefitted performance as the yield curve flattened and long-term yields declined. During the year, the Fund utilized U.S. and non-U.S. government futures and options to manage yield curve and duration strategies. These strategies, in aggregate, detracted modestly from the Fund’s performance. Additionally, the Fund used currency forward contracts and options on currency forwards for hedging purposes which slightly benefited the Fund’s value.
This Fund may be suitable for investors who have a medium to long-term investment horizon, seek higher returns than those offered by a shorter maturity bond fund, can accept short-term fluctuations in account value and want to diversify their portfolio with a globally diversified fixed-income investment option. This Fund may invest, to a large extent, in high yield securities, commonly known as junk bonds. While offering higher current yields, these securities may be considered speculative and are subject to greater risks than higher-rated bonds. Securities of emerging countries may involve additional risks including price volatility, reduced liquidity, currency fluctuation and financial reporting requirements as well as political and economic instability. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and by its ability to select sub-advisers to allocate assets. Some derivatives may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Foreign Bonds | 39.6 | |||
Corporate Bonds | 35.5 | |||
Money Market Funds | 21.2 | |||
U.S. Treasury Obligations | 10.1 | |||
Common Stocks | 1.3 | |||
Loan Agreements | 1.1 | |||
Foreign Government Inflation-Linked Note | 0.8 | |||
Preferred Stocks | 0.6 | |||
Foreign Common Stocks | 0.3 | |||
Mortgage-Backed Security | 0.1 | |||
Municipal Bond | 0.1 | |||
Purchased Option | — | ** | ||
|
| |||
110.7 | ||||
|
|
** | Rounds to less than 0.005%. |
142
Table of Contents
Global Bond Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||||||
Investor Class* | Benchmark** | |||||||||
One Year | 2.90% | 2.45% | ||||||||
Five Year | 6.16% | 5.34% | ||||||||
Since Inception | 5.88% | 5.97% | ||||||||
Inception Date | 12/29/06 | |||||||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, | 0.85% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the weighted composite index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a weighted composite benchmark index consisting of 25% JPMorgan Emerging Markets Bond Index Plus, 50% Barclays Global Aggregate Bond Index — Unhedged and 25% Barclays U.S. Corporate High Yield – 2% Issuer Capped Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
143
Table of Contents
GLOBAL BOND FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Par | Value | |||||||||
CORPORATE BONDS — 35.5% |
| |||||||||
24 Hour Holdings III LLC | ||||||||||
8.00%, 06/01/22 144AD | $ | 50,000 | $ | 40,250 | ||||||
Acadia Healthcare Co., Inc. | ||||||||||
12.88%, 11/01/18 | 106,000 | 119,780 | ||||||||
5.13%, 07/01/22 | 110,000 | 108,900 | ||||||||
Access Midstream Partners LP | ||||||||||
6.13%, 07/15/22D | 150,000 | 160,125 | ||||||||
4.88%, 05/15/23 | 720,000 | 734,400 | ||||||||
Activision Blizzard, Inc. | ||||||||||
5.63%, 09/15/21 144A | 70,000 | 73,675 | ||||||||
6.13%, 09/15/23 144AD | 60,000 | 64,800 | ||||||||
AECOM Technology Corporation | ||||||||||
5.75%, 10/15/22 144A | 55,000 | 56,375 | ||||||||
5.88%, 10/15/24 144A | 245,000 | 251,125 | ||||||||
AES Corporation | ||||||||||
8.00%, 06/01/20 | 350,000 | 401,625 | ||||||||
7.38%, 07/01/21D | 170,000 | 192,950 | ||||||||
4.88%, 05/15/23 | 1,710,000 | 1,705,725 | ||||||||
Alcatel-Lucent USA, Inc. | ||||||||||
6.45%, 03/15/29 | 275,000 | 264,000 | ||||||||
Alcoa, Inc. | ||||||||||
5.87%, 02/23/22D | 5,000 | 5,539 | ||||||||
5.90%, 02/01/27 | 825,000 | 900,511 | ||||||||
6.75%, 01/15/28 | 1,380,000 | 1,555,379 | ||||||||
5.95%, 02/01/37D | 65,000 | 66,606 | ||||||||
Ally Financial, Inc. | ||||||||||
5.50%, 02/15/17 | 70,000 | 73,675 | ||||||||
8.00%, 12/31/18 | 104,000 | 118,040 | ||||||||
3.50%, 01/27/19 | 1,000,000 | 990,500 | ||||||||
8.00%, 03/15/20D | 161,000 | 190,382 | ||||||||
7.50%, 09/15/20 | 332,000 | 390,100 | ||||||||
5.13%, 09/30/24D | 920,000 | 936,100 | ||||||||
8.00%, 11/01/31 | 345,000 | 440,738 | ||||||||
American Airlines Group, Inc. | ||||||||||
5.50%, 10/01/19 144AD | 1,825,000 | 1,863,781 | ||||||||
American Axle & Manufacturing, Inc. | ||||||||||
6.63%, 10/15/22 | 150,000 | 159,750 | ||||||||
American International Group, Inc. | ||||||||||
5.45%, 05/18/17D | 25,000 | 27,293 | ||||||||
Anadarko Petroleum Corporation | ||||||||||
5.95%, 09/15/16 | 10,000 | 10,698 | ||||||||
6.38%, 09/15/17 | 80,000 | 89,000 | ||||||||
Antero Resources Corporation | ||||||||||
5.13%, 12/01/22 144AD | 160,000 | 151,600 | ||||||||
Appvion, Inc. | ||||||||||
9.00%, 06/01/20 144A | 210,000 | 144,900 | ||||||||
Arch Coal, Inc. | ||||||||||
9.88%, 06/15/19D | 400,000 | 138,000 | ||||||||
Ashtead Capital, Inc. | ||||||||||
5.63%, 10/01/24 144A | 330,000 | 339,075 | ||||||||
AT&T, Inc. | ||||||||||
3.88%, 08/15/21 | 60,000 | 62,870 | ||||||||
Atlas Pipeline Partners LP | ||||||||||
4.75%, 11/15/21 | 110,000 | 105,050 | ||||||||
Atrium Windows & Doors, Inc. | ||||||||||
7.75%, 05/01/19 144A | 565,000 | 477,425 | ||||||||
Atwood Oceanics, Inc. | ||||||||||
6.50%, 02/01/20 | 180,000 | 165,600 |
Par | Value | |||||||||
Avon Products, Inc. | ||||||||||
6.95%, 03/15/43D | $ | 105,000 | $ | 87,150 | ||||||
Ball Corporation | ||||||||||
5.75%, 05/15/21 | 380,000 | 399,950 | ||||||||
Bank of America Corporation | ||||||||||
5.49%, 03/15/19 | 100,000 | 110,860 | ||||||||
4.25%, 10/22/26 | 100,000 | 99,913 | ||||||||
6.11%, 01/29/37 | 1,300,000 | 1,539,934 | ||||||||
5.20%, 12/29/49† | 550,000 | 509,438 | ||||||||
Barrick North America Finance LLC | ||||||||||
5.75%, 05/01/43 | 1,000,000 | 995,673 | ||||||||
Beazer Homes USA, Inc. | ||||||||||
7.25%, 02/01/23D | 50,000 | 48,750 | ||||||||
Best Buy Co., Inc. | ||||||||||
5.00%, 08/01/18 | 3,455,000 | 3,591,041 | ||||||||
Blue Racer Midstream LLC | ||||||||||
6.13%, 11/15/22 144AD | 200,000 | 193,500 | ||||||||
California Resources Corporation | ||||||||||
6.00%, 11/15/24 144AD | 970,000 | 824,500 | ||||||||
Calpine Corporation | ||||||||||
6.00%, 01/15/22 144A | 310,000 | 331,700 | ||||||||
5.88%, 01/15/24 144A | 304,000 | 325,280 | ||||||||
Calumet Specialty Products Partners LP | ||||||||||
6.50%, 04/15/21 144A | 230,000 | 206,425 | ||||||||
CBS Outdoor Americas Capital LLC | ||||||||||
5.25%, 02/15/22 144AD | 110,000 | 111,100 | ||||||||
5.63%, 02/15/24 144AD | 40,000 | 40,300 | ||||||||
5.88%, 03/15/25 144A | 170,000 | 171,275 | ||||||||
CCO Holdings LLC | ||||||||||
7.00%, 01/15/19D | 230,000 | 239,200 | ||||||||
CCOH Safari LLC | ||||||||||
5.50%, 12/01/22 | 140,000 | 142,450 | ||||||||
5.75%, 12/01/24 | 60,000 | 60,825 | ||||||||
Cemex Finance LLC | ||||||||||
9.38%, 10/12/22 | 550,000 | 616,000 | ||||||||
Centene Corporation | ||||||||||
4.75%, 05/15/22D | 100,000 | 100,375 | ||||||||
Century Intermediate Holding Co. 2 | ||||||||||
Cash coupon 9.75%, 02/15/19 PIK 144AD | 130,000 | 137,150 | ||||||||
CenturyLink, Inc. | ||||||||||
7.60%, 09/15/39 | 755,000 | 751,225 | ||||||||
Chesapeake Energy Corporation | ||||||||||
6.63%, 08/15/20 | 5,000 | 5,338 | ||||||||
6.88%, 11/15/20D | 75,000 | 81,000 | ||||||||
6.13%, 02/15/21D | 140,000 | 147,700 | ||||||||
5.38%, 06/15/21D | 80,000 | 80,350 | ||||||||
4.88%, 04/15/22D | 50,000 | 48,875 | ||||||||
5.75%, 03/15/23D | 140,000 | 144,900 | ||||||||
2.75%, 11/15/35 CONVD | 170,000 | 170,638 | ||||||||
2.50%, 05/15/37 CONV | 340,000 | 331,925 | ||||||||
2.25%, 12/15/38 CONV | 1,150,000 | 1,038,594 | ||||||||
Chrysler Group LLC | ||||||||||
8.25%, 06/15/21 | 200,000 | 222,500 | ||||||||
Ciena Corporation | ||||||||||
0.88%, 06/15/17 CONVD | 2,085,000 | 2,075,878 | ||||||||
3.75%, 10/15/18 CONV 144A | 415,000 | 515,897 |
144 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
Cimarex Energy Co. | ||||||||||
4.38%, 06/01/24 | $ | 90,000 | $ | 86,175 | ||||||
Cincinnati Bell Telephone Co. LLC | ||||||||||
6.30%, 12/01/28 | 155,000 | 146,862 | ||||||||
CIT Group, Inc. | ||||||||||
5.00%, 08/15/22 | 500,000 | 515,625 | ||||||||
5.00%, 08/01/23 | 670,000 | 690,100 | ||||||||
Citigroup, Inc. | ||||||||||
5.13%, 11/12/19(Z) | 640,000 | 507,059 | ||||||||
3.50%, 05/15/23 | 1,305,000 | 1,271,769 | ||||||||
5.35%, 04/29/49† | 360,000 | 333,900 | ||||||||
6.30%, 12/29/49† | 370,000 | 365,375 | ||||||||
Cleaver-Brooks, Inc. | ||||||||||
8.75%, 12/15/19 144A | 110,000 | 116,325 | ||||||||
Cliffs Natural Resources, Inc. | ||||||||||
5.70%, 01/15/18D | 180,000 | 117,900 | ||||||||
6.25%, 10/01/40D | 1,920,000 | 1,008,000 | ||||||||
Cloud Peak Energy Resources LLC | ||||||||||
6.38%, 03/15/24D | 60,000 | 56,100 | ||||||||
Cogent Communications Holdings, Inc. | ||||||||||
8.38%, 02/15/18 144A | 410,000 | 430,500 | ||||||||
Colorado Interstate Gas Co. LLC | ||||||||||
5.95%, 03/15/15 | 20,000 | 20,224 | ||||||||
6.80%, 11/15/15D | 125,000 | 130,779 | ||||||||
Comcast Corporation | ||||||||||
5.15%, 03/01/20 | 170,000 | 192,749 | ||||||||
Compiler Finance Sub, Inc. | ||||||||||
7.00%, 05/01/21 144A | 40,000 | 34,600 | ||||||||
Concho Resources, Inc. | ||||||||||
5.50%, 10/01/22D | 520,000 | 527,800 | ||||||||
5.50%, 04/01/23D | 700,000 | 706,790 | ||||||||
ConocoPhillips | ||||||||||
6.50%, 02/01/39 | 20,000 | 26,664 | ||||||||
CONSOL Energy, Inc. | ||||||||||
8.25%, 04/01/20 | 621,000 | 646,616 | ||||||||
5.88%, 04/15/22 144AD | 70,000 | 65,450 | ||||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||||
5.98%, 10/19/23 | 449,950 | 493,821 | ||||||||
Continental Airlines 2009-1 Pass Through Trust | ||||||||||
9.00%, 01/08/18 | 932,950 | 1,026,245 | ||||||||
Continental Resources, Inc. | ||||||||||
4.50%, 04/15/23 | 15,000 | 14,291 | ||||||||
3.80%, 06/01/24D | 50,000 | 44,813 | ||||||||
Countrywide Financial Corporation | ||||||||||
6.25%, 05/15/16 | 280,000 | 297,273 | ||||||||
Crestwood Midstream Partners LP | ||||||||||
6.00%, 12/15/20 | 250,000 | 240,625 | ||||||||
6.13%, 03/01/22 | 120,000 | 115,200 | ||||||||
CSC Holdings LLC | ||||||||||
6.75%, 11/15/21D | 210,000 | 232,838 | ||||||||
5.25%, 06/01/24 144A | 140,000 | 141,050 | ||||||||
CST Brands, Inc. | ||||||||||
5.00%, 05/01/23 | 170,000 | 172,550 | ||||||||
CTR Partnership LP | ||||||||||
5.88%, 06/01/21 | 500,000 | 508,750 | ||||||||
Cummins, Inc. | ||||||||||
5.65%, 03/01/98 | 860,000 | 1,063,253 |
Par | Value | |||||||||
D.R. Horton, Inc. | ||||||||||
4.38%, 09/15/22 | $ | 1,405,000 | $ | 1,383,925 | ||||||
DaVita HealthCare Partners, Inc. | ||||||||||
5.13%, 07/15/24 | 90,000 | 91,969 | ||||||||
Delta Air Lines 2007-1 Class B Pass Through Trust | ||||||||||
8.02%, 02/10/24 | 63,899 | 73,803 | ||||||||
Dillard’s, Inc. | ||||||||||
7.75%, 07/15/26 | 890,000 | 994,575 | ||||||||
DISH DBS Corporation | ||||||||||
5.88%, 07/15/22 | 600,000 | 616,500 | ||||||||
5.88%, 11/15/24 144A | 470,000 | 473,525 | ||||||||
DJO Finance LLC | ||||||||||
8.75%, 03/15/18 | 600,000 | 627,000 | ||||||||
9.88%, 04/15/18 | 30,000 | 30,600 | ||||||||
DPL, Inc. | ||||||||||
6.75%, 10/01/19 144A | 390,000 | 395,850 | ||||||||
DS Services of America, Inc. | ||||||||||
10.00%, 09/01/21 144A | 265,000 | 306,075 | ||||||||
Dynegy Holdings Escrow | ||||||||||
0.00%, 06/01/19+W†# | 893,000 | — | ||||||||
Eagle Spinco, Inc. | ||||||||||
4.63%, 02/15/21 | 520,000 | 494,650 | ||||||||
El Paso LLC | ||||||||||
7.75%, 01/15/32D | 80,000 | 98,800 | ||||||||
El Paso Natural Gas Co. LLC | ||||||||||
8.63%, 01/15/22 | 90,000 | 114,142 | ||||||||
8.38%, 06/15/32 | 75,000 | 98,876 | ||||||||
Embarq Corporation | ||||||||||
8.00%, 06/01/36 | 995,000 | 1,114,400 | ||||||||
Enterprise Products Operating LLC | ||||||||||
8.38%, 08/01/66† | 60,000 | 64,449 | ||||||||
ERAC USA Finance LLC | ||||||||||
7.00%, 10/15/37 144A | 1,065,000 | 1,439,857 | ||||||||
Erickson, Inc. | ||||||||||
8.25%, 05/01/20D | 250,000 | 221,250 | ||||||||
ExamWorks Group, Inc. | ||||||||||
9.00%, 07/15/19 | 60,000 | 64,200 | ||||||||
EXCO Resources, Inc. | ||||||||||
7.50%, 09/15/18 | 150,000 | 115,406 | ||||||||
Exterran Partners LP | ||||||||||
6.00%, 10/01/22 144A | 90,000 | 77,400 | ||||||||
First Cash Financial Services, Inc. | ||||||||||
6.75%, 04/01/21D | 40,000 | 41,800 | ||||||||
First Data Corporation | ||||||||||
12.63%, 01/15/21 | 320,000 | 380,800 | ||||||||
First Quality Finance Co., Inc. | ||||||||||
4.63%, 05/15/21 144A | 30,000 | 27,600 | ||||||||
First Wind Capital LLC | ||||||||||
10.25%, 06/01/18 144A | 150,000 | 159,562 | ||||||||
FirstEnergy Corporation | ||||||||||
7.38%, 11/15/31 | 185,000 | 224,495 | ||||||||
Florida East Coast Holdings Corporation | ||||||||||
6.75%, 05/01/19 144A | 140,000 | 138,950 | ||||||||
9.75%, 05/01/20 144A | 120,000 | 120,000 | ||||||||
Ford Motor Co. | ||||||||||
6.63%, 10/01/28D | 850,000 | 1,046,441 | ||||||||
Fresenius Medical Care US Finance, Inc. | ||||||||||
5.75%, 02/15/21 144A | 750,000 | 803,438 |
See Notes to Financial Statements. | 145 |
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
Fresenius US Finance II, Inc. | ||||||||||
8.75%, 07/15/15 144A(E) | $ | 30,000 | $ | 37,970 | ||||||
Frontier Communications Corporation | ||||||||||
7.88%, 01/15/27 | 405,000 | 406,012 | ||||||||
FTS International, Inc. | ||||||||||
6.25%, 05/01/22 144A | 200,000 | 149,000 | ||||||||
GameStop Corporation | ||||||||||
5.50%, 10/01/19 144AD | 295,000 | 297,212 | ||||||||
Gannett Co., Inc. | ||||||||||
4.88%, 09/15/21 144A | 70,000 | 69,650 | ||||||||
General Electric Capital Corporation | ||||||||||
4.88%, 03/04/15 | 370,000 | 372,723 | ||||||||
6.50%, 09/28/15(Z) | 255,000 | 202,644 | ||||||||
6.75%, 09/26/16(Z) | 150,000 | 122,109 | ||||||||
3.15%, 09/07/22 | 330,000 | 336,681 | ||||||||
6.75%, 03/15/32 | 30,000 | 41,092 | ||||||||
General Motors Financial Co., Inc. | ||||||||||
2.75%, 05/15/16D | 10,000 | 10,181 | ||||||||
4.38%, 09/25/21 | 420,000 | 438,900 | ||||||||
GenOn REMA LLC | ||||||||||
9.68%, 07/02/26 | 300,000 | 318,000 | ||||||||
Genworth Holdings, Inc. | ||||||||||
4.90%, 08/15/23 | 160,000 | 129,773 | ||||||||
4.80%, 02/15/24D | 95,000 | 77,551 | ||||||||
6.50%, 06/15/34D | 110,000 | 91,917 | ||||||||
Geo Group, Inc. | ||||||||||
5.88%, 10/15/24 | 100,000 | 101,750 | ||||||||
Georgia-Pacific LLC | ||||||||||
8.88%, 05/15/31 | 605,000 | 939,996 | ||||||||
Goldman Sachs Group, Inc. | ||||||||||
2.90%, 07/19/18 | 130,000 | 133,431 | ||||||||
4.75%, 10/12/21(E) | 150,000 | 214,058 | ||||||||
6.75%, 10/01/37 | 355,000 | 447,225 | ||||||||
Goodyear Tire & Rubber Co. | ||||||||||
7.00%, 03/15/28 | 690,000 | 717,600 | ||||||||
Griffon Corporation | ||||||||||
5.25%, 03/01/22 | 950,000 | 893,000 | ||||||||
Group 1 Automotive, Inc. | ||||||||||
5.00%, 06/01/22 144A | 80,000 | 78,600 | ||||||||
GTP Acquisition Partners I LLC | ||||||||||
7.63%, 06/15/41 144A | 150,000 | 157,217 | ||||||||
Guitar Center, Inc. | ||||||||||
9.63%, 04/15/20 144AD | 200,000 | 132,000 | ||||||||
Gulfmark Offshore, Inc. | ||||||||||
6.38%, 03/15/22 | 220,000 | 166,100 | ||||||||
Gulfport Energy Corporation | ||||||||||
7.75%, 11/01/20 144AD | 30,000 | 29,475 | ||||||||
Halcon Resources Corporation | ||||||||||
9.75%, 07/15/20 | 70,000 | 52,850 | ||||||||
8.88%, 05/15/21D | 270,000 | 204,525 | ||||||||
9.25%, 02/15/22D | 1,440,000 | 1,062,000 | ||||||||
Hardwoods Acquisition, Inc. | ||||||||||
7.50%, 08/01/21 144A | 90,000 | 89,100 | ||||||||
HCA, Inc. | ||||||||||
7.19%, 11/15/15 | 205,000 | 214,481 | ||||||||
7.50%, 02/15/22 | 500,000 | 572,500 | ||||||||
7.50%, 12/15/23 | 770,000 | 868,175 | ||||||||
8.36%, 04/15/24 | 90,000 | 106,200 | ||||||||
7.69%, 06/15/25 | 815,000 | 920,950 | ||||||||
7.58%, 09/15/25 | 715,000 | 804,375 |
Par | Value | |||||||||
7.05%, 12/01/27 | $ | 20,000 | $ | 20,500 | ||||||
7.50%, 11/06/33 | 205,000 | 217,300 | ||||||||
7.75%, 07/15/36 | 120,000 | 129,600 | ||||||||
Hercules Offshore, Inc. | ||||||||||
10.25%, 04/01/19 144AD | 250,000 | 133,750 | ||||||||
8.75%, 07/15/21 144AD | 735,000 | 345,450 | ||||||||
7.50%, 10/01/21 144A | 1,865,000 | 829,925 | ||||||||
6.75%, 04/01/22 144A | 70,000 | 30,450 | ||||||||
Hercules, Inc. | ||||||||||
6.50%, 06/30/29 | 250,000 | 226,250 | ||||||||
Hexion US Finance Corporation | ||||||||||
6.63%, 04/15/20 | 160,000 | 157,600 | ||||||||
9.00%, 11/15/20 | 185,000 | 134,125 | ||||||||
Hiland Partners LP | ||||||||||
7.25%, 10/01/20 144A | 545,000 | 520,475 | ||||||||
Hilton Worldwide Finance LLC | ||||||||||
5.63%, 10/15/21D | 180,000 | 189,000 | ||||||||
HJ Heinz Co. | ||||||||||
4.25%, 10/15/20D | 550,000 | 556,875 | ||||||||
Howard Hughes Corporation | ||||||||||
6.88%, 10/01/21 144A | 140,000 | 145,600 | ||||||||
IASIS Healthcare LLC | ||||||||||
8.38%, 05/15/19D | 520,000 | 547,300 | ||||||||
Idearc, Inc. Escrow | ||||||||||
0.00%, 11/15/16+W# | 185,000 | — | ||||||||
Intel Corporation | ||||||||||
2.95%, 12/15/35 CONVD | 580,000 | 763,425 | ||||||||
3.25%, 08/01/39 CONV | 460,000 | 800,690 | ||||||||
Interactive Data Corporation | ||||||||||
5.88%, 04/15/19 144AD | 50,000 | 49,875 | ||||||||
International Lease Finance Corporation | ||||||||||
3.88%, 04/15/18 | 10,000 | 10,019 | ||||||||
6.25%, 05/15/19 | 75,000 | 82,125 | ||||||||
4.63%, 04/15/21 | 300,000 | 305,812 | ||||||||
5.88%, 08/15/22 | 230,000 | 250,125 | ||||||||
INVISTA Finance LLC | ||||||||||
4.25%, 10/15/19 144A | 915,000 | 919,575 | ||||||||
iStar Financial, Inc. | ||||||||||
6.05%, 04/15/15 | 20,000 | 20,250 | ||||||||
3.88%, 07/01/16D | 30,000 | 30,186 | ||||||||
3.00%, 11/15/16 CONV | 15,000 | 19,003 | ||||||||
7.13%, 02/15/18 | 150,000 | 158,250 | ||||||||
4.88%, 07/01/18 | 95,000 | 93,694 | ||||||||
JC Penney Corporation, Inc. | ||||||||||
6.38%, 10/15/36 | 480,000 | 315,600 | ||||||||
7.63%, 03/01/97D | 815,000 | 544,012 | ||||||||
Jefferies Finance LLC | ||||||||||
7.50%, 04/15/21 144AD | 275,000 | 256,781 | ||||||||
6.88%, 04/15/22 144A | 200,000 | 184,000 | ||||||||
Jefferies Group LLC | ||||||||||
5.13%, 04/13/18 | 55,000 | 58,091 | ||||||||
6.88%, 04/15/21 | 270,000 | 308,275 | ||||||||
5.13%, 01/20/23 | 305,000 | 310,546 | ||||||||
6.45%, 06/08/27 | 35,000 | 36,489 | ||||||||
3.88%, 11/01/29 CONV | 55,000 | 57,028 | ||||||||
6.25%, 01/15/36 | 1,135,000 | 1,121,123 | ||||||||
6.50%, 01/20/43 | 510,000 | 521,932 | ||||||||
Jones Group, Inc. | ||||||||||
6.13%, 11/15/34 | 130,000 | 79,300 | ||||||||
JPMorgan Chase & Co. | ||||||||||
4.25%, 11/02/18(Z) | 360,000 | 279,412 | ||||||||
3.38%, 05/01/23D | 400,000 | 396,152 |
146 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
JPMorgan Chase Bank NA | ||||||||||
4.38%, 11/30/21(E)† | $ | 350,000 | $ | 445,716 | ||||||
Jurassic Holdings III, Inc. | ||||||||||
6.88%, 02/15/21 144A | 60,000 | 56,100 | ||||||||
K Hovnanian Enterprises, Inc. | ||||||||||
5.00%, 11/01/21 | 795,000 | 674,756 | ||||||||
KB Home | ||||||||||
1.38%, 02/01/19 CONVD | 220,000 | 219,175 | ||||||||
Key Energy Services, Inc. | ||||||||||
6.75%, 03/01/21D | 170,000 | 107,100 | ||||||||
Kinder Morgan Energy Partners LP | ||||||||||
6.50%, 02/01/37 | 75,000 | 84,561 | ||||||||
6.95%, 01/15/38 | 90,000 | 104,189 | ||||||||
Kinder Morgan, Inc. | ||||||||||
5.63%, 11/15/23 144A | 120,000 | 128,671 | ||||||||
Lantheus Medical Imaging, Inc. | ||||||||||
9.75%, 05/15/17D | 380,000 | 366,225 | ||||||||
Lennar Corporation | ||||||||||
5.60%, 05/31/15 | 1,400,000 | 1,424,500 | ||||||||
4.75%, 11/15/22 | 315,000 | 310,275 | ||||||||
Level 3 Financing, Inc. | ||||||||||
9.38%, 04/01/19 | 20,000 | 21,200 | ||||||||
7.00%, 06/01/20 | 930,000 | 984,638 | ||||||||
8.63%, 07/15/20 | 220,000 | 238,425 | ||||||||
Linn Energy LLC | ||||||||||
6.50%, 05/15/19D | 190,000 | 163,400 | ||||||||
Magnum Hunter Resources Corporation | ||||||||||
9.75%, 05/15/20 | 470,000 | 373,650 | ||||||||
MarkWest Energy Partners LP | ||||||||||
6.25%, 06/15/22 | 288,000 | 299,520 | ||||||||
5.50%, 02/15/23D | 240,000 | 244,200 | ||||||||
4.88%, 12/01/24D | 460,000 | 451,950 | ||||||||
Masco Corporation | ||||||||||
5.85%, 03/15/17 | 90,000 | 96,975 | ||||||||
7.75%, 08/01/29 | 250,000 | 288,750 | ||||||||
6.50%, 08/15/32 | 175,000 | 179,813 | ||||||||
MBIA Insurance Corporation | ||||||||||
11.49%, 01/15/33 144A | 435,000 | 265,350 | ||||||||
Meccanica Holdings USA, Inc. | ||||||||||
6.25%, 01/15/40 144A | 335,000 | 320,762 | ||||||||
MedImpact Holdings, Inc. | ||||||||||
10.50%, 02/01/18 144AD | 290,000 | 305,950 | ||||||||
Merrill Lynch & Co., Inc. | ||||||||||
6.05%, 06/01/34 | 700,000 | 843,627 | ||||||||
Michael Baker International LLC | ||||||||||
8.25%, 10/15/18 144A | 100,000 | 100,000 | ||||||||
Mirant Mid Atlantic Pass Through Trust | ||||||||||
10.06%, 12/30/28 | 165,630 | 177,224 | ||||||||
Morgan Stanley | ||||||||||
4.75%, 11/16/18(A) | 275,000 | 233,039 | ||||||||
5.75%, 01/25/21 | 205,000 | 235,635 | ||||||||
3.13%, 08/05/21(C) | 535,000 | 463,226 | ||||||||
3.75%, 02/25/23 | 125,000 | 128,452 | ||||||||
4.10%, 05/22/23 | 370,000 | 374,998 | ||||||||
6.25%, 08/09/26 | 400,000 | 483,275 | ||||||||
4.35%, 09/08/26D | 940,000 | 946,907 | ||||||||
Motorola Solutions, Inc. | ||||||||||
6.63%, 11/15/37 | 105,000 | 120,828 | ||||||||
Murphy Oil USA, Inc. | ||||||||||
6.00%, 08/15/23D | 160,000 | 168,000 |
Par | Value | |||||||||
Murray Energy Corporation | ||||||||||
9.50%, 12/05/20 144A | $ | 230,000 | $ | 231,150 | ||||||
Mutual of Omaha Insurance Co. | ||||||||||
6.80%, 06/15/36 144A | 1,200,000 | 1,587,922 | ||||||||
Natural Resource Partners LP / NRP Finance Corporation | ||||||||||
9.13%, 10/01/18 | 70,000 | 68,250 | ||||||||
Navient Corporation | ||||||||||
5.88%, 10/25/24D | 500,000 | 477,500 | ||||||||
Neiman Marcus Group LTD LLC | ||||||||||
Cash coupon 8.75% or PIK 9.50%, 10/15/21 144AD | 130,000 | 138,450 | ||||||||
NES Rentals Holdings, Inc. | ||||||||||
7.88%, 05/01/18 144A | 60,000 | 61,200 | ||||||||
Newell Rubbermaid, Inc. | ||||||||||
4.00%, 12/01/24 | 445,000 | 455,062 | ||||||||
Newfield Exploration Co. | ||||||||||
5.63%, 07/01/24 | 955,000 | 949,628 | ||||||||
Newmont Mining Corporation | ||||||||||
4.88%, 03/15/42 | 575,000 | 502,584 | ||||||||
Old Republic International Corporation | ||||||||||
3.75%, 03/15/18 CONVD | 1,600,000 | 1,862,000 | ||||||||
4.88%, 10/01/24 | 520,000 | 544,909 | ||||||||
Owens Corning | ||||||||||
7.00%, 12/01/36 | 1,800,000 | 2,236,763 | ||||||||
Owens-Brockway Glass Container, Inc. | ||||||||||
5.38%, 01/15/25 144A | 1,500,000 | 1,516,875 | ||||||||
Pactiv LLC | ||||||||||
8.38%, 04/15/27 | 200,000 | 203,000 | ||||||||
Parker Drilling Co. | ||||||||||
6.75%, 07/15/22 | 80,000 | 60,800 | ||||||||
Parsley Energy LLC | ||||||||||
7.50%, 02/15/22 144A | 330,000 | 314,325 | ||||||||
Penn Mutual Life Insurance Co. | ||||||||||
7.63%, 06/15/40 144A | 685,000 | 1,005,490 | ||||||||
Penn Virginia Resource Partners LP | ||||||||||
6.50%, 05/15/21 | 160,000 | 162,400 | ||||||||
Pioneer Natural Resources Co. | ||||||||||
5.88%, 07/15/16 | 900,000 | 956,224 | ||||||||
PulteGroup, Inc. | ||||||||||
7.88%, 06/15/32 | 1,500,000 | 1,713,750 | ||||||||
6.38%, 05/15/33 | 470,000 | 472,350 | ||||||||
6.00%, 02/15/35 | 180,000 | 172,800 | ||||||||
QEP Resources, Inc. | ||||||||||
6.88%, 03/01/21 | 290,000 | 298,700 | ||||||||
5.25%, 05/01/23D | 1,900,000 | 1,786,000 | ||||||||
Quicksilver Resources, Inc. | ||||||||||
11.00%, 07/01/21 | 90,000 | 22,950 | ||||||||
Qwest Capital Funding, Inc. | ||||||||||
6.50%, 11/15/18 | 225,000 | 248,175 | ||||||||
Qwest Corporation | ||||||||||
7.25%, 09/15/25 | 615,000 | 733,865 | ||||||||
6.88%, 09/15/33 | 2,500,000 | 2,520,165 | ||||||||
7.25%, 10/15/35D | 110,000 | 113,931 | ||||||||
Rain CII Carbon LLC | ||||||||||
8.50%, 01/15/21(E) | 100,000 | 124,962 | ||||||||
Range Resources Corporation | ||||||||||
5.00%, 03/15/23D | 240,000 | 241,200 | ||||||||
Regency Energy Partners LP | ||||||||||
5.88%, 03/01/22 | 340,000 | 340,850 |
See Notes to Financial Statements. | 147 |
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
5.00%, 10/01/22D | $ | 80,000 | $ | 76,000 | ||||||
Reliance Holding USA, Inc. | ||||||||||
4.50%, 10/19/20 144A | 540,000 | 564,990 | ||||||||
Resolute Forest Products, Inc. | ||||||||||
5.88%, 05/15/23D | 190,000 | 181,450 | ||||||||
Reynolds Group Issuer, Inc. | ||||||||||
9.00%, 04/15/19 | 330,000 | 343,200 | ||||||||
5.75%, 10/15/20 | 60,000 | 61,800 | ||||||||
Rice Energy, Inc. | ||||||||||
6.25%, 05/01/22 144AD | 160,000 | 149,600 | ||||||||
Rock-Tenn Co. | ||||||||||
4.00%, 03/01/23 | 430,000 | 438,802 | ||||||||
RPM International, Inc. | ||||||||||
2.25%, 12/15/20 CONVD | 47,000 | 55,019 | ||||||||
RR Donnelley & Sons Co. | ||||||||||
7.00%, 02/15/22D | 495,000 | 533,362 | ||||||||
6.00%, 04/01/24D | 415,000 | 408,775 | ||||||||
Ryerson, Inc. | ||||||||||
9.00%, 10/15/17 | 440,000 | 453,200 | ||||||||
Sabine Pass Liquefaction LLC | ||||||||||
5.63%, 02/01/21 | 100,000 | 98,750 | ||||||||
Samson Investment Co. | ||||||||||
9.75%, 02/15/20D | 330,000 | 138,394 | ||||||||
Sanchez Energy Corporation | ||||||||||
7.75%, 06/15/21D | 330,000 | 308,550 | ||||||||
6.13%, 01/15/23 144AD | 330,000 | 278,025 | ||||||||
SandRidge Energy, Inc. | ||||||||||
7.50%, 02/15/23 | 250,000 | 161,250 | ||||||||
Service Corporation International | ||||||||||
7.50%, 04/01/27 | 75,000 | 84,750 | ||||||||
ServiceMaster Co. | ||||||||||
7.00%, 08/15/20 | 460,000 | 478,400 | ||||||||
7.45%, 08/15/27 | 900,000 | 864,000 | ||||||||
Shea Homes LP | ||||||||||
8.63%, 05/15/19D | 610,000 | 643,550 | ||||||||
Sidewinder Drilling, Inc. | ||||||||||
9.75%, 11/15/19 144A | 820,000 | 465,350 | ||||||||
SLM Corporation | ||||||||||
5.00%, 06/15/18 | 700,000 | 696,500 | ||||||||
8.45%, 06/15/18 | 472,000 | 527,460 | ||||||||
5.50%, 01/15/19 | 75,000 | 76,875 | ||||||||
4.88%, 06/17/19 | 220,000 | 221,188 | ||||||||
8.00%, 03/25/20 | 230,000 | 255,300 | ||||||||
5.50%, 01/25/23D | 1,720,000 | 1,651,200 | ||||||||
6.13%, 03/25/24 | 1,480,000 | 1,457,800 | ||||||||
Southern Copper Corporation | ||||||||||
5.25%, 11/08/42D | 550,000 | 494,090 | ||||||||
Spencer Spirit Holdings, Inc. Cash coupon 9.00% or PIK | ||||||||||
9.75%, 05/01/18 144A | 206,000 | 208,575 | ||||||||
Springleaf Finance Corporation | ||||||||||
5.75%, 09/15/16 | 700,000 | 724,500 | ||||||||
6.50%, 09/15/17 | 400,000 | 421,000 | ||||||||
7.75%, 10/01/21 | 145,000 | 163,125 | ||||||||
8.25%, 10/01/23 | 55,000 | 61,600 | ||||||||
Sprint Capital Corporation | ||||||||||
6.88%, 11/15/28 | 2,915,000 | 2,579,775 | ||||||||
8.75%, 03/15/32 | 945,000 | 919,012 | ||||||||
Sprint Corporation | ||||||||||
7.88%, 09/15/23 | 510,000 | 506,022 | ||||||||
Steel Dynamics, Inc. | ||||||||||
7.63%, 03/15/20D | 100,000 | 104,750 | ||||||||
6.38%, 08/15/22D | 400,000 | 426,000 |
Par | Value | |||||||||
SunCoke Energy Partners LP | ||||||||||
7.38%, 02/01/20 144A | $ | 40,000 | $ | 41,750 | ||||||
Targa Resources Partners LP | ||||||||||
4.25%, 11/15/23 | 110,000 | 100,650 | ||||||||
Taylor Morrison Communities, Inc. | ||||||||||
5.25%, 04/15/21 144AD | 410,000 | 405,900 | ||||||||
Teleflex, Inc. | ||||||||||
5.25%, 06/15/24 144A | 50,000 | 50,125 | ||||||||
Tenet Healthcare Corporation | ||||||||||
6.88%, 11/15/31 | 85,000 | 80,325 | ||||||||
Tesoro Logistics LP | ||||||||||
6.25%, 10/15/22 144A | 100,000 | 100,250 | ||||||||
Textron, Inc. | ||||||||||
6.63%, 04/07/20(U) | 130,000 | 238,428 | ||||||||
Time Warner Cable, Inc. | ||||||||||
8.75%, 02/14/19 | 190,000 | 235,401 | ||||||||
8.25%, 04/01/19 | 40,000 | 49,011 | ||||||||
Time Warner, Inc. | ||||||||||
4.00%, 01/15/22D | 100,000 | 104,684 | ||||||||
TMX Finance LLC | ||||||||||
8.50%, 09/15/18 144A | 50,000 | 42,250 | ||||||||
Toys “R” Us, Inc. | ||||||||||
7.38%, 10/15/18D | 215,000 | 142,438 | ||||||||
TransDigm, Inc. | ||||||||||
7.50%, 07/15/21 | 970,000 | 1,037,900 | ||||||||
6.50%, 07/15/24 | 199,000 | 200,990 | ||||||||
Triumph Group, Inc. | ||||||||||
5.25%, 06/01/22 | 50,000 | 50,125 | ||||||||
United Air Lines 2007-1 Pass-Through Trust | ||||||||||
6.64%, 01/02/24D | 206,690 | 223,225 | ||||||||
United Air Lines 2009-1 Pass-Through Trust | ||||||||||
10.40%, 05/01/18D | 31,265 | 34,838 | ||||||||
United Air Lines 2014-1 Class A Pass Through Trust | ||||||||||
4.00%, 10/11/27D | 250,000 | 256,250 | ||||||||
United Air Lines 2014-2 Class B Pass Through Trust | ||||||||||
4.63%, 03/03/24 | 90,000 | 88,200 | ||||||||
United Rentals North America, Inc. | ||||||||||
8.38%, 09/15/20D | 270,000 | 290,925 | ||||||||
United States Steel Corporation | ||||||||||
6.65%, 06/01/37 | 545,000 | 500,038 | ||||||||
Universal Hospital Services, Inc. | ||||||||||
7.63%, 08/15/20 | 140,000 | 121,100 | ||||||||
Univision Communications, Inc. | ||||||||||
7.88%, 11/01/20 144A | 267,000 | 285,690 | ||||||||
US Airways 2012-1 Class A Pass Through Trust | ||||||||||
5.90%, 04/01/26 | 299,595 | 334,049 | ||||||||
US Airways 2012-1 Class B Pass Through Trust | ||||||||||
8.00%, 04/01/21 | 523,845 | 581,468 | ||||||||
US Airways 2012-1 Class C Pass Through Trust | ||||||||||
9.13%, 10/01/15 | 287,521 | 297,584 | ||||||||
US Airways 2012-2 Class A Pass Through Trust | ||||||||||
4.63%, 12/03/26 | 244,535 | 257,831 |
148 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
Valeant Pharmaceuticals International | ||||||||||
6.38%, 10/15/20 144A | $ | 10,000 | $ | 10,488 | ||||||
Verizon Communications, Inc. | ||||||||||
6.00%, 04/01/41 | 70,000 | 82,797 | ||||||||
6.55%, 09/15/43 | 342,000 | 438,795 | ||||||||
5.01%, 08/21/54 144A | 341,000 | 354,329 | ||||||||
Verizon Pennsylvania LLC | ||||||||||
6.00%, 12/01/28D | 35,000 | 39,234 | ||||||||
Watco Cos., LLC | ||||||||||
6.38%, 04/01/23 144A | 100,000 | 99,500 | ||||||||
WellPoint, Inc. | ||||||||||
6.38%, 06/15/37 | 221,000 | 287,784 | ||||||||
Wells Fargo & Co. | ||||||||||
4.48%, 01/16/24D | 124,000 | 132,456 | ||||||||
West Corporation | ||||||||||
5.38%, 07/15/22 144A | 490,000 | 469,175 | ||||||||
Westvaco Corporation | ||||||||||
8.20%, 01/15/30 | 145,000 | 192,315 | ||||||||
7.95%, 02/15/31 | 45,000 | 59,500 | ||||||||
WEX, Inc. | ||||||||||
4.75%, 02/01/23 144AD | 440,000 | 426,800 | ||||||||
Weyerhaeuser Co. | ||||||||||
8.50%, 01/15/25 | 405,000 | 536,145 | ||||||||
6.95%, 10/01/27 | 55,000 | 67,595 | ||||||||
7.38%, 03/15/32 | 370,000 | 493,927 | ||||||||
6.88%, 12/15/33 | 490,000 | 642,450 | ||||||||
Weyerhaeuser Real Estate Co. | ||||||||||
4.38%, 06/15/19 144A | 65,000 | 64,106 | ||||||||
William Lyon Homes, Inc. | ||||||||||
7.00%, 08/15/22 144A | 90,000 | 91,350 | ||||||||
Williams Cos., Inc. | ||||||||||
7.50%, 01/15/31 | 60,000 | 63,814 | ||||||||
Windstream Corporation | ||||||||||
7.75%, 10/01/21D | 220,000 | 225,500 | ||||||||
XPO Logistics, Inc. | ||||||||||
7.88%, 09/01/19 144AD | 90,000 | 94,500 | ||||||||
Zayo Group LLC | ||||||||||
8.13%, 01/01/20D | 278,000 | 295,723 | ||||||||
|
| |||||||||
Total Corporate Bonds |
| 142,582,342 | ||||||||
|
| |||||||||
FOREIGN BONDS — 39.6% |
| |||||||||
Argentina — 0.1% |
| |||||||||
Pan American Energy LLC | ||||||||||
7.88%, 05/07/21D | 156,000 | 159,900 | ||||||||
7.88%, 05/07/21 144A | 61,000 | 62,525 | ||||||||
|
| |||||||||
222,425 | ||||||||||
|
| |||||||||
Australia — 0.7% |
| |||||||||
Barminco Finance Proprietary, Ltd. | ||||||||||
9.00%, 06/01/18 144A | 60,000 | 54,900 | ||||||||
FMG Resources August 2006 Proprietary, Ltd. | ||||||||||
6.88%, 04/01/22 144AD | 380,000 | 317,775 | ||||||||
New South Wales Treasury Corporation | ||||||||||
6.00%, 02/01/18(A) | 2,620,000 | 2,370,680 | ||||||||
Queensland Treasury Corporation | ||||||||||
7.13%, 09/18/17 | 275,000 | 231,448 | ||||||||
|
| |||||||||
2,974,803 | ||||||||||
|
|
Par | Value | |||||||||
Bermuda — 0.5% |
| |||||||||
Digicel Group, Ltd. | ||||||||||
8.25%, 09/30/20D | $ | 550,000 | $ | 536,250 | ||||||
Ooredoo International Finance, Ltd. | ||||||||||
4.75%, 02/16/21 144A | 200,000 | 215,750 | ||||||||
Sirius International Group, Ltd. | ||||||||||
6.38%, 03/20/17 144A | 1,250,000 | 1,373,545 | ||||||||
|
| |||||||||
2,125,545 | ||||||||||
|
| |||||||||
Brazil — 1.8% |
| |||||||||
Brazil Notas do Tesouro Nacional Serie F | ||||||||||
10.00%, 01/01/17(B) | 7,053,000 | 2,533,951 | ||||||||
BRF SA | ||||||||||
4.75%, 05/22/24 144AD | 422,000 | 410,922 | ||||||||
Centrais Eletricas Brasileiras SA | ||||||||||
5.75%, 10/27/21D | 200,000 | 193,000 | ||||||||
Federal Republic of Brazil | ||||||||||
10.25%, 01/10/28(B) | 5,250,000 | 1,992,796 | ||||||||
Oi SA | ||||||||||
5.75%, 02/10/22 144AD | 933,000 | 863,025 | ||||||||
Samarco Mineracao SA | ||||||||||
4.13%, 11/01/22 144A | 775,000 | 683,938 | ||||||||
Telemar Norte Leste SA | ||||||||||
5.50%, 10/23/20D | 200,000 | 187,000 | ||||||||
Vale SA | ||||||||||
5.63%, 09/11/42D | 395,000 | 369,882 | ||||||||
|
| |||||||||
7,234,514 | ||||||||||
|
| |||||||||
Canada — 5.4% |
| |||||||||
Air Canada | ||||||||||
7.63%, 10/01/19 144A(C) | 1,520,000 | 1,391,720 | ||||||||
Atlantic Power Corporation | ||||||||||
9.00%, 11/15/18 | 50,000 | 49,750 | ||||||||
Bombardier, Inc. | ||||||||||
6.00%, 10/15/22 144A | 1,645,000 | 1,663,506 | ||||||||
Canadian Government Bond | ||||||||||
2.50%, 06/01/15(C) | 4,720,000 | 4,087,809 | ||||||||
1.50%, 08/01/15(C) | 750,000 | 647,409 | ||||||||
1.25%, 02/01/16(C) | 3,545,000 | 3,059,355 | ||||||||
Kodiak Oil & Gas Corporation | ||||||||||
8.13%, 12/01/19 | 90,000 | 92,025 | ||||||||
5.50%, 02/01/22 | 410,000 | 413,075 | ||||||||
Methanex Corporation | ||||||||||
5.25%, 03/01/22 | 75,000 | 80,687 | ||||||||
New Red Finance, Inc. | ||||||||||
6.00%, 04/01/22 144AD | 290,000 | 298,700 | ||||||||
Novelis, Inc. | ||||||||||
8.75%, 12/15/20D | 30,000 | 31,950 | ||||||||
Ontario Generic Residual STRIP | ||||||||||
2.45%, 07/13/22(C)W† | 2,600,000 | 1,855,874 | ||||||||
3.28%, 03/08/29(C)W† | 2,400,000 | 1,321,301 | ||||||||
Pacific Rubiales Energy Corporation | ||||||||||
5.38%, 01/26/19 144AD | 540,000 | 466,560 | ||||||||
Province of Manitoba | ||||||||||
6.38%, 09/01/15(Z) | 815,000 | 645,058 | ||||||||
Province of Ontario | ||||||||||
2.10%, 09/08/18(C) | 3,500,000 | 3,072,336 | ||||||||
Province of Quebec | ||||||||||
6.75%, 11/09/15(Z) | 2,650,000 | 2,115,350 |
See Notes to Financial Statements. | 149 |
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
Stone Container Finance Company of Canada II Escrow | ||||||||||
0.00%, 07/15/14+W† | $ | 330,000 | $ | 6,600 | ||||||
Teine Energy, Ltd. | ||||||||||
6.88%, 09/30/22 144A | 60,000 | 46,800 | ||||||||
Thompson Creek Metals Co., Inc. | ||||||||||
12.50%, 05/01/19D | 120,000 | 119,700 | ||||||||
Ultra Petroleum Corporation | ||||||||||
5.75%, 12/15/18 144AD | 340,000 | 315,350 | ||||||||
|
| |||||||||
21,780,915 | ||||||||||
|
| |||||||||
Cayman Islands — 1.3% |
| |||||||||
Braskem Finance, Ltd. | ||||||||||
5.75%, 04/15/21 | 900,000 | 911,250 | ||||||||
Odebrecht Finance, Ltd. | ||||||||||
4.38%, 04/25/25 144A | 1,070,000 | 920,200 | ||||||||
Odebrecht Offshore Drilling Finance, Ltd. | ||||||||||
6.75%, 10/01/22 144AD | 471,250 | 432,372 | ||||||||
Petrobras International Finance Co. SA | ||||||||||
6.88%, 01/20/40 | 390,000 | 362,922 | ||||||||
6.75%, 01/27/41D | 270,000 | 246,934 | ||||||||
Transocean, Inc. | ||||||||||
6.38%, 12/15/21D | 95,000 | 87,752 | ||||||||
3.80%, 10/15/22D | 180,000 | 146,094 | ||||||||
Vale Overseas, Ltd. | ||||||||||
6.88%, 11/21/36 | 592,000 | 627,040 | ||||||||
XLIT, Ltd. | ||||||||||
6.38%, 11/15/24D | 585,000 | 697,300 | ||||||||
6.25%, 05/15/27 | 640,000 | 774,492 | ||||||||
|
| |||||||||
5,206,356 | ||||||||||
|
| |||||||||
Chile — 0.3% |
| |||||||||
AES Gener SA | ||||||||||
5.25%, 08/15/21 144AD | 420,000 | 445,589 | ||||||||
Corporation Nacional del Cobre de Chile | ||||||||||
3.88%, 11/03/21 144A | 420,000 | 432,634 | ||||||||
ENTEL Chile SA | ||||||||||
4.88%, 10/30/24 144A | 220,000 | 224,098 | ||||||||
|
| |||||||||
1,102,321 | ||||||||||
|
| |||||||||
Colombia — 0.8% |
| |||||||||
Colombia Government International Bond | ||||||||||
5.63%, 02/26/44 | 1,457,000 | 1,639,125 | ||||||||
Colombian TES | ||||||||||
10.00%, 07/24/24(X) | 23,100,000 | 11,612 | ||||||||
Ecopetrol SA | ||||||||||
5.88%, 09/18/23D | 220,000 | 233,475 | ||||||||
4.13%, 01/16/25 | 750,000 | 714,375 | ||||||||
Empresa de Energia de Bogota SA ESP | ||||||||||
6.13%, 11/10/21 144A | 250,000 | 266,300 | ||||||||
Transportadora de Gas Internacional SA ESP | ||||||||||
5.70%, 03/20/22 | 260,000 | 274,274 | ||||||||
|
| |||||||||
3,139,161 | ||||||||||
|
| |||||||||
Croatia (Hrvatska) — 0.1% |
| |||||||||
Croatia Government International Bond | ||||||||||
5.50%, 04/04/23 144A | 500,000 | 520,500 | ||||||||
|
|
Par | Value | |||||||||
France — 0.9% |
| |||||||||
AXA SA | ||||||||||
6.21%, 10/29/49(E)† | $ | 210,000 | $ | 279,625 | ||||||
Electricite de France SA | ||||||||||
5.25%, 01/29/49 144A†D | 380,000 | 390,450 | ||||||||
5.63%, 12/29/49 144A† | 1,360,000 | 1,433,440 | ||||||||
Europcar Groupe SA | ||||||||||
11.50%, 05/15/17(E) | 123,000 | 167,441 | ||||||||
Numericable-SFR | ||||||||||
4.88%, 05/15/19 144A | 870,000 | 865,650 | ||||||||
5.63%, 05/15/24 144A(E) | 160,000 | 201,111 | ||||||||
Rexel SA | ||||||||||
5.25%, 06/15/20 144AD | 210,000 | 212,625 | ||||||||
|
| |||||||||
3,550,342 | ||||||||||
|
| |||||||||
Germany — 4.8% |
| |||||||||
Bundesrepublik Deutschland | ||||||||||
4.00%, 07/04/16(E) | 2,000 | 2,566 | ||||||||
3.75%, 01/04/19(E) | 4,570,000 | 6,372,308 | ||||||||
3.25%, 01/04/20(E) | 4,240,000 | 5,961,940 | ||||||||
3.25%, 07/04/21(E) | 1,300,000 | 1,890,241 | ||||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||||
0.10%, 04/15/23(E) | 2,813,000 | 3,686,676 | ||||||||
KP Germany Erste GmbH | ||||||||||
11.63%, 07/15/17(E) | 180,000 | 234,376 | ||||||||
KraussMaffei Group GmbH | ||||||||||
8.75%, 12/15/20(E) | 234,000 | 307,871 | ||||||||
Rearden G Holdings EINS GmbH | ||||||||||
7.88%, 03/30/20 144A | 400,000 | 396,000 | ||||||||
Unitymedia KabelBW GmbH | ||||||||||
9.50%, 03/15/21(E) | 180,000 | 244,219 | ||||||||
|
| |||||||||
19,096,197 | ||||||||||
|
| |||||||||
Hungary — 0.7% |
| |||||||||
Hungary Government International Bond | ||||||||||
5.75%, 11/22/23 | 2,654,000 | 2,952,575 | ||||||||
|
| |||||||||
Iceland — 0.0% |
| |||||||||
Kaupthing Bank HF | ||||||||||
7.13%, 05/19/16+ 144A# | 150,000 | 2 | ||||||||
|
| |||||||||
Indonesia — 0.7% |
| |||||||||
Indonesia Government International Bond | ||||||||||
5.88%, 01/15/24 144A | 400,000 | 453,000 | ||||||||
6.63%, 02/17/37 | 225,000 | 264,937 | ||||||||
5.25%, 01/17/42 144AD | 770,000 | 784,438 | ||||||||
Pertamina Persero PT | ||||||||||
5.25%, 05/23/21 144A | 400,000 | 414,000 | ||||||||
4.88%, 05/03/22 | 900,000 | 902,250 | ||||||||
|
| |||||||||
2,818,625 | ||||||||||
|
| |||||||||
Ireland — 0.4% |
| |||||||||
Ardagh Packaging Finance PLC | ||||||||||
9.13%, 10/15/20 144A | 200,000 | 213,000 | ||||||||
7.00%, 11/15/20 144A | 35,294 | 35,823 | ||||||||
EDC Finance, Ltd. | ||||||||||
4.88%, 04/17/20 144A | 500,000 | 328,750 | ||||||||
eircom Finance, Ltd. | ||||||||||
9.25%, 05/15/20 144A(E) | 200,000 | 261,977 | ||||||||
Ono Finance II PLC | ||||||||||
11.13%, 07/15/19(E) | 110,000 | 141,768 |
150 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
Rosneft Oil Co via Rosneft International Finance, Ltd. | ||||||||||
4.20%, 03/06/22 | $ | 870,000 | $ | 631,324 | ||||||
|
| |||||||||
1,612,642 | ||||||||||
|
| |||||||||
Italy — 2.9% |
| |||||||||
Astaldi SpA | ||||||||||
7.13%, 12/01/20(E) | 100,000 | 124,200 | ||||||||
7.13%, 12/01/20 144A(E) | 210,000 | 260,820 | ||||||||
Enel SpA | ||||||||||
7.75%, 09/10/75(U)† | 440,000 | 758,747 | ||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||
4.50%, 03/01/24(E) | 6,251,000 | 9,311,941 | ||||||||
Telecom Italia Capital SA | ||||||||||
6.38%, 11/15/33 | 995,000 | 1,024,850 | ||||||||
6.00%, 09/30/34 | 250,000 | 251,250 | ||||||||
|
| |||||||||
11,731,808 | ||||||||||
|
| |||||||||
Jersey — 0.0% |
| |||||||||
AA Bond Co., Ltd. | ||||||||||
9.50%, 07/31/43 144A(U) | 100,000 | 172,148 | ||||||||
|
| |||||||||
Luxembourg — 2.5% |
| |||||||||
Altice Finco SA | ||||||||||
9.00%, 06/15/23 144A(E) | 100,000 | 133,318 | ||||||||
ArcelorMittal | ||||||||||
6.13%, 06/01/18D | 740,000 | 790,875 | ||||||||
6.00%, 03/01/21D | 30,000 | 31,313 | ||||||||
7.50%, 10/15/39 | 510,000 | 530,400 | ||||||||
7.25%, 03/01/41D | 690,000 | 700,350 | ||||||||
Ardagh Finance Holdings SA Cash coupon | ||||||||||
8.63%, 06/15/19 PIK 144AD | 250,522 | 248,017 | ||||||||
ConvaTec Healthcare E SA | ||||||||||
10.88%, 12/15/18(E) | 100,000 | 128,266 | ||||||||
CSN Resources SA | ||||||||||
6.50%, 07/21/20D | 400,000 | 370,000 | ||||||||
6.50%, 07/21/20 144AD | 150,000 | 138,750 | ||||||||
DH Services Luxembourg S.a.r.l. | ||||||||||
7.75%, 12/15/20 144A | 90,000 | 94,725 | ||||||||
Evraz Group SA | ||||||||||
9.50%, 04/24/18 | 270,000 | 245,025 | ||||||||
6.75%, 04/27/18 144A | 440,000 | 369,050 | ||||||||
6.50%, 04/22/20 144A | 480,000 | 367,574 | ||||||||
gategroup Finance Luxembourg SA | ||||||||||
6.75%, 03/01/19(E) | 370,000 | 472,344 | ||||||||
Hannover Finance Luxembourg SA | ||||||||||
5.75%, 09/14/40(E)† | 50,000 | 71,439 | ||||||||
INEOS Group Holdings SA | ||||||||||
6.13%, 08/15/18 144AD | 600,000 | 579,000 | ||||||||
Intelsat Jackson Holdings SA | ||||||||||
7.25%, 10/15/20 | 170,000 | 179,988 | ||||||||
7.50%, 04/01/21 | 30,000 | 32,212 | ||||||||
5.50%, 08/01/23D | 2,490,000 | 2,484,148 | ||||||||
Klabin Finance SA | ||||||||||
5.25%, 07/16/24 144A | 310,000 | 299,925 | ||||||||
Pacific Drilling SA | ||||||||||
5.38%, 06/01/20 144A | 100,000 | 82,500 | ||||||||
Play Finance 1 SA | ||||||||||
6.50%, 08/01/19 144A(E) | 120,000 | 154,645 |
Par | Value | |||||||||
Puma International Financing SA | ||||||||||
6.75%, 02/01/21 144A | $ | 420,000 | $ | 409,080 | ||||||
Spie BondCo 3 SCA | ||||||||||
11.00%, 08/15/19(E) | 200,000 | 270,749 | ||||||||
TMK OAO Via TMK Capital SA | ||||||||||
6.75%, 04/03/20 | 200,000 | 115,000 | ||||||||
Vimpel Communications OJSC Via UBS Luxembourg SA | ||||||||||
8.25%, 05/23/16 | 275,000 | 266,750 | ||||||||
Wind Acquisition Finance SA | ||||||||||
7.00%, 04/23/21(E) | 430,000 | 511,363 | ||||||||
|
| |||||||||
10,076,806 | ||||||||||
|
| |||||||||
Marshall Islands — 0.0% |
| |||||||||
Navios Maritime Acquisition Corporation | ||||||||||
8.13%, 11/15/21 144A | 90,000 | 88,200 | ||||||||
|
| |||||||||
Mexico — 4.2% |
| |||||||||
Alpek SA de CV | ||||||||||
4.50%, 11/20/22 144AD | 200,000 | 202,000 | ||||||||
Axtel SAB de CV | ||||||||||
8.00%, 01/31/20 STEP 144A | 124,000 | 120,435 | ||||||||
8.00%, 01/31/20 STEP CONV 144A(M) | 141,300 | 12,450 | ||||||||
Cemex SAB de CV | ||||||||||
6.50%, 12/10/19 144A | 1,100,000 | 1,129,700 | ||||||||
Empresas ICA SAB de CV | ||||||||||
8.88%, 05/29/24 144A | 339,000 | 311,033 | ||||||||
Mexican Bonos | ||||||||||
8.00%, 06/11/20(M) | 5,137,700 | 393,684 | ||||||||
6.50%, 06/09/22(M) | 45,803,100 | 3,262,761 | ||||||||
8.00%, 12/07/23(M) | 41,500,000 | 3,238,349 | ||||||||
10.00%, 12/05/24(M) | 31,500,000 | 2,801,814 | ||||||||
7.50%, 06/03/27(M) | 7,500,000 | 568,555 | ||||||||
8.50%, 05/31/29(M) | 2,000,000 | 164,140 | ||||||||
7.75%, 05/29/31(M) | 3,000,000 | 231,397 | ||||||||
7.75%, 11/13/42(M) | 22,750,000 | 1,779,575 | ||||||||
Petroleos Mexicanos | ||||||||||
5.50%, 01/21/21 | 750,000 | 815,625 | ||||||||
6.63%, 06/15/35 | 516,000 | 598,560 | ||||||||
6.50%, 06/02/41 | 135,000 | 155,588 | ||||||||
5.50%, 06/27/44D | 600,000 | 615,000 | ||||||||
6.38%, 01/23/45 | 303,000 | 344,662 | ||||||||
|
| |||||||||
16,745,328 | ||||||||||
|
| |||||||||
Morocco & Antilles — 0.1% |
| |||||||||
OCP SA | ||||||||||
5.63%, 04/25/24 144A | 550,000 | 579,562 | ||||||||
|
| |||||||||
Netherlands — 2.0% |
| |||||||||
Bharti Airtel International Netherlands BV | ||||||||||
5.35%, 05/20/24 144A | 280,000 | 304,338 | ||||||||
CIMPOR Financial Operations BV | ||||||||||
5.75%, 07/17/24 144A | 360,000 | 316,764 | ||||||||
EDP Finance BV | ||||||||||
6.00%, 02/02/18 144A | 600,000 | 650,856 | ||||||||
4.90%, 10/01/19 144A | 1,600,000 | 1,669,312 | ||||||||
4.13%, 01/15/20 144AD | 540,000 | 543,901 | ||||||||
JLL/Delta Dutch Newco BV | ||||||||||
7.50%, 02/01/22 144A | 90,000 | 91,688 |
See Notes to Financial Statements. | 151 |
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
Lukoil International Finance BV | ||||||||||
6.36%, 06/07/17 | $ | 200,000 | $ | 190,118 | ||||||
6.66%, 06/07/22D | 570,000 | 504,450 | ||||||||
4.56%, 04/24/23 144A | 310,000 | 248,775 | ||||||||
LyondellBasell Industries NV | ||||||||||
5.75%, 04/15/24 | 260,000 | 297,905 | ||||||||
Petrobras Global Finance BV | ||||||||||
4.38%, 05/20/23D | 250,000 | 215,645 | ||||||||
6.25%, 03/17/24D | 1,870,000 | 1,784,055 | ||||||||
Polish Television Holding BV | ||||||||||
Cash coupon 11.00%, | ||||||||||
01/15/21 PIK 144A(E) | 100,000 | 143,633 | ||||||||
Schaeffler Holding Finance BV | ||||||||||
Cash coupon 6.88%, | ||||||||||
08/15/18 PIK 144A(E) | 100,000 | 126,148 | ||||||||
Cash coupon 6.88% or PIK | ||||||||||
7.63%, 08/15/18 144A | 200,000 | 209,500 | ||||||||
Swiss Reinsurance Co. Via ELM BV | ||||||||||
5.25%, 05/29/49(E)† | 400,000 | 506,978 | ||||||||
VimpelCom Holdings BV | ||||||||||
7.50%, 03/01/22 | 200,000 | 165,000 | ||||||||
|
| |||||||||
7,969,066 | ||||||||||
|
| |||||||||
New Zealand — 0.5% |
| |||||||||
New Zealand Government Bond | ||||||||||
5.00%, 03/15/19(Z) | 2,385,000 | 1,965,568 | ||||||||
|
| |||||||||
Norway — 0.5% |
| |||||||||
Norway Government Bond | ||||||||||
5.00%, 05/15/15(K) | 355,000 | 48,304 | ||||||||
4.25%, 05/19/17(K) | 12,330,000 | 1,786,968 | ||||||||
Petroleum Geo-Services ASA | ||||||||||
7.38%, 12/15/18 144A | 200,000 | 169,000 | ||||||||
|
| |||||||||
2,004,272 | ||||||||||
|
| |||||||||
Panama — 0.0% |
| |||||||||
Panama Government International Bond | ||||||||||
6.70%, 01/26/36D | 3,000 | 3,892 | ||||||||
|
| |||||||||
Peru — 0.1% |
| |||||||||
Transportadora de Gas del Peru SA | ||||||||||
4.25%, 04/30/28 144AD | 550,000 | 533,500 | ||||||||
|
| |||||||||
Philippines — 0.1% |
| |||||||||
Philippine Government International Bond | ||||||||||
4.00%, 01/15/21D | 200,000 | 217,500 | ||||||||
|
| |||||||||
Portugal — 0.4% |
| |||||||||
Portugal Government International Bond | ||||||||||
5.13%, 10/15/24 144A | 1,600,000 | 1,682,429 | ||||||||
|
| |||||||||
Russia — 0.5% |
| |||||||||
Russian Foreign Bond | ||||||||||
4.88%, 09/16/23 144A | 1,600,000 | 1,433,600 | ||||||||
7.50%, 03/31/30 STEP | 571,815 | 594,402 | ||||||||
|
| |||||||||
2,028,002 | ||||||||||
|
| |||||||||
South Africa — 0.1% |
| |||||||||
Edcon Proprietary, Ltd. | ||||||||||
9.50%, 03/01/18 144A(E) | 210,000 | 204,183 | ||||||||
|
|
Par | Value | |||||||||
Spain — 0.1% |
| |||||||||
Santander Issuances SA Unipersonal | ||||||||||
5.91%, 06/20/16 144A | $ | 100,000 | $ | 104,431 | ||||||
Telefonica Emisiones SA Unipersonal | ||||||||||
5.13%, 04/27/20 | 75,000 | 83,123 | ||||||||
|
| |||||||||
187,554 | ||||||||||
|
| |||||||||
Supranational — 0.7% |
| |||||||||
Inter-American Development Bank | ||||||||||
6.00%, 12/15/17(Z) | 3,250,000 | 2,682,351 | ||||||||
|
| |||||||||
Sweden — 0.1% |
| |||||||||
Corral Petroleum Holdings AB | ||||||||||
Cash coupon 15.00% or PIK | ||||||||||
11.00%, 12/31/17 | 64,486 | 69,448 | ||||||||
TVN Finance Corporation III AB | ||||||||||
7.38%, 12/15/20 144A(E) | 125,000 | 167,895 | ||||||||
|
| |||||||||
237,343 | ||||||||||
|
| |||||||||
Trinidad and Tobago — 0.1% |
| |||||||||
Petroleum Co. of Trinidad & Tobago, Ltd. | ||||||||||
9.75%, 08/14/19 144A | 340,000 | 402,900 | ||||||||
|
| |||||||||
Turkey — 1.2% |
| |||||||||
Turk Telekomunikasyon AS | ||||||||||
3.75%, 06/19/19 144A | 480,000 | 482,940 | ||||||||
4.88%, 06/19/24 144AD | 680,000 | 685,274 | ||||||||
Turkey Government Bond | ||||||||||
9.50%, 01/12/22(T) | 900,000 | 419,631 | ||||||||
7.10%, 03/08/23(T) | 510,000 | 208,736 | ||||||||
Turkey Government International Bond | ||||||||||
7.50%, 07/14/17 | 100,000 | 112,000 | ||||||||
7.00%, 03/11/19 | 100,000 | 114,375 | ||||||||
6.25%, 09/26/22 | 875,000 | 1,000,782 | ||||||||
5.75%, 03/22/24D | 1,120,000 | 1,257,200 | ||||||||
6.88%, 03/17/36 | 73,000 | 90,520 | ||||||||
4.88%, 04/16/43 | 500,000 | 500,540 | ||||||||
|
| |||||||||
4,871,998 | ||||||||||
|
| |||||||||
United Arab Emirates — 0.4% |
| |||||||||
DP World, Ltd. | ||||||||||
6.85%, 07/02/37 144A | 1,500,000 | 1,699,170 | ||||||||
|
| |||||||||
United Kingdom — 3.8% |
| |||||||||
Anglian Water Osprey Financing PLC | ||||||||||
7.00%, 01/31/18(U) | 310,000 | 517,868 | ||||||||
Annington Finance No. 4 PLC | ||||||||||
6.57%, 01/10/23(U) | 460,000 | 725,754 | ||||||||
Barclays Bank PLC | ||||||||||
6.00%, 01/23/18(E) | 450,000 | 624,066 | ||||||||
Boparan Finance PLC | ||||||||||
5.25%, 07/15/19(U) | 160,000 | 216,334 | ||||||||
5.25%, 07/15/19 144A(U) | 100,000 | 135,209 | ||||||||
BUPA Finance PLC | ||||||||||
5.00%, 04/25/23(U) | 590,000 | 961,999 | ||||||||
EC Finance PLC | ||||||||||
5.13%, 07/15/21 144A(E) | 400,000 | 502,172 | ||||||||
HBOS PLC | ||||||||||
6.75%, 05/21/18 144A | 500,000 | 558,498 | ||||||||
6.00%, 11/01/33 144A | 1,385,000 | 1,573,564 |
152 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
HSBC Holdings PLC | ||||||||||
6.00%, 06/10/19(E) | $ | 270,000 | $ | 392,031 | ||||||
KCA Deutag UK Finance PLC | ||||||||||
7.25%, 05/15/21 144A | 540,000 | 387,450 | ||||||||
Lloyds Bank PLC | ||||||||||
6.50%, 03/24/20(E) | 326,000 | 486,821 | ||||||||
Paragon Offshore PLC | ||||||||||
6.75%, 07/15/22 144AD | 177,000 | 109,298 | ||||||||
7.25%, 08/15/24 144AD | 410,000 | 249,075 | ||||||||
Priory Group No. 3 PLC | ||||||||||
8.88%, 02/15/19(U) | 100,000 | 161,315 | ||||||||
R&R Ice Cream PLC | ||||||||||
8.25%, 05/15/20 | 260,000 | 210,402 | ||||||||
Royal Bank of Scotland PLC | ||||||||||
6.13%, 01/11/21D | 350,000 | 412,963 | ||||||||
13.13%, 03/19/22(A)†D | 160,000 | 153,198 | ||||||||
Royal Bank of Scotland Group PLC | ||||||||||
6.10%, 06/10/23 | 1,880,000 | 2,042,423 | ||||||||
6.00%, 12/19/23 | 275,000 | 298,179 | ||||||||
Scottish Widows PLC | ||||||||||
5.50%, 06/16/23(U) | 590,000 | 991,145 | ||||||||
Southern Gas Networks PLC | ||||||||||
4.88%, 12/21/20(U) | 270,000 | 477,874 | ||||||||
Standard Chartered PLC | ||||||||||
5.13%, 06/06/34(U)D | 321,000 | 481,702 | ||||||||
Tesco Property Finance 3 PLC | ||||||||||
5.74%, 04/13/40(U) | 277,374 | 428,515 | ||||||||
Tesco Property Finance 6 PLC | ||||||||||
5.41%, 07/13/44(U) | 599,896 | 895,075 | ||||||||
Vedanta Resources PLC | ||||||||||
7.13%, 05/31/23 | 200,000 | 185,010 | ||||||||
7.13%, 05/31/23 144A | 400,000 | 370,020 | ||||||||
Virgin Media Finance PLC | ||||||||||
6.38%, 10/15/24 | 360,000 | 605,985 | ||||||||
Virgin Media Secured Finance PLC | ||||||||||
5.50%, 01/15/21(U) | 100,000 | 167,355 | ||||||||
|
| |||||||||
15,321,300 | ||||||||||
|
| |||||||||
Venezuela — 0.5% |
| |||||||||
Petroleos de Venezuela SA | ||||||||||
8.50%, 11/02/17 | 500,000 | 287,250 | ||||||||
6.00%, 05/16/24 | 680,000 | 258,400 | ||||||||
Venezuela Government International Bond | ||||||||||
5.75%, 02/26/16 | 253,000 | 158,504 | ||||||||
7.75%, 10/13/19 | 970,000 | 435,530 | ||||||||
8.25%, 10/13/24 | 390,000 | 171,600 | ||||||||
9.25%, 09/15/27D | 1,154,000 | 538,341 | ||||||||
9.38%, 01/13/34 | 207,000 | 90,873 | ||||||||
|
| |||||||||
1,940,498 | ||||||||||
|
| |||||||||
Virgin Islands (British) — 0.3% |
| |||||||||
GTL Trade Finance, Inc. | ||||||||||
5.89%, 04/29/24 | 941,000 | 910,418 | ||||||||
Pacific Drilling V, Ltd. | ||||||||||
7.25%, 12/01/17 144A | 270,000 | 245,700 | ||||||||
|
| |||||||||
1,156,118 | ||||||||||
|
| |||||||||
Total Foreign Bonds | 158,838,419 | |||||||||
|
|
Par | Value | |||||||||
FOREIGN GOVERNMENT INFLATION-LINKED BOND — 0.8% |
| |||||||||
Brazil — 0.8% | ||||||||||
Brazil Notas do Tesouro Nacional Serie B 6.00%, 08/15/50+(B) | $ | 3,613,000 | $ | 3,302,910 | ||||||
|
| |||||||||
LOAN AGREEMENTS — 1.1% |
| |||||||||
American Builders & Contractors Supply Co., Inc. Term B Loan | ||||||||||
3.50%, 04/16/20 | 750,000 | 725,393 | ||||||||
Energy Future Intermediate Holding Co. LLC DIP Term | ||||||||||
4.25%, 06/19/16 | 847,944 | 847,418 | ||||||||
Hilton Worldwide Finance LLC Term B Loan | ||||||||||
3.50%, 10/25/20 | 735,294 | 725,794 | ||||||||
Party City Holdings, Inc. | ||||||||||
5.25%, 07/27/19 | 748,111 | 730,156 | ||||||||
Univision Communications, Inc. Term C4 Loan | ||||||||||
4.00%. 03/01/20 | 748,040 | 730,461 | ||||||||
Virgin Media Investment Holdings, Ltd. Term B | ||||||||||
3.50%, 06/07/20 | 750,000 | 735,458 | ||||||||
|
| |||||||||
Total Loan Agreements | 4,494,680 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITY — 0.1% |
| |||||||||
Credit Suisse Commercial Mortgage Trust | 220,000 | 237,303 | ||||||||
|
| |||||||||
MUNICIPAL BOND — 0.1% |
| |||||||||
State of Illinois, General Obligation 5.10%, 06/01/33 | 435,000 | 432,255 | ||||||||
|
| |||||||||
Notional Amount | ||||||||||
PURCHASED OPTION — 0.0% |
| |||||||||
Put Options — 0.0% | ||||||||||
U.S. Dollar vs. Japanese Yen, Strike Price $0.87, Expires 01/16/15 (HKSB) | $ | 3,890,000 | — | |||||||
|
|
See Notes to Financial Statements. | 153 |
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
U.S. TREASURY OBLIGATIONS — 10.1% |
| |||||||||
U.S. Treasury Bonds | ||||||||||
3.50%, 02/15/39 | $ | 860,000 | $ | 987,992 | ||||||
4.25%, 05/15/39D | 40,000 | 51,422 | ||||||||
3.88%, 08/15/40D | 30,000 | 36,628 | ||||||||
2.75%, 08/15/42 | 120,000 | 119,981 | ||||||||
3.13%, 02/15/43 | 11,759,000 | 12,627,144 | ||||||||
2.88%, 05/15/43 | 120,000 | 122,756 | ||||||||
|
| |||||||||
13,945,923 | ||||||||||
|
| |||||||||
U.S. Treasury Notes | ||||||||||
1.25%, 08/31/15 | 90,000 | 90,647 | ||||||||
0.25%, 09/30/15 | 3,505,000 | 3,506,370 | ||||||||
0.38%, 11/15/15 | 2,855,000 | 2,857,901 | ||||||||
0.25%, 12/15/15D | 620,000 | 620,097 | ||||||||
0.25%, 02/29/16 | 5,435,000 | 5,428,630 | ||||||||
0.88%, 04/15/17D | 30,000 | 30,042 | ||||||||
0.75%, 10/31/17D | 20,000 | 19,842 | ||||||||
0.63%, 04/30/18 | 530,000 | 519,276 | ||||||||
1.38%, 07/31/18 | 3,130,000 | 3,133,424 | ||||||||
1.38%, 09/30/18 | 250,000 | 249,785 | ||||||||
1.63%, 06/30/19D | 10,000 | 10,026 | ||||||||
1.25%, 10/31/19D | 110,000 | 108,213 | ||||||||
3.63%, 02/15/21D | 5,810,000 | 6,400,534 | ||||||||
2.00%, 02/15/22D | 120,000 | 120,309 | ||||||||
1.63%, 08/15/22 | 3,380,000 | 3,287,841 | ||||||||
2.75%, 02/15/24 | 150,000 | 157,852 | ||||||||
|
| |||||||||
26,540,789 | ||||||||||
|
| |||||||||
Total U.S. Treasury Obligations |
| 40,486,712 | ||||||||
|
| |||||||||
Shares | ||||||||||
COMMON STOCKS — 1.3% |
| |||||||||
Consumer Discretionary — 0.4% |
| |||||||||
Ford Motor Co. | 96,849 | 1,501,159 | ||||||||
|
| |||||||||
Healthcare — 0.2% |
| |||||||||
Bristol-Myers Squibb Co. | 15,400 | 909,062 | ||||||||
|
| |||||||||
Materials & Processing — 0.3% |
| |||||||||
PPG Industries, Inc. | 5,751 | 1,329,344 | ||||||||
|
| |||||||||
Technology — 0.4% |
| |||||||||
Corning, Inc. | 70,534 | 1,617,345 | ||||||||
|
| |||||||||
Total Common Stocks | 5,356,910 | |||||||||
|
| |||||||||
FOREIGN COMMON STOCKS — 0.3% |
| |||||||||
Norway — 0.1% |
| |||||||||
Deep Ocean Group Holding+@* | 8,860 | 216,969 | ||||||||
|
| |||||||||
Spain — 0.1% |
| |||||||||
Repsol SA ADRD | 15,820 | 293,935 | ||||||||
Telefonica SA ADRD | 22,180 | 315,178 | ||||||||
|
| |||||||||
609,113 | ||||||||||
|
| |||||||||
United Kingdom — 0.1% |
| |||||||||
Royal Dutch Shell PLC ADRD | 6,443 | 431,359 | ||||||||
|
| |||||||||
Total Foreign Common Stocks |
| 1,257,441 | ||||||||
|
|
Shares | Value | |||||||||
PREFERRED STOCKS — 0.6% |
| |||||||||
Alcoa, Inc., | ||||||||||
5.38%, 10/01/17 CONVD | 1,560 | $ | 78,702 | |||||||
Ally Financial, Inc., | ||||||||||
7.00%, 12/31/49 144A | 400 | 399,838 | ||||||||
Bank of America Corporation, | ||||||||||
5.88%, 12/15/33 CONV | 602 | 700,108 | ||||||||
Chesapeake Energy Corporation, | ||||||||||
5.00%, 12/31/49 CONV | 3,950 | 389,114 | ||||||||
Chesapeake Energy Corporation, | ||||||||||
5.75%, 12/31/49 CONV 144AD | 50 | 51,188 | ||||||||
Chesapeake Energy Corporation | ||||||||||
4.50%, 12/31/49 CONVD | 1,229 | 112,453 | ||||||||
El Paso Energy Capital Trust I, | ||||||||||
4.75%, 03/31/28 CONV | 500 | 30,320 | ||||||||
iStar Financial, Inc. | ||||||||||
4.50%, 12/31/49 CONV | 188 | 11,115 | ||||||||
Stanley Black & Decker, Inc. | ||||||||||
6.25%, 11/17/16 CONVD | 2,900 | 341,446 | ||||||||
Weyerhaeuser Co., | ||||||||||
6.38%, 07/01/16 CONVD | 7,615 | 439,385 | ||||||||
|
| |||||||||
Total Preferred Stocks | 2,553,669 | |||||||||
|
| |||||||||
MONEY MARKET FUNDS — 21.2% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 36,517,024 | 36,517,024 | ||||||||
Northern Institutional Liquid Assets Portfolio§ | 48,325,335 | 48,325,335 | ||||||||
|
| |||||||||
Total Money Market Funds | 84,842,359 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 110.7% |
| |||||||||
Liabilities in Excess of Other |
| (43,063,571 | ) | |||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 401,321,429 | ||||||||
|
|
154 | See Notes to Financial Statements. |
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 5,356,910 | $ | 5,356,910 | $ | — | $ | — | ||||||||||||
Corporate Bonds | 142,582,342 | — | 138,597,027 | 3,985,315 | ||||||||||||||||
Foreign Bonds: | ||||||||||||||||||||
Argentina | 222,425 | — | 222,425 | — | ||||||||||||||||
Australia | 2,974,803 | — | 2,974,803 | — | ||||||||||||||||
Bermuda | 2,125,545 | — | 2,125,545 | — | ||||||||||||||||
Brazil | 7,234,514 | — | 7,234,514 | — | ||||||||||||||||
Canada | 21,780,915 | — | 21,774,315 | 6,600 | ||||||||||||||||
Cayman Islands | 5,206,356 | — | 5,206,356 | — | ||||||||||||||||
Chile | 1,102,321 | — | 1,102,321 | — | ||||||||||||||||
Colombia | 3,139,161 | — | 3,139,161 | — | ||||||||||||||||
Croatia (Hrvatska) | 520,500 | — | 520,500 | — | ||||||||||||||||
France | 3,550,342 | — | 3,550,342 | — | ||||||||||||||||
Germany | 19,096,197 | — | 19,096,197 | — | ||||||||||||||||
Hungary | 2,952,575 | — | 2,952,575 | — | ||||||||||||||||
Iceland | 2 | — | — | 2 | ||||||||||||||||
Indonesia | 2,818,625 | — | 2,818,625 | — | ||||||||||||||||
Ireland | 1,612,642 | — | 1,612,642 | — | ||||||||||||||||
Italy | 11,731,808 | — | 11,731,808 | — | ||||||||||||||||
Jersey | 172,148 | — | 172,148 | — | ||||||||||||||||
Luxembourg | 10,076,806 | — | 10,076,806 | — | ||||||||||||||||
Marshall Islands | 88,200 | — | 88,200 | — | ||||||||||||||||
Mexico | 16,745,328 | — | 16,745,328 | — | ||||||||||||||||
Morocco & Antilles | 579,562 | — | 579,562 | — | ||||||||||||||||
Netherlands | 7,969,066 | — | 7,969,066 | — | ||||||||||||||||
New Zealand | 1,965,568 | — | 1,965,568 | — | ||||||||||||||||
Norway | 2,004,272 | — | 2,004,272 | — | ||||||||||||||||
Panama | 3,892 | — | 3,892 | — | ||||||||||||||||
Peru | 533,500 | — | 533,500 | — | ||||||||||||||||
Philippines | 217,500 | — | 217,500 | — | ||||||||||||||||
Portugal | 1,682,429 | — | 1,682,429 | — | ||||||||||||||||
Russia | 2,028,002 | — | 2,028,002 | — | ||||||||||||||||
South Africa | 204,183 | — | 204,183 | — | ||||||||||||||||
Spain | 187,554 | — | 187,554 | — | ||||||||||||||||
Supranational | 2,682,351 | — | 2,682,351 | — | ||||||||||||||||
Sweden | 237,343 | — | 237,343 | — | ||||||||||||||||
Trinidad and Tobago | 402,900 | — | 402,900 | — | ||||||||||||||||
Turkey | 4,871,998 | — | 4,871,998 | — | ||||||||||||||||
United Arab Emirates | 1,699,170 | — | 1,699,170 | — | ||||||||||||||||
United Kingdom | 15,321,300 | — | 15,321,300 | — | ||||||||||||||||
Venezuela | 1,940,498 | — | 1,940,498 | — | ||||||||||||||||
Virgin Islands (British) | 1,156,118 | — | 1,156,118 | — | ||||||||||||||||
Foreign Common Stocks | 1,257,441 | 1,040,472 | — | 216,969 | ||||||||||||||||
Foreign Government Inflation-Linked Note | 3,302,910 | — | — | 3,302,910 | ||||||||||||||||
Loan Agreements | 4,494,680 | — | 4,494,680 | — | ||||||||||||||||
Money Market Funds | 84,842,359 | 84,842,359 | — | — | ||||||||||||||||
Mortgage-Backed Security | 237,303 | — | 237,303 | — | ||||||||||||||||
Municipal Bond | 432,255 | — | 432,255 | — | ||||||||||||||||
Preferred Stocks | 2,553,669 | 2,553,669 | — | — | ||||||||||||||||
Purchased Option | — | — | — | — | ||||||||||||||||
U.S. Treasury Obligations | 40,486,712 | — | 40,486,712 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 444,385,000 | $ | 93,793,410 | $ | 343,079,794 | $ | 7,511,796 | ||||||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 155 |
Table of Contents
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 855,128 | $ | — | $ | 855,128 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 855,128 | $ | — | $ | 855,128 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | (358,076 | ) | $ | (358,076 | ) | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | (358,076 | ) | $ | (358,076 | ) | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
***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 year ended December 31, 2014.
The unobservable inputs used in the fair value measurement of the reporting entity’s corporate bonds, foreign bonds, foreign common stock and foreign government inflation-linked note 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.
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Total Value | Common Stocks | Corporate Bonds | Foreign Bonds | Foreign Common Stocks | Foreign Government Inflation- Linked Note | Preferred Stocks | ||||||||||||||||||||||
Balance, 12/31/13 | $ | 5,009,071 | $ | 2,462 | $ | 4,325,984 | $ | 6,602 | $ | 291,986 | $ | — | $ | 382,037 | ||||||||||||||
Accrued discounts/premiums | 6,829 | — | 6,288 | — | — | 541 | — | |||||||||||||||||||||
Realized gain (loss)(1) | (5,430 | ) | 624 | (6,054 | ) | — | — | — | — | |||||||||||||||||||
Change in unrealized appreciation (depreciation)(2) | (540,264 | ) | (358 | ) | (49,146 | ) | — | (75,017 | ) | (461,543 | ) | 45,800 | ||||||||||||||||
Purchases | 4,075,912 | — | 340,000 | — | — | 3,763,912 | (28,000 | ) | ||||||||||||||||||||
Sales | (270,411 | ) | (2,728 | ) | (267,683 | ) | — | — | — | — | ||||||||||||||||||
Transfers in to Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers out of Level 3(3) | (577,061 | ) | — | (177,224 | ) | — | — | — | (399,837 | ) | ||||||||||||||||||
Maturities | — | — | — | — | — | — | — | |||||||||||||||||||||
Paydowns | (186,850 | ) | — | (186,850 | ) | — | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Balance, 12/31/14 | $ | 7,511,796 | $ | — | $ | 3,985,315 | $ | 6,602 | $ | 216,969 | $ | 3,302,910 | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 out of Level 3 represent the value of securities at December 31, 2014 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. |
156 | See Notes to Financial Statements. |
Table of Contents
(This page intentionally left blank)
157 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2014 |
Money Market Fund | Low-Duration Bond Fund | |||||||
Assets | ||||||||
Investments in securities of unaffiliated issuers, at value | $ | 1,251,677,236 | $ | 878,905,090 | ||||
Investments in repurchase agreements, at value | �� | 34,000,000 | — | |||||
Investments in securities of affiliated issuers, at value | — | 51,769,099 | ||||||
|
|
|
| |||||
Total investments (1)(2) | 1,285,677,236 | 930,674,189 | ||||||
Cash | 955 | 724,465 | ||||||
Cash collateral for derivatives | — | 1,036,012 | ||||||
Foreign currency(3) | — | 1,137,524 | ||||||
Upfront premiums paid from swap contracts | — | 744,960 | ||||||
Receivables: | ||||||||
Dividends and reclaims | — | 436 | ||||||
Interest | 259,387 | 3,503,459 | ||||||
Securities lending | — | 15,069 | ||||||
Investment securities sold | — | 12,479,892 | ||||||
Maturities | — | 11,459 | ||||||
Fund shares sold | 13,411,041 | 11,632 | ||||||
Variation margin on exchange traded swaps | — | — | ||||||
Variation margin on financial futures contracts | — | 82,556 | ||||||
Unrealized appreciation on foreign currency exchange contracts | — | 1,539,291 | ||||||
Unrealized appreciation on swap agreements | — | 349,871 | ||||||
Prepaid expenses and other assets | 28,952 | 15,350 | ||||||
|
|
|
| |||||
Total Assets | 1,299,377,571 | 952,326,165 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Securities sold short, at value (4) | — | — | ||||||
TBA sale commitments, at value (5) | — | 3,351,328 | ||||||
Options written at value (6) | — | 709,997 | ||||||
Upfront premiums received from swap contracts | — | 58,680 | ||||||
Unrealized depreciation on foreign currency exchange contracts | — | 713,388 | ||||||
Unrealized depreciation on swap agreements | — | 775,871 | ||||||
Collateral held for securities on loan at value | — | 73,502,584 | ||||||
Collateral held for derivatives | — | 330,000 | ||||||
Payables: | ||||||||
Investment securities purchased | — | 25,891,336 | ||||||
Fund shares redeemed | 14,012,215 | 44,269 | ||||||
Variation margin on exchange traded swaps | — | 63,047 | ||||||
Variation margin on financial futures contracts | — | 101,470 | ||||||
Distributions | 6,862 | — | ||||||
Securities lending | — | 2,658 | ||||||
Accrued expenses: | ||||||||
Investment advisory fees | 158,016 | 172,434 | ||||||
Shareholder servicing fees | — | 143,672 | ||||||
Other expenses | 81,304 | 126,329 | ||||||
|
|
|
| |||||
Total Liabilities | 14,258,397 | 105,987,063 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,285,119,174 | $ | 846,339,102 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in-capital | $ | 1,285,111,497 | $ | 854,695,044 | ||||
Accumulated (distributions in excess of) net investment income | — | (1,016,162 | ) | |||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency and derivative transactions | 7,677 | (1,983,939 | ) | |||||
Net unrealized appreciation (depreciation) on investments, foreign currency and derivative transactions | — | (5,355,841 | ) | |||||
|
|
|
| |||||
Net Assets | $ | 1,285,119,174 | $ | 846,339,102 | ||||
|
|
|
| |||||
Net Asset Value: | ||||||||
$0.001 par value, unlimited shares authorized | ||||||||
Net assets applicable to the Institutional Class | $ | 121,624,118 | $ | 141,460,579 | ||||
|
|
|
| |||||
Institutional shares outstanding | 121,619,365 | 16,757,882 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per Institutional share | $ | 1.00 | $ | 8.44 | ||||
|
|
|
| |||||
Net assets applicable to the Investor Class | $ | 1,163,495,056 | $ | 704,878,523 | ||||
|
|
|
| |||||
Investor shares outstanding | 1,163,457,485 | 52,960,642 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per Investor share | $ | 1.00 | $ | 13.31 | ||||
|
|
|
|
(1) Investments in securities of unaffiliated issuers, at cost | $ | 1,251,677,236 | $ | 883,905,125 | ||||
Investments in repurchase agreements, at cost | 34,000,000 | — | ||||||
Investments in securities of affiliated issuers, at cost | — | 51,769,099 | ||||||
|
|
|
| |||||
Total investments at cost | $ | 1,285,677,236 | $ | 935,674,224 | ||||
|
|
|
| |||||
(2) Includes securities loaned of: | $ | — | $ | 76,429,909 | ||||
|
|
|
| |||||
(3) Foreign currency at cost | $ | — | $ | 1,177,300 | ||||
|
|
|
| |||||
(4) Proceeds from securities sold short | $ | — | $ | — | ||||
|
|
|
| |||||
(5) TBA sale commitments at cost | $ | — | $ | 3,360,937 | ||||
|
|
|
| |||||
(6) Premiums received on options written | $ | — | $ | 716,294 | ||||
|
|
|
|
158 | See Notes to Financial Statements. |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||||||||
$ | 1,020,621,589 | $ | 328,356,696 | $ | 407,867,976 | |||||
31,100,000 | — | — | ||||||||
83,032,439 | 13,064,969 | 36,517,024 | ||||||||
|
|
|
|
|
| |||||
1,134,754,028 | 341,421,665 | 444,385,000 | ||||||||
2,027,182 | — | 24,352 | ||||||||
3,190,702 | — | 623,005 | ||||||||
1,242,035 | — | 1,432,632 | ||||||||
1,437,087 | — | — | ||||||||
795 | 67 | 32,912 | ||||||||
5,089,400 | 3,413,558 | 5,090,276 | ||||||||
14,139 | 4,420 | 15,533 | ||||||||
74,640,193 | 507,795 | 145,086 | ||||||||
490 | — | — | ||||||||
67,094 | 237,487 | 28,447 | ||||||||
5,454,030 | — | — | ||||||||
306,364 | — | 58,906 | ||||||||
1,871,264 | — | 1,419,772 | ||||||||
1,271,797 | — | — | ||||||||
12,113 | 12,245 | 18,623 | ||||||||
|
|
|
|
|
| |||||
1,231,378,713 | 345,597,237 | 453,274,544 | ||||||||
|
|
|
|
|
| |||||
8,826,676 | — | — | ||||||||
1,011,563 | — | — | ||||||||
205,209 | — | — | ||||||||
2,687,408 | — | — | ||||||||
868,157 | — | 564,644 | ||||||||
5,340,660 | — | — | ||||||||
132,049,333 | 43,396,372 | 48,325,335 | ||||||||
870,560 | — | — | ||||||||
169,886,931 | 388,445 | 2,697,883 | ||||||||
46,632 | — | 45,506 | ||||||||
— | — | — | ||||||||
129,456 | — | 19,875 | ||||||||
— | — | — | ||||||||
2,434 | 803 | 2,879 | ||||||||
225,978 | 104,814 | 148,380 | ||||||||
135,906 | 49,057 | 81,200 | ||||||||
165,833 | 24,098 | 67,413 | ||||||||
|
|
|
|
|
| |||||
322,452,736 | 43,963,589 | 51,953,115 | ||||||||
|
|
|
|
|
| |||||
$ | 908,925,977 | $ | 301,633,648 | $ | 401,321,429 | |||||
|
|
|
|
|
| |||||
$ | 895,009,209 | $ | 265,460,540 | $ | 402,546,048 | |||||
1,210,249 | (696 | ) | (214,427 | ) | ||||||
800,631 | 3,989,730 | (6,639,603 | ) | |||||||
11,905,888 | 32,184,074 | 5,629,411 | ||||||||
|
|
|
|
|
| |||||
$ | 908,925,977 | $ | 301,633,648 | $ | 401,321,429 | |||||
|
|
|
|
|
| |||||
$ | 239,389,286 | $ | 56,216,367 | N/A | ||||||
|
|
|
|
|
| |||||
34,265,155 | 12,081,825 | N/A | ||||||||
|
|
|
|
|
| |||||
$ | 6.99 | $ | 4.65 | N/A | ||||||
|
|
|
|
|
| |||||
$ | 669,536,691 | $ | 245,417,281 | $ | 401,321,429 | |||||
|
|
|
|
|
| |||||
45,714,191 | 13,412,030 | 40,027,667 | ||||||||
|
|
|
|
|
| |||||
$ | 14.65 | $ | 18.30 | $ | 10.03 | |||||
|
|
|
|
|
| |||||
$ | 1,005,800,412 | $ | 296,160,879 | $ | 402,554,410 | |||||
31,100,000 | — | — | ||||||||
83,032,439 | 13,064,969 | 36,517,024 | ||||||||
|
|
|
|
|
| |||||
$ | 1,119,932,851 | $ | 309,225,848 | $ | 439,071,434 | |||||
|
|
|
|
|
| |||||
$ | 144,361,200 | $ | 64,310,927 | $ | 48,318,838 | |||||
|
|
|
|
|
| |||||
$ | 1,277,727 | $ | — | $ | 1,514,048 | |||||
|
|
|
|
|
| |||||
$ | 8,782,177 | $ | — | $ | — | |||||
|
|
|
|
|
| |||||
$ | 1,001,250 | $ | — | $ | — | |||||
|
|
|
|
|
| |||||
$ | 942,815 | $ | — | $ | — | |||||
|
|
|
|
|
|
See Notes to Financial Statements. | 159 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2014 |
Money Market Fund | Low-Duration Bond Fund | |||||||
Investment Income | ||||||||
Dividends | $ | — | $ | 123 | ||||
Income distributions received from affiliated funds | — | 4,100 | ||||||
Interest | 2,565,971 | 12,174,584 | ||||||
Securities lending | 272 | 182,626 | ||||||
Less foreign taxes withheld | — | — | ||||||
|
|
|
| |||||
Total Investment Income | 2,566,243 | 12,361,433 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory fees | 2,049,887 | 2,899,926 | ||||||
Transfer agent fees: | ||||||||
Institutional shares | 4,100 | 4,126 | ||||||
Investor shares | 39,386 | 25,953 | ||||||
Custodian fees | 33,132 | 134,185 | ||||||
Shareholder servicing fees: | ||||||||
Investor shares | 2,880,019 | 1,738,738 | ||||||
Accounting and administration fees | 280,465 | 346,124 | ||||||
Professional fees | 53,187 | 106,425 | ||||||
Blue sky fees: | ||||||||
Institutional shares | 1,920 | 2,047 | ||||||
Investor shares | 42,704 | 20,420 | ||||||
Shareholder reporting fees: | ||||||||
Institutional shares | 1,102 | 1,183 | ||||||
Investor shares | 39,368 | 16,683 | ||||||
Trustee expenses | 14,092 | 9,203 | ||||||
Line of credit facility fees | 8,941 | 6,040 | ||||||
Other expenses | 43,292 | 70,445 | ||||||
|
|
|
| |||||
Total expenses | 5,491,595 | 5,381,498 | ||||||
Expenses waived/reimbursed net of amount recaptured(1) | (3,028,493 | ) | (729,777 | ) | ||||
|
|
|
| |||||
Net expenses | 2,463,102 | 4,651,721 | ||||||
|
|
|
| |||||
Net Investment Income | 103,141 | 7,709,712 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Investment securities | 80,098 | 1,942,435 | ||||||
Investment securities sold short | — | (516,059 | ) | |||||
Futures transactions | — | (968,391 | ) | |||||
Swap agreements | — | (1,420,070 | ) | |||||
Option contracts written | — | 499,493 | ||||||
Option contracts purchased | — | 239,130 | ||||||
Foreign currency | — | 2,979,898 | ||||||
|
|
|
| |||||
Net realized gain | 80,098 | 2,756,436 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment securities | — | (2,018,325 | ) | |||||
Investment securities sold short | — | 34,564 | ||||||
Futures | — | (1,107,837 | ) | |||||
Swap agreements | — | 529,699 | ||||||
Option contracts written | — | 264,145 | ||||||
Option contracts purchased | — | (266,066 | ) | |||||
Foreign currency | — | 642,334 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | — | (1,921,486 | ) | |||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) | 80,098 | 834,950 | ||||||
|
|
|
| |||||
Net Increase in Net Assets Resulting from Operations | $ | 183,239 | $ | 8,544,662 | ||||
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
160 | See Notes to Financial Statements. |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||||||||
$ | 138,503 | $ | 20,438 | $ | 277,029 | |||||
7,674 | 1,128 | 3,892 | ||||||||
21,739,800 | 13,689,792 | 16,579,478 | ||||||||
196,766 | 64,888 | 149,744 | ||||||||
— | — | (14,112 | ) | |||||||
|
|
|
|
|
| |||||
22,082,743 | 13,776,246 | 16,996,031 | ||||||||
|
|
|
|
|
| |||||
3,546,222 | 1,412,735 | 1,768,267 | ||||||||
4,109 | 3,876 | — | ||||||||
25,512 | 24,436 | 20,292 | ||||||||
233,597 | 17,868 | 79,081 | ||||||||
1,467,785 | 567,101 | 919,591 | ||||||||
396,434 | 95,727 | 188,656 | ||||||||
106,425 | 83,200 | 86,425 | ||||||||
2,047 | 1,921 | — | ||||||||
19,476 | 19,435 | 18,282 | ||||||||
1,145 | 743 | — | ||||||||
16,570 | 18,403 | 6,850 | ||||||||
8,920 | 3,093 | 4,050 | ||||||||
5,967 | 1,930 | 2,643 | ||||||||
98,502 | 14,352 | 40,080 | ||||||||
|
|
|
|
|
| |||||
5,932,711 | 2,264,820 | 3,134,217 | ||||||||
(963,171 | ) | (187,137 | ) | (90,441 | ) | |||||
|
|
|
|
|
| |||||
4,969,540 | 2,077,683 | 3,043,776 | ||||||||
|
|
|
|
|
| |||||
17,113,203 | 11,698,563 | 13,952,255 | ||||||||
|
|
|
|
|
| |||||
15,159,070 | 13,270,166 | 2,614,827 | ||||||||
(609,158 | ) | — | (1,984 | ) | ||||||
2,298,058 | — | (402,950 | ) | |||||||
(664,882 | ) | — | — | |||||||
1,567,536 | — | — | ||||||||
(358,668 | ) | — | 41,440 | |||||||
3,012,785 | 351,126 | (367,465 | ) | |||||||
|
|
|
|
|
| |||||
20,404,741 | 13,621,292 | 1,883,868 | ||||||||
|
|
|
|
|
| |||||
13,428,077 | 20,327,098 | (6,448,150 | ) | |||||||
(114,993 | ) | — | — | |||||||
(320,613 | ) | — | (367,225 | ) | ||||||
(4,102,170 | ) | — | — | |||||||
1,043,224 | — | — | ||||||||
(806,646 | ) | — | 32,465 | |||||||
946,746 | (10,352 | ) | 890,024 | |||||||
|
|
|
|
|
| |||||
10,073,625 | 20,316,746 | (5,892,886 | ) | |||||||
|
|
|
|
|
| |||||
30,478,366 | 33,938,038 | (4,009,018 | ) | |||||||
|
|
|
|
|
| |||||
$ | 47,591,569 | $ | 45,636,601 | $ | 9,943,237 | |||||
|
|
|
|
|
|
See Notes to Financial Statements. | 161 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Money Market Fund | ||||||||
For the Year Ended | ||||||||
12/31/14 | 12/31/13 | |||||||
Operations: | ||||||||
Net investment income | $ | 103,141 | $ | 199,522 | ||||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 80,098 | 64,118 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 183,239 | 263,640 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
Institutional shares | (19,760 | ) | (39,682 | ) | ||||
Investor shares | (119,994 | ) | (123,227 | ) | ||||
Distributions from net realized capital gains | ||||||||
Institutional shares | (8,005 | ) | (5,110 | ) | ||||
Investor shares | (75,633 | ) | (60,366 | ) | ||||
|
|
|
| |||||
Total dividends and distributions | (223,392 | ) | (228,385 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
Institutional shares | 169,689,475 | 105,460,546 | ||||||
Investor shares | 3,811,246,128 | 4,335,936,657 | ||||||
Reinvestment of dividends and distributions | ||||||||
Institutional shares | 25,034 | 38,908 | ||||||
Investor shares | 117,713 | 105,203 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 3,981,078,350 | 4,441,541,314 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
Institutional shares | (154,146,430 | ) | (106,106,557 | ) | ||||
Investor shares | (3,910,770,582 | ) | (4,204,891,545 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (4,064,917,012 | ) | (4,310,998,102 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(1) | (83,838,662 | ) | 130,543,212 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (83,878,815 | ) | 130,578,467 | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Year | 1,368,997,989 | 1,238,419,522 | ||||||
|
|
|
| |||||
End of Year* | $ | 1,285,119,174 | $ | 1,368,997,989 | ||||
|
|
|
| |||||
*Including undistributed (distributions in excess of) net investment income | $ | — | $ | 36,613 | ||||
|
|
|
|
(1) | See Note 6 in Notes to Financial Statements. |
162 | See Notes to Financial Statements. |
Table of Contents
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||||||||||
For the Year Ended | For the Year Ended | |||||||||||||
12/31/14 | 12/31/13 | 12/31/14 | 12/31/13 | |||||||||||
$ | 7,709,712 | $ | 8,948,237 | $ | 17,113,203 | $ | 17,749,366 | |||||||
2,756,436 | (199,750 | ) | 20,404,741 | (9,532,523 | ) | |||||||||
(1,921,486 | ) | (9,738,040 | ) | 10,073,625 | (25,840,900 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
8,544,662 | (989,553 | ) | 47,591,569 | (17,624,057 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(3,246,651 | ) | (2,638,146 | ) | (9,760,378 | ) | (8,960,565 | ) | |||||||
(8,748,258 | ) | (6,980,736 | ) | (11,514,324 | ) | (10,135,398 | ) | |||||||
(106,638 | ) | (130,184 | ) | (1,259,574 | ) | (238,953 | ) | |||||||
(357,017 | ) | (404,740 | ) | (1,688,475 | ) | (290,430 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(12,458,564 | ) | (10,153,806 | ) | (24,222,751 | ) | (19,625,346 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
34,760,024 | 20,817,542 | 57,541,784 | 26,720,145 | |||||||||||
94,065,721 | 96,538,640 | 133,368,406 | 73,101,056 | |||||||||||
3,348,188 | 2,761,563 | 10,995,994 | 9,193,242 | |||||||||||
9,104,484 | 7,383,801 | 13,200,112 | 10,422,967 | |||||||||||
|
|
|
|
|
|
|
| |||||||
141,278,417 | 127,501,546 | 215,106,296 | 119,437,410 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(31,908,875 | ) | (19,428,445 | ) | (58,724,889 | ) | (46,258,722 | ) | |||||||
(97,380,779 | ) | (72,290,918 | ) | (80,447,236 | ) | (98,816,806 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(129,289,654 | ) | (91,719,363 | ) | (139,172,125 | ) | (145,075,528 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
11,988,763 | 35,782,183 | 75,934,171 | (25,638,118 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
8,074,861 | 24,638,824 | 99,302,989 | (62,887,521 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
838,264,241 | 813,625,417 | 809,622,988 | 872,510,509 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 846,339,102 | $ | 838,264,241 | $ | 908,925,977 | $ | 809,622,988 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | (1,016,162 | ) | $ | (619,939 | ) | $ | 1,210,249 | $ | 541,345 | |||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 163 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Extended-Duration Bond Fund | ||||||||
For the Year Ended | ||||||||
12/31/14 | 12/31/13 | |||||||
Operations: | ||||||||
Net investment income | $ | 11,698,563 | $ | 16,173,397 | ||||
Net realized gain on investment securities, foreign currency and derivative | 13,621,292 | 13,536,698 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivative | 20,316,746 | (55,249,908 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 45,636,601 | (25,539,813 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
Institutional shares | (5,678,669 | ) | (7,171,639 | ) | ||||
Investor shares | (6,555,965 | ) | (9,578,417 | ) | ||||
Distributions from net realized capital gains | ||||||||
Institutional shares | (4,378,841 | ) | (6,448,885 | ) | ||||
Investor shares | (5,208,316 | ) | (8,820,661 | ) | ||||
|
|
|
| |||||
Total dividends and distributions | (21,821,791 | ) | (32,019,602 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
Institutional shares | 16,428,518 | 8,686,398 | ||||||
Investor shares | 59,631,376 | 32,327,945 | ||||||
Reinvestment of dividends and distributions | ||||||||
Institutional shares | 10,047,722 | 13,606,468 | ||||||
Investor shares | 11,755,354 | 18,389,399 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 97,862,970 | 73,010,210 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
Institutional shares | (20,788,920 | ) | (38,446,492 | ) | ||||
Investor shares | (70,036,593 | ) | (177,196,077 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (90,825,513 | ) | (215,642,569 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(1) | 7,037,457 | (142,632,359 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 30,852,267 | (200,191,774 | ) | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Year | 270,781,381 | 470,973,155 | ||||||
|
|
|
| |||||
End of Year* | $ | 301,633,648 | $ | 270,781,381 | ||||
|
|
|
| |||||
*Including undistributed (distributions in excess of) net investment income | $ | (696 | ) | $ | 154,263 | |||
|
|
|
|
(1) | See Note 6 in Notes to Financial Statements. |
164 | See Notes to Financial Statements. |
Table of Contents
Global Bond Fund | ||||||
For the Year Ended | ||||||
12/31/14 | 12/31/13 | |||||
$ | 13,952,255 | $ | 10,852,037 | |||
1,883,868 | 218,973 | |||||
(5,892,886 | ) | (7,694,848 | ) | |||
|
|
|
| |||
9,943,237 | 3,376,162 | |||||
|
|
|
| |||
— | — | |||||
(13,252,051 | ) | (9,497,750 | ) | |||
— | — | |||||
— | — | |||||
|
|
|
| |||
(13,252,051 | ) | (9,497,750 | ) | |||
|
|
|
| |||
— | — | |||||
65,529,567 | 140,576,281 | |||||
— | — | |||||
13,251,586 | 9,497,746 | |||||
|
|
|
| |||
78,781,153 | 150,074,027 | |||||
|
|
|
| |||
— | — | |||||
(31,992,897 | ) | (18,966,067 | ) | |||
|
|
|
| |||
(31,992,897 | ) | (18,966,067 | ) | |||
|
|
|
| |||
46,788,256 | 131,107,960 | |||||
|
|
|
| |||
43,479,442 | 124,986,372 | |||||
|
|
|
| |||
357,841,987 | 232,855,615 | |||||
|
|
|
| |||
$ | 401,321,429 | $ | 357,841,987 | |||
|
|
|
| |||
$ | (214,427 | ) | $ | (1,116,395 | ) | |
|
|
|
|
See Notes to Financial Statements. | 165 |
Table of Contents
FINANCIAL HIGHLIGHTS
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 | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income, Net(1) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||
Money Market Fund
| ||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 1.00 | $ | — | †# | $ | — | † | $ | — | † | $ | — | † | $ | 1.00 | 0.02 | % | $ | 121,624 | 0.18 | % | 0.19 | % | 0.01 | % | N/A | |||||||||||||||||||||
2013(3) | 1.00 | — | †# | — | † | — | † | — | † | 1.00 | 0.04 | 106,060 | 0.18 | 0.20 | 0.04 | 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 | ||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 1.00 | $ | — | †# | $ | — | † | $ | — | † | $ | — | † | $ | 1.00 | 0.02 | % | $ | 1,163,495 | 0.19 | % | 0.44 | % | 0.01 | % | N/A | |||||||||||||||||||||
2013(3) | 1.00 | — | †# | — | † | — | † | — | † | 1.00 | 0.02 | 1,262,938 | 0.21 | 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 | ||||||||||||||||||||||||||||||||
Low-Duration Bond Fund
| ||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 8.54 | $ | 0.09 | # | $ | 0.01(4 | ) | $ | (0.19 | ) | $ | (0.01 | ) | $ | 8.44 | 1.16 | % | $ | 141,461 | 0.36 | % | 0.42 | % | 1.06 | % | 529 | % | ||||||||||||||||||||
2013(5) | 8.71 | 0.11 | # | (0.11 | )(4) | (0.16 | ) | (0.01 | ) | 8.54 | 0.02 | 136,966 | 0.36 | 0.42 | 1.26 | 202 | ||||||||||||||||||||||||||||||||
2012 | 8.59 | 0.15 | # | 0.22(4 | ) | (0.22 | ) | (0.03 | ) | 8.71 | 4.35 | 135,526 | 0.36 | 0.41 | 1.68 | 228 | ||||||||||||||||||||||||||||||||
2011 | 8.70 | 0.16 | # | (0.01 | )(4) | (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 | |||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 13.35 | $ | 0.11 | # | $ | 0.02(4 | ) | $ | (0.16 | ) | $ | (0.01 | ) | $ | 13.31 | 0.97 | % | $ | 704,878 | 0.57 | % | 0.66 | % | 0.85 | % | 529 | % | ||||||||||||||||||||
2013(5) | 13.52 | 0.14 | # | (0.16 | )(4) | (0.14 | ) | (0.01 | ) | 13.35 | (0.20 | ) | 701,299 | 0.57 | 0.66 | 1.04 | 202 | |||||||||||||||||||||||||||||||
2012 | 13.20 | 0.20 | # | 0.35(4 | ) | (0.20 | ) | (0.03 | ) | 13.52 | 4.15 | 678,099 | 0.57 | 0.65 | 1.47 | 228 | ||||||||||||||||||||||||||||||||
2011 | 13.23 | 0.22 | # | (0.01 | )(4) | (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 | |||||||||||||||||||||||||||||||||
Medium-Duration Bond Fund
| ||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 6.91 | $ | 0.15 | # | $ | 0.26(4 | ) | $ | (0.29 | ) | $ | (0.04 | ) | $ | 6.99 | 6.03 | % | $ | 239,389 | 0.48 | % | 0.52 | % | 2.14 | % | 408 | % | ||||||||||||||||||||
2013(6) | 7.32 | 0.16 | # | (0.29 | )(4) | (0.27 | ) | (0.01 | ) | 6.91 | (1.90 | ) | 227,172 | 0.48 | 0.52 | 2.21 | 409 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 14.14 | $ | 0.29 | # | $ | 0.53(4 | ) | $ | (0.27 | ) | $ | (0.04 | ) | $ | 14.65 | 5.82 | % | $ | 669,537 | 0.63 | % | 0.77 | % | 1.98 | % | 408 | % | ||||||||||||||||||||
2013(6) | 14.68 | 0.30 | # | (0.59 | )(4) | (0.24 | ) | (0.01 | ) | 14.14 | (1.98 | ) | 582,451 | 0.63 | 0.77 | 2.06 | 409 | |||||||||||||||||||||||||||||||
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 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | 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 higher (lower), respectively, than the ratio shown. |
(2) | 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. |
(3) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share, Total Return or the Ratio of Net Investment Income to Average Net Assets for Institutional Class and Investor Class. |
(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) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.02% and 0.02% for Institutional Class and Investor Class, respectively. |
(6) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, Total Return by 0.00% and 0.07%, and the Ratio of Net Investment Income to Average Net Assets by 0.04% and 0.04% for Institutional Class and Investor Class, respectively. |
166 | See Notes to Financial Statements. |
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 | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income, Net(1) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||
Extended-Duration Bond Fund
| ||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 4.78 | $ | 0.21 | # | $ | 0.59(3 | ) | $ | (0.53 | ) | $ | (0.40 | ) | $ | 4.65 | 17.47 | % | $ | 56,216 | 0.56 | % | 0.57 | % | 4.19 | % | 48 | % | ||||||||||||||||||||
2013(4) | 6.36 | 0.27 | # | (0.58 | )(3) | (0.63 | ) | (0.64 | ) | 4.78 | (5.10 | ) | 51,959 | 0.55 | 0.55 | 4.61 | 37 | |||||||||||||||||||||||||||||||
2012 | 6.48 | 0.31 | # | 0.64(3 | ) | (0.65 | ) | (0.42 | ) | 6.36 | 15.41 | 86,268 | 0.52 | 0.53 | 4.68 | 27 | ||||||||||||||||||||||||||||||||
2011 | 6.93 | 0.37 | # | 0.49(3 | ) | (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 | |||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 16.39 | $ | 0.71 | # | $ | 2.10(3 | ) | $ | (0.50 | ) | $ | (0.40 | ) | $ | 18.30 | 17.32 | % | $ | 245,417 | 0.75 | % | 0.83 | % | 3.99 | % | 48 | % | ||||||||||||||||||||
2013(4) | 18.58 | 0.78 | # | (1.74 | )(3) | (0.59 | ) | (0.64 | ) | 16.39 | (5.24 | ) | 218,822 | 0.75 | 0.80 | 4.40 | 37 | |||||||||||||||||||||||||||||||
2012 | 17.08 | 0.81 | # | 1.72(3 | ) | (0.61 | ) | (0.42 | ) | 18.58 | 15.06 | 384,705 | 0.75 | 0.78 | 4.45 | 27 | ||||||||||||||||||||||||||||||||
2011 | 16.28 | 0.86 | # | 1.22(3 | ) | (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 | |||||||||||||||||||||||||||||||||
Global Bond Fund
| ||||||||||||||||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 10.09 | $ | 0.37 | # | $ | (0.07 | )(3) | $ | (0.36 | ) | $ | — | $ | 10.03 | 2.90 | % | $ | 401,321 | 0.79 | % | 0.82 | % | 3.64 | % | 57 | % | |||||||||||||||||||||
2013(5) | 10.38 | 0.39 | # | (0.36 | )(3) | (0.32 | ) | — | 10.09 | 0.30 | 357,842 | 0.80 | 0.83 | 3.77 | 101 | |||||||||||||||||||||||||||||||||
2012 | 9.73 | 0.45 | # | 0.74(3 | ) | (0.54 | ) | — | 10.38 | 12.52 | 232,856 | 0.83 | 0.86 | 4.41 | 64 | |||||||||||||||||||||||||||||||||
2011 | 9.83 | 0.51 | # | (0.09 | )(3) | (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 |
# | Calculated using the average shares outstanding method. |
(1) | 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 higher (lower), respectively, than the ratio shown. |
(2) | 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. |
(3) | 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. |
(4) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, Total Return by 0.00% and 0.05%, and the Ratio of Net Investment Income to Average Net Assets by 0.04% and 0.04% for Institutional Class and Investor Class, respectively. |
(5) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.01, Total Return by 0.10%, and the Ratio of Net Investment Income to Average Net Assets by 0.02%. |
See Notes to Financial Statements. | 167 |
Table of Contents
EQUITY SELECT FUNDS (Unaudited)
U.S. equity markets ended the year in positive territory as primary stock indices posted strong fourth quarter and calendar year returns. These markets experienced increased volatility throughout the year but remained resilient amidst an accelerating domestic economy, improving labor market, increasing consumer confidence and an increased disposable income due to falling energy prices. This environment provided a supportive backdrop for U.S. stocks as the S&P 500® Index posted a fourth quarter return of 4.93%, bringing the return to 13.69% for the full year of 2014. The broader U.S. market, as measured by the Russell 3000® Index, posted returns of 5.24% for the fourth quarter and 12.56% for calendar year 2014.
From a sector perspective, performance was biased to the upside as eight of nine sectors within the Russell 3000® Index advanced during the year. The best performance came from the Healthcare, Technology and Consumer Staples sectors. The Energy sector was clearly the weakest performer for the year and was negatively impacted by the abrupt drop in oil prices during the fourth quarter. The Energy sector was extremely volatile in 2014 as it performed well in the first half of the year, but finished the year in negative territory.
Companies with larger capitalization, higher quality and higher dividend yield characteristics generally performed well during the year. In terms of equity market capitalization, large-cap companies outperformed their small-cap counterparts by a wide margin as the Russell 1000® Index posted a one-year return of 13.24%, while the Russell 2000® Index advanced 4.89%. From a style perspective, value-oriented stocks outperformed growth-oriented stocks in the large and mid-cap space but underperformed growth in the small-cap segment during the year. In the large capitalization segment, the Russell 1000® Value Index and Russell 1000® Growth Index had one-year returns of 13.45% and 13.05%, respectively. In the small capitalization segment, the Russell 2000® Growth Index outperformed the Russell 2000® Value Index, posting one-year returns of 5.60% and 4.22%, respectively.
Developed non-U.S. markets struggled relative to their U.S. counterparts and were negatively impacted by very modest economic growth and the strengthening of the U.S. dollar against most currencies. The MSCI-EAFE Index (Net), a measure of international developed country returns, posted a fourth quarter return of -3.57%, bringing the one-year return to -4.91%. From a country perspective, Portugal, Norway and Austria in the European region posted the worst performance, while Israel, Denmark and New Zealand were among the best performing countries for the year. From a sector perspective, the fall in oil prices had a major impact on energy as the sector declined over 18% for the year. With the exception of healthcare and utilities, all other sectors declined for the period.
Emerging markets stocks outperformed developed markets for the year and were also impacted by currency weakness as the MSCI Emerging Markets Index (Net) posted a fourth quarter return of -4.50%, bringing the one-year performance to -2.19%. The worst performance was experienced in countries such as Russia, Greece and Hungary, while Turkey, Egypt and Indonesia were among the strongest positive performing countries for the year. From a sector perspective, six of the 10 groups posted negative returns for calendar year 2014. The energy and materials sectors were the worst performers and experienced double-digit declines, while the technology and healthcare sectors were the strongest performing sectors for the one-year period.
168
Table of Contents
Defensive Market Strategies Fund (Unaudited)
The Defensive Market Strategies Fund combines multiple strategies that in aggregate seek to provide long-term capital appreciation with reduced volatility compared to the equity markets.
The Fund achieved its investment objective during 2014 as it outperformed its composite benchmark of 50% S&P 500® Index and 50% Citigroup 3-month Treasury Bill Index (10.35%, versus 6.74%). The Fund underperformed its reference benchmark, represented by the S&P 500® Index, which posted a return of 13.69% for the year. The lower capital appreciation of the Fund, relative to that of the S&P 500® Index, was mostly a reflection of the materially lower market sensitivity and volatility of the Fund compared to the S&P 500® Index.
All of the underlying investment strategies had positive investment returns for the year. The lowest performing strategy within the Fund was convertible bonds which delivered a single digit return. While convertible bond prices benefited from strong equity price returns through the optionality to stocks embedded in the bonds, they failed to keep up with the equity market due to their lower equity sensitivity and conservative positioning. The options equity strategy contributed positively to performance with low beta exposure to equities and positive returns from options selling. The two long-only equities strategies within the Fund outperformed the S&P 500® Index, and delivered the strongest absolute and benchmark-relative performance of all of the underlying strategies.
In general, companies with larger capitalization, higher quality and higher dividend yield characteristics generally performed well during the year. These factors contributed positively to the relative performance of the Fund versus the benchmark, which generally emphasized quality and stability themes for most of its long-only equity exposure. From a sector perspective, overweight positioning in more defensive sectors, such as utilities, contributed positively to performance.
Some underlying strategies may utilize derivative instruments within the Fund. During 2014, the Fund sold equity options in order to hedge (reduce) equity exposure and to collect the option premium from selling. The use of equity options contributed meaningfully to performance during 2014. Currency forwards were used to hedge foreign currency exposure back to the U.S. dollar and also contributed positively to the Fund’s performance.
This 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 stocks at a slightly lower risk level than an all stock portfolio. Convertible securities valuations generally are more closely aligned with a company’s bonds than common stock. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Foreign securities may be subject to greater risk than domestic securities due to currency volatility, reduced market liquidity and political and economic instability. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and by its ability to select sub-advisers to allocate assets. Some derivatives may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns.
169
Table of Contents
Defensive Market Strategies Fund (Unaudited)
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Corporate Bonds | 21.9 | |||
Money Market Funds | 18.0 | |||
U.S. Treasury Obligations | 17.6 | |||
Financial Services | 7.8 | |||
Utilities | 6.7 | |||
Consumer Staples | 6.3 | |||
Healthcare | 6.0 | |||
Preferred Stocks | 5.5 | |||
Consumer Discretionary | 5.2 | |||
Producer Durables | 5.2 | |||
Energy | 3.8 | |||
Foreign Common Stocks | 3.2 | |||
Technology | 2.9 | |||
Materials & Processing | 1.1 | |||
Synthetic Convertible Instruments | 0.9 | |||
Foreign Bonds | 0.7 | |||
Master Limited Partnerships | 0.3 | |||
Written Options | (0.1 | ) | ||
|
| |||
113.0 | ||||
|
|
170
Table of Contents
Defensive Market Strategies Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||
Institutional Class* | Investor Class* | Benchmark** | ||||
One Year | 10.55% | 10.35% | 6.74% | |||
Since Inception | 12.07% | 11.80% | 9.58% | |||
Inception Date | 09/01/11 | 09/01/11 | ||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.85% | 1.10% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund since September 1, 2011 (commencement of operations), with all dividends and capital gains reinvested, with the weighted composite index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a weighted composite benchmark index as a reference benchmark consisting of 50% S&P 500® Index and 50% Citigroup 3-Month Treasury Bill Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
171
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
COMMON STOCKS — 45.0% |
| |||||||||
Consumer Discretionary — 5.2% |
| |||||||||
Advance Auto Parts, Inc. | 200 | $ | 31,856 | |||||||
Amazon.com, Inc.* | 4,235 | 1,314,332 | ||||||||
AutoNation, Inc.* | 58 | 3,504 | ||||||||
AutoZone, Inc.D* | 1,938 | 1,199,835 | ||||||||
Avon Products, Inc. | 1,225 | 11,503 | ||||||||
Bed Bath & Beyond, Inc.* | 5,908 | 450,012 | ||||||||
Best Buy Co., Inc. | 307 | 11,967 | ||||||||
Big Lots, Inc. | 2,200 | 88,044 | ||||||||
Cablevision Systems Corporation Class A | 805 | 16,615 | ||||||||
CarMax, Inc.* | 253 | 16,845 | ||||||||
CBS Corporation Class B | 626 | 34,643 | ||||||||
Chipotle Mexican Grill, Inc.* | 1,230 | 841,947 | ||||||||
Coach, Inc. | 313 | 11,756 | ||||||||
Comcast Corporation Class A | 2,958 | 171,594 | ||||||||
Costco Wholesale Corporation | 14,015 | 1,986,626 | ||||||||
D.R. Horton, Inc. | 223 | 5,640 | ||||||||
Darden Restaurants, Inc. | 149 | 8,736 | ||||||||
DIRECTV* | 662 | 57,395 | ||||||||
Discovery Communications, Inc. Class A* | 364 | 12,540 | ||||||||
Discovery Communications, Inc. Class C* | 364 | 12,274 | ||||||||
Dollar General Corporation* | 302 | 21,351 | ||||||||
Dollar Tree, Inc.* | 9,593 | 675,155 | ||||||||
Domino’s Pizza, Inc. | 3,000 | 282,510 | ||||||||
eBay, Inc.* | 1,284 | 72,058 | ||||||||
Estee Lauder Cos., Inc. (The) Class A | 6,489 | 494,462 | ||||||||
Expedia, Inc.D | 4,616 | 394,022 | ||||||||
Family Dollar Stores, Inc. | 79 | 6,258 | ||||||||
Ford Motor Co. | 4,478 | 69,409 | ||||||||
GameStop Corporation Class A | 130 | 4,394 | ||||||||
Gannett Co., Inc. | 255 | 8,142 | ||||||||
Gap, Inc. (The) | 301 | 12,675 | ||||||||
General Motors Co. | 1,213 | 42,346 | ||||||||
Genuine Parts Co. | 64 | 6,820 | ||||||||
Goodyear Tire & Rubber Co. (The) | 280 | 8,000 | ||||||||
H&R Block, Inc. | 314 | 10,576 | ||||||||
Harley-Davidson, Inc. | 250 | 16,478 | ||||||||
Harman International Industries, Inc. | 76 | 8,110 | ||||||||
Hasbro, Inc. | 91 | 5,004 | ||||||||
Home Depot, Inc. (The) | 14,098 | 1,479,867 | ||||||||
Interpublic Group of Cos., Inc. (The) | 481 | 9,990 | ||||||||
Johnson Controls, Inc. | 755 | 36,497 | ||||||||
Kohl’s CorporationD | 1,928 | 117,685 | ||||||||
L Brands, Inc. | 443 | 38,342 | ||||||||
Lennar Corporation Class A | 243 | 10,889 | ||||||||
Live Nation Entertainment, Inc.* | 6,500 | 169,715 | ||||||||
Lowe’s Cos., Inc. | 9,042 | 622,090 | ||||||||
Macy’s, Inc. | 419 | 27,549 | ||||||||
Madison Square Garden Co. (The) Class AD* | 3,200 | 240,832 | ||||||||
Marriott International, Inc. Class A | 425 | 33,163 | ||||||||
Mattel, Inc. | 387 | 11,976 | ||||||||
McDonald’s Corporation | 19,574 | 1,834,084 |
Shares | Value | |||||||||
Mohawk Industries, Inc.* | 35 | $ | 5,438 | |||||||
Murphy USA, Inc.D* | 1,300 | 89,518 | ||||||||
Netflix, Inc.* | 68 | 23,229 | ||||||||
Newell Rubbermaid, Inc. | 167 | 6,361 | ||||||||
News Corporation Class A* | 567 | 8,896 | ||||||||
NIKE, Inc. Class B | 8,045 | 773,527 | ||||||||
Nordstrom, Inc. | 287 | 22,785 | ||||||||
Omnicom Group, Inc. | 293 | 22,699 | ||||||||
O’Reilly Automotive, Inc.* | 3,321 | 639,691 | ||||||||
Panera Bread Co. Class AD* | 2,200 | 384,560 | ||||||||
PetSmart, Inc. | 1,175 | 95,522 | ||||||||
Priceline Group, Inc. (The)* | 564 | 643,078 | ||||||||
PulteGroup, Inc. | 257 | 5,515 | ||||||||
PVH Corporation | 92 | 11,792 | ||||||||
Ralph Lauren Corporation | 53 | 9,813 | ||||||||
Ross Stores, Inc. | 2,143 | 201,999 | ||||||||
Scripps Networks Interactive, Inc. Class AD | 3,443 | 259,155 | ||||||||
Staples, Inc. | 437 | 7,918 | ||||||||
Starbucks Corporation | 11,658 | 956,539 | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 337 | 27,321 | ||||||||
Target Corporation | 11,717 | 889,437 | ||||||||
Tiffany & Co. | 105 | 11,220 | ||||||||
Time Warner Cable, Inc. | 315 | 47,899 | ||||||||
Time Warner, Inc. | 1,154 | 98,575 | ||||||||
TJX Cos., Inc. (The) | 10,907 | 748,002 | ||||||||
Tractor Supply Co. | 3,959 | 312,048 | ||||||||
TripAdvisor, Inc.D* | 6,626 | 494,697 | ||||||||
Twenty-First Century Fox, Inc. Class A | 2,201 | 84,529 | ||||||||
Under Armour, Inc. Class A* | 210 | 14,259 | ||||||||
Urban Outfitters, Inc.* | 140 | 4,918 | ||||||||
VF Corporation | 493 | 36,926 | ||||||||
Wal-Mart Stores, Inc.D | 95,435 | 8,195,958 | ||||||||
Walt Disney Co. (The) | 8,023 | 755,686 | ||||||||
Whirlpool Corporation | 34 | 6,587 | ||||||||
Wyndham Worldwide Corporation | 274 | 23,498 | ||||||||
Yum! Brands, Inc. | 12,304 | 896,346 | ||||||||
|
| |||||||||
29,874,054 | ||||||||||
|
| |||||||||
Consumer Staples — 6.3% |
| |||||||||
Archer-Daniels-Midland Co. | 3,746 | 194,792 | ||||||||
Campbell Soup Co.D | 74,998 | 3,299,912 | ||||||||
Church & Dwight Co., Inc. | 17,600 | 1,387,056 | ||||||||
Clorox Co. (The)D | 5,512 | 574,405 | ||||||||
Coca-Cola Co. (The) | 30,141 | 1,272,553 | ||||||||
Coca-Cola Enterprises, Inc. | 469 | 20,739 | ||||||||
Colgate-Palmolive Co. | 27,437 | 1,898,366 | ||||||||
ConAgra Foods, Inc. | 663 | 24,054 | ||||||||
CVS Health Corporation | 8,910 | 858,122 | ||||||||
Dr. Pepper Snapple Group, Inc.D | 1,169 | 83,794 | ||||||||
General Mills, Inc. | 86,360 | 4,605,579 | ||||||||
Hershey Co. (The) | 12,272 | 1,275,429 | ||||||||
Hormel Foods Corporation | 10,555 | 549,915 | ||||||||
J.M. Smucker Co. (The) | 119 | 12,017 | ||||||||
Kellogg Co. | 7,244 | 474,047 | ||||||||
Keurig Green Mountain, Inc. | 65 | 8,606 | ||||||||
Kimberly-Clark Corporation | 16,616 | 1,919,813 | ||||||||
Kraft Foods Group, Inc. | 846 | 53,010 | ||||||||
Kroger Co. (The) | 12,095 | 776,620 | ||||||||
McCormick & Co., Inc. (Non-Voting | 10,686 | 793,970 | ||||||||
Mead Johnson Nutrition Co. | 233 | 23,426 |
172 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Mondelez International, Inc. Class A | 2,203 | $ | 80,024 | |||||||
Monster Beverage Corporation* | 3,900 | 422,565 | ||||||||
PepsiCo, Inc. | 62,709 | 5,929,763 | ||||||||
Procter & Gamble Co. (The) | 58,384 | 5,318,199 | ||||||||
Rite Aid Corporation* | 7,600 | 57,152 | ||||||||
Safeway, Inc. | 1,442 | 50,643 | ||||||||
Sysco CorporationD | 90,071 | 3,574,918 | ||||||||
Tyson Foods, Inc. Class A | 304 | 12,187 | ||||||||
Walgreens Boots Alliance, Inc. | 8,192 | 624,230 | ||||||||
Whole Foods Market, Inc.D | 2,869 | 144,655 | ||||||||
|
| |||||||||
36,320,561 | ||||||||||
|
| |||||||||
Energy — 3.8% |
| |||||||||
Anadarko Petroleum Corporation | 571 | 47,108 | ||||||||
Apache Corporation | 448 | 28,076 | ||||||||
Baker Hughes, Inc. | 497 | 27,867 | ||||||||
Cabot Oil & Gas Corporation | 422 | 12,495 | ||||||||
California Resources Corporation* | 960 | 5,290 | ||||||||
Cameron International Corporation* | 216 | 10,789 | ||||||||
Chesapeake Energy Corporation | 577 | 11,292 | ||||||||
Chevron Corporation | 46,600 | 5,227,588 | ||||||||
ConocoPhillips | 4,131 | 285,287 | ||||||||
CONSOL Energy, Inc. | 259 | 8,757 | ||||||||
Denbury Resources, Inc. | 309 | 2,512 | ||||||||
Devon Energy Corporation | 436 | 26,688 | ||||||||
EOG Resources, Inc. | 2,518 | 231,832 | ||||||||
EQT Corporation | 171 | 12,945 | ||||||||
Exxon Mobil Corporation | 92,560 | 8,557,172 | ||||||||
First Solar, Inc.* | 87 | 3,880 | ||||||||
FMC Technologies, Inc.* | 280 | 13,115 | ||||||||
Halliburton Co. | 973 | 38,268 | ||||||||
Helmerich & Payne, Inc. | 122 | 8,225 | ||||||||
Hess Corporation | 311 | 22,958 | ||||||||
Kinder Morgan, Inc. | 1,958 | 82,843 | ||||||||
Marathon Oil Corporation | 789 | 22,321 | ||||||||
Marathon Petroleum Corporation | 735 | 66,341 | ||||||||
Murphy Oil Corporation | 194 | 9,801 | ||||||||
National Oilwell Varco, Inc. | 1,387 | 90,890 | ||||||||
Newfield Exploration Co.* | 175 | 4,746 | ||||||||
Noble Energy, Inc. | 408 | 19,351 | ||||||||
Occidental Petroleum Corporation | 73,549 | 5,928,785 | ||||||||
ONEOK, Inc. | 236 | 11,750 | ||||||||
Phillips 66 | 4,649 | 333,333 | ||||||||
Pioneer Natural Resources Co. | 172 | 25,602 | ||||||||
QEP Resources, Inc. | 203 | 4,105 | ||||||||
Range Resources Corporation | 186 | 9,942 | ||||||||
Seventy Seven Energy, Inc.* | — | 1 | ||||||||
Southwestern Energy Co.* | 402 | 10,971 | ||||||||
Spectra Energy CorporationD | 8,565 | 310,909 | ||||||||
Tesoro Corporation | 95 | 7,063 | ||||||||
Valero Energy Corporation | 605 | 29,948 | ||||||||
Williams Cos., Inc. (The) | 895 | 40,221 | ||||||||
|
| |||||||||
21,591,067 | ||||||||||
|
| |||||||||
Financial Services — 7.8% |
| |||||||||
Affiliated Managers Group, Inc.* | 64 | 13,583 | ||||||||
Aflac, Inc. | 665 | 40,625 |
Shares | Value | |||||||||
Alleghany Corporation* | 700 | $ | 324,450 | |||||||
Alliance Data Systems Corporation* | 60 | 17,163 | ||||||||
Allstate Corporation (The) | 505 | 35,476 | ||||||||
American Express Co. | 3,564 | 331,595 | ||||||||
American International Group, Inc. | 1,660 | 92,977 | ||||||||
American Tower Corporation REIT | 447 | 44,186 | ||||||||
Ameriprise Financial, Inc. | 217 | 28,698 | ||||||||
Apartment Investment & Management Co. Class A REIT | 481 | 17,869 | ||||||||
Assurant, Inc. | 75 | 5,132 | ||||||||
AvalonBay Communities, Inc. REIT* | 65 | 10,620 | ||||||||
Bank of America Corporation | 11,993 | 214,555 | ||||||||
Bank of Hawaii CorporationD | 10,900 | 646,479 | ||||||||
Bank of New York Mellon Corporation (The) | 1,007 | 40,854 | ||||||||
BB&T Corporation | 805 | 31,306 | ||||||||
Berkshire Hathaway, Inc. Class B* | 2,159 | 324,174 | ||||||||
BlackRock, Inc. | 159 | 56,852 | ||||||||
Boston Properties, Inc. REIT | 174 | 22,392 | ||||||||
Capital One Financial Corporation | 694 | 57,290 | ||||||||
Capitol Federal Financial, Inc. | 308,700 | 3,945,186 | ||||||||
CBRE Group, Inc. Class A* | 315 | 10,789 | ||||||||
Charles Schwab Corporation (The) | 1,326 | 40,032 | ||||||||
Chubb Corporation (The)D | 28,867 | 2,986,868 | ||||||||
Cincinnati Financial Corporation | 105 | 5,442 | ||||||||
Citigroup, Inc. | 3,444 | 186,355 | ||||||||
City National CorporationD | 2,800 | 226,268 | ||||||||
CME Group, Inc. | 232 | 20,567 | ||||||||
Comerica, Inc.D | 16,301 | 763,539 | ||||||||
Commerce Bancshares, Inc.D | 37,708 | 1,639,921 | ||||||||
Crown Castle International Corporation REIT | 448 | 35,258 | ||||||||
Cullen/Frost Bankers, Inc. | 15,500 | 1,094,920 | ||||||||
Discover Financial Services | 616 | 40,342 | ||||||||
Dun & Bradstreet Corporation (The) | 54 | 6,532 | ||||||||
E*TRADE Financial Corporation* | 326 | 7,907 | ||||||||
Equifax, Inc. | 138 | 11,160 | ||||||||
Equity Residential REIT | 467 | 33,549 | ||||||||
Essex Property Trust, Inc. REIT | 70 | 14,462 | ||||||||
FactSet Research Systems, Inc.D | 5,000 | 703,750 | ||||||||
Fidelity National Information Services, Inc. | 329 | 20,464 | ||||||||
Fifth Third Bancorp | 1,381 | 28,138 | ||||||||
Fiserv, Inc.* | 888 | 63,021 | ||||||||
Franklin Resources, Inc. | 456 | 25,249 | ||||||||
General Growth Properties, Inc. REIT | 589 | 16,569 | ||||||||
Genworth Financial, Inc. Class A* | 565 | 4,802 | ||||||||
Goldman Sachs Group, Inc. (The) | 1,466 | 284,155 | ||||||||
Hartford Financial Services Group, Inc. (The) | 507 | 21,137 | ||||||||
HCP, Inc. REIT | 516 | 22,719 | ||||||||
Health Care REIT, Inc. | 570 | 43,132 |
See Notes to Financial Statements. | 173 |
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Host Hotels & Resorts, Inc. REIT | 861 | $ | 20,466 | |||||||
Hudson City Bancorp, Inc. | 522 | 5,283 | ||||||||
Huntington Bancshares, Inc. | 953 | 10,026 | ||||||||
Intercontinental Exchange, Inc. | 120 | 26,315 | ||||||||
Jack Henry & Associates, Inc.D | 600 | 37,284 | ||||||||
JPMorgan Chase & Co. | 19,843 | 1,241,775 | ||||||||
KeyCorp | 58,667 | 815,471 | ||||||||
Kimco Realty Corporation REIT | 228 | 5,732 | ||||||||
Leucadia National Corporation | 355 | 7,959 | ||||||||
Lincoln National Corporation | 300 | 17,301 | ||||||||
Loews Corporation | 130 | 5,463 | ||||||||
M&T Bank CorporationD | 9,999 | 1,256,074 | ||||||||
Macerich Co. (The) REIT | 159 | 13,262 | ||||||||
Markel Corporation* | 1,200 | 819,408 | ||||||||
Marsh & McLennan Cos., Inc.D | 68,435 | 3,917,219 | ||||||||
MasterCard, Inc. Class A | 10,157 | 875,127 | ||||||||
McGraw Hill Financial, Inc. | 309 | 27,495 | ||||||||
MetLife, Inc. | 11,598 | 627,336 | ||||||||
Moody’s Corporation | 279 | 26,731 | ||||||||
Morgan Stanley | 1,593 | 61,808 | ||||||||
Navient Corporation | 520 | 11,237 | ||||||||
New York Community Bancorp, Inc.D | 34,400 | 550,400 | ||||||||
Northern Trust Corporation | 62,053 | 4,182,372 | ||||||||
People’s United Financial, Inc.D | 64,245 | 975,239 | ||||||||
Piedmont Office Realty Trust, Inc. Class A REITD | 71,200 | 1,341,408 | ||||||||
Plum Creek Timber Co., Inc. REIT | 202 | 8,644 | ||||||||
PNC Financial Services Group, Inc. (The) | 58,966 | 5,379,468 | ||||||||
Principal Financial Group, Inc. | 312 | 16,205 | ||||||||
Progressive Corporation (The) | 11,413 | 308,037 | ||||||||
Prologis, Inc. REIT | 334 | 14,372 | ||||||||
Prudential Financial, Inc. | 524 | 47,401 | ||||||||
Public Storage REIT | 108 | 19,964 | ||||||||
Regions Financial Corporation | 1,188 | 12,545 | ||||||||
Signature Bank* | 1,800 | 226,728 | ||||||||
Simon Property Group, Inc. REIT | 415 | 75,576 | ||||||||
State Street Corporation | 490 | 38,465 | ||||||||
SunTrust Banks, Inc. | 13,907 | 582,703 | ||||||||
T. Rowe Price Group, Inc. | 297 | 25,500 | ||||||||
Torchmark Corporation | 321 | 17,389 | ||||||||
Total System Services, Inc. | 162 | 5,501 | ||||||||
Travelers Cos., Inc. (The) | 11,101 | 1,175,041 | ||||||||
Unum Group | 295 | 10,290 | ||||||||
US Bancorp | 27,189 | 1,222,145 | ||||||||
Ventas, Inc. REIT | 333 | 23,876 | ||||||||
Visa, Inc. Class AD | 8,364 | 2,193,041 | ||||||||
Vornado Realty Trust REIT | 197 | 23,189 | ||||||||
Signature Bank* | 1,800 | 226,728 | ||||||||
W.R. Berkley Corporation | 1,900 | 97,394 | ||||||||
Wells Fargo & Co. | 27,261 | 1,494,448 | ||||||||
Western Union Co. (The) | 622 | 11,140 | ||||||||
Weyerhaeuser Co. REIT | 511 | 18,340 | ||||||||
Zions Bancorporation | 159 | 4,533 | ||||||||
|
| |||||||||
44,588,635 | ||||||||||
|
| |||||||||
Healthcare — 6.0% |
| |||||||||
Abbott Laboratories | 16,909 | 761,243 | ||||||||
AbbVie, Inc. | 16,572 | 1,084,472 | ||||||||
Aetna, Inc. | 6,711 | 596,138 | ||||||||
Agilent Technologies, Inc. | 377 | 15,434 |
Shares | Value | |||||||||
Alexion Pharmaceuticals, Inc.* | 3,124 | $ | 578,034 | |||||||
Allergan, Inc. | 591 | 125,641 | ||||||||
Amgen, Inc. | 3,585 | 571,055 | ||||||||
Anthem, Inc. | 1,640 | 206,099 | ||||||||
Baxter International, Inc. | 8,506 | 623,405 | ||||||||
Becton, Dickinson and Co. | 9,132 | 1,270,809 | ||||||||
Biogen Idec, Inc.* | 1,768 | 600,148 | ||||||||
Boston Scientific Corporation* | 1,348 | 17,861 | ||||||||
Bristol-Myers Squibb Co. | 24,448 | 1,443,165 | ||||||||
C.R. Bard, Inc. | 4,074 | 678,810 | ||||||||
Cardinal Health, Inc. | 14,076 | 1,136,355 | ||||||||
CareFusion Corporation* | 76 | 4,510 | ||||||||
Celgene Corporation* | 4,590 | 513,437 | ||||||||
Centene Corporation* | 3,300 | 342,705 | ||||||||
Cerner Corporation* | 1,935 | 125,117 | ||||||||
Cigna Corporation | 310 | 31,902 | ||||||||
Covance, Inc.* | 200 | 20,768 | ||||||||
DaVita HealthCare Partners, Inc.* | 200 | 15,148 | ||||||||
DENTSPLY International, Inc. | 161 | 8,576 | ||||||||
Edwards Lifesciences Corporation* | 1,968 | 250,684 | ||||||||
Eli Lilly & Co. | 52,605 | 3,629,219 | ||||||||
Express Scripts Holding Co.* | 6,045 | 511,830 | ||||||||
Gilead Sciences, Inc.* | 1,936 | 182,487 | ||||||||
Halyard Health, Inc.D* | 2,012 | 91,486 | ||||||||
Health Net, Inc.* | 4,300 | 230,179 | ||||||||
Henry Schein, Inc.D* | 2,100 | 285,915 | ||||||||
Hospira, Inc.* | 189 | 11,576 | ||||||||
Humana, Inc. | 2,976 | 427,443 | ||||||||
IDEXX Laboratories, Inc.* | 2,400 | 355,848 | ||||||||
Intuitive Surgical, Inc.* | 343 | 181,426 | ||||||||
Johnson & Johnson | 93,647 | 9,792,667 | ||||||||
Laboratory Corporation of America HoldingsD* | 2,051 | 221,303 | ||||||||
McKesson Corporation | 5,682 | 1,179,470 | ||||||||
MEDNAX, Inc.* | 2,600 | 171,886 | ||||||||
Medtronic, Inc. | 11,429 | 825,174 | ||||||||
Mylan, Inc.* | 1,226 | 69,110 | ||||||||
Myriad Genetics, Inc.D* | 3,000 | 102,180 | ||||||||
Patterson Cos., Inc. | 120 | 5,772 | ||||||||
PerkinElmer, Inc. | 128 | 5,597 | ||||||||
Quest Diagnostics, Inc.D | 33,643 | 2,256,100 | ||||||||
Regeneron Pharmaceuticals, Inc.* | 89 | 36,512 | ||||||||
Seattle Genetics, Inc.D* | 4,700 | 151,011 | ||||||||
St. Jude Medical, Inc. | 321 | 20,875 | ||||||||
Stryker Corporation | 11,335 | 1,069,231 | ||||||||
Tenet Healthcare Corporation* | 123 | 6,232 | ||||||||
Thermo Fisher Scientific, Inc. | 444 | 55,629 | ||||||||
UnitedHealth Group, Inc. | 14,909 | 1,507,151 | ||||||||
Universal Health Services, Inc. Class B | 40 | 4,450 | ||||||||
Vertex Pharmaceuticals, Inc.D* | 868 | 103,118 | ||||||||
Zimmer Holdings, Inc. | 1,372 | 155,612 | ||||||||
Zoetis, Inc. | 1,809 | 77,841 | ||||||||
|
| |||||||||
34,745,846 | ||||||||||
|
| |||||||||
Materials & Processing — 1.1% |
| |||||||||
Air Products & Chemicals, Inc. | 27,324 | 3,940,941 | ||||||||
Airgas, Inc. | 46 | 5,298 | ||||||||
Alcoa, Inc. | 1,077 | 17,006 | ||||||||
Allegheny Technologies, Inc. | 139 | 4,833 | ||||||||
Ball Corporation | 161 | 10,975 | ||||||||
CF Industries Holdings, Inc. | 63 | 17,170 |
174 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Dow Chemical Co. (The) | 1,623 | $ | 74,025 | |||||||
E.I. du Pont de Nemours & Co. | 1,053 | 77,859 | ||||||||
Eastman Chemical Co. | 174 | 13,200 | ||||||||
Ecolab, Inc. | 340 | 35,537 | ||||||||
Fastenal Co.D | 5,308 | 252,448 | ||||||||
FMC Corporation | 151 | 8,612 | ||||||||
Freeport-McMoRan, Inc. | 1,602 | 37,423 | ||||||||
International Flavors & Fragrances, Inc. | 693 | 70,242 | ||||||||
International Paper Co. | 550 | 29,469 | ||||||||
Martin Marietta Materials, Inc. | 70 | 7,722 | ||||||||
Masco Corporation | 401 | 10,105 | ||||||||
MeadWestvaco Corporation | 255 | 11,319 | ||||||||
Monsanto Co. | 513 | 61,288 | ||||||||
Mosaic Co. (The) | 346 | 15,795 | ||||||||
Newmont Mining Corporation | 511 | 9,658 | ||||||||
Nucor Corporation | 7,154 | 350,904 | ||||||||
Owens-Illinois, Inc.* | 127 | 3,428 | ||||||||
PPG Industries, Inc. | 1,957 | 452,361 | ||||||||
Praxair, Inc. | 919 | 119,066 | ||||||||
Precision Castparts Corporation | 158 | 38,059 | ||||||||
Sealed Air Corporation | 225 | 9,547 | ||||||||
Sherwin-Williams Co. | 2,587 | 680,484 | ||||||||
Sigma-Aldrich Corporation | 52 | 7,138 | ||||||||
Veritiv Corporation* | 1 | 27 | ||||||||
Vulcan Materials Co. | 147 | 9,662 | ||||||||
|
| |||||||||
6,381,601 | ||||||||||
|
| |||||||||
Producer Durables — 5.2% |
| |||||||||
3M Co. | 9,317 | 1,530,970 | ||||||||
ADT Corporation (The)D | 40,208 | 1,456,736 | ||||||||
Alaska Air Group, Inc. | 300 | 17,928 | ||||||||
AMETEK, Inc. | 278 | 14,631 | ||||||||
Automatic Data Processing, Inc. | 19,827 | 1,652,977 | ||||||||
Boeing Co. (The) | 5,361 | 696,823 | ||||||||
C.H. Robinson Worldwide, Inc. | 98 | 7,339 | ||||||||
Caterpillar, Inc. | 705 | 64,529 | ||||||||
Cintas CorporationD | 3,300 | 258,852 | ||||||||
Clean Harbors, Inc.D* | 1,200 | 57,660 | ||||||||
CSX Corporation | 1,157 | 41,918 | ||||||||
Cummins, Inc. | 196 | 28,257 | ||||||||
Danaher Corporation | 3,314 | 284,043 | ||||||||
Deere & Co. | 419 | 37,069 | ||||||||
Delta Air Lines, Inc. | 1,218 | 59,913 | ||||||||
Dover Corporation | 192 | 13,770 | ||||||||
Emerson Electric Co. | 694 | 42,841 | ||||||||
Expeditors International of Washington, Inc. | 129 | 5,755 | ||||||||
FedEx Corporation | 1,164 | 202,140 | ||||||||
FLIR Systems, Inc. | 5,145 | 166,235 | ||||||||
Flowserve Corporation | 133 | 7,957 | ||||||||
Fluor Corporation | 182 | 11,035 | ||||||||
General Dynamics Corporation | 3,769 | 518,690 | ||||||||
General Electric Co. | 156,449 | 3,953,466 | ||||||||
Honeywell International, Inc. | 3,189 | 318,645 | ||||||||
Illinois Tool Works, Inc. | 443 | 41,952 | ||||||||
Iron Mountain, Inc. REIT | 206 | 7,964 | ||||||||
Jacobs Engineering Group, Inc.* | 78 | 3,486 | ||||||||
Kansas City Southern | 102 | 12,447 | ||||||||
Landstar System, Inc.D | 500 | 36,265 | ||||||||
Lockheed Martin Corporation | 5,164 | 994,432 |
Shares | Value | |||||||||
Mettler Toledo International, Inc.* | 1,500 | $ | 453,690 | |||||||
MSC Industrial Direct | 3,700 | 300,625 | ||||||||
Norfolk Southern Corporation | 332 | 36,391 | ||||||||
Northrop Grumman Corporation | 3,047 | 449,097 | ||||||||
PACCAR, Inc. | 409 | 27,816 | ||||||||
Pall Corporation | 102 | 10,323 | ||||||||
Parker Hannifin Corporation | 153 | 19,729 | ||||||||
Paychex, Inc. | 21,169 | 977,373 | ||||||||
Pitney Bowes, Inc. | 332 | 8,091 | ||||||||
Quanta Services, Inc.* | 139 | 3,946 | ||||||||
Raytheon Co. | 6,236 | 674,548 | ||||||||
Republic Services, Inc. | 81,513 | 3,280,898 | ||||||||
Robert Half International, Inc. | 115 | 6,714 | ||||||||
Rockwell Automation, Inc. | 141 | 15,679 | ||||||||
Rockwell Collins, Inc. | 4,504 | 380,498 | ||||||||
Roper Industries, Inc. | 44 | 6,879 | ||||||||
Ryder System, Inc. | 111 | 10,306 | ||||||||
Snap-on, Inc. | 44 | 6,017 | ||||||||
Southwest Airlines Co. | 5,993 | 253,624 | ||||||||
Spirit Airlines, Inc.* | 4,000 | 302,320 | ||||||||
Stanley Black & Decker, Inc. | 177 | 17,006 | ||||||||
Stericycle, Inc.D* | 11,397 | 1,493,919 | ||||||||
Textron, Inc. | 272 | 11,454 | ||||||||
Union Pacific Corporation | 7,214 | 859,404 | ||||||||
United Parcel Service, Inc. | 50,952 | 5,664,334 | ||||||||
United Technologies Corporation | 3,372 | 387,780 | ||||||||
W.W. Grainger, Inc. | 8 | 2,039 | ||||||||
Waste Connections, Inc. | 2,200 | 96,778 | ||||||||
Waste Management, Inc. | 31,491 | 1,616,118 | ||||||||
Xerox Corporation | 1,257 | 17,422 | ||||||||
Xylem, Inc. | 246 | 9,365 | ||||||||
|
| |||||||||
29,946,908 | ||||||||||
|
| |||||||||
Technology — 2.9% |
| |||||||||
Adobe Systems, Inc.* | 1,128 | 82,006 | ||||||||
Akamai Technologies, Inc.* | 203 | 12,781 | ||||||||
Altera Corporation | 4,058 | 149,903 | ||||||||
Amphenol Corporation Class A | 428 | 23,031 | ||||||||
Analog Devices, Inc. | 12,354 | 685,894 | ||||||||
Apple, Inc. | 16,441 | 1,814,758 | ||||||||
Applied Materials, Inc. | 20,870 | 520,080 | ||||||||
Autodesk, Inc.* | 2,557 | 153,574 | ||||||||
Broadcom Corporation Class A | 627 | 27,168 | ||||||||
CA, Inc. | 368 | 11,206 | ||||||||
CDK Global, Inc. | — | — | ||||||||
Cisco Systems, Inc. | 6,471 | 179,991 | ||||||||
Citrix Systems, Inc.* | 176 | 11,229 | ||||||||
Cognizant Technology Solutions Corporation Class A* | 3,490 | 183,783 | ||||||||
Computer Sciences Corporation | 165 | 10,403 | ||||||||
Corning, Inc. | 1,580 | 36,229 | ||||||||
Electronic Arts, Inc.* | 351 | 16,502 | ||||||||
EMC Corporation | 2,300 | 68,402 | ||||||||
F5 Networks, Inc.D* | 2,946 | 384,350 | ||||||||
Facebook, Inc. Class A* | 2,216 | 172,892 | ||||||||
Gartner, Inc.D* | 1,600 | 134,736 | ||||||||
Google, Inc. Class A* | 1,920 | 1,018,867 | ||||||||
Google, Inc. Class C* | 320 | 168,448 | ||||||||
Harris Corporation | 120 | 8,618 |
See Notes to Financial Statements. | 175 |
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Hewlett-Packard Co. | 2,151 | $ | 86,320 | |||||||
Intel Corporation | 32,598 | 1,182,982 | ||||||||
International Business Machines Corporation | 9,099 | 1,459,844 | ||||||||
Intuit, Inc.D | 13,822 | 1,274,250 | ||||||||
Juniper Networks, Inc. | 571 | 12,745 | ||||||||
KLA-Tencor CorporationD | 3,188 | 224,180 | ||||||||
Lam Research Corporation | 181 | 14,361 | ||||||||
Linear Technology Corporation | 19,568 | 892,301 | ||||||||
LinkedIn Corporation, Class AD* | 1,700 | 390,507 | ||||||||
Microchip Technology, Inc.D | 2,228 | 100,505 | ||||||||
Micron Technology, Inc.* | 1,206 | 42,222 | ||||||||
Microsoft Corporation | 33,207 | 1,542,465 | ||||||||
Motorola Solutions, Inc. | 226 | 15,160 | ||||||||
NetApp, Inc. | 8,874 | 367,827 | ||||||||
NVIDIA Corporation | 633 | 12,692 | ||||||||
Oracle Corporation | 3,927 | 176,597 | ||||||||
Palo Alto Networks, Inc.* | 3,000 | 367,710 | ||||||||
QUALCOMM, Inc. | 17,288 | 1,285,017 | ||||||||
Red Hat, Inc.* | 2,580 | 178,381 | ||||||||
salesforce.com, Inc.* | 703 | 41,695 | ||||||||
SanDisk Corporation | 256 | 25,083 | ||||||||
Skyworks Solutions, Inc. | 800 | 58,168 | ||||||||
Splunk, Inc.D* | 3,900 | 229,905 | ||||||||
Symantec Corporation | 785 | 20,139 | ||||||||
Synopsys, Inc.* | 600 | 26,082 | ||||||||
Tableau Software, Inc. Class AD* | 1,600 | 135,616 | ||||||||
Teradata CorporationD* | 1,480 | 64,646 | ||||||||
Texas Instruments, Inc. | 6,431 | 343,833 | ||||||||
VeriSign, Inc.* | 180 | 10,260 | ||||||||
VMware, Inc. Class A* | 1,700 | 140,284 | ||||||||
Western Digital Corporation | 239 | 26,457 | ||||||||
Xilinx, Inc. | 3,704 | 160,346 | ||||||||
Yahoo!, Inc.* | 1,008 | 50,914 | ||||||||
Yelp, Inc.D* | 2,100 | 114,933 | ||||||||
|
| |||||||||
16,949,278 | ||||||||||
|
| |||||||||
Utilities — 6.7% |
| |||||||||
AES Corporation | 1,420 | 19,553 | ||||||||
AGL Resources, Inc. | 4,300 | 234,393 | ||||||||
Alliant Energy Corporation | 1,900 | 126,198 | ||||||||
Ameren Corporation | 174 | 8,027 | ||||||||
American Electric Power Co., Inc. | 11,678 | 709,088 | ||||||||
American Water Works Co., Inc. | 20,800 | 1,108,640 | ||||||||
Aqua America, Inc. | 3,000 | 80,100 | ||||||||
AT&T, Inc.D | 37,670 | 1,265,335 | ||||||||
Atmos Energy Corporation | 8,700 | 484,938 | ||||||||
CenterPoint Energy, Inc. | 11,288 | 264,478 | ||||||||
CenturyLink, Inc. | 6,961 | 275,516 | ||||||||
CMS Energy Corporation | 355 | 12,336 | ||||||||
Consolidated Edison, Inc.D | 13,857 | 914,701 | ||||||||
Dominion Resources, Inc. | 15,793 | 1,214,482 | ||||||||
DTE Energy Co. | 10,001 | 863,786 | ||||||||
Duke Energy Corporation | 10,636 | 888,531 | ||||||||
Edison International | 39,071 | 2,558,369 | ||||||||
Entergy Corporation | 204 | 17,846 | ||||||||
Exelon Corporation | 974 | 36,116 | ||||||||
FirstEnergy Corporation | 633 | 24,681 | ||||||||
Frontier Communications Corporation | 2,478 | 16,528 | ||||||||
NextEra Energy, Inc. | 7,994 | 849,682 | ||||||||
NiSource, Inc. | 9,257 | 392,682 |
Shares | Value | |||||||||
Northeast Utilities | 356 | $ | 19,053 | |||||||
NRG Energy, Inc. | 370 | 9,971 | ||||||||
ONE Gas, Inc. | 143,449 | 5,912,968 | ||||||||
Pepco Holdings, Inc. | 280 | 7,540 | ||||||||
PG&E Corporation | 67,920 | 3,616,061 | ||||||||
Piedmont Natural Gas Co., Inc.D | 41,624 | 1,640,402 | ||||||||
Pinnacle West Capital Corporation | 3,600 | 245,916 | ||||||||
PPL Corporation | 1,005 | 36,512 | ||||||||
Public Service Enterprise Group, Inc. | 13,775 | 570,423 | ||||||||
Questar Corporation | 18,400 | 465,152 | ||||||||
SCANA Corporation | 161 | 9,724 | ||||||||
Sempra Energy | 16,773 | 1,867,841 | ||||||||
Southern Co. (The) | 29,137 | 1,430,918 | ||||||||
TECO Energy, Inc. | 293 | 6,004 | ||||||||
UGI Corporation | 8,200 | 311,436 | ||||||||
Vectren Corporation | 11,500 | 531,645 | ||||||||
Verizon Communications, Inc. | 116,033 | 5,428,024 | ||||||||
Westar Energy, Inc.D | 45,600 | 1,880,544 | ||||||||
WGL Holdings, Inc.D | 30,000 | 1,638,600 | ||||||||
Windstream Holdings, Inc. | 1,811 | 14,923 | ||||||||
Wisconsin Energy CorporationD | 3,909 | 206,161 | ||||||||
Xcel Energy, Inc. | 9,067 | 325,687 | ||||||||
|
| |||||||||
38,541,511 | ||||||||||
|
| |||||||||
Total Common Stocks |
| 258,939,461 | ||||||||
|
| |||||||||
FOREIGN COMMON STOCKS — 3.2% |
| |||||||||
Bermuda — 0.3% |
| |||||||||
Arch Capital Group, Ltd.* | 6,100 | 360,510 | ||||||||
Everest Re Group, Ltd. | 5,900 | 1,004,770 | ||||||||
Invesco, Ltd. | 543 | 21,459 | ||||||||
Nabors Industries, Ltd. | 295 | 3,829 | ||||||||
PartnerRe, Ltd.D | 300 | 34,239 | ||||||||
RenaissanceRe Holdings, Ltd. | 4,600 | 447,212 | ||||||||
|
| |||||||||
1,872,019 | ||||||||||
|
| |||||||||
British Virgin Islands — 0.0% |
| |||||||||
Michael Kors Holdings, Ltd.* | 280 | 21,028 | ||||||||
|
| |||||||||
Canada — 0.4% |
| |||||||||
Potash Corporation of Saskatchewan, Inc. | 60,300 | 2,129,796 | ||||||||
|
| |||||||||
Curacao — 0.0% |
| |||||||||
Schlumberger, Ltd. | 2,587 | 220,956 | ||||||||
|
| |||||||||
France — 0.9% |
| |||||||||
Sanofi | 7,600 | 692,898 | ||||||||
Total SA | 81,400 | 4,170,297 | ||||||||
|
| |||||||||
4,863,195 | ||||||||||
|
| |||||||||
Ireland — 0.4% |
| |||||||||
Accenture PLC Class A | 10,698 | 955,438 | ||||||||
Allegion PLC | 94 | 5,213 | ||||||||
Covidien PLC | 520 | 53,186 | ||||||||
Eaton Corporation PLC | 540 | 36,698 | ||||||||
Ingersoll-Rand PLC | 294 | 18,637 | ||||||||
Mallinckrodt PLC* | 65 | 6,437 | ||||||||
Pentair PLC | 224 | 14,878 | ||||||||
Seagate Technology PLC | 372 | 24,738 | ||||||||
Tyco International PLC | 31,466 | 1,380,099 | ||||||||
XL Group PLC | 164 | 5,637 | ||||||||
|
| |||||||||
2,500,961 | ||||||||||
|
|
176 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Japan — 0.1% |
| |||||||||
Honda Motor Co., Ltd. | 15,300 | $ | 448,876 | |||||||
|
| |||||||||
Jersey — 0.0% |
| |||||||||
Delphi Automotive PLC | 227 | 16,507 | ||||||||
|
| |||||||||
Liberia — 0.0% |
| |||||||||
Royal Caribbean Cruises, Ltd. | 107 | 8,820 | ||||||||
|
| |||||||||
Netherlands — 0.2% |
| |||||||||
Koninklijke Philips NV | 34,492 | 999,788 | ||||||||
LyondellBasell Industries NV Class A | 489 | 38,821 | ||||||||
Nielsen NV | 323 | 14,448 | ||||||||
|
| |||||||||
1,053,057 | ||||||||||
|
| |||||||||
Panama — 0.0% |
| |||||||||
Carnival Corporation | 498 | 22,574 | ||||||||
|
| |||||||||
Singapore — 0.0% |
| |||||||||
Avago Technologies, Ltd. | 271 | 27,260 | ||||||||
|
| |||||||||
Switzerland — 0.4% |
| |||||||||
ABB, Ltd.* | 69,500 | 1,470,490 | ||||||||
ACE, Ltd. | 7,433 | 853,903 | ||||||||
Garmin, Ltd. | 139 | 7,343 | ||||||||
TE Connectivity, Ltd. | 347 | 21,948 | ||||||||
Transocean, Ltd. | 556 | 10,192 | ||||||||
|
| |||||||||
2,363,876 | ||||||||||
|
| |||||||||
United Kingdom — 0.5% |
| |||||||||
Aon PLC | 5,419 | 513,884 | ||||||||
BAE Systems PLC | 36,800 | 269,126 | ||||||||
Ensco PLC Class A | 457 | 13,687 | ||||||||
Noble Corporation PLC | 288 | 4,772 | ||||||||
Royal Dutch Shell PLC Class B | 51,600 | 1,782,838 | ||||||||
|
| |||||||||
2,584,307 | ||||||||||
|
| |||||||||
Total Foreign Common Stocks |
| 18,133,232 | ||||||||
|
| |||||||||
PREFERRED STOCKS — 5.5% |
| |||||||||
Alcoa, Inc., | ||||||||||
5.38%, 10/01/17D | 8,644 | 436,090 | ||||||||
Bank of America Corporation, | ||||||||||
7.25%, 12/31/49 | 7,015 | 8,158,234 | ||||||||
Health Care REIT, Inc., | ||||||||||
6.50%, 12/31/49 | 16,300 | 1,073,355 | ||||||||
Laclede Group, Inc. (The), | ||||||||||
6.75%, 04/01/17D | 66,276 | 3,708,805 | ||||||||
Stanley Black & Decker, Inc., | ||||||||||
4.75%, 11/17/15 | 32,300 | 4,453,524 | ||||||||
US Bancorp, | ||||||||||
6.00%, 04/15/17 | 199,500 | 5,410,440 | ||||||||
Wells Fargo & Co., | ||||||||||
7.50%, 12/31/49 | 7,073 | 8,530,038 | ||||||||
|
| |||||||||
Total Preferred Stocks |
| 31,770,486 | ||||||||
|
| |||||||||
MASTER LIMITED PARTNERSHIP — 0.3% |
| |||||||||
Spectra Energy Partners LP | 31,573 | 1,798,714 | ||||||||
|
|
Shares | Value | |||||||||
MONEY MARKET FUNDS — 18.0% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 26,355,033 | $ | 26,355,033 | |||||||
Northern Institutional Liquid Assets Portfolio§ | 76,778,472 | 76,778,472 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 103,133,505 | ||||||||
|
| |||||||||
SYNTHETIC CONVERTIBLE INSTRUMENT — 0.9% |
| |||||||||
Bank of America Corporation+ | 6,000 | 215,340 | ||||||||
Citigroup Global Markets Holdings, Inc.+ 144A | 34,500 | 1,248,210 | ||||||||
Citigroup, Inc.+ 144A | 10,900 | 650,512 | ||||||||
Credit Suisse NY+ | 47,400 | 751,764 | ||||||||
Deutsche Bank AG+ 144A | 20,000 | 844,920 | ||||||||
Goldman Sachs Group, Inc.+ 144A | 22,700 | 948,406 | ||||||||
UBS AG+ | 16,900 | 662,311 | ||||||||
|
| |||||||||
Total Synthetic Convertible Instrument |
| 5,321,463 | ||||||||
|
| |||||||||
Par | ||||||||||
CORPORATE BONDS — 21.9% |
| |||||||||
Akamai Technologies, Inc. | ||||||||||
(0.95)%, 02/15/19 CONV 144AW†D | $ | 2,700,000 | 2,814,764 | |||||||
Alere, Inc. | ||||||||||
3.00%, 05/15/16 CONV | 700,000 | 731,500 | ||||||||
Allscripts Healthcare Solutions, Inc. | ||||||||||
1.25%, 07/01/20 CONV | 1,190,000 | 1,176,612 | ||||||||
AOL, Inc. | ||||||||||
0.75%, 09/01/19 CONV 144AD | 580,000 | 616,975 | ||||||||
Ares Capital Corporation | �� | |||||||||
5.13%, 06/01/16 CONVD | 1,855,000 | 1,908,331 | ||||||||
BioMarin Pharmaceutical, Inc. | ||||||||||
0.75%, 10/15/18 CONV | 1,675,000 | 1,977,547 | ||||||||
Biomet, Inc. | ||||||||||
6.50%, 10/01/20 | 495,000 | 523,462 | ||||||||
Blucora, Inc. | ||||||||||
4.25%, 04/01/19 CONV | 1,750,000 | 1,653,750 | ||||||||
Bristow Group, Inc. | ||||||||||
3.00%, 06/15/38 CONV | 750,000 | 783,750 | ||||||||
Cardtronics, Inc. | ||||||||||
1.00%, 12/01/20 CONVD | 1,275,000 | 1,267,828 | ||||||||
Cepheid | ||||||||||
1.25%, 02/01/21 CONV 144AD | 1,755,000 | 1,935,984 | ||||||||
Chesapeake Energy Corporation | ||||||||||
2.50%, 05/15/37 CONVD | 2,330,000 | 2,274,662 | ||||||||
Ciena Corporation | ||||||||||
0.88%, 06/15/17 CONVD | 1,440,000 | 1,433,700 | ||||||||
Citigroup, Inc. | ||||||||||
5.95%, 07/29/49† | 2,675,000 | 2,638,219 | ||||||||
Citrix Systems, Inc. | ||||||||||
0.50%, 04/15/19 CONV 144AD | 290,000 | 305,769 | ||||||||
Clearwire Communications LLC | ||||||||||
8.25%, 12/01/40 CONV 144A | 2,380,000 | 2,600,150 | ||||||||
Dealertrack Technologies, Inc. | ||||||||||
1.50%, 03/15/17 CONVD | 105,000 | 136,697 |
See Notes to Financial Statements. | 177 |
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
Electronic Arts, Inc. | ||||||||||
0.75%, 07/15/16 CONVD | $ | 1,285,000 | $ | 1,941,956 | ||||||
Euronet Worldwide, Inc. | ||||||||||
1.50%, 10/01/44 CONV 144A | 585,000 | 597,066 | ||||||||
Extra Space Storage LP | ||||||||||
2.38%, 07/01/33 CONV 144A | 1,630,000 | 1,782,812 | ||||||||
Forest City Enterprises, Inc. | ||||||||||
3.63%, 08/15/20 CONV | 2,285,000 | 2,433,525 | ||||||||
General Electric Capital Corporation | ||||||||||
6.25%, 12/29/49† | 3,000,000 | 3,281,250 | ||||||||
Goodrich Petroleum Corporation | ||||||||||
5.00%, 10/01/32 CONVD | 920,000 | 487,025 | ||||||||
Greenbrier Cos., Inc. | ||||||||||
3.50%, 04/01/18 CONV | 525,000 | 792,094 | ||||||||
Griffon Corporation | ||||||||||
4.00%, 01/15/17 CONV 144A | 610,000 | 690,444 | ||||||||
Hologic, Inc. | ||||||||||
2.00%, 03/01/42 STEPD | 2,152,000 | 2,402,170 | ||||||||
HomeAway, Inc. | ||||||||||
0.13%, 04/01/19 CONV 144AD | 2,830,000 | 2,661,969 | ||||||||
Hornbeck Offshore Services, Inc. | ||||||||||
1.50%, 09/01/19 CONVD | 1,115,000 | 929,631 | ||||||||
Huron Consulting Group, Inc. | ||||||||||
1.25%, 10/01/19 CONV 144AD | 575,000 | 599,078 | ||||||||
Illumina, Inc. | ||||||||||
(2.20)%, 06/15/19 CONV 144AW†D | 1,665,000 | 1,833,581 | ||||||||
Integra LifeSciences Holdings Corporation | ||||||||||
1.63%, 12/15/16 CONVD | 1,790,000 | 1,911,944 | ||||||||
Intel Corporation | ||||||||||
2.95%, 12/15/35 CONV | 4,577,000 | 6,024,476 | ||||||||
j2 Global, Inc. | ||||||||||
3.25%, 06/15/29 CONV | 1,015,000 | 1,122,844 | ||||||||
Jarden Corporation | ||||||||||
1.88%, 09/15/18 CONVD | 865,000 | 1,360,753 | ||||||||
Lam Research Corporation | ||||||||||
0.50%, 05/15/16 CONVD | 1,140,000 | 1,501,950 | ||||||||
Liberty Interactive LLC | ||||||||||
1.00%, 09/30/43 CONV 144A | 2,215,000 | 2,450,344 | ||||||||
LinkedIn Corporation | ||||||||||
0.50%, 11/01/19 CONV 144A | 585,000 | 618,275 | ||||||||
Linn Energy LLC | ||||||||||
8.63%, 04/15/20 | 30,000 | 26,250 | ||||||||
Live Nation Entertainment, Inc. | ||||||||||
2.50%, 05/15/19 CONV 144A | 1,350,000 | 1,429,313 | ||||||||
Macquarie Infrastructure Co. LLC | ||||||||||
2.88%, 07/15/19 CONVD | 1,810,000 | 2,065,662 | ||||||||
Mediacom LLC | ||||||||||
7.25%, 02/15/22D | 365,000 | 391,462 | ||||||||
Meritor, Inc. | ||||||||||
7.88%, 03/01/26 CONV | 775,000 | 1,280,203 | ||||||||
4.00%, 02/15/27 STEP | 1,145,000 | 1,235,169 |
Par | Value | |||||||||
Michaels Stores, Inc. | ||||||||||
5.88%, 12/15/20 144AD | $ | 500,000 | $ | 507,500 | ||||||
Microchip Technology, Inc. | ||||||||||
2.13%, 12/15/37 CONVD | 993,000 | 1,776,229 | ||||||||
Molina Healthcare, Inc. | ||||||||||
1.63%, 08/15/44 CONVD | 975,000 | 1,089,563 | ||||||||
National Health Investors, Inc. | ||||||||||
3.25%, 04/01/21 CONVD | 880,000 | 916,850 | ||||||||
Navistar International Corporation | ||||||||||
4.75%, 04/15/19 CONV 144A | 2,140,000 | 2,057,075 | ||||||||
NetSuite, Inc. | ||||||||||
0.25%, 06/01/18 CONV | 1,620,000 | 1,822,500 | ||||||||
Newmont Mining Corporation | ||||||||||
1.63%, 07/15/17 CONV | 1,685,000 | 1,715,541 | ||||||||
NRG Yield, Inc. | ||||||||||
3.50%, 02/01/19 CONV 144A | 1,670,000 | 1,849,525 | ||||||||
Nuance Communications, Inc. | ||||||||||
2.75%, 11/01/31 CONV | 1,855,000 | 1,858,478 | ||||||||
NuVasive, Inc. | ||||||||||
2.75%, 07/01/17 CONVD | 1,980,000 | 2,526,975 | ||||||||
NVIDIA Corporation | ||||||||||
1.00%, 12/01/18 CONV | 2,185,000 | 2,522,309 | ||||||||
Omnicare, Inc. | ||||||||||
3.25%, 12/15/35 CONVD | 1,860,000 | 2,089,447 | ||||||||
Priceline Group, Inc. | ||||||||||
0.90%, 09/15/21 CONV 144A | 1,655,000 | 1,580,525 | ||||||||
Prologis LP | ||||||||||
3.25%, 03/15/15 CONVD | 2,005,000 | 2,233,069 | ||||||||
Restoration Hardware Holdings, Inc. | ||||||||||
(0.80)%, 06/15/19 CONV 144AW†D | 615,000 | 638,447 | ||||||||
Reynolds Group Issuer, Inc. | ||||||||||
9.88%, 08/15/19 | 250,000 | 266,250 | ||||||||
Rovi Corporation | ||||||||||
2.63%, 02/15/40 CONVD | 690,000 | 693,450 | ||||||||
Royal Gold, Inc. | ||||||||||
2.88%, 06/15/19 CONV | 2,055,000 | 2,133,347 | ||||||||
RTI International Metals, Inc. | ||||||||||
1.63%, 10/15/19 CONVD | 2,200,000 | 2,149,125 | ||||||||
Ryland Group, Inc. | ||||||||||
0.25%, 06/01/19 CONVD | 2,215,000 | 2,061,334 | ||||||||
salesforce.com, Inc. | ||||||||||
0.25%, 04/01/18 CONVD | 1,995,000 | 2,278,041 | ||||||||
Salix Pharmaceuticals, Ltd. | ||||||||||
1.50%, 03/15/19 CONV | 370,000 | 676,406 | ||||||||
SEACOR Holdings, Inc. | ||||||||||
2.50%, 12/15/27 CONV | 1,550,000 | 1,646,875 | ||||||||
Shutterfly, Inc. | ||||||||||
0.25%, 05/15/18 CONV | 1,785,000 | 1,699,097 | ||||||||
Sirius XM Radio, Inc. | ||||||||||
5.88%, 10/01/20 144A | 200,000 | 206,500 | ||||||||
Starwood Property Trust, Inc. | ||||||||||
4.55%, 03/01/18 CONV | 2,100,000 | 2,241,750 | ||||||||
Tesla Motors, Inc. | ||||||||||
0.25%, 03/01/19 CONVD | 1,900,000 | 1,765,812 | ||||||||
TiVo, Inc. | ||||||||||
2.00%, 10/01/21 CONV 144A | 1,305,000 | 1,254,431 | ||||||||
T-Mobile USA, Inc. | ||||||||||
6.38%, 03/01/25 | 240,000 | 244,440 |
178 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||
Toll Brothers Finance Corporation | ||||||||||
0.50%, 09/15/32 CONVD | $ | 2,335,000 | $ | 2,393,375 | ||||||
TransDigm, Inc. | ||||||||||
6.50%, 07/15/24 | 150,000 | 151,500 | ||||||||
Trinity Industries, Inc. | ||||||||||
3.88%, 06/01/36 CONV | 580,000 | 764,875 | ||||||||
Twitter, Inc. | ||||||||||
0.25%, 09/15/19 CONV 144A | 2,420,000 | 2,114,475 | ||||||||
Volcano Corporation | ||||||||||
1.75%, 12/01/17 CONV | 1,655,000 | 1,647,759 | ||||||||
Walter Investment Management Corporation | ||||||||||
4.50%, 11/01/19 CONVD | 2,615,000 | 1,987,400 | ||||||||
Web.com Group, Inc. | ||||||||||
1.00%, 08/15/18 CONVD | 1,060,000 | 974,538 | ||||||||
WebMD Health Corporation | ||||||||||
2.50%, 01/31/18 CONV | 675,000 | 676,688 | ||||||||
1.50%, 12/01/20 CONVD | 1,700,000 | 1,705,312 | ||||||||
Yahoo!, Inc. | ||||||||||
(3.18)%, 12/01/18 CONVW† | 2,270,000 | 2,579,288 | ||||||||
|
| |||||||||
Total Corporate Bonds |
| 126,127,047 | ||||||||
|
| |||||||||
FOREIGN BONDS — 0.7% |
| |||||||||
Bermuda — 0.1% |
| |||||||||
Energy XXI, Ltd. | ||||||||||
3.00%, 12/15/18 CONVD | 720,000 | 217,800 | ||||||||
|
| |||||||||
Canada — 0.1% |
| |||||||||
Valeant Pharmaceuticals International, Inc. | ||||||||||
7.50%, 07/15/21 144A | 400,000 | 433,500 | ||||||||
|
| |||||||||
Netherlands — 0.5% |
| |||||||||
Siemens Financierings- maatschappij NV | ||||||||||
1.05%, 08/16/17 CONVD | 2,750,000 | 3,034,625 | ||||||||
|
| |||||||||
Total Foreign Bonds |
| 3,685,925 | ||||||||
|
| |||||||||
U.S. TREASURY OBLIGATIONS — 17.6% |
| |||||||||
U.S. Treasury Bills | ||||||||||
0.10%, 01/08/15 | 23,000,000 | 22,999,958 | ||||||||
0.09%, 04/02/15 | 29,550,000 | 29,547,399 | ||||||||
0.00%, 06/25/15 | 23,700,000 | 23,690,544 | ||||||||
0.05%, 06/25/15 | 700,000 | 699,721 | ||||||||
0.07%, 09/17/15 | 22,750,000 | 22,723,087 | ||||||||
0.11%, 09/17/15 | 1,600,000 | 1,598,107 | ||||||||
|
| |||||||||
101,258,816 | ||||||||||
|
| |||||||||
Total U.S. Treasury Obligations |
| 101,258,816 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS — 113.1% |
| 650,168,649 | ||||||||
|
|
Number of Contracts | Value | |||||||||
WRITTEN OPTIONS — (0.1)% |
| |||||||||
Call Options — 0.0% |
| |||||||||
S&P 500® Index, Strike Price $2,080.00, Expires 01/09/15 (MSCS) | (25 | ) | $ | (19,750 | ) | |||||
S&P 500® Index, Strike Price $2,1115.00, Expires 01/02/15 (MSCS) | (26 | ) | (260 | ) | ||||||
S&P 500® Index, Strike Price $2,130.00, Expires 01/17/15 (MSCS) | (25 | ) | (4,500 | ) | ||||||
S&P 500® Index, Strike Price $2,140.00, Expires 01/23/15 (MSCS) | (25 | ) | (5,625 | ) | ||||||
|
| |||||||||
(30,135 | ) | |||||||||
|
| |||||||||
Put Options — (0.1)% |
| |||||||||
S&P 500® Index, Strike Price $1,915.00, Expires 01/09/15 (MSCS) | (128 | ) | (33,920 | ) | ||||||
S&P 500® Index, Strike Price $1,995.00, Expires 01/17/15 (MSCS) | (126 | ) | (72,828 | ) | ||||||
S&P 500® Index, Strike Price $2,010.00, Expires 01/23/15 (MSCS) | (133 | ) | (246,050 | ) | ||||||
S&P 500® Index, Strike Price $2,015.00, Expires 01/02/15 (MSCS) | (124 | ) | (13,640 | ) | ||||||
|
| |||||||||
(366,438 | ) | |||||||||
|
| |||||||||
Total Written Options | (396,573 | ) | ||||||||
|
| |||||||||
Other Assets in Excess of | (74,740,006 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 575,032,070 | ||||||||
|
|
See Notes to Financial Statements. | 179 |
Table of Contents
DEFENSIVE MARKET STRATEGIES FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 258,939,461 | $ | 258,939,461 | $ | — | $ | — | ||||||||||||
Corporate Bonds | 126,127,047 | — | 126,127,047 | — | ||||||||||||||||
Foreign Bonds | 3,685,925 | — | 3,685,925 | — | ||||||||||||||||
Foreign Common Stocks: | ||||||||||||||||||||
Bermuda | 1,872,019 | 1,872,019 | — | — | ||||||||||||||||
British Virgin Islands | 21,028 | 21,028 | — | — | ||||||||||||||||
Canada | 2,129,796 | 2,129,796 | — | — | ||||||||||||||||
Curacao | 220,956 | 220,956 | — | — | ||||||||||||||||
France | 4,863,195 | — | 4,863,195 | — | ||||||||||||||||
Ireland | 2,500,961 | 2,500,961 | — | — | ||||||||||||||||
Japan | 448,876 | — | 448,876 | — | ||||||||||||||||
Jersey | 16,507 | 16,507 | — | — | ||||||||||||||||
Liberia | 8,820 | 8,820 | — | — | ||||||||||||||||
Netherlands | 1,053,057 | 53,269 | 999,788 | — | ||||||||||||||||
Panama | 22,574 | 22,574 | — | — | ||||||||||||||||
Singapore | 27,260 | 27,260 | — | — | ||||||||||||||||
Switzerland | 2,363,876 | 893,386 | 1,470,490 | — | ||||||||||||||||
United Kingdom | 2,584,307 | 532,344 | 2,051,963 | — | ||||||||||||||||
Master Limited Partnership | 1,798,714 | 1,798,714 | — | — | ||||||||||||||||
Money Market Funds | 103,133,505 | 103,133,505 | — | — | ||||||||||||||||
Preferred Stocks | 31,770,486 | 23,240,448 | — | 8,530,038 | ||||||||||||||||
U.S. Treasury Obligations | 101,258,816 | — | 101,258,816 | — | ||||||||||||||||
Synthetic Convertible Instrument | 5,321,463 | — | — | 5,321,463 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 650,168,649 | $ | 395,411,048 | $ | 240,906,100 | $ | 13,851,501 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 63,428 | $ | — | $ | 63,428 | $ | — | ||||||||||||
Futures Contracts | 404,047 | 404,047 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 467,475 | $ | 404,047 | $ | 63,428 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
180 | See Notes to Financial Statements. |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Liabilities: | ||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Written Options | $ | (396,573 | ) | $ | — | $ | (396,573 | ) | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Investments in Securities | $ | (396,573 | ) | $ | — | $ | (396,573 | ) | $ | — | ||||||||||
|
|
|
|
|
|
|
|
***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 year ended December 31, 2014.
The unobservable inputs used in the fair value measurement of the reporting entity’s preferred stock and synthetic convertible instruments 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.
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Total Value | Corporate Bonds | Preferred Stock | Synthetic Convertible Instruments | |||||||||||||
Balance, 12/31/13 | $ | 12,995,786 | $ | 3,024,494 | $ | 7,867,600 | $ | 2,103,692 | ||||||||
Accrued discounts/premiums | (58,588 | ) | (58,588 | ) | — | — | ||||||||||
Realized gain (loss)(1) | 479,266 | 140,861 | 338,405 | — | ||||||||||||
Change in unrealized appreciation (depreciation)(2) | 362,191 | (178,770 | ) | 399,899 | 141,062 | |||||||||||
Purchases | 10,283,968 | — | 5,059,266 | 5,224,702 | ||||||||||||
Sales | (10,211,122 | ) | (2,927,997 | ) | (5,135,132 | ) | (2,147,993 | ) | ||||||||
Transfers in to Level 3 | — | — | — | |||||||||||||
Transfers out of Level 3 | — | — | — | |||||||||||||
Maturities | — | — | — | |||||||||||||
Paydowns | — | — | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance, 12/31/14 | $ | 13,851,501 | $ | — | $ | 8,530,038 | $ | 5,321,463 | ||||||||
|
|
|
|
|
|
|
|
(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. | 181 |
Table of Contents
The Fund was passively managed and benchmarked against the S&P 500® Index. The Fund was comprised of domestic, large-cap equity stocks with both value- and growth-style orientations. The objective of the Fund was to provide investment results approximating the aggregate price and dividend performance of the securities included in the S&P 500® Index. The Investor Class of the Fund returned 13.31% for the one-year period ended December 31, 2014, as compared to a 13.69% return for the S&P 500® Index. The return differential was primarily a result of expenses of the Fund.
This Fund may be suitable for investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value and want to diversify their portfolio by adding a potentially higher return, higher risk option of stocks.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Financial Services | 17.9 | |||
Technology | 16.8 | |||
Consumer Discretionary | 13.1 | |||
Healthcare | 11.4 | |||
Money Market Funds | 11.4 | |||
Producer Durables | 10.2 | |||
Energy | 7.8 | |||
Consumer Staples | 7.0 | |||
Utilities | 5.5 | |||
Foreign Common Stocks | 3.3 | |||
Materials & Processing | 3.3 | |||
U.S. Treasury Obligation | 0.1 | |||
|
| |||
107.8 | ||||
|
|
182
Table of Contents
Equity Index Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||||||
Institutional Class* | Investor Class* | Benchmark** | ||||||||
One Year | 13.54% | 13.31% | 13.69% | |||||||
Five Year | 15.45% | 15.27% | 15.45% | |||||||
Ten Year | 7.53% | 7.36% | 7.67% | |||||||
Inception Date | 08/27/01 | 08/27/01 | ||||||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.25% | 0.49% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the S&P 500® Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
183
Table of Contents
EQUITY INDEX FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
COMMON STOCKS — 93.0% |
| |||||||||
Consumer Discretionary — 13.1% |
| |||||||||
Amazon.com, Inc.* | 9,025 | $ | 2,800,909 | |||||||
AutoNation, Inc.* | 1,753 | 105,899 | ||||||||
AutoZone, Inc.* | 770 | 476,715 | ||||||||
Avon Products, Inc.D | 10,664 | 100,135 | ||||||||
Bed Bath & Beyond, Inc.* | 4,452 | 339,109 | ||||||||
Best Buy Co., Inc.D | 6,818 | 265,766 | ||||||||
BorgWarner, Inc. | 5,343 | 293,598 | ||||||||
Cablevision Systems Corporation Class AD | 5,237 | 108,092 | ||||||||
CarMax, Inc.D* | 5,049 | 336,162 | ||||||||
CBS Corporation Class B | 11,263 | 623,294 | ||||||||
Chipotle Mexican Grill, Inc.* | 733 | 501,746 | ||||||||
Coach, Inc. | 6,439 | 241,849 | ||||||||
Comcast Corporation Class A | 61,197 | 3,550,038 | ||||||||
Costco Wholesale Corporation | 10,431 | 1,478,594 | ||||||||
D.R. Horton, Inc. | 7,977 | 201,738 | ||||||||
Darden Restaurants, Inc.D | 3,098 | 181,636 | ||||||||
DIRECTV* | 11,873 | 1,029,389 | ||||||||
Discovery Communications, Inc. Class A* | 3,629 | 125,019 | ||||||||
Discovery Communications, Inc. Class C* | 6,455 | 217,663 | ||||||||
Dollar General Corporation* | 7,179 | 507,555 | ||||||||
Dollar Tree, Inc.* | 4,857 | 341,836 | ||||||||
eBay, Inc.* | 26,882 | 1,508,618 | ||||||||
Estee Lauder Cos., Inc. (The) Class A | 5,339 | 406,832 | ||||||||
Expedia, Inc.D | 2,341 | 199,828 | ||||||||
Family Dollar Stores, Inc. | 2,300 | 182,183 | ||||||||
Ford Motor Co. | 91,702 | 1,421,381 | ||||||||
Fossil Group, Inc.* | 1,072 | 118,713 | ||||||||
GameStop Corporation Class AD | 2,693 | 91,023 | ||||||||
Gannett Co., Inc.D | 5,525 | 176,413 | ||||||||
Gap, Inc. (The) | 6,430 | 270,767 | ||||||||
General Motors Co. | 32,194 | 1,123,893 | ||||||||
Genuine Parts Co. | 3,625 | 386,316 | ||||||||
Goodyear Tire & Rubber Co. (The) | 6,649 | 189,962 | ||||||||
H&R Block, Inc. | 6,598 | 222,221 | ||||||||
Harley-Davidson, Inc. | 5,141 | 338,843 | ||||||||
Harman International Industries, Inc. | 1,590 | 169,669 | ||||||||
Hasbro, Inc.D | 2,682 | 147,483 | ||||||||
Home Depot, Inc. (The) | 31,349 | 3,290,705 | ||||||||
Interpublic Group of Cos., Inc. (The) | 9,872 | 205,041 | ||||||||
Johnson Controls, Inc. | 15,754 | 761,548 | ||||||||
Kohl’s CorporationD | 4,784 | 292,015 | ||||||||
L Brands, Inc. | 5,802 | 502,163 | ||||||||
Leggett & Platt, Inc.D | 3,364 | 143,340 | ||||||||
Lennar Corporation Class AD | 4,166 | 186,678 | ||||||||
Lowe’s Cos., Inc. | 23,175 | 1,594,440 | ||||||||
Macy’s, Inc.D | 8,183 | 538,032 | ||||||||
Marriott International, Inc. Class A | 5,025 | 392,101 | ||||||||
Mattel, Inc. | 8,029 | 248,457 | ||||||||
McDonald’s Corporation | 23,104 | 2,164,845 | ||||||||
Mohawk Industries, Inc.* | 1,498 | 232,729 | ||||||||
Netflix, Inc.* | 1,421 | 485,428 | ||||||||
Newell Rubbermaid, Inc. | 6,277 | 239,091 | ||||||||
News Corporation Class A* | 11,922 | 187,056 |
Shares | Value | |||||||||
NIKE, Inc. Class B | 16,632 | $ | 1,599,167 | |||||||
Nordstrom, Inc. | 3,305 | 262,384 | ||||||||
Omnicom Group, Inc. | 5,923 | 458,855 | ||||||||
O’Reilly Automotive, Inc.* | 2,399 | 462,095 | ||||||||
PetSmart, Inc. | 2,400 | 195,108 | ||||||||
Priceline Group, Inc. (The)* | 1,240 | 1,413,860 | ||||||||
PulteGroup, Inc. | 8,039 | 172,517 | ||||||||
PVH Corporation | 1,972 | 252,751 | ||||||||
Ralph Lauren Corporation | 1,437 | 266,075 | ||||||||
Ross Stores, Inc. | 4,996 | 470,923 | ||||||||
Scripps Networks Interactive, Inc. Class AD | 2,433 | 183,132 | ||||||||
Staples, Inc.D | 14,981 | 271,456 | ||||||||
Starbucks Corporation | 17,753 | 1,456,634 | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 4,239 | 343,656 | ||||||||
Target Corporation | 15,173 | 1,151,782 | ||||||||
Tiffany & Co.D | 2,651 | 283,286 | ||||||||
Time Warner Cable, Inc. | 6,667 | 1,013,784 | ||||||||
Time Warner, Inc. | 19,928 | 1,702,250 | ||||||||
TJX Cos., Inc. (The) | 16,378 | 1,123,203 | ||||||||
Tractor Supply Co. | 3,257 | 256,717 | ||||||||
TripAdvisor, Inc.* | 2,647 | 197,625 | ||||||||
Twenty-First Century Fox, Inc. Class A | 44,074 | 1,692,662 | ||||||||
Under Armour, Inc. Class A* | 3,934 | 267,119 | ||||||||
Urban Outfitters, Inc.D* | 2,236 | 78,551 | ||||||||
VF Corporation | 8,155 | 610,809 | ||||||||
Wal-Mart Stores, Inc. | 37,553 | 3,225,052 | ||||||||
Walt Disney Co. (The) | 37,092 | 3,493,695 | ||||||||
Whirlpool Corporation | 1,866 | 361,519 | ||||||||
Wyndham Worldwide Corporation | 2,929 | 251,191 | ||||||||
Yum! Brands, Inc. | 10,394 | 757,203 | ||||||||
|
| |||||||||
56,519,617 | ||||||||||
|
| |||||||||
Consumer Staples — 7.0% |
| |||||||||
Archer-Daniels-Midland Co. | 15,267 | 793,884 | ||||||||
Campbell Soup Co. | 4,144 | 182,336 | ||||||||
Clorox Co. (The)D | 3,095 | 322,530 | ||||||||
Coca-Cola Co. (The) | 93,692 | 3,955,676 | ||||||||
Coca-Cola Enterprises, Inc. | 5,293 | 234,057 | ||||||||
Colgate-Palmolive Co. | 20,418 | 1,412,721 | ||||||||
ConAgra Foods, Inc. | 10,004 | 362,945 | ||||||||
CVS Health Corporation | 27,251 | 2,624,544 | ||||||||
Dr. Pepper Snapple Group, Inc.D | 4,628 | 331,735 | ||||||||
General Mills, Inc. | 14,280 | 761,552 | ||||||||
Hershey Co. (The) | 3,520 | 365,834 | ||||||||
Hormel Foods Corporation | 3,228 | 168,179 | ||||||||
J.M. Smucker Co. (The)D | 2,402 | 242,554 | ||||||||
Kellogg Co. | 6,043 | 395,454 | ||||||||
Keurig Green Mountain, Inc. | 2,882 | 381,562 | ||||||||
Kimberly-Clark Corporation | 8,823 | 1,019,410 | ||||||||
Kraft Foods Group, Inc. | 14,040 | 879,746 | ||||||||
Kroger Co. (The) | 11,720 | 752,541 | ||||||||
McCormick & Co., Inc. (Non-Voting Shares)D | 3,032 | 225,278 | ||||||||
Mead Johnson Nutrition Co. | 4,780 | 480,581 | ||||||||
Mondelez International, Inc. Class A | 39,869 | 1,448,242 | ||||||||
Monster Beverage Corporation* | 3,429 | 371,532 | ||||||||
PepsiCo, Inc. | 35,623 | 3,368,511 | ||||||||
Procter & Gamble Co. (The) | 64,245 | 5,852,077 | ||||||||
Safeway, Inc. | 5,508 | 193,441 |
184 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Sysco CorporationD | 14,105 | $ | 559,828 | |||||||
Tyson Foods, Inc. Class A | 6,993 | 280,349 | ||||||||
Walgreens Boots Alliance, Inc. | 20,672 | 1,575,206 | ||||||||
Whole Foods Market, Inc.D | 8,546 | 430,889 | ||||||||
|
| |||||||||
29,973,194 | ||||||||||
|
| |||||||||
Energy — 7.8% |
| |||||||||
Anadarko Petroleum Corporation | 12,099 | 998,168 | ||||||||
Apache Corporation | 8,867 | 555,695 | ||||||||
Baker Hughes, Inc. | 10,286 | 576,736 | ||||||||
Cabot Oil & Gas Corporation | 9,884 | 292,665 | ||||||||
Cameron International Corporation* | 4,711 | 235,314 | ||||||||
Chesapeake Energy CorporationD | 12,613 | 246,836 | ||||||||
Chevron Corporation | 44,902 | 5,037,106 | ||||||||
Cimarex Energy Co.D | 2,117 | 224,402 | ||||||||
ConocoPhillips | 29,231 | 2,018,693 | ||||||||
CONSOL Energy, Inc.D | 5,540 | 187,307 | ||||||||
Denbury Resources, Inc.D | 8,515 | 69,227 | ||||||||
Devon Energy Corporation | 9,091 | 556,460 | ||||||||
Diamond Offshore Drilling, Inc.D | 1,605 | 58,920 | ||||||||
EOG Resources, Inc. | 13,063 | 1,202,710 | ||||||||
EQT Corporation | 3,583 | 271,233 | ||||||||
Exterran Holdings, Inc. | 13 | 424 | ||||||||
Exxon Mobil Corporation | 100,614 | 9,301,764 | ||||||||
First Solar, Inc.* | 1,697 | 75,678 | ||||||||
FMC Technologies, Inc.D* | 5,679 | 266,004 | ||||||||
Halliburton Co. | 20,115 | 791,123 | ||||||||
Helmerich & Payne, Inc.D | 2,544 | 171,516 | ||||||||
Hess Corporation | 5,961 | 440,041 | ||||||||
Kinder Morgan, Inc.D | 40,439 | 1,710,974 | ||||||||
Marathon Oil Corporation | 15,943 | 451,027 | ||||||||
Marathon Petroleum Corporation | 6,698 | 604,562 | ||||||||
Murphy Oil Corporation | 3,874 | 195,715 | ||||||||
National Oilwell Varco, Inc.D | 10,172 | 666,571 | ||||||||
Newfield Exploration Co.* | 3,088 | 83,747 | ||||||||
Noble Energy, Inc. | 8,528 | 404,483 | ||||||||
Occidental Petroleum Corporation | 18,433 | 1,485,884 | ||||||||
ONEOK, Inc. | 4,965 | 247,207 | ||||||||
Phillips 66 | 13,213 | 947,372 | ||||||||
Pioneer Natural Resources Co. | 3,525 | 524,696 | ||||||||
QEP Resources, Inc. | 4,088 | 82,659 | ||||||||
Range Resources CorporationD | 4,042 | 216,045 | ||||||||
Southwestern Energy Co.* | 8,385 | 228,827 | ||||||||
Spectra Energy CorporationD | 15,853 | 575,464 | ||||||||
Tesoro CorporationD | 3,065 | 227,883 | ||||||||
Valero Energy Corporation | 12,483 | 617,909 | ||||||||
Williams Cos., Inc. (The) | 15,906 | 714,816 | ||||||||
|
| |||||||||
33,563,863 | ||||||||||
|
| |||||||||
Financial Services — 17.9% |
| |||||||||
Affiliated Managers Group, Inc.* | 1,323 | 280,794 | ||||||||
Aflac, Inc. | 10,705 | 653,968 | ||||||||
Alliance Data Systems Corporation* | 1,510 | 431,936 | ||||||||
Allstate Corporation (The) | 10,001 | 702,570 | ||||||||
American Express Co. | 21,157 | 1,968,447 |
Shares | Value | |||||||||
American International Group, Inc. | 33,263 | $ | 1,863,061 | |||||||
American Tower Corporation REIT | 9,469 | 936,011 | ||||||||
Ameriprise Financial, Inc. | 4,354 | 575,816 | ||||||||
Apartment Investment & Management Co. Class A REIT | 3,484 | 129,431 | ||||||||
Assurant, Inc. | 1,710 | 117,015 | ||||||||
AvalonBay Communities, Inc. REIT* | 3,159 | 516,149 | ||||||||
Bank of America Corporation | 250,001 | 4,472,518 | ||||||||
Bank of New York Mellon Corporation (The) | 26,771 | 1,086,099 | ||||||||
BB&T Corporation | 17,005 | 661,324 | ||||||||
Berkshire Hathaway, Inc. | 43,349 | 6,508,852 | ||||||||
BlackRock, Inc. | 3,029 | 1,083,049 | ||||||||
Boston Properties, Inc. REIT | 3,620 | 465,858 | ||||||||
Capital One Financial Corporation | 13,267 | 1,095,191 | ||||||||
CBRE Group, Inc. Class A* | 6,767 | 231,770 | ||||||||
Charles Schwab Corporation (The) | 27,483 | 829,712 | ||||||||
Chubb Corporation (The) | 5,585 | 577,880 | ||||||||
Cincinnati Financial Corporation | 3,497 | 181,250 | ||||||||
Citigroup, Inc. | 72,019 | 3,896,948 | ||||||||
CME Group, Inc.D | 7,578 | 671,790 | ||||||||
Comerica, Inc. | 4,215 | 197,431 | ||||||||
Crown Castle International Corporation REIT | 7,892 | 621,100 | ||||||||
Discover Financial Services | 10,749 | 703,952 | ||||||||
Dun & Bradstreet Corporation (The) | 866 | 104,751 | ||||||||
E*TRADE Financial Corporation* | 6,673 | 161,854 | ||||||||
Equifax, Inc. | 2,888 | 233,553 | ||||||||
Equity Residential REIT | 8,688 | 624,146 | ||||||||
Essex Property Trust, Inc. REIT | 1,535 | 317,131 | ||||||||
Fidelity National Information Services, Inc. | 6,763 | 420,659 | ||||||||
Fifth Third Bancorp | 19,775 | 402,916 | ||||||||
Fiserv, Inc.* | 5,790 | 410,916 | ||||||||
Franklin Resources, Inc. | 9,326 | 516,381 | ||||||||
General Growth Properties, Inc. REIT | 14,886 | 418,743 | ||||||||
Genworth Financial, Inc. | 12,462 | 105,927 | ||||||||
Goldman Sachs Group, Inc. (The) | 9,628 | 1,866,195 | ||||||||
Hartford Financial Services Group, Inc. (The) | 10,262 | 427,823 | ||||||||
HCP, Inc. REIT | 10,832 | 476,933 | ||||||||
Health Care REIT, Inc.D | 7,799 | 590,150 | ||||||||
Host Hotels & Resorts, Inc. REIT | 17,873 | 424,841 | ||||||||
Hudson City Bancorp, Inc. | 11,463 | 116,006 | ||||||||
Huntington Bancshares, Inc. | 19,216 | 202,152 | ||||||||
Intercontinental Exchange, Inc. | 2,681 | 587,916 | ||||||||
JPMorgan Chase & Co. | 88,775 | 5,555,539 | ||||||||
KeyCorp | 20,693 | 287,633 | ||||||||
Kimco Realty Corporation REIT | 9,822 | 246,925 | ||||||||
Legg Mason, Inc. | 2,493 | 133,051 | ||||||||
Leucadia National Corporation | 7,527 | 168,755 |
See Notes to Financial Statements. | 185 |
Table of Contents
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Lincoln National Corporation | 6,202 | $ | 357,669 | |||||||
Loews Corporation | 7,210 | 302,964 | ||||||||
M&T Bank CorporationD | 3,123 | 392,311 | ||||||||
Macerich Co. (The) REIT | 3,374 | 281,425 | ||||||||
Marsh & McLennan Cos., Inc. | 12,868 | 736,564 | ||||||||
MasterCard, Inc. Class A | 23,272 | 2,005,116 | ||||||||
McGraw Hill Financial, Inc. | 6,405 | 569,917 | ||||||||
MetLife, Inc. | 26,973 | 1,458,970 | ||||||||
Moody’s Corporation | 4,396 | 421,181 | ||||||||
Morgan Stanley | 36,219 | 1,405,297 | ||||||||
NASDAQ OMX Group, Inc. (The) | 2,776 | 133,137 | ||||||||
Navient Corporation | 9,632 | 208,148 | ||||||||
Northern Trust Corporation | 5,100 | 343,740 | ||||||||
People’s United Financial, Inc.D | 7,078 | 107,444 | ||||||||
Plum Creek Timber Co., Inc. REITD | 4,158 | 177,921 | ||||||||
PNC Financial Services Group, Inc. (The) | 12,576 | 1,147,308 | ||||||||
Principal Financial Group, Inc. | 6,513 | 338,285 | ||||||||
Progressive Corporation (The) | 12,580 | 339,534 | ||||||||
Prologis, Inc. REIT | 11,792 | 507,410 | ||||||||
Prudential Financial, Inc. | 10,876 | 983,843 | ||||||||
Public Storage REIT | 3,423 | 632,742 | ||||||||
Regions Financial Corporation | 32,562 | 343,855 | ||||||||
Simon Property Group, Inc. REIT | 7,399 | 1,347,432 | ||||||||
State Street Corporation | 9,885 | 775,972 | ||||||||
SunTrust Banks, Inc. | 12,296 | 515,202 | ||||||||
T. Rowe Price Group, Inc. | 6,224 | 534,393 | ||||||||
Torchmark Corporation | 3,041 | 164,731 | ||||||||
Total System Services, Inc. | 4,063 | 137,979 | ||||||||
Travelers Cos., Inc. (The) | 7,896 | 835,792 | ||||||||
Unum Group | 6,012 | 209,699 | ||||||||
US Bancorp | 42,616 | 1,915,589 | ||||||||
Ventas, Inc. REITD | 6,947 | 498,100 | ||||||||
Visa, Inc. Class AD | 11,601 | 3,041,782 | ||||||||
Vornado Realty Trust REIT | 4,112 | 484,024 | ||||||||
Wells Fargo & Co. | 112,167 | 6,148,995 | ||||||||
Western Union Co. (The)D | 12,344 | 221,081 | ||||||||
Weyerhaeuser Co. REIT | 12,542 | 450,132 | ||||||||
Zions Bancorporation | 4,923 | 140,355 | ||||||||
|
| |||||||||
76,876,857 | ||||||||||
|
| |||||||||
Healthcare — 11.4% |
| |||||||||
Abbott Laboratories | 35,848 | 1,613,877 | ||||||||
AbbVie, Inc. | 37,859 | 2,477,493 | ||||||||
Aetna, Inc. | 8,382 | 744,573 | ||||||||
Agilent Technologies, Inc. | 7,794 | 319,086 | ||||||||
Alexion Pharmaceuticals, Inc.* | 4,733 | 875,747 | ||||||||
Allergan, Inc. | 7,078 | 1,504,712 | ||||||||
Amgen, Inc. | 18,065 | 2,877,574 | ||||||||
Anthem, Inc. | 6,403 | 804,665 | ||||||||
Baxter International, Inc. | 12,937 | 948,153 | ||||||||
Becton, Dickinson and Co. | 4,535 | 631,091 | ||||||||
Biogen Idec, Inc.* | 5,615 | 1,906,012 | ||||||||
Boston Scientific Corporation* | 31,336 | 415,202 | ||||||||
Bristol-Myers Squibb Co. | 39,431 | 2,327,612 | ||||||||
C.R. Bard, Inc. | 1,781 | 296,750 | ||||||||
Cardinal Health, Inc. | 7,825 | 631,712 | ||||||||
CareFusion Corporation* | 4,925 | 292,249 | ||||||||
Celgene Corporation* | 18,995 | 2,124,781 | ||||||||
Cerner Corporation* | 7,191 | 464,970 | ||||||||
Cigna Corporation | 6,234 | 641,541 |
Shares | Value | |||||||||
DaVita HealthCare Partners, Inc.* | 4,110 | $ | 311,291 | |||||||
DENTSPLY International, Inc. | 3,273 | 174,353 | ||||||||
Edwards Lifesciences Corporation* | 2,537 | 323,163 | ||||||||
Eli Lilly & Co. | 23,244 | 1,603,604 | ||||||||
Express Scripts Holding Co.* | 17,466 | 1,478,846 | ||||||||
Gilead Sciences, Inc.D* | 35,847 | 3,378,938 | ||||||||
Hospira, Inc.* | 4,061 | 248,736 | ||||||||
Humana, Inc. | 3,648 | 523,962 | ||||||||
Intuitive Surgical, Inc.* | 870 | 460,178 | ||||||||
Johnson & Johnson | 66,533 | 6,957,356 | ||||||||
Laboratory Corporation of America Holdings* | 1,985 | 214,182 | ||||||||
McKesson Corporation | 5,526 | 1,147,087 | ||||||||
Medtronic, Inc.D | 23,413 | 1,690,419 | ||||||||
Mylan, Inc.D* | 8,845 | 498,593 | ||||||||
Patterson Cos., Inc. | 1,934 | 93,025 | ||||||||
PerkinElmer, Inc.D | 2,777 | 121,438 | ||||||||
Quest Diagnostics, Inc. | 3,405 | 228,339 | ||||||||
Regeneron Pharma- ceuticals, Inc.* | 1,769 | 725,732 | ||||||||
St. Jude Medical, Inc. | 6,745 | 438,627 | ||||||||
Stryker Corporation | 7,066 | 666,536 | ||||||||
Tenet Healthcare CorporationD* | 2,255 | 114,261 | ||||||||
Thermo Fisher Scientific, Inc. | 9,510 | 1,191,508 | ||||||||
UnitedHealth Group, Inc. | 22,832 | 2,308,087 | ||||||||
Universal Health Services, Inc. Class B | 2,155 | 239,765 | ||||||||
Varian Medical Systems, Inc.D* | 2,321 | 200,790 | ||||||||
Vertex Pharmaceuticals, Inc.* | 5,719 | 679,417 | ||||||||
Zimmer Holdings, Inc. | 3,996 | 453,226 | ||||||||
Zoetis, Inc. | 11,887 | 511,498 | ||||||||
|
| |||||||||
48,880,757 | ||||||||||
|
| |||||||||
Materials & Processing — 3.3% |
| |||||||||
Air Products & Chemicals, Inc. | 4,605 | 664,179 | ||||||||
Airgas, Inc. | 1,621 | 186,707 | ||||||||
Alcoa, Inc.D | 27,820 | 439,278 | ||||||||
Allegheny Technologies, Inc.D | 2,683 | 93,288 | ||||||||
Ball Corporation | 3,236 | 220,598 | ||||||||
CF Industries Holdings, Inc. | 1,197 | 326,230 | ||||||||
Dow Chemical Co. (The) | 26,287 | 1,198,950 | ||||||||
E.I. du Pont de Nemours & Co. | 21,493 | 1,589,192 | ||||||||
Eastman Chemical Co.D | 3,537 | 268,317 | ||||||||
Ecolab, Inc. | 6,474 | 676,662 | ||||||||
Fastenal Co.D | 6,557 | 311,851 | ||||||||
FMC Corporation | 3,136 | 178,846 | ||||||||
Freeport-McMoRan, Inc. | 24,562 | 573,768 | ||||||||
International Flavors & Fragrances, Inc. | 1,938 | 196,436 | ||||||||
International Paper Co. | 10,105 | 541,426 | ||||||||
Martin Marietta Materials, Inc. | 1,517 | 167,355 | ||||||||
Masco Corporation | 8,375 | 211,050 | ||||||||
MeadWestvaco Corporation | 3,915 | 173,787 | ||||||||
Monsanto Co. | 11,531 | 1,377,609 | ||||||||
Mosaic Co. (The) | 7,408 | 338,175 | ||||||||
Newmont Mining Corporation | 12,111 | 228,898 | ||||||||
Nucor Corporation | 7,610 | 373,271 | ||||||||
Owens-Illinois, Inc.* | 4,021 | 108,527 | ||||||||
PPG Industries, Inc. | 3,257 | 752,856 | ||||||||
Praxair, Inc. | 6,894 | 893,187 |
186 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Precision Castparts Corporation | 3,390 | $ | 816,583 | |||||||
Sealed Air CorporationD | 5,026 | 213,253 | ||||||||
Sherwin-Williams Co. (The) | 1,923 | 505,826 | ||||||||
Sigma-Aldrich Corporation | 2,833 | 388,886 | ||||||||
Vulcan Materials Co. | 3,099 | 203,697 | ||||||||
|
| |||||||||
14,218,688 | ||||||||||
|
| |||||||||
Producer Durables — 10.2% |
| |||||||||
3M Co. | 15,230 | 2,502,594 | ||||||||
ADT Corporation (The)D | 4,235 | 153,434 | ||||||||
AMETEK, Inc. | 5,859 | 308,359 | ||||||||
Automatic Data Processing, Inc. | 11,487 | 957,671 | ||||||||
Avery Dennison CorporationD | 2,177 | 112,943 | ||||||||
Boeing Co. (The) | 15,762 | 2,048,745 | ||||||||
C.H. Robinson Worldwide, Inc.D | 3,517 | 263,388 | ||||||||
Caterpillar, Inc. | 14,383 | 1,316,476 | ||||||||
Cintas CorporationD | 2,290 | 179,628 | ||||||||
CSX Corporation | 23,635 | 856,296 | ||||||||
Cummins, Inc. | 4,049 | 583,744 | ||||||||
Danaher Corporation | 14,550 | 1,247,081 | ||||||||
Deere & Co.D | 8,477 | 749,960 | ||||||||
Delta Air Lines, Inc. | 19,941 | 980,898 | ||||||||
Dover Corporation | 3,890 | 278,991 | ||||||||
Emerson Electric Co. | 16,493 | 1,018,113 | ||||||||
Expeditors International of Washington, Inc. | 4,648 | 207,347 | ||||||||
FedEx Corporation | 6,270 | 1,088,848 | ||||||||
FLIR Systems, Inc. | 3,345 | 108,077 | ||||||||
Flowserve Corporation | 3,249 | 194,388 | ||||||||
Fluor Corporation | 3,773 | 228,757 | ||||||||
General Dynamics Corporation | 7,441 | 1,024,030 | ||||||||
General Electric Co. | 238,672 | 6,031,241 | ||||||||
Honeywell International, Inc. | 18,611 | 1,859,611 | ||||||||
Illinois Tool Works, Inc. | 8,538 | 808,549 | ||||||||
Iron Mountain, Inc. REITD | 4,553 | 176,019 | ||||||||
Jacobs Engineering Group, Inc.* | 3,148 | 140,684 | ||||||||
Joy Global, Inc.D | 2,236 | 104,019 | ||||||||
Kansas City Southern | 2,611 | 318,620 | ||||||||
L-3 Communications Holdings, Inc. | 2,050 | 258,730 | ||||||||
Lockheed Martin Corporation | 6,379 | 1,228,404 | ||||||||
Norfolk Southern CorporationD | 7,320 | 802,345 | ||||||||
Northrop Grumman Corporation | 4,802 | 707,767 | ||||||||
PACCAR, Inc.D | 8,398 | 571,148 | ||||||||
Pall CorporationD | 2,501 | 253,126 | ||||||||
Parker Hannifin Corporation | 3,522 | 454,162 | ||||||||
Paychex, Inc. | 7,802 | 360,218 | ||||||||
Pitney Bowes, Inc.D | 4,753 | 115,831 | ||||||||
Quanta Services, Inc.* | 5,107 | 144,988 | ||||||||
Raytheon Co. | 7,343 | 794,292 | ||||||||
Republic Services, Inc. | 5,931 | 238,723 | ||||||||
Robert Half International, Inc. | 3,184 | 185,882 | ||||||||
Rockwell Automation, Inc. | 3,269 | 363,513 | ||||||||
Rockwell Collins, Inc. | 3,186 | 269,153 | ||||||||
Roper Industries, Inc. | 2,363 | 369,455 | ||||||||
Ryder System, Inc. | 1,263 | 117,270 | ||||||||
Snap-on, Inc. | 1,417 | 193,761 | ||||||||
Southwest Airlines Co. | 16,214 | 686,176 | ||||||||
Stanley Black & Decker, Inc. | 3,701 | 355,592 | ||||||||
Stericycle, Inc.* | 2,032 | 266,355 | ||||||||
Textron, Inc. | 6,600 | 277,926 |
Shares | Value | |||||||||
Tyco International PLC | 9,886 | $ | 433,600 | |||||||
Union Pacific Corporation | 21,122 | 2,516,264 | ||||||||
United Parcel Service, Inc. Class B | 16,523 | 1,836,862 | ||||||||
United Rentals, Inc.* | 2,361 | 240,846 | ||||||||
United Technologies Corporation | 20,114 | 2,313,110 | ||||||||
W.W. Grainger, Inc.D | 1,435 | 365,767 | ||||||||
Waste Management, Inc. | 10,223 | 524,644 | ||||||||
Waters Corporation* | 1,999 | 225,327 | ||||||||
Xerox Corporation | 25,834 | 358,059 | ||||||||
Xylem, Inc.D | 4,220 | 160,655 | ||||||||
|
| |||||||||
43,838,462 | ||||||||||
|
| |||||||||
Technology — 16.8% |
| |||||||||
Adobe Systems, Inc.* | 11,314 | 822,528 | ||||||||
Akamai Technologies, Inc.* | 4,251 | 267,643 | ||||||||
Altera Corporation | 7,224 | 266,855 | ||||||||
Amphenol Corporation Class A | 7,414 | 398,947 | ||||||||
Analog Devices, Inc. | 7,320 | 406,406 | ||||||||
Apple, Inc. | 139,386 | 15,385,427 | ||||||||
Applied Materials, Inc. | 28,830 | 718,444 | ||||||||
Autodesk, Inc.* | 5,400 | 324,324 | ||||||||
Broadcom Corporation Class A | 12,730 | 551,591 | ||||||||
CA, Inc. | 7,460 | 227,157 | ||||||||
Cisco Systems, Inc. | 121,552 | 3,380,969 | ||||||||
Citrix Systems, Inc.* | 3,823 | 243,907 | ||||||||
Cognizant Technology Solutions Corporation | 14,373 | 756,882 | ||||||||
Computer Sciences CorporationD | 3,272 | 206,300 | ||||||||
Corning, Inc. | 30,534 | 700,145 | ||||||||
Electronic Arts, Inc.* | 7,475 | 351,437 | ||||||||
EMC CorporationD | 48,444 | 1,440,725 | ||||||||
F5 Networks, Inc.* | 1,791 | 233,663 | ||||||||
Facebook, Inc. Class A* | 49,691 | 3,876,892 | ||||||||
Google, Inc. Class A* | 6,776 | 3,595,752 | ||||||||
Google, Inc. Class C* | 6,770 | 3,563,728 | ||||||||
Harris Corporation | 2,521 | 181,058 | ||||||||
Hewlett-Packard Co. | 44,395 | 1,781,571 | ||||||||
Intel Corporation | 114,908 | 4,170,011 | ||||||||
International Business Machines Corporation | 21,871 | 3,508,983 | ||||||||
Intuit, Inc. | 6,822 | 628,920 | ||||||||
Juniper Networks, Inc. | 9,035 | 201,661 | ||||||||
KLA-Tencor CorporationD | 3,950 | 277,764 | ||||||||
Lam Research Corporation | 3,774 | 299,429 | ||||||||
Linear Technology Corporation | 5,707 | 260,239 | ||||||||
Microchip Technology, Inc.D | 4,781 | 215,671 | ||||||||
Micron Technology, Inc.D* | 25,634 | 897,446 | ||||||||
Microsoft Corporation | 195,904 | 9,099,741 | ||||||||
Motorola Solutions, Inc. | 5,054 | 339,022 | ||||||||
NetApp, Inc. | 7,408 | 307,062 | ||||||||
NVIDIA CorporationD | 12,191 | 244,430 | ||||||||
Oracle Corporation | 76,910 | 3,458,643 | ||||||||
QUALCOMM, Inc. | 39,489 | 2,935,217 | ||||||||
Red Hat, Inc.* | 4,409 | 304,838 | ||||||||
salesforce.com, Inc.D* | 13,944 | 827,019 | ||||||||
SanDisk CorporationD | 5,198 | 509,300 | ||||||||
Symantec Corporation | 16,331 | 418,972 | ||||||||
Teradata CorporationD* | 3,724 | 162,664 | ||||||||
Texas Instruments, Inc. | 25,089 | 1,341,383 | ||||||||
VeriSign, Inc.D* | 2,525 | 143,925 |
See Notes to Financial Statements. | 187 |
Table of Contents
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Western Digital Corporation | 5,197 | $ | 575,308 | |||||||
Xilinx, Inc. | 6,240 | 270,130 | ||||||||
Yahoo!, Inc.D* | 20,934 | 1,057,376 | ||||||||
|
| |||||||||
72,137,505 | ||||||||||
|
| |||||||||
Utilities — 5.5% | ||||||||||
AES Corporation | 15,449 | 212,733 | ||||||||
AGL Resources, Inc. | 2,774 | 151,211 | ||||||||
Ameren Corporation | 5,700 | 262,941 | ||||||||
American Electric Power Co., Inc. | 11,729 | 712,185 | ||||||||
AT&T, Inc. | 123,341 | 4,143,024 | ||||||||
CenterPoint Energy, Inc. | 10,024 | 234,862 | ||||||||
CenturyLink, Inc. | 13,510 | 534,726 | ||||||||
CMS Energy Corporation | 6,558 | 227,890 | ||||||||
Consolidated Edison, Inc.D | 6,899 | 455,403 | ||||||||
Dominion Resources, Inc. | 13,907 | 1,069,448 | ||||||||
DTE Energy Co. | 4,213 | 363,877 | ||||||||
Duke Energy Corporation | 16,866 | 1,408,986 | ||||||||
Edison International | 7,698 | 504,065 | ||||||||
Entergy Corporation | 4,242 | 371,090 | ||||||||
Exelon Corporation | 20,597 | 763,737 | ||||||||
FirstEnergy Corporation | 9,927 | 387,054 | ||||||||
Frontier Communications CorporationD | 23,107 | 154,124 | ||||||||
Integrys Energy Group, Inc. | 1,881 | 146,436 | ||||||||
Level 3 Communications, Inc.D* | 6,679 | 329,809 | ||||||||
NextEra Energy, Inc. | 10,417 | 1,107,223 | ||||||||
NiSource, Inc. | 7,527 | 319,295 | ||||||||
Northeast UtilitiesD | 7,460 | 399,259 | ||||||||
NRG Energy, Inc. | 8,126 | 218,996 | ||||||||
Pepco Holdings, Inc. | 5,952 | 160,287 | ||||||||
PG&E Corporation | 11,330 | 603,209 | ||||||||
Pinnacle West Capital Corporation | 2,558 | 174,737 | ||||||||
PPL Corporation | 15,702 | 570,454 | ||||||||
Public Service Enterprise Group, Inc. | 11,949 | 494,808 | ||||||||
SCANA CorporationD | 3,429 | 207,111 | ||||||||
Sempra Energy | 5,462 | 608,248 | ||||||||
Southern Co. (The)D | 21,532 | 1,057,436 | ||||||||
TECO Energy, Inc. | 5,681 | 116,404 | ||||||||
Verizon Communications, Inc. | 98,651 | 4,614,894 | ||||||||
Windstream Holdings, Inc.D | 14,907 | 122,834 | ||||||||
Wisconsin Energy CorporationD | 5,412 | 285,429 | ||||||||
Xcel Energy, Inc. | 11,927 | 428,418 | ||||||||
|
| |||||||||
23,922,643 | ||||||||||
|
| |||||||||
Total Common Stocks |
| 399,931,586 | ||||||||
|
| |||||||||
FOREIGN COMMON STOCKS — 3.3% |
| |||||||||
Bermuda — 0.1% | ||||||||||
Invesco, Ltd. | 10,255 | 405,278 | ||||||||
Nabors Industries, Ltd.D | 6,689 | 86,823 | ||||||||
|
| |||||||||
492,101 | ||||||||||
|
| |||||||||
British Virgin Islands — 0.1% |
| |||||||||
Michael Kors Holdings, Ltd.* | 4,868 | 365,587 | ||||||||
|
| |||||||||
Curacao — 0.6% | ||||||||||
Schlumberger, Ltd. | 30,534 | 2,607,909 | ||||||||
|
| |||||||||
Ireland — 1.2% | ||||||||||
Accenture PLC Class A | 14,918 | 1,332,327 | ||||||||
Allegion PLC | 2,288 | 126,892 |
Shares | Value | |||||||||
Covidien PLC | 10,781 | $ | 1,102,681 | |||||||
Eaton Corporation PLC | 11,250 | 764,550 | ||||||||
Ingersoll-Rand PLC | 6,338 | 401,766 | ||||||||
Mallinckrodt PLCD* | 2,762 | 273,521 | ||||||||
Pentair PLCD | 4,481 | 297,628 | ||||||||
Seagate Technology PLCD | 7,723 | 513,579 | ||||||||
XL Group PLC | 5,996 | 206,082 | ||||||||
|
| |||||||||
5,019,026 | ||||||||||
|
| |||||||||
Jersey — 0.1% | ||||||||||
Delphi Automotive PLC | 7,088 | 515,439 | ||||||||
|
| |||||||||
Liberia — 0.1% | ||||||||||
Royal Caribbean Cruises, Ltd.D | 3,970 | 327,247 | ||||||||
|
| |||||||||
Netherlands — 0.3% | ||||||||||
LyondellBasell Industries NV Class A | 9,868 | 783,421 | ||||||||
Nielsen NVD | 7,710 | 344,868 | ||||||||
|
| |||||||||
1,128,289 | ||||||||||
|
| |||||||||
Panama — 0.1% | ||||||||||
Carnival Corporation | 10,699 | 484,985 | ||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
Avago Technologies, Ltd. | 6,059 | 609,475 | ||||||||
|
| |||||||||
Switzerland — 0.4% | ||||||||||
ACE, Ltd. | 7,849 | 901,693 | ||||||||
Garmin, Ltd.D | 2,761 | 145,864 | ||||||||
TE Connectivity, Ltd. | 9,678 | 612,134 | ||||||||
Transocean, Ltd.D | 8,362 | 153,275 | ||||||||
|
| |||||||||
1,812,966 | ||||||||||
|
| |||||||||
United Kingdom — 0.2% | ||||||||||
Aon PLC | 6,759 | 640,956 | ||||||||
Ensco PLC Class AD | 5,411 | 162,060 | ||||||||
Noble Corporation PLCD | 6,041 | 100,099 | ||||||||
|
| |||||||||
903,115 | ||||||||||
|
| |||||||||
Total Foreign Common Stocks |
| 14,266,139 | ||||||||
|
| |||||||||
MONEY MARKET FUNDS — 11.4% |
| |||||||||
GuideStone Money | 14,642,754 | 14,642,754 | ||||||||
Northern Institutional Liquid Assets Portfolio§ | 34,327,381 | 34,327,381 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 48,970,135 | ||||||||
|
| |||||||||
Par | ||||||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||||
U.S. Treasury Bill | $ | 535,000 | 534,930 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 107.8% |
| 463,702,790 | ||||||||
Liabilities in Excess of Other |
| (33,735,529 | ) | |||||||
|
| |||||||||
NET ASSETS — 100.0% |
| $ | 429,967,261 | |||||||
|
|
188 | See Notes to Financial Statements. |
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 399,931,586 | $ | 399,931,586 | $ | — | $ | — | ||||||||||||
Foreign Common Stocks | 14,266,139 | 14,266,139 | — | — | ||||||||||||||||
Money Market Funds | 48,970,135 | 48,970,135 | — | — | ||||||||||||||||
U.S. Treasury Obligations | 534,930 | — | 534,930 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 463,702,790 | $ | 463,167,860 | $ | 534,930 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 197,656 | $ | 197,656 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 197,656 | $ | 197,656 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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 year ended December 31, 2014.
See Notes to Financial Statements. | 189 |
Table of Contents
The Fund invested in a diversified portfolio of large- and medium-sized U.S. companies whose stocks were considered to be attractive from a valuation perspective. The Investor Class of the Fund posted double-digit positive performance but underperformed its benchmark, the Russell 1000® Value Index, for the one-year period ended December 31, 2014 (10.61% versus 13.45%). Security selection in the financials and healthcare sectors detracted from benchmark-relative returns, while security selection in the producer durables sector and overweight exposure to the technology sector contributed to benchmark-relative performance for the year.
This Fund may be suitable for investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value and want to diversify their portfolio by adding a potentially higher return, higher risk option of value stocks. This Fund is subject to value investing risk. This involves the risk that an investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Financial Services | 25.0 | |||
Money Market Funds | 13.2 | |||
Healthcare | 11.4 | |||
Technology | 10.5 | |||
Consumer Discretionary | 10.3 | |||
Producer Durables | 10.1 | |||
Foreign Common Stocks | 8.9 | |||
Energy | 8.4 | |||
Utilities | 6.7 | |||
Consumer Staples | 3.9 | |||
Materials & Processing | 1.8 | |||
U.S. Treasury Obligation | — | ** | ||
|
| |||
110.2 | ||||
|
|
** | Rounds to less than 0.005%. |
190
Table of Contents
Value Equity Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||||||
Institutional Class* | Investor Class* | Benchmark** | ||||||||
One Year | 10.91% | 10.61% | 13.45% | |||||||
Five Year | 15.15% | 14.90% | 15.42% | |||||||
Ten Year | 6.94% | 6.73% | 7.30% | |||||||
Inception Date | 08/27/01 | 08/27/01 | ||||||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.68% | 0.92% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Russell 1000® Value Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
191
Table of Contents
VALUE EQUITY FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
COMMON STOCKS — 88.1% |
| |||||||||
Consumer Discretionary — 10.3% |
| |||||||||
Avis Budget Group, Inc.* | 60,300 | $ | 3,999,699 | |||||||
Cablevision Systems Corporation Class AD | 57,900 | 1,195,056 | ||||||||
CBS Corporation Class B | 1,762 | 97,509 | ||||||||
Comcast Corporation Class A | 220,475 | 12,789,755 | ||||||||
Costco Wholesale Corporation | 826 | 117,086 | ||||||||
Dana Holding CorporationD | 332,515 | 7,228,876 | ||||||||
Foot Locker, Inc.D | 91,400 | 5,134,852 | ||||||||
Ford Motor Co. | 1,004,460 | 15,569,130 | ||||||||
Gap, Inc. (The) | 175,400 | 7,386,094 | ||||||||
General Motors Co. | 55,495 | 1,937,331 | ||||||||
Home Depot, Inc. (The) | 93,008 | 9,763,050 | ||||||||
J.C. Penney Co., Inc.D* | 371,400 | 2,406,672 | ||||||||
Johnson Controls, Inc. | 282,908 | 13,675,773 | ||||||||
Lear Corporation | 55,100 | 5,404,208 | ||||||||
Lennar Corporation Class AD | 166,451 | 7,458,669 | ||||||||
Macy’s, Inc.D | 55,000 | 3,616,250 | ||||||||
Target Corporation | 194,918 | 14,796,225 | ||||||||
Time Warner, Inc. | 30,538 | 2,608,556 | ||||||||
Twenty-First Century Fox, Inc. Class A | 17,400 | 668,247 | ||||||||
Wal-Mart Stores, Inc. | 276,722 | 23,764,885 | ||||||||
Walt Disney Co. (The) | 9,639 | 907,897 | ||||||||
Whirlpool CorporationD | 27,200 | 5,269,728 | ||||||||
|
| |||||||||
145,795,548 | ||||||||||
|
| |||||||||
Consumer Staples — 3.9% |
| |||||||||
Archer-Daniels-Midland Co. | 37,977 | 1,974,804 | ||||||||
Colgate-Palmolive Co.D | 3,348 | 231,648 | ||||||||
CVS Health Corporation | 34,735 | 3,345,328 | ||||||||
Dr. Pepper Snapple Group, Inc.D | 53,700 | 3,849,216 | ||||||||
Ingredion, Inc. | 16,000 | 1,357,440 | ||||||||
Kellogg Co. | 769 | 50,323 | ||||||||
Kimberly-Clark Corporation | 2,314 | 267,360 | ||||||||
Kroger Co. (The) | 84,900 | 5,451,429 | ||||||||
Mondelez International, Inc. Class A | 253,835 | 9,220,556 | ||||||||
PepsiCo, Inc. | 90,265 | 8,535,458 | ||||||||
Pilgrim’s Pride CorporationD* | 82,000 | 2,688,780 | ||||||||
Procter & Gamble Co. (The) | 88,316 | 8,044,705 | ||||||||
Sysco CorporationD | 115,359 | 4,578,599 | ||||||||
Tyson Foods, Inc. Class A | 133,450 | 5,350,011 | ||||||||
Walgreens Boots Alliance, Inc. | 8,287 | 631,469 | ||||||||
|
| |||||||||
55,577,126 | ||||||||||
|
| |||||||||
Energy — 8.4% |
| |||||||||
Anadarko Petroleum Corporation | 16,229 | 1,338,892 | ||||||||
Apache Corporation | 13,266 | 831,380 | ||||||||
Baker Hughes, Inc. | 139,874 | 7,842,735 | ||||||||
California Resources CorporationD* | 58,288 | 321,167 | ||||||||
Cameron International Corporation* | 102,300 | 5,109,885 | ||||||||
Chesapeake Energy CorporationD | 83,400 | 1,632,138 | ||||||||
Chevron Corporation | 144,632 | 16,224,818 | ||||||||
ConocoPhillips | 197,859 | 13,664,143 | ||||||||
Devon Energy Corporation | 14,075 | 861,531 | ||||||||
Exxon Mobil Corporation | 222,230 | 20,545,163 | ||||||||
Halliburton Co. | 70,000 | 2,753,100 |
Shares | Value | |||||||||
Hess Corporation | 9,554 | $ | 705,276 | |||||||
Kinder Morgan, Inc.D | 34,030 | 1,439,809 | ||||||||
Marathon Oil Corporation | 23,213 | 656,696 | ||||||||
Marathon Petroleum Corporation | 61,102 | 5,515,067 | ||||||||
National Oilwell Varco, Inc. | 13,550 | 887,932 | ||||||||
Occidental Petroleum Corporation | 145,721 | 11,746,570 | ||||||||
Oil States International, Inc.* | 89,400 | 4,371,660 | ||||||||
Patterson-UTI Energy, Inc. | 111,100 | 1,843,149 | ||||||||
Phillips 66 | 26,287 | 1,884,778 | ||||||||
SM Energy Co.D | 39,310 | 1,516,580 | ||||||||
Spectra Energy CorporationD | 23,285 | 845,245 | ||||||||
Superior Energy Services, Inc. | 44,300 | 892,645 | ||||||||
Tesoro Corporation | 67,300 | 5,003,755 | ||||||||
Valero Energy Corporation | 205,731 | 10,183,684 | ||||||||
|
| |||||||||
118,617,798 | ||||||||||
|
| |||||||||
Financial Services — 25.0% |
| |||||||||
Aflac, Inc. | 15,598 | 952,882 | ||||||||
Allstate Corporation (The) | 103,655 | 7,281,764 | ||||||||
Ally Financial, Inc.* | 79,000 | 1,865,980 | ||||||||
American Express Co. | 114,800 | 10,680,992 | ||||||||
American International Group, Inc. | 404,729 | 22,668,871 | ||||||||
Ameriprise Financial, Inc. | 92,068 | 12,175,993 | ||||||||
Assurant, Inc. | 37,500 | 2,566,125 | ||||||||
Bank of America Corporation | 987,452 | 17,665,516 | ||||||||
Bank of New York Mellon Corporation (The) | 39,526 | 1,603,570 | ||||||||
BB&T Corporation | 24,881 | 967,622 | ||||||||
Berkshire Hathaway, Inc. Class B* | 84,945 | 12,754,492 | ||||||||
BlackRock, Inc.D | 2,717 | 971,491 | ||||||||
Capital One Financial Corporation | 300,497 | 24,806,027 | ||||||||
CBOE Holdings, Inc. | 38,500 | 2,441,670 | ||||||||
CBRE Group, Inc. Class A* | 99,870 | 3,420,547 | ||||||||
Charles Schwab Corporation (The) | 32,367 | 977,160 | ||||||||
Chubb Corporation (The) | 36,336 | 3,759,686 | ||||||||
CIT Group, Inc.D | 80,100 | 3,831,183 | ||||||||
Citigroup, Inc. | 712,852 | 38,572,422 | ||||||||
CME Group, Inc.D | 11,001 | 975,239 | ||||||||
Discover Financial Services | 121,413 | 7,951,337 | ||||||||
Equity Residential REIT | 12,500 | 898,000 | ||||||||
Franklin Resources, Inc.D | 2,429 | 134,494 | ||||||||
Goldman Sachs Group, Inc. (The) | 30,390 | 5,890,494 | ||||||||
Hartford Financial Services Group, Inc. (The) | 156,375 | 6,519,274 | ||||||||
Huntington Bancshares, Inc. | 115,150 | 1,211,378 | ||||||||
JPMorgan Chase & Co. | 768,767 | 48,109,439 | ||||||||
Lincoln National Corporation | 45,400 | 2,618,218 | ||||||||
Marsh & McLennan Cos., Inc.D | 6,275 | 359,181 | ||||||||
McGraw Hill Financial, Inc. | 34,400 | 3,060,912 | ||||||||
MetLife, Inc. | 32,414 | 1,753,273 | ||||||||
Moody’s Corporation | 45,500 | 4,359,355 | ||||||||
Morgan Stanley | 165,741 | 6,430,751 | ||||||||
Navient Corporation | 252,360 | 5,453,500 | ||||||||
PNC Financial Services Group, Inc. (The) | 18,501 | 1,687,846 | ||||||||
Prudential Financial, Inc. | 15,936 | 1,441,571 | ||||||||
Public Storage REIT | 439 | 81,149 | ||||||||
Radian Group, Inc.D | 159,000 | 2,658,480 |
192 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Reinsurance Group of America, Inc. | 29,460 | $ | 2,581,285 | |||||||
RLJ Lodging Trust REIT | 33,500 | 1,123,255 | ||||||||
Simon Property Group, Inc. REIT | 2,691 | 490,058 | ||||||||
SLM Corporation | 393,169 | 4,006,392 | ||||||||
State Street Corporation | 302,921 | 23,779,298 | ||||||||
Travelers Cos., Inc. (The) | 158,010 | 16,725,358 | ||||||||
Unum Group | 74,060 | 2,583,213 | ||||||||
US Bancorp | 59,497 | 2,674,390 | ||||||||
Voya Financial, Inc. | 25,400 | 1,076,452 | ||||||||
Wells Fargo & Co. | 463,687 | 25,419,321 | ||||||||
Western Union Co. (The)D | 115,700 | 2,072,187 | ||||||||
|
| |||||||||
354,089,093 | ||||||||||
|
| |||||||||
Healthcare — 11.4% |
| |||||||||
Abbott Laboratories | 51,999 | 2,340,995 | ||||||||
Aetna, Inc. | 45,622 | 4,052,602 | ||||||||
Amgen, Inc. | 1,332 | 212,174 | ||||||||
Anthem, Inc. | 125,413 | 15,760,652 | ||||||||
Biogen Idec, Inc.* | 14,800 | 5,023,860 | ||||||||
Bristol-Myers Squibb Co. | 36,889 | 2,177,558 | ||||||||
Cardinal Health, Inc. | 78,500 | 6,337,305 | ||||||||
Cigna Corporation | 128,511 | 13,225,067 | ||||||||
Community Health Systems, Inc.* | 12,900 | 695,568 | ||||||||
Eli Lilly & Co. | 34,079 | 2,351,110 | ||||||||
Express Scripts Holding Co.* | 79,404 | 6,723,137 | ||||||||
Gilead Sciences, Inc.D* | 11,000 | 1,036,860 | ||||||||
Halyard Health, Inc.D* | 289 | 13,141 | ||||||||
HCA Holdings, Inc.* | 82,400 | 6,047,336 | ||||||||
Health Net, Inc.* | 44,300 | 2,371,379 | ||||||||
Humana, Inc. | 31,100 | 4,466,893 | ||||||||
Johnson & Johnson | 322,444 | 33,717,969 | ||||||||
McKesson Corporation | 23,700 | 4,919,646 | ||||||||
Medtronic, Inc.D | 259,382 | 18,727,380 | ||||||||
Mylan, Inc.D* | 133,890 | 7,547,379 | ||||||||
Omnicare, Inc.D | 67,500 | 4,922,775 | ||||||||
Stryker Corporation | 4,724 | 445,615 | ||||||||
Thermo Fisher Scientific, Inc. | 8,221 | 1,030,009 | ||||||||
United Therapeutics CorporationD* | 35,300 | 4,570,997 | ||||||||
UnitedHealth Group, Inc. | 117,516 | 11,879,693 | ||||||||
|
| |||||||||
160,597,100 | ||||||||||
|
| |||||||||
Materials & Processing — 1.8% |
| |||||||||
Air Products & Chemicals, Inc. | 7,347 | 1,059,658 | ||||||||
Alcoa, Inc.D | 123,500 | 1,950,065 | ||||||||
Allegheny Technologies, Inc. | 149,885 | 5,211,501 | ||||||||
CF Industries Holdings, Inc. | 9,500 | 2,589,130 | ||||||||
Dow Chemical Co. (The) | 35,019 | 1,597,217 | ||||||||
E.I. du Pont de Nemours & Co. | 1,701 | 125,772 | ||||||||
Freeport-McMoRan, Inc. | 35,896 | 838,530 | ||||||||
Sealed Air Corporation | 190,748 | 8,093,438 | ||||||||
United States Steel CorporationD | 171,800 | 4,593,932 | ||||||||
|
| |||||||||
26,059,243 | ||||||||||
|
| |||||||||
Producer Durables — 10.1% |
| |||||||||
ADT Corporation | 99,835 | 3,617,022 | ||||||||
Alaska Air Group, Inc. | 76,100 | 4,547,736 | ||||||||
Alliant Techsystems, Inc. | 6,300 | 732,375 | ||||||||
Caterpillar, Inc. | 17,035 | 1,559,214 | ||||||||
CSX Corporation | 34,642 | 1,255,080 |
Shares | Value | |||||||||
Danaher Corporation | 16,113 | $ | 1,381,045 | |||||||
Deere & Co.D | 9,894 | 875,322 | ||||||||
Delta Air Lines, Inc. | 128,501 | 6,320,964 | ||||||||
Emerson Electric Co. | 202,737 | 12,514,955 | ||||||||
Exelis, Inc. | 118,400 | 2,075,552 | ||||||||
FedEx Corporation | 42,002 | 7,294,067 | ||||||||
General Dynamics Corporation | 83,361 | 11,472,141 | ||||||||
General Electric Co. | 786,706 | 19,880,061 | ||||||||
Honeywell International, Inc. | 72,800 | 7,274,176 | ||||||||
Huntington Ingalls Industries, Inc. | 19,090 | 2,146,861 | ||||||||
Lexmark International, Inc. Class AD | 60,800 | 2,509,216 | ||||||||
Lockheed Martin Corporation | 20,900 | 4,024,713 | ||||||||
Norfolk Southern CorporationD | 78,211 | 8,572,708 | ||||||||
Northrop Grumman Corporation | 37,608 | 5,543,043 | ||||||||
Raytheon Co. | 10,823 | 1,170,724 | ||||||||
Southwest Airlines Co. | 114,400 | 4,841,408 | ||||||||
Stanley Black & Decker, Inc. | 120,000 | 11,529,600 | ||||||||
Terex CorporationD | 181,260 | 5,053,529 | ||||||||
Textron, Inc. | 271,195 | 11,420,021 | ||||||||
Trinity Industries, Inc.D | 44,500 | 1,246,445 | ||||||||
United Technologies Corporation | 28,204 | 3,243,460 | ||||||||
Waste Management, Inc. | 14,405 | 739,265 | ||||||||
|
| |||||||||
142,840,703 | ||||||||||
|
| |||||||||
Technology — 10.5% |
| |||||||||
Apple, Inc. | 46,700 | 5,154,746 | ||||||||
Applied Materials, Inc. | 253,220 | 6,310,242 | ||||||||
Arrow Electronics, Inc.* | 31,300 | 1,811,957 | ||||||||
Avnet, Inc. | 2,420 | 104,108 | ||||||||
Broadcom Corporation Class A | 41,100 | 1,780,863 | ||||||||
Cisco Systems, Inc. | 492,569 | 13,700,807 | ||||||||
Computer Sciences CorporationD | 27,100 | 1,708,655 | ||||||||
Corning, Inc. | 266,280 | 6,105,800 | ||||||||
EMC CorporationD | 63,827 | 1,898,215 | ||||||||
Hewlett-Packard Co. | 65,592 | 2,632,207 | ||||||||
Intel CorporationD | 907,661 | 32,939,018 | ||||||||
Jabil Circuit, Inc. | 78,090 | 1,704,705 | ||||||||
Micron Technology, Inc.D* | 107,002 | 3,746,140 | ||||||||
Microsoft Corporation | 579,747 | 26,929,248 | ||||||||
NetApp, Inc. | 62,600 | 2,594,770 | ||||||||
Oracle Corporation | 294,400 | 13,239,168 | ||||||||
Take-Two Interactive Software, Inc.D* | 27,340 | 766,340 | ||||||||
Texas Instruments, Inc. | 179,600 | 9,602,314 | ||||||||
Western Digital Corporation | 130,525 | 14,449,118 | ||||||||
Yahoo!, Inc.D* | 32,788 | 1,656,122 | ||||||||
|
| |||||||||
148,834,543 | ||||||||||
|
| |||||||||
Utilities — 6.7% | ||||||||||
AES Corporation | 730,900 | 10,064,493 | ||||||||
American Electric Power Co., Inc. | 183,069 | 11,115,950 | ||||||||
AT&T, Inc.D | 767,342 | 25,775,018 | ||||||||
Calpine CorporationD* | 182,100 | 4,029,873 | ||||||||
CenturyLink, Inc. | 103,879 | 4,111,531 | ||||||||
Dominion Resources, Inc. | 18,921 | 1,455,025 | ||||||||
Duke Energy Corporation | 24,506 | 2,047,231 | ||||||||
Edison International | 96,700 | 6,331,916 | ||||||||
Entergy Corporation | 65,600 | 5,738,688 | ||||||||
Exelon Corporation | 29,656 | 1,099,644 |
See Notes to Financial Statements. | 193 |
Table of Contents
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
NextEra Energy, Inc. | 15,105 | $ | 1,605,510 | |||||||
NRG Energy, Inc. | 33,200 | 894,740 | ||||||||
PG&E CorporationD | 16,098 | 857,057 | ||||||||
Public Service Enterprise Group, Inc. | 126,500 | 5,238,365 | ||||||||
Southern Co. (The) | 30,810 | 1,513,079 | ||||||||
Sprint CorporationD* | 26,553 | 110,195 | ||||||||
T-Mobile US, Inc.D* | 9,285 | 250,138 | ||||||||
Verizon Communications, Inc. | 261,324 | 12,224,737 | ||||||||
|
| |||||||||
94,463,190 | ||||||||||
|
| |||||||||
Total Common Stocks | 1,246,874,344 | |||||||||
|
| |||||||||
FOREIGN COMMON STOCKS — 8.9% |
| |||||||||
Bermuda — 1.5% | ||||||||||
AXIS Capital Holdings, Ltd. | 50,900 | 2,600,481 | ||||||||
Bunge, Ltd. | 50,600 | 4,600,046 | ||||||||
Everest Re Group, Ltd.D | 18,460 | 3,143,738 | ||||||||
Nabors Industries, Ltd.D | 344,809 | 4,475,621 | ||||||||
PartnerRe, Ltd. | 22,800 | 2,602,164 | ||||||||
RenaissanceRe Holdings, Ltd.D | 32,700 | 3,179,094 | ||||||||
|
| |||||||||
20,601,144 | ||||||||||
|
| |||||||||
Canada — 0.8% | ||||||||||
Catamaran Corporation* | 121,800 | 6,303,150 | ||||||||
Magna International, Inc. | 46,300 | 5,032,347 | ||||||||
Thomson Reuters CorporationD | 12,195 | 491,946 | ||||||||
|
| |||||||||
11,827,443 | ||||||||||
|
| |||||||||
Cayman Islands — 0.0% | ||||||||||
Herbalife, Ltd.D* | 16,010 | 603,577 | ||||||||
|
| |||||||||
France — 1.0% | ||||||||||
Sanofi ADRD | 305,900 | 13,952,099 | ||||||||
|
| |||||||||
Guernsey — 0.1% | ||||||||||
Amdocs, Ltd. | 28,100 | 1,311,005 | ||||||||
|
| |||||||||
Ireland — 1.9% | ||||||||||
Covidien PLC | 15,607 | 1,596,284 | ||||||||
CRH PLC ADR | 575,200 | 13,810,552 | ||||||||
Eaton Corporation PLC | 16,504 | 1,121,612 | ||||||||
Pentair PLCD | 57,064 | 3,790,191 | ||||||||
Tyco International PLC | 146,270 | 6,415,402 | ||||||||
|
| |||||||||
26,734,041 | ||||||||||
|
| |||||||||
Jersey — 1.1% | ||||||||||
Delphi Automotive PLC | 213,000 | 15,489,360 | ||||||||
|
| |||||||||
Netherlands — 0.3% | ||||||||||
LyondellBasell Industries NV Class A | 55,100 | 4,374,389 | ||||||||
|
| |||||||||
Panama — 0.1% | ||||||||||
Carnival Corporation | 14,880 | 674,510 | ||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
Flextronics International, Ltd.* | 342,400 | 3,828,032 | ||||||||
|
| |||||||||
Switzerland — 0.1% | ||||||||||
ACE, Ltd. | 11,712 | 1,345,475 | ||||||||
|
| |||||||||
United Kingdom — 1.7% | ||||||||||
BP PLC ADRD | 254,300 | 9,693,916 | ||||||||
Ensco PLC Class AD | 108,900 | 3,261,555 | ||||||||
GlaxoSmithKline PLC ADR | 270,900 | 11,578,266 | ||||||||
|
| |||||||||
24,533,737 | ||||||||||
|
| |||||||||
Total Foreign Common Stocks | 125,274,812 | |||||||||
|
|
Shares | Value | |||||||||
MONEY MARKET FUNDS — 13.2% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 39,487,626 | $ | 39,487,626 | |||||||
Northern Institutional Liquid Assets Portfolio§ | 147,493,810 | 147,493,810 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 186,981,436 | ||||||||
|
| |||||||||
Par | ||||||||||
U.S. TREASURY OBLIGATIONS — 0.0% |
| |||||||||
U.S. Treasury Bill | ||||||||||
(Cost $649,952) | $ | 650,000 | 649,915 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 110.2% | 1,559,780,507 | |||||||||
Liabilities in Excess of | (144,423,925 | ) | ||||||||
|
| |||||||||
Net Assets — 100.0% | $ | 1,415,356,582 | ||||||||
|
|
194 | See Notes to Financial Statements. |
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 1,246,874,344 | $ | 1,246,874,344 | $ | — | $ | — | ||||||||||||
Foreign Common Stocks | 125,274,812 | 125,274,812 | — | — | ||||||||||||||||
Money Market Funds | 186,981,436 | 186,981,436 | — | — | ||||||||||||||||
U.S. Treasury Obligations | 649,915 | — | 649,915 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 1,559,780,507 | $ | 1,559,130,592 | $ | 649,915 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 472,607 | $ | 472,607 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 472,607 | $ | 472,607 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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 year ended December 31, 2014.
See Notes to Financial Statements. | 195 |
Table of Contents
Growth Equity Fund (Unaudited)
The Fund invested in a diversified portfolio of large- and medium-sized U.S. companies whose stocks were considered to have above average potential for growth in revenue and earnings. The Investor Class of the Fund underperformed its benchmark, the Russell 1000® Growth Index, for the one-year period ended December 31, 2014 (9.93% versus 13.05%). Overweight exposure and security selection within the energy sector detracted from benchmark-relative returns, while overweight exposure to the healthcare sector and security selection within the producer durables sector contributed to benchmark-relative performance during the year.
This Fund may be suitable for investors who seek high, long-term rates of return, can accept significant short-term fluctuations in account value, want to invest in growth-oriented stocks and would like to diversify their portfolio by adding a potentially higher return, higher risk option of stocks. The Fund will not concentrate in any particular industry, but at times, it may be heavily invested in a particular economic sector. This may result in greater short-term price volatility.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Money Market Funds | 22.1 | |||
Technology | 19.7 | |||
Consumer Discretionary | 18.2 | |||
Healthcare | 17.2 | |||
Financial Services | 14.0 | |||
Foreign Common Stocks | 10.8 | |||
Producer Durables | 5.7 | |||
Materials & Processing | 4.4 | |||
Energy | 3.2 | |||
Consumer Staples | 3.0 | |||
|
| |||
118.3 | ||||
|
|
196
Table of Contents
Growth Equity Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||||||
Institutional Class* | Investor Class* | Benchmark** | ||||||||
One Year | 10.12% | 9.93% | 13.05% | |||||||
Five Year | 15.44% | 15.25% | 15.81% | |||||||
Ten Year | 7.25% | 7.10% | 8.49% | |||||||
Inception Date | 08/27/01 | 08/27/01 | ||||||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.89% | 1.13% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Russell 1000® Growth Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
197
Table of Contents
GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
COMMON STOCKS — 85.4% |
| |||||||||
Consumer Discretionary — 18.2% |
| |||||||||
CBS Corporation Class BD | 71,021 | $ | 3,930,302 | |||||||
Chipotle Mexican Grill, Inc.D* | 27,351 | 18,722,033 | ||||||||
Comcast Corporation Class A | 139,452 | 8,089,611 | ||||||||
Costco Wholesale Corporation | 78,290 | 11,097,607 | ||||||||
Discovery Communications, Inc. Class A* | 68,162 | 2,348,181 | ||||||||
Discovery Communications, Inc. Class C* | 101,803 | 3,432,797 | ||||||||
Dollar General Corporation* | 66,350 | 4,690,945 | ||||||||
Estee Lauder Cos., Inc. (The) Class A | 229,797 | 17,510,531 | ||||||||
Fortune Brands Home & Security, Inc.D | 132,050 | 5,977,904 | ||||||||
Fossil Group, Inc.* | 16,649 | 1,843,710 | ||||||||
Hilton Worldwide Holdings, Inc.* | 90,400 | 2,358,536 | ||||||||
Home Depot, Inc. (The) | 75,900 | 7,967,223 | ||||||||
Kohl’s CorporationD | 61,835 | 3,774,408 | ||||||||
L Brands, Inc.D | 54,950 | 4,755,922 | ||||||||
Lululemon Athletica, Inc.D* | 27,200 | 1,517,488 | ||||||||
Marriott International, Inc. Class AD | 84,670 | 6,606,800 | ||||||||
NIKE, Inc. Class B | 383,717 | 36,894,390 | ||||||||
Priceline Group, Inc. (The)* | 22,316 | 25,444,926 | ||||||||
Starbucks Corporation | 275,273 | 22,586,150 | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 83,293 | 6,752,564 | ||||||||
Target Corporation | 52,021 | 3,948,914 | ||||||||
Tesla Motors, Inc.D* | 25,775 | 5,732,618 | ||||||||
Tiffany & Co.D | 29,392 | 3,140,829 | ||||||||
Time Warner Cable, Inc. | 29,270 | 4,450,796 | ||||||||
TripAdvisor, Inc.* | 43,072 | 3,215,756 | ||||||||
Twenty-First Century Fox, Inc. Class A | 244,600 | 9,393,863 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 84,423 | 10,792,636 | ||||||||
Under Armour, Inc. Class AD* | 52,401 | 3,558,028 | ||||||||
VF Corporation | 70,960 | 5,314,904 | ||||||||
Walt Disney Co. (The)D | 203,591 | 19,176,236 | ||||||||
Yum! Brands, Inc. | 73,670 | 5,366,860 | ||||||||
|
| |||||||||
270,393,468 | ||||||||||
|
| |||||||||
Consumer Staples — 3.0% |
| |||||||||
Church & Dwight Co., Inc. | 77,110 | 6,077,039 | ||||||||
Coca-Cola Co. (The) | 68,300 | 2,883,626 | ||||||||
CVS Health Corporation | 46,735 | 4,501,048 | ||||||||
Mead Johnson Nutrition Co. | 78,793 | 7,921,848 | ||||||||
Monster Beverage Corporation* | 47,100 | 5,103,285 | ||||||||
Whole Foods Market, Inc.D | 347,013 | 17,496,396 | ||||||||
|
| |||||||||
43,983,242 | ||||||||||
|
| |||||||||
Energy — 3.2% |
| |||||||||
Anadarko Petroleum Corporation | 78,190 | 6,450,675 | ||||||||
Antero Resources CorporationD* | 80,294 | 3,258,331 | ||||||||
EOG Resources, Inc. | 89,530 | 8,243,027 | ||||||||
FMC Technologies, Inc.D* | 276,092 | 12,932,149 | ||||||||
National Oilwell Varco, Inc.D | 111,400 | 7,300,042 | ||||||||
Pioneer Natural Resources Co. | 25,145 | 3,742,833 |
Shares | Value | |||||||||
Southwestern Energy Co.D* | 225,000 | $ | 6,140,250 | |||||||
|
| |||||||||
48,067,307 | ||||||||||
|
| |||||||||
Financial Services — 14.0% |
| |||||||||
Affiliated Managers Group, Inc.* | 28,560 | 6,061,574 | ||||||||
American Express Co. | 42,864 | 3,988,067 | ||||||||
Arthur J. Gallagher & Co. | 79,790 | 3,756,513 | ||||||||
BlackRock, Inc. | 15,650 | 5,595,814 | ||||||||
Capital One Financial Corporation | 53,137 | 4,386,459 | ||||||||
Charles Schwab Corporation (The) | 777,275 | 23,465,932 | ||||||||
Citigroup, Inc. | 207,700 | 11,238,647 | ||||||||
Discover Financial Services | 181,064 | 11,857,881 | ||||||||
FleetCor Technologies, Inc.* | 74,186 | 11,032,200 | ||||||||
JPMorgan Chase & Co. | 185,838 | 11,629,742 | ||||||||
LendingClub CorporationD* | 99,000 | 2,504,700 | ||||||||
MasterCard, Inc. Class AD | 175,303 | 15,104,107 | ||||||||
McGraw Hill Financial, Inc. | 31,767 | 2,826,628 | ||||||||
Morgan Stanley | 505,039 | 19,595,513 | ||||||||
SunTrust Banks, Inc. | 150,750 | 6,316,425 | ||||||||
Visa, Inc. Class AD | 258,478 | 67,772,932 | ||||||||
|
| |||||||||
207,133,134 | ||||||||||
|
| |||||||||
Healthcare — 17.2% |
| |||||||||
AbbVie, Inc. | 122,280 | 8,002,003 | ||||||||
Alexion Pharmaceuticals, Inc.* | 82,335 | 15,234,445 | ||||||||
Allergan, Inc. | 6,190 | 1,315,932 | ||||||||
athenahealth, Inc.D* | 48,800 | 7,110,160 | ||||||||
Biogen Idec, Inc.* | 99,548 | 33,791,569 | ||||||||
BioMarin Pharmaceutical, Inc.* | 91,000 | 8,226,400 | ||||||||
Bristol-Myers Squibb Co. | 178,685 | 10,547,776 | ||||||||
Brookdale Senior Living, Inc.* | 35,887 | 1,315,976 | ||||||||
Celgene CorporationD* | 144,293 | 16,140,615 | ||||||||
Cerner Corporation* | 144,700 | 9,356,302 | ||||||||
Cooper Cos., Inc. (The)D | 21,050 | 3,411,994 | ||||||||
Covance, Inc.* | 32,754 | 3,401,175 | ||||||||
DaVita HealthCare Partners, Inc.* | 85,884 | 6,504,854 | ||||||||
Edwards Lifesciences Corporation* | 16,952 | 2,159,346 | ||||||||
Express Scripts Holding Co.* | 125,319 | 10,610,760 | ||||||||
Gilead Sciences, Inc.D* | 323,482 | 30,491,413 | ||||||||
HCA Holdings, Inc.* | 270,075 | 19,820,804 | ||||||||
Illumina, Inc.* | 36,262 | 6,693,240 | ||||||||
Intuitive Surgical, Inc.* | 22,582 | 11,944,523 | ||||||||
McKesson Corporation | 92,027 | 19,102,965 | ||||||||
Pacira Pharmaceuticals, Inc.D* | 35,262 | 3,126,329 | ||||||||
Regeneron Pharmaceuticals, Inc.* | 51,520 | 21,136,080 | ||||||||
UnitedHealth Group, Inc. | 65,653 | 6,636,862 | ||||||||
|
| |||||||||
256,081,523 | ||||||||||
|
| |||||||||
Materials & Processing — 4.4% |
| |||||||||
Alcoa, Inc. | 227,773 | 3,596,536 | ||||||||
Ecolab, Inc. | 60,797 | 6,354,502 | ||||||||
Fastenal Co.D | 137,405 | 6,534,982 | ||||||||
Monsanto Co. | 154,254 | 18,428,725 | ||||||||
PPG Industries, Inc. | 50,518 | 11,677,236 | ||||||||
Sherwin-Williams Co. (The)D | 62,044 | 16,320,054 | ||||||||
United States Steel CorporationD | 81,985 | 2,192,279 | ||||||||
|
| |||||||||
65,104,314 | ||||||||||
|
|
198 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Producer Durables — 5.7% |
| |||||||||
Colfax Corporation | 29,951 | $ | 1,544,573 | |||||||
Cummins, Inc. | 21,840 | 3,148,673 | ||||||||
Danaher Corporation | 94,138 | 8,068,568 | ||||||||
Delta Air Lines, Inc. | 370,853 | 18,242,259 | ||||||||
FedEx Corporation | 20,640 | 3,584,342 | ||||||||
General Dynamics Corporation | 31,100 | 4,279,982 | ||||||||
Kansas City Southern | 27,500 | 3,355,825 | ||||||||
National Instruments Corporation | 111,704 | 3,472,877 | ||||||||
Stericycle, Inc.* | 60,822 | 7,972,548 | ||||||||
Union Pacific Corporation | 158,767 | 18,913,913 | ||||||||
United Continental Holdings, Inc. | 116,360 | 7,783,320 | ||||||||
Verisk Analytics, Inc. Class AD* | 63,570 | 4,071,659 | ||||||||
|
| |||||||||
84,438,539 | ||||||||||
|
| |||||||||
Technology — 19.7% |
| |||||||||
Activision Blizzard, Inc. | 198,450 | 3,998,768 | ||||||||
Adobe Systems, Inc.* | 153,600 | 11,166,720 | ||||||||
Amphenol Corporation Class A | 129,482 | 6,967,426 | ||||||||
ANSYS, Inc. | 48,085 | 3,942,970 | ||||||||
Apple, Inc. | 451,999 | 49,891,650 | ||||||||
Cognizant Technology Solutions Corporation Class A* | 90,774 | 4,780,159 | ||||||||
Equinix, Inc. | 11,782 | 2,671,333 | ||||||||
Facebook, Inc. Class A* | 598,172 | 46,669,379 | ||||||||
Google, Inc. Class A* | 62,417 | 33,122,205 | ||||||||
Google, Inc. Class CD* | 25,576 | 13,463,206 | ||||||||
Lam Research CorporationD | 65,975 | 5,234,457 | ||||||||
LinkedIn Corporation, Class A* | 82,430 | 18,934,995 | ||||||||
Microsoft Corporation | 252,810 | 11,743,025 | ||||||||
NetSuite, Inc.D | 26,153 | 2,855,123 | ||||||||
QUALCOMM, Inc. | 103,311 | 7,679,107 | ||||||||
Rovi Corporation* | 7 | 158 | ||||||||
salesforce.com, Inc.D* | 583,103 | 34,583,839 | ||||||||
ServiceNow, Inc.D* | 53,935 | 3,659,490 | ||||||||
Splunk, Inc.D* | 202,763 | 11,952,879 | ||||||||
Tableau Software, Inc. Class AD* | 28,848 | 2,445,156 | ||||||||
VMware, Inc. Class AD* | 77,570 | 6,401,076 | ||||||||
Western Digital Corporation | 39,215 | 4,341,101 | ||||||||
Workday, Inc. Class AD* | 80,722 | 6,587,722 | ||||||||
|
| |||||||||
293,091,944 | ||||||||||
|
| |||||||||
Total Common Stocks | 1,268,293,471 | |||||||||
|
| |||||||||
FOREIGN COMMON STOCKS — 10.8% |
| |||||||||
Bermuda — 0.3% |
| |||||||||
Genpact, Ltd. | 250,803 | 4,747,701 | ||||||||
|
| |||||||||
Canada — 1.0% |
| |||||||||
Canadian Pacific Railway, Ltd.D | 80,546 | 15,520,408 | ||||||||
|
| |||||||||
China — 3.2% |
| |||||||||
Alibaba Group Holding, Ltd. ADRD* | 251,116 | 26,100,997 | ||||||||
Baidu, Inc. ADR* | 96,900 | 22,090,293 | ||||||||
|
| |||||||||
48,191,290 | ||||||||||
|
| |||||||||
Curacao — 1.7% |
| |||||||||
Schlumberger, Ltd. | 289,913 | 24,761,469 | ||||||||
|
|
Shares | Value | |||||||||
Ireland — 0.2% |
| |||||||||
Jazz Pharmaceuticals PLCD | 17,430 | $ | 2,853,814 | |||||||
|
| |||||||||
Jersey — 0.6% |
| |||||||||
Shire PLC ADR | 39,230 | 8,337,944 | ||||||||
|
| |||||||||
Liberia — 0.4% |
| |||||||||
Royal Caribbean Cruises, Ltd.D | 72,028 | 5,937,268 | ||||||||
|
| |||||||||
Netherlands — 2.4% |
| |||||||||
ASML Holding NVD | 123,193 | 13,283,901 | ||||||||
Core Laboratories NVD | 40,592 | 4,884,841 | ||||||||
LyondellBasell Industries NV Class A | 120,190 | 9,541,884 | ||||||||
NXP Semiconductor NV | 103,559 | 7,911,908 | ||||||||
|
| |||||||||
35,622,534 | ||||||||||
|
| |||||||||
Switzerland — 0.2% |
| |||||||||
Garmin, Ltd.D | 53,038 | 2,801,998 | ||||||||
|
| |||||||||
United Kingdom — 0.8% |
| |||||||||
ARM Holdings PLC | 148,871 | 2,287,017 | ||||||||
ARM Holdings PLC ADRD | 198,300 | 9,181,290 | ||||||||
|
| |||||||||
11,468,307 | ||||||||||
|
| |||||||||
Total Foreign Common Stocks |
| 160,242,733 | ||||||||
|
| |||||||||
MONEY MARKET FUNDS — 22.1% |
| |||||||||
GuideStone Money Market Fund | 62,446,359 | 62,446,359 | ||||||||
Northern Institutional Liquid Assets Portfolio§ | 265,272,396 | 265,272,396 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 327,718,755 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS — 118.3% | 1,756,254,959 | |||||||||
Liabilities in Excess of Other |
| (271,720,056 | ) | |||||||
|
| |||||||||
NET ASSETS — 100.0% |
| $ | 1,484,534,903 | |||||||
|
|
See Notes to Financial Statements. | 199 |
Table of Contents
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 1,268,293,471 | $ | 1,268,293,471 | $ | — | $ | — | ||||||||||||
Foreign Common Stocks | 160,242,733 | 157,955,716 | 2,287,017 | — | ||||||||||||||||
Money Market Funds | 327,718,755 | 327,718,755 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 1,756,254,959 | $ | 1,753,967,942 | $ | 2,287,017 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 733,237 | $ | 733,237 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 733,237 | $ | 733,237 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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 year ended December 31, 2014.
200 | See Notes to Financial Statements. |
Table of Contents
Small Cap Equity Fund (Unaudited)
The Fund was comprised of domestic, small-cap stocks with both value- and growth-style orientations. The Investor Class of the Fund generated positive performance with a return of 3.83%, but underperformed its benchmark, the Russell 2000® Index, for the one-year period ended December 31, 2014 (3.83% versus 4.89%). Security selection within the technology sector as well as an underweight exposure and security selection to the healthcare sector detracted from benchmark-relative returns, while security selection within the producer durables sector contributed to benchmark-relative performance during the year.
This Fund may be suitable for investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value, want to invest in stocks of small- to medium-sized U.S. companies and would like to diversify their portfolio by adding a potentially higher return, higher risk option of stocks. Small company stocks are subject to greater risk than large company stocks due to more volatility and less liquidity. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Money Market Funds | 38.5 | |||
Producer Durables | 19.9 | |||
Financial Services | 17.5 | |||
Consumer Discretionary | 15.0 | |||
Technology | 14.3 | |||
Healthcare | 9.5 | |||
Foreign Common Stocks | 7.0 | |||
Materials & Processing | 5.1 | |||
Energy | 3.7 | |||
Utilities | 3.7 | |||
Consumer Staples | 1.5 | |||
Corporate Bonds | — | ** | ||
Foreign Bond | — | ** | ||
Rights/Warrants | — | ** | ||
|
| |||
135.7 | ||||
|
|
** | Rounds to less than 0.005%. |
201
Table of Contents
Small Cap Equity Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||||||
| Institutional Class* | Investor Class* | Benchmark** | |||||||
One Year | 4.03% | 3.83% | 4.89% | |||||||
Five Year | 16.52% | 16.30% | 15.55% | |||||||
Ten Year | 7.58% | 7.41% | 7.77% | |||||||
Inception Date | 08/27/01 | 08/27/01 | ||||||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.02% | 1.26% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the Russell 2000® Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
202
Table of Contents
SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
COMMON STOCKS — 90.2% |
| |||||||||
Consumer Discretionary — 15.0% |
| |||||||||
American Axle & Manufacturing Holdings, Inc.* | 18,200 | $ | 411,138 | |||||||
American Eagle Outfitters, Inc.D | 64,400 | 893,872 | ||||||||
Asbury Automotive Group, Inc.* | 11,900 | 903,448 | ||||||||
Avis Budget Group, Inc.* | 30,800 | 2,042,964 | ||||||||
Big Lots, Inc.D | 65,900 | 2,637,318 | ||||||||
Bright Horizons Family Solutions, Inc.D* | 46,000 | 2,162,460 | ||||||||
Brunswick Corporation | 12,100 | 620,246 | ||||||||
Buffalo Wild Wings, Inc.D* | 5,590 | 1,008,324 | ||||||||
Burlington Stores, Inc.* | 44,600 | 2,107,796 | ||||||||
Cablevision Systems Corporation Class AD | 93,500 | 1,929,840 | ||||||||
Cooper Tire & Rubber Co. | 75,300 | 2,609,145 | ||||||||
CST Brands, Inc. | 12,200 | 532,042 | ||||||||
Deckers Outdoor CorporationD* | 11,500 | 1,046,960 | ||||||||
Destination Maternity Corporation | 32,000 | 510,400 | ||||||||
Destination XL Group, Inc.D* | 330,288 | 1,803,372 | ||||||||
Dorman Products, Inc.D* | 43,000 | 2,075,610 | ||||||||
Drew Industries, Inc.D* | 36,400 | 1,858,948 | ||||||||
Fiesta Restaurant Group, Inc.D* | 8,422 | 512,058 | ||||||||
Foot Locker, Inc. | 48,700 | 2,735,966 | ||||||||
Fox Factory Holding CorporationD* | 85,900 | 1,394,157 | ||||||||
G-III Apparel Group, Ltd.* | 30,600 | 3,090,906 | ||||||||
Grand Canyon Education, Inc.* | 45,500 | 2,123,030 | ||||||||
Harman International Industries, Inc. | 11,078 | 1,182,133 | ||||||||
Hillenbrand, Inc. | 35,000 | 1,207,500 | ||||||||
Inter Parfums, Inc. | 35,900 | 985,455 | ||||||||
Jack in the Box, Inc. | 11,600 | 927,536 | ||||||||
Kona Grill, Inc.* | 37,500 | 865,875 | ||||||||
La Quinta Holdings, Inc.* | 39,800 | 877,988 | ||||||||
Lear Corporation | 24,800 | 2,432,384 | ||||||||
Libbey, Inc.* | 87,900 | 2,763,576 | ||||||||
Lithia Motors, Inc. Class AD | 20,100 | 1,742,469 | ||||||||
Malibu Boats, Inc. Class AD* | 39,600 | 763,092 | ||||||||
Mattress Firm Holding CorporationD* | 16,800 | 975,744 | ||||||||
Meritor, Inc.D* | 151,900 | 2,301,285 | ||||||||
Monro Muffler Brake, Inc.D | 38,450 | 2,222,410 | ||||||||
Motorcar Parts of America, Inc.* | 9,500 | 295,355 | ||||||||
Nautilus, Inc.* | 26,900 | 408,342 | ||||||||
NVR, Inc.* | 1,000 | 1,275,330 | ||||||||
Outerwall, Inc.D* | 31,600 | 2,376,952 | ||||||||
Oxford Industries, Inc. | 15,650 | 864,036 | ||||||||
Rentrak CorporationD* | 7,895 | 574,914 | ||||||||
Restoration Hardware Holdings, Inc.D* | 4,700 | 451,247 | ||||||||
Ryland Group, Inc. (The)D | 19,200 | 740,352 | ||||||||
Scholastic Corporation | 63,000 | 2,294,460 | ||||||||
Select Comfort Corporation* | 13,900 | 375,717 | ||||||||
Shutterstock, Inc.D* | 11,500 | 794,650 | ||||||||
Smith & Wesson Holding CorporationD* | 153,500 | 1,453,645 | ||||||||
Sotheby’sD | 42,200 | 1,822,196 | ||||||||
Steven Madden, Ltd.* | 42,250 | 1,344,818 | ||||||||
Tower International, Inc.* | 81,100 | 2,072,105 |
Shares | Value | |||||||||
Tuesday Morning CorporationD* | 29,200 | $ | 633,640 | |||||||
Universal Electronics, Inc.* | 85,054 | 5,531,062 | ||||||||
Vera Bradley, Inc.* | 32,900 | 670,502 | ||||||||
VOXX International CorporationD* | 71,129 | 623,090 | ||||||||
Wayfair, Inc. Class AD* | 43,800 | 869,430 | ||||||||
William Lyon Homes Class AD* | 59,000 | 1,195,930 | ||||||||
World Wrestling Entertainment, Inc. Class AD | 53,900 | 665,126 | ||||||||
Zagg, Inc.* | 157,300 | 1,068,067 | ||||||||
Zoe’s Kitchen, Inc.D* | 11,200 | 334,992 | ||||||||
|
| |||||||||
82,993,405 | ||||||||||
|
| |||||||||
Consumer Staples — 1.5% |
| |||||||||
Cal-Maine Foods, Inc.D | 32,600 | 1,272,378 | ||||||||
Diamond Foods, Inc.* | 12,388 | 349,713 | ||||||||
Hain Celestial Group, Inc. (The)D* | 12,000 | 699,480 | ||||||||
Medifast, Inc.* | 12,800 | 429,440 | ||||||||
Omega Protein CorporationD* | 55,450 | 586,107 | ||||||||
Sanderson Farms, Inc.D | 23,000 | 1,932,575 | ||||||||
United Natural Foods, Inc.D* | 27,300 | 2,110,972 | ||||||||
WhiteWave Foods Co. Class A* | 23,934 | 837,451 | ||||||||
|
| |||||||||
8,218,116 | ||||||||||
|
| |||||||||
Energy — 3.7% |
| |||||||||
American Standard Energy Corporation@* | 8,702 | 278 | ||||||||
C&J Energy Services, Inc.* | 36,400 | 480,844 | ||||||||
CARBO Ceramics, Inc.D | 38,100 | 1,525,905 | ||||||||
CVR Energy, Inc.D | 29,790 | 1,153,171 | ||||||||
EnerNOC, Inc.D* | 46,800 | 723,060 | ||||||||
Geospace Technologies CorporationD* | 12,500 | 331,250 | ||||||||
Green Plains, Inc.D | 37,000 | 916,860 | ||||||||
Gulfport Energy Corporation* | 41,800 | 1,744,732 | ||||||||
Hornbeck Offshore Services, Inc.D* | 34,250 | 855,223 | ||||||||
Matador Resources Co.D* | 46,250 | 935,638 | ||||||||
Oil States International, Inc.* | 19,600 | 958,440 | ||||||||
Parker Drilling Co.D* | 203,000 | 623,210 | ||||||||
Patterson-UTI Energy, Inc.D | 59,400 | 985,446 | ||||||||
PBF Energy, Inc. Class AD | 69,875 | 1,861,470 | ||||||||
PDC Energy, Inc.D* | 27,700 | 1,143,179 | ||||||||
Pioneer Energy Services CorporationD* | 28,900 | 160,106 | ||||||||
Ring Energy, Inc.D* | 157,705 | 1,655,902 | ||||||||
RSP Permian, Inc.D* | 54,400 | 1,367,616 | ||||||||
SM Energy Co.D | 19,700 | 760,026 | ||||||||
Superior Energy Services, Inc. | 12,500 | 251,875 | ||||||||
Synergy Resources CorporationD* | 94,500 | 1,185,030 | ||||||||
Targa Resources Corporation | 6,930 | 734,926 | ||||||||
|
| |||||||||
20,354,187 | ||||||||||
|
| |||||||||
Financial Services — 17.5% |
| |||||||||
AMERISAFE, Inc. | 67,665 | 2,866,289 | ||||||||
AmTrust Financial Services, Inc.D | 23,600 | 1,327,500 | ||||||||
Assurant, Inc. | 35,000 | 2,395,050 | ||||||||
BancFirst CorporationD | 7,500 | 475,425 | ||||||||
Bancorp, Inc. (The)D* | 82,000 | 892,980 | ||||||||
Bank of the Ozarks, Inc.D | 14,700 | 557,424 | ||||||||
Berkshire Hills Bancorp, Inc.D | 36,790 | 980,821 |
See Notes to Financial Statements. | 203 |
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Blackhawk Network Holdings, Inc.D* | 19,000 | $ | 737,200 | |||||||
Bofl Holding, Inc.D* | 21,600 | 1,680,696 | ||||||||
Cardtronics, Inc.D* | 51,700 | 1,994,586 | ||||||||
CBL & Associates Properties, Inc. REIT | 69,200 | 1,343,864 | ||||||||
CBOE Holdings, Inc. | 32,500 | 2,061,150 | ||||||||
Chemical Financial Corporation | 21,891 | 670,740 | ||||||||
Community Bank System, Inc.D | 23,000 | 876,990 | ||||||||
Compass Diversified Holdings LLC | 170,775 | 2,775,094 | ||||||||
CoreSite Realty Corporation REIT | 14,800 | 577,940 | ||||||||
Cowen Group, Inc. Class AD* | 38,800 | 186,240 | ||||||||
DuPont Fabros Technology, Inc. REITD | 71,200 | 2,366,688 | ||||||||
East West Bancorp, Inc.D | 70,100 | 2,713,571 | ||||||||
FBL Financial Group, Inc. Class AD | 13,000 | 754,390 | ||||||||
FBR & Co.* | 16,480 | 405,243 | ||||||||
Financial Engines, Inc.D | 44,600 | 1,630,130 | ||||||||
First Commonwealth Financial CorporationD | 59,400 | 547,668 | ||||||||
First Niagara Financial Group, Inc. | 287,000 | 2,419,410 | ||||||||
FNB CorporationD | 85,200 | 1,134,864 | ||||||||
FXCM, Inc. Class AD | 63,000 | 1,043,910 | ||||||||
Global Payments, Inc. | 13,100 | 1,057,563 | ||||||||
Gramercy Property Trust, Inc. REITD | 191,100 | 1,318,590 | ||||||||
HCI Group, Inc.D | 48,700 | 2,105,788 | ||||||||
Heartland Payment Systems, Inc.D | 45,600 | 2,460,120 | ||||||||
Hersha Hospitality Trust REIT | 295,200 | 2,075,256 | ||||||||
Highwoods Properties, Inc. REITD | 30,800 | 1,363,824 | ||||||||
Hospitality Properties Trust REIT | 76,300 | 2,365,300 | ||||||||
Huntington Bancshares, Inc. | 104,600 | 1,100,392 | ||||||||
Jack Henry & Associates, Inc. | 37,600 | 2,336,464 | ||||||||
Jones Lang LaSalle, Inc. | 18,500 | 2,773,705 | ||||||||
Kennedy-Wilson Holdings, Inc. | 57,825 | 1,462,973 | ||||||||
Lakeland Financial CorporationD | 38,600 | 1,677,942 | ||||||||
LaSalle Hotel Properties REIT | 38,300 | 1,550,001 | ||||||||
Manning & Napier, Inc. | 27,600 | 381,432 | ||||||||
MBIA, Inc.* | 73,900 | 705,006 | ||||||||
MGIC Investment Corporation* | 57,500 | 535,900 | ||||||||
Net 1 UEPS Technologies, Inc.D* | 182,900 | 2,085,060 | ||||||||
PRA Group, Inc.D* | 23,100 | 1,338,183 | ||||||||
PrivateBancorp, Inc. | 44,750 | 1,494,650 | ||||||||
ProAssurance Corporation | 34,700 | 1,566,705 | ||||||||
Radian Group, Inc.D | 191,700 | 3,205,224 | ||||||||
Reinsurance Group of America, Inc. | 30,940 | 2,710,963 | ||||||||
RLJ Lodging Trust REIT | 76,000 | 2,548,280 | ||||||||
Ryman Hospitality Properties, Inc. REITD | 39,700 | 2,093,778 | ||||||||
Safeguard Scientifics, Inc.D* | 56,900 | 1,127,758 | ||||||||
Selective Insurance Group, Inc. | 36,375 | 988,309 | ||||||||
State Bank Financial Corporation | 79,900 | 1,596,402 | ||||||||
Summit Hotel Properties, Inc. REIT | 187,200 | 2,328,768 | ||||||||
Sunstone Hotel Investors, Inc. REIT | 88,200 | 1,456,182 |
Shares | Value | |||||||||
TCF Financial Corporation | 69,400 | $ | 1,102,766 | |||||||
United Insurance Holdings Corporation | 22,700 | 498,265 | ||||||||
Virtus Investment Partners, Inc.D | 1,000 | 170,490 | ||||||||
W.R. Berkley Corporation | 54,200 | 2,778,292 | ||||||||
Walker & Dunlop, Inc.D* | 33,700 | 591,098 | ||||||||
WEX, Inc.* | 20,700 | 2,047,644 | ||||||||
WisdomTree Investments, Inc.D | 116,400 | 1,824,570 | ||||||||
World Acceptance CorporationD* | 30,400 | 2,415,280 | ||||||||
|
| |||||||||
96,654,786 | ||||||||||
|
| |||||||||
Healthcare — 9.5% | ||||||||||
Agios Pharmaceuticals, Inc.D* | 2,698 | 302,284 | ||||||||
Air Methods CorporationD* | 49,100 | 2,161,873 | ||||||||
Align Technology, Inc.* | 24,700 | 1,380,977 | ||||||||
Alnylam Pharmaceuticals, Inc.D* | 2,795 | 271,115 | ||||||||
AMN Healthcare Services, Inc.D* | 21,400 | 419,440 | ||||||||
Analogic Corporation | 24,200 | 2,047,562 | ||||||||
Aratana Therapeutics, Inc.D* | 8,900 | 158,598 | ||||||||
Array BioPharma, Inc.D* | 128,600 | 608,278 | ||||||||
AVANIR Pharmaceuticals, Inc.D* | 39,100 | 662,745 | ||||||||
Bio-Reference Laboratories, Inc.D* | 47,500 | 1,526,175 | ||||||||
BioScrip, Inc.D* | 210,300 | 1,469,997 | ||||||||
Bluebird Bio, Inc.* | 1,595 | 146,293 | ||||||||
Celldex Therapeutics, Inc.D* | 46,109 | 841,489 | ||||||||
Cempra, Inc.D* | 15,200 | 357,352 | ||||||||
Cepheid, Inc.D* | 6,700 | 362,738 | ||||||||
Clovis Oncology, Inc.D* | 15,200 | 851,200 | ||||||||
Community Health Systems, Inc.* | 26,800 | 1,445,056 | ||||||||
Cynosure, Inc. Class A* | 44,000 | 1,206,480 | ||||||||
DexCom, Inc.* | 11,900 | 655,095 | ||||||||
Exact Sciences CorporationD* | 10,300 | 282,632 | ||||||||
Five Star Quality Care, Inc.+ | 2,086 | — | ||||||||
Globus Medical, Inc. Class AD* | 38,000 | 903,260 | ||||||||
Hanger, Inc.D* | 20,300 | 444,570 | ||||||||
Health Net, Inc.* | 54,900 | 2,938,797 | ||||||||
Imprivata, Inc.D* | 32,000 | 416,000 | ||||||||
Inogen, Inc.* | 13,600 | 426,632 | ||||||||
Integra LifeSciences Holdings CorporationD* | 43,800 | 2,375,274 | ||||||||
Isis Pharmaceuticals, Inc.D* | 6,700 | 413,658 | ||||||||
Juno Therapeutics, Inc.* | 3,435 | 179,376 | ||||||||
LDR Holding Corporation* | 12,300 | 403,194 | ||||||||
LifePoint Hospitals, Inc.* | 13,600 | 977,976 | ||||||||
Magellan Health Services, Inc.* | 18,800 | 1,128,564 | ||||||||
Masimo CorporationD* | 33,500 | 882,390 | ||||||||
MWI Veterinary Supply, Inc.D* | 4,000 | 679,640 | ||||||||
Myriad Genetics, Inc.D* | 41,450 | 1,411,787 | ||||||||
Neurocrine Biosciences, Inc.D* | 12,200 | 272,548 | ||||||||
NuVasive, Inc.* | 12,100 | 570,636 | ||||||||
Omnicare, Inc.D | 34,900 | 2,545,257 | ||||||||
OraSure Technologies, Inc.* | 50,542 | 512,496 | ||||||||
Pacira Pharmaceuticals, Inc.* | 2,948 | 261,370 | ||||||||
PDL BioPharma, Inc.D | 218,800 | 1,686,948 | ||||||||
PharMerica Corporation* | 28,600 | 592,306 |
204 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Providence Service Corporation (The)D* | 15,000 | $ | 546,600 | |||||||
PTC Therapeutics, Inc.D* | 10,400 | 538,408 | ||||||||
Puma Biotechnology, Inc.D* | 1,784 | 337,658 | ||||||||
Quality Systems, Inc. | 29,745 | 463,724 | ||||||||
Receptos, Inc.D* | 2,300 | 281,773 | ||||||||
Sirona Dental Systems, Inc.D* | 11,300 | 987,281 | ||||||||
Spectranetics Corporation | 17,500 | 605,150 | ||||||||
Stemline Therapeutics, Inc.D* | 26,200 | 446,972 | ||||||||
Surgical Care Affiliates, Inc.D* | 36,200 | 1,218,130 | ||||||||
Team Health Holdings, Inc.* | 53,900 | 3,100,867 | ||||||||
United Therapeutics CorporationD* | 8,300 | 1,074,767 | ||||||||
US Physical Therapy, Inc. | 36,300 | 1,523,148 | ||||||||
Volcano CorporationD* | 37,900 | 677,652 | ||||||||
West Pharmaceutical Services, Inc. | 57,300 | 3,050,652 | ||||||||
Zeltiq Aesthetics, Inc.D* | 18,604 | 519,238 | ||||||||
|
| |||||||||
52,552,078 | ||||||||||
|
| |||||||||
Materials & Processing — 5.1% | ||||||||||
Acuity Brands, Inc.D | 3,800 | 532,266 | ||||||||
American Vanguard CorporationD | 24,000 | 278,880 | ||||||||
Bemis Co., Inc.D | 14,500 | 655,545 | ||||||||
Boise Cascade Co.* | 45,200 | 1,679,180 | ||||||||
Century Aluminum Co.D* | 27,300 | 666,120 | ||||||||
Clearwater Paper Corporation* | 14,400 | 987,120 | ||||||||
FutureFuel Corporation | 77,027 | 1,002,892 | ||||||||
Huntsman CorporationD | 18,400 | 419,152 | ||||||||
Insteel Industries, Inc. | 54,800 | 1,292,184 | ||||||||
Interface, Inc. | 76,600 | 1,261,602 | ||||||||
Koppers Holdings, Inc. | 40,600 | 1,054,788 | ||||||||
Landec Corporation* | 36,300 | 501,303 | ||||||||
Lennox International, Inc.D | 3,500 | 332,745 | ||||||||
LSB Industries, Inc.D* | 10,850 | 341,124 | ||||||||
Minerals Technologies, Inc. | 5,000 | 347,250 | ||||||||
OMNOVA Solutions, Inc.D* | 179,010 | 1,457,141 | ||||||||
P.H. Glatfelter Co. | 48,300 | 1,235,031 | ||||||||
Patrick Industries, Inc.* | 44,000 | 1,935,120 | ||||||||
PolyOne Corporation | 62,875 | 2,383,591 | ||||||||
RBC Bearings, Inc.D* | 31,500 | 2,032,695 | ||||||||
Resolute Forest ProductsD* | 119,300 | 2,100,873 | ||||||||
Rexnord Corporation* | 64,600 | 1,822,366 | ||||||||
Schnitzer Steel Industries, Inc. Class AD | 21,300 | 480,528 | ||||||||
United States Steel CorporationD | 80,100 | 2,141,874 | ||||||||
Universal Stainless & Alloy Products, Inc.D* | 55,449 | 1,394,542 | ||||||||
|
| |||||||||
28,335,912 | ||||||||||
|
| |||||||||
Producer Durables — 19.9% | ||||||||||
ACCO Brands Corporation* | 400,400 | 3,607,604 | ||||||||
Advisory Board Co. (The)D* | 35,100 | 1,719,198 | ||||||||
AGCO CorporationD | 12,100 | 546,920 | ||||||||
Alaska Air Group, Inc. | 39,600 | 2,366,496 | ||||||||
Albany International Corporation Class A | 74,875 | 2,844,501 | ||||||||
Allegiant Travel Co.* | 10,700 | 1,608,531 | ||||||||
Argan, Inc.* | 29,000 | 975,560 | ||||||||
Astronics CorporationD* | 49,852 | 2,757,314 | ||||||||
Atlas Air Worldwide Holdings, Inc.D* | 38,365 | 1,891,395 | ||||||||
AZZ, Inc. | 61,001 | 2,862,167 |
Shares | Value | |||||||||
Blount International, Inc.* | 121,200 | $ | 2,129,484 | |||||||
Brady Corporation Class AD | 15,850 | 433,339 | ||||||||
Chart Industries, Inc.D* | 22,400 | 766,080 | ||||||||
Columbus McKinnon Corporation | 107,035 | 3,001,261 | ||||||||
Corporate Executive Board Co. (The) | 33,900 | 2,458,767 | ||||||||
CoStar Group, Inc.D* | 13,200 | 2,423,916 | ||||||||
Curtiss-Wright Corporation | 8,000 | 564,720 | ||||||||
Dice Holdings, Inc.* | 42,200 | 422,422 | ||||||||
Ducommun, Inc.D* | 59,197 | 1,496,500 | ||||||||
DXP Enterprises, Inc.* | 3,000 | 151,590 | ||||||||
Electronics For Imaging, Inc.D* | 22,500 | 963,675 | ||||||||
EMCOR Group, Inc. | 84,200 | 3,746,058 | ||||||||
EnerSys, Inc.D | 50,800 | 3,135,376 | ||||||||
Engility Holdings, Inc.* | 38,800 | 1,660,640 | ||||||||
Exelis, Inc. | 136,600 | 2,394,598 | ||||||||
ExlService Holdings, Inc.* | 61,250 | 1,758,488 | ||||||||
G&K Services, Inc. Class A | 4,200 | 297,570 | ||||||||
Generac Holdings, Inc.D* | 19,200 | 897,792 | ||||||||
Global Power Equipment Group, Inc.D | 30,500 | 421,205 | ||||||||
GP Strategies Corporation* | 54,000 | 1,832,220 | ||||||||
Graham CorporationD | 12,700 | 365,379 | ||||||||
Great Lakes Dredge & Dock Corporation* | 196,600 | 1,682,896 | ||||||||
Greenbrier Cos., Inc. (The)D | 47,600 | 2,557,548 | ||||||||
Gulfmark Offshore, Inc. Class AD | 22,900 | 559,218 | ||||||||
Hawaiian Holdings, Inc.D* | 119,456 | 3,111,829 | ||||||||
HD Supply Holdings, Inc.* | 14,600 | 430,554 | ||||||||
Healthcare Services Group, Inc.D | 31,650 | 978,934 | ||||||||
Huntington Ingalls Industries, Inc. | 20,200 | 2,271,692 | ||||||||
Huron Consulting Group, Inc.D* | 17,972 | 1,229,105 | ||||||||
Hyster-Yale Materials Handling, Inc. | 10,700 | 783,240 | ||||||||
ICF International, Inc.* | 18,600 | 762,228 | ||||||||
JetBlue Airways CorporationD* | 25,100 | 398,086 | ||||||||
Kelly Services, Inc. Class AD | 16,630 | 283,043 | ||||||||
Kennametal, Inc.D | 49,100 | 1,757,289 | ||||||||
Knight Transportation, Inc. | 8,900 | 299,574 | ||||||||
Lexmark International, Inc. | 47,600 | 1,964,452 | ||||||||
LMI Aerospace, Inc.D* | 25,900 | 365,190 | ||||||||
MAXIMUS, Inc. | 32,300 | 1,771,332 | ||||||||
McGrath RentCorpD | 30,300 | 1,086,558 | ||||||||
Mistras Group, Inc.* | 19,800 | 362,934 | ||||||||
Modine Manufacturing Co.* | 57,480 | 781,728 | ||||||||
Old Dominion Freight Line, Inc.* | 26,300 | 2,041,932 | ||||||||
On Assignment, Inc.* | 87,300 | 2,897,487 | ||||||||
Orbital Sciences Corporation* | 58,800 | 1,581,132 | ||||||||
OSI Systems, Inc.* | 20,300 | 1,436,631 | ||||||||
Park-Ohio Holdings CorporationD | 20,100 | 1,266,903 | ||||||||
Primoris Services Corporation | 64,000 | 1,487,360 | ||||||||
Ryder System, Inc. | 3,800 | 352,830 | ||||||||
SP Plus Corporation* | 38,900 | 981,447 | ||||||||
Spirit AeroSystems Holdings, Inc. Class A* | 72,355 | 3,114,159 | ||||||||
Spirit Airlines, Inc.* | 11,600 | 876,728 | ||||||||
Sun Hydraulics Corporation | 31,500 | 1,240,470 |
See Notes to Financial Statements. | 205 |
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Taser International, Inc.D* | 25,720 | $ | 681,066 | |||||||
Tidewater, Inc.D | 71,000 | 2,301,110 | ||||||||
Titan International, Inc.D | 118,700 | 1,261,781 | ||||||||
Titan Machinery, Inc.D* | 60,745 | 846,785 | ||||||||
TriNet Group, Inc.* | 47,700 | 1,492,056 | ||||||||
Trinity Industries, Inc.D | 32,900 | 921,529 | ||||||||
Triumph Group, Inc. | 27,700 | 1,861,994 | ||||||||
Wabtec Corporation | 19,300 | 1,676,977 | ||||||||
WageWorks, Inc.D* | 41,850 | 2,702,255 | ||||||||
Wesco Aircraft Holdings, Inc.D* | 39,000 | 545,220 | ||||||||
WESCO International, Inc.D* | 22,400 | 1,707,104 | ||||||||
XPO Logistics, Inc.D* | 27,514 | 1,124,772 | ||||||||
|
| |||||||||
110,337,924 | ||||||||||
|
| |||||||||
Technology — 14.3% |
| |||||||||
Acacia Research CorporationD | 54,544 | 923,975 | ||||||||
Benchmark Electronics, Inc.* | 19,520 | 496,589 | ||||||||
Black Box Corporation | 40,057 | 957,362 | ||||||||
Bottomline Technologies, Inc.D* | 34,300 | 867,104 | ||||||||
BroadSoft, Inc.* | 30,300 | 879,306 | ||||||||
Cavium, Inc.D* | 13,938 | 861,647 | ||||||||
Cognex Corporation* | 13,000 | 537,290 | ||||||||
CommVault Systems, Inc.D* | 16,100 | 832,209 | ||||||||
comScore, Inc.* | 59,508 | 2,762,957 | ||||||||
Dealertrack Holdings, Inc.D* | 58,700 | 2,600,997 | ||||||||
Demandware, Inc.D* | 12,920 | 743,417 | ||||||||
DigitalGlobe, Inc.D* | 54,400 | 1,684,768 | ||||||||
Ellie Mae, Inc.D* | 10,700 | 431,424 | ||||||||
Fortinet, Inc.* | 37,400 | 1,146,684 | ||||||||
Global Eagle Entertainment, Inc.D* | 55,800 | 759,438 | ||||||||
Insight Enterprises, Inc.* | 14,100 | 365,049 | ||||||||
Integrated Device Technology, Inc.* | 35,508 | 695,957 | ||||||||
Interactive Intelligence Group, Inc.D* | 40,000 | 1,916,000 | ||||||||
InterDigital, Inc.D | 31,900 | 1,687,510 | ||||||||
InvenSense, Inc.D* | 23,300 | 378,858 | ||||||||
Jabil Circuit, Inc.D | 82,410 | 1,799,010 | ||||||||
KEYW Holding Corporation (The)D* | 61,500 | 638,370 | ||||||||
Marketo, Inc.D* | 36,500 | 1,194,280 | ||||||||
Methode Electronics, Inc. | 7,600 | 277,476 | ||||||||
MicroStrategy, Inc. Class A* | 2,055 | 333,732 | ||||||||
MKS Instruments, Inc. | 47,600 | 1,742,160 | ||||||||
Monotype Imaging Holdings, Inc. | 35,000 | 1,009,050 | ||||||||
NIC, Inc.* | 141,298 | 2,541,951 | ||||||||
OmniVision Technologies, Inc.* | 70,300 | 1,827,800 | ||||||||
PDF Solutions, Inc.* | 53,400 | 793,524 | ||||||||
Polycom, Inc.* | 71,800 | 969,300 | ||||||||
Progress Software Corporation* | 83,400 | 2,253,468 | ||||||||
Proofpoint, Inc.D* | 23,400 | 1,128,582 | ||||||||
PROS Holdings, Inc.D* | 46,850 | 1,287,438 | ||||||||
Q2 Holdings, Inc.* | 19,800 | 373,032 | ||||||||
Qlik Technologies, Inc.* | 51,700 | 1,597,013 | ||||||||
QLogic Corporation* | 32,600 | 434,232 | ||||||||
Silicon Graphics International CorporationD* | 128,142 | 1,458,256 | ||||||||
Skyworks Solutions, Inc. | 48,700 | 3,540,977 | ||||||||
Solera Holdings, Inc. | 53,050 | 2,715,099 | ||||||||
Sonus Networks, Inc.D* | 106,225 | 421,713 | ||||||||
Spansion, Inc. Class AD* | 31,700 | 1,084,774 |
Shares | Value | |||||||||
Synaptics, Inc.D* | 47,200 | $ | 3,249,248 | |||||||
Synchronoss Technologies, Inc.D* | 87,400 | 3,658,564 | ||||||||
Tableau Software, Inc. | 5,200 | 440,752 | ||||||||
Take-Two Interactive Software, Inc.D* | 165,400 | 4,636,162 | ||||||||
Tessco Technologies, Inc.D | 50,499 | 1,464,471 | ||||||||
Tessera Technologies, Inc. | 21,400 | 765,264 | ||||||||
TrueCar, Inc.D* | 23,205 | 531,395 | ||||||||
Tyler Technologies, Inc.D* | 49,600 | 5,428,224 | ||||||||
Ultimate Software Group, Inc. (The)* | 19,400 | 2,848,211 | ||||||||
United Online, Inc. | 51,800 | 753,690 | ||||||||
VeriFone Systems, Inc.D* | 24,800 | 922,560 | ||||||||
Verint Systems, Inc.D* | 24,500 | 1,427,860 | ||||||||
Virtusa Corporation* | 33,000 | 1,375,110 | ||||||||
Yelp, Inc.D* | 10,036 | 549,270 | ||||||||
|
| |||||||||
79,000,559 | ||||||||||
|
| |||||||||
Utilities — 3.7% | ||||||||||
CMS Energy Corporation | 84,800 | 2,946,800 | ||||||||
Cogent Communications Holdings, Inc. | 37,200 | 1,316,508 | ||||||||
El Paso Electric Co. | 16,600 | 664,996 | ||||||||
FairPoint Communications, Inc.D* | 35,100 | 498,771 | ||||||||
General Communication, Inc. Class AD* | 33,100 | 455,125 | ||||||||
Great Plains Energy, Inc. | 50,300 | 1,429,023 | ||||||||
j2 Global, Inc.D | 40,900 | 2,535,800 | ||||||||
Laclede Group, Inc. (The) | 29,300 | 1,558,760 | ||||||||
PNM Resources, Inc. | 23,700 | 702,231 | ||||||||
Portland General Electric Co.D | 59,100 | 2,235,753 | ||||||||
UGI Corporation | 73,100 | 2,776,338 | ||||||||
Vectren Corporation | 52,700 | 2,436,321 | ||||||||
West Corporation | 24,750 | 816,750 | ||||||||
|
| |||||||||
20,373,176 | ||||||||||
|
| |||||||||
Total Common Stocks |
| 498,820,143 | ||||||||
|
| |||||||||
FOREIGN COMMON STOCKS — 7.0% |
| |||||||||
Bermuda — 3.4% | ||||||||||
Aspen Insurance Holdings, Ltd. | 52,000 | 2,276,040 | ||||||||
AXIS Capital Holdings, Ltd. | 54,100 | 2,763,969 | ||||||||
Everest Re Group, Ltd. | 15,700 | 2,673,710 | ||||||||
Helen of Troy, Ltd.* | 35,320 | 2,297,919 | ||||||||
Nabors Industries, Ltd.D | 65,800 | 854,084 | ||||||||
PartnerRe, Ltd.D | 21,570 | 2,461,784 | ||||||||
Platinum Underwriters Holdings, Ltd. | 5,700 | 418,494 | ||||||||
RenaissanceRe Holdings, Ltd.D | 23,400 | 2,274,948 | ||||||||
Validus Holdings, Ltd. | 64,900 | 2,697,244 | ||||||||
|
| |||||||||
18,718,192 | ||||||||||
|
| |||||||||
Canada — 1.0% | ||||||||||
Dominion Diamond Corporation* | 35,700 | 641,172 | ||||||||
FirstService Corporation | 33,500 | 1,703,810 | ||||||||
MFC Industrial, Ltd.D | 46,800 | 331,344 | ||||||||
Performance Sports Group, Ltd.D* | 129,900 | �� | 2,336,901 | |||||||
Thompson Creek Metals Co., Inc.D* | 446,400 | 745,488 | ||||||||
|
| |||||||||
5,758,715 | ||||||||||
|
|
206 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Cayman Islands — 0.3% | ||||||||||
Avolon Holdings, Ltd.* | 48,500 | $ | 960,300 | |||||||
Nord Anglia Education, Inc.D* | 41,500 | 791,820 | ||||||||
|
| |||||||||
1,752,120 | ||||||||||
|
| |||||||||
Curacao — 0.3% | ||||||||||
Orthofix International NVD* | 56,200 | 1,689,372 | ||||||||
|
| |||||||||
France — 0.1% | ||||||||||
Criteo SA ADR* | 8,300 | 335,486 | ||||||||
|
| |||||||||
Ireland — 0.2% | ||||||||||
Horizon Pharma PLCD* | 86,300 | 1,112,407 | ||||||||
|
| |||||||||
Israel — 0.5% | ||||||||||
Mellanox Technologies, Ltd.D* | 15,200 | 649,496 | ||||||||
Orbotech, Ltd.* | 37,400 | 553,520 | ||||||||
Radware, Ltd.* | 23,000 | 506,460 | ||||||||
SodaStream International, Ltd.D* | 54,200 | 1,090,504 | ||||||||
|
| |||||||||
2,799,980 | ||||||||||
|
| |||||||||
Luxembourg — 0.0% | ||||||||||
Altisource Portfolio Solutions SAD* | 7,300 | 246,667 | ||||||||
|
| |||||||||
Mauritius — 0.1% | ||||||||||
Makemytrip, Ltd.D* | 16,000 | 415,840 | ||||||||
|
| |||||||||
Netherlands — 0.2% | ||||||||||
AVG Technologies NV* | 58,100 | 1,146,894 | ||||||||
|
| |||||||||
Puerto Rico — 0.7% | ||||||||||
EVERTEC, Inc. | 60,650 | 1,342,185 | ||||||||
OFG BanCorporationD | 135,700 | 2,259,405 | ||||||||
|
| |||||||||
3,601,590 | ||||||||||
|
| |||||||||
Singapore — 0.2% | ||||||||||
Flextronics International, Ltd.* | 88,000 | 983,840 | ||||||||
|
| |||||||||
Total Foreign Common Stocks |
| 38,561,103 | ||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% |
| |||||||||
Asen Warrants A+@ | 25,000 | 30 | ||||||||
Asen Warrants B+@ | 25,000 | 20 | ||||||||
Asen Warrants C+@ | 25,000 | 3 | ||||||||
|
| |||||||||
Total Rights/Warrants | 53 | |||||||||
|
| |||||||||
MONEY MARKET FUNDS — 38.5% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 14,997,156 | 14,997,156 | ||||||||
Northern Institutional Liquid Assets Portfolio§ | 198,134,622 | 198,134,622 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 213,131,778 | ||||||||
|
| |||||||||
Par | ||||||||||
CORPORATE BONDS — 0.0% |
| |||||||||
Lehman Escrow Bonds | ||||||||||
0.00%, 07/19/17+W†# | $ | 160,000 | — | |||||||
0.00%, 12/28/17+W†# | 120,000 | — | ||||||||
0.00%, 08/19/45+W†# | 50,000 | — | ||||||||
0.00%, 11/30/49+W†# | 10,000 | — | ||||||||
|
| |||||||||
Total Corporate Bonds | — | |||||||||
|
|
Par | Value | |||||||||
FOREIGN BOND — 0.0% |
| |||||||||
Iceland — 0.0% |
| |||||||||
Glitnir HF | ||||||||||
6.69%, 06/15/16+ 144A# | $ | 130,000 | $ | 1 | ||||||
|
| |||||||||
TOTAL INVESTMENTS — 135.7% |
| 750,513,078 | ||||||||
Liabilities in Excess of Other | (197,250,266 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 553,262,812 | ||||||||
|
|
See Notes to Financial Statements. | 207 |
Table of Contents
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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: | ||||||||||||||||||||
Consumer Discretionary | $ | 82,993,405 | $ | 82,993,405 | $ | — | $ | — | ||||||||||||
Consumer Staples | 8,218,116 | 8,218,116 | — | — | ||||||||||||||||
Energy | 20,354,187 | 20,354,187 | — | — | ||||||||||||||||
Financial Services | 96,654,786 | 96,654,786 | — | — | ||||||||||||||||
Healthcare | 52,552,078 | 52,552,078 | — | — | ||||||||||||||||
Materials & Processing | 28,335,912 | 28,335,912 | — | — | ||||||||||||||||
Producer Durables | 110,337,924 | 110,337,924 | — | — | ||||||||||||||||
Technology | 79,000,559 | 79,000,559 | — | — | ||||||||||||||||
Utilities | 20,373,176 | 20,373,176 | — | — | ||||||||||||||||
Corporate Bonds | — | — | — | — | ||||||||||||||||
Foreign Bond: | ||||||||||||||||||||
Iceland | 1 | — | — | 1 | ||||||||||||||||
Foreign Common Stocks | 38,561,103 | 38,561,103 | — | — | ||||||||||||||||
Money Market Funds | 213,131,778 | 213,131,778 | — | — | ||||||||||||||||
Rights/Warrants | 53 | — | — | 53 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 750,513,078 | $ | 750,513,024 | $ | — | $ | 54 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | 660,446 | 660,446 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 660,446 | $ | 660,446 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
***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 year ended December 31, 2014.
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 December 31, 2014.
208 | See Notes to Financial Statements. |
Table of Contents
International Equity Fund (Unaudited)
Developed non-U.S. equity markets struggled relative to their U.S. counterparts and were negatively impacted by very modest economic growth and the strengthening of the U.S. dollar against most currencies. The MSCI-EAFE Index (Net), a measure of international developed country returns, posted a fourth quarter return of -3.57%, bringing the one-year return to -4.90%. From a country perspective, Portugal, Norway and Austria in the European region posted the worst performance, while Israel, Denmark and New Zealand were among the best performing countries for the year. From a sector perspective, the fall in oil prices had a major impact on energy as the sector declined over 18% for the year. With the exception of healthcare and utilities, all other sectors declined for the period.
The International Equity Fund continued to be invested in markets deemed to be developed and, to a much lesser extent, in markets deemed to be emerging or non-developed. The Fund was primarily comprised of equities of foreign companies and was diversified among a large number of companies across different industries and economic sectors. The Investor Class of the Fund underperformed its benchmark, the MSCI EAFE Index (Net), for the one-year period ended December 31, 2014 (-6.00% versus -4.90%). On a country basis, security selection to the United Kingdom, Netherlands and Germany negatively impacted benchmark relative performance, while tactical exposure to China and Taiwan as well as security selection to Italy positively impacted performance. The Fund’s tactical allocation to emerging markets also added value during the year. On a sector basis, security selection in the industrials and healthcare sectors detracted, while security selection in the consumer discretionary sector contributed to benchmark-relative returns during the year.
Within the Fund, certain derivatives were utilized to express active views in currency and country selection and to hedge foreign currency exposure back to the U.S. dollar. These derivative positions primarily included currency forward contracts and stock index futures. Overall, derivative exposure had a slight negative impact on Fund performance over the course of the year.
This Fund may be suitable to investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value and want to diversify their portfolio with international stocks. The Fund invests in foreign and emerging market securities which involve certain risks such as currency volatility, political and social instability and reduced market liquidity. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives and by its ability to select sub-advisers to allocate assets. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Financial Services | 22.9 | |||
Consumer Discretionary | 17.5 | |||
Technology | 12.5 | |||
Producer Durables | 11.1 | |||
Materials & Processing | 10.3 | |||
Money Market Funds | 9.3 | |||
Healthcare | 8.2 | |||
Utilities | 7.9 | |||
Consumer Staples | 5.3 | |||
Energy | 4.7 | |||
Foreign Preferred Stocks | 0.3 | |||
Rights | — | ** | ||
Warrant | — | ** | ||
Securities Sold Short | (6.6 | ) | ||
|
| |||
103.4 | ||||
|
|
** | Rounds to less than 0.005%. |
209
Table of Contents
International Equity Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||||||
Institutional Class* | Investor Class* | Benchmark** | ||||||||
One Year | -5.80% | -6.00% | -4.90% | |||||||
Five Year | 4.51% | 4.26% | 5.33% | |||||||
Ten Year | 4.44% | 4.21% | 4.43% | |||||||
Inception Date | 08/27/01 | 08/27/01 | ||||||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.26% | 1.50% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund for the 10-year period from December 31, 2004 to December 31, 2014, with all dividends and capital gains reinvested, with the MSCI EAFE Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
210
Table of Contents
INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS | December 31, 2014 | |
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 100.4% |
| |||||||
Australia — 2.7% | ||||||||
AGL Energy, Ltd. | 43,290 | $ | 472,169 | |||||
Amcor, Ltd. | 32,151 | 353,736 | ||||||
AMP, Ltd. | 638,185 | 2,842,324 | ||||||
APA Group | 59,234 | 358,087 | ||||||
Asciano, Ltd. | 146,920 | 719,505 | ||||||
ASX, Ltd. | 2,537 | 75,690 | ||||||
Aurizon Holdings, Ltd. | 182,169 | 681,726 | ||||||
AusNet Services | 252,472 | 272,764 | ||||||
Australia & New Zealand Banking Group, Ltd. | 84,691 | 2,203,657 | ||||||
Bank of Queensland, Ltd. | 43,949 | 432,982 | ||||||
Bendigo and Adelaide Bank, Ltd. | 89,053 | 925,968 | ||||||
BHP Billiton, Ltd. | 77,599 | 1,834,645 | ||||||
BlueScope Steel, Ltd.* | 58,299 | 263,870 | ||||||
Boral, Ltd. | 49,009 | 210,315 | ||||||
Caltex Australia, Ltd. | 27,655 | 767,345 | ||||||
Cochlear, Ltd. | 23,994 | 1,513,706 | ||||||
Commonwealth Bank of Australia | 20,304 | 1,410,697 | ||||||
Computershare, Ltd. | 6,176 | 59,077 | ||||||
CSL, Ltd. | 11,128 | 781,695 | ||||||
Dexus Property Group REIT | 14,154 | 80,124 | ||||||
Downer EDI, Ltd. | 133,474 | 510,071 | ||||||
Federation Centres REIT | 27,212 | 63,357 | ||||||
Fortescue Metals Group, Ltd.D | 893,219 | 1,961,188 | ||||||
Goodman Group REIT | 33,286 | 153,744 | ||||||
GPT Group REIT | 26,294 | 93,056 | ||||||
GPT Group REIT +* | 63,198 | — | ||||||
Harvey Norman Holdings, Ltd. | 51,879 | 141,608 | ||||||
Incitec Pivot, Ltd. | 89,655 | 231,912 | ||||||
Leighton Holdings, Ltd. | 54,648 | 995,060 | ||||||
Lend Lease Group | 89,029 | 1,185,766 | ||||||
Macquarie Group, Ltd. | 20,049 | 945,448 | ||||||
Mirvac Group REIT | 47,808 | 69,157 | ||||||
National Australia Bank, Ltd. | 97,120 | 2,648,490 | ||||||
Newcrest Mining, Ltd.* | 13,780 | 121,249 | ||||||
Novion Property Group REIT | 37,629 | 64,678 | ||||||
Qantas Airways, Ltd.* | 541,075 | 1,050,938 | ||||||
QBE Insurance Group, Ltd. | 334,562 | 3,037,953 | ||||||
Rio Tinto, Ltd. | 23,580 | 1,105,452 | ||||||
Scentre Group REIT* | 104,486 | 296,027 | ||||||
Sonic Healthcare, Ltd. | 61,976 | 932,402 | ||||||
Stockland REIT | 46,149 | 154,225 | ||||||
Suncorp Group, Ltd. | 40,814 | 466,251 | ||||||
Telstra Corporation, Ltd. | 319,080 | 1,549,079 | ||||||
Toll Holdings, Ltd.D | 248,309 | 1,182,823 | ||||||
Wesfarmers, Ltd. | 18,321 | 620,306 | ||||||
Westfield Corporation REIT | 40,245 | 295,011 | ||||||
Westpac Banking Corporation | 38,490 | 1,035,219 | ||||||
Woodside Petroleum, Ltd. | 11,017 | 340,726 | ||||||
WorleyParsons, Ltd. | 7,883 | 64,573 | ||||||
|
| |||||||
37,575,851 | ||||||||
|
| |||||||
Austria — 0.2% | ||||||||
Erste Group Bank AG | 126,406 | 2,940,044 | ||||||
|
| |||||||
Belgium — 0.5% | ||||||||
Ageas STRIP VVPR+* | 5,306 | 6 | ||||||
Belgacom SA | 96,644 | 3,506,593 | ||||||
bpost SA | 28,611 | 718,725 | ||||||
Delhaize Group SA | 32,546 | 2,370,180 |
Shares | Value | |||||||
Groupe Bruxelles Lambert SA | 457 | $ | 38,991 | |||||
|
| |||||||
6,634,495 | ||||||||
|
| |||||||
Bermuda — 1.0% | ||||||||
Cheung Kong Infrastructure Holdings, Ltd. | 12,000 | 88,245 | ||||||
Credicorp, Ltd. | 26,482 | 4,241,887 | ||||||
First Pacific Co., Ltd. | 38,000 | 37,525 | ||||||
Jardine Matheson Holdings, Ltd. | 48,400 | 2,940,995 | ||||||
Kerry Properties, Ltd. | 314,500 | 1,134,555 | ||||||
Li & Fung, Ltd. | 4,494,924 | 4,208,204 | ||||||
Luk Fook Holdings International, Ltd. | 278,000 | 1,042,536 | ||||||
NWS Holdings, Ltd. | 21,000 | 38,519 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 126,000 | 453,071 | ||||||
|
| |||||||
14,185,537 | ||||||||
|
| |||||||
Brazil — 0.5% | ||||||||
Embraer SA ADRD | 117,300 | 4,323,678 | ||||||
Vale SA ADRD | 289,100 | 2,098,866 | ||||||
|
| |||||||
6,422,544 | ||||||||
|
| |||||||
British Virgin Islands — 0.0% |
| |||||||
Mail.ru Group, Ltd. GDR* | 30,241 | 492,928 | ||||||
|
| |||||||
Canada — 0.9% | ||||||||
Canadian National Railway Co. | 160,008 | 11,026,151 | ||||||
Suncor Energy, Inc. | 57,300 | 1,819,909 | ||||||
|
| |||||||
12,846,060 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Sociedad Quimica y Minera de Chile SA ADR | 50,100 | 1,196,388 | ||||||
|
| |||||||
China — 2.8% | ||||||||
Agricultural Bank of China, Ltd. Class H | 2,802,000 | 1,409,310 | ||||||
Alibaba Group Holding, Ltd. ADRD* | 52,900 | 5,498,426 | ||||||
Baidu, Inc. ADR* | 61,900 | 14,111,343 | ||||||
China Railway Construction Corporation, Ltd. Class H | 587,500 | 745,950 | ||||||
JD.com, Inc. ADRD* | 44,900 | 1,038,986 | ||||||
New Oriental Education & Technology Group, Inc. ADR* | 85,100 | 1,736,891 | ||||||
Tencent Holdings, Ltd. | 914,800 | 13,236,178 | ||||||
Youku Tudou, Inc. ADRD* | 52,804 | 940,439 | ||||||
|
| |||||||
38,717,523 | ||||||||
|
| |||||||
Denmark — 1.7% | ||||||||
AP Moller - Maersk A/S Class B | 285 | 566,851 | ||||||
Chr Hansen Holding A/S | 35,400 | 1,568,339 | ||||||
Danske Bank A/S | 233,984 | 6,325,959 | ||||||
GN Store Nord A/S | 42,828 | 935,699 | ||||||
Novo Nordisk A/S Class B | 86,706 | 3,667,645 | ||||||
Novozymes A/S Class B | 68,338 | 2,876,590 | ||||||
Pandora A/S | 51,602 | 4,182,711 | ||||||
TDC A/S | 499,036 | 3,806,101 | ||||||
|
| |||||||
23,929,895 | ||||||||
|
| |||||||
Finland — 0.4% | ||||||||
Elisa OYJ | 9,334 | 254,772 | ||||||
Fortum OYJ | 24,897 | 540,554 |
See Notes to Financial Statements. | 211 |
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Kesko OYJ, B Shares | 24,166 | $ | 878,885 | |||||||
Nokia OYJ | 277,568 | 2,195,238 | ||||||||
Orion OYJ Class B | 25,925 | 806,282 | ||||||||
UPM-Kymmene OYJ | 34,637 | 567,639 | ||||||||
|
| |||||||||
5,243,370 | ||||||||||
|
| |||||||||
France — 8.8% | ||||||||||
Alstom SA* | 4,224 | 136,235 | ||||||||
AXA SA | 92,963 | 2,142,156 | ||||||||
BNP Paribas SA | 39,270 | 2,318,274 | ||||||||
Cap Gemini SA | 9,201 | 658,031 | ||||||||
Casino Guichard Perrachon SA | 63,473 | 5,837,275 | ||||||||
Christian Dior SA | 46,090 | 7,887,776 | ||||||||
Cie de St-Gobain | 156,615 | 6,634,361 | ||||||||
CNP Assurances | 5,569 | 98,728 | ||||||||
Credit Agricole SA | 256,934 | 3,316,647 | ||||||||
Danone SA | 117,067 | 7,653,631 | ||||||||
Electricite de France SA | 30,576 | 841,711 | ||||||||
Essilor International SA | 14,175 | 1,580,790 | ||||||||
GDF Suez | 328,974 | 7,671,377 | ||||||||
Kering | 26,677 | 5,126,547 | ||||||||
Klepierre REIT* | 623 | 26,751 | ||||||||
Lagardere SCA | 95,680 | 2,491,703 | ||||||||
L’Oreal SA | 34,250 | 5,732,501 | ||||||||
Natixis SA | 139,872 | 922,965 | ||||||||
Neopost SA | 6,854 | 391,007 | ||||||||
Orange SA | 562,711 | 9,569,890 | ||||||||
Sanofi | 202,192 | 18,433,988 | ||||||||
Schneider Electric SA | 98,950 | 7,206,473 | ||||||||
Societe BIC SA | 11,269 | 1,497,924 | ||||||||
Societe Generale SA | 150,227 | 6,287,043 | ||||||||
Suez Environnement Co. | 20,562 | 358,257 | ||||||||
Total SA | 211,991 | 10,860,755 | ||||||||
Unibail-Rodamco SE REIT | 1,835 | 470,744 | ||||||||
Valeo SA | 18,573 | 2,311,049 | ||||||||
Vallourec SA | 74,715 | 2,024,905 | ||||||||
Vinci SA | 17,104 | 933,924 | ||||||||
Vivendi SA* | 22,566 | 561,681 | ||||||||
|
| |||||||||
121,985,099 | ||||||||||
|
| |||||||||
Germany — 8.7% | ||||||||||
Aixtron SED* | 76,439 | 859,258 | ||||||||
Allianz SE | 15,969 | 2,644,892 | ||||||||
Aurubis AG | 18,048 | 1,008,889 | ||||||||
BASF SE | 24,449 | 2,050,810 | ||||||||
Beiersdorf AG | 91,157 | 7,401,424 | ||||||||
Commerzbank AG* | 76,122 | 998,464 | ||||||||
Daimler AGD | 137,675 | 11,434,496 | ||||||||
Deutsche Boerse AG | 58,745 | 4,174,542 | ||||||||
Deutsche Lufthansa AG | 139,416 | 2,310,263 | ||||||||
Deutsche Post AG | 79,485 | 2,580,241 | ||||||||
Deutsche Telekom AG | 834,845 | 13,357,838 | ||||||||
DMG MORI SEIKI AGD | 39,959 | 1,123,680 | ||||||||
Fresenius Medical Care AG & Co. KGaA | 92,527 | 6,905,943 | ||||||||
Fresenius SE & Co. KGaA | 5,985 | 311,185 | ||||||||
Hannover Rueck SE | 13,213 | 1,191,966 | ||||||||
HeidelbergCement AG | 23,160 | 1,634,635 | ||||||||
Hochtief AG | 4,603 | 324,735 | ||||||||
KION Group AG | 17,081 | 652,143 | ||||||||
Linde AG | 53,755 | 9,901,827 | ||||||||
Metro AGD* | 59,102 | 1,806,617 | ||||||||
MorphoSys AG* | 12,844 | 1,196,510 |
Shares | Value | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 19,325 | $ | 3,848,343 | |||||||
OSRAM Licht AG* | 46,431 | 1,822,882 | ||||||||
ProSiebenSat.1 Media AG | 83,349 | 3,482,608 | ||||||||
Rheinmetall AGD | 29,266 | 1,274,218 | ||||||||
Rhoen Klinikum AG | 25,929 | 726,706 | ||||||||
Rocket Internet AG 144AD* | 33,326 | 2,072,365 | ||||||||
RWE AGD | 79,290 | 2,447,266 | ||||||||
SAP AGD | 238,924 | 16,683,719 | ||||||||
Siemens AG | 16,787 | 1,883,571 | ||||||||
SMA Solar Technology AGD* | 20,776 | 376,034 | ||||||||
Stada Arzneimittel AG | 56,806 | 1,723,655 | ||||||||
Telefonica Deutschland Holding AG* | 62,533 | 331,416 | ||||||||
TUI AG* | 129,840 | 2,139,119 | ||||||||
United Internet AG | 10,994 | 495,225 | ||||||||
Volkswagen AG | 20,520 | 4,448,821 | ||||||||
Wincor Nixdorf AGD | 27,324 | 1,319,537 | ||||||||
Zalando SE 144AD* | 17,864 | 551,218 | ||||||||
|
| |||||||||
119,497,061 | ||||||||||
|
| |||||||||
Guernsey — 0.0% | ||||||||||
Friends Life Group, Ltd. | 41,102 | 233,428 | ||||||||
|
| |||||||||
Hong Kong — 2.4% | ||||||||||
AIA Group, Ltd. | 3,108,000 | 17,142,074 | ||||||||
ASM Pacific Technology, Ltd. | 3,400 | 32,373 | ||||||||
Bank of East Asia, Ltd. | 54,000 | 216,865 | ||||||||
BOC Hong Kong Holdings, Ltd. | 82,000 | 273,235 | ||||||||
Cheung Kong Holdings, Ltd. | 50,000 | 837,341 | ||||||||
China Mobile, Ltd. | 321,000 | 3,759,792 | ||||||||
CLP Holdings, Ltd. | 34,500 | 298,750 | ||||||||
CNOOC, Ltd. | 941,500 | 1,273,067 | ||||||||
Global Brands Group Holding, Ltd.* | 5,428,924 | 1,060,111 | ||||||||
Guangdong Investment, Ltd. | 1,046,100 | 1,362,487 | ||||||||
Henderson Land Development Co., Ltd. | 19,300 | 134,140 | ||||||||
Hong Kong & China Gas Co., Ltd. | 40,000 | 91,134 | ||||||||
Hong Kong Exchanges and Clearing, Ltd. | 146,007 | 3,223,357 | ||||||||
Hutchison Whampoa, Ltd. | 8,000 | 91,453 | ||||||||
Hysan Development Co., Ltd. | 100,000 | 443,801 | ||||||||
Link REIT (The) | 45,000 | 281,734 | ||||||||
MTR Corporation, Ltd. | 51,000 | 208,655 | ||||||||
New World Development Co., Ltd. | 95,000 | 109,061 | ||||||||
PCCW, Ltd. | 68,000 | 46,301 | ||||||||
Power Assets Holdings, Ltd. | 38,000 | 367,384 | ||||||||
Sino Land Co., Ltd. | 316,000 | 507,276 | ||||||||
Sun Hung Kai Properties, Ltd. | 31,000 | 469,664 | ||||||||
Swire Pacific, Ltd. Class A | 13,000 | 168,746 | ||||||||
Swire Properties, Ltd. | 3,900 | 11,475 | ||||||||
Wheelock & Co., Ltd. | 26,000 | 120,716 | ||||||||
|
| |||||||||
32,530,992 | ||||||||||
|
| |||||||||
India — 0.2% | ||||||||||
Housing Development Finance Corporation | 175,616 | 3,149,209 | ||||||||
|
| |||||||||
Indonesia — 0.1% | ||||||||||
PT Indofood Sukses Makmur Tbk | 833,900 | 454,630 |
212 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
PT Telekomunikasi Indonesia Persero Tbk | 3,378,500 | $ | 776,476 | |||||||
|
| |||||||||
1,231,106 | ||||||||||
|
| |||||||||
Ireland — 0.6% | ||||||||||
Bank of Ireland* | 7,196,145 | 2,696,589 | ||||||||
CRH PLC | 177,581 | 4,258,182 | ||||||||
DCC PLC | 5,358 | 294,975 | ||||||||
James Hardie Industries PLC | 142,472 | 1,520,925 | ||||||||
|
| |||||||||
8,770,671 | ||||||||||
|
| |||||||||
Italy — 2.4% | ||||||||||
A2A SpA | 1,495,123 | 1,514,993 | ||||||||
Enel SpA | 879,337 | 3,919,669 | ||||||||
Eni SpA | 423,348 | 7,415,591 | ||||||||
EXOR SpA | 72,457 | 2,973,047 | ||||||||
Finmeccanica SpA* | 170,132 | 1,581,352 | ||||||||
Intesa Sanpaolo SpA | 180,175 | 522,671 | ||||||||
UniCredit SpA | 1,728,859 | 11,074,430 | ||||||||
Unione di Banche Italiane SCpA | 490,370 | 3,507,264 | ||||||||
UnipolSai SpA | 140,420 | 378,062 | ||||||||
|
| |||||||||
32,887,079 | ||||||||||
|
| |||||||||
Japan — 16.3% | ||||||||||
Alfresa Holdings Corporation | 4,400 | 53,134 | ||||||||
Amada Co., Ltd.D | 179,200 | 1,535,528 | ||||||||
Aozora Bank, Ltd. | 75,000 | 232,166 | ||||||||
Asahi Kasei Corporation | 251,200 | 2,291,554 | ||||||||
Astellas Pharma, Inc. | 171,300 | 2,384,856 | ||||||||
Benesse Holdings Inc. | 12,200 | 362,010 | ||||||||
Bridgestone Corporation | 2,500 | 86,705 | ||||||||
Brother Industries, Ltd. | 104,500 | 1,894,308 | ||||||||
Calbee, Inc. | 16,400 | 564,928 | ||||||||
Canon, Inc. | 354,750 | 11,275,288 | ||||||||
Casio Computer Co., Ltd. | 79,000 | 1,208,491 | ||||||||
Central Japan Railway Co. | 14,800 | 2,218,170 | ||||||||
Chiba Bank, Ltd. (The) | 33,000 | 216,246 | ||||||||
Chiyoda Corporation | 62,000 | 513,670 | ||||||||
Chugai Pharma-ceutical Co., Ltd. | 9,900 | 243,078 | ||||||||
Dai Nippon Printing Co., Ltd. | 38,000 | 342,249 | ||||||||
Daicel Corporation | 17,000 | 198,568 | ||||||||
Daito Trust Construction Co., Ltd. | 1,100 | 124,782 | ||||||||
Daiwa House Industry Co., Ltd. | 80,200 | 1,515,078 | ||||||||
Daiwa Securities Group, Inc. | 149,000 | 1,166,691 | ||||||||
Denso Corporation | 240,400 | 11,204,524 | ||||||||
Electric Power Development Co., Ltd.D | 29,500 | 996,833 | ||||||||
Fuji Electric Co., Ltd. | 340,000 | 1,355,541 | ||||||||
Fuji Heavy Industries, Ltd. | 69,400 | 2,455,787 | ||||||||
FUJIFILM Holdings Corporation | 74,000 | 2,258,004 | ||||||||
Fujitsu, Ltd. Fukuoka Financial | 714,000 | 3,806,810 | ||||||||
Group, Inc. | 128,000 | 659,900 | ||||||||
Gree, Inc.D | 86,700 | 521,919 | ||||||||
Hakuhodo DY Holdings, Inc. | 14,700 | 140,678 | ||||||||
Hikari Tsushin, Inc. | 7,000 | 425,771 | ||||||||
Hino Motors, Ltd. | 93,100 | 1,225,505 | ||||||||
Hitachi High-Technologies Corporation | 10,000 | 287,267 | ||||||||
Hitachi, Ltd. | 864,000 | 6,376,982 | ||||||||
Honda Motor Co., Ltd. | 500,900 | 14,695,548 |
Shares | Value | |||||||||
Hoya Corporation | 95,800 | $ | 3,240,419 | |||||||
Inpex Corporation | 531,600 | 5,918,287 | ||||||||
Isuzu Motors, Ltd. | 14,050 | 171,133 | ||||||||
ITOCHU Corporation | 68,800 | 734,447 | ||||||||
J. Front Retailing Co., Ltd. | 96,200 | 1,114,187 | ||||||||
Japan Airlines Co., Ltd. | 66,300 | 1,965,732 | ||||||||
Japan Real Estate Investment Corporation REIT | 14 | 67,456 | ||||||||
Japan Retail Fund Investment Corporation REIT | 20 | 42,266 | ||||||||
JFE Holdings, Inc. | 40,300 | 898,726 | ||||||||
JGC Corporation | 60,000 | 1,235,208 | ||||||||
JTEKT Corporation | 30,000 | 504,894 | ||||||||
JX Holdings, Inc. | 27,170 | 105,735 | ||||||||
Kao Corporation | 143,900 | 5,674,633 | ||||||||
KDDI Corporation | 18,900 | 1,187,374 | ||||||||
Kinden Corporation | 15,000 | 151,510 | ||||||||
Kobe Steel, Ltd. | 315,000 | 542,587 | ||||||||
Konica Minolta, Inc. | 176,800 | 1,926,417 | ||||||||
M3, Inc. | 122,100 | 2,042,978 | ||||||||
Mabuchi Motor Co., Ltd. | 91,200 | 3,619,948 | ||||||||
Marubeni Corporation | 405,800 | 2,428,055 | ||||||||
Mitsubishi Corporation | 72,100 | 1,319,439 | ||||||||
Mitsubishi Electric Corporation | 154,800 | 1,838,724 | ||||||||
Mitsubishi Estate Co., Ltd. | 24,000 | 505,701 | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 797,200 | 4,380,000 | ||||||||
Mitsui Fudosan Co., Ltd. | 18,000 | 482,680 | ||||||||
MS&AD Insurance Group Holdings, Inc. | 37,500 | 888,683 | ||||||||
Namco Bandai Holdings, Inc. | 76,300 | 1,615,369 | ||||||||
NH Foods, Ltd. | 11,000 | 240,661 | ||||||||
NHK Spring Co., Ltd. | 35,800 | 311,509 | ||||||||
Nippon Building Fund, Inc. REIT | 16 | 80,322 | ||||||||
Nippon Telegraph & Telephone Corporation | 6,900 | 352,470 | ||||||||
Nippon Yusen KK | 33,800 | 95,468 | ||||||||
Nishi-Nippon City Bank, Ltd. (The) | 38,200 | 109,915 | ||||||||
Nissin Kogyo Co., Ltd. | 40,600 | 563,868 | ||||||||
NOK Corporation | 22,000 | 559,977 | ||||||||
Nomura Holdings, Inc. | 68,200 | 385,946 | ||||||||
Nomura Real Estate Holdings, Inc. | 75,300 | 1,288,570 | ||||||||
NTT Data Corporation | 10,600 | 394,901 | ||||||||
NTT DOCOMO, Inc. | 177,700 | 2,587,855 | ||||||||
Omron Corporation | 19,100 | 854,448 | ||||||||
ORIX Corporation | 24,200 | 304,504 | ||||||||
Osaka Gas Co., Ltd. | 34,000 | 126,988 | ||||||||
Otsuka Corporation | 5,800 | 183,909 | ||||||||
Otsuka Holdings Co., Ltd. | 25,100 | 752,529 | ||||||||
Panasonic Corporation | 68,000 | 800,934 | ||||||||
Rakuten, Inc.D | 464,400 | 6,457,860 | ||||||||
Resona Holdings, Inc. | 446,700 | 2,256,506 | ||||||||
Ricoh Co., Ltd. | 162,100 | 1,638,678 | ||||||||
Rohm Co., Ltd. | 33,900 | 2,042,586 | ||||||||
Sanrio Co., Ltd.D | 43,200 | 1,067,369 | ||||||||
SBI Holdings, Inc. | 130,100 | 1,421,427 | ||||||||
SCSK Corporation | 14,300 | 358,210 | ||||||||
Secom Co., Ltd. | 90,400 | 5,193,897 | ||||||||
Seiko Epson Corporation | 46,800 | 1,958,309 | ||||||||
Sekisui Chemical Co., Ltd. | 74,000 | 890,292 | ||||||||
Sekisui House, Ltd. | 8,000 | 105,264 | ||||||||
Seven & i Holdings Co., Ltd. | 114,100 | 4,104,331 |
See Notes to Financial Statements. | 213 |
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Shimamura Co., Ltd. | 2,300 | $ | 198,483 | |||||||
Shin-Etsu Chemical Co., Ltd.D | 143,200 | 9,322,286 | ||||||||
Shionogi & Co., Ltd. | 65,900 | 1,702,583 | ||||||||
SMC Corporation | 19,800 | 5,192,037 | ||||||||
SoftBank Corporation | 188,900 | 11,243,950 | ||||||||
Sojitz Corporation | 83,000 | 115,909 | ||||||||
Sompo Japan Nipponkoa Holdings, Inc. | 45,450 | 1,142,964 | ||||||||
Sumitomo Corporation | 289,900 | 2,977,472 | ||||||||
Sumitomo Heavy Industries, Ltd. | 373,000 | 2,006,361 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 74,500 | 2,693,378 | ||||||||
Sumitomo Realty & Development Co., Ltd. | 7,000 | 238,484 | ||||||||
Sumitomo Rubber Industries, Inc. | 72,200 | 1,073,330 | ||||||||
Suzuki Motor Corporation | 8,100 | 242,736 | ||||||||
Taisei Corporation | 178,000 | 1,009,618 | ||||||||
Takashimaya Co., Ltd. | 193,000 | 1,541,045 | ||||||||
Takeda Pharm-aceutical Co., Ltd. | 148,300 | 6,139,294 | ||||||||
Toho Co., Ltd. | 21,900 | 496,901 | ||||||||
Tokio Marine Holdings, Inc. | 153,300 | 4,978,831 | ||||||||
Tokyo Electric Power Co., Inc.* | 575,900 | 2,342,366 | ||||||||
Tokyo Electron, Ltd. | 25,700 | 1,948,837 | ||||||||
Tokyo Gas Co., Ltd. | 86,000 | 464,027 | ||||||||
Toshiba CorporationD | 499,000 | 2,104,433 | ||||||||
Toyo Seikan Group Holdings, Ltd. | 59,900 | 744,050 | ||||||||
Toyo Suisan Kaisha, Ltd. | 5,000 | 160,994 | ||||||||
Toyo Tire & Rubber Co., Ltd. | 40,700 | 798,686 | ||||||||
Toyota Motor Corporation | 73,560 | 4,584,068 | ||||||||
USS Co., Ltd. | 10,000 | 153,647 | ||||||||
West Japan Railway Co. | 9,800 | 463,327 | ||||||||
Yamada Denki Co., Ltd. | 190,600 | 639,486 | ||||||||
Yamaha Corporation | 23,700 | 349,336 | ||||||||
Yamaha Motor Co., Ltd. | 18,200 | 364,133 | ||||||||
Yokohama Rubber Co., Ltd. (The) | 16,000 | 145,685 | ||||||||
|
| |||||||||
224,509,397 | ||||||||||
|
| |||||||||
Jersey — 0.8% | ||||||||||
Randgold Resources, Ltd. | 1,533 | 104,076 | ||||||||
Shire PLC | 11,143 | 790,041 | ||||||||
Wolseley PLC | 57,960 | 3,313,683 | ||||||||
WPP PLC | 299,248 | 6,221,874 | ||||||||
|
| |||||||||
10,429,674 | ||||||||||
|
| |||||||||
Luxembourg — 0.0% | ||||||||||
SES SA | 12,290 | 441,908 | ||||||||
|
| |||||||||
Netherlands — 5.5% | ||||||||||
Aegon NVD | 1,148,303 | 8,630,636 | ||||||||
Boskalis Westminster NV | 9,709 | 531,133 | ||||||||
Delta Lloyd NV | 354,348 | 7,792,258 | ||||||||
Fiat Chrysler Automobiles NVD* | 914,690 | 10,628,474 | ||||||||
Fugro NV CVA | 32,194 | 668,695 | ||||||||
ING Groep NV* | 1,276,149 | 16,487,459 | ||||||||
Koninklijke Ahold NV | 539,852 | 9,594,743 | ||||||||
Koninklijke DSM NV | 12,238 | 746,434 | ||||||||
Koninklijke Philips NV | 128,900 | 3,736,305 | ||||||||
QIAGEN NV* | 4,199 | 97,808 | ||||||||
Randstad Holding NVD | 220,300 | 10,600,066 |
Shares | Value | |||||||||
Reed Elsevier NV | 291,768 | $ | 6,967,616 | |||||||
|
| |||||||||
76,481,627 | ||||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
Fletcher Building, Ltd. | 59,872 | 384,886 | ||||||||
Spark New Zealand, Ltd. | 379,504 | 920,641 | ||||||||
|
| |||||||||
1,305,527 | ||||||||||
|
| |||||||||
Nigeria — 0.0% | ||||||||||
Afriland Properties PLC REIT+* | 331,249 | — | ||||||||
|
| |||||||||
Norway — 0.9% | ||||||||||
DNB ASA | 154,952 | 2,285,639 | ||||||||
Marine Harvest ASA | 89,076 | 1,223,051 | ||||||||
Orkla ASA | 364,884 | 2,483,936 | ||||||||
Schibsted ASAD | 44,922 | 2,848,925 | ||||||||
Telenor ASA | 80,666 | 1,631,761 | ||||||||
Yara International ASA | 34,185 | 1,522,340 | ||||||||
|
| |||||||||
11,995,652 | ||||||||||
|
| |||||||||
Portugal — 0.1% | ||||||||||
EDP - Energias de Portugal SA | 113,911 | 441,707 | ||||||||
Jeronimo Martins SGPS SA | 83,398 | 835,683 | ||||||||
|
| |||||||||
1,277,390 | ||||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
Magnit PJSC GDR | 29,027 | 1,317,826 | ||||||||
|
| |||||||||
Singapore — 2.2% | ||||||||||
Ascendas Real Estate Investment Trust REIT | 30,000 | 53,813 | ||||||||
CapitaCommercial Trust REIT | 38,000 | 50,170 | ||||||||
CapitaMall Trust REIT | 51,000 | 78,304 | ||||||||
ComfortDelGro Corporation, Ltd. | 170,000 | 332,676 | ||||||||
DBS Group Holdings, Ltd. | 405,000 | 6,269,938 | ||||||||
Jardine Cycle & Carriage, Ltd. | 144,000 | 4,613,416 | ||||||||
Keppel Corporation, Ltd. | 23,700 | 157,969 | ||||||||
Keppel Land, Ltd. | 105,000 | 270,493 | ||||||||
Oversea-Chinese Banking Corporation, Ltd. | 19,000 | 149,492 | ||||||||
Sembcorp Industries, Ltd. | 723,300 | 2,422,346 | ||||||||
Singapore Airlines, Ltd. | 55,000 | 479,790 | ||||||||
Singapore Exchange, Ltd. | 173,000 | 1,017,087 | ||||||||
Singapore Technologies Engineering, Ltd. | 26,000 | 66,549 | ||||||||
Singapore Telecom-munications, Ltd. | 1,704,700 | 5,003,815 | ||||||||
United Overseas Bank, Ltd. | 522,825 | 9,648,241 | ||||||||
UOL Group, Ltd. | 9,186 | 48,022 | ||||||||
Wilmar International, Ltd. | 53,000 | 129,142 | ||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 217,800 | 197,373 | ||||||||
|
| |||||||||
30,988,636 | ||||||||||
|
| |||||||||
South Korea — 1.1% | ||||||||||
Celltrion, Inc.D* | 43,031 | 1,511,400 | ||||||||
Hankook Tire Co., Ltd. | 70,271 | 3,339,389 | ||||||||
KB Financial Group, Inc.* | 13,280 | 434,177 | ||||||||
NAVER Corporation* | 6,753 | 4,324,858 | ||||||||
Samsung Electronics Co., Ltd. | 1,786 | 2,147,209 | ||||||||
Shinhan Financial Group Co., Ltd. | 82,720 | 3,324,940 | ||||||||
|
| |||||||||
15,081,973 | ||||||||||
|
|
214 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Spain — 5.8% | ||||||||||
ACS Actividades de Construccion y Servicios SA | 49,393 | $ | 1,721,601 | |||||||
Amadeus IT Holding SA, A Shares | 262,784 | 10,466,012 | ||||||||
Banco Popular Espanol SAD | 1,599,793 | 7,974,719 | ||||||||
Banco Santander SA | 2,098,768 | 17,615,257 | ||||||||
Bankinter SA | 110,425 | 887,125 | ||||||||
CaixaBank SA | 120,498 | 631,394 | ||||||||
Distribuidora Internacional de Alimentacion SA | 312,833 | 2,119,787 | ||||||||
Ebro Foods SA | 178,964 | 2,958,250 | ||||||||
Endesa SA | 95,465 | 1,911,147 | ||||||||
Gas Natural SDG SA | 135,236 | 3,397,216 | ||||||||
Iberdrola SA | 1,486,397 | 10,019,446 | ||||||||
Inditex SA | 368,623 | 10,515,143 | ||||||||
International Consolidated Airlines Group* | 289,406 | 2,178,671 | ||||||||
Red Electrica Corporacion SA | 5,232 | 461,210 | ||||||||
Telefonica SA | 476,196 | 6,837,013 | ||||||||
|
| |||||||||
79,693,991 | ||||||||||
|
| |||||||||
Sweden — 3.9% | ||||||||||
Alfa Laval AB | 115,897 | 2,191,590 | ||||||||
Atlas Copco AB Class A | 251,616 | 7,001,383 | ||||||||
Electrolux AB, Series B | 37,116 | 1,084,501 | ||||||||
Elekta AB, B SharesD | 212,780 | 2,175,416 | ||||||||
Hennes & Mauritz AB Class B | 210,819 | 8,758,480 | ||||||||
Investment AB Kinnevik Class B | 206,021 | 6,699,644 | ||||||||
Investor AB Class B | 3,383 | 122,999 | ||||||||
Meda AB, A Shares | 61,812 | 886,409 | ||||||||
Nordea Bank AB | 125,373 | 1,451,291 | ||||||||
Sandvik ABD | 510,453 | 4,963,177 | ||||||||
Skandinaviska Enskilda Banken AB Class A | 78,011 | 990,628 | ||||||||
Svenska Cellulosa AB SCA Class B | 85,079 | 1,834,193 | ||||||||
Svenska Handelsbanken AB Class A | 100,199 | 4,688,098 | ||||||||
Telefonaktiebolaget LM Ericsson Class BD | 306,008 | 3,705,177 | ||||||||
TeliaSonera AB | 815,818 | 5,245,194 | ||||||||
Trelleborg AB Class B | 46,038 | 775,038 | ||||||||
Volvo AB Class B | 150,258 | 1,620,306 | ||||||||
|
| |||||||||
54,193,524 | ||||||||||
|
| |||||||||
Switzerland — 9.4% | ||||||||||
ABB, Ltd.D* | 470,914 | 9,963,664 | ||||||||
ABB, Ltd. ADRD* | 54,600 | 1,154,790 | ||||||||
Actelion, Ltd.* | 2,037 | 234,502 | ||||||||
Aryzta AG* | 5,370 | 412,682 | ||||||||
Baloise Holding AG | 4,229 | 540,515 | ||||||||
Cie Financiere Richemont SA | 63,203 | 5,603,491 | ||||||||
Credit Suisse Group AG* | 152,818 | 3,838,979 | ||||||||
Galenica AG | 161 | 128,371 | ||||||||
GAM Holding AG* | 14,398 | 258,847 | ||||||||
Geberit AG | 8,409 | 2,844,789 | ||||||||
Helvetia Holding AG | 2,701 | 1,283,379 | ||||||||
Lonza Group AG* | 20,251 | 2,280,093 | ||||||||
Nestle SA | 265,155 | 19,330,069 | ||||||||
Novartis AG | 274,350 | 25,444,173 | ||||||||
OC Oerlikon Corporation AG* | 332,938 | 4,156,107 | ||||||||
Roche Holding AG | 39,396 | 10,674,040 |
Shares | Value | |||||||||
Swatch Group AG (The)D | 2,139 | $ | 950,265 | |||||||
Swiss Life Holding AG* | 32,585 | 7,701,521 | ||||||||
Swiss Re AG* | 26,916 | 2,254,800 | ||||||||
Swisscom AG | 1,997 | 1,047,901 | ||||||||
Syngenta AGD | 29,514 | 9,493,404 | ||||||||
UBS Group AG* | 410,254 | 7,052,143 | ||||||||
Zurich Insurance Group AGD* | 42,283 | 13,213,537 | ||||||||
|
| |||||||||
129,862,062 | ||||||||||
|
| |||||||||
Taiwan — 1.1% | ||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD | 562,511 | 12,588,996 | ||||||||
Teco Electric and Machinery Co., Ltd. | 2,059,700 | 1,947,577 | ||||||||
|
| |||||||||
14,536,573 | ||||||||||
|
| |||||||||
Thailand — 0.3% | ||||||||||
Charoen Pokphand Foods PCL | 4,274,500 | 3,540,430 | ||||||||
PTT Global Chemical PCL | 555,100 | 861,323 | ||||||||
|
| |||||||||
4,401,753 | ||||||||||
|
| |||||||||
Turkey — 0.5% | ||||||||||
BIM Birlesik Magazalar AS | 104,953 | 2,244,408 | ||||||||
Türkiye Garanti Bankasi AS | 979,482 | 3,934,713 | ||||||||
Yapi ve Kredi Bankasi AS | 1 | 2 | ||||||||
|
| |||||||||
6,179,123 | ||||||||||
|
| |||||||||
United Kingdom — 17.3% |
| |||||||||
3i Group PLC | 37,796 | 263,543 | ||||||||
Aggreko PLC | 175,134 | 4,084,129 | ||||||||
Amec Foster Wheeler PLC | 273,338 | 3,609,915 | ||||||||
ARM Holdings PLC | 465,261 | 7,147,528 | ||||||||
ASOS PLC* | 31,416 | 1,249,033 | ||||||||
Associated British Foods PLC | 43,750 | 2,138,901 | ||||||||
AstraZeneca PLC | 87,911 | 6,209,230 | ||||||||
Aviva PLC | 61,847 | 464,681 | ||||||||
BAE Systems PLC | 162,980 | 1,191,907 | ||||||||
Barclays PLC | 959,326 | 3,606,431 | ||||||||
Barratt Developments PLC | 586,627 | 4,269,551 | ||||||||
Berkeley Group Holdings PLC | 36,288 | 1,395,254 | ||||||||
BG Group PLC | 506,072 | 6,772,117 | ||||||||
BHP Billiton PLC | 139,098 | 2,981,062 | ||||||||
BP PLC | 1,469,810 | 9,329,744 | ||||||||
British Land Co. PLC (The) REIT | 11,811 | 142,425 | ||||||||
Britvic PLC | 150,579 | 1,574,842 | ||||||||
BT Group PLC | 386,964 | 2,406,945 | ||||||||
Cobham PLC | 11,978 | 60,130 | ||||||||
Compass Group PLC | 871,089 | 14,889,452 | ||||||||
Dairy Crest Group PLC | 456,505 | 3,535,987 | ||||||||
DS Smith PLC | 1,180,888 | 5,888,840 | ||||||||
easyJet PLC | 88,458 | 2,289,215 | ||||||||
G4S PLC | 965,057 | 4,162,901 | ||||||||
GKN PLC | 416,817 | 2,218,612 | ||||||||
GlaxoSmithKline PLC | 567,213 | 12,168,778 | ||||||||
Hammerson PLC REIT | 6,134 | 57,445 | ||||||||
Hikma Pharmaceuticals PLC | 19,985 | 613,171 | ||||||||
HSBC Holdings PLC | 2,048,339 | 19,356,341 | ||||||||
HSBC Holdings PLC ADRD | 3,100 | 146,413 | ||||||||
ICAP PLC | 9,379 | 65,674 | ||||||||
Inchcape PLC | 125,597 | 1,411,093 | ||||||||
Indivior PLC* | 18,477 | 43,025 | ||||||||
Intermediate Capital Group PLC | 39,092 | 279,270 |
See Notes to Financial Statements. | 215 |
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Investec PLC | 37,416 | $ | 313,482 | |||||||
ITV PLC | 1,633,726 | 5,449,656 | ||||||||
KAZ Minerals PLC* | 211,722 | 844,818 | ||||||||
Kingfisher PLC | 163,300 | 863,228 | ||||||||
Land Securities Group PLC REIT | 10,536 | 189,392 | ||||||||
Man Strategic Holdings PLC* | 439,877 | 1,094,577 | ||||||||
Meggitt PLC | 308,260 | 2,479,723 | ||||||||
Mondi PLC | 87,827 | 1,426,795 | ||||||||
National Grid PLC | 820,688 | 11,644,996 | ||||||||
Next PLC | 41,798 | 4,432,975 | ||||||||
Ocado Group PLC* | 252,721 | 1,564,322 | ||||||||
Pearson PLC | 127,176 | 2,348,707 | ||||||||
Persimmon PLC* | 154,551 | 3,774,744 | ||||||||
Premier Oil PLC | 421,148 | 1,089,280 | ||||||||
Prudential PLC | 294,035 | 6,797,948 | ||||||||
Reckitt Benckiser Group PLC | 18,477 | 1,496,527 | ||||||||
Rexam PLC | 13,502 | 95,054 | ||||||||
Rio Tinto PLC | 77,821 | 3,587,325 | ||||||||
Rolls-Royce Holdings PLC+* | 70,435,213 | 10,896,228 | ||||||||
Rotork PLC | 41,663 | 1,500,785 | ||||||||
Royal Dutch Shell PLC Class AD | 409,642 | 13,656,409 | ||||||||
Royal Dutch Shell PLC Class B | 46,156 | 1,594,741 | ||||||||
Sage Group PLC (The) | 94,814 | 684,803 | ||||||||
Smith & Nephew PLC | 105,900 | 1,909,649 | ||||||||
Spirax-Sarco Engineering PLC | 42,011 | 1,870,200 | ||||||||
Standard Chartered PLC | 266,116 | 3,971,972 | ||||||||
Tate & Lyle PLC | 72,178 | 676,270 | ||||||||
Taylor Wimpey PLC | 2,136,210 | 4,557,431 | ||||||||
Tesco PLC | 1,742,409 | 5,080,351 | ||||||||
Travis Perkins PLC | 100,722 | 2,899,190 | ||||||||
Tullow Oil PLC | 12,519 | 80,677 | ||||||||
Unilever PLC | 213,454 | 8,672,262 | ||||||||
Vesuvius PLC | 24,480 | 169,310 | ||||||||
Vodafone Group PLC | 1,318,158 | 4,519,481 | ||||||||
|
| |||||||||
238,256,893 | ||||||||||
|
| |||||||||
United States of America — 1.0% |
| |||||||||
Joy Global, Inc.D | 56,300 | 2,619,076 | ||||||||
MercadoLibre, Inc.D | 29,000 | 3,702,430 | ||||||||
Yum! Brands, Inc. | 104,667 | 7,624,991 | ||||||||
|
| |||||||||
13,946,497 | ||||||||||
|
| |||||||||
Total Foreign Common Stocks |
| |||||||||
(Cost $1,303,457,815) |
| 1,385,369,306 | ||||||||
|
| |||||||||
FOREIGN PREFERRED STOCKS — 0.3% |
| |||||||||
Germany — 0.3% | ||||||||||
Henkel AG & Co. KGaA | ||||||||||
1.22%, 02/20/14 | 12,849 | 1,384,071 | ||||||||
Porsche Automobil Holding SE | ||||||||||
2.01%, 03/18/14 | 34,677 | 2,804,426 | ||||||||
|
| |||||||||
Total Foreign Preferred Stocks |
| |||||||||
(Cost $3,972,594) | 4,188,497 | |||||||||
|
|
Shares | Value | |||||||||
RIGHTS — 0.0% | ||||||||||
APA Group+ (Cost $0) | 19,744 | $ | 13,701 | |||||||
|
| |||||||||
WARRANT — 0.0% |
| |||||||||
Sun Hung Kai Properties, Ltd.* (Cost $0) | 1 | 3 | ||||||||
|
| |||||||||
MONEY MARKET FUNDS — 9.3% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 48,099,965 | 48,099,965 | ||||||||
Northern Institutional Liquid Assets Portfolio§ | 80,066,434 | 80,066,434 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 128,166,399 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS — 110.0% |
| |||||||||
(Cost $1,435,596,808) | 1,517,737,906 | |||||||||
|
| |||||||||
FOREIGN COMMON STOCKS SOLD |
| |||||||||
Australia — (0.5)% |
| |||||||||
ALS, Ltd. | (173,353 | ) | (750,927 | ) | ||||||
Alumina, Ltd.* | (25,373 | ) | (36,656 | ) | ||||||
Brambles, Ltd. | (43,779 | ) | (377,123 | ) | ||||||
Challenger, Ltd. | (3,160 | ) | (16,693 | ) | ||||||
Coca-Cola Amatil, Ltd. | (60,628 | ) | (457,746 | ) | ||||||
Cochlear, Ltd. | (1,052 | ) | (66,367 | ) | ||||||
Flight Centre Travel Group, Ltd. | (933 | ) | (24,697 | ) | ||||||
Iluka Resources, Ltd. | (203,232 | ) | (976,031 | ) | ||||||
Insurance Australia Group, Ltd. | (65,373 | ) | (331,933 | ) | ||||||
Orica, Ltd. | (15,692 | ) | (240,458 | ) | ||||||
Origin Energy, Ltd. | (13,594 | ) | (128,619 | ) | ||||||
QBE Insurance Group, Ltd. | (10,304 | ) | (93,564 | ) | ||||||
Ramsay Health Care, Ltd. | (8,001 | ) | (370,912 | ) | ||||||
Santos, Ltd | (92,666 | ) | (618,988 | ) | ||||||
Seek, Ltd. | (11,828 | ) | (164,931 | ) | ||||||
Sydney Airport | (244,468 | ) | (935,945 | ) | ||||||
Toll Holdings, Ltd. | (65,452 | ) | (311,781 | ) | ||||||
TPG Telecom, Ltd. | (41,891 | ) | (229,155 | ) | ||||||
Transurban Group | (102,812 | ) | (716,469 | ) | ||||||
|
| |||||||||
(6,848,995 | ) | |||||||||
|
| |||||||||
Belgium — 0.0% |
| |||||||||
Colruyt SA | (3,762 | ) | (174,894 | ) | ||||||
|
| |||||||||
Bermuda — (0.1)% |
| |||||||||
Seadrill, Ltd. | (91,600 | ) | (1,059,827 | ) | ||||||
|
| |||||||||
Denmark — (0.1)% |
| |||||||||
Chr Hansen Holding A/S | (5,388 | ) | (238,707 | ) | ||||||
FLSmidth & Co. A/S | (31,287 | ) | (1,371,661 | ) | ||||||
|
| |||||||||
(1,610,368 | ) | |||||||||
|
| |||||||||
Finland — (0.2)% |
| |||||||||
Nokian Renkaat OYJ | (143,516 | ) | (3,500,874 | ) | ||||||
|
| |||||||||
France — (0.6)% |
| |||||||||
Alcatel-Lucent* | (760,547 | ) | (2,720,652 | ) | ||||||
Bureau Veritas SA | (14,681 | ) | (325,272 | ) | ||||||
Edenred | (91,209 | ) | (2,522,483 | ) | ||||||
Etablissements Maurel et Prom* | (6,247 | ) | (58,384 | ) | ||||||
Kering | (10,801 | ) | (2,075,640 | ) | ||||||
|
| |||||||||
(7,702,431 | ) | |||||||||
|
|
216 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||||
Germany — (0.4)% | ||||||||||||
adidas AG | (21,797 | ) | $ | (1,513,708 | ) | |||||||
Aixtron SE* | (268,403 | ) | (3,017,145 | ) | ||||||||
Bayerische Motoren Werke AG | (3,722 | ) | (401,673 | ) | ||||||||
Fraport AG Frankfurt Airport Services Worldwide | (1,337 | ) | (77,147 | ) | ||||||||
LANXESS AG | (18,076 | ) | (837,143 | ) | ||||||||
Wacker Chemie AG | (2,577 | ) | (282,686 | ) | ||||||||
|
| |||||||||||
(6,129,502 | ) | |||||||||||
|
| |||||||||||
Ireland — 0.0% |
| |||||||||||
James Hardie Industries PLC | (42,491 | ) | (453,602 | ) | ||||||||
|
| |||||||||||
Italy — (0.5)% |
| |||||||||||
Luxottica Group SpA | (19,216 | ) | (1,053,402 | ) | ||||||||
Moncler SpA | (30,320 | ) | (405,127 | ) | ||||||||
Saipem SpA* | (131,257 | ) | (1,375,925 | ) | ||||||||
Salvatore Ferragamo SpA | (145,103 | ) | (3,571,117 | ) | ||||||||
Tod’s SpA | (3,681 | ) | (318,784 | ) | ||||||||
|
| |||||||||||
(6,724,355 | ) | |||||||||||
|
| |||||||||||
Japan — (1.5)% |
| |||||||||||
Acom Co., Ltd.* | (651,900 | ) | (1,990,153 | ) | ||||||||
Advantest Corporation | (148,800 | ) | (1,844,280 | ) | ||||||||
AEON Financial Service Co., Ltd. | (94,500 | ) | (1,866,462 | ) | ||||||||
Asics Corporation | (5,700 | ) | (137,229 | ) | ||||||||
Chugoku Electric Power Co., Inc. (The) | (39,100 | ) | (511,212 | ) | ||||||||
Fast Retailing Co., Ltd. | (3,100 | ) | (1,128,075 | ) | ||||||||
Hamamatsu Photonics KK | (1,800 | ) | (85,685 | ) | ||||||||
Hitachi Construction Machinery Co., Ltd. | (11,900 | ) | (251,604 | ) | ||||||||
Hokkaido Electric Power Co., Inc.* | (164,700 | ) | (1,318,416 | ) | ||||||||
IHI Corporation | (124,000 | ) | (627,993 | ) | ||||||||
Kakaku.com, Inc. | (26,300 | ) | (376,266 | ) | ||||||||
Kansai Electric Power Co., Inc. (The)* | (68,100 | ) | (647,842 | ) | ||||||||
Kyushu Electric Power Co., Inc.* | (185,600 | ) | (1,858,822 | ) | ||||||||
M3, Inc. | (11,200 | ) | (187,398 | ) | ||||||||
Nabtesco Corporation | (40,000 | ) | (966,746 | ) | ||||||||
Nexon Co., Ltd. | (16,400 | ) | (152,883 | ) | ||||||||
Nidec Corporation | (25,500 | ) | (1,646,934 | ) | ||||||||
Nintendo Co., Ltd. | (1,700 | ) | (177,408 | ) | ||||||||
Rakuten, Inc. | (139,500 | ) | (1,939,861 | ) | ||||||||
Sanrio Co., Ltd. | (5,300 | ) | (130,950 | ) | ||||||||
Sharp Corporation* | (56,000 | ) | (123,889 | ) | ||||||||
Shikoku Electric Power Co., Inc.* | (17,000 | ) | (206,205 | ) | ||||||||
Sony Corporation | (20,200 | ) | (412,267 | ) | ||||||||
Yahoo Japan Corporation | (286,500 | ) | (1,026,794 | ) | ||||||||
Yaskawa Electric Corporation | (89,100 | ) | (1,138,086 | ) | ||||||||
|
| |||||||||||
(20,753,460 | ) | |||||||||||
|
| |||||||||||
Jersey — 0.0% |
| |||||||||||
Glencore PLC* | (113,541 | ) | (524,087 | ) | ||||||||
|
|
Shares | Value | |||||||||||
Luxembourg — (0.1)% |
| |||||||||||
Altice SA* | (14,093 | ) | $ | (1,112,897 | ) | |||||||
Millicom International Cellular SA | (8,628 | ) | (639,293 | ) | ||||||||
|
| |||||||||||
(1,752,190 | ) | |||||||||||
|
| |||||||||||
Netherlands — (0.4)% |
| |||||||||||
CNH Industrial NV | (69,987 | ) | (566,552 | ) | ||||||||
Koninklijke Vopak NV | (23,343 | ) | (1,211,084 | ) | ||||||||
OCI NV* | (20,244 | ) | (703,883 | ) | ||||||||
SBM Offshore NV* | (213,214 | ) | (2,507,590 | ) | ||||||||
TNT Express NV | (138,411 | ) | (922,707 | ) | ||||||||
|
| |||||||||||
(5,911,816 | ) | |||||||||||
|
| |||||||||||
Norway — (0.2)% |
| |||||||||||
Aker Solutions ASA* | (6,610 | ) | (36,767 | ) | ||||||||
Schibsted ASA | (39,000 | ) | (2,473,355 | ) | ||||||||
|
| |||||||||||
(2,510,122 | ) | |||||||||||
|
| |||||||||||
Spain — (0.3)% |
| |||||||||||
Bankia SA* | (2,082,000 | ) | (3,089,546 | ) | ||||||||
Zardoya Otis SA | (54,297 | ) | (602,134 | ) | ||||||||
|
| |||||||||||
(3,691,680 | ) | |||||||||||
|
| |||||||||||
Sweden — (0.1)% |
| |||||||||||
Alfa Laval AB | (27,599 | ) | (521,892 | ) | ||||||||
Elekta AB, B Shares | (41,886 | ) | (428,233 | ) | ||||||||
Volvo AB, B Shares | (36,543 | ) | (394,061 | ) | ||||||||
|
| |||||||||||
(1,344,186 | ) | |||||||||||
|
| |||||||||||
Switzerland — (0.6)% |
| |||||||||||
Cie Financiere Richemont SA | (27,431 | ) | (2,431,995 | ) | ||||||||
Coca-Cola HBC AG* | (8,700 | ) | (165,644 | ) | ||||||||
Dufry AG* | (11,024 | ) | (1,647,692 | ) | ||||||||
Panalpina Welttransport Holding AG | (1,767 | ) | (237,271 | ) | ||||||||
Schindler Holding AG | (3,257 | ) | (470,194 | ) | ||||||||
Sulzer AG | (4,267 | ) | (456,446 | ) | ||||||||
Swatch Group AG (The) | (5,356 | ) | (2,379,438 | ) | ||||||||
|
| |||||||||||
(7,788,680 | ) | |||||||||||
|
| |||||||||||
United Kingdom — (1.0)% |
| |||||||||||
Admiral Group PLC | (64,001 | ) | (1,312,989 | ) | ||||||||
Aggreko PLC | (104,085 | ) | (2,427,265 | ) | ||||||||
Anglo American PLC | (59,710 | ) | (1,104,903 | ) | ||||||||
Antofagasta PLC | (46,819 | ) | (545,535 | ) | ||||||||
ASOS PLC* | (115,601 | ) | (4,596,049 | ) | ||||||||
Inmarsat PLC | (16,925 | ) | (209,861 | ) | ||||||||
Lonmin PLC* | (468,736 | ) | (1,292,237 | ) | ||||||||
Serco Group PLC | (165,688 | ) | (414,995 | ) | ||||||||
Telecity Group PLC | (36,884 | ) | (460,674 | ) | ||||||||
Vedanta Resources PLC | (34,045 | ) | (301,990 | ) | ||||||||
WM Morrison Supermarkets PLC | (195,595 | ) | (558,085 | ) | ||||||||
|
| |||||||||||
(13,224,583 | ) | |||||||||||
|
| |||||||||||
Total Foreign Common Stocks Sold Short | (91,705,652 | ) | ||||||||||
|
| |||||||||||
Liabilities in Excess of Other | (46,765,555 | ) | ||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 1,379,266,699 | ||||||||||
|
|
See Notes to Financial Statements. | 217 |
Table of Contents
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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: | ||||||||||||||||||||
Australia | $ | 37,575,851 | $ | 472,169 | $ | 37,103,682 | $ | — | ||||||||||||
Austria | 2,940,044 | — | 2,940,044 | — | ||||||||||||||||
Belgium | 6,634,495 | 6 | 6,634,489 | — | ||||||||||||||||
Bermuda | 14,185,537 | 8,450,091 | 5,735,446 | — | ||||||||||||||||
Brazil | 6,422,544 | 6,422,544 | — | — | ||||||||||||||||
British Virgin Islands | 492,928 | 492,928 | — | — | ||||||||||||||||
Canada | 12,846,060 | 12,846,060 | — | — | ||||||||||||||||
Chile | 1,196,388 | 1,196,388 | — | — | ||||||||||||||||
China | 38,717,523 | 23,326,085 | 15,391,438 | — | ||||||||||||||||
Denmark | 23,929,895 | — | 23,929,895 | — | ||||||||||||||||
Finland | 5,243,370 | — | 5,243,370 | — | ||||||||||||||||
France | 121,985,099 | 1,888,931 | 120,096,168 | — | ||||||||||||||||
Germany | 119,497,061 | 3,053,354 | 116,443,707 | — | ||||||||||||||||
Guernsey | 233,428 | — | 233,428 | — | ||||||||||||||||
Hong Kong | 32,530,992 | 1,644,221 | 30,886,771 | — | ||||||||||||||||
India | 3,149,209 | — | 3,149,209 | — | ||||||||||||||||
Indonesia | 1,231,106 | — | 1,231,106 | — | ||||||||||||||||
Ireland | 8,770,671 | — | 8,770,671 | — | ||||||||||||||||
Italy | 32,887,079 | — | 32,887,079 | — | ||||||||||||||||
Japan | 224,509,397 | — | 224,509,397 | — | ||||||||||||||||
Jersey | 10,429,674 | — | 10,429,674 | — | ||||||||||||||||
Luxembourg | 441,908 | 441,908 | — | — | ||||||||||||||||
Netherlands | 76,481,627 | — | 76,481,627 | — | ||||||||||||||||
New Zealand | 1,305,527 | — | 1,305,527 | — | ||||||||||||||||
Nigeria | — | — | — | — | ||||||||||||||||
Norway | 11,995,652 | — | 11,995,652 | — | ||||||||||||||||
Portugal | 1,277,390 | — | 1,277,390 | — | ||||||||||||||||
Russia | 1,317,826 | 1,317,826 | — | — | ||||||||||||||||
Singapore | 30,988,636 | — | 30,988,636 | — | ||||||||||||||||
South Korea | 15,081,973 | — | 15,081,973 | — | ||||||||||||||||
Spain | 79,693,991 | — | 79,693,991 | — | ||||||||||||||||
Sweden | 54,193,524 | 2,175,416 | 52,018,108 | — | ||||||||||||||||
Switzerland | 129,862,062 | 8,206,933 | 121,655,129 | — | ||||||||||||||||
Taiwan | 14,536,573 | 12,588,996 | 1,947,577 | — | ||||||||||||||||
Thailand | 4,401,753 | 3,540,430 | 861,323 | — | ||||||||||||||||
Turkey | 6,179,123 | — | 6,179,123 | — | ||||||||||||||||
United Kingdom | 238,256,893 | 189,438 | 237,958,926 | 108,529 | ||||||||||||||||
United States of America | 13,946,497 | 13,946,497 | — | — | ||||||||||||||||
Foreign Preferred Stocks: | ||||||||||||||||||||
Germany | 4,188,497 | — | 4,188,497 | — | ||||||||||||||||
Money Market Funds | 128,166,399 | 128,166,399 | — | — | ||||||||||||||||
Warrant | 3 | 3 | — | — | ||||||||||||||||
Rights | 13,701 | — | — | 13,701 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 1,517,737,906 | $ | 230,366,623 | $ | 1,287,249,053 | $ | 122,230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 589,642 | $ | — | $ | 589,642 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 589,642 | $ | — | $ | 589,642 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
218 | See Notes to Financial Statements. |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Liabilities: | ||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Foreign Common Stocks Sold Short: | ||||||||||||||||||||
Australia | $ | (6,848,995 | ) | $ | — | $ | (6,848,995 | ) | $ | — | ||||||||||
Belgium | (174,894 | ) | — | (174,894 | ) | — | ||||||||||||||
Bermuda | (1,059,827 | ) | — | (1,059,827 | ) | — | ||||||||||||||
Denmark | (1,610,368 | ) | — | (1,610,368 | ) | — | ||||||||||||||
Finland | (3,500,874 | ) | — | (3,500,874 | ) | — | ||||||||||||||
France | (7,702,431 | ) | — | (7,702,431 | ) | — | ||||||||||||||
Germany | (6,129,502 | ) | — | (6,129,502 | ) | — | ||||||||||||||
Ireland | (453,602 | ) | — | (453,602 | ) | — | ||||||||||||||
Italy | (6,724,355 | ) | — | (6,724,355 | ) | — | ||||||||||||||
Japan | (20,753,460 | ) | — | (20,753,460 | ) | — | ||||||||||||||
Jersey | (524,087 | ) | — | (524,087 | ) | — | ||||||||||||||
Luxembourg | (1,752,190 | ) | (1,112,897 | ) | (639,293 | ) | — | |||||||||||||
Netherlands | (5,911,816 | ) | — | (5,911,816 | ) | — | ||||||||||||||
Norway | (2,510,122 | ) | — | (2,510,122 | ) | — | ||||||||||||||
Spain | (3,691,680 | ) | — | (3,691,680 | ) | — | ||||||||||||||
Sweden | (1,344,186 | ) | (428,233 | ) | (915,953 | ) | — | |||||||||||||
Switzerland | (7,788,680 | ) | (237,271 | ) | (7,551,409 | ) | — | |||||||||||||
United Kingdom | (13,224,583 | ) | (414,995 | ) | (12,809,588 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Investments in Securities | $ | (91,705,652 | ) | $ | (2,193,396 | ) | $ | (89,512,256 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | (89,083 | ) | (89,083 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | (89,083 | ) | $ | (89,083 | ) | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
***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.
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, 2013 that are now being fair valued. The value of the securities that were transferred to Level 2 as of December 31, 2014 is $486,901,541.
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, 2013 that are now being valued based on quoted prices. The value of the securities that were transferred to Level 1 as of December 31, 2014 is $3,673,341.
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 December 31, 2014.
See Notes to Financial Statements. | 219 |
Table of Contents
Emerging Markets Equity Fund (Unaudited)
Emerging markets stocks outperformed developed markets and were also impacted by currency weakness as the MSCI Emerging Markets Index (Net) posted a fourth quarter return of -4.50%, bringing the one-year performance to -2.19%. The worst performance was experienced in countries such as Russia, Greece and Hungary, while Turkey, Egypt and Indonesia were among the strongest positive performing countries for the year. From a sector perspective, six of the 10 groups posted negative returns for calendar year 2014. The energy and materials sectors were the worst performers and experienced double-digit declines, while the technology and healthcare sectors were the strongest performing sectors for the one-year period.
The Emerging Markets Equity Fund is actively managed and invests mainly in a diversified portfolio of stocks of foreign companies of any market capitalization located in emerging markets. The Investor Class of the Fund underperformed its benchmark, the MSCI Emerging Markets Index (Net), for the one-year period ended December 31, 2014 (-4.38% versus -2.19%). On a country basis, security selection in Russia and South Africa detracted from benchmark-relative performance, while security selection to India and South Korea positively impacted performance. On a sector basis, security selection to the energy, financials and consumer staples sectors detracted from benchmark-relative returns, while overweight exposure and security selection in the technology sector as well as security selection in the materials sector contributed to benchmark-relative returns during the one-year period.
Within the Fund, certain derivatives were utilized to express active views in currency and country selection. These derivative positions primarily included currency forward contracts, stock index futures and stock index future swaps. Overall, derivative exposure had a slight positive impact on Fund performance.
This Fund may be suitable to investors who seek higher, long-term rates of return, can accept significant short-term fluctuations in account value and want to diversify their portfolio with emerging market stocks. The Fund invests in emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Medium and small companies have limited product lines, markets and financial resources, and their stocks historically have been more volatile and less liquid than large company stocks. To the extent that the investment advisor misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and by its ability to select sub-advisers to allocate assets. Some derivatives may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Financial Services | 29.9 | |||
Technology | 18.1 | |||
Materials & Processing | 12.7 | |||
Money Market Funds | 12.1 | |||
Consumer Discretionary | 9.6 | |||
Utilities | 5.7 | |||
Energy | 5.4 | |||
Consumer Staples | 3.7 | |||
Foreign Preferred Stocks | 3.1 | |||
Producer Durables | 3.0 | |||
Healthcare | 1.5 | |||
Rights | — | ** | ||
|
| |||
104.8 | ||||
|
|
** | Rounds to less than 0.005%. |
220
Table of Contents
Emerging Markets Equity Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||||
| Institutional Class* | Investor Class* | Benchmark** | |||
One Year | -4.14% | -4.38% | -2.19% | |||
Since Inception | -5.63% | -5.83% | -4.31% | |||
Inception Date | 11/01/13 | 11/01/13 | ||||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.56% | 1.79% |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org.The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund since November 1, 2013 (commencement of operations), with all dividends and capital gains reinvested, with the MSCI Emerging Markets Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
221
Table of Contents
EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||
FOREIGN COMMON STOCKS — 89.6% |
| |||||||
Argentina — 0.2% | ||||||||
Banco Macro SA ADRD | 13,970 | $ | 610,908 | |||||
|
| |||||||
Austria — 0.4% | ||||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 24,229 | 1,082,893 | ||||||
|
| |||||||
Bermuda — 1.5% | ||||||||
China Gas Holdings, Ltd. | 184,000 | 288,159 | ||||||
Credicorp, Ltd.D | 17,500 | 2,803,150 | ||||||
GOME Electrical Appliances Holdings, Ltd.D | 2,275,000 | 332,526 | ||||||
Kosmos Energy, Ltd.* | 84,300 | 707,277 | ||||||
Sihuan Pharmaceutical Holdings Group, Ltd. | 391,000 | 260,077 | ||||||
|
| |||||||
4,391,189 | ||||||||
|
| |||||||
Brazil — 5.8% | ||||||||
All - America Latina Logistica SA | 389,000 | 740,478 | ||||||
Banco Bradesco SA ADR* | 64,200 | 858,354 | ||||||
Banco do Brasil SA | 55,000 | 491,818 | ||||||
Banco Santander Brasil SA ADR D | 228,445 | 1,146,794 | ||||||
BB Seguridade Participacoes SA | 5,900 | 71,381 | ||||||
BR Malls Participacoes SA | 11,200 | 69,226 | ||||||
BRF SA* | 11,800 | 281,616 | ||||||
CCR SA | 112,100 | 649,861 | ||||||
Centrais Eletricas Brasileiras SA* | 215,600 | 470,424 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADRD | 15,227 | 560,810 | ||||||
Cia Energetica de Minas Gerais ADRD | 55,882 | 277,734 | ||||||
Estacio Participacoes SA | 60,100 | 538,553 | ||||||
Fibria Celulose SA* | 7,700 | 94,172 | ||||||
Gerdau SA | 12,880 | 38,957 | ||||||
Gerdau SA ADRD | 73,678 | 261,557 | ||||||
Grupo BTG Pactual | 140,700 | 1,489,995 | ||||||
Hypermarcas SA* | 124,500 | 779,823 | ||||||
Itau Unibanco Holding SA ADRD | 131,155 | 1,706,327 | ||||||
JBS SA | 194,300 | 818,659 | ||||||
Kroton Educacional SA | 52,700 | 307,294 | ||||||
Linx SA | 28,000 | 531,939 | ||||||
Lojas Renner SA | 20,700 | 595,489 | ||||||
Magnesita Refratarios SA | 56,700 | 44,154 | ||||||
Multiplan Empreendimentos Imobiliarios SA* | 2,300 | 41,047 | ||||||
Odontoprev SA | 59,300 | 219,960 | ||||||
Petroleo Brasileiro SA ADRD* | 52,800 | 400,224 | ||||||
Porto Seguro SA | 43,000 | 491,761 | ||||||
Tim Participacoes SA ADRD | 14,500 | 322,045 | ||||||
Totvs SA | 36,400 | 479,272 | ||||||
Tractebel Energia SA | 92,300 | 1,174,670 | ||||||
Ultrapar Participacoes SA | 41,000 | 793,563 | ||||||
Ultrapar Participacoes SA ADRD | 6,774 | 129,180 | ||||||
Vale SA ADRD | 72,000 | 522,720 | ||||||
|
| |||||||
17,399,857 | ||||||||
|
| |||||||
Canada — 1.8% | ||||||||
First Quantum Minerals, Ltd. | 363,000 | 5,158,487 | ||||||
Torex Gold Resources, Inc.* | 343,450 | 363,611 | ||||||
|
| |||||||
5,522,098 | ||||||||
|
|
Shares | Value | |||||||
Chile — 0.7% | ||||||||
Banco de Chile ADR | 3,153 | $ | 217,368 | |||||
Banco Santander Chile ADR | 20,100 | 396,372 | ||||||
Embotelladora Andina SA ADR Class BD | 41,445 | 704,565 | ||||||
Enersis SA ADRD | 46,700 | 748,601 | ||||||
Latam Airlines Group SA ADRD* | 7,200 | 86,256 | ||||||
|
| |||||||
2,153,162 | ||||||||
|
| |||||||
China — 9.0% | ||||||||
AAC Technologies Holdings, Inc.D | 231,000 | 1,228,517 | ||||||
Agricultural Bank of China, Ltd. Class H | 1,331,000 | 669,448 | ||||||
Anhui Conch Cement Co., Ltd. Class HD | 1,129,500 | 4,181,821 | ||||||
Bank of China, Ltd. Class H | 2,669,000 | 1,498,028 | ||||||
Bank of Communications Co., Ltd. Class H | 389,000 | 361,680 | ||||||
Beijing Capital International Airport Co., Ltd. Class H | 178,000 | 141,893 | ||||||
China CITIC Bank Corporation, Ltd. Class H | 1,107,000 | 882,545 | ||||||
China Construction Bank Corporation Class H | 1,791,000 | 1,462,858 | ||||||
China Merchants Bank Co., Ltd. Class HD | 1,508,000 | 3,764,200 | ||||||
China Petroleum & Chemical Corporation Class H | 830,000 | 672,166 | ||||||
China Railway Group, Ltd. Class H | 121,000 | 98,962 | ||||||
China Telecom Corporation, Ltd. Class H | 1,240,000 | 719,184 | ||||||
China Vanke Co., Ltd. | 36,000 | 79,861 | ||||||
Country Garden Holdings Co., Ltd. | 121,000 | 48,281 | ||||||
Evergrande Real Estate Group, Ltd.D | 200,000 | 80,596 | ||||||
Guangzhou R&F Properties Co., Ltd. Class H | 23,600 | 28,733 | ||||||
Huaneng Power International, Inc. Class H | 324,000 | 437,803 | ||||||
Industrial & Commercial Bank of China, Ltd. | 2,172,000 | 1,585,978 | ||||||
Jiangxi Copper Co., Ltd. Class H | 66,000 | 112,651 | ||||||
Li Ning Co., Ltd.D* | 921,500 | 448,331 | ||||||
Longfor Properties Co., Ltd. | 897,000 | 1,150,090 | ||||||
Mindray Medical International, Ltd. ADRD | 31,932 | 843,005 | ||||||
Parkson Retail Group, Ltd.D | 168,500 | 41,862 | ||||||
PetroChina Co., Ltd. Class H | 706,000 | 783,721 | ||||||
Qinhuangdao Port Co., Ltd. Class H | 550,000 | 255,316 | ||||||
Shui On Land, Ltd. | 118,500 | 27,868 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 2,492,000 | 726,134 | ||||||
SOHO China, Ltd. | 53,000 | 37,381 | ||||||
Tencent Holdings, Ltd. | 97,900 | 1,416,508 | ||||||
Tingyi Cayman Islands Holding Corporation | 1,060,000 | 2,408,888 | ||||||
Wumart Stores, Inc. Class H | 505,000 | 431,269 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 100,000 | 115,806 |
222 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||||
Zhuzhou CSR Times Electric Co., Ltd. Class H@ | 33,500 | $ | 195,480 | |||||||||
|
| |||||||||||
26,936,864 | ||||||||||||
|
| |||||||||||
Colombia — 0.5% | ||||||||||||
Bancolombia SA | 96,056 | 1,117,184 | ||||||||||
Bancolombia SA ADRD | 11,605 | 555,647 | ||||||||||
|
| |||||||||||
1,672,831 | ||||||||||||
|
| |||||||||||
Cyprus — 0.4% | ||||||||||||
Eurasia Drilling Co., Ltd. GDR | 47,366 | 843,115 | ||||||||||
Global Ports Investments PLC GDR | 49,037 | 120,386 | ||||||||||
QIWI PLC ADRD | 10,520 | 212,399 | ||||||||||
|
| |||||||||||
1,175,900 | ||||||||||||
|
| |||||||||||
Egypt — 0.1% | ||||||||||||
ElSwedy Electric Co.* | 82,700 | 479,502 | ||||||||||
|
| |||||||||||
Estonia — 0.1% | ||||||||||||
Tallink Group AS@ | 527,514 | 430,866 | ||||||||||
|
| |||||||||||
Hong Kong — 6.3% | ||||||||||||
AIA Group, Ltd. | 266,958 | 1,472,398 | ||||||||||
ASM Pacific Technology, Ltd. | 199,300 | 1,897,624 | ||||||||||
Belle International Holdings, Ltd. | 1,886,000 | 2,118,448 | ||||||||||
China Mengniu Dairy Co., Ltd. | 510,000 | 2,099,991 | ||||||||||
China Mobile, Ltd. | 428,500 | 5,018,912 | ||||||||||
China Overseas Land & Investment, Ltd. | 838,000 | 2,478,998 | ||||||||||
China Resources Land, Ltd. | 54,000 | 141,913 | ||||||||||
CNOOC, Ltd. | 421,000 | 569,263 | ||||||||||
CSPC Pharmaceutical Group, Ltd. | 298,000 | 261,932 | ||||||||||
Franshion Properties China, Ltd. | 122,000 | 34,816 | ||||||||||
New World China Land, Ltd. | 84,000 | 49,667 | ||||||||||
New World Department Store China, Ltd. | 527,000 | 168,539 | ||||||||||
Shimao Property Holdings, Ltd. | 36,000 | 79,726 | ||||||||||
Sino Biopharmaceutical, Ltd. | 1,252,000 | 1,128,184 | ||||||||||
Sino-Ocean Land Holdings, Ltd. | 78,000 | 43,979 | ||||||||||
WH Group, Ltd. 144A* | 2,199,500 | 1,254,325 | ||||||||||
Yuexiu Property Co., Ltd. | 138,000 | 26,407 | ||||||||||
|
| |||||||||||
18,845,122 | ||||||||||||
|
| |||||||||||
Hungary — 0.3% | ||||||||||||
OTP Bank PLC | 66,797 | 963,514 | ||||||||||
|
| |||||||||||
India — 8.1% | ||||||||||||
Adani Enterprises, Ltd.* | 24,815 | 189,954 | ||||||||||
Ambuja Cements, Ltd. | 528,909 | 1,912,286 | ||||||||||
Aurobindo Pharma, Ltd.* | 67,416 | 1,210,054 | ||||||||||
Axis Bank, Ltd. | 540,463 | 4,277,722 | ||||||||||
Dabur India, Ltd. | 354,512 | 1,308,385 | ||||||||||
Divi’s Laboratories, Ltd. | 15,303 | 417,646 | ||||||||||
DLF, Ltd. | 9,537 | 20,481 | ||||||||||
Dr Reddy’s Laboratories, Ltd. | 3,356 | 171,563 | ||||||||||
HCL Technologies, Ltd. | 31,928 | 806,356 | ||||||||||
Hero MotoCorp, Ltd. | 41,314 | 2,027,220 | ||||||||||
Infosys, Ltd. | 42,978 | 1,333,507 | ||||||||||
Infosys, Ltd. ADR D | 61,558 | 1,936,615 | ||||||||||
Kotak Mahindra Bank, Ltd. | 172,727 | 3,439,778 |
Shares | Value | |||||||||||
Power Finance Corporation, Ltd. | 81,321 | $ | 386,221 | |||||||||
Reliance Infrastructure, Ltd. | 10,466 | 84,417 | ||||||||||
State Bank of India | 22,660 | 111,319 | ||||||||||
Tata Consultancy Services, Ltd. | 81,142 | 3,288,550 | ||||||||||
Tata Motors, Ltd. ADRD | 17,300 | 731,444 | ||||||||||
Tata Steel, Ltd. | 46,556 | 293,241 | ||||||||||
Tech Mahindra, Ltd. | 1,905 | 78,100 | ||||||||||
Wipro, Ltd. | 33,732 | 293,060 | ||||||||||
|
| |||||||||||
24,317,919 | ||||||||||||
|
| |||||||||||
Indonesia — 2.1% | ||||||||||||
PT Adaro Energy Tbk | 1,867,500 | 155,814 | ||||||||||
PT Astra Agro Lestari Tbk | 165,400 | 323,189 | ||||||||||
PT Bank Mandiri Persero Tbk | 100,100 | 87,051 | ||||||||||
PT Bank Negara Indonesia Persero Tbk | 953,500 | 467,210 | ||||||||||
PT Bank Rakyat Indonesia Persero Tbk | 269,400 | 253,231 | ||||||||||
PT Bank Tabungan Pensiunan Nasional Tbk* | 237,000 | 75,375 | ||||||||||
PT Bumi Serpong Damai Tbk | 231,200 | 33,557 | ||||||||||
PT Indocement Tunggal Prakarsa Tbk | 1,043,900 | 2,106,328 | ||||||||||
PT Indofood Sukses Makmur Tbk | 323,700 | 176,476 | ||||||||||
PT Lippo Karawaci Tbk | 541,000 | 44,418 | ||||||||||
PT Perusahaan Gas Negara Persero Tbk | 693,400 | 335,552 | ||||||||||
PT Ramayana Lestari Sentosa Tbk | 3,631,300 | 229,547 | ||||||||||
PT Semen Indonesia Persero Tbk | 1,039,700 | 1,357,336 | ||||||||||
PT Telekomunikasi Indonesia Tbk ADR* | 14,100 | 637,743 | ||||||||||
PT Unilever Indonesia Tbk | 46,800 | 121,388 | ||||||||||
|
| |||||||||||
6,404,215 | ||||||||||||
|
| |||||||||||
Jersey — 0.1% | ||||||||||||
West China Cement, Ltd. | 2,222,000 | 232,794 | ||||||||||
|
| |||||||||||
Kenya — 0.2% | ||||||||||||
Safaricom, Ltd. | 3,573,500 | 554,475 | ||||||||||
|
| |||||||||||
Luxembourg — 0.2% | ||||||||||||
O’Key Group SA GDR | 11,755 | 51,604 | ||||||||||
Ternium SA ADR | 39,970 | 705,071 | ||||||||||
|
| |||||||||||
756,675 | ||||||||||||
|
| |||||||||||
Malaysia — 2.0% | ||||||||||||
AMMB Holdings Bhd | 58,700 | 110,238 | ||||||||||
CIMB Group Holdings Bhd | 731,648 | 1,161,210 | ||||||||||
DiGi.Com Bhd | 184,100 | 324,308 | ||||||||||
IOI Corporation Bhd | 318,600 | 437,248 | ||||||||||
IOI Properties Group Bhd | 48,800 | 33,654 | ||||||||||
Lafarge Malaysia Bhd | 118,200 | 329,939 | ||||||||||
Malayan Banking Bhd | 165,800 | 434,201 | ||||||||||
MISC Bhd | 316,800 | 653,621 | ||||||||||
Petronas Chemicals Group Bhd | 151,200 | 235,153 | ||||||||||
RHB Capital Bhd | 35,700 | 77,802 | ||||||||||
Tenaga Nasional Bhd | 352,500 | 1,388,305 | ||||||||||
UEM Sunrise Bhd | 54,300 | 21,762 | ||||||||||
Westports Holdings Bhd | 723,700 | 695,447 | ||||||||||
|
| |||||||||||
5,902,888 | ||||||||||||
|
|
See Notes to Financial Statements. | 223 |
Table of Contents
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||||
Mexico — 4.2% | ||||||||||||
Alfa SAB de CV Class A* | 172,500 | $ | 385,133 | |||||||||
America Movil SAB de CV ADR Class LD | 171,757 | 3,809,570 | ||||||||||
Arca Continental SAB de CV* | 32,800 | 207,510 | ||||||||||
Cemex SAB de CV ADRD* | 27,768 | 282,956 | ||||||||||
Compartamos SAB de CV* | 185,300 | 372,390 | ||||||||||
Corporacion Moctezuma SAB de CV@ | 205,509 | 636,568 | ||||||||||
Fibra Uno Administracion SA de CV REIT | 75,500 | 222,502 | ||||||||||
Genomma Lab Internacional SAB de CV Class B* | 584,900 | 1,112,415 | ||||||||||
Gruma SAB de CV | 80,900 | 862,641 | ||||||||||
Grupo Aeroportuario del Pacifico SAB de CV | 31,600 | 198,590 | ||||||||||
Grupo Financiero Banorte SAB de CV Class O | 363,400 | 2,000,039 | ||||||||||
Grupo Financiero Inbursa SAB de CV Class O | 420,700 | 1,085,843 | ||||||||||
Grupo Televisa SAB de CV ADR* | 10,700 | 364,442 | ||||||||||
Megacable Holdings SAB de CV* | 289,900 | 1,130,617 | ||||||||||
|
| |||||||||||
12,671,216 | ||||||||||||
|
| |||||||||||
Mongolia — 0.1% | ||||||||||||
Mongolian Mining CorporationD* | 4,213,750 | 184,750 | ||||||||||
|
| |||||||||||
Netherlands — 1.2% | ||||||||||||
OCID* | 66,072 | 2,297,319 | ||||||||||
X5 Retail Group NV GDR* | 108,361 | 1,322,004 | ||||||||||
|
| |||||||||||
3,619,323 | ||||||||||||
|
| |||||||||||
Nigeria — 0.9% | ||||||||||||
FBN Holdings PLC | 2,210,200 | 104,958 | ||||||||||
FCMB Group PLC | 12,000,000 | 163,279 | ||||||||||
Guaranty Trust Bank PLC | 14,478,359 | 1,973,491 | ||||||||||
United Bank for Africa PLC | 16,356,169 | 375,805 | ||||||||||
|
| |||||||||||
2,617,533 | ||||||||||||
|
| |||||||||||
Philippines — 0.5% | ||||||||||||
International Container Terminal Services, Inc. | 573,060 | 1,464,441 | ||||||||||
|
| |||||||||||
Poland — 0.8% | ||||||||||||
Alior Bank SA* | 33,533 | 735,189 | ||||||||||
Energa SA | 11,710 | 76,154 | ||||||||||
KGHM Polska Miedz SA | 8,404 | 256,195 | ||||||||||
Orange Polska SA | 139,146 | 325,126 | ||||||||||
PGE SA | 152,666 | 807,180 | ||||||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 160,551 | 200,215 | ||||||||||
Powszechny Zaklad Ubezpieczen SA | 706 | 96,350 | ||||||||||
|
| |||||||||||
2,496,409 | ||||||||||||
|
| |||||||||||
Russia — 3.1% | ||||||||||||
Gazprom OAO ADR | 124,426 | 563,650 | ||||||||||
LSR Group GDR | 163,892 | 255,671 | ||||||||||
Lukoil OAO ADR | 10,216 | 391,784 | ||||||||||
Magnit PJSC GDR | 3,261 | 148,049 | ||||||||||
Mobile Telesystems OJSC ADR | 65,800 | 472,444 | ||||||||||
NOVATEK OAO GDR | 47,296 | 3,695,220 | ||||||||||
Novolipetsk Steel OJSC GDR | 88,045 | 980,091 | ||||||||||
Rosneft OAO GDR | 27,856 | 90,902 | ||||||||||
Sberbank of Russia ADR | 423,287 | 1,639,391 |
Shares | Value | |||||||||||
Severstal PAO GDR* | 67,404 | $ | 563,834 | |||||||||
Surgutneftegas OAO ADR | 32,259 | 133,875 | ||||||||||
Tatneft OAO ADR | 21,828 | 498,770 | ||||||||||
|
| |||||||||||
9,433,681 | ||||||||||||
|
| |||||||||||
South Africa — 4.9% | ||||||||||||
African Bank Investments, Ltd.+* | 642,081 | — | ||||||||||
Bidvest Group, Ltd. | 124,323 | 3,250,285 | ||||||||||
Capitec Bank Holdings, Ltd. | 17,067 | 499,719 | ||||||||||
Discovery, Ltd. | 60,149 | 575,898 | ||||||||||
FirstRand, Ltd. | 102,988 | 447,710 | ||||||||||
Growthpoint Properties, Ltd. REIT | 48,957 | 116,322 | ||||||||||
Imperial Holdings, Ltd. | 5,340 | 85,016 | ||||||||||
Investec. Ltd. | 61,477 | 515,221 | ||||||||||
Liberty Holdings, Ltd. | 28,661 | 303,985 | ||||||||||
Mediclinic International, Ltd. | 43,355 | 375,280 | ||||||||||
MTN Group, Ltd. | 53,251 | 1,012,969 | ||||||||||
Naspers, Ltd. N Shares | 6,517 | 843,008 | ||||||||||
Netcare, Ltd. | 346,048 | 1,130,924 | ||||||||||
Pick n Pay Stores, Ltd. | 222,512 | 1,006,308 | ||||||||||
Redefine Properties, Ltd. REIT | 79,691 | 73,709 | ||||||||||
Remgro, Ltd. | 11,242 | 245,938 | ||||||||||
RMB Holdings, Ltd. | 92,751 | 512,214 | ||||||||||
Sanlam, Ltd. | 105,582 | 635,317 | ||||||||||
Sasol, Ltd. | 27,035 | 1,009,024 | ||||||||||
Standard Bank Group, Ltd. | 174,858 | 2,155,091 | ||||||||||
|
| |||||||||||
14,793,938 | ||||||||||||
|
| |||||||||||
South Korea — 10.7% | ||||||||||||
AMOREPACIFIC Group* | 332 | 300,274 | ||||||||||
Coway Co., Ltd. | 2,230 | 170,041 | ||||||||||
Dongbu Insurance Co., Ltd.* | 4,407 | 220,076 | ||||||||||
E-Mart Co., Ltd.* | 4,594 | 850,154 | ||||||||||
Hana Financial Group, Inc. | 8,770 | 253,999 | ||||||||||
Hanwha Corporation* | 3,243 | 91,690 | ||||||||||
Hanwha Life Insurance Co., Ltd.* | 9,428 | 71,232 | ||||||||||
Hyosung Corporation* | 1,519 | 94,269 | ||||||||||
Hyundai Department Store Co., Ltd.* | 564 | 62,731 | ||||||||||
Hyundai Development Co-Engineering & Construction* | 13,716 | 480,936 | ||||||||||
Hyundai Mobis Co., Ltd.* | 1,426 | 305,088 | ||||||||||
KB Financial Group, Inc.* | 7,910 | 258,610 | ||||||||||
Kia Motors Corporation* | 4,056 | 192,725 | ||||||||||
KIWOOM Securities Co., Ltd.* | 8,808 | 365,709 | ||||||||||
Korea Electric Power Corporation* | 16,823 | 648,241 | ||||||||||
Korean Air Lines Co., Ltd.* | 24,044 | 1,031,345 | ||||||||||
LG Display Co., Ltd.* | 34,456 | 1,045,029 | ||||||||||
Mirae Asset Securities Co., Ltd.* | 17,009 | 661,424 | ||||||||||
NAVER Corporation* | 1,286 | 823,599 | ||||||||||
Samsung C&T Corporation* | 1,201 | 67,076 | ||||||||||
Samsung Electronics Co., Ltd. | 9,110 | 10,952,447 | ||||||||||
Samsung Fire & Marine Insurance Co., Ltd. | 25,261 | 6,492,501 | ||||||||||
Shinhan Financial Group Co., Ltd. | 103,111 | 4,144,558 | ||||||||||
Shinsegae Co., Ltd. | 279 | 45,799 | ||||||||||
SK Holdings Co., Ltd. | 3,959 | 587,626 | ||||||||||
SK Hynix, Inc.* | 24,912 | 1,064,625 | ||||||||||
SK Networks Co., Ltd.* | 52,685 | 424,679 |
224 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
SK Telecom Co., Ltd. | 773 | $ | 189,070 | |||||||
Woori Bank@* | 23,912 | 217,550 | ||||||||
|
| |||||||||
32,113,103 | ||||||||||
|
| |||||||||
Switzerland — 0.8% | ||||||||||
Coca-Cola HBC AG* | 123,513 | 2,351,629 | ||||||||
|
| |||||||||
Taiwan — 8.7% | ||||||||||
Advanced Semiconductor Engineering, Inc. | 68,000 | 80,759 | ||||||||
AU Optronics Corporation* | 1,176,000 | 596,899 | ||||||||
China Life Insurance Co., Ltd. | 205,700 | 169,925 | ||||||||
CTBC Financial Holding Co., Ltd. | 780,858 | 505,174 | ||||||||
Delta Electronics, Inc. | 88,000 | 520,013 | ||||||||
Eva Airways Corporation* | 150,000 | 104,554 | ||||||||
Far Eastern Department Stores, Ltd. | 159,120 | 141,309 | ||||||||
Farglory Land Development Co., Ltd. | 13,000 | 15,457 | ||||||||
Fubon Financial Holding Co., Ltd. | 598,000 | 951,854 | ||||||||
Highwealth Construction Corporation | 18,000 | 36,094 | ||||||||
Hon Hai Precision Industry Co., Ltd. | 441,280 | 1,218,601 | ||||||||
Inotera Memories, Inc.* | 533,000 | 836,276 | ||||||||
Kinsus Interconnect Technology Corporation | 161,000 | 531,963 | ||||||||
Largan Precision Co., Ltd. | 4,000 | 299,425 | ||||||||
MediaTek, Inc. | 230,000 | 3,343,609 | ||||||||
Novatek Microelectronics Corporation | 40,000 | 223,524 | ||||||||
Pou Chen Corporation | 173,000 | 208,614 | ||||||||
President Chain Store Corporation | 109,000 | 841,897 | ||||||||
Realtek Semiconductor Corporation | 129,000 | 428,386 | ||||||||
Richtek Technology Corporation | 69,000 | 363,605 | ||||||||
Ruentex Development Co., Ltd. | 17,000 | 26,870 | ||||||||
SinoPac Financial Holdings Co., Ltd. | 204,108 | 83,640 | ||||||||
Taishin Financial Holding Co., Ltd. | 835,493 | 342,983 | ||||||||
Taiwan Cement Corporation | 148,000 | 202,325 | ||||||||
Taiwan Cooperative Financial Holding Co., Ltd. | 115,500 | 59,375 | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,608,000 | 11,489,470 | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD | 95,600 | 2,139,528 | ||||||||
Teco Electric and Machinery Co., Ltd. | 229,000 | 216,534 | ||||||||
Uni-President Enterprises Corporation | 139,920 | 221,271 | ||||||||
|
| |||||||||
26,199,934 | ||||||||||
|
| |||||||||
Thailand — 4.5% | ||||||||||
Airports of Thailand PCL NVDR | 70,100 | 597,237 | ||||||||
Bangkok Bank PCL NVDR | 32,000 | 187,956 | ||||||||
Bangkok Dusit Medical Services PCL NVDR | 241,900 | 125,983 | ||||||||
BEC World PCL NVDR | 186,100 | 288,016 | ||||||||
Big C Supercenter PCL NVDR | 267,400 | 1,926,808 | ||||||||
Central Pattana PCL | 2,265,900 | 3,133,691 |
Shares | Value | |||||||||
Charoen Pokphand Foods PCL NVDR | 98,400 | $ | 80,983 | |||||||
Glow Energy PCL NVDR | 15,400 | 41,409 | ||||||||
Kasikornbank PCL | 47,800 | 330,884 | ||||||||
Kasikornbank PCL NVDR | 389,431 | 2,693,399 | ||||||||
Krung Thai Bank PCL NVDR | 498,800 | 342,205 | ||||||||
PTT Exploration & Production PCL NVDR | 52,900 | 179,140 | ||||||||
PTT PCL NVDR | 30,000 | 293,885 | ||||||||
Robinson Department Store PCL | 462,600 | 632,736 | ||||||||
Siam Commercial Bank PCL | 254,800 | 1,409,532 | ||||||||
TMB Bank PCL | 13,168,900 | 1,168,790 | ||||||||
|
| |||||||||
13,432,654 | ||||||||||
|
| |||||||||
Turkey — 2.8% | ||||||||||
Akfen Holding AS | 106,500 | 213,902 | ||||||||
BIM Birlesik Magazalar AS | 10,331 | 220,927 | ||||||||
Coca-Cola Icecek AS | 23,277 | 503,424 | ||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT | 63,233 | 74,790 | ||||||||
TAV Havalimanlari Holding AS | 127,658 | 1,042,156 | ||||||||
Turk Hava Yollari* | 121,298 | 498,410 | ||||||||
Turk Sise ve Cam Fabrikalari AS | 100,008 | 155,328 | ||||||||
Türkiye Garanti Bankasi AS | 892,934 | 3,587,037 | ||||||||
Turkiye Vakiflar Bankasi TAO Class D | 42,123 | 87,612 | ||||||||
Ulker Biskuvi Sanayi AS | 106,104 | 839,888 | ||||||||
Yapi ve Kredi Bankasi AS | 524,777 | 1,092,815 | ||||||||
|
| |||||||||
8,316,289 | ||||||||||
|
| |||||||||
United Kingdom — 4.7% | ||||||||||
Anglo American PLC | 545,878 | 10,108,549 | ||||||||
Tullow Oil PLC | 607,680 | 3,916,113 | ||||||||
|
| |||||||||
14,024,662 | ||||||||||
|
| |||||||||
United States of America — 1.9% |
| |||||||||
Cognizant Technology Solutions Corporation Class A* | 86,100 | 4,534,026 | ||||||||
First Cash Financial Services, Inc.D* | 15,600 | 868,452 | ||||||||
Southern Copper CorporationD | 7,800 | 219,960 | ||||||||
|
| |||||||||
5,622,438 | ||||||||||
|
| |||||||||
Total Foreign Common Stocks |
| 269,175,672 | ||||||||
|
| |||||||||
FOREIGN PREFERRED STOCKS — 3.1% |
| |||||||||
Brazil — 1.8% | ||||||||||
Banco do Estado do Rio Grande do Sul SA | ||||||||||
0.83%, 11/26/14* | 16,400 | 89,459 | ||||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar | ||||||||||
1.00%, 07/23/14 | 55,100 | 2,044,433 | ||||||||
Cia Energetica de Sao Paulo, Class B | ||||||||||
3.18%, 08/18/14 | 66,200 | 667,678 | ||||||||
Gerdau SA | ||||||||||
0.25%, 11/05/14 | 33,912 | 122,217 | ||||||||
Itau Unibanco Holding SA | ||||||||||
0.97%, 12/29/14 | 58,900 | 766,662 | ||||||||
Itausa Investimentos Itau SA | ||||||||||
0.34%, 12/17/14 | 464,706 | 1,641,558 | ||||||||
|
| |||||||||
5,332,007 | ||||||||||
|
|
See Notes to Financial Statements. | 225 |
Table of Contents
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
South Korea — 1.3% | ||||||||||
Samsung Electronics Co., Ltd. | ||||||||||
1.40%, 06/27/14 | 4,189 | $ | 3,940,050 | |||||||
|
| |||||||||
Total Foreign Preferred Stocks |
| 9,272,057 | ||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
Eva Airways Corporation+ | 22,093 | 3,600 | ||||||||
|
| |||||||||
MONEY MARKET FUNDS — 12.1% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 11,750,119 | 11,750,119 | ||||||||
Northern Institutional Liquid Assets Portfolio§ | 24,435,674 | 24,435,674 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 36,185,793 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS —104.8% |
| 314,637,122 | ||||||||
Liabilities in Excess of |
| (14,377,371 | ) | |||||||
|
| |||||||||
NET ASSETS — 100.0% |
| $ | 300,259,751 | |||||||
|
|
Swap agreement outstanding at December 31, 2014:
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total Return Swap | ||||||||||||||||||||||||||||
Turkish Equity Index Swap | 03/18/15 | GS | TRL | $ | (770,166 | ) | $ | (8,276 | ) | $ | — | $ | (8,276 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Swap agreement outstanding at December 31, 2014 |
| $ | (8,276 | ) | $ | — | $ | (8,276 | ) | |||||||||||||||||||
|
|
|
|
|
|
226 | See Notes to Financial Statements. |
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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: | ||||||||||||||||||||
Argentina | $ | 610,908 | $ | 610,908 | $ | — | $ | — | ||||||||||||
Austria | 1,082,893 | — | 1,082,893 | — | ||||||||||||||||
Bermuda | 4,391,189 | 3,510,427 | 880,762 | — | ||||||||||||||||
Brazil | 17,399,857 | 17,399,857 | — | — | ||||||||||||||||
Canada | 5,522,098 | 5,522,098 | — | — | ||||||||||||||||
Chile | 2,153,162 | 2,153,162 | — | — | ||||||||||||||||
China | 26,936,864 | 1,038,484 | 25,898,380 | — | ||||||||||||||||
Colombia | 1,672,831 | 1,672,831 | — | — | ||||||||||||||||
Cyprus | 1,175,900 | 1,175,900 | — | — | ||||||||||||||||
Egypt | 479,502 | — | 479,502 | — | ||||||||||||||||
Estonia | 430,866 | 430,866 | — | — | ||||||||||||||||
Hong Kong | 18,845,122 | 168,539 | 18,676,583 | — | ||||||||||||||||
Hungary | 963,514 | — | 963,514 | — | ||||||||||||||||
India | 24,317,919 | 5,956,609 | 18,361,310 | — | ||||||||||||||||
Indonesia | 6,404,215 | 637,743 | 5,766,472 | — | ||||||||||||||||
Jersey | 232,794 | — | 232,794 | — | ||||||||||||||||
Kenya | 554,475 | 554,475 | — | — | ||||||||||||||||
Luxembourg | 756,675 | 756,675 | — | — | ||||||||||||||||
Malaysia | 5,902,888 | 1,103,188 | 4,799,700 | — | ||||||||||||||||
Mexico | 12,671,216 | 12,671,216 | — | — | ||||||||||||||||
Mongolia | 184,750 | 184,750 | — | — | ||||||||||||||||
Netherlands | 3,619,323 | 1,322,004 | 2,297,319 | — | ||||||||||||||||
Nigeria | 2,617,533 | 163,279 | 2,454,254 | — | ||||||||||||||||
Philippines | 1,464,441 | — | 1,464,441 | — | ||||||||||||||||
Poland | 2,496,409 | — | 2,496,409 | — | ||||||||||||||||
Russia | 9,433,681 | 9,433,681 | — | — | ||||||||||||||||
South Africa | 14,793,938 | 303,985 | 14,489,953 | — | ||||||||||||||||
South Korea | 32,113,103 | 6,710,051 | 25,403,052 | — | ||||||||||||||||
Switzerland | 2,351,629 | — | 2,351,629 | — | ||||||||||||||||
Taiwan | 26,199,934 | 2,139,528 | 24,060,406 | — | ||||||||||||||||
Thailand | 13,432,654 | 6,344,749 | 7,087,905 | — | ||||||||||||||||
Turkey | 8,316,289 | — | 8,316,289 | — | ||||||||||||||||
United Kingdom | 14,024,662 | — | 14,024,662 | — | ||||||||||||||||
United States of America | 5,622,438 | 5,622,438 | — | — | ||||||||||||||||
Foreign Preferred Stocks: | ||||||||||||||||||||
Brazil | 5,332,007 | 5,332,007 | — | — | ||||||||||||||||
South Korea | 3,940,050 | — | 3,940,050 | — | ||||||||||||||||
Money Market Funds | 36,185,793 | 36,185,793 | — | — | ||||||||||||||||
Rights | 3,600 | — | — | 3,600 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 314,637,122 | $ | 129,105,243 | $ | 185,528,279 | $ | 3,600 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | 235,900 | $ | 235,900 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 235,900 | $ | 235,900 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | (1,211,070 | ) | $ | — | $ | (1,211,070 | ) | $ | — | ||||||||||
Swap Agreement | (8,276 | ) | — | — | (8,276 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | (1,219,346 | ) | $ | — | $ | (1,211,070 | ) | $ | (8,276 | ) | |||||||||
|
|
|
|
|
|
|
|
***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.
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, 2013 that are now being fair valued. The value of the securities that were transferred to Level 2 as of December 31, 2014 is $119,471,675.
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, 2013 that are now being valued based on quoted prices. The value of the securities that were transferred to Level 1 as of December 31, 2014 is $6,492,501.
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 year ended December 31, 2014.
See Notes to Financial Statements. | 227 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2014 |
Defensive Market Strategies Fund | Equity Index Fund | |||||||||
Assets | ||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 623,813,616 | $ | 449,060,036 | ||||||
Investments in securities of affiliated issuers, at value | 26,355,033 | 14,642,754 | ||||||||
|
|
|
| |||||||
Total investments (1)(2) | 650,168,649 | 463,702,790 | ||||||||
Cash | 1,371,376 | — | ||||||||
Cash collateral for derivatives | 1,361,000 | 534,000 | ||||||||
Deposits with broker for securities sold short | 5,263 | — | ||||||||
Foreign currency(3) | 39,547 | — | ||||||||
Receivables: | ||||||||||
Dividends and reclaims | 718,437 | 475,065 | ||||||||
Interest | 640,956 | — | ||||||||
Securities lending | 21,531 | 5,680 | ||||||||
Investment securities sold | 543,318 | — | ||||||||
Fund shares sold | 197,127 | 290,906 | ||||||||
Variation margin on financial futures contracts | — | — | ||||||||
Unrealized appreciation on foreign currency exchange contracts | 65,560 | — | ||||||||
Prepaid expenses and other assets | 15,972 | 10,852 | ||||||||
|
|
|
| |||||||
Total Assets | 655,148,736 | 465,019,293 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Cash overdraft | — | 4 | ||||||||
Securities sold short, at value (4) | — | — | ||||||||
Options written at value (5) | 396,573 | — | ||||||||
Unrealized depreciation on foreign currency exchange contracts | 2,132 | — | ||||||||
Unrealized depreciation on swap agreements | — | — | ||||||||
Collateral held for securities on loan at value | 76,778,472 | 34,327,381 | ||||||||
Collateral held for derivatives | — | — | ||||||||
Payables: | ||||||||||
Investment securities purchased | 2,140,193 | — | ||||||||
Dividends on short sales | — | — | ||||||||
Fund shares redeemed | 9 | 339,869 | ||||||||
Variation margin on financial futures contracts | 323,190 | 181,035 | ||||||||
Securities lending | 4,017 | 1,041 | ||||||||
Deferred foreign capital gains taxes | — | — | ||||||||
Accrued expenses: | ||||||||||
Investment advisory fees | 327,611 | 25,673 | ||||||||
Shareholder servicing fees | 96,025 | 67,749 | ||||||||
Other expenses | 48,444 | 109,280 | ||||||||
|
|
|
| |||||||
Total Liabilities | 80,116,666 | 35,052,032 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 575,032,070 | $ | 429,967,261 | ||||||
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||
Paid-in-capital | $ | 519,848,117 | $ | 267,685,111 | ||||||
Accumulated (distributions in excess of) net investment income (loss) | 130,097 | — | ||||||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency and derivative transactions | (1,442,807 | ) | (5,492,122 | ) | ||||||
Net unrealized appreciation (depreciation) on investments, foreign currency and derivative transactions | 56,496,663 | 167,774,272 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 575,032,070 | $ | 429,967,261 | ||||||
|
|
|
| |||||||
Net Asset Value: | ||||||||||
$0.001 par value, unlimited shares authorized | ||||||||||
Net assets applicable to the Institutional Class | $ | 98,902,990 | $ | 95,134,078 | ||||||
|
|
|
| |||||||
Institutional shares outstanding | 8,516,863 | 10,488,670 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per Institutional share | $ | 11.61 | $ | 9.07 | ||||||
|
|
|
| |||||||
Net assets applicable to the Investor Class | $ | 476,129,080 | $ | 334,833,183 | ||||||
|
|
|
| |||||||
Investor shares outstanding | 41,044,495 | 14,620,869 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per Investor share | $ | 11.60 | $ | 22.90 | ||||||
|
|
|
| |||||||
___________ | ||||||||||
(1) Investments in securities of unaffiliated issuers, at cost | $568,021,998 | $281,483,420 | ||||||||
Investments in securities of affiliated issuers, at cost | 26,355,033 | 14,642,754 | ||||||||
|
|
|
| |||||||
Total investments at cost | $ | 594,377,031 | $ | 296,126,174 | ||||||
|
|
|
| |||||||
(2) Includes securities loaned of: | $ | 75,888,217 | $ | 34,251,792 | ||||||
|
|
|
| |||||||
(3) Foreign currency at cost | $ | 41,972 | $ | — | ||||||
|
|
|
| |||||||
(4) Proceeds from securities sold short | $ | — | $ | — | ||||||
|
|
|
| |||||||
(5) Premiums received on options written | $ | 637,832 | $ | — | ||||||
|
|
|
| |||||||
(6) Net of $(193,562) accrued foreign capital gains taxes on appreciated securities |
228 | See Notes to Financial Statements. |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||||||||
$ | 1,520,292,881 | $ | 1,693,808,600 | $ | 735,515,922 | $ | 1,469,637,941 | $ | 302,887,003 | |||||||||
39,487,626 | 62,446,359 | 14,997,156 | 48,099,965 | 11,750,119 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,559,780,507 | 1,756,254,959 | 750,513,078 | 1,517,737,906 | 314,637,122 | ||||||||||||||
— | — | 71,681 | 2,178,995 | 8,244,126 | ||||||||||||||
1,776,000 | 2,858,000 | 658,000 | 9,400,904 | 3,158,000 | ||||||||||||||
— | — | — | 15,322,219 | — | ||||||||||||||
— | — | 3 | 6,064,565 | 380,639 | ||||||||||||||
1,447,892 | 811,908 | 489,100 | 3,404,085 | 143,105 | ||||||||||||||
— | 24 | — | — | |||||||||||||||
24,431 | 38,159 | 127,828 | 38,720 | 16,138 | ||||||||||||||
3,051,865 | 9,638,170 | 988,492 | 12,100,460 | 82,860 | ||||||||||||||
174,777 | 79,241 | 195,179 | 134,085 | 51,119 | ||||||||||||||
— | — | — | 296,840 | 267,310 | ||||||||||||||
— | — | — | 3,228,345 | 1,124,175 | ||||||||||||||
12,352 | 15,398 | 13,150 | 12,174 | 18,452 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,566,267,824 | 1,769,695,835 | 753,056,535 | 1,569,919,298 | 328,123,046 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
— | — | — | — | — | ||||||||||||||
— | — | — | 91,705,652 | — | ||||||||||||||
— | — | — | — | — | ||||||||||||||
— | — | — | 2,638,703 | 2,335,245 | ||||||||||||||
— | — | — | — | 8,276 | ||||||||||||||
147,493,810 | 265,272,396 | 198,134,622 | 80,066,434 | 24,435,674 | ||||||||||||||
— | — | — | 1,370,000 | 190,000 | ||||||||||||||
1,826,312 | 17,806,296 | 852,300 | 12,686,552 | 59,031 | ||||||||||||||
— | — | — | 70,510 | — | ||||||||||||||
66,283 | 33,111 | 57,011 | 26,977 | — | ||||||||||||||
482,355 | 741,150 | 123,190 | 486,204 | 66,926 | ||||||||||||||
4,473 | 7,033 | 23,777 | 7,154 | 3,014 | ||||||||||||||
— | — | — | 308 | 196,070 | ||||||||||||||
737,487 | 987,143 | 419,868 | 972,785 | 277,460 | ||||||||||||||
230,842 | 251,391 | 92,952 | 234,620 | 51,780 | ||||||||||||||
69,680 | 62,412 | 90,003 | 386,700 | 239,819 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
150,911,242 | 285,160,932 | 199,793,723 | 190,652,599 | 27,863,295 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,415,356,582 | $ | 1,484,534,903 | $ | 553,262,812 | $ | 1,379,266,699 | $ | 300,259,751 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,104,175,223 | $ | 1,102,032,300 | $ | 478,875,889 | $ | 1,315,010,344 | $ | 327,696,217 | |||||||||
— | — | 4,713 | (2,369,963 | ) | 464,812 | |||||||||||||
| (15,227,380) | | 29,901,802 | 4,154,870 | (27,928,105 | ) | (2,308,522 | ) | ||||||||||
| 326,408,739 | | 352,600,801 | 70,227,340 | 94,554,423 | (25,592,756 | )(6) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,415,356,582 | $ | 1,484,534,903 | $ | 553,262,812 | $ | 1,379,266,699 | $ | 300,259,751 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 273,358,919 | $ | 244,281,065 | $ | 84,324,457 | $ | 235,544,738 | $ | 45,057,732 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
30,349,082 | 22,102,643 | 9,451,325 | 22,334,805 | 4,956,173 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 9.01 | $ | 11.05 | $ | 8.92 | $ | 10.55 | $ | 9.09 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,141,997,663 | $ | 1,240,253,838 | $ | 468,938,355 | $ | 1,143,721,961 | $ | 255,202,019 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
53,600,168 | 54,118,465 | 27,457,953 | 81,539,796 | 28,085,593 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 21.31 | $ | 22.92 | $ | 17.08 | $ | 14.03 | $ | 9.09 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,194,356,749 | $ | 1,341,941,037 | $ | 665,949,028 | $ | 1,387,496,843 | $ | 327,298,087 | |||||||||
39,487,626 | 62,446,359 | 14,997,156 | 48,099,965 | 11,750,119 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,233,844,375 | $ | 1,404,387,396 | $ | 680,946,184 | $ | 1,435,596,808 | $ | 339,048,206 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 144,036,281 | $ | 264,248,109 | $ | 192,127,776 | $ | 82,528,429 | $ | 25,188,688 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | — | $ | 3 | $ | 6,223,379 | $ | 382,403 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | — | $ | — | $ | 103,984,430 | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 229 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2014 |
Defensive Market Strategies Fund | Equity Index Fund | |||||||||
Investment Income | ||||||||||
Dividends | $ | 8,375,935 | $ | 7,328,152 | ||||||
Income distributions received from affiliated funds | 2,741 | 1,429 | ||||||||
Interest | 2,733,005 | — | ||||||||
Securities lending | 200,461 | 52,366 | ||||||||
Less foreign taxes withheld | (49,161 | ) | (903 | ) | ||||||
|
|
|
| |||||||
Total Investment Income | 11,262,981 | 7,381,044 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Investment advisory fees | 3,794,505 | 577,639 | ||||||||
Transfer agent fees: | ||||||||||
Institutional shares | 3,990 | 3,860 | ||||||||
Investor shares | 20,834 | 26,606 | ||||||||
Custodian fees | 78,287 | 36,598 | ||||||||
Shareholder servicing fees: | ||||||||||
Investor shares | 1,049,064 | 720,992 | ||||||||
Accounting and administration fees | 166,192 | 103,508 | ||||||||
Professional fees | 81,785 | 80,138 | ||||||||
Blue sky fees: | ||||||||||
Institutional shares | 2,235 | 1,834 | ||||||||
Investor shares | 20,383 | 19,734 | ||||||||
Shareholder reporting fees: | ||||||||||
Institutional shares | 878 | 585 | ||||||||
Investor shares | 7,684 | 18,920 | ||||||||
Trustee expenses | 5,532 | 3,922 | ||||||||
Line of credit facility fees | 3,463 | 2,459 | ||||||||
Other expenses | 115,219 | 19,652 | ||||||||
|
|
|
| |||||||
Total expenses before dividends and interest on securities sold short | 5,350,051 | 1,616,447 | ||||||||
Dividends and interest on securities sold short | 112,856 | — | ||||||||
Expenses waived/reimbursed net of amount recaptured(1) | 155,755 | (301,485 | ) | |||||||
Fees paid indirectly | (34,941 | ) | — | |||||||
|
|
|
| |||||||
Net expenses | 5,583,721 | 1,314,962 | ||||||||
|
|
|
| |||||||
Net Investment Income (Loss) | 5,679,260 | 6,066,082 | ||||||||
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investment securities | 40,779,842 | 5,723,301 | ||||||||
Investment securities sold short | (2,965,401 | ) | — | |||||||
Futures transactions | 2,261,848 | 1,646,547 | ||||||||
Swap agreements | — | — | ||||||||
Option contracts written | 2,973,663 | — | ||||||||
Option contracts purchased | (186,885 | ) | — | |||||||
Foreign currency | 684,164 | — | ||||||||
|
|
|
| |||||||
Net realized gain | 43,547,231 | 7,369,848 | ||||||||
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||
Investment securities | ||||||||||
(net of estimated capital gains taxes of $(193,562) for Emerging Markets Equity) | 904,631 | 34,794,803 | ||||||||
Investment securities sold short | 2,005,549 | — | ||||||||
Futures | (436,052 | ) | (230,345 | ) | ||||||
Swap agreements | — | — | ||||||||
Option contracts written | 211,818 | — | ||||||||
Option contracts purchased | 144,396 | — | ||||||||
Foreign currency | 90,577 | — | ||||||||
|
|
|
| |||||||
Net change in unrealized appreciation | 2,920,919 | 34,564,458 | ||||||||
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | 46,468,150 | 41,934,306 | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 52,147,410 | $ | 48,000,388 | ||||||
|
|
|
| |||||||
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
230 | See Notes to Financial Statements. |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||||||||
$ | 28,124,541 | $ | 10,313,738 | $ | 5,577,367 | $ | 52,018,952 | $ | 7,536,254 | |||||||||
3,880 | 6,364 | 1,982 | 6,177 | 1,201 | ||||||||||||||
— | — | 365,041 | — | — | ||||||||||||||
239,029 | 317,124 | 901,369 | 986,629 | 232,519 | ||||||||||||||
(151,422) | (64,332 | ) | (3,080 | ) | (4,134,579 | ) | (702,542 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
28,216,028 | 10,572,894 | 6,842,679 | 48,877,179 | 7,067,432 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
8,587,868 | 12,004,027 | 5,010,301 | 12,410,929 | 3,821,941 | ||||||||||||||
4,065 | 4,016 | 4,147 | 4,162 | 3,876 | ||||||||||||||
29,801 | 28,318 | 30,358 | 28,496 | 17,949 | ||||||||||||||
70,937 | 61,558 | 143,144 | 750,411 | 594,357 | ||||||||||||||
2,666,554 | 2,914,020 | 1,128,761 | 2,772,470 | 619,442 | ||||||||||||||
302,899 | 317,312 | 177,020 | 545,575 | 180,203 | ||||||||||||||
76,340 | 76,340 | 81,829 | 83,156 | 80,096 | ||||||||||||||
2,047 | 2,047 | 2,047 | 2,047 | 17,891 | ||||||||||||||
20,185 | 16,850 | 21,475 | 19,475 | 26,126 | ||||||||||||||
1,046 | 925 | 1,100 | 1,247 | 723 | ||||||||||||||
24,432 | 21,917 | 24,592 | 22,677 | 2,353 | ||||||||||||||
14,451 | 15,184 | 5,910 | 15,355 | 3,249 | ||||||||||||||
9,062 | 9,557 | 3,716 | 9,682 | 2,031 | ||||||||||||||
62,553 | 39,777 | 28,370 | 644,184 | 156,940 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
11,872,240 | 15,511,848 | 6,662,770 | 17,309,866 | 5,527,177 | ||||||||||||||
— | — | — | 2,383,783 | — | ||||||||||||||
(93,142) | (623,789 | ) | (135,838 | ) | (995,584 | ) | (1,057,396 | ) | ||||||||||
(87,147) | (48,532 | ) | (66,044 | ) | (13,940 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
11,691,951 | 14,839,527 | 6,460,888 | 18,684,125 | 4,469,781 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
16,524,077 | (4,266,633 | ) | 381,791 | 30,193,054 | 2,597,651 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
127,177,088 | 176,863,437 | 52,128,970 | 66,505,453 | 3,210,653 | ||||||||||||||
— | — | — | (10,454,412 | ) | — | |||||||||||||
6,092,546 | 10,701,837 | 4,497,767 | (4,947,895 | ) | 1,127,606 | |||||||||||||
— | — | — | — | (341,430 | ) | |||||||||||||
— | — | 12,505 | — | — | ||||||||||||||
— | — | (23,934 | ) | — | — | |||||||||||||
— | (5,015 | ) | (6,520 | ) | (4,967,669 | ) | 928,049 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
133,269,634 | 187,560,259 | 56,608,788 | 46,135,477 | 4,924,878 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(8,331,740) | (40,823,079 | ) | (32,785,987 | ) | (182,819,385 | ) | (18,501,486 | ) | ||||||||||
— | — | — | 23,592,595 | — | ||||||||||||||
(1,318,486) | (1,618,936 | ) | (3,701,341 | ) | (3,712,727 | ) | (698,739 | ) | ||||||||||
— | — | — | — | (8,276 | ) | |||||||||||||
— | — | 1,839 | — | — | ||||||||||||||
— | — | 954 | — | — | ||||||||||||||
— | — | (5,555 | ) | 607,848 | (1,254,663 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(9,650,226) | (42,442,015 | ) | (36,490,090 | ) | (162,331,669 | ) | (20,463,164 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
123,619,408 | 145,118,244 | 20,118,698 | (116,196,192 | ) | (15,538,286 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 140,143,485 | $ | 140,851,611 | $ | 20,500,489 | $ | (86,003,138 | ) | $ | (12,940,635 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 231 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Defensive Market Strategies Fund | ||||||||
For the Year Ended | ||||||||
12/31/14 | 12/31/13 | |||||||
Operations: | ||||||||
Net investment income | $ | 5,679,260 | $ | 4,705,867 | ||||
Net realized gain on investment securities, foreign currency and derivatives | 43,547,231 | 38,163,236 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 2,920,919 | 31,726,828 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 52,147,410 | 74,595,931 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
Institutional shares | (1,254,685 | ) | (1,173,699 | ) | ||||
Investor shares | (5,098,936 | ) | (4,069,569 | ) | ||||
Distributions from net realized capital gains | ||||||||
Institutional shares | (6,847,432 | ) | (7,059,195 | ) | ||||
Investor shares | (33,030,236 | ) | (30,890,202 | ) | ||||
|
|
|
| |||||
Total dividends and distributions | (46,231,289 | ) | (43,192,665 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
Institutional shares | 14,287,796 | 7,592,070 | ||||||
Investor shares | 77,761,494 | 74,050,825 | ||||||
Reinvestment of dividends and distributions | ||||||||
Institutional shares | 8,093,389 | 8,223,321 | ||||||
Investor shares | 38,118,253 | 34,959,748 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 138,260,932 | 124,825,964 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
Institutional shares | (14,119,591 | ) | (18,746,972 | ) | ||||
Investor shares | �� | (39,732,402 | ) | (52,760,180 | ) | |||
|
|
|
| |||||
Total value of shares redeemed | (53,851,993 | ) | (71,507,152 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(1) | 84,408,939 | 53,318,812 | ||||||
|
|
|
| |||||
Total increase in net assets | 90,325,060 | 84,722,078 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Year | 484,707,010 | 399,984,932 | ||||||
|
|
|
| |||||
End of Year* | $ | 575,032,070 | $ | 484,707,010 | ||||
|
|
|
| |||||
* Including undistributed (distributions in excess of) net investment income | $ | 130,097 | $ | (228,862 | ) | |||
|
|
|
|
(1)See Note 6 in Notes to Financial Statements.
232 | See Notes to Financial Statements. |
Table of Contents
Equity Index Fund | Value Equity Fund | |||||||||||||
For the Year Ended | For the Year Ended | |||||||||||||
12/31/14 | 12/31/13 | 12/31/14 | 12/31/13 | |||||||||||
$ | 6,066,082 | $ | 5,140,974 | $ | 16,524,077 | $ | 17,980,537 | |||||||
7,369,848 | 6,248,500 | 133,269,634 | 145,880,242 | |||||||||||
| 34,564,458 | | 72,374,800 | (9,650,226 | ) | 219,682,889 | ||||||||
|
|
|
|
|
|
|
| |||||||
48,000,388 | 83,764,274 | 140,143,485 | 383,543,668 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(2,795,369) | (1,910,992 | ) | (6,934,603 | ) | (9,104,181 | ) | ||||||||
(3,424,898) | (3,169,798 | ) | (10,111,242 | ) | (16,327,168 | ) | ||||||||
(2,888,526) | (1,874,438 | ) | (44,372,038 | ) | (12,958,074 | ) | ||||||||
(4,123,156) | (3,460,464 | ) | (85,874,706 | ) | (27,109,606 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(13,231,949) | (10,415,692 | ) | (147,292,589 | ) | (65,499,029 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
24,208,822 | 8,865,349 | 29,113,839 | 23,449,413 | |||||||||||
56,551,053 | 42,055,015 | 69,207,136 | 82,826,039 | |||||||||||
5,678,210 | 3,781,445 | 51,265,204 | 22,042,894 | |||||||||||
7,547,753 | 6,630,100 | 95,971,401 | 43,431,117 | |||||||||||
|
|
|
|
|
|
|
| |||||||
93,985,838 | 61,331,909 | 245,557,580 | 171,749,463 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(5,909,757) | (5,225,280 | ) | (37,075,379 | ) | (58,523,134 | ) | ||||||||
(49,192,217) | (28,402,934 | ) | (128,991,146 | ) | (236,877,855 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(55,101,974) | (33,628,214 | ) | (166,066,525 | ) | (295,400,989 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
38,883,864 | 27,703,695 | 79,491,055 | (123,651,526 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
73,652,303 | 101,052,277 | 72,341,951 | 194,393,113 | |||||||||||
|
|
|
|
|
|
|
| |||||||
356,314,958 | 255,262,681 | 1,343,014,631 | 1,148,621,518 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 429,967,261 | $ | 356,314,958 | $ | 1,415,356,582 | $ | 1,343,014,631 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | — | $ | 64,888 | $ | — | $ | 246,220 | |||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 233 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Growth Equity Fund | ||||||||
For the Year Ended | ||||||||
12/31/14 | 12/31/13 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | (4,266,633 | ) | $ | (2,466,606 | ) | ||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 187,560,259 | 250,816,707 | ||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (42,442,015 | ) | 143,263,745 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 140,851,611 | 391,613,846 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
Institutional shares | — | — | ||||||
Investor shares | (2,956 | ) | — | |||||
Distributions from net realized capital gains | ||||||||
Institutional shares | (44,790,894 | ) | (59,354,927 | ) | ||||
Investor shares | (119,231,347 | ) | (184,064,261 | ) | ||||
|
|
|
| |||||
Total dividends and distributions | (164,025,197 | ) | (243,419,188 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
Institutional shares | 26,081,224 | 16,158,120 | ||||||
Investor shares | 82,908,616 | �� | 57,212,428 | |||||
Reinvestment of dividends and distributions | ||||||||
Institutional shares | 44,768,446 | 59,313,648 | ||||||
Investor shares | 119,225,614 | 184,053,788 | ||||||
|
|
|
| |||||
Total proceeds from shares sold and reinvested | 272,983,900 | 316,737,984 | ||||||
|
|
|
| |||||
Value of shares redeemed | ||||||||
Institutional shares | (33,341,160 | ) | (51,027,934 | ) | ||||
Investor shares | (150,578,096 | ) | (216,524,263 | ) | ||||
|
|
|
| |||||
Total value of shares redeemed | (183,919,256 | ) | (267,552,197 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions(2) | 89,064,644 | 49,185,787 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 65,891,058 | 197,380,445 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Year | 1,418,643,845 | 1,221,263,400 | ||||||
|
|
|
| |||||
End of Year* | $ | 1,484,534,903 | $ | 1,418,643,845 | ||||
|
|
|
| |||||
* Including undistributed (distributions in excess of) net investment income | $ | — | $ | — | ||||
|
|
|
|
(1)Inception Date for the Emerging Markets Equity Fund was October 31, 2013.
(2)See Note 6 in Notes to Financial Statements.
234 | See Notes to Financial Statements. |
Table of Contents
Small Cap Equity Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||||||||||||||
For the Year Ended | For the Year Ended | For the Ended | For the Period | |||||||||||||||||||
12/31/14 | 12/31/13 | 12/31/14 | 12/31/13 | 12/31/14 | 10/31/13(1)-12/31/13 | |||||||||||||||||
$ | 381,791 | $ | 1,303,539 | $ | 30,193,054 | $ | 22,034,086 | $ | 2,597,651 | $ | (255,400 | ) | ||||||||||
56,608,788 | 107,941,603 | 46,135,477 | 94,811,477 | 4,924,878 | (1,814,887 | ) | ||||||||||||||||
| (36,490,090) | | 55,420,545 | (162,331,669 | ) | 138,069,814 | (20,463,164 | ) | (5,129,592 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
20,500,489 | 164,665,687 | (86,003,138 | ) | 254,915,377 | (12,940,635 | ) | (7,199,879 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(557,635) | (680,686 | ) | (7,250,352 | ) | (5,710,188 | ) | (333,727 | ) | — | |||||||||||||
(529,161) | (1,183,448 | ) | (23,926,985 | ) | (15,633,737 | ) | (1,244,698 | ) | — | |||||||||||||
(13,926,249) | (21,979,674 | ) | — | — | (903,226 | ) | — | |||||||||||||||
(43,963,905) | (82,693,531 | ) | — | — | (5,100,935 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(58,976,950) | (106,537,339 | ) | (31,177,337 | ) | (21,343,925 | ) | (7,582,586 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
14,222,531 | 8,015,941 | 28,094,169 | 26,480,523 | 7,821,760 | 47,632,875 | |||||||||||||||||
44,659,040 | 58,431,827 | 119,606,111 | 116,146,641 | 48,217,316 | 250,401,654 | |||||||||||||||||
14,478,415 | 22,649,010 | 7,247,726 | 5,708,234 | 1,236,953 | — | |||||||||||||||||
44,487,566 | 83,870,624 | 23,924,829 | 15,631,209 | 6,345,423 | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
117,847,552 | 172,967,402 | 178,872,835 | 163,966,607 | 63,621,452 | 298,034,529 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(17,662,984) | (16,576,386 | ) | (47,636,508 | ) | (75,614,406 | ) | (7,376,414 | ) | (64,000 | ) | ||||||||||||
(83,290,126) | (84,498,033 | ) | (51,470,030 | ) | (331,679,243 | ) | (26,063,154 | ) | (169,562 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(100,953,110) | (101,074,419 | ) | (99,106,538 | ) | (407,293,649 | ) | (33,439,568 | ) | (233,562 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
16,894,442 | 71,892,983 | 79,766,297 | (243,327,042 | ) | 30,181,884 | 297,800,967 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(21,582,019) | 130,021,331 | (37,414,178 | ) | (9,755,590 | ) | 9,658,663 | 290,601,088 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
574,844,831 | 444,823,500 | 1,416,680,877 | 1,426,436,467 | 290,601,088 | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 553,262,812 | $ | 574,844,831 | $ | 1,379,266,699 | $ | 1,416,680,877 | $ | 300,259,751 | $ | 290,601,088 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 4,713 | $ | 238,176 | $ | (2,369,963 | ) | $ | (3,519,110 | ) | $ | 464,812 | $ | (1,244,447 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | 235 |
Table of Contents
FINANCIAL HIGHLIGHTS
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 ment | Realized (Loss) on | Dividends from Net Investment Income | Distribu- tions from Net | Net End of | Total Return | Net Assets, End of Year (000) | Expenses, Net(1) | Expenses, Gross(2) | Invest- ment | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||
Defensive Market Strategies Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 11.43 | $ | 0.15 | # | $ | 1.05(3 | ) | $ | (0.15 | ) | $ | (0.87 | ) | $ | 11.61 | 10.55 | % | $ | 98,903 | 0.88% | (4)(5) | 0.83% | (4) | 1.24 | % | 102 | % | ||||||||||||||||||||
2013(6) | 10.61 | 0.14 | # | 1.80(3 | ) | (0.15 | ) | (0.97 | ) | 11.43 | 18.47 | 89,430 | 1.10(4 | )(5) | 1.13(4 | ) | 1.25 | 208 | ||||||||||||||||||||||||||||||
2012 | 10.20 | 0.18 | # | 0.73(3 | ) | (0.18 | ) | (0.32 | ) | 10.61 | 8.93 | 85,347 | 1.04(4 | ) | 1.12(4 | ) | 1.67 | 304 | ||||||||||||||||||||||||||||||
2011(7) | 10.00 | 0.04 | # | 0.21(3 | ) | (0.04 | ) | (0.01 | ) | 10.20 | 2.51 | 74,516 | 1.03(4 | ) | 1.10(4 | ) | 1.11 | 120 | ||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 11.42 | $ | 0.12 | # | $ | 1.06(3 | ) | $ | (0.13 | ) | $ | (0.87 | ) | $ | 11.60 | 10.35 | % | $ | 476,129 | 1.09% | (4)(5) | 1.07% | (4) | 1.03 | % | 102 | % | ||||||||||||||||||||
2013(6) | 10.60 | 0.12 | # | 1.79(3 | ) | (0.12 | ) | (0.97 | ) | 11.42 | 18.22 | 395,277 | 1.36(4 | )(5) | 1.38(4 | ) | 0.99 | 208 | ||||||||||||||||||||||||||||||
2012 | 10.20 | 0.15 | # | 0.72(3 | ) | (0.15 | ) | (0.32 | ) | 10.60 | 8.57 | 314,638 | 1.30(4 | ) | 1.37(4 | ) | 1.42 | 304 | ||||||||||||||||||||||||||||||
2011(7) | 10.00 | 0.03 | # | 0.21(3 | ) | (0.03 | ) | (0.01 | ) | 10.20 | 2.43 | 240,529 | 1.29(4 | ) | 1.35(4 | ) | 0.86 | 120 | ||||||||||||||||||||||||||||||
Equity Index Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 8.50 | $ | 0.15 | # | $ | 0.99(3 | ) | $ | (0.28 | ) | $ | (0.29 | ) | $ | 9.07 | 13.54 | % | $ | 95,134 | 0.22% | 0.22% | 1.72 | % | 5 | % | ||||||||||||||||||||||
2013(8) | 6.85 | 0.14 | # | 2.02(3 | ) | (0.26 | ) | (0.25 | ) | 8.50 | 32.04 | 66,378 | 0.23 | 0.24 | 1.81 | 4 | ||||||||||||||||||||||||||||||||
2012 | 6.29 | 0.13 | # | 0.86(3 | ) | (0.25 | ) | (0.18 | ) | 6.85 | 15.92 | 47,071 | 0.23 | 0.24 | 1.95 | 3 | ||||||||||||||||||||||||||||||||
2011 | 8.63 | 0.15 | # | 0.04(3 | ) | (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 | ||||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 20.69 | $ | 0.34 | # | $ | 2.40(3 | ) | $ | (0.24 | ) | $ | (0.29 | ) | $ | 22.90 | 13.31 | % | $ | 334,833 | 0.38% | 0.48% | 1.56 | % | 5 | % | ||||||||||||||||||||||
2013(8) | 16.07 | 0.31 | # | 4.79(3 | ) | (0.23 | ) | (0.25 | ) | 20.69 | 31.95 | 289,937 | 0.38 | 0.48 | 1.66 | 4 | ||||||||||||||||||||||||||||||||
2012 | 14.24 | 0.28 | # | 1.95(3 | ) | (0.22 | ) | (0.18 | ) | 16.07 | 15.76 | 208,192 | 0.38 | 0.49 | 1.79 | 3 | ||||||||||||||||||||||||||||||||
2011 | 16.36 | 0.26 | # | 0.12(3 | ) | (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 |
# | Calculated using the average shares outstanding method. |
(1) | 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 higher (lower), respectively, than the ratio shown. |
(2) | 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. |
(3) | 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. |
(4) | 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%, 0.11% and 0.02% for the years 2011, 2012, 2013 and 2014, respectively. |
(5) | The ratio for the Defensive Market Strategies Fund includes the effect of expenses paid indirectly which decreased the ratio by 0.00% for the year 2013 and 0.01% for the year 2014, respectively. |
(6) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, the Total Return did not change, and the Ratio of Net Investment Income to Average Net Assets increased by 0.01% and 0.00% for Institutional Class and Investor Class, respectively. |
(7) | 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. |
(8) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, the Total Return did not change, and the Ratio of Net Investment Income to Average Net Assets increased by 0.03% and 0.03% for Institutional Class and Investor Class, respectively. |
236 | See Notes to Financial Statements. |
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 ment | Realized (Loss) on | Dividends from Net Investment Income | Distribu- tions from Net | Net End of | Total Return | Net Assets, End of Year (000) | Expenses, Net(1) | Expenses, Gross(2) | Invest- ment | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||
Value Equity Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 9.90 | $ | 0.14 | # | $ | 0.94(3 | ) | $ | (0.25 | ) | $ | (1.72 | ) | $ | 9.01 | 10.91 | % | $ | 273,359 | 0.65% | (4) | 0.67 | % | 1.40 | % | 41 | % | ||||||||||||||||||||
2013(5) | 7.99 | 0.15 | # | 2.64(3 | ) | (0.34 | ) | (0.54 | ) | 9.90 | 35.52 | 253,988 | 0.66(4 | ) | 0.67 | 1.61 | 45 | |||||||||||||||||||||||||||||||
2012 | 7.03 | 0.15 | # | 1.06(3 | ) | (0.25 | ) | — | 7.99 | 17.47 | 215,512 | 0.67(4 | ) | 0.68 | 1.90 | 27 | ||||||||||||||||||||||||||||||||
2011 | 7.18 | 0.12 | # | (0.07) | (3) | (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(4 | ) | 0.68 | 1.52 | 36 | |||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 21.00 | $ | 0.25 | # | $ | 1.97(3 | ) | $ | (0.19 | ) | (1.72 | ) | $ | 21.31 | 10.61 | % | $ | 1,141,998 | 0.90% | (4) | 0.91 | % | 1.16 | % | 41 | % | |||||||||||||||||||||
2013(5) | 16.18 | 0.26 | # | 5.39(3 | ) | (0.29 | ) | (0.54 | ) | 21.00 | 35.22 | 1,089,026 | 0.90(4 | ) | 0.91 | 1.36 | 45 | |||||||||||||||||||||||||||||||
2012 | 14.00 | 0.25 | # | 2.14(3 | ) | (0.21 | ) | — | 16.18 | 17.20 | 933,110 | 0.92(4 | ) | 0.92 | 1.66 | 27 | ||||||||||||||||||||||||||||||||
2011 | 14.12 | 0.20 | # | (0.16) | (3) | (0.16 | ) | — | 14.00 | 0.27 | 852,958 | 0.89(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 | |||||||||||||||||||||||||||||||||
Growth Equity Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 12.20 | $ | (0.02 | )# | $ | 1.25(3 | ) | $ | — | $ | (2.38 | ) | $ | 11.05 | 10.12 | % | $ | 244,281 | 0.85% | (6) | 0.87 | % | (0.12 | )% | 54 | % | |||||||||||||||||||||
2013(7) | 12.19 | — | †# | 4.12(3 | ) | — | (4.11 | ) | 12.20 | 34.83 | 227,934 | 0.84(6 | ) | 0.88 | 0.00 | 83 | ||||||||||||||||||||||||||||||||
2012 | 11.76 | 0.04 | # | 2.00(3 | ) | (0.06 | ) | (1.55 | ) | 12.19 | 17.39 | 198,329 | 0.87(6 | ) | 0.89 | 0.33 | 67 | |||||||||||||||||||||||||||||||
2011 | 11.91 | — | †# | (0.15) | (3) | — | — | 11.76 | (1.26 | ) | 184,418 | 0.87(6 | ) | 0.89 | 0.02 | 60 | ||||||||||||||||||||||||||||||||
2010 | 10.00 | — | † | 1.91 | — | † | — | 11.91 | 19.13 | 215,863 | 0.87(6 | ) | 0.89 | 0.06 | 63 | |||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 23.02 | $ | (0.08 | )# | $ | 2.36(3 | ) | $ | — | $ | (2.38 | ) | $ | 22.92 | 9.93 | % | $ | 1,240,254 | 1.06% | (6) | 1.11 | % | (0.33 | )% | 54 | % | |||||||||||||||||||||
2013(7) | 20.26 | (0.05 | )# | 6.92(3 | ) | — | (4.11 | ) | 23.02 | 34.52 | 1,190,710 | 1.05(6 | ) | 1.12 | (0.22 | ) | 83 | |||||||||||||||||||||||||||||||
2012 | 18.63 | 0.03 | # | 3.17(3 | ) | (0.02 | ) | (1.55 | ) | 20.26 | 17.21 | 1,022,934 | 1.05(6 | ) | 1.13 | 0.15 | 67 | |||||||||||||||||||||||||||||||
2011 | 18.90 | (0.02 | )# | (0.25) | (3) | — | — | 18.63 | (1.43 | ) | 915,960 | 1.02(6 | ) | 1.11 | (0.13 | ) | 60 | |||||||||||||||||||||||||||||||
2010 | 15.88 | (0.01 | ) | 3.03 | — | † | — | 18.90 | 19.03 | 1,044,060 | 0.97(6 | ) | 1.08 | (0.04 | ) | 63 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | 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 higher (lower), respectively, than the ratio shown. |
(2) | 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. |
(3) | 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. |
(4) | The ratio for the Value Equity Fund includes the effect of expenses paid indirectly which decreased the ratio by 0.01% for the years 2010, 2011, 2012, 2013 and 2014, respectively. |
(5) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, the Total Return did not change, and the Ratio of Net Investment Income to Average Net Assets increased by 0.02% and 0.02% for Institutional Class and Investor Class, respectively. |
(6) | The ratio for the Growth Equity Fund includes the effect of expenses paid indirectly which decreased the ratio by 0.01% for the years 2010, 2011, 2012 and 2013 and 0.00% for the year 2014, respectively. |
(7) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.00 and $0.01, Total Return by 0.00% and 0.05%, and the Ratio of Net Investment Income to Average Net Assets by 0.03% and 0.03% for Institutional Class and Investor Class, respectively. |
See Notes to Financial Statements. | 237 |
Table of Contents
FINANCIAL HIGHLIGHTS (Continued)
For a Share Outstanding For the Years Ended December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net ment | Realized (Loss) on | Dividends from Net Investment Income | Distribu- tions Net | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(1) | Expenses, Gross(2) | Invest- ment | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||
Small Cap Equity Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 10.35 | $ | 0.03 | # | $ | 0.37(3 | ) | $ | (0.06 | ) | $ | (1.77 | ) | $ | 8.92 | 4.03 | % | $ | 84,324 | 0.97% | (4) | 0.99 | % | 0.27 | % | 103 | % | ||||||||||||||||||||
2013(5) | 10.27 | 0.06 | # | 3.82(3 | ) | (0.08 | ) | (3.72 | ) | 10.35 | 38.39 | 84,139 | 0.92(4 | ) | 0.94 | 0.45 | 161 | |||||||||||||||||||||||||||||||
2012 | 9.70 | 0.08 | # | 1.40(3 | ) | (0.13 | ) | (0.78 | ) | 10.27 | 15.25 | 67,723 | 0.99(4 | ) | 1.02 | 0.79 | 128 | |||||||||||||||||||||||||||||||
2011 | 9.61 | 0.03 | # | 0.11(3 | ) | (0.05 | ) | — | 9.70 | 1.40 | 63,903 | 1.00(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 | |||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 18.19 | $ | 0.01 | # | $ | 0.67(3 | ) | $ | (0.02 | ) | $ | (1.77 | ) | $ | 17.08 | 3.83 | % | $ | 468,938 | 1.20% | (4) | 1.24 | % | 0.03 | % | 103 | % | ||||||||||||||||||||
2013(5) | 15.94 | 0.04 | # | 5.97(3 | ) | (0.04 | ) | (3.72 | ) | 18.19 | 38.09 | 490,706 | 1.16(4 | ) | 1.19 | 0.22 | 161 | |||||||||||||||||||||||||||||||
2012 | 14.62 | 0.09 | # | 2.10(3 | ) | (0.09 | ) | (0.78 | ) | 15.94 | 15.02 | 377,101 | 1.19(4 | ) | 1.27 | 0.59 | 128 | |||||||||||||||||||||||||||||||
2011 | 14.46 | 0.01 | # | 0.17(3 | ) | (0.02 | ) | — | 14.62 | 1.22 | 354,013 | 1.17(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 | ||||||||||||||||||||||||||||||||
International Equity Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 11.55 | $ | 0.27 | # | $ | (0.93)(3 | ) | $ | (0.34 | ) | $ | — | $ | 10.55 | (5.80 | )% | $ | 235,545 | 1.13% | (6)(7) | 1.20% | (7) | 2.36 | % | 36 | % | |||||||||||||||||||||
2013(8) | 9.96 | 0.18 | # | 1.66(3 | ) | (0.25 | ) | — | 11.55 | 18.49 | 269,499 | 1.11(6 | )(7) | 1.25(7 | ) | 1.69 | 51 | |||||||||||||||||||||||||||||||
2012 | 8.67 | 0.18 | # | 1.33(3 | ) | (0.22 | ) | — | 9.96 | 17.43 | 270,130 | 1.15(6 | )(7) | 1.32(7 | ) | 1.89 | 53 | |||||||||||||||||||||||||||||||
2011 | 10.35 | 0.22 | # | (1.66)(3 | ) | (0.24 | ) | — | 8.67 | (13.86 | ) | 223,677 | 1.02(6 | )(7) | 1.22(7 | ) | 2.17 | 82 | ||||||||||||||||||||||||||||||
2010 | 9.64 | 0.17 | # | 0.83 | (0.29 | ) | — | 10.35 | 10.45 | 262,103 | 0.97(6 | )(7) | 1.19(7 | ) | 1.81 | 56 | ||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 15.24 | $ | 0.32 | # | $ | (1.23)(3 | ) | $ | (0.30 | ) | $ | — | $ | 14.03 | (6.00 | )% | $ | 1,143,722 | 1.37% | (6)(7) | 1.44% | (7) | 2.09 | % | 36 | % | |||||||||||||||||||||
2013(8) | 13.07 | 0.20 | # | 2.18(3 | ) | (0.21 | ) | — | 15.24 | 18.23 | 1,147,181 | 1.35(6 | )(7) | 1.49(7 | ) | 1.44 | 51 | |||||||||||||||||||||||||||||||
2012 | 11.33 | 0.20 | # | 1.73(3 | ) | (0.19 | ) | — | 13.07 | 17.05 | 1,156,306 | 1.39(6 | )(7) | 1.57(7 | ) | 1.65 | 53 | |||||||||||||||||||||||||||||||
2011 | 13.43 | 0.25 | # | (2.13)(3 | ) | (0.22 | ) | — | 11.33 | (14.01 | ) | 955,305 | 1.24(6 | )(7) | 1.45(7 | ) | 1.95 | 82 | ||||||||||||||||||||||||||||||
2010 | 12.44 | 0.21 | # | 1.05 | (0.27 | ) | — | 13.43 | 10.14 | 1,029,317 | 1.15(6 | )(7) | 1.38(7 | ) | 1.67 | 56 | ||||||||||||||||||||||||||||||||
Emerging Markets Equity Fund
|
| |||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 9.75 | $ | 0.11 | # | $ | (0.51 | )(3) | $ | (0.07 | ) | $ | (0.19 | ) | $ | 9.09 | (4.14 | )% | $ | 45,058 | 1.25 | % | 1.63 | % | 1.07 | % | 39 | % | ||||||||||||||||||||
2013(9)(10) | 10.00 | (0.01 | )# | (0.24 | )(3) | — | — | 9.75 | (2.50 | ) | 46,420 | 1.25 | 1.55 | (0.34 | ) | 6 | ||||||||||||||||||||||||||||||||
Investor Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
2014 | $ | 9.75 | $ | 0.08 | # | $ | (0.51 | )(3) | $ | (0.04 | ) | $ | (0.19 | ) | $ | 9.09 | (4.38 | )% | $ | 255,202 | 1.50 | % | 1.84 | % | 0.81 | % | 39 | % | ||||||||||||||||||||
2013(9)(10) | 10.00 | (0.01 | )# | (0.24 | )(3) | — | — | 9.75 | (2.50 | ) | 244,181 | 1.50 | 1.78 | (0.58 | ) | 6 |
# | Calculated using the average shares outstanding method. |
(1) | 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 higher (lower), respectively, than the ratio shown. |
(2) | 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. |
(3) | 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. |
(4) | The ratio for the Small Cap Equity Fund includes the effect of expenses paid indirectly which decreased the ratio by 0.01%, 0.02%, 0.02%, 0.01% and 0.01% for the years 2010, 2011, 2012, 2013 and 2014, respectively. |
(5) | An out of period adjustment to Investment Income increased Net Investment Income per Share by $0.01 and $0.01, Total Return by 0.14% and 0.08%, and the Ratio of Net Investment Income to Average Net Assets by 0.07% and 0.08% for Institutional Class and Investor Class, respectively. |
(6) | The ratio for the International Equity Fund includes the effect of expenses paid indirectly which decreased the ratio by 0.00% for the years 2010, 2011, 2012, 2013 and 2014, respectively. |
(7) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.04%, 0.08%, 0.20%, 0.15% and 0.17% for the years 2010, 2011, 2012, 2013 and 2014, respectively. |
(8) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.02% and 0.03% for Institutional Class and Investor Class, respectively. |
(9) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.00% and 0.01% for Institutional Class and Investor Class, respectively. |
(10) | Inception Date was October 31, 2013. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
238 | See Notes to Financial Statements. |
Table of Contents
REAL RETURN SELECT FUNDS (Unaudited)
Real assets performance was mixed in 2014. The Real Assets Select Funds include funds that invest in various real asset strategies that are commonly used as a strategic diversifier to traditional equity and fixed income investments and as inflation hedges within a broader investment portfolio. Real assets represent a broadly diverse set of investments that can be classified into several sub-categories including inflation-linked bonds, commodities, global natural resource equities, real estate and floating-rate bank loans.
U.S. Treasury Inflation Protected Securities (“TIPS”) historically have been the least volatile of the real asset categories. TIPS, as measured by the Barclays U.S. TIPS Index, gained 3.64% in 2014. While the sector benefited from falling real yields, TIPS underperformed nominal U.S. Treasuries due to falling inflation expectations. In comparison, the nominal U.S. Treasury sector rose 5.05% within the Barclays U.S. Aggregate Bond Index.
Commodities were the worst performing real asset category for the year as the Bloomberg Commodity Index posted a -17.01% return for 2014. This index represents diversified exposure to a basket of commodities futures across the energy, agriculture, livestock and industrial and precious metals sectors. After positive returns in the first and second quarter, the index fell -11.83% and -12.10% in the third and fourth quarters, respectively, due to lower energy prices. From its summer highs, WTI crude oil suffered a greater than 50% slide in prices, falling below $50 per barrel for the first time in 5.5 years.
Global natural resource equities started the year off strong, leading asset class returns with double-digit gains during the first half of the year. However, declining commodity prices in the second half of the year put downward pressure on the global natural resource equity category, and the MSCI World Commodity Producers Index returned -9.48% and -12.63% in the third and fourth quarters, respectively. The index fell -12.61% for the full year, with both energy producers and mining companies experiencing double-digit declines for the year.
The global REIT market led returns for real assets, gaining 15.02% for the year as measured by the FTSE/EPRA NAREIT Developed Index (Net). After lagging global markets last year, U.S. REITs were the significant winner in 2014, with this segment of the market up 28.15%. Asian and European markets returned 0.22% and 10.41%, respectively, in U.S. dollar terms. Declining interest rates, strong capital flows and improvements in economic growth and employment were all tailwinds for real estate investments.
Bank loans, predominately senior-secured, were up a modest 1.45% for the year based on the S&P/LSTA U.S. B- Ratings and Above Loan Index. Investor demand for bank loans continued to be weak in 2014, and steady withdrawal of retail assets out of this sector put some downward pressure on loan pricing. Bank loans are generally below-investment grade investments that provide higher yields and lower duration (a measure of bond prices’ sensitivity to changes in interest rates) compared to traditional fixed income instruments. As of December 31, 2014, the current yield on the index was 4.95%. While bank loans benefited from a low default rate environment, widening credit spreads hurt returns for the year. Bank loans underperformed the broader below-investment grade universe of high yield bonds and also trailed investment grade bonds.
239 |
Table of Contents
Inflation Protected Bond Fund (Unaudited)
The Fund was actively managed and was primarily comprised of inflation-indexed debt securities with an average dollar-weighted duration (a measure of bond prices’ sensitivity to changes in interest rates) normally between four and 10 years. The Fund underperformed its benchmark index, the Barclays U.S. TIPS Index, for the one year period ended December 31, 2014 (2.77%
versus 3.64%).
The Fund was invested predominately in U.S. Treasury Inflation Protected Securities (“TIPS”) throughout the year. Positive performance for U.S. TIPS was concentrated in the first half of the year, as the benchmark index rose 1.95% and 3.81% in the first and second quarters as inflation surprised to the upside boosting prices. Additionally, duration exposure benefited the Fund as interest rates fell, lifting prices and providing a tailwind to returns. However, over the second half of the year, TIPS gave up over half their gains as inflation stalled and then began to fall led by the swift drop in oil prices. This drop in inflationary readings put pressure on TIPS prices, which adjust to changes in CPI (Consumer Price Index). Additionally, falling inflation put pressure on inflation expectations, causing a narrowing in breakeven inflation rates which hurts TIPS prices that are partially dependent upon expectations of future inflation. (Break-even inflation is the difference between the nominal yield on a fixed-rate investment and the real yield on an inflation-linked investment of similar maturity and credit quality.)
The Fund was consistently managed to provide inflation protection and income consistent with investment in inflation-indexed securities.
Certain strategies involving derivatives were utilized during the year. Interest rate futures and options were utilized to manage duration and yield curve exposure and to express active views on valuations of securities. The portfolio’s overall duration and yield curve posture contributed negatively to relative performance for the year. The Fund also utilized currency forwards and options to hedge non-dollar positions and to express active views in foreign currencies. The use of currency forwards and futures contributed to performance over the year.
This Fund may be suitable for investors who have a long-term investment horizon, want protection from inflation, can accept short-term fluctuations in account value and want to diversify their portfolio with a fixed income investment option. This Fund is subject to interest rate risk. Meaning, when interest rates rise, the value of the existing bonds decrease and vice versa. Changes in interest rates have a bigger impact on long duration holdings than on short duration holdings. To the extent that the investment adviser misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and by its ability to select sub-advisers to allocate assets. Some derivatives may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the net asset value of the Fund generally to decline faster than it would otherwise. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
U.S. Treasury Obligations | 86.9 | |||
Money Market Fund | 6.5 | |||
Foreign Government Inflation-Linked Bond | 6.0 | |||
Purchased Options | 0.2 | |||
Written Options | (0.1 | ) | ||
|
| |||
99.5 | ||||
|
|
240 |
Table of Contents
Inflation Protected Bond Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Investor Class* | Benchmark** | |||
One Year | 2.77% | 3.64% | ||
Five Year | 3.37% | 4.11% | ||
Since Inception | 3.98% | 4.78% | ||
Inception Date | 06/25/09 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 0.66% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund since June 25, 2009 (commencement of operations), with all dividends and capital gains reinvested, with the Barclays U.S. TIPS Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
241 |
Table of Contents
INFLATION PROTECTED BOND FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Par | Value | |||||||||||
U.S. TREASURY OBLIGATIONS — 86.9% |
| |||||||||||
U.S. Treasury Inflationary Index Bonds | ||||||||||||
2.38%, 01/15/17 | $ | 350,000 | $ | 432,491 | ||||||||
0.13%, 04/15/17 | 12,753,300 | 13,347,396 | ||||||||||
0.13%, 04/15/18 | 37,060,000 | 37,937,893 | ||||||||||
1.38%, 07/15/18 | 3,300,000 | 3,807,251 | ||||||||||
0.13%, 04/15/19 | 355,000 | 356,233 | ||||||||||
1.38%, 01/15/20 | 5,560,000 | 6,415,777 | ||||||||||
1.25%, 07/15/20 | 5,480,000 | 6,269,615 | ||||||||||
1.13%, 01/15/21 | 12,620,000 | 14,247,776 | ||||||||||
0.63%, 07/15/21 | 1,080,000 | 1,153,568 | ||||||||||
0.13%, 01/15/22 | 8,514,200 | 8,699,335 | ||||||||||
0.13%, 07/15/22 | 4,945,000 | 4,981,200 | ||||||||||
0.13%, 01/15/23 | 13,114,000 | 13,061,672 | ||||||||||
0.38%, 07/15/23 | 16,440,000 | 16,605,337 | ||||||||||
0.63%, 01/15/24 | 29,486,000 | 30,182,532 | ||||||||||
0.13%, 07/15/24 | 7,475,000 | 7,210,669 | ||||||||||
2.38%, 01/15/25 | 11,850,200 | �� | 17,549,652 | |||||||||
2.00%, 01/15/26 | 3,775,000 | 5,182,451 | ||||||||||
2.38%, 01/15/27 | 3,870,000 | 5,460,647 | ||||||||||
1.75%, 01/15/28 | 7,330,000 | 9,418,678 | ||||||||||
3.63%, 04/15/28 | 3,300,000 | 6,670,255 | ||||||||||
2.50%, 01/15/29 | 6,670,000 | 9,170,885 | ||||||||||
3.88%, 04/15/29 | 4,875,000 | 10,094,720 | ||||||||||
3.38%, 04/15/32 | 627,100 | 1,191,776 | ||||||||||
2.13%, 02/15/40 | 2,787,600 | 3,976,925 | ||||||||||
2.13%, 02/15/41 | 4,138,900 | 5,869,915 | ||||||||||
0.75%, 02/15/42 | 6,934,400 | 7,097,503 | ||||||||||
0.63%, 02/15/43 | 10,635,000 | 10,352,258 | ||||||||||
1.38%, 02/15/44 | 5,638,700 | 6,515,628 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 263,260,038 | |||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT INFLATION-LINKED BONDS — 6.0% |
| |||||||||||
Germany — 2.7% | ||||||||||||
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond 0.75%, 04/15/18(E) | 1,045,000 | 1,382,100 | ||||||||||
Deutsche Bundesrepublik Inflation Linked Bond 1.50%, 04/15/16(E) | 4,870,000 | 6,909,975 | ||||||||||
|
| |||||||||||
8,292,075 | ||||||||||||
|
| |||||||||||
Italy — 2.3% | ||||||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||||
2.10%, 09/15/16(E) | 705,000 | 934,696 | ||||||||||
2.60%, 09/15/23(E) | 235,000 | 368,068 | ||||||||||
2.35%, 09/15/24(E) | 3,730,000 | 5,051,396 | ||||||||||
2.55%, 09/15/41(E) | 415,000 | 605,915 | ||||||||||
|
| |||||||||||
6,960,075 | ||||||||||||
|
| |||||||||||
New Zealand — 1.0% | ||||||||||||
New Zealand Government Bond | 3,328,000 | 2,995,114 | ||||||||||
|
| |||||||||||
Total Foreign Government Inflation-Linked Bonds | 18,247,264 | |||||||||||
|
|
Notional Amount | Value | |||||||||||
PURCHASED OPTIONS — 0.2% |
| |||||||||||
Call Options — 0.0% | ||||||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.88, Expires 02/17/15 (DEUT) | $ | 3,470,000 | $ | 1,969 | ||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.89, Expires 02/07/15 (UBS) | 3,570,000 | 1,889 | ||||||||||
Euro vs. U.S. Dollar, Strike Price $1.28, Expires 01/16/15 (DEUT) | 4,840,000 | 64 | ||||||||||
|
| |||||||||||
3,922 | ||||||||||||
|
| |||||||||||
Number of Contracts | ||||||||||||
Put Options — 0.2% | ||||||||||||
10-Year U.S. Treasury Note, Strike Price $125.50, Expires 02/20/15 (JPM) | 198 | 83,531 | ||||||||||
Notional Amount | ||||||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.82, Expires 01/06/15 (DEUT) | $ | 3,470,000 | 18,955 | |||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.82, Expires 01/06/15 (DEUT) | 3,470,000 | 18,955 | ||||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.85, Expires 01/06/15 (UBS) | 3,570,000 | 101,901 | ||||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.86, Expires 02/07/15 (UBS) | 3,570,000 | 166,514 | ||||||||||
Euro-Bund, Strike Price $157.50, Expires 02/20/15 (CITIG) | 47,000 | (2,505 | ) | |||||||||
U.S. Dollar vs. Norwegian Krone, Strike Price $7.58, Expires 02/06/15 (DEUT) | 5,990,000 | 111,378 | ||||||||||
|
| |||||||||||
498,729 | ||||||||||||
|
| |||||||||||
Total Purchased Options |
| 502,651 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET FUND — 6.5% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 19,756,958 | 19,756,958 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 99.6% | 301,766,911 | |||||||||||
|
|
242 | See Notes to Financial Statements. |
Table of Contents
Number of Contracts | Value | |||||||||||
WRITTEN OPTIONS — (0.1)% |
| |||||||||||
Call Options — 0.0% | ||||||||||||
10-Year U.S. Treasury Note, Strike Price $128.00, Expires (JPM) | (148 | ) | $ | (71,688 | ) | |||||||
Notional Amount | ||||||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.82, Expires 02/07/15 (UBS) | $ | (3,570,000 | ) | (143 | ) | |||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.85, Expires 02/17/15 (BNP) | (3,470,000 | ) | (5,654 | ) | ||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.89, Expires 02/07/15 (UBS) | (3,570,000 | ) | (6 | ) | ||||||||
Euro-Bund, Strike Price $157.50, Expires 02/20/15 (CITIG) | (47,000 | ) | (2,060 | ) | ||||||||
U.S. Dollar vs. Norwegian Krone, Strike Price $6.90, Expires 03/06/15 (DEUT) | (5,990,000 | ) | (5,954 | ) | ||||||||
|
| |||||||||||
(85,505 | ) | |||||||||||
|
| |||||||||||
Put Options — (0.1)% | ||||||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.81, Expires 01/06/15 (DEUT) | (3,470,000 | ) | (1,074 | ) | ||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.82, Expires 01/06/15 (UBS) | (3,570,000 | ) | (17,397 | ) | ||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.82, Expires 02/07/15 (UBS) | (3,570,000 | ) | (54,377 | ) | ||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.85, Expires 01/06/15 (DEUT) | (3,470,000 | ) | (97,001 | ) | ||||||||
Australia Dollar vs. U.S. Dollar, Strike Price $0.89, Expires 02/07/15 (UBS) | (3,570,000 | ) | (108,750 | ) | ||||||||
|
| |||||||||||
(278,599 | ) | |||||||||||
|
| |||||||||||
Total Written Options | (364,104 | ) | ||||||||||
|
| |||||||||||
Other Assets in Excess of | 1,510,214 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 302,913,021 | ||||||||||
|
|
See Notes to Financial Statements. | 243 |
Table of Contents
INFLATION PROTECTED BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 Bonds | $ | 18,247,264 | $ | — | $ | 18,247,264 | $ | — | ||||||||||||
Money Market Fund | 19,756,958 | 19,756,958 | — | — | ||||||||||||||||
Purchased Options | 502,651 | 81,026 | 421,625 | — | ||||||||||||||||
U.S. Treasury Obligations | 263,260,038 | — | 263,260,038 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 301,766,911 | $ | 19,837,984 | $ | 281,928,927 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 666,836 | $ | — | $ | 666,836 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 666,836 | $ | — | $ | 666,836 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Written Options | $ | (364,104 | ) | $ | (73,747 | ) | $ | (290,357 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Investments in Securities | $ | (364,104 | ) | $ | (73,747 | ) | $ | (290,357 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments*** | ||||||||||||||||||||
Futures Contracts | $ | (1,143,619 | ) | $ | (1,143,619 | ) | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | (1,143,619 | ) | $ | (1,143,619 | ) | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
***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 year ended December 31, 2014.
244 | See Notes to Financial Statements. |
Table of Contents
Flexible Income Fund (Unaudited)
The Flexible Income Fund primarily invests in below-investment grade, senior secured floating rate loans issued by U.S. banks or other financial institutions, otherwise referred to as “bank loans” or “leveraged loans”. To a lesser extent, the Fund may also invest in other below investment grade corporate fixed income securities or unsecured floating rate loans and may include non-U.S. securities. The Fund underperformed its benchmark, the S&P/LSTA U.S. B- Ratings & Above Loan Index, for the 2014 calendar year (0.22% vs. 1.45%).
The Fund’s higher credit orientation within bank loans detracted modestly from benchmark relative results, as lower rated bank loans outperformed during the year. Overall security selection contributed positively to returns, and was strongest in the BB-rated securities. In addition, the Fund’s modest exposure to high yield bonds boosted returns relative to its benchmark index. Underweight exposure and negative selection in the Printing and Publishing sector along with underweight exposure in the Utilities sector detracted from benchmark relative performance for the Fund. Positive security selection in the Chemicals and Insurance sectors contributed positively to benchmark-relative results.
During the year, the Fund remained focused on its objective of seeking a high level of current income. At year-end, the current yield of the Fund was 5.01%.
The Fund did not invest in derivative instruments during the year.
This 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.
There is a risk that the issuer of a fixed-income investment owned by the Fund may fail to pay interest or principal due in a timely manner or at all. If the Fund acquires a participation interest in a senior secured or unsecured floating rate loan (“Senior Loans”), the Fund may not be able to control the exercise of any remedies that the lender would have under the loan and likely would not have any rights against the borrower directly. Senior Loans made to finance highly leveraged corporate acquisitions may be especially vulnerable to adverse changes in economic or market conditions. The Fund is subject to collateral risk in that the value of collateral securing a Senior Loan may decline after investment and that the collateral may not be sufficient to cover the amount owed. The Fund might not be able to sell a security promptly and at an acceptable price, which could have the effect of decreasing the overall level of the Fund’s liquidity. High yield securities (“junk bonds”) involve greater risks of default and are more volatile than securities rated investment grade.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Loan Agreements | 83.7 | |||
Money Market Funds | 10.6 | |||
Corporate Bonds | 8.6 | |||
|
| |||
102.9 | ||||
|
|
245
Table of Contents
Flexible Income Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
Investor Class* | Benchmark** | |||
One Year | 0.22% | 1.45% | ||
Since Inception | 1.19% | 2.88% | ||
Inception Date | 07/01/13 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.28% |
(1)Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund since July 1, 2013 (commencement of operations), with all dividends and capital gains reinvested, with the S&P/LSTA U.S. B- Ratings & Above Loan Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
246
Table of Contents
FLEXIBLE INCOME FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Par | Value | |||||||||||
CORPORATE BONDS — 8.6% |
| |||||||||||
Biomet, Inc. | ||||||||||||
6.50%, 10/01/20D | $ | 500,000 | $ | 528,750 | ||||||||
CDW LLC | ||||||||||||
8.50%, 04/01/19D | 296,000 | 313,390 | ||||||||||
Chrysler Group LLC | ||||||||||||
8.00%, 06/15/19 | 1,000,000 | 1,056,250 | ||||||||||
CHS/Community Health Systems, Inc. | ||||||||||||
8.00%, 11/15/19 | 750,000 | 802,500 | ||||||||||
Endo Finance LLC & Endo Finco, Inc. | ||||||||||||
7.00%, 07/15/19 144A | 1,000,000 | 1,047,500 | ||||||||||
GCI, Inc. | ||||||||||||
8.63%, 11/15/19D | 750,000 | 789,375 | ||||||||||
Hertz Corporation | ||||||||||||
6.75%, 04/15/19 | 1,200,000 | 1,242,000 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
7.25%, 04/01/19 | 1,000,000 | 1,047,500 | ||||||||||
Level 3 Financing, Inc. | ||||||||||||
8.13%, 07/01/19D | 500,000 | 533,750 | ||||||||||
NBTY, Inc. | ||||||||||||
9.00%, 10/01/18D | 1,000,000 | 1,015,000 | ||||||||||
Regency Energy Partners LP | ||||||||||||
8.38%, 06/01/19 144A | 750,000 | 789,375 | ||||||||||
Reynolds Group Issuer, Inc. | ||||||||||||
7.88%, 08/15/19 | 750,000 | 792,188 | ||||||||||
T-Mobile USA, Inc. | ||||||||||||
6.46%, 04/28/19 | 1,200,000 | 1,251,000 | ||||||||||
|
| |||||||||||
Total Corporate Bonds |
| 11,208,578 | ||||||||||
|
| |||||||||||
LOAN AGREEMENTS — 83.7% |
| |||||||||||
1011778 B.C. LLC | ||||||||||||
4.50%, 12/12/21 | 1,000,000 | 995,710 | ||||||||||
Accudyne Industries Borrower SCA | ||||||||||||
4.00%, 12/13/19 | 1,839,946 | 1,705,980 | ||||||||||
ADS Waste Holdings, Inc. | ||||||||||||
3.75%, 10/09/19 | 1,220,687 | 1,182,919 | ||||||||||
Advantage Sales & Marketing, Inc. | ||||||||||||
3.25%-4.25%, 07/25/2S | 32,177 | 31,782 | ||||||||||
Advantage Sales & Marketing, Inc. | ||||||||||||
4.25%, 07/25/21S | 965,323 | 953,459 | ||||||||||
Affinia Group, Inc. | ||||||||||||
4.75%, 04/25/20 | 821,402 | 811,652 | ||||||||||
AlixPartners LLP | ||||||||||||
4.00%, 07/02/20 | 987,500 | 971,453 | ||||||||||
Allflex Holdings III, Inc. | ||||||||||||
4.25%, 07/17/20 | 927,262 | 907,753 | ||||||||||
Allied Security Holdings LLC | ||||||||||||
4.25%, 02/14/21 | 366,414 | 359,543 | ||||||||||
8.00%, 08/14/21 | 363,014 | 356,207 |
Par | Value | |||||||||||
American Energy- Marcellus LLC | ||||||||||||
5.25%, 08/04/20 | $ | 1,000,000 | $ | 873,330 | ||||||||
American Pacific Corporation | ||||||||||||
7.00%, 02/27/19 | 992,500 | 986,297 | ||||||||||
Aramark Services, Inc. | ||||||||||||
3.25%, 02/24/21 | 992,500 | 974,516 | ||||||||||
AssuredPartners Capital, Inc. | ||||||||||||
4.50%, 04/02/21 | 748,125 | 738,773 | ||||||||||
Asurion LLC | ||||||||||||
5.00%, 05/24/19 | 1,227,409 | 1,209,661 | ||||||||||
Asurion LLC | ||||||||||||
8.50%, 03/03/21 | 500,000 | 495,415 | ||||||||||
Atlantic Power LP | ||||||||||||
4.75%, 02/24/21 | 676,871 | 665,452 | ||||||||||
Atrium Innovations, Inc. | ||||||||||||
4.25%, 02/15/21 | 540,888 | 521,280 | ||||||||||
B/E Aerospace, Inc. | ||||||||||||
4.00%, 12/16/21 | 1,200,000 | 1,192,800 | ||||||||||
Berry Plastics Group, Inc. | ||||||||||||
3.50%, 02/08/20 | 738,722 | 713,391 | ||||||||||
BJ’s Wholesale Club, Inc. | ||||||||||||
4.50%, 09/26/19 | 985,038 | 964,982 | ||||||||||
BMC Software Finance, Inc. | ||||||||||||
5.00%, 09/10/20 | 1,671,736 | 1,622,637 | ||||||||||
Brand Energy & Infrastructure Services, Inc. | ||||||||||||
4.75%, 11/26/20 | 970,200 | 932,003 | ||||||||||
Brickman Group, Ltd. LLC (The) | ||||||||||||
4.00%, 12/18/20 | 1,492,481 | 1,446,304 | ||||||||||
BWAY Holding Co. | ||||||||||||
5.50%-6.75%, 08/14/20 | 298,500 | 297,008 | ||||||||||
CDHR Parent, Inc. | ||||||||||||
5.25%, 07/01/21 | 748,125 | 735,033 | ||||||||||
Charter Communications Operating LLC | ||||||||||||
4.25%, 09/12/21 | 1,200,000 | 1,206,756 | ||||||||||
Checkout Holding Corporation | ||||||||||||
4.50%, 04/09/21 | 696,500 | 661,243 | ||||||||||
Chromaflo Technologies Corporation | ||||||||||||
4.50%, 12/02/19S | 25,875 | 25,487 | ||||||||||
Cincinnati Bell, Inc. | ||||||||||||
4.00%, 09/10/20 | 1,481,250 | 1,462,734 |
See Notes to Financial Statements. | 247 |
Table of Contents
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||||
CompuCom Systems, Inc. Term B Loan | ||||||||||||
4.25%, 05/09/20 | $ | 1,856,697 | $ | 1,769,673 | ||||||||
Coveris Holdings SA Term B Loan | ||||||||||||
5.25%, 05/08/19 | 693,000 | 689,972 | ||||||||||
CPG International, Inc. Term B Loan | ||||||||||||
4.75% ,09/30/20 | 987,500 | 970,841 | ||||||||||
CS Intermediate Holdco 2 LLC Term B Loan | ||||||||||||
4.00%, 04/04/21 | 746,250 | 733,191 | ||||||||||
Cumulus Media Holdings, Inc. Term B Loan | ||||||||||||
4.25%, 12/23/20 | 1,023,130 | 990,728 | ||||||||||
CWGS Group LLC Term B Loan | ||||||||||||
5.75%, 02/20/20 | 490,625 | 489,398 | ||||||||||
DaVita HealthCare Partners, Inc. Term B Loan | ||||||||||||
3.50%, 06/24/21 | 497,500 | 491,396 | ||||||||||
Dealer Tire LLC Term B Loan | ||||||||||||
0.00%, 12/22/21S | 1,000,000 | 992,500 | ||||||||||
Dell International LLC Term B Loan | ||||||||||||
4.50%, 04/29/20 | 1,267,200 | 1,263,398 | ||||||||||
Delta 2 Lux S.à r.l. Term B Loan | ||||||||||||
4.75%, 04/30/19 | 1,984,962 | 1,933,691 | ||||||||||
Dole Food Co., Inc. Term B Loan | ||||||||||||
4.50%, 11/01/18 | 485,000 | 478,128 | ||||||||||
Doosan Infracore International, Inc. Term B Loan | ||||||||||||
0.00%, 05/28/21S | 997,284 | 989,805 | ||||||||||
Emerald US, Inc. Term B Loan | ||||||||||||
0.00%, 05/16/21S | 675,000 | 658,125 | ||||||||||
Entegris, Inc. Term B Loan | ||||||||||||
3.50%, 04/30/21 | 888,804 | 867,695 | ||||||||||
Fairmount Santrol, Inc. Term B-2 Loan | ||||||||||||
4.50%, 09/05/19 | 1,234,375 | 1,112,480 | ||||||||||
Federal-Mogul Holdings Corporation Term C Loan | ||||||||||||
4.75%, 04/15/21 | 374,062 | 370,509 | ||||||||||
Fieldwood Energy LLC Term Loan | ||||||||||||
8.38%, 09/30/20 | 400,000 | 290,500 | ||||||||||
Filtration Group, Inc. Term B Loan | ||||||||||||
4.50%, 11/21/20 | 495,000 | 491,441 | ||||||||||
First Data Corporation Term C-1 Loan | ||||||||||||
3.67%, 03/24/18 | 750,000 | 734,535 | ||||||||||
FMG Resources August 2006 Proprietary, Ltd. Term B Loan | ||||||||||||
3.75%, 06/30/19S | 997,475 | 903,712 | ||||||||||
Garda World Security Corporation Term B Loan | ||||||||||||
4.00%, 11/08/20 | 394,167 | 383,820 |
Par | Value | |||||||||||
Garda World Security Corporation Delayed Draw Term B-DD Loan | ||||||||||||
1.00%-4.00%, 11/08/20 | $ | 100,833 | $ | 98,186 | ||||||||
Gardner Denver, Inc. Term Loan | ||||||||||||
4.25%, 07/30/20 | 1,728,125 | 1,613,637 | ||||||||||
Genesys Telecommunications Laboratories, Inc. Term B Loan | ||||||||||||
4.00%, 02/08/20 | 984,962 | 964,032 | ||||||||||
Getty Images, Inc. Term B Loan | ||||||||||||
4.75%, 10/18/19 | 865,230 | 791,322 | ||||||||||
Granite Acquisition, Inc. Term B Loan | ||||||||||||
5.00%, 12/17/21 | 957,854 | 961,044 | ||||||||||
Granite Acquisition, Inc. Term C Loan | ||||||||||||
5.00%, 12/17/21 | 42,146 | 42,286 | ||||||||||
Granite Acquisition, Inc. Term Loan | ||||||||||||
8.25%, 12/17/22 | 150,000 | 150,687 | ||||||||||
HFOTCO LLC Term B Loan | ||||||||||||
4.25%, 08/19/21 | 997,500 | 952,612 | ||||||||||
HGIM Corporation Term B Loan | ||||||||||||
5.50%-6.75%, 06/18/20 | 739,384 | 591,508 | ||||||||||
Hilton Worldwide Finance LLC Term B Loan | ||||||||||||
3.50%, 10/25/20S | 882,353 | 870,953 | ||||||||||
HUB International, Ltd. Term B Loan | ||||||||||||
4.25%, 10/02/20 | 1,728,191 | 1,669,864 | ||||||||||
Hudson’s Bay Co. Term B Loan | ||||||||||||
4.75%, 11/04/20 | 276,250 | 275,733 | ||||||||||
Husky Injection Molding Systems, Ltd. Term B Loan | ||||||||||||
4.25%, 06/30/21 | 996,198 | 974,610 | ||||||||||
IMG Worldwide Holdings LLC Term B Loan | ||||||||||||
5.25%, 05/06/21 | 1,492,500 | 1,439,337 | ||||||||||
Infor US, Inc. Term B-3 Loan | ||||||||||||
3.75%, 06/03/20S | 962,356 | 931,205 | ||||||||||
Interactive Data Corporation Term B Loan | ||||||||||||
4.75%, 05/02/21 | 995,000 | 986,294 | ||||||||||
ION Media Networks, Inc. Term B Loan | ||||||||||||
4.75%, 12/18/20 | 994,000 | 979,090 | ||||||||||
J. Crew Group, Inc. Term B Loan | ||||||||||||
4.00%, 03/05/21S | 1,013,231 | 952,437 | ||||||||||
Jazz Acquisition, Inc. Term Loan | ||||||||||||
4.50%, 06/19/21 | 995,152 | 982,712 | ||||||||||
JLL/Delta Dutch Newco BV Term B Loan | ||||||||||||
4.25%, 03/11/21 | 1,393,000 | 1,349,469 | ||||||||||
Jo-Ann Stores, Inc. Term Loan | ||||||||||||
4.00%, 03/18/18 | 738,722 | 714,713 |
248 | See Notes to Financial Statements. |
Table of Contents
Par | Value | |||||||||||
Kronos, Inc. Term B Loan | ||||||||||||
4.50%, 10/30/19 | $ | 249,749 | $ | 247,389 | ||||||||
9.75%, 04/30/20 | 750,000 | 761,250 | ||||||||||
Level 3 Financing, Inc. Term B Loan | ||||||||||||
4.50%, 01/31/22 | 650,000 | 649,798 | ||||||||||
Liberty Cablevision of Puerto Rico LLC Term Loan | ||||||||||||
4.50%, 01/07/22 | 800,000 | 778,000 | ||||||||||
Lineage Logistics LLC Term B Loan | ||||||||||||
4.50%, 04/07/21 | 1,240,625 | 1,202,377 | ||||||||||
LTS Buyer LLC Term B Loan | ||||||||||||
4.00%, 04/13/20 | 1,231,250 | 1,202,784 | ||||||||||
McJunkin Red Man Corporation Term B Loan | 493,750 | 453,016 | ||||||||||
5.00%, 11/09/19 | ||||||||||||
Media General, Inc. Term B Loan | ||||||||||||
0.00%, 07/31/20S | 1,000,000 | 987,810 | ||||||||||
Minerals Technologies, Inc. Term B Loan | ||||||||||||
4.00%, 05/09/21 | 941,154 | 929,389 | ||||||||||
Mission Broadcasting, Inc. Term B -2 Loan | ||||||||||||
3.75%, 10/01/20 | 579,666 | 573,626 | ||||||||||
MPH Acquisition Holdings LLC Term B Loan | ||||||||||||
3.75%, 03/31/21 | 909,091 | 882,273 | ||||||||||
Multi Packaging Solutions, Inc. Term B Loan | ||||||||||||
4.25%, 09/30/20 | 992,500 | 970,169 | ||||||||||
Murray Energy Corporation Term B Loan | ||||||||||||
5.25%, 12/05/19 | 694,750 | 667,453 | ||||||||||
National Financial Partners Corporation Term Loan | ||||||||||||
4.50%, 07/01/20 | 997,500 | 985,031 | ||||||||||
Nautilus Merger Sub, Inc. Term B Loan | ||||||||||||
4.00%-5.25%, 03/13/21 | 1,240,625 | 1,198,754 | ||||||||||
Neiman Marcus Group, Ltd. LLC Term Loan | ||||||||||||
4.25%, 10/25/20 | 990,019 | 966,298 | ||||||||||
NewPage Corporation Term B Loan | ||||||||||||
9.50%, 02/11/21 | 700,000 | 663,831 | ||||||||||
Nexstar Broadcasting, Inc. Term B-2 Loan | ||||||||||||
3.75%, 10/01/20 | 657,334 | 650,485 | ||||||||||
North American Lifting Holdings, Inc. Term Loan | ||||||||||||
5.50%, 11/27/20 | 495,188 | 443,193 | ||||||||||
10.00%, 11/27/21 | 250,000 | 228,750 | ||||||||||
Numericable US LLC Term B-1 Loan | ||||||||||||
4.50%, 05/21/20 | 857,846 | 852,330 |
Par | Value | |||||||||||
Numericable US LLC Term B -2 Loan | ||||||||||||
4.50%, 05/21/20 | $ | 742,154 | $ | 737,382 | ||||||||
Orion Engineered Carbons GmbH Term B Loan | ||||||||||||
5.00%, 07/25/21 | 798,000 | 798,000 | ||||||||||
OXEA S.à r.l. Term Loan | ||||||||||||
8.25%, 06/06/20 | 750,000 | 708,750 | ||||||||||
Pacific Drilling SA Term B Loan | ||||||||||||
4.50%, 06/03/18 | 788,000 | 647,476 | ||||||||||
Par Pharmaceutical Cos., Inc. Term B Loan | ||||||||||||
4.00%, 09/28/19 | 1,962,172 | 1,904,131 | ||||||||||
Performance Food Group, Inc. Term Loan | ||||||||||||
6.25%, 11/14/19 | 487,525 | 477,165 | ||||||||||
Ply Gem Industries, Inc. Term B Loan | ||||||||||||
4.00%, 01/30/21 | 992,500 | 964,710 | ||||||||||
Quebecor Media, Inc. Term B -1 Loan | ||||||||||||
3.25%, 08/17/20 | 987,500 | 946,766 | ||||||||||
RCS Capital Corporation Term Loan | ||||||||||||
6.50%, 04/29/19 | 731,250 | 677,627 | ||||||||||
Reynolds Group Holdings, Inc. Term B Loan | ||||||||||||
0.00%, 12/01/18S | 1,000,000 | 980,140 | ||||||||||
Sabre GLBL, Inc. Term B-2 Loan | ||||||||||||
4.00%, 02/19/19 | 987,500 | 968,984 | ||||||||||
SAM Finance Lux S.à r.l. Term B Loan | ||||||||||||
4.25%, 11/26/20 | 495,000 | 491,288 | ||||||||||
Sandy Creek Energy Associates LP Term B Loan | ||||||||||||
5.00%-6.25%, 11/08/20 | 284,454 | 277,699 | ||||||||||
Seadrill Operating LP Term B Loan | ||||||||||||
4.00%, 02/21/21 | 495,000 | 382,882 | ||||||||||
Sedgwick Claims Management Services, Inc. Term Loan | ||||||||||||
3.75%, 02/28/21 | 893,250 | 866,452 | ||||||||||
6.75%, 02/28/22 | 500,000 | 468,750 | ||||||||||
Sequa Corporation Term B Loan | ||||||||||||
5.25%, 06/19/17 | 1,478,627 | 1,435,008 | ||||||||||
Solenis International LP Term Loan | ||||||||||||
4.25%, 07/31/21 | 997,500 | 970,069 | ||||||||||
Southcross Holdings LP Term Loan | ||||||||||||
6.00%, 07/29/21 | 995,000 | 880,575 | ||||||||||
Spin Holdco, Inc. Term B Loan | ||||||||||||
4.25%-5.50%, 11/08/19 | 987,525 | 969,631 | ||||||||||
Styrolution Group GmbH Term B 1 Loan | ||||||||||||
6.50%, 09/30/19 | 800,000 | 774,000 |
See Notes to Financial Statements. | 249 |
Table of Contents
FLEXIBLE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||||||
Syniverse Holdings, Inc. Term B Loan | ||||||||||
4.00%, 04/23/19 | $ | 1,211,902 | $ | 1,175,545 | ||||||
TGGT Holdings LLC Term B Loan | ||||||||||
6.50%, 11/15/18 | 570,000 | 507,300 | ||||||||
TI Group Automotive Systems LLC Term B Loan | ||||||||||
4.25%, 07/02/21 | 746,250 | 735,989 | ||||||||
TierPoint LLC Term B Loan | ||||||||||
5.25%, 12/02/21 | 1,000,000 | 997,500 | ||||||||
TPF II Power LLC Term B Loan | ||||||||||
5.50%, 10/02/21S | 750,000 | 749,062 | ||||||||
TransUnion LLC Term B Loan | ||||||||||
4.00%, 04/09/21 | 992,500 | 976,372 | ||||||||
Tribune Media Co. Term B Loan | ||||||||||
4.00%, 12/27/20 | 1,152,642 | 1,133,197 | ||||||||
Tribune Publishing Co. Term B Loan | ||||||||||
5.75%, 08/04/21 | 750,000 | 738,750 | ||||||||
US LLC 2 Term B Loan | ||||||||||
4.25%, 08/06/21S | 748,125 | 731,292 | ||||||||
VAT Holding AG Term B Loan | ||||||||||
4.75%, 02/11/21 | 992,500 | 982,992 | ||||||||
Walter Investment Management Corporation Term Loan | ||||||||||
4.75%, 12/18/20 | 495,000 | 445,500 | ||||||||
West Corporation Term B-10 Loan | ||||||||||
3.25%, 06/30/18 | 639,803 | 626,687 | ||||||||
WideOpenWest Finance LLC Term B Loan | ||||||||||
4.75%, 04/01/19 | 984,962 | 976,965 | ||||||||
WMG Acquisition Corporation Term B Loan | ||||||||||
0.00%, 07/01/20S | 750,000 | 720,000 | ||||||||
Zayo Group LLC Term B Loan | ||||||||||
4.00%, 07/02/19 | 492,431 | 486,473 | ||||||||
Zebra Technologies Corporation Term B Loan | ||||||||||
4.75%, 10/27/21 | 600,000 | 602,400 | ||||||||
Ziggo BV Delayed Draw Term B3-DD Loan | ||||||||||
2.75%, 02/01/22 | 509,489 | 494,612 | ||||||||
Ziggo BV Term B-1 Loan | ||||||||||
3.25%, 01/15/22 | 480,723 | 466,686 | ||||||||
Ziggo BV Term B-2 Loan | ||||||||||
3.50%, 01/15/22 | 309,787 | 300,741 | ||||||||
|
| |||||||||
Total Loan Agreements | 109,368,383 | |||||||||
|
|
Shares | Value | |||||||||
MONEY MARKET FUNDS — 10.6% | ||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 13,151,720 | $ | 13,151,720 | |||||||
Northern Institutional Liquid Assets Portfolio§ | 743,930 | 743,930 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 13,895,650 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.9% |
| 134,472,611 | ||||||||
|
| |||||||||
Liabilities in Excess of |
| (3,831,725 | ) | |||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 130,640,886 | ||||||||
|
|
250 | See Notes to Financial Statements. |
Table of Contents
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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: | ||||||||||||||||||||
Corporate Bonds | $ | 11,208,578 | $ | — | $ | 11,208,578 | $ | — | ||||||||||||
Loan Agreements | 109,368,383 | — | 98,104,996 | 11,263,387 | ||||||||||||||||
Money Market Funds | 13,895,650 | 13,895,650 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 134,472,611 | $ | 13,895,650 | $ | 109,313,574 | $ | 11,263,387 | ||||||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2014.
The unobservable inputs used in the fair value measurement of the reporting entity’s loan agreements 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.
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Total Value | Loan Agreements | |||||||
Balance, 12/31/13 | $ | 7,100,142 | $ | 7,100,142 | ||||
Accrued discounts/premiums | 8,891 | 8,891 | ||||||
Realized gain (loss)(1) | 10,230 | 10,230 | ||||||
Change in unrealized appreciation (depreciation)(2) | (612,505 | ) | (612,505 | ) | ||||
Purchases | 9,976,427 | 9,976,427 | ||||||
Sales | (1,945,812 | ) | (1,945,812 | ) | ||||
Transfers in to Level 3(3) | 25,487 | 25,487 | ||||||
Transfers out of Level 3(4) | (3,299,473 | ) | (3,299,473 | ) | ||||
Maturities | — | — | ||||||
Paydowns | — | — | ||||||
|
|
|
| |||||
Balance, 12/31/14 | $ | 11,263,387 | $ | 11,263,387 | ||||
|
|
|
|
(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 securities at December 31, 2014 that were transferred from Level 1 and 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 December 31, 2014 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. | 251 |
Table of Contents
The Real Assets Fund, through investments in other funds, invests mainly in securities or physical assets with real return characteristics.
The Fund had a target asset allocation to Real Assets Select Funds and another real return fund including 33% Inflation Protected Bond Fund, 15% Real Estate Securities Fund, 17.5% Credit Suisse Commodity Return Strategy Fund (a third party mutual fund), 17.5% Global Natural Resources Equity Fund and 17% Flexible Income Fund.
As a fund of funds, its performance was based on the performance of the underlying funds. The Fund underperformed its composite benchmark index (33% Barclays U.S. TIPS Index, 17% S&P/LSTA U.S. B – Ratings and Above Loan Index, 15% FTSE EPRA/NAREIT Developed Index, 14% MSCI World Commodity Producers Index, 4% NYSE Arca Gold Miners Index and 17% Bloomberg Commodity Index) during 2014 ( -3.07% versus -1.49%).
On an absolute basis, three underlying funds had positive performance for the year and two delivered negative returns. The largest contributors to positive performance were the Inflation Protected Bond Fund (2.77%) and the Real Estate Securities Fund (16.13%), while the largest detractors were the Credit Suisse Commodity Return Strategy Fund (-16.87%) and Global Natural Resources Equity Fund (-17.49%).
Both the Real Estate Securities Fund and the Credit Suisse Commodity Return Strategy Fund contributed positively to benchmark-relative performance, while other underlying Real Assets Select Funds underperformed their respective benchmarks. The dominant driver of benchmark-relative underperformance was the Fund’s allocation to the Global Natural Resources Equity Fund, which trailed its benchmark by 6.08% in 2014.
This 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. The Fund attempts to achieve its objective by investing in selected GuideStone Select Funds and other investments. By investing in the Fund you will also incur the expenses and risks of underlying fund investments. The principal risks of the Fund will change depending on the asset mix of the Select Funds and other investments in which it invests. You may directly invest only in the Select Fund. The Fund’s value will go up and down in response to changes in the share prices of the investments that it owns. It is possible to lose money by investing in the Fund.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Real Return Select Funds | 82.0 | |||
Credit Suisse Commodity Return Strategy Fund | 16.9 | |||
Fixed Income Select Fund | 1.1 | |||
|
| |||
100.0 | ||||
|
|
252
Table of Contents
Real Assets Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
| Investor Class* | Benchmark** | ||
One Year | -3.07% | -1.49% | ||
Since Inception | -2.62% | -0.33% | ||
Inception Date | 07/01/13 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.84% |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund since July 1, 2013 (commencement of operations), with all dividends and capital gains reinvested, with the weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a weighted composite benchmark index consisting of 33% Barclays U.S. TIPS Index (Series-L), 17% S&P/LSTA U.S. B- Ratings and Above Loan Index, 15% FTSE EPRA / NAREIT Developed Index - Net, 14% MSCI World Commodity Producers Index, 4% NYSE Arca Gold Miners Index and 17% S&P Dow Jones-UBS Commodity Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
253
Table of Contents
REAL ASSETS FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||||
GuideStone Money Market Fund (Investor Class)¥ | 605,669 | $ | 605,669 | |||||||||
GuideStone Inflation Protected Bond Fund (Investor Class)¥ | 1,783,376 | 18,226,105 | ||||||||||
GuideStone Flexible Income Fund (Investor Class)¥ | 975,846 | 9,524,262 | ||||||||||
GuideStone Real Estate Securities Fund (Investor Class)¥ | 806,317 | 8,272,816 | ||||||||||
GuideStone Global Natural Resources Equity Fund (Investor Class)¥ | 1,265,089 | 9,880,345 | ||||||||||
Credit Suisse Commodity Return Strategy Fund* | 1,572,942 | 9,453,383 | ||||||||||
|
| |||||||||||
Total Mutual Funds | 55,962,580 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 100.0% |
| 55,962,580 | ||||||||||
Liabilities in Excess of | (7,989 | ) | ||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 55,954,591 | ||||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 55,962,580 | $ | 55,962,580 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets - Investments in Securities | $ | 55,962,580 | $ | 55,962,580 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 during the year ended December 31, 2014.
254 | See Notes to Financial Statements. |
Table of Contents
Real Estate Securities Fund (Unaudited)
The Real Estate Securities Fund provides exposure to real estate by investing in public real estate securities with strong cash flow growth potential that provide the capacity for sustained dividend increases. The Fund was diversified among property sectors and geographical locations. The Fund outperformed its benchmark, the FTSE EPRA/NAREIT Developed Index (Net), for the 2014 calendar year (16.13% vs. 15.02%).
On an absolute basis, North America REITs delivered very strong returns, gaining 28.15% in the benchmark index, outpacing the rest of the world significantly. Declining interest rates, strong capital flows and the improvements in economic growth and employment were all tailwinds for real estate investments. The benchmark index returns for Europe and Asia were 10.41% and 0.22%, respectively.
Stock selection contributed to relative performance, while regional allocation had a neutral impact during the year. Stock selection was strongest in the Americas and Japan, while all other regions had less of an impact, but were positive overall.
This Fund may be suitable for investors who seek the potential for current income and long-term capital appreciation. Investors should be willing to accept significant short-term fluctuations in account value and want to diversify their portfolio through exposure to publicly traded real estate securities.
This Fund invests substantial assets in REITs that involve equity market risks as well as risks linked directly to the real estate market. 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.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Financial Services | 52.2 | |||
Foreign Common Stocks | 44.3 | |||
Money Market Funds | 15.1 | |||
Consumer Discretionary | 0.1 | |||
Warrant | — | ** | ||
|
| |||
111.7 | ||||
|
|
** | Rounds to less than 0.005%. |
255
Table of Contents
Real Estate Securities Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
| Investor Class* | Benchmark** | ||
One Year | 16.13% | 15.02% | ||
Five Year | 14.04% | 11.26% | ||
Since Inception | 3.03% | 2.57% | ||
Inception Date | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.06% |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund since December 29, 2006 (commencement of operations), with all dividends and capital gains reinvested, with the FTSE EPRA/NAREIT Developed Index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
256
Table of Contents
REAL ESTATE SECURITIES FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
COMMON STOCKS — 52.3% |
| |||||||||
Consumer Discretionary — 0.1% | ||||||||||
PulteGroup, Inc. | 16,239 | $ | 348,489 | |||||||
|
| |||||||||
348,489 | ||||||||||
|
| |||||||||
Financial Services — 52.2% |
| |||||||||
Alexandria Real Estate Equities, Inc. REITD | 49,496 | 4,392,275 | ||||||||
American Campus Communities, Inc. REITD | 7,595 | 314,129 | ||||||||
American Realty Capital Healthcare Trust, Inc. REITD | 195,246 | 2,323,427 | ||||||||
American Realty Capital Properties, Inc. REIT | 54,779 | 495,750 | ||||||||
American Residential Properties, Inc. REITD* | 29,171 | 512,534 | ||||||||
Apartment Investment & Management Co. Class A REIT | 92,624 | 3,440,982 | ||||||||
Associated Estates Realty Corporation REITD | 22,602 | 524,592 | ||||||||
AvalonBay Communities, Inc. REITD* | 52,748 | 8,618,496 | ||||||||
Boston Properties, Inc. REIT | 48,827 | 6,283,547 | ||||||||
Brandywine Realty Trust REITD | 137,962 | 2,204,633 | ||||||||
Brixmor Property Group, Inc. REIT | 45,900 | 1,140,156 | ||||||||
Camden Property Trust REIT | 20,879 | 1,541,705 | ||||||||
CBL & Associates Properties, Inc. REITD | 42,350 | 822,437 | ||||||||
Chesapeake Lodging Trust REITD | 74,860 | 2,785,541 | ||||||||
Corporate Office Properties Trust REIT | 56,222 | 1,595,018 | ||||||||
CubeSmart REITD | 57,372 | 1,266,200 | ||||||||
DiamondRock Hospitality Co. REITD | 72,401 | 1,076,603 | ||||||||
Digital Realty Trust, Inc. REITD | 3,314 | 219,718 | ||||||||
Douglas Emmett, Inc. REIT | 43,993 | 1,249,401 | ||||||||
Duke Realty Corporation REITD | 90,430 | 1,826,686 | ||||||||
DuPont Fabros Technology, Inc. REITD | 38,994 | 1,296,161 | ||||||||
Education Realty Trust, Inc. REITD | 45,343 | 1,659,087 | ||||||||
Equity One, Inc. REIT | 69,233 | 1,755,749 | ||||||||
Equity Residential REIT | 32,596 | 2,341,697 | ||||||||
Essex Property Trust, Inc. REIT | 16,904 | 3,492,366 | ||||||||
Extra Space Storage, Inc. REITD | 47,652 | 2,794,313 | ||||||||
Federal Realty Investment Trust REITD | 23,247 | 3,102,545 | ||||||||
General Growth Properties, Inc. REIT | 172,162 | 4,842,917 | ||||||||
HCP, Inc. REIT | 92,941 | 4,092,192 | ||||||||
Health Care REIT, Inc.D | 20,774 | 1,571,969 | ||||||||
Healthcare Realty Trust, Inc. REIT | 55,700 | 1,521,724 | ||||||||
Home Properties, Inc. REITD | 3,484 | 228,550 | ||||||||
Hospitality Properties Trust REIT | 26,498 | 821,438 | ||||||||
Host Hotels & Resorts, Inc. REITD | 81,747 | 1,943,126 | ||||||||
Hudson Pacific Properties, Inc. REIT | 82,386 | 2,476,523 |
Shares | Value | |||||||||
Kimco Realty Corporation REITD | 118,939 | $ | 2,990,127 | |||||||
Kite Realty Group Trust REIT | 17,370 | 499,214 | ||||||||
Lexington Realty Trust REITD | 124,829 | 1,370,622 | ||||||||
Liberty Property Trust REITD | 44,784 | 1,685,222 | ||||||||
LTC Properties, Inc. REITD | 15,406 | 665,077 | ||||||||
Macerich Co. (The) REITD | 28,675 | 2,391,782 | ||||||||
National Retail Properties, Inc. REITD | 52,689 | 2,074,366 | ||||||||
Paramount Group, Inc.* | 17,571 | 326,645 | ||||||||
Parkway Properties, Inc. REIT | 16,470 | 302,883 | ||||||||
Pebblebrook Hotel Trust REITD | 26,581 | 1,212,891 | ||||||||
Pennsylvania Real Estate Investment Trust REITD | 34,225 | 802,919 | ||||||||
Physicians Realty Trust REITD | 93,709 | 1,555,569 | ||||||||
Post Properties, Inc. REIT | 15,072 | 885,781 | ||||||||
Prologis, Inc. REIT | 127,221 | 5,474,320 | ||||||||
Public Storage REITD | 19,937 | 3,685,355 | ||||||||
Ramco-Gershenson Properties Trust REITD | 69,103 | 1,294,990 | ||||||||
Regency Centers Corporation REIT | 18,799 | 1,199,000 | ||||||||
Retail Properties of America, Inc. Class A REIT | 63,622 | 1,061,851 | ||||||||
Rexford Industrial Realty, Inc. | 67,962 | 1,067,683 | ||||||||
RLJ Lodging Trust REIT | 40,912 | 1,371,779 | ||||||||
Simon Property Group, Inc. REITD | 62,224 | 11,331,613 | ||||||||
SL Green Realty Corporation REITD | 20,466 | 2,435,863 | ||||||||
Sovran Self Storage, Inc. REIT | 6,440 | 561,697 | ||||||||
Spirit Realty Capital, Inc. REIT | 176,032 | 2,093,021 | ||||||||
Strategic Hotels & Resorts, Inc. REITD* | 75,017 | 992,475 | ||||||||
Sunstone Hotel Investors, Inc. REITD | 97,040 | 1,602,130 | ||||||||
Taubman Centers, Inc. REIT | 22,920 | 1,751,546 | ||||||||
Ventas, Inc. REITD | 84,663 | 6,070,337 | ||||||||
Vornado Realty Trust REIT | 29,841 | 3,512,584 | ||||||||
WP Carey, Inc. REITD | 27,973 | 1,960,907 | ||||||||
|
| |||||||||
140,804,436 | ||||||||||
|
| |||||||||
Total Common Stocks | 141,152,925 | |||||||||
|
| |||||||||
FOREIGN COMMON STOCKS — 44.3% |
| |||||||||
Australia — 6.1% |
| |||||||||
Dexus Property Group REIT | 50,082 | 283,507 | ||||||||
Federation Centres REIT | 541,068 | 1,259,750 | ||||||||
Goodman Group REIT | 536,464 | 2,477,866 | ||||||||
Ingenia Communities Group REIT | 1,246,293 | 446,878 | ||||||||
Investa Office Fund REIT | 248,314 | 733,079 | ||||||||
Mirvac Group REIT | 1,187,306 | 1,717,499 | ||||||||
Novion Property Group REIT | 216,848 | 372,723 | ||||||||
Scentre Group REIT* | 1,181,608 | 3,347,701 | ||||||||
Stockland REIT | 642,883 | 2,148,441 | ||||||||
Westfield Corporation REIT | 521,121 | 3,820,008 | ||||||||
|
| |||||||||
16,607,452 | ||||||||||
|
| |||||||||
Belgium — 0.2% |
| |||||||||
Befimmo SA REIT | 6,504 | 473,927 | ||||||||
|
| |||||||||
Bermuda — 0.5% |
| |||||||||
Kerry Properties, Ltd. | 360,231 | 1,299,529 | ||||||||
|
| |||||||||
Canada — 2.7% |
| |||||||||
Allied Properties Real Estate Investment Trust REITD | 51,866 | 1,671,426 |
See Notes to Financial Statements. | 257 |
Table of Contents
REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
Boardwalk Real Estate Investment Trust REIT | 8,065 | $ | 427,199 | |||||||
Calloway Real Estate Investment Trust REIT | 33,385 | 784,481 | ||||||||
Chartwell Retirement Residences REITD | 102,599 | 1,051,777 | ||||||||
First Capital Realty, Inc.D | 51,160 | 821,695 | ||||||||
H&R Real Estate Investment Trust REIT | 24,682 | 461,646 | ||||||||
Pure Industrial Real Estate Trust REIT | 132,830 | 507,631 | ||||||||
RioCan Real Estate Investment Trust REITD | 63,963 | 1,455,106 | ||||||||
|
| |||||||||
7,180,961 | ||||||||||
|
| |||||||||
China — 0.2% |
| |||||||||
China Vanke Co., Ltd. | 188,112 | 417,298 | ||||||||
|
| |||||||||
Finland — 0.3% |
| |||||||||
Citycon OYJ | 270,000 | 832,772 | ||||||||
|
| |||||||||
France — 2.4% |
| |||||||||
ICADE REIT | 11,685 | 934,950 | ||||||||
Klepierre REIT* | 32,000 | 1,374,026 | ||||||||
Mercialys SA REIT | 12,097 | 269,852 | ||||||||
Societe Fonciere Lyonnaise SA REIT | 4,500 | 197,989 | ||||||||
Unibail-Rodamco SE REIT | 14,742 | 3,781,858 | ||||||||
|
| |||||||||
6,558,675 | ||||||||||
|
| |||||||||
Germany — 1.9% | ||||||||||
alstria office REIT-AG* | 40,500 | 502,874 | ||||||||
Deutsche Annington Immobilien SE | 51,824 | 1,759,516 | ||||||||
Deutsche Wohnen AG | 39,500 | 931,797 | ||||||||
DIC Asset AG | 19,000 | 169,461 | ||||||||
LEG Immobilien AG* | 17,696 | 1,318,245 | ||||||||
TLG Immobilien AG* | 28,200 | 425,520 | ||||||||
|
| |||||||||
5,107,413 | ||||||||||
|
| |||||||||
Guernsey — 0.1% | ||||||||||
NewRiver Retail, Ltd. REIT | 88,000 | 404,613 | ||||||||
|
| |||||||||
Hong Kong — 6.4% | ||||||||||
China Overseas Land & Investment, Ltd. | 271,682 | 803,698 | ||||||||
Hang Lung Properties, Ltd. | 504,727 | 1,408,041 | ||||||||
Hongkong Land Holdings, Ltd. | 319,974 | 2,108,629 | ||||||||
Hysan Development Co., Ltd. | 213,209 | 946,223 | ||||||||
Link REIT (The) | 406,585 | 2,545,531 | ||||||||
New World Development Co., Ltd. | 1,172,009 | 1,345,477 | ||||||||
Sino Land Co., Ltd. | 548,000 | 879,707 | ||||||||
Sun Hung Kai Properties, Ltd. | 302,581 | 4,584,238 | ||||||||
Swire Properties, Ltd. | 225,822 | 664,462 | ||||||||
Wharf Holdings, Ltd. | 265,000 | 1,902,459 | ||||||||
|
| |||||||||
17,188,465 | ||||||||||
|
| |||||||||
Ireland — 0.2% | ||||||||||
Hibernia REIT PLC* | 381,506 | 500,882 | ||||||||
|
| |||||||||
Italy — 0.2% | ||||||||||
Beni Stabili SpA REITD | 649,140 | 455,979 | ||||||||
|
| |||||||||
Japan — 11.4% | ||||||||||
Activia Properties, Inc. REIT | 30 | 260,861 | ||||||||
Aeon Mall Co., Ltd. | 37,200 | 659,220 | ||||||||
AEON REIT Investment Corporation | 159 | 225,537 |
Shares | Value | |||||||||
Daiwa House REIT Investment Corporation | 121 | $ | 604,894 | |||||||
Frontier Real Estate Investment Corporation REIT | 86 | 394,041 | ||||||||
Global One Real Estate Investment Corporation REIT | 160 | 607,626 | ||||||||
Invesco Office J-Reit, Inc. REITD | 742 | 707,484 | ||||||||
Japan Prime Realty Investment Corporation REIT | 150 | 521,918 | ||||||||
Japan Real Estate Investment Corporation REIT | 221 | 1,064,839 | ||||||||
Japan Retail Fund Investment Corporation REIT | 572 | 1,208,798 | ||||||||
Kenedix Office Investment Corporation REIT | 190 | 1,075,428 | ||||||||
Mitsubishi Estate Co., Ltd. | 294,961 | 6,215,087 | ||||||||
Mitsui Fudosan Co., Ltd. | 212,868 | 5,708,174 | ||||||||
Mori Hills REIT Investment Corporation | 172 | 247,552 | ||||||||
Nippon Accommodations Fund, Inc. REIT | 103 | 407,252 | ||||||||
Nippon Building Fund, Inc. REIT | 328 | 1,646,596 | ||||||||
Nippon Prologis REIT, Inc. | 389 | 844,618 | ||||||||
Nomura Real Estate Master Fund, Inc. REIT | 468 | 606,058 | ||||||||
Nomura Real Estate Office Fund, Inc. REIT | 245 | 1,214,908 | ||||||||
NTT Urban Development CorporationD | 88,600 | 892,255 | ||||||||
Premier Investment Corporation REIT | 267 | 1,314,936 | ||||||||
Sekisui House Reit, Inc. REIT | 373 | 431,918 | ||||||||
Sumitomo Realty & Development Co., Ltd. | 64,143 | 2,185,298 | ||||||||
Tokyo Tatemono Co., Ltd. | 235,000 | 1,710,242 | ||||||||
|
| |||||||||
30,755,540 | ||||||||||
|
| |||||||||
Jersey — 0.3% | ||||||||||
LXB Retail Properties PLC* | 319,000 | 686,128 | ||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
GAGFAH SA* | 31,000 | 692,305 | ||||||||
|
| |||||||||
Mexico — 0.1% | ||||||||||
Prologis Property Mexico SA de CV REIT* | 210,760 | 389,843 | ||||||||
|
| |||||||||
Netherlands — 0.4% | ||||||||||
Wereldhave NV REIT | 16,826 | 1,160,540 | ||||||||
|
| |||||||||
Norway — 0.1% | ||||||||||
Norwegian Property ASA* | 248,000 | 336,079 | ||||||||
|
| |||||||||
Singapore — 3.1% | ||||||||||
Ascendas Real Estate Investment Trust REIT | 523,000 | 938,133 | ||||||||
CapitaCommercial Trust REIT | 1,061,725 | 1,401,745 | ||||||||
CapitaLand, Ltd. | 1,112,854 | 2,766,946 | ||||||||
City Developments, Ltd.* | 53,000 | 408,897 | ||||||||
Frasers Centrepoint Trust REIT | 389,087 | 555,147 | ||||||||
Global Logistic Properties, Ltd. | 647,000 | 1,206,269 | ||||||||
Keppel REITD | 429,000 | 394,007 | ||||||||
Mapletree Industrial Trust REIT | 509,000 | 569,507 | ||||||||
UOL Group, Ltd. | 1,000 | 5,228 | ||||||||
|
| |||||||||
8,245,879 | ||||||||||
|
| |||||||||
Spain — 0.4% | ||||||||||
Inmobiliaria Colonial SA* | 581,524 | 384,078 |
258 | See Notes to Financial Statements. |
Table of Contents
Shares | Value | |||||||||
Lar Espana Real Estate Socimi SA* | 67,000 | $ | 739,211 | |||||||
|
| |||||||||
1,123,289 | ||||||||||
|
| |||||||||
Sweden — 1.1% |
| |||||||||
Fabege AB | 106,915 | 1,372,637 | ||||||||
Hufvudstaden AB Class A | 42,000 | 545,031 | ||||||||
Kungsleden AB | 82,000 | 589,735 | ||||||||
Wihlborgs Fastigheter AB | 30,913 | 564,033 | ||||||||
|
| |||||||||
3,071,436 | ||||||||||
|
| |||||||||
Switzerland — 0.5% |
| |||||||||
PSP Swiss Property AGD* | 15,797 | 1,359,538 | ||||||||
|
| |||||||||
United Kingdom — 5.4% |
| |||||||||
Big Yellow Group PLC REIT | 50,398 | 474,887 | ||||||||
British Land Co. PLC (The) REIT | 275,761 | 3,325,313 | ||||||||
Capital & Counties Properties PLC | 127,000 | 717,618 | ||||||||
Derwent London PLC REIT | 16,249 | 758,565 | ||||||||
Great Portland Estates PLC REIT | 144,000 | 1,642,690 | ||||||||
Hammerson PLC REIT | 255,764 | 2,395,212 | ||||||||
Land Securities Group PLC REIT | 143,908 | 2,586,843 | ||||||||
Quintain Estates & Development PLC* | 254,475 | 377,786 | ||||||||
Safestore Holdings PLC REIT | 106,900 | 386,546 | ||||||||
ST Modwen Properties PLC | 101,144 | 608,188 | ||||||||
Unite Group PLC | 106,400 | 767,010 | ||||||||
Workspace Group PLC REIT | 48,523 | 573,567 | ||||||||
|
| |||||||||
14,614,225 | ||||||||||
|
| |||||||||
Total Foreign Common Stocks | 119,462,768 | |||||||||
|
| |||||||||
WARRANT — 0.0% |
| |||||||||
Sun Hung Kai Properties, Ltd.* (Cost $0) | 18,583 | 46,969 | ||||||||
|
| |||||||||
MONEY MARKET FUNDS — 15.1% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 7,106,229 | 7,106,229 | ||||||||
Northern Institutional Liquid Assets Portfolio§ | 33,776,821 | 33,776,821 | ||||||||
|
| |||||||||
Total Money Market Funds | 40,883,050 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 111.7% |
| 301,545,712 | ||||||||
Liabilities in Excess of | (31,662,682 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 269,883,030 | ||||||||
|
|
See Notes to Financial Statements. | 259 |
Table of Contents
REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 141,152,925 | $ | 141,152,925 | $ | — | $ | — | ||||||||
Foreign Common Stocks: | ||||||||||||||||
Australia | 16,607,452 | — | 16,607,452 | — | ||||||||||||
Belgium | 473,927 | — | 473,927 | — | ||||||||||||
Bermuda | 1,299,529 | — | 1,299,529 | — | ||||||||||||
Canada | 7,180,961 | 7,180,961 | — | — | ||||||||||||
China | 417,298 | — | 417,298 | — | ||||||||||||
Finland | 832,772 | — | 832,772 | — | ||||||||||||
France | 6,558,675 | 467,841 | 6,090,834 | — | ||||||||||||
Germany | 5,107,413 | 425,520 | 4,681,893 | — | ||||||||||||
Guernsey | 404,613 | 404,613 | — | — | ||||||||||||
Hong Kong | 17,188,465 | 4,654,160 | 12,534,305 | — | ||||||||||||
Ireland | 500,882 | 500,882 | — | — | ||||||||||||
Italy | 455,979 | 455,979 | — | — | ||||||||||||
Japan | 30,755,540 | 431,918 | 30,323,622 | — | ||||||||||||
Jersey | 686,128 | 686,128 | — | — | ||||||||||||
Luxembourg | 692,305 | — | 692,305 | — | ||||||||||||
Mexico | 389,843 | 389,843 | — | — | ||||||||||||
Netherlands | 1,160,540 | 1,160,540 | — | — | ||||||||||||
Norway | 336,079 | 336,079 | — | — | ||||||||||||
Singapore | 8,245,879 | — | 8,245,879 | — | ||||||||||||
Spain | 1,123,289 | — | 1,123,289 | — | ||||||||||||
Sweden | 3,071,436 | — | 3,071,436 | — | ||||||||||||
Switzerland | 1,359,538 | — | 1,359,538 | — | ||||||||||||
United Kingdom | 14,614,225 | 1,372,520 | 13,241,705 | — | ||||||||||||
Money Market Funds | 40,883,050 | 40,883,050 | — | — | ||||||||||||
Warrant | 46,969 | 46,969 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets - Investments in Securities | $ | 301,545,712 | $ | 200,549,928 | $ | 100,995,784 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 150,649 | $ | 150,649 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets - Other Financial Instruments | $ | 150,649 | $ | 150,649 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
***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.
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, 2013 that are now being fair valued. The value of the securities that were transferred to Level 2 as of December 31, 2014 is $42,634,873.
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, 2013 that are now being valued based on quoted prices. The value of the securities that were transferred to Level 1 as of December 31, 2014 is $1,160,540.
260 | See Notes to Financial Statements. |
Table of Contents
Global Natural Resources Equity Fund (Unaudited)
The Global Natural Resources Equity Fund primarily invests in equity securities of companies considered to be principally engaged in natural resources industries and related sectors or that supply goods, technology and services to such companies. The Fund underperformed its benchmark, 75% MSCI World Commodity Producers Index / 25% NYSE Gold Miners Arca Index, for the one-year period ending December 31, 2014 (-17.49% versus -11.42%).
From an allocation perspective, the Fund’s smaller capitalization bias hurt benchmark-relative results. The Fund’s investment philosophy is to invest in “pure play” companies whose value is closely tied to a commodity’s value “in the ground”. This bias often directs the portfolio away from certain types of companies, including integrated oil. For example, the Fund held no exposure to integrated oil companies (which includes the oil “majors,” such as globally diversified firms like ExxonMobil or Conoco Phillips), and instead had overweight exposures to “regional” independent players in the North American natural gas and integrated oil and gas sectors. These sectors underperformed integrated oil companies, and the benchmark, significantly for the year ending December 31, 2014.
From a stock selection perspective, the Fund’s benchmark-relative results benefited from strong stock selection within the gold miners sector, while stock selection within North American oil and International oil and gas producers detracted the most from the portfolio.
During the year, the Fund remained focused on achieving its objective of seeking long-term capital appreciation.
The Fund did not invest in derivative instruments during the year.
This Fund may be suitable for 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. An investment in medium-, small- and micro-cap companies may involve greater risk and be more volatile and less liquid than an investment in a larger company. Investment in companies in natural resources industries may be significantly affected by (often rapid) changes in supply of, or demand for, various natural resources. Concentrating investments in the natural resources sector increases the risk of loss because the securities of many or all of the companies in the sector may decline in value due to developments adversely affecting the sector, including market, economic, political or regulatory developments. Prices of precious metals and of precious metal-related securities have historically been very volatile due to various economic, financial, social and political factors and may adversely affect the financial condition of companies involved with precious metals.
At December 31, 2014, the portfolio holdings of the Fund, as a percentage of net assets, is shown in the following table. Portfolio holdings are subject to risk and may change at any time.
% | ||||
Foreign Common Stocks | 59.6 | |||
Money Market Funds | 43.3 | |||
Energy | 22.6 | |||
Materials & Processing | 7.2 | |||
Utilities | 2.2 | |||
|
| |||
134.9 | ||||
|
|
261
Table of Contents
Global Natural Resources Equity Fund (Unaudited)
Average Annual Total Returns as of 12/31/14 | ||||
| Investor Class* | Benchmark** | ||
One Year | -17.49% | -11.42% | ||
Since Inception | -13.02% | -3.49% | ||
Inception Date | 07/01/13 | |||
Total Fund Operating Expenses (May 01, 2014 Prospectus, as amended on September 09, 2014)(1) | 1.44% |
(1) Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.GuideStoneFunds.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The graph compares the results of a hypothetical $10,000 investment in the Investor Class of the Fund since July 1, 2013 (commencement of operations), with all dividends and capital gains reinvested, with the weighted composite benchmark index.
*These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**Represents a weighted composite benchmark index consisting of 75% MSCI World Commodity Producers Index and 25% NYSE Arca Gold Miners Index.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
262
Table of Contents
GLOBAL NATURAL RESOURCES EQUITY FUND SCHEDULE OF INVESTMENTS | December 31, 2014 |
Shares | Value | |||||||||
COMMON STOCKS — 32.0% | ||||||||||
Energy — 22.6% |
| |||||||||
Antero Resources CorporationD* | 184,050 | $ | 7,468,749 | |||||||
Cabot Oil & Gas Corporation | 299,482 | 8,867,662 | ||||||||
Concho Resources, Inc.* | 58,595 | 5,844,851 | ||||||||
Denbury Resources, Inc.D | 718,040 | 5,837,665 | ||||||||
EOG Resources, Inc. | 23,808 | 2,192,003 | ||||||||
Laredo Petroleum, Inc.D* | 616,697 | 6,382,814 | ||||||||
Noble Energy, Inc. | 190,319 | 9,026,830 | ||||||||
Range Resources CorporationD | 158,258 | 8,458,890 | ||||||||
Rosetta Resources, Inc.D* | 262,626 | 5,859,186 | ||||||||
|
| |||||||||
59,938,650 | ||||||||||
|
| |||||||||
Materials & Processing — 7.2% |
| |||||||||
Compass Minerals International, Inc. | 65,480 | 5,685,628 | ||||||||
Mosaic Co. (The) | 217,010 | 9,906,507 | ||||||||
Royal Gold, Inc.D | 57,000 | 3,573,900 | ||||||||
|
| |||||||||
19,166,035 | ||||||||||
|
| |||||||||
Utilities — 2.2% |
| |||||||||
Calpine Corporation* | 260,570 | 5,766,414 | ||||||||
|
| |||||||||
Total Common Stocks | 84,871,099 | |||||||||
|
| |||||||||
FOREIGN COMMON STOCKS — 59.6% |
| |||||||||
Australia — 6.3% |
| |||||||||
Evolution Mining, Ltd. | 1,081,000 | 560,522 | ||||||||
Gold Road Resources, Ltd.D* | 3,362,538 | 673,076 | ||||||||
Gryphon Minerals, Ltd.* | 1,176,000 | 61,282 | ||||||||
Iluka Resources, Ltd. | 1,556,756 | 7,476,396 | ||||||||
Mineral Resources, Ltd.D | 987,023 | 6,040,269 | ||||||||
Newcrest Mining, Ltd.* | 222,000 | 1,953,364 | ||||||||
|
| |||||||||
16,764,909 | ||||||||||
|
| |||||||||
Bermuda — 2.8% |
| |||||||||
Continental Gold, Ltd.* | 355,000 | 565,287 | ||||||||
Kosmos Energy, Ltd.* | 830,810 | 6,970,496 | ||||||||
|
| |||||||||
7,535,783 | ||||||||||
|
| |||||||||
Canada — 41.4% |
| |||||||||
Agnico Eagle Mines, Ltd.D | 137,800 | 3,429,981 | ||||||||
Alamos Gold, Inc.D | 147,000 | 1,049,631 | ||||||||
Argonaut Gold, Inc.D* | 504,000 | 793,872 | ||||||||
Asanko Gold, Inc.D* | 411,000 | 634,627 | ||||||||
AuRico Gold, Inc.D | 723,000 | 2,371,440 | ||||||||
B2Gold CorporationD* | 2,781,191 | 4,528,792 | ||||||||
Bear Creek Mining CorporationD* | 233,100 | 284,905 | ||||||||
Belo Sun Mining CorporationD* | 348,000 | 61,405 | ||||||||
Castle Mountain Mining Co., Ltd.* | 260,000 | 73,851 | ||||||||
Corvus Gold, Inc.D* | 204,000 | 167,774 | ||||||||
Eastmain Resources, Inc.* | 259,000 | 51,274 | ||||||||
Eldorado Gold CorporationD | 744,000 | 4,523,520 | ||||||||
First Quantum Minerals, Ltd. | 779,280 | 11,074,120 | ||||||||
Fortuna Silver Mines, Inc.D* | 70,000 | 318,500 | ||||||||
Franco-Nevada CorporationD | 69,000 | 3,394,110 | ||||||||
Gold Canyon Resources, Inc.* | 252,000 | 24,944 | ||||||||
Goldcorp, Inc.D | 525,029 | 9,723,537 | ||||||||
Guyana Goldfields, Inc.D* | 362,000 | 878,671 | ||||||||
HudBay Minerals, Inc.D | 585,190 | 5,079,449 | ||||||||
Klondex Mines, Ltd.D* | 462,000 | 775,435 | ||||||||
Lundin Gold, Inc.* | 67,000 | 240,480 | ||||||||
MAG Silver CorporationD* | 40,000 | 326,000 |
Shares | Value | |||||||||
Midway Gold CorporationD* | 181,000 | $ | 133,940 | |||||||
New Gold, Inc.D* | 816,873 | 3,512,054 | ||||||||
NOVAGOLD Resources, Inc.D* | 136,000 | 401,200 | ||||||||
OceanaGold CorporationD* | 152,000 | 264,280 | ||||||||
Orezone Gold CorporationD* | 1,058,400 | 455,500 | ||||||||
Osisko Gold Royalties, Ltd. | 101,700 | 1,433,849 | ||||||||
Painted Pony Petroleum, Ltd.* | 327,750 | 2,609,475 | ||||||||
Peyto Exploration & Development CorporationD | 315,050 | 9,076,195 | ||||||||
Premier Gold Mines, Ltd.* | 199,000 | 323,731 | ||||||||
Pretium Resources, Inc.D* | 147,000 | 849,812 | ||||||||
Primero Mining CorporationD* | 211,000 | 810,240 | ||||||||
Probe Mines, Ltd.* | 62,000 | 159,563 | ||||||||
Rio Alto Mining, Ltd.D* | 827,675 | 2,008,989 | ||||||||
Romarco Minerals, Inc.D* | 779,000 | 328,551 | ||||||||
Roxgold, Inc.* | 940,800 | 445,378 | ||||||||
Rubicon Minerals CorporationD* | 381,000 | 369,187 | ||||||||
Sabina Gold & Silver CorporationD* | 486,000 | 148,502 | ||||||||
SEMAFO, Inc. | 539,000 | 1,382,527 | ||||||||
Silver Wheaton CorporationD | 161,000 | 3,273,130 | ||||||||
Sulliden Mining Capital, Inc.D* | 44,700 | 16,159 | ||||||||
Tahoe Resources, Inc.D | 162,600 | 2,260,277 | ||||||||
Timmins Gold CorporationD* | 548,962 | 538,661 | ||||||||
Torex Gold Resources, Inc.* | 1,309,000 | 1,385,841 | ||||||||
Tourmaline Oil Corporation* | 256,364 | 8,539,582 | ||||||||
Turquoise Hill Resources, Ltd.D* | 5,485,790 | 17,005,949 | ||||||||
Yamana Gold, Inc.D | 597,562 | 2,405,931 | ||||||||
|
| |||||||||
109,944,821 | ||||||||||
|
| |||||||||
Chile — 4.4% |
| |||||||||
Sociedad Quimica y Minera de Chile SA ADR | 489,689 | 11,693,773 | ||||||||
|
| |||||||||
Jersey — 2.0% |
| |||||||||
Lydian International, Ltd.D* | 488,000 | 197,418 | ||||||||
Randgold Resources, Ltd. ADRD | 75,000 | 5,055,750 | ||||||||
|
| |||||||||
5,253,168 | ||||||||||
|
| |||||||||
United Kingdom — 2.7% |
| |||||||||
Amara Mining PLCD* | 748,400 | 168,474 | ||||||||
Fresnillo PLC* | 111,000 | 1,319,230 | ||||||||
Ophir Energy PLC* | 2,077,321 | 4,564,866 | ||||||||
Salamander Energy PLC* | 1,010,153 | 1,023,378 | ||||||||
|
| |||||||||
7,075,948 | ||||||||||
|
| |||||||||
Total Foreign Common Stocks | 158,268,402 | |||||||||
|
|
See Notes to Financial Statements. | 263 |
Table of Contents
GLOBAL NATURAL RESOURCES EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||||||||
MONEY MARKET FUNDS — 43.3% |
| |||||||||
GuideStone Money Market Fund (Investor Class)¥ | 22,454,043 | $ | 22,454,043 | |||||||
Northern Institutional Liquid Assets Portfolio§ | 92,402,069 | 92,402,069 | ||||||||
|
| |||||||||
Total Money Market Funds |
| 114,856,112 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS — 134.9% |
| 357,995,613 | ||||||||
|
| |||||||||
Liabilities in Excess of |
| (92,633,693 | ) | |||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 265,361,920 | ||||||||
|
|
VALUATION HIERARCHY
The following is a summary of the inputs used, as of December 31, 2014, 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 | $ | 84,871,099 | $ | 84,871,099 | $ | — | $ | — | ||||||||
Foreign Common Stocks: | ||||||||||||||||
Australia | 16,764,909 | — | 16,764,909 | — | ||||||||||||
Bermuda | 7,535,783 | 7,535,783 | — | — | ||||||||||||
Canada | 109,944,821 | 109,944,821 | — | — | ||||||||||||
Chile | 11,693,773 | 11,693,773 | — | — | ||||||||||||
Jersey | 5,253,168 | 5,253,168 | — | — | ||||||||||||
United Kingdom | 7,075,948 | 1,023,378 | 6,052,570 | — | ||||||||||||
Money Market Funds | 114,856,112 | 114,856,112 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets - Investments in Securities | $ | 357,995,613 | $ | 335,178,134 | $ | 22,817,479 | $ | — | ||||||||
|
|
|
|
|
|
|
|
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, 2013 that are now being fair valued. The value of the securities that were transferred to Level 2 as of December 31, 2014 is $21,975,929.
There were no securities transferred from Level 2 to Level 1 during the year ended December 31, 2014.
264 | See Notes to Financial Statements. |
Table of Contents
(This page intentionally left blank)
265 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2014 |
Inflation Protected Bond Fund | Flexible Income Fund | |||||||
Assets | ||||||||
Investments in securities of unaffiliated issuers, at value | $ | 282,009,953 | $ | 121,320,891 | ||||
Investments in securities of affiliated issuers, at value | 19,756,958 | 13,151,720 | ||||||
|
|
|
| |||||
Total investments (1)(2) | 301,766,911 | 134,472,611 | ||||||
Cash | — | 1,195,891 | ||||||
Cash collateral for derivatives | 250,000 | — | ||||||
Foreign currency(3) | — | — | ||||||
Receivables: | ||||||||
Dividends and reclaims | 108 | 116 | ||||||
Interest | 1,111,830 | 543,037 | ||||||
Securities lending | — | 253 | ||||||
Receivable from advisor | — | — | ||||||
Investment securities sold | 2,811 | 2,664,477 | ||||||
Fund shares sold | 50,865 | 16,971 | ||||||
Variation margin on financial futures contracts | 75,362 | — | ||||||
Unrealized appreciation on foreign currency exchange contracts | 749,862 | — | ||||||
Prepaid expenses and other assets | 17,913 | 14,596 | ||||||
|
|
|
| |||||
Total Assets | 304,025,662 | 138,907,952 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Foreign currency overdraft(3) | 413,743 | — | ||||||
Options written at value (4) | 364,104 | — | ||||||
Unrealized depreciation on foreign currency exchange contracts | 83,026 | — | ||||||
Collateral held for securities on loan at value | — | 743,930 | ||||||
Payables: | ||||||||
Investment securities purchased | 628 | 7,339,339 | ||||||
Fund shares redeemed | — | — | ||||||
Variation margin on financial futures contracts | 60,547 | — | ||||||
Securities lending | — | 51 | ||||||
Accrued expenses: | ||||||||
Investment advisory fees | 77,234 | 76,055 | ||||||
Shareholder servicing fees | 62,066 | 26,431 | ||||||
Other expenses | 51,293 | 81,260 | ||||||
|
|
|
| |||||
Total Liabilities | 1,112,641 | 8,267,066 | ||||||
|
|
|
| |||||
Net Assets | $ | 302,913,021 | $ | 130,640,886 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in-capital | $ | 310,537,216 | $ | 133,851,515 | ||||
Undistributed (distributions in excess of) net investment income | (1,888,970 | ) | — | |||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions | (5,335,657 | ) | (110,085 | ) | ||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | (399,568 | ) | (3,100,544 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 302,913,021 | $ | 130,640,886 | ||||
|
|
|
| |||||
Net Asset Value: | ||||||||
$0.001 par value, unlimited shares authorized | ||||||||
Net assets applicable to the Institutional Class | N/A | N/A | ||||||
|
|
|
| |||||
Institutional shares outstanding | N/A | N/A | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per Institutional share | N/A | N/A | ||||||
|
|
|
| |||||
Net assets applicable to the Investor Class | $ | 302,913,021 | $ | 130,640,886 | ||||
|
|
|
| |||||
Investor shares outstanding | 29,630,833 | 13,387,652 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per Investor share | $ | 10.22 | $ | 9.76 | ||||
|
|
|
| |||||
(1) Investments in securities of unaffiliated issuers, at cost | $ | 281,901,891 | $ | 124,421,435 | ||||
Investments in securities of affiliated issuers, at cost | 19,756,958 | 13,151,720 | ||||||
|
|
|
| |||||
Total investments at cost | $ | 301,658,849 | $ | 137,573,155 | ||||
|
|
|
| |||||
(2) Includes securities loaned of: | $ | — | $ | 724,763 | ||||
|
|
|
| |||||
(3) Foreign currency at cost | $ | (416,181 | ) | $ | — | |||
|
|
|
| |||||
(4) Premiums received on options written | $ | 339,635 | $ | — | ||||
|
|
|
|
266 | See Notes to Financial Statements. |
Table of Contents
Real Assets | Real Estate Securities Fund | Global Natural Resources Equity Fund | ||||||||
$ | 9,453,383 | $ | 294,439,483 | $ | 335,541,570 | |||||
46,509,197 | 7,106,229 | 22,454,043 | ||||||||
|
|
|
|
|
| |||||
55,962,580 | 301,545,712 | 357,995,613 | ||||||||
— | — | — | ||||||||
— | 329,000 | — | ||||||||
— | 818,316 | — | ||||||||
7 | 1,267,116 | 50,054 | ||||||||
— | — | — | ||||||||
— | 7,436 | 18,355 | ||||||||
6,490 | — | — | ||||||||
— | 2,206,990 | — | ||||||||
6,668 | 453,512 | 38,657 | ||||||||
— | — | — | ||||||||
— | — | — | ||||||||
10,130 | 19,265 | 16,723 | ||||||||
|
|
|
|
|
| |||||
55,985,875 | 306,647,347 | 358,119,402 | ||||||||
|
|
|
|
|
| |||||
— | — | 74 | ||||||||
— | — | — | ||||||||
— | — | — | ||||||||
— | 33,776,821 | 92,402,069 | ||||||||
— | 2,588,604 | 60,051 | ||||||||
10,389 | — | — | ||||||||
— | 100,400 | — | ||||||||
— | 1,356 | 3,442 | ||||||||
— | 159,432 | 220,065 | ||||||||
— | 54,158 | 51,529 | ||||||||
20,895 | 83,546 | 20,252 | ||||||||
|
|
|
|
|
| |||||
31,284 | 36,764,317 | 92,757,482 | ||||||||
|
|
|
|
|
| |||||
$ | 55,954,591 | $ | 269,883,030 | $ | 265,361,920 | |||||
|
|
|
|
|
| |||||
$ | 61,278,966 | $ | 256,432,262 | $ | 334,215,311 | |||||
1,012 | (343,324 | ) | (638,069 | ) | ||||||
|
(198,921) |
| 1,867,916 | (3,735,726 | ) | |||||
|
(5,126,466) |
| 11,926,176 | (64,479,596 | ) | |||||
|
|
|
|
|
| |||||
$ | 55,954,591 | $ | 269,883,030 | $ | 265,361,920 | |||||
|
|
|
|
|
| |||||
N/A | N/A | N/A | ||||||||
|
|
|
|
|
| |||||
N/A | N/A | N/A | ||||||||
|
|
|
|
|
| |||||
N/A | N/A | N/A | ||||||||
|
|
|
|
|
| |||||
$ | 55,954,591 | $ | 269,883,030 | $ | 265,361,920 | |||||
|
|
|
|
|
| |||||
6,044,383 | 26,298,480 | 33,975,228 | ||||||||
|
|
|
|
|
| |||||
$ | 9.26 | $ | 10.26 | $ | 7.81 | |||||
|
|
|
|
|
| |||||
$ |
14,579,849 |
| $ | 282,653,678 | $ | 400,021,141 | ||||
46,509,197 | 7,106,229 | 22,454,043 | ||||||||
|
|
|
|
|
| |||||
$ | 61,089,046 | $ | 289,759,907 | $ | 422,475,184 | |||||
|
|
|
|
|
| |||||
$ | — | $ | 33,703,577 | $ | 94,538,533 | |||||
|
|
|
|
|
| |||||
$ | — | $ | 819,412 | $ | (75 | ) | ||||
|
|
|
|
|
| |||||
$ | — | $ | — | $ | — | |||||
|
|
|
|
|
|
See Notes to Financial Statements. | 267 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2014 |
Inflation Protected Bond Fund | Flexible Income Fund | |||||||
Investment Income | ||||||||
Dividends | $ | — | $ | — | ||||
Income distributions received from affiliated funds | 1,449 | 987 | ||||||
Interest | 3,717,016 | 5,093,049 | ||||||
Securities lending | 82 | 1,085 | ||||||
Less foreign taxes withheld | — | — | ||||||
|
|
|
| |||||
Total Investment Income | 3,718,547 | 5,095,121 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory fees | 927,066 | 882,202 | ||||||
Transfer agent fees: | ||||||||
Investor shares | 20,688 | 17,396 | ||||||
Custodian fees | 46,979 | 115,667 | ||||||
Shareholder servicing fees: | ||||||||
Investor shares | 722,527 | 286,477 | ||||||
Accounting and administration fees | 71,121 | 55,874 | ||||||
Professional fees | 57,774 | 65,891 | ||||||
Blue sky fees: | ||||||||
Investor shares | 12,349 | 12,216 | ||||||
Shareholder reporting fees: | ||||||||
Investor shares | 7,348 | 1,188 | ||||||
Trustee expenses | 3,116 | 1,217 | ||||||
Line of credit facility fees | 1,983 | 14,753 | ||||||
Other expenses | 32,500 | 16,547 | ||||||
|
|
|
| |||||
Total Expenses | 1,903,451 | 1,469,428 | ||||||
Expenses waived/reimbursed net of amount recaptured(1) | (33,677 | ) | (37,045 | ) | ||||
Fees paid indirectly | — | — | ||||||
|
|
|
| |||||
Net expenses | 1,869,774 | 1,432,383 | ||||||
|
|
|
| |||||
Net Investment Income (Loss) | 1,848,773 | 3,662,738 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Capital gain distributions received from affiliated funds | 812 | 873 | ||||||
Investment securities | (493,208 | ) | 39,612 | |||||
Futures transactions | (2,799,456 | ) | — | |||||
Option contracts written | 412,017 | — | ||||||
Option contracts purchased | (1,200,799 | ) | — | |||||
Foreign currency | 2,060,662 | — | ||||||
|
|
|
| |||||
Net realized gain (loss) | (2,019,972 | ) | 40,485 | |||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment securities | 7,693,068 | (3,617,619 | ) | |||||
Investment securities of unaffiliated issuers | — | — | ||||||
Futures | (1,212,441 | ) | — | |||||
Option contracts written | (56,849 | ) | — | |||||
Option contracts purchased | 87,091 | — | ||||||
Foreign currency | 1,064,776 | — | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 7,575,645 | (3,617,619 | ) | |||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) | 5,555,673 | (3,577,134 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 7,404,446$ | 85,604 | |||||
|
|
|
|
(1) | See Note 3a and 3c in Notes to Financial Statements. |
268 | See Notes to Financial Statements. |
Table of Contents
Real Assets Fund | Real Estate Securities Fund | Global Natural Resources Equity Fund | ||||||||
$ | — | $ | 8,578,972 | $ | 3,412,884 | |||||
814,247 | 540 | 1,824 | ||||||||
— | 282 | — | ||||||||
— | 110,945 | 163,469 | ||||||||
— | (143,692 | ) | (278,072 | ) | ||||||
|
|
|
|
|
| |||||
814,247 | 8,547,047 | 3,300,105 | ||||||||
|
|
|
|
|
| |||||
49,421 | 1,799,631 | 2,895,244 | ||||||||
18,739 | 23,546 | 17,266 | ||||||||
8,451 | 217,594 | 36,714 | ||||||||
— | 608,051 | 670,339 | ||||||||
5,328 | 101,030 | 84,458 | ||||||||
45,409 | 80,640 | 76,899 | ||||||||
24,289 | 18,622 | 12,716 | ||||||||
4,090 | 15,739 | 6,719 | ||||||||
467 | 2,673 | 2,992 | ||||||||
298 | 1,686 | 1,928 | ||||||||
14,067 | 52,190 | 26,116 | ||||||||
|
|
|
|
|
| |||||
170,559 | 2,921,402 | 3,831,391 | ||||||||
(112,332) | (12,835 | ) | (49,148 | ) | ||||||
— | — | (14,749 | ) | |||||||
|
|
|
|
|
| |||||
58,227 | 2,908,567 | 3,767,494 | ||||||||
|
|
|
|
|
| |||||
756,020 | 5,638,480 | (467,389 | ) | |||||||
|
|
|
|
|
| |||||
531,056 | 353 | 1,642 | ||||||||
(264,440) | 13,109,513 | 3,139,356 | ||||||||
— | 606,399 | — | ||||||||
— | — | — | ||||||||
— | — | — | ||||||||
— | (143,908 | ) | 8,001 | |||||||
|
|
|
|
|
| |||||
266,616 | 13,572,357 | 3,148,999 | ||||||||
|
|
|
|
|
| |||||
(2,129,889) | 18,188,516 | (52,013,130 | ) | |||||||
(2,064,427) | — | — | ||||||||
— | (6,888 | ) | — | |||||||
— | — | — | ||||||||
— | — | — | ||||||||
— | (6,514 | ) | (224 | ) | ||||||
|
|
|
|
|
| |||||
(4,194,316) | 18,175,114 | (52,013,354 | ) | |||||||
|
|
|
|
|
| |||||
(3,927,700) | 31,747,471 | (48,864,355 | ) | |||||||
|
|
|
|
|
| |||||
$ | (3,171,680 | ) | $ | 37,385,951 | $ | (49,331,744 | ) | |||
|
|
|
|
|
|
See Notes to Financial Statements. | 269 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Inflation Protected Bond Fund | ||||||||
For the Year Ended | ||||||||
12/31/14 | 12/31/13 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,848,773 | $ | 2,252,657 | ||||
Net realized gain (loss) on investment securities, foreign currency and derivatives | (2,019,972 | ) | (1,116,237 | ) | ||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 7,575,645 | (20,279,614 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 7,404,446 | (19,143,194 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income(2) | (6,199,837 | ) | (1,868,128 | ) | ||||
Distributions from net realized capital gains | — | (882,675 | ) | |||||
|
|
|
| |||||
Total dividends and distributions | (6,199,837 | ) | (2,750,803 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
Proceeds from Investor shares sold | 59,688,149 | 151,311,796 | ||||||
Reinvestment of dividends and distributions into Investor shares | 6,198,245 | 2,749,825 | ||||||
Value of Investor shares redeemed | (38,288,496 | ) | (55,819,406 | ) | ||||
|
|
|
| |||||
Net increase from capital share transactions(3) | 27,597,898 | 98,242,215 | ||||||
|
|
|
| |||||
Total increase in net assets | 28,802,507 | 76,348,218 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of Period | 274,110,514 | 197,762,296 | ||||||
|
|
|
| |||||
End of Year* | $ | 302,913,021 | $ | 274,110,514 | ||||
|
|
|
| |||||
* Including undistributed (distributions in excess of) net investment income | $ | (1,888,970 | ) | $ | 400,620 | |||
|
|
|
|
(1) | Inception date was July 1, 2013. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds for the Real Assets Fund. |
(3) | See Note 6 in Notes to Financial Statements. |
270 | See Notes to Financial Statements. |
Table of Contents
Flexible Income Fund | Real Assets Fund | Real Estate Securities Fund | Global Natural Resources Equity Fund | |||||||||||||||||||||||||||
For the Year Ended | ||||||||||||||||||||||||||||||
For the Year Ended 12/31/14 | For the Period 07/01/13(1) - 12/31/13 | For the Year Ended 12/31/14 | For the Period 07/01/13(1) - 12/31/13 | 12/31/14 | 12/31/13 | For the Year Ended 12/31/14 | For the Period 07/01/13(1) - 12/31/13 | |||||||||||||||||||||||
$ | 3,662,738 | $ | 1,009,158 | $ | 756,020 | $ | 107,413 | $ | 5,638,480$ | 3,527,093 | $ | (467,389 | ) | $ | (281,723 | ) | ||||||||||||||
40,485 | 109,553 | 266,616 | 464,211 | 13,572,357 | 25,142,395 | 3,148,999 | 2,955,718 | |||||||||||||||||||||||
| (3,617,619) | | 517,075 | (4,194,316 | ) | (932,150 | ) | 18,175,114 | (26,798,154 | ) | (52,013,354 | ) | (12,466,242 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
85,604 | 1,635,786 | (3,171,680 | ) | (360,526 | ) | 37,385,951 | 1,871,334 | (49,331,744 | ) | (9,792,247 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(3,640,055) | (1,014,482 | ) | (1,184,011 | ) | (258,438 | ) | (6,325,626 | ) | (4,569,650 | ) | (791,002 | ) | (747,193 | ) | ||||||||||||||||
(265,840) | (14,042 | ) | (356,473 | ) | — | (8,938,244 | ) | (25,908,952 | ) | (5,814,539 | ) | (2,379,831 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(3,905,895) | (1,028,524 | ) | (1,540,484 | ) | (258,438 | ) | (15,263,870 | ) | (30,478,602 | ) | (6,605,541 | ) | (3,127,024 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
26,735,107 | 109,825,782 | 40,888,566 | 29,147,087 | 40,370,589 | 142,160,856 | 82,926,908 | 274,513,313 | |||||||||||||||||||||||
3,905,895 | 1,028,524 | 1,539,255 | 258,438 | 15,248,884 | 30,476,790 | 6,602,552 | 3,127,024 | |||||||||||||||||||||||
(5,342,480) | (2,298,913 | ) | (9,411,678 | ) | (1,135,949 | ) | (42,761,237 | ) | (100,275,836 | ) | (28,952,108 | ) | (3,999,213 | ) | ||||||||||||||||
|
|
|
|
|
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|
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|
|
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| |||||||||||||||
25,298,522 | 108,555,393 | 33,016,143 | 28,269,576 | 12,858,236 | 72,361,810 | 60,577,352 | 273,641,124 | |||||||||||||||||||||||
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| |||||||||||||||
21,478,231 | 109,162,655 | 28,303,979 | 27,650,612 | 34,980,317 | 43,754,542 | 4,640,067 | 260,721,853 | |||||||||||||||||||||||
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109,162,655 | — | 27,650,612 | — | 234,902,713 | 191,148,171 | 260,721,853 | — | |||||||||||||||||||||||
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$ | 130,640,886 | $ | 109,162,655 | $ | 55,954,591 | $ | 27,650,612 | $ | 269,883,030 | $ | 234,902,713 | $ | 265,361,920 | $ | 260,721,853 | |||||||||||||||
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$ | — | $ | — | $ | 1,012 | $ | 310 | $ | (343,324 | ) | $ | (367,712 | ) | $ | (638,069 | ) | $ | (490,104 | ) | |||||||||||
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See Notes to Financial Statements. | 271 |
Table of Contents
FINANCIAL HIGHLIGHTS
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset | Net Investment Income (1) | Capital Gain | Realized (Loss) on | Dividends from Net Investment Income | Distribu- tions | Net Asset Value, End of Period | Total Return | Net Assets, End | Expenses, Net(3)(4) | Expenses, Gross(3)(5) | Invest- ment (1)(4) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||
Inflation Protected Bond Fund
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Investor Class |
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2014 | $ | 10.15 | $ | 0.06 | # | $ | — | † | $ | 0.22 | $ | (0.21 | ) | $ | — | $ | 10.22 | 2.77 | % | $ | 302,913 | 0.62 | % | 0.63 | % | 0.61 | % | 88 | % | |||||||||||||||||||||||
2013(6) | 11.25 | 0.10 | # | — | † | (1.06 | ) | (0.09 | ) | (0.05 | ) | 10.15 | (8.64 | ) | 274,111 | 0.64 | 0.65 | 0.98 | 75 | |||||||||||||||||||||||||||||||||
2012 | 11.16 | 0.21 | # | — | † | 0.46 | (0.20 | ) | (0.38 | ) | 11.25 | 6.06 | 197,762 | 0.65 | 0.66 | 1.80 | 94 | |||||||||||||||||||||||||||||||||||
2011 | 10.43 | 0.29 | # | — | † | 0.94 | (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 | ||||||||||||||||||||||||||||||||||||
Flexible Income Fund
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Investor Class |
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2014 | $ | 10.06 | $ | 0.31 | # | $ | — | † | $ | (0.29 | ) | $ | (0.30 | ) | $ | (0.02 | ) | $ | 9.76 | 0.22 | % | $ | 130,641 | 1.20 | % | 1.23 | % | 3.06 | % | 77 | % | |||||||||||||||||||||
2013(7)
| 10.00 | 0.11 | # | — | † | 0.05 | (0.10 | ) | — | † | 10.06 | 1.57 | 109,163 | 1.20 | 1.26 | 2.22 | 25 | |||||||||||||||||||||||||||||||||||
Real Assets Fund
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Investor Class |
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2014 | $ | 9.82 | $ | 0.16 | # | $ | 0.11 | $ | (0.57 | ) | $ | (0.20 | ) | $ | (0.06 | ) | $ | 9.26 | (3.07 | )% | $ | 55,955 | 0.12 | % | 0.35 | % | 1.55 | % | 14 | % | ||||||||||||||||||||||
2013(7)
| 10.00 | 0.06 | # | 0.27 | (0.42 | ) | (0.09 | ) | — | 9.82 | (0.87 | ) | 27,651 | 0.12 | 0.89 | 1.22 | 1 | |||||||||||||||||||||||||||||||||||
Real Estate Securities Fund
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Investor Class |
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2014 | $ | 9.36 | $ | 0.23 | # | $ | — | † | $ | 1.28 | $ | (0.25 | ) | $ | (0.36 | ) | $ | 10.26 | 16.13 | % | $ | 269,883 | 1.15 | % | 1.15 | % | 2.23 | % | 129 | % | ||||||||||||||||||||||
2013(8) | 10.60 | 0.17 | # | — | † | (0.02 | ) | (0.21 | ) | (1.18 | ) | 9.36 | 1.49 | 234,903 | 1.05 | 1.05 | 1.56 | 168 | ||||||||||||||||||||||||||||||||||
2012 | 9.18 | 0.17 | # | — | † | 1.40 | (0.15 | ) | — | 10.60 | 17.09 | 191,148 | 1.05 | 1.06 | 1.62 | 95 | ||||||||||||||||||||||||||||||||||||
2011 | 8.52 | 0.08 | # | — | † | 0.65 | (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 | |||||||||||||||||||||||||||||||||||||
Global Natural Resources Equity Fund
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Investor Class |
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2014 | $ | 9.71 | $ | (0.02 | )# | $ | — | † | $ | (1.68 | ) | $ | (0.02 | ) | $ | (0.18 | ) | $ | 7.81 | (17.49 | )% | $ | 265,362 | 1.35 | %(9) | 1.37 | % | (0.17 | )% | 37 | % | |||||||||||||||||||||
2013(7) (10) | 10.00 | (0.01 | )# | — | † | (0.16 | ) | (0.03 | ) | (0.09 | ) | 9.71 | 1.69 | 260,722 | 1.42 | 1.42 | (0.24 | ) | 18 |
† | 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 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 higher (lower), respectively, than the ratio shown. |
(5) | 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. |
(6) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.01%. |
(7) | Inception date was July 1, 2013. All ratios for the period have been annualized. Total return and portfolio turn over for the period have not been annualized. |
(8) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.03%. |
(9) | The ratio for the Global Natural Resources Equity Fund includes the effect of expenses paid indirectly which decreased the ratio by 0.01% for the year 2014. |
(10) | An out of period adjustment to Investment Income had no impact on Net Investment Income per Share or Total Return; however, the Ratio of Net Investment Income to Average Net Assets increased by 0.01%. |
272 | See Notes to Financial Statements. |
Table of Contents
1. DESCRIPTION OF THE FUNDS
GuideStone Funds (the “Trust”) was organized as a Delaware statutory trust on March 2, 2000. The Trust has established thirty-one 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 Fund 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 and Global Bond Fund are together referred to as the “Fixed Income Funds.”
The Defensive Market Strategies Fund, Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, International Equity Fund and Emerging Markets Equity Fund are together referred to as the “Equity Funds.”
The Inflation Protected Bond Fund, Flexible Income Fund, Real Assets Fund, Real Estate Securities Fund and the Global Natural Resources Equity Fund are together referred to as the “Real Return Select Funds.”
The Flexible Income Fund, Real Assets Fund and Global Natural Resources Equity Fund commenced operations as registered investment companies on July 1, 2013.
The Emerging Markets Equity Fund commenced operations as a registered investment company on October 31, 2013. Effective May 1, 2014, the GS2 Class and GS4 Class were designated as Institutional Class and Investor Class, respectively. There are two classes of shares issued by the Funds — the Institutional Class and the Investor Class (each, a “Class” and together the “Classes”), except the Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I and Aggressive Allocation Fund I which issued the Institutional Class only. The Date Target Funds, Global Bond Fund, Inflation Protected Bond Fund, Flexible Income Fund, Real Assets Fund, Real Estate Securities Fund and the Global Natural Resources Equity Fund issued the Investor 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 Date Target, Asset Allocation and Real Assets Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Date Target Funds, Asset Allocation Funds and Real Assets Fund are commonly referred to as “Fund of Funds.”
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Funds in the accounting and the preparation of its financial statements. The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946 (“ASC 946”). The policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including but not limited to ASC 946. The preparation of financial statements requires Funds management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses for the period. The Funds utilize various methods to measure the value of its investments on a recurring basis. Amounts received upon the sale of such investments could differ from estimated values and those differences could be significant.
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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. The valuation committee is comprised of individuals from GuideStone Capital Management (“GSCM” or “Adviser”) and BNY Mellon Investment Servicing (US) Inc. who previously have been identified to 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.
Debt securities, excluding asset-backed and mortgage-backed securities, are valued at the mean of the last bid and ask prices available, which approximates fair value. 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. (Please see Note i,
“Derivative Financial Instruments” for additional information regarding the valuation of swap agreements).
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
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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 Date Target, Asset Allocation and Real Assets Funds value their investments in the underlying Select Funds and the Credit Suisse Commodity Return Strategy Fund daily at the closing NAV of each respective 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 at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, that 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 Select Funds, Credit Suisse Commodity Return Strategy Fund 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 valuation committee’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.
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Valuation levels are not necessarily an indication of the risk associated with investing in those securities. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the end of the reporting period.
In accordance with FASB “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRSs”),” management has not presented quantitative disclosures as the securities which are advisor priced or valued by the valuation committee are immaterial. Additionally, there have been no adjustments to prices received from third parties as of December 31, 2014.
A valuation hierarchy including information regarding transfers between levels and Level 3 securities, where applicable, is shown at the end of each Fund’s Schedule of Investments.
b. 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
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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.
“TBA” (to be announced) commitments are commitments to purchase or sell mortgage-backed 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 year ended December 31, 2014, 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.
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.
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c. 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.
d. Loan Participations
The Bond Funds, Small Cap Equity Fund and the Flexible Income Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate borrowers. A Fund’s investments in loans may be in the form of participations in loans. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, a Fund may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense on the Statements of Operations.
e. 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.
f. 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.
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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.
At December 31, 2014, 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) | ||||||||||||
Money Market | ||||||||||||||||
Goldman Sachs & Co. | $ | 34,000,000 | $ | (34,000,000 | ) | $ | — | $ | — | |||||||
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Medium-Duration Bond | ||||||||||||||||
BNP Paribas Securities Corporation | $ | 15,500,000 | $ | (15,500,000 | ) | $ | — | $ | — | |||||||
Citigroup Global Markets, Inc. | 14,800,000 | (14,800,000 | ) | — | — | |||||||||||
JPMorgan Securities LLC | 800,000 | (800,000 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 31,100,000 | $ | (31,100,000 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | Net amount represents the net amount receivable due from (payable to) 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.
g. 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 December 31, 2014, the value of securities sold short in the Medium-Duration Bond and International Equity Funds amounted to $8,826,676 and $91,705,652, respectively.
h. Synthetic Convertible Instruments
The Defensive Market Strategies Fund invests in synthetic convertible instruments. Synthetic convertible instruments are hybrid financial instruments that generally combine both debt and equity characteristics into a single note form. Income received from synthetic convertible instruments 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 synthetic
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convertible instruments include 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 synthetic convertible instruments and the appreciation potential may be limited. Synthetic convertible instruments may be more volatile and less liquid than other investments held by the Fund.
i. Derivative Financial Instruments
The Funds may engage in various portfolio strategies to seek to increase their return 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.
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
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not exist. The Funds also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party and that party’s ability to perform. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Options purchased are recorded as an asset, and written options are recorded as liabilities to the extent of premiums paid or received. Each Fund will realize a gain or loss when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of the premium received or paid.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities.
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed-rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked-to-market daily based upon quotations from market makers. When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption. Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk in excess of the associated option and swap contract amounts reported in the Statement of Assets and Liabilities. The Funds bear the market risk arising from any change in index values or interest rates.
Swap Agreements — Each Select Fund, except the Money Market Fund, may enter into swap agreements. The 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, 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
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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 up-front 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 year ended December 31, 2014, 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 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 (“CDS”) 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 CDS 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.
Upfront payments made or received in connection with CDS agreements are amortized over the expected life of the CDS agreements as unrealized gains or losses on swap agreements. The change in value of the CDS agreements is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement.
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 CDS 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 up-front 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
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seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swap agreements on corporate issues or sovereign issues of an emerging country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other write down or loss events on the underlying 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.
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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 up-front 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, up-front payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Credit default swaps involve greater risks than if the Funds had invested in the referenced obligation directly. In addition to general market risks, credit default swaps are subject to liquidity risk and counterparty credit risk. The Funds enter into credit default swaps with counterparties meeting defined criteria for financial strength. A buyer also may lose its investment and recover nothing should a credit event not occur. If a credit event did occur, the value of the referenced obligation received by the seller, coupled with the periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value.
Exchange Traded Swap Agreements — Exchange traded swaps are either interest rate or credit default swap agreements brokered by the Chicago Mercantile Exchange or the Intercontinental Exchange (the “Exchanges”) where the Exchanges are the counterparty to both the buyer and seller of protection. Exchange traded swaps involve a lesser degree of risk because the Exchanges, as counterparties, monitor 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.
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.
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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 a Fund receives either fixed or determined by floating price or rate. One party would receive payments based on the market value of the commodity involved and pay a fixed amount. Total return swap agreements on indices involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may be an equity, index, or bond, and in return receives a regular stream of payments. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.
FASB “Derivatives and Hedging” includes required disclosure for (i) the nature and terms of the derivative, reasons for entering into the derivative, the events or circumstances that would require the seller to perform under the derivative, and the current status of the payment/performance risk of the derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the derivative, (iii) the fair value of the derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. FASB “Guarantees” require additional disclosures about the current status of the payment/performance risk of a guarantee. All of this information has been incorporated for the current period as part of the Schedules of Investments within the Swap agreements outstanding disclosure and in the Notes to Financial Statements.
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As of December 31, 2014, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $5,520,767 and $6,970,000, respectively, and the sellers (“providing protection”) on a total notional amount of $7,657,739 and $46,350,000, 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 was 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 | ||||||||||||||||||
Corporate | Sovereign | Asset-Backed | Corporate | |||||||||||||||||
Reference Asset | Debt | Debt | Securities | Debt | Total | |||||||||||||||
Low-Duration Bond Fund | ||||||||||||||||||||
Fair value of written credit derivatives | $ | 39,435 | $ | — | $ | (10,881 | ) | $ | — | $ | 28,554 | |||||||||
Maximum potential amount of future payments | 1,900,000 | — | 5,757,739 | — | 7,657,739 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection) | — | — | — | — | — | |||||||||||||||
Collateral held by the Funds or other third parties which the Funds can obtain upon occurrence of triggering event | — | — | — | — | — | |||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
Fair value of written credit derivatives | $ | 152,077 | $ | (52,471 | ) | $ | 607,575 | $ | — | $ | 707,181 | |||||||||
Maximum potential amount of future payments | 3,000,000 | 7,800,000 | 35,550,000 | — | 46,350,000 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection) | — | — | — | — | — | |||||||||||||||
Collateral held by the Funds or other third parties which the Funds can obtain upon occurrence of triggering event | — | — | — | — | — |
At December 31, 2014, there were no recourse provisions with third parties to recover any amounts paid under the credit derivative agreement (including any purchased credit protection) nor was any collateral held by the Funds or other third parties which the Funds can obtain upon occurrence of a triggering event.
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 | $ | — | $ | — | $ | 1,900,000 | $ | — | $ | 5,757,739 | $ | 7,657,739 | ||||||||||||
101 - 250 | — | — | — | — | — | — | ||||||||||||||||||
251 - 500 | — | — | — | — | — | — | ||||||||||||||||||
501 - 1,000 | — | — | — | — | — | — | ||||||||||||||||||
Greater than 1,000 | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 1,900,000 | $ | — | $ | 5,757,739 | $ | 7,657,739 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||||||
0 - 100 | $ | — | $ | — | $ | 36,650,000 | $ | — | $ | — | $ | 36,650,000 | ||||||||||||
101 - 250 | — | — | 9,700,000 | — | — | 9,700,000 | ||||||||||||||||||
251 - 500 | — | — | — | — | — | — | ||||||||||||||||||
501 - 1,000 | — | — | — | — | — | — | ||||||||||||||||||
Greater than 1,000 | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 46,350,000 | $ | — | $ | — | $ | 46,350,000 | ||||||||||||
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Offsetting of Financial and Derivative Assets and Liabilities
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.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to an ISDA
MA in the Statements of Assets and Liabilities.
At December 31, 2014, derivative assets and liabilities (by type) held by the Funds are as follows:
Fund | Assets | Liabilities | ||||||
My Destination 2005 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 6,075 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 6,075 | ||||||
Derivatives not subject to an MA or similar agreement | — | 6,075 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
My Destination 2015 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 4,158 | $ | 33,006 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 4,158 | 33,006 | ||||||
Derivatives not subject to an MA or similar agreement | 4,158 | 33,006 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
My Destination 2025 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 5,637 | $ | 77,335 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 5,637 | 77,335 | ||||||
Derivatives not subject to an MA or similar agreement | 5,637 | 77,335 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
My Destination 2035 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 2,519 | $ | 54,975 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,519 | 54,975 | ||||||
Derivatives not subject to an MA or similar agreement | 2,519 | 54,975 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
My Destination 2045 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 988 | $ | 43,116 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 988 | 43,116 | ||||||
Derivatives not subject to an MA or similar agreement | 988 | 43,116 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
|
287
Table of Contents
Fund | Assets | Liabilities | ||||||
My Destination 2055 | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 6,075 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 6,075 | ||||||
Derivatives not subject to an MA or similar agreement | — | 6,075 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Conservative Allocation | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 525 | $ | 7,681 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 525 | 7,681 | ||||||
Derivatives not subject to an MA or similar agreement | 525 | 7,681 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Balanced Allocation | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 20,671 | $ | 131,240 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 20,671 | 131,240 | ||||||
Derivatives not subject to an MA or similar agreement | 20,671 | 131,240 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Growth Allocation | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 9,854 | $ | 154,135 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 9,854 | 154,135 | ||||||
Derivatives not subject to an MA or similar agreement | 9,854 | 154,135 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Aggressive Allocation | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 1,815 | $ | 180,140 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,815 | 180,140 | ||||||
Derivatives not subject to an MA or similar agreement | 1,815 | 180,140 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Conservative Allocation I | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 2,430 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 2,430 | ||||||
Derivatives not subject to an MA or similar agreement | — | 2,430 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Balanced Allocation I | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 4,650 | $ | 29,505 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 4,650 | 29,505 | ||||||
Derivatives not subject to an MA or similar agreement | 4,650 | 29,505 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
|
288
Table of Contents
Fund | Assets | Liabilities | ||||||
Growth Allocation I | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 1,681 | $ | 30,720 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,681 | 30,720 | ||||||
Derivatives not subject to an MA or similar agreement | 1,681 | 30,720 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Aggressive Allocation I | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 275 | $ | 28,825 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 275 | 28,825 | ||||||
Derivatives not subject to an MA or similar agreement | 275 | 28,825 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Low-Duration Bond | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 82,556 | $ | 101,470 | ||||
Forward foreign exchange contracts | 1,539,291 | 713,388 | ||||||
Options | 537,274 | 709,997 | ||||||
Swaps | 349,871 | 775,871 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,508,992 | 2,300,726 | ||||||
Derivatives not subject to an MA or similar agreement | 271,991 | 101,480 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 2,237,001 | $ | 2,199,246 | ||||
|
|
|
| |||||
Medium-Duration Bond | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 306,364 | $ | 129,456 | ||||
Forward foreign exchange contracts | 1,871,264 | 868,157 | ||||||
Options | 90,653 | 205,209 | ||||||
Swaps | 1,271,797 | 5,340,660 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,540,078 | 6,543,482 | ||||||
Derivatives not subject to an MA or similar agreement | 1,260,023 | 5,101,081 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 2,280,055 | $ | 1,442,401 | ||||
|
|
|
| |||||
Global Bond | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 58,906 | $ | 19,875 | ||||
Forward foreign exchange contracts | 1,419,772 | 564,644 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,478,678 | 584,519 | ||||||
Derivatives not subject to an MA or similar agreement | 58,906 | 19,875 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 1,419,772 | $ | 564,644 | ||||
|
|
|
| |||||
Defensive Market Strategies | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 323,190 | ||||
Forward foreign exchange contracts | 65,560 | 2,132 | ||||||
Options | — | 396,573 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 65,560 | 721,895 | ||||||
Derivatives not subject to an MA or similar agreement | 65,560 | 721,895 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
|
289
Table of Contents
Fund | Assets | Liabilities | ||||||
Equity Index | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 181,035 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 181,035 | ||||||
Derivatives not subject to an MA or similar agreement | — | 181,035 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Value Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 482,355 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 482,355 | ||||||
Derivatives not subject to an MA or similar agreement | — | 482,355 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Growth Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 741,150 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 741,150 | ||||||
Derivatives not subject to an MA or similar agreement | — | 741,150 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
Small Cap Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 123,190 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 123,190 | ||||||
Derivatives not subject to an MA or similar agreement | — | 123,190 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
| |||||
International Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 296,840 | $ | 486,204 | ||||
Forward foreign exchange contracts | 3,228,345 | 2,638,703 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,525,185 | 3,124,907 | ||||||
Derivatives not subject to an MA or similar agreement | 296,840 | 486,204 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 3,228,345 | $ | 2,638,703 | ||||
|
|
|
| |||||
Emerging Markets Equity | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 267,310 | $ | 66,926 | ||||
Forward foreign exchange contracts | 1,124,175 | 2,335,245 | ||||||
Swaps | — | 8,276 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,391,485 | 2,410,447 | ||||||
Derivatives not subject to an MA or similar agreement | 267,310 | 66,924 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 1,124,175 | $ | 2,343,523 | ||||
|
|
|
| |||||
Inflation Protected Bond | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | 75,362 | $ | 60,547 | ||||
Forward foreign exchange contracts | 749,862 | 83,026 | ||||||
Options | 502,651 | 364,104 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,327,875 | 507,677 | ||||||
Derivatives not subject to an MA or similar agreement | 578,013 | 424,651 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | 749,862 | $ | 83,026 | ||||
|
|
|
|
290
Table of Contents
Fund | Assets | Liabilities | ||||||
Real Estate Securities | ||||||||
Derivative Financial Instruments: | ||||||||
Financial futures contracts | $ | — | $ | 100,400 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 100,400 | ||||||
Derivatives not subject to an MA or similar agreement | — | 100,400 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an MA | $ | — | $ | — | ||||
|
|
|
|
At December 31, 2014, derivative assets and liabilities by counterparty net of amounts available for offset under an MA and net
of the related collateral (received)/pledged by the Trust are as follows:
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an MA | Derivative Liabilities Subject to an MA | Value of Derivatives Subject to an MA | Collateral (Received)/ Pledged | Net Exposure | ||||||||||||||||||||
Low-Duration Bond |
| ||||||||||||||||||||||||
Sub-adviser A | |||||||||||||||||||||||||
Other Counterparties* | $ | 682,151 | $ | (394,164 | ) | $ | 287,987 | $ | — | $ | 287,987 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
682,151 | (394,164 | ) | 287,987 | — | 287,987 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Sub-adviser B | |||||||||||||||||||||||||
GSC | 605,259 | (1,183,471 | ) | (578,212 | ) | — | (578,212 | ) | |||||||||||||||||
Other Counterparties* | 949,591 | (621,611 | ) | 327,980 | — | 327,980 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
1,554,850 | (1,805,082 | ) | (250,232 | ) | — | (250,232 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Derivatives | $ | 2,237,001 | $ | (2,199,246 | ) | $ | 37,755 | $ | — | $ | 37,755 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Medium-Duration Bond | |||||||||||||||||||||||||
Sub-adviser A | |||||||||||||||||||||||||
Other Counterparties* | $ | 608,480 | $ | (464,205 | ) | $ | 144,275 | $ | — | $ | 144,275 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Sub-adviser B | |||||||||||||||||||||||||
JPM | 420,945 | (2,239 | ) | 418,706 | — | 418,706 | |||||||||||||||||||
Other Counterparties* | 909,015 | (761,893 | ) | 147,122 | — | 147,122 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
1,329,960 | (764,132 | ) | 565,828 | — | 565,828 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Sub-adviser C | |||||||||||||||||||||||||
Other Counterparties* | 341,615 | (214,064 | ) | 127,551 | — | 127,551 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Derivatives | $ | 2,280,055 | $ | (1,442,401 | ) | $ | 837,654 | $ | — | $ | 837,654 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Global Bond | |||||||||||||||||||||||||
Sub-adviser A | |||||||||||||||||||||||||
HSBC | $ | 731,553 | $ | (150,859 | ) | $ | 580,694 | $ | — | $ | 580,694 | ||||||||||||||
Other Counterparties* | 688,219 | (413,785 | ) | 274,434 | — | 274,434 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Derivatives | $ | 1,419,772 | $ | (564,644 | ) | $ | 855,128 | $ | — | $ | 855,128 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
International Equity | |||||||||||||||||||||||||
Sub-adviser A | |||||||||||||||||||||||||
Other Counterparties* | $ | 418,206 | $ | (81,770 | ) | $ | 336,436 | $ | — | $ | 336,436 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Sub-adviser B | |||||||||||||||||||||||||
Other Counterparties* | 2,810,139 | (2,556,933 | ) | 253,206 | — | 253,206 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Derivatives | $ | 3,228,345 | $ | (2,638,703 | ) | $ | 589,642 | $ | — | $ | 589,642 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
291
Table of Contents
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an MA | Derivative Liabilities Subject to an MA | Value of Derivatives Subject to an MA | Collateral (Received)/ Pledged | Net Exposure | ||||||||||||||||||||
Emerging Markets Equity | |||||||||||||||||||||||||
Sub-adviser A | |||||||||||||||||||||||||
Other Counterparties* | $ | 1,124,175 | $ | (2,343,523 | ) | $ | (1,219,348 | ) | $ | — | $ | (1,219,348 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Inflation Protected Bond | |||||||||||||||||||||||||
Sub-adviser A | |||||||||||||||||||||||||
BNP | $ | 570,045 | $ | — | $ | 570,045 | $ | — | $ | 570,045 | |||||||||||||||
Other Counterparties* | 179,817 | (83,026 | ) | 96,791 | — | 96,791 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Derivatives | $ | 749,862 | $ | (83,026 | ) | $ | 666,836 | $ | — | $ | 666,836 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
Additional information about master netting arrangements can be found in the Repurchase Agreements and Securities Lending
sections of the Notes to Financial Statements.
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 | ||
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* |
*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 December 31, 2014.
Asset Derivative Value | |||||||||||||||||||||||||
Fund | Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||||||
MyDestination 2005 | |||||||||||||||||||||||||
Futures | $ | 7,103 | $ | — | $ | — | $ | — | $ | 7,103 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
MyDestination 2015 | |||||||||||||||||||||||||
Futures | $ | 13,834 | $ | 13,185 | $ | — | $ | — | $ | 649 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
MyDestination 2025 | |||||||||||||||||||||||||
Futures | $ | 38,702 | $ | 10,034 | $ | — | $ | — | $ | 28,668 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
MyDestination 2035 | |||||||||||||||||||||||||
Futures | $ | 20,600 | $ | 7,190 | $ | — | $ | — | $ | 13,410 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
292
Table of Contents
Asset Derivative Value | |||||||||||||||||||||||||
Fund | Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||||||
MyDestination 2045 | |||||||||||||||||||||||||
Futures | $ | 30,356 | $ | 1,597 | $ | — | $ | — | $ | 28,759 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
MyDestination 2055 | |||||||||||||||||||||||||
Futures | $ | 7,102 | $ | — | $ | — | $ | — | $ | 7,102 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Conservative Allocation | |||||||||||||||||||||||||
Futures | $ | 5,116 | $ | (3,656 | ) | $ | — | $ | — | $ | 8,772 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Balanced Allocation | |||||||||||||||||||||||||
Futures | $ | 153,131 | $ | 108,280 | $ | — | $ | — | $ | 44,851 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Growth Allocation | |||||||||||||||||||||||||
Futures | $ | 82,988 | $ | 36,658 | $ | — | $ | — | $ | 46,330 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Aggressive Allocation | |||||||||||||||||||||||||
Futures | $ | 59,785 | $ | — | $ | — | $ | — | $ | 59,785 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Conservative Allocation I | |||||||||||||||||||||||||
Futures | $ | 2,841 | $ | — | $ | — | $ | — | $ | 2,841 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Balanced Allocation I | |||||||||||||||||||||||||
Futures | $ | 27,025 | $ | 17,953 | $ | — | $ | — | $ | 9,072 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Growth Allocation I | |||||||||||||||||||||||||
Futures | $ | 19,397 | $ | 8,904 | $ | — | $ | — | $ | 10,493 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Aggressive Allocation I | |||||||||||||||||||||||||
Futures | $ | 17,716 | $ | — | $ | — | $ | — | $ | 17,716 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Low-Duration Bond | |||||||||||||||||||||||||
Forwards | $ | 1,539,291 | $ | — | $ | 1,539,291 | $ | — | $ | — | |||||||||||||||
Futures | (68,994 | ) | (68,994 | ) | — | — | — | ||||||||||||||||||
Purchased Options | 537,274 | 537,274 | — | — | — | ||||||||||||||||||||
Swaps | 349,871 | 270,616 | — | 79,255 | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Totals | $ | 2,357,442 | $ | 738,896 | $ | 1,539,291 | $ | 79,255 | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Medium-Duration Bond | |||||||||||||||||||||||||
Forwards | $ | 1,871,264 | $ | — | $ | 1,871,264 | $ | — | $ | — | |||||||||||||||
Futures | 835,774 | 835,774 | — | — | — | ||||||||||||||||||||
Purchased Options | 90,653 | 90,653 | — | — | — | ||||||||||||||||||||
Swaps | 1,271,797 | 1,027,765 | — | 244,032 | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Totals | $ | 4,069,488 | $ | 1,954,192 | $ | 1,871,264 | $ | 244,032 | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Global Bond Fund | |||||||||||||||||||||||||
Forwards | $ | 1,419,772 | $ | — | $ | 1,419,772 | $ | — | $ | — | |||||||||||||||
Futures | (38,585 | ) | (38,585 | ) | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Totals | $ | 1,381,187 | $ | (38,585 | ) | $ | 1,419,772 | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Defensive Market Strategies | |||||||||||||||||||||||||
Forwards | $ | 65,560 | $ | — | $ | 65,560 | $ | — | $ | — | |||||||||||||||
Futures | 404,047 | — | — | — | 404,047 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Totals | $ | 469,607 | $ | — | $ | 65,560 | $ | — | $ | 404,047 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
293
Table of Contents
Asset Derivative Value | ||||||||||||||||||||
Fund | Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Equity Index | ||||||||||||||||||||
Futures | $ | 197,656 | $ | — | $ | — | $ | — | $ | 197,656 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity | ||||||||||||||||||||
Futures | $ | 472,607 | $ | — | $ | — | $ | — | $ | 472,607 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity Fund | ||||||||||||||||||||
Futures | $ | 733,237 | $ | — | $ | — | $ | — | $ | 733,237 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Futures | $ | 660,446 | $ | — | $ | — | $ | — | $ | 660,446 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 3,228,345 | $ | — | $ | 3,228,345 | $ | — | $ | — | ||||||||||
Futures | 1,380,879 | — | — | — | 1,380,879 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 4,609,224 | $ | ��� | $ | 3,228,345 | $ | — | $ | 1,380,879 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Emerging Markets Equity | ||||||||||||||||||||
Forwards | $ | 1,124,175 | $ | — | $ | 1,124,175 | $ | — | $ | — | ||||||||||
Futures | 342,190 | — | — | — | 342,190 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,466,365 | $ | — | $ | 1,124,175 | $ | — | $ | 342,190 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Forwards | $ | 749,862 | $ | — | $ | 749,862 | $ | — | $ | — | ||||||||||
Futures | 33,159 | 33,159 | — | — | — | |||||||||||||||
Purchased Options | 502,651 | 81,026 | 421,625 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,285,672 | $ | 114,185 | $ | 1,171,487 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities | ||||||||||||||||||||
Futures | $ | 150,649 | $ | — | $ | — | $ | — | $ | 150,649 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivative Value | ||||||||||||||||||||
Fund | Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 713,388 | $ | — | $ | 713,388 | $ | — | $ | — | ||||||||||
Futures | 649,496 | 649,496 | — | — | — | |||||||||||||||
Swaps | 775,871 | 63,483 | — | 712,388 | — | |||||||||||||||
Written Options | 709,997 | 709,997 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 2,848,752 | $ | 1,422,976 | $ | 713,388 | $ | 712,388 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 868,157 | $ | — | $ | 868,157 | $ | — | $ | — | ||||||||||
Futures | 1,324,686 | 1,358,960 | (34,274 | ) | — | — | ||||||||||||||
Swaps | 5,340,660 | 5,115,948 | — | 224,712 | — | |||||||||||||||
Written Options | 205,209 | 176,636 | 26,823 | 1,750 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 7,738,712 | $ | 6,651,544 | $ | 860,706 | $ | 226,462 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
294
Table of Contents
Liability Derivative Value | ||||||||||||||||||||
Fund | Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||||||||||||
Global Bond Fund | ||||||||||||||||||||
Forwards | $ | 564,644 | $ | — | $ | 564,644 | $ | — | $ | — | ||||||||||
Futures | 319,491 | 319,491 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 884,135 | $ | 319,491 | $ | 564,644 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 2,132 | $ | — | $ | 2,132 | $ | — | $ | — | ||||||||||
Written Options | 396,573 | — | — | — | 396,573 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 398,705 | $ | — | $ | 2,132 | $ | — | $ | 396,573 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 2,638,703 | $ | — | $ | 2,638,703 | $ | — | $ | — | ||||||||||
Futures | 1,469,962 | — | — | — | 1,469,962 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 4,108,665 | $ | — | $ | 2,638,703 | $ | — | $ | 1,469,962 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Emerging Markets Equity | ||||||||||||||||||||
Forwards | $ | 2,335,245 | $ | — | $ | 2,335,245 | $ | — | $ | — | ||||||||||
Futures | 106,290 | — | — | — | 106,290 | |||||||||||||||
Swaps | 8,276 | — | — | — | 8,276 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 2,449,811 | $ | — | $ | 2,335,245 | $ | — | $ | 114,566 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Forwards | $ | 83,026 | $ | — | $ | 83,026 | $ | — | $ | — | ||||||||||
Futures | 1,176,778 | 1,176,778 | — | — | — | |||||||||||||||
Written Options | 364,104 | 73,748 | 290,356 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,623,908 | $ | 1,250,526 | $ | 373,382 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
295
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 | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Foreign currency | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Credit contracts | Net realized gain (loss) from: Swap agreements | |
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Equity contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
MyDestination 2005 | ||||||||||||||||||||
Futures | $ | 81,843 | $ | — | �� | $ | — | $ | — | $ | 81,843 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 | ||||||||||||||||||||
Futures | $ | 413,357 | $ | 89,190 | $ | — | $ | — | $ | 324,167 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 | ||||||||||||||||||||
Futures | $ | 573,944 | $ | 110,069 | $ | — | $ | — | $ | 463,875 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 | ||||||||||||||||||||
Futures | $ | 506,649 | $ | 44,725 | $ | — | $ | — | $ | 461,924 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 | ||||||||||||||||||||
Futures | $ | 350,591 | $ | 8,688 | $ | — | $ | — | $ | 341,903 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2055 | ||||||||||||||||||||
Futures | $ | 62,896 | $ | — | $ | — | $ | — | $ | 62,896 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation | ||||||||||||||||||||
Futures | $ | 127,329 | $ | 11,307 | $ | — | $ | — | $ | 116,022 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation | ||||||||||||||||||||
Futures | $ | 1,818,821 | $ | 565,115 | $ | — | $ | — | $ | 1,253,706 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation | ||||||||||||||||||||
Futures | $ | 1,692,771 | $ | 233,894 | $ | — | $ | — | $ | 1,458,877 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation | ||||||||||||||||||||
Futures | $ | 1,406,268 | $ | — | $ | — | $ | — | $ | 1,406,268 | ||||||||||
|
|
|
|
|
|
|
|
|
|
296
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
Conservative Allocation I | ||||||||||||||||||||
Futures | $ | 33,856 | $ | — | $ | — | $ | — | $ | 33,856 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation I | ||||||||||||||||||||
Futures | $ | 445,297 | $ | 132,542 | $ | — | $ | — | $ | 312,755 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation I | ||||||||||||||||||||
Futures | $ | 393,823 | $ | 50,348 | $ | — | $ | — | $ | 343,475 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation I | ||||||||||||||||||||
Futures | $ | 291,811 | $ | — | $ | — | $ | — | $ | 291,811 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 3,021,409 | $ | — | $ | 3,021,409 | $ | — | $ | — | ||||||||||
Futures | (968,391 | ) | (968,391 | ) | — | — | — | |||||||||||||
Purchased Options | 239,130 | 239,130 | — | — | — | |||||||||||||||
Swaps | (1,420,070 | ) | (1,558,709 | ) | — | 138,639 | — | |||||||||||||
Written Options | 499,493 | 499,493 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,371,571 | $ | (1,788,477 | ) | $ | 3,021,409 | $ | 138,639 | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 3,971,982 | $ | 3,971,982 | $ | — | $ | — | ||||||||||||
Futures | 2,298,058 | 2,167,585 | 130,473 | — | — | |||||||||||||||
Purchased Options | (358,668 | ) | (203,354 | ) | (155,314 | ) | — | — | ||||||||||||
Swaps | (664,882 | ) | (713,095 | ) | — | 48,213 | — | |||||||||||||
Written Options | 1,567,536 | 1,345,079 | 203,172 | 19,285 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 6,814,026 | $ | 2,596,215 | $ | 4,150,313 | $ | 67,498 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Forwards | $ | 782,452 | $ | — | $ | 782,452 | $ | — | $ | — | ||||||||||
Futures | (402,950 | ) | (402,950 | ) | — | — | — | |||||||||||||
Purchased Options | 41,440 | — | 41,440 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 420,942 | $ | (402,950 | ) | $ | 823,892 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 693,096 | $ | — | $ | 693,096 | $ | — | $ | — | ||||||||||
Futures | 2,261,848 | — | — | — | 2,261,848 | |||||||||||||||
Purchased Options | (186,885 | ) | — | — | — | (186,885 | ) | |||||||||||||
Written Options | 2,973,663 | — | — | — | 2,973,663 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 5,741,722 | $ | — | $ | 693,096 | $ | — | $ | 5,048,626 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index | ||||||||||||||||||||
Futures | $ | 1,646,547 | $ | — | $ | — | $ | — | $ | 1,646,547 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity | ||||||||||||||||||||
Futures | $ | 6,092,546 | $ | — | $ | — | $ | — | $ | 6,092,546 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity | ||||||||||||||||||||
Futures | $ | 10,701,837 | $ | — | $ | — | $ | — | $ | 10,701,837 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | (39,899 | ) | $ | — | $ | (39,899 | ) | $ | — | $ | — | ||||||||
Futures | 4,497,767 | (42,458 | ) | (3,363 | ) | — | 4,543,588 | |||||||||||||
Purchased Options | (23,934 | ) | (8,270 | ) | (15,664 | ) | — | — | ||||||||||||
Written Options | 12,505 | 12,505 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 4,446,439 | $ | (38,223 | ) | $ | (58,926 | ) | $ | — | $ | 4,543,588 | ||||||||
|
|
|
|
|
|
|
|
|
|
297
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | (3,848,642 | ) | $ | — | $ | (3,848,642 | ) | $ | — | $ | — | ||||||||
Futures | (4,947,895 | ) | — | — | — | (4,947,895 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (8,796,537 | ) | $ | — | $ | (3,848,642 | ) | $ | — | $ | (4,947,895 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Emerging Markets Equity | ||||||||||||||||||||
Forwards | $ | 1,087,312 | $ | — | $ | 1,087,312 | $ | — | $ | — | ||||||||||
Futures | 1,127,606 | — | — | — | 1,127,606 | |||||||||||||||
Swaps | (341,430 | ) | — | — | — | (341,430 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 1,873,488 | $ | — | $ | 1,087,312 | $ | — | $ | 786,176 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Forwards | $ | 2,516,397 | $ | — | $ | 2,516,397 | $ | — | $ | — | ||||||||||
Futures | (2,799,456 | ) | (2,799,456 | ) | — | — | — | |||||||||||||
Purchased Options | (1,200,799 | ) | (946,400 | ) | (216,810 | ) | — | (37,589 | ) | |||||||||||
Written Options | 412,017 | 174,400 | 237,617 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (1,071,841 | ) | $ | (3,571,456 | ) | $ | 2,537,204 | $ | — | $ | (37,589 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities | ||||||||||||||||||||
Futures | $ | 606,399 | $ | — | $ | — | $ | — | $ | 606,399 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
MyDestination 2005 | ||||||||||||||||||||
Futures | $ | (11,000 | ) | $ | — | $ | — | $ | — | $ | (11,000 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2015 | ||||||||||||||||||||
Futures | $ | (86,666 | ) | $ | 40,958 | $ | — | $ | — | $ | (127,624 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2025 | ||||||||||||||||||||
Futures | $ | (143,792 | ) | $ | 35,994 | $ | — | $ | — | $ | (179,786 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2035 | ||||||||||||||||||||
Futures | $ | (139,630 | ) | $ | 23,799 | $ | — | $ | — | $ | (163,429 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2045 | ||||||||||||||||||||
Futures | $ | (99,166 | ) | $ | 6,144 | $ | — | $ | — | $ | (105,310 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MyDestination 2055 | ||||||||||||||||||||
Futures | $ | (3,760 | ) | $ | — | $ | — | $ | — | $ | (3,760 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation | ||||||||||||||||||||
Futures | $ | (33,075 | ) | $ | 124 | $ | — | $ | — | $ | (33,199 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Allocation | ||||||||||||||||||||
Futures | $ | (240,012 | ) | $ | 285,847 | $ | — | $ | — | $ | (525,859 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation | ||||||||||||||||||||
Futures | $ | (472,413 | ) | $ | 96,220 | $ | — | $ | — | $ | (568,633 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation | ||||||||||||||||||||
Futures | $ | (696,269 | ) | $ | — | $ | — | $ | — | $ | (696,269 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Conservative Allocation I | ||||||||||||||||||||
Futures | $ | (4,400 | ) | $ | — | $ | — | $ | — | $ | (4,400 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
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Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
Balanced Allocation I | ||||||||||||||||||||
Futures | $ | (65,672 | ) | $ | 56,874 | $ | — | $ | — | $ | (122,546 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Allocation I | ||||||||||||||||||||
Futures | $ | (121,182 | ) | $ | 25,310 | $ | — | $ | — | $ | (146,492 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Aggressive Allocation I | ||||||||||||||||||||
Futures | $ | (122,132 | ) | $ | — | $ | — | $ | — | $ | (122,132 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Low-Duration Bond | ||||||||||||||||||||
Forwards | $ | 692,228 | $ | — | $ | 692,228 | $ | — | $ | — | ||||||||||
Futures | (1,107,837 | ) | (1,107,837 | ) | — | — | — | |||||||||||||
Purchased Options | (266,066 | ) | (266,066 | ) | — | — | — | |||||||||||||
Swaps | 529,699 | 783,259 | — | (253,560 | ) | — | ||||||||||||||
Written Options | 264,145 | 264,145 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 112,169 | $ | (326,499 | ) | $ | 692,228 | $ | (253,560 | ) | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Forwards | $ | 994,643 | $ | — | $ | 994,643 | $ | — | $ | — | ||||||||||
Futures | (320,613 | ) | (354,887 | ) | 34,274 | — | — | |||||||||||||
Purchased Options | (806,646 | ) | (853,081 | ) | 46,435 | — | — | |||||||||||||
Swaps | (4,102,170 | ) | (3,875,310 | ) | — | (226,860 | ) | — | ||||||||||||
Written Options | 1,043,224 | 1,028,286 | 7,197 | 7,741 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (3,191,562 | ) | $ | (4,054,992 | ) | $ | 1,082,549 | $ | (219,119 | ) | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Global Bond | ||||||||||||||||||||
Forwards | $ | 1,080,316 | $ | — | $ | 1,080,316 | $ | — | $ | — | ||||||||||
Futures | (367,225 | ) | (367,225 | ) | — | — | — | |||||||||||||
Purchased Options | 32,465 | — | 32,465 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 745,556 | $ | (367,225 | ) | $ | 1,112,781 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Forwards | $ | 95,057 | $ | — | $ | 95,057 | $ | — | $ | — | ||||||||||
Futures | (436,052 | ) | — | — | — | (436,052 | ) | |||||||||||||
Purchased Options | 144,396 | — | — | — | 144,396 | |||||||||||||||
Written Options | 211,818 | — | — | — | 211,818 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 15,219 | $ | — | $ | 95,057 | $ | — | $ | (79,838 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Index | ||||||||||||||||||||
Futures | $ | (230,345 | ) | $ | — | $ | — | $ | — | $ | (230,345 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Value Equity | ||||||||||||||||||||
Futures | $ | (1,318,486 | ) | $ | — | $ | — | $ | — | $ | (1,318,486 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Growth Equity | ||||||||||||||||||||
Futures | $ | (1,618,936 | ) | $ | — | $ | — | $ | — | $ | (1,618,936 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Cap Equity | ||||||||||||||||||||
Forwards | $ | (2,961 | ) | $ | — | $ | (2,961 | ) | $ | — | $ | — | ||||||||
Futures | (3,701,341 | ) | (206,675 | ) | — | — | (3,494,666 | ) | ||||||||||||
Purchased Options | 954 | (8,325 | ) | 9,279 | — | — | ||||||||||||||
Written Options | 1,839 | 1,839 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (3,701,509 | ) | $ | (213,161 | ) | $ | 6,318 | $ | — | $ | (3,494,666 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
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Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Total Value at 12/31/14 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||||||||||||||
International Equity | ||||||||||||||||||||
Forwards | $ | 1,210,017 | $ | — | $ | 1,210,017 | $ | — | $ | — | ||||||||||
Futures | (3,712,727 | ) | — | — | — | (3,712,727 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (2,502,710 | ) | $ | — | $ | 1,210,017 | $ | — | $ | (3,712,727 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Emerging Markets Equity | ||||||||||||||||||||
Forwards | $ | (1,251,398 | ) | $ | — | $ | (1,251,398 | ) | $ | — | $ | — | ||||||||
Futures | (698,739 | ) | — | — | — | (698,739 | ) | |||||||||||||
Swaps | (8,276 | ) | — | — | — | (8,276 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (1,958,413 | ) | $ | — | $ | (1,251,398 | ) | $ | — | $ | (707,015 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Forwards | $ | 1,085,959 | $ | — | $ | 1,085,959 | $ | — | $ | — | ||||||||||
Futures | (1,212,441 | ) | (1,212,441 | ) | — | — | — | |||||||||||||
Purchased Options | 87,091 | (52,160 | ) | 216,283 | (77,032 | ) | — | |||||||||||||
Written Options | (56,849 | ) | 54,846 | (111,695 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | (96,240 | ) | $ | (1,209,755 | ) | $ | 1,190,547 | $ | (77,032 | ) | $ | — | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Real Estate Securities | ||||||||||||||||||||
Futures | $ | (6,888 | ) | $ | — | $ | — | $ | — | $ | (6,888 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
Volume of Derivative Transactions
The table below summarizes the average balance of derivative holdings by fund during the year ended December 31, 2014. 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 | $ | — | $ | 563,593 | $ | — | $ | — | ||||||||
MyDestination 2015 | — | 6,124,198 | — | — | ||||||||||||
MyDestination 2025 | — | 9,620,550 | — | — | ||||||||||||
MyDestination 2035 | — | 7,085,683 | — | — | ||||||||||||
MyDestination 2045 | — | 4,924,930 | — | — | ||||||||||||
MyDestination 2055 | — | 403,969 | — | — | ||||||||||||
Conservative Allocation | — | 4,132,660 | — | — | ||||||||||||
Balanced Allocation | — | 25,785,188 | — | — | ||||||||||||
Growth Allocation | — | 20,441,188 | — | — | ||||||||||||
Aggressive Allocation | — | 18,808,678 | — | — | ||||||||||||
Conservative Allocation I | — | 198,161 | — | — | ||||||||||||
Balanced Allocation I | — | 6,337,618 | — | — | ||||||||||||
Growth Allocation I | — | 4,660,898 | — | — | ||||||||||||
Aggressive Allocation I | — | 3,300,738 | — | — | ||||||||||||
Low-Duration Bond | 32,030,961 | 302,744,503 | 237,928 | 74,715,144 | ||||||||||||
Medium-Duration Bond | 32,773,025 | 276,078,966 | 497,606 | 1,661,119,500 | ||||||||||||
Global Bond | 26,476,689 | 15,679,663 | 62,659 | — | ||||||||||||
Defensive Market Strategies | 1,309,172 | 22,006,113 | 61,689 | — | ||||||||||||
Equity Index | — | 14,683,292 | — | — | ||||||||||||
Value Equity | — | 40,278,626 | — | — | ||||||||||||
Growth Equity | — | 64,059,650 | — | — | ||||||||||||
Small Cap Equity | 2,360,818 | 32,847,375 | 8,114 | — |
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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) | |||||||||||||
International Equity | $ | 297,946,186 | $ 150,394,940 | $ | — | $ | — | |||||||||
Emerging Markets Equity | 99,946,511 | 37,716,709 | — | — | ||||||||||||
Inflation Protected Bond | 7,836,371 | 58,802,611 | 191,171 | — | ||||||||||||
Real Estate Securities | — | 5,208,438 | — | — | ||||||||||||
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 | $ | 72,712,952 | $173,097,331 | $ | 263,096 | $ | 25,981,900 | |||||||||
Medium-Duration Bond | 79,818,975 | 200,847,336 | 858,767 | 4,177,876,750 | ||||||||||||
Global Bond | 37,414,405 | 12,615,414 | — | — | ||||||||||||
Defensive Market Strategies | 6,766,923 | — | 476,674 | — | ||||||||||||
Small Cap Equity | 3,752,342 | 27,463,438 | 5,965 | — | ||||||||||||
International Equity | 273,399,419 | 4,779,775 | — | — | ||||||||||||
Emerging Markets Equity | 91,077,206 | 4,730,065 | — | 770,166 | ||||||||||||
Inflation Protected Bond | 34,266,122 | 85,227,994 | 101,138 | — |
j. Dividends and Distributions to Shareholders
The Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund, Global Bond Fund and Flexible Income Fund declare and pay dividends from net investment income monthly. The Money Market Fund declares income dividends daily and pays them monthly. Each of the Defensive
Market Strategies Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund and Growth Equity Fund declares and pays dividends from net investment income semi-annually. Each of the other Funds (including all the Date Target Funds and Asset Allocation Funds) declares and pays dividends from net investment income annually. Each Fund also distributes to its shareholders at least annually any realized net capital gains and net gains, if any, from certain foreign currency transactions. Dividends and distributions to shareholders are recorded on the ex-dividend date.
k. 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.
l. 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.
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3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
a. Investment Advisory Fees
Pursuant to a separate investment advisory agreement, GSCM 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 are computed daily based upon the net assets of each Fund. The actual advisory fees accrued and the sub-advisory fees accrued during the year ended December 31, 2014, based upon average daily net assets, were as follows:
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2005 | 0.10% | 0.00% | ||
MyDestination 2015 | 0.10% | 0.00% | ||
MyDestination 2025 | 0.10% | 0.00% | ||
MyDestination 2035 | 0.10% | 0.00% | ||
MyDestination 2045 | 0.10% | 0.00% | ||
MyDestination 2055 | 0.10% | 0.00% | ||
Conservative Allocation | 0.10% | 0.00% | ||
Balanced Allocation | 0.10% | 0.00% | ||
Growth Allocation | 0.10% | 0.00% | ||
Aggressive Allocation | 0.10% | 0.00% | ||
Conservative Allocation I | 0.10% | 0.00% | ||
Balanced Allocation I | 0.10% | 0.00% | ||
Growth Allocation I | 0.10% | 0.00% | ||
Aggressive Allocation I | 0.10% | 0.00% | ||
Money Market | 0.09% | 0.07% | ||
Low-Duration Bond | 0.13% | 0.20% | ||
Medium-Duration Bond | 0.21% | 0.21% | ||
Extended-Duration Bond | 0.25% | 0.24% | ||
Global Bond | 0.21% | 0.25% | ||
Defensive Market Strategies | 0.37% | 0.34% | ||
Equity Index | 0.13% | 0.02% | ||
Value Equity | 0.40% | 0.22% | ||
Growth Equity | 0.45% | 0.38% | ||
Small Cap Equity | 0.27% | 0.63% | ||
International Equity | 0.47% | 0.41% | ||
Emerging Markets Equity | 0.47% | 0.78% | ||
Inflation Protected Bond | 0.20% | 0.11% | ||
Flexible Income | 0.25% | 0.49% | ||
Real Assets | 0.10% | 0.00% | ||
Real Estate Securities | 0.28% | 0.43% | ||
Global Natural Resources Equity | 0.39% | 0.65% |
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For the year ended December 31, 2014, advisory fees and waivers for each Fund were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee (Reimbursement) | ||||||||||
MyDestination 2005 | $ | 89,544 | $ | (32,879 | ) | $ | 56,665 | |||||
MyDestination 2015 | 467,521 | — | 467,521 | |||||||||
MyDestination 2025 | 607,984 | — | 607,984 | |||||||||
MyDestination 2035 | 329,769 | — | 329,769 | |||||||||
MyDestination 2045 | 234,348 | 77,156 | 311,504 | |||||||||
MyDestination 2055 | 21,762 | (91,150 | ) | (69,388 | ) | |||||||
Conservative Allocation | 319,238 | (131,974 | ) | 187,264 | ||||||||
Balanced Allocation | 1,309,898 | (107,068 | ) | 1,202,830 | ||||||||
Growth Allocation | 967,268 | (95,613 | ) | 871,655 | ||||||||
Aggressive Allocation | 875,638 | (85,002 | ) | 790,636 | ||||||||
Conservative Allocation I | 81,422 | (41,323 | ) | 40,099 | ||||||||
Balanced Allocation I | 389,385 | — | 389,385 | |||||||||
Growth Allocation I | 273,287 | — | 273,287 | |||||||||
Aggressive Allocation I | 188,567 | (3,175 | ) | 185,392 | ||||||||
Money Market(1) | 1,190,257 | — | 1,190,257 | |||||||||
Low-Duration Bond | 1,130,395 | (729,777 | ) | 400,618 | ||||||||
Medium-Duration Bond | 1,775,320 | (963,171 | ) | 812,149 | ||||||||
Extended-Duration Bond | 726,131 | (187,137 | ) | 538,994 | ||||||||
Global Bond | 804,642 | (90,441 | ) | 714,201 | ||||||||
Defensive Market Strategies | 1,963,819 | 155,755 | 2,119,574 | |||||||||
Equity Index | 494,993 | (301,485 | ) | 193,508 | ||||||||
Value Equity | 5,498,800 | (93,142 | ) | 5,405,658 | ||||||||
Growth Equity | 6,523,401 | (623,789 | ) | 5,899,612 | ||||||||
Small Cap Equity | 1,499,648 | (135,838 | ) | 1,363,810 | ||||||||
International Equity | 6,630,434 | (995,584 | ) | 5,634,850 | ||||||||
Emerging Markets Equity | 1,438,021 | (1,057,396 | ) | 380,625 | ||||||||
Inflation Protected Bond | 602,106 | (33,677 | ) | 568,429 | ||||||||
Flexible Income | 298,413 | (37,045 | ) | 261,368 | ||||||||
Real Assets | 48,517 | (112,332 | ) | (63,815 | ) | |||||||
Real Estate Securities | 709,393 | (12,835 | ) | 696,558 | ||||||||
Global Natural Resources Equity | 1,089,302 | (49,148 | ) | 1,040,154 |
(1) | The Statement of Operations “Expenses waived/reimbursed net of amount recaptured” for the Money Market Fund includes shareholder servicing fee waiver and other waivers, respectively, in addition to the advisory fee waiver. |
b. Shareholder Servicing Fees
The Board of Trustees has adopted a Shareholder Service Plan for the Investor Class of each Select Fund. Under this Plan, the Investor Class of each Select Fund, with the exception of the Real Assets Fund, is authorized to pay fees of 0.24% of average daily net assets to parties that provide services for and maintain shareholder accounts.
The Board of Trustees voluntarily agreed to waive shareholder servicing fees and/or reimburse expenses for the Investor 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.
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c. Expense Limitation
GSCM has agreed, through April 30, 2015, to waive fees and reimburse expenses of the Institutional Class and Investor 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 | Institutional Class | Investor 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% | ||
Global Bond | N/A | 1.02% | ||
Defensive Market Strategies | 0.99% | 1.25% | ||
Equity Index | 0.23% | 0.38% | ||
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% | ||
Emerging Markets Equity | 1.25% | 1.50% | ||
Inflation Protected Bond | N/A | 0.67% | ||
Flexible Income | N/A | 1.20% | ||
Real Assets | N/A | 0.12% | ||
Real Estate Securities | N/A | 1.29% | ||
Global Natural Resources Equity | N/A | 1.50% |
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 December 31, 2014, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
Institutional Class | Investor Class | |||||||||||||||||||||||||||||||||
2012 | 2013 | 2014 | 2012 | 2013 | 2014 | |||||||||||||||||||||||||||||
MyDestination 2005 | N/A | N/A | N/A | $ | 48,296 | $ | 40,223 | $ | 32,879 | |||||||||||||||||||||||||
MyDestination 2015 | 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 | ||||||||||||||||||||||||||||
MyDestination 2035 | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
MyDestination 2045 | N/A | N/A | N/A | 12,182 | N/A | N/A | ||||||||||||||||||||||||||||
MyDestination 2055 | N/A | N/A | N/A | 95,601 | 87,450 | 91,150 | ||||||||||||||||||||||||||||
Conservative Allocation | N/A | N/A | N/A | 119,266 | 122,093 | 131,974 | ||||||||||||||||||||||||||||
Balanced Allocation | N/A | N/A | N/A | 117,270 | 98,366 | 107,068 | ||||||||||||||||||||||||||||
Growth Allocation | N/A | N/A | N/A | 104,633 | 87,577 | 95,613 | ||||||||||||||||||||||||||||
Aggressive Allocation | N/A | N/A | N/A | 97,258 | 79,432 | 85,002 | ||||||||||||||||||||||||||||
Conservative Allocation I | $ | 42,753 | $ | 43,252 | $ | 41,323 | N/A | N/A | N/A | |||||||||||||||||||||||||
Balanced Allocation I | 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 | ||||||||||||||||||||||||||||
Aggressive Allocation I | 17,895 | 9,637 | 3,175 | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Money Market | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Low-Duration Bond | 53,538 | 62,386 | 64,909 | 493,263 | 539,623 | 566,567 | ||||||||||||||||||||||||||||
Medium-Duration Bond | 12,070 | 48,408 | 51,107 | 679,378 | 703,036 | 727,829 | ||||||||||||||||||||||||||||
Extended-Duration Bond | N/A | N/A | N/A | 82,647 | 129,150 | 160,084 | ||||||||||||||||||||||||||||
Global Bond | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Defensive Market Strategies | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Equity Index | N/A | N/A | N/A | 210,543 | 234,035 | 267,432 | ||||||||||||||||||||||||||||
Value Equity | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Growth Equity | N/A | N/A | N/A | 544,115 | 254,800 | 471,725 | ||||||||||||||||||||||||||||
Small Cap Equity | N/A | N/A | N/A | 186,783 | N/A | 88,208 | ||||||||||||||||||||||||||||
International Equity | 388,370 | 345,716 | 144,687 | 1,703,913 | 1,480,579 | 702,433 | ||||||||||||||||||||||||||||
Emerging Markets Equity | N/A | 22,538 | 176,022 | N/A | 111,351 | 849,038 | ||||||||||||||||||||||||||||
Inflation Protected Bond | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Flexible Income | N/A | N/A | N/A | N/A | 28,255 | $ | 10,828 | |||||||||||||||||||||||||||
Real Assets | N/A | N/A | N/A | N/A | 67,124 | 112,332 | ||||||||||||||||||||||||||||
Real Estate Securities | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Global Natural Resources Equity | N/A | N/A | N/A | N/A | N/A | N/A |
During the year ended December 31, 2014, GSCM recaptured the following amounts:
Institutional Class | Investor Class | |||||||
MyDestination 2045 | N/A | $ | 77,156 | |||||
Defensive Market Strategies | $ | 68,233 | 153,384 | |||||
Equity Index | 220 | 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 as follows:
Fund | Expenses Paid Through Brokerage Service Arrangements | ||||
Defensive Market Strategies | $ | 34,941 | |||
Value Equity | 87,147 | ||||
Growth Equity | 48,532 | ||||
Small Cap Equity | 66,044 | ||||
International Equity | 13,940 | ||||
Global Natural Resources Equity | 14,749 |
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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 year ended December 31, 2014, BNY Mellon received $3,252,549 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, Asset Allocation Funds and the Real Asset Fund do not invest in the underlying Select Funds for the purpose of exercising management or control; however, investments made by each Date Target, Asset Allocation Fund and the Real Asset Fund within each of its principal investment strategies may represent a significant portion of an underlying Select Fund’s net assets. At December 31, 2014, the Date Target, Asset Allocation Funds and the Real Asset Fund 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 | Global Bond | Defen- sive Market Strategies | Value Equity | Growth Equity | Small Cap Equity | Inter- national Equity | Emer- ging Markets Equity | Inflation Protected Bond | Flexible Income | Real Estate Securities | Global Natural Resources Equity | ||||||||||||||||||||||||||||||||||||||||||
MyDestination 2005 | 3.64 | % | 0.81 | % | — | 0.58 | % | 1.74 | % | 0.26 | % | 0.27 | % | 0.18 | % | 0.36 | % | 0.47 | % | 3.00 | % | 3.43 | % | 0.35 | % | 0.61 | % | |||||||||||||||||||||||||||||
MyDestination 2015 | 6.45 | 5.17 | 1.70 | % | 5.56 | 15.11 | 2.17 | 2.21 | 1.64 | 3.00 | 3.78 | 15.86 | 17.19 | 1.95 | 3.24 | |||||||||||||||||||||||||||||||||||||||||
MyDestination 2025 | 4.13 | 5.33 | 3.45 | 9.71 | 19.72 | 4.29 | 4.36 | 3.47 | 6.14 | 7.88 | 8.30 | 7.08 | 6.92 | 6.52 | ||||||||||||||||||||||||||||||||||||||||||
MyDestination 2035 | 0.28 | 1.51 | 0.81 | 7.48 | 0.75 | 3.74 | 3.82 | 3.66 | 5.51 | 7.12 | — | — | �� | 4.50 | 4.48 | |||||||||||||||||||||||||||||||||||||||||
MyDestination 2045 | — | 0.08 | — | 3.83 | — | 2.96 | 3.01 | 3.15 | 4.44 | 5.74 | — | — | 3.15 | 3.18 | ||||||||||||||||||||||||||||||||||||||||||
MyDestination 2055 | — | — | — | 0.34 | — | 0.33 | 0.34 | 0.36 | 0.49 | 0.65 | — | — | 0.33 | 0.35 | ||||||||||||||||||||||||||||||||||||||||||
Conservative Allocation | 13.81 | 2.88 | — | 2.11 | 4.86 | 0.75 | 0.77 | 0.48 | 1.04 | 1.31 | 10.30 | 11.83 | 1.18 | 4.14 | ||||||||||||||||||||||||||||||||||||||||||
Balanced Allocation | 16.74 | 17.87 | 11.38 | 25.55 | 18.07 | 6.43 | 6.57 | 4.16 | 8.71 | 11.01 | 24.32 | 29.40 | 13.55 | 26.76 | ||||||||||||||||||||||||||||||||||||||||||
Growth Allocation | 7.45 | 7.99 | 5.14 | 11.51 | — | 9.27 | 9.48 | 5.97 | 12.86 | 16.03 | — | — | 12.57 | 21.44 | ||||||||||||||||||||||||||||||||||||||||||
Aggressive Allocation | — | — | — | — | — | 12.99 | 13.26 | 8.51 | 18.10 | 22.64 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Conservative Allocation I | 5.47 | 1.52 | — | 0.53 | 1.22 | 0.45 | 0.40 | 0.23 | 0.35 | 0.33 | 2.59 | 2.97 | 0.30 | 1.04 | ||||||||||||||||||||||||||||||||||||||||||
Balanced Allocation I | 7.68 | 10.89 | 13.03 | 7.44 | 5.25 | 4.43 | 3.96 | 2.32 | 3.37 | 3.20 | 7.08 | 8.55 | 3.94 | 7.79 | ||||||||||||||||||||||||||||||||||||||||||
Growth Allocation I | 3.36 | 4.79 | 5.78 | 3.29 | — | 6.27 | 5.62 | 3.27 | 4.89 | 4.59 | — | — | 3.60 | 6.13 | ||||||||||||||||||||||||||||||||||||||||||
Aggressive Allocation I | — | — | — | — | — | 6.59 | 5.90 | 3.49 | 5.17 | 4.85 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Real Assets Fund | — | — | — | — | — | — | — | — | — | — | 6.02 | 7.29 | 3.07 | 3.72 |
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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 year ended December 31, 2014 is as follows:
Total Value at 12/31/13 | Total Value at 12/31/14 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2005 | ||||||||||||||||||||||||
Money Market | $ | 1,750,776 | $ | 1,910,861 | $ | 24,267,482 | $ | 24,107,397 | $ | 181 | $ | 112 | ||||||||||||
Low-Duration Bond | 26,643,303 | 33,794,181 | 7,678,198 | 397,000 | 382,380 | 14,318 | ||||||||||||||||||
Medium-Duration Bond | 9,314,107 | 9,488,036 | 777,357 | 941,000 | 173,907 | 23,950 | ||||||||||||||||||
Global Bond | 2,303,743 | 2,331,291 | 189,744 | 153,500 | 79,744 | — | ||||||||||||||||||
Defensive Market Strategies | 9,615,183 | 9,987,044 | 1,422,563 | 1,239,500 | 108,879 | 698,185 | ||||||||||||||||||
Value Equity | 4,530,323 | 4,673,762 | 959,550 | 933,000 | 41,322 | 350,729 | ||||||||||||||||||
Growth Equity | 4,515,306 | 4,664,644 | 1,104,942 | 990,500 | — | 448,442 | ||||||||||||||||||
Small Cap Equity | 1,089,610 | 1,158,017 | 280,005 | 154,000 | 1,300 | 108,704 | ||||||||||||||||||
International Equity | 5,319,158 | 5,316,895 | 1,200,285 | 800,000 | 111,785 | — | ||||||||||||||||||
Emerging Markets Equity | 1,475,630 | 1,398,322 | 244,389 | 230,500 | 6,827 | 28,061 | ||||||||||||||||||
Inflation Protected Bond | 9,885,972 | 9,093,029 | 1,184,286 | 2,061,500 | 206,286 | — | ||||||||||||||||||
Flexible Income | 4,132,693 | 4,486,247 | 498,440 | 10,000 | 132,391 | 9,548 | ||||||||||||||||||
Real Estate Securities | 830,902 | 933,078 | 118,627 | 98,500 | 21,992 | 31,135 | ||||||||||||||||||
Global Natural Resources Equity | 1,650,400 | 1,607,567 | 459,802 | 144,500 | 4,884 | 35,918 | ||||||||||||||||||
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$ | 83,057,106 | $ | 90,842,974 | $ | 40,385,670 | $ | 32,260,897 | $ | 1,271,878 | $ | 1,749,102 | |||||||||||||
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MyDestination 2015 | ||||||||||||||||||||||||
Money Market | $ | 6,090,835 | $ | 6,850,488 | $ | 51,944,342 | $ | 51,184,689 | $ | 715 | $ | 376 | ||||||||||||
Low-Duration Bond | 49,961,846 | 59,822,143 | 10,757,995 | 680,000 | 682,503 | 25,492 | ||||||||||||||||||
Medium-Duration Bond | 51,248,345 | 60,578,712 | 7,557,502 | 150,000 | 1,044,586 | 152,916 | ||||||||||||||||||
Extended-Duration Bond | 7,125,395 | 7,928,977 | 1,161,823 | 1,210,000 | 208,850 | 168,973 | ||||||||||||||||||
Global Bond | 19,687,399 | 22,334,469 | 2,797,642 | — | 722,642 | — | ||||||||||||||||||
Defensive Market Strategies | 79,140,133 | 86,850,243 | 8,715,260 | 2,325,000 | 945,940 | 6,069,320 | ||||||||||||||||||
Value Equity | 36,830,884 | 38,758,256 | 4,161,822 | 2,925,000 | 346,301 | 2,915,521 | ||||||||||||||||||
Growth Equity | 37,360,474 | 38,605,800 | 5,175,095 | 4,075,000 | — | 3,725,096 | ||||||||||||||||||
Small Cap Equity | 9,878,392 | 10,339,751 | 1,657,214 | 650,000 | 11,610 | 970,603 | ||||||||||||||||||
International Equity | 43,575,438 | 43,717,885 | 5,813,147 | 2,060,000 | 919,147 | — | ||||||||||||||||||
Emerging Markets Equity | 11,652,513 | 11,354,421 | 1,643,297 | 1,250,000 | 55,439 | 227,858 | ||||||||||||||||||
Inflation Protected Bond | 42,435,631 | 48,017,050 | 9,762,240 | 4,319,000 | 987,240 | — | ||||||||||||||||||
Flexible Income | 17,072,258 | 22,456,356 | 6,043,576 | — | 599,354 | 44,222 | ||||||||||||||||||
Real Estate Securities | 8,723,360 | 5,262,519 | 320,280 | 4,700,000 | 142,119 | 178,161 | ||||||||||||||||||
Global Natural Resources Equity | 9,862,035 | 8,599,479 | 1,468,266 | 1,000,000 | 26,126 | 192,140 | ||||||||||||||||||
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$ | 430,644,938 | $ | 471,476,549 | $ | 118,979,501 | $ | 76,528,689 | $ | 6,692,572 | $ | 14,670,678 | |||||||||||||
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Total Value at 12/31/13 | Total Value at 12/31/14 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2025 | ||||||||||||||||||||||||
Money Market | $ | 8,386,521 | $ | 12,981,724 | $ | 80,906,009 | $ | 76,310,806 | $ | 1,057 | $ | 772 | ||||||||||||
Low-Duration Bond | 28,603,451 | 38,289,787 | 10,834,214 | 1,000,000 | 428,273 | 15,549 | ||||||||||||||||||
Medium-Duration Bond | 52,073,121 | 62,492,952 | 10,197,971 | 1,780,000 | 1,093,015 | 157,495 | ||||||||||||||||||
Extended-Duration Bond | 13,006,251 | 16,075,404 | 3,243,665 | 1,749,500 | 406,276 | 341,138 | ||||||||||||||||||
Global Bond | 36,500,550 | 38,981,786 | 4,109,262 | 1,369,000 | 1,333,987 | — | ||||||||||||||||||
Defensive Market Strategies | 90,438,214 | 113,348,211 | 21,857,308 | — | 1,208,086 | 7,853,721 | ||||||||||||||||||
Value Equity | 64,490,884 | 76,719,945 | 12,736,244 | 1,527,500 | 660,313 | 5,722,431 | ||||||||||||||||||
Growth Equity | 64,816,050 | 76,205,257 | 15,255,892 | 3,829,500 | — | 7,286,392 | ||||||||||||||||||
Small Cap Equity | 18,870,550 | 21,861,453 | 5,199,205 | 1,081,500 | 24,548 | 2,052,158 | ||||||||||||||||||
International Equity | 77,069,778 | 89,478,946 | 21,327,751 | 1,670,000 | 1,881,251 | — | ||||||||||||||||||
Emerging Markets Equity | 21,153,075 | 23,663,760 | 5,547,603 | 1,500,000 | 114,320 | 455,783 | ||||||||||||||||||
Inflation Protected Bond | 15,858,641 | 25,148,288 | 9,548,523 | 170,000 | 439,523 | — | ||||||||||||||||||
Flexible Income | 5,209,362 | 9,251,864 | 4,299,124 | — | 219,526 | 16,598 | ||||||||||||||||||
Real Estate Securities | 16,051,144 | 18,659,251 | 1,480,304 | 425,000 | 437,508 | 622,296 | ||||||||||||||||||
Global Natural Resources Equity | 16,286,154 | 17,313,698 | 5,239,443 | 240,500 | 52,600 | 386,843 | ||||||||||||||||||
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$ | 528,813,746 | $ | 640,472,326 | $ | 211,782,518 | $ | 92,653,306 | $ | 8,300,283 | $ | 24,911,176 | |||||||||||||
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MyDestination 2035 | ||||||||||||||||||||||||
Money Market | $ | 5,601,401 | $ | 7,156,947 | $ | 49,094,662 | $ | 47,539,116 | $ | 728 | $ | 456 | ||||||||||||
Low-Duration Bond | — | 2,604,914 | 2,621,393 | — | 11,393 | — | ||||||||||||||||||
Medium-Duration Bond | 8,713,362 | 17,700,463 | 8,639,450 | — | 229,028 | 43,922 | ||||||||||||||||||
Extended-Duration Bond | 8,332,236 | 3,762,080 | 2,218,467 | 7,825,000 | 234,780 | 86,687 | ||||||||||||||||||
Global Bond | 22,546,037 | 30,050,179 | 8,170,841 | 350,000 | 911,341 | — | ||||||||||||||||||
Defensive Market Strategies | — | 4,303,574 | 4,427,442 | — | 38,361 | 279,081 | ||||||||||||||||||
Value Equity | 55,746,522 | 66,846,825 | 11,915,432 | 1,645,000 | 580,512 | 5,041,920 | ||||||||||||||||||
Growth Equity | 55,765,221 | 66,774,924 | 13,892,010 | 2,805,500 | — | 6,464,011 | ||||||||||||||||||
Small Cap Equity | 18,951,646 | 23,090,120 | 6,085,421 | 748,500 | 25,927 | 2,167,494 | ||||||||||||||||||
International Equity | 68,380,341 | 80,240,442 | 18,909,016 | 350,000 | 1,687,016 | — | ||||||||||||||||||
Emerging Markets Equity | 19,050,818 | 21,382,838 | 4,682,509 | 886,000 | 104,403 | 429,106 | ||||||||||||||||||
Real Estate Securities | 9,539,390 | 12,141,095 | 1,832,603 | 149,500 | 278,996 | 404,108 | ||||||||||||||||||
Global Natural Resources Equity | 9,529,671 | 11,897,628 | 5,170,146 | 400,000 | 33,712 | 247,933 | ||||||||||||||||||
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$ | 282,156,645 | $ | 347,952,029 | $ | 137,659,392 | $ | 62,698,616 | $ | 4,136,197 | $ | 15,164,718 | |||||||||||||
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Total Value at 12/31/13 | Total Value at 12/31/14 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
MyDestination 2045 | ||||||||||||||||||||||||
Money Market | $ | 4,335,152 | $ | 5,036,721 | $ | 32,906,215 | $ | 32,204,646 | $ | 510 | $ | 339 | ||||||||||||
Medium-Duration Bond | — | 954,926 | 1,956,711 | 1,000,000 | 4,301 | 2,410 | ||||||||||||||||||
Extended-Duration Bond | 2,049,390 | — | 219,331 | 2,505,937 | 49,718 | 2,612 | ||||||||||||||||||
Global Bond | 11,296,170 | 15,384,277 | 4,509,448 | 260,000 | 447,948 | — | ||||||||||||||||||
Value Equity | 43,786,511 | 52,906,662 | 9,323,518 | 835,000 | 454,480 | 3,944,537 | ||||||||||||||||||
Growth Equity | 43,675,710 | 52,573,836 | 10,458,354 | 1,500,000 | — | 5,015,354 | ||||||||||||||||||
Small Cap Equity | 16,131,917 | 19,853,981 | 5,047,008 | 275,000 | 22,293 | 1,863,714 | ||||||||||||||||||
International Equity | 54,502,717 | 64,750,708 | 15,948,349 | 410,000 | 1,345,849 | — | ||||||||||||||||||
Emerging Markets Equity | 15,188,913 | 17,237,150 | 3,995,573 | 827,000 | 84,161 | 345,911 | ||||||||||||||||||
Real Estate Securities | 6,964,203 | 8,497,709 | 979,559 | 107,000 | 196,539 | 283,020 | ||||||||||||||||||
Global Natural Resources Equity | 6,900,755 | 8,436,522 | 3,833,630 | 640,000 | 25,631 | 188,499 | ||||||||||||||||||
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$ | 204,831,438 | $ | 245,632,492 | $ | 89,177,696 | $ | 40,564,583 | $ | 2,631,430 | $ | 11,646,396 | |||||||||||||
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MyDestination 2055 | ||||||||||||||||||||||||
Money Market | $ | 415,075 | $ | 709,183 | $ | 9,328,552 | $ | 9,034,444 | $ | 51 | $ | 38 | ||||||||||||
Global Bond | 789,543 | 1,361,445 | 617,671 | 25,500 | 37,121 | — | ||||||||||||||||||
Value Equity | 3,407,487 | 5,826,452 | 2,582,392 | 182,000 | 45,826 | 425,567 | ||||||||||||||||||
Growth Equity | 3,393,408 | 5,880,705 | 2,859,445 | 326,500 | — | 539,446 | ||||||||||||||||||
Small Cap Equity | 1,280,757 | 2,268,008 | 1,187,732 | 84,500 | 2,547 | 208,185 | ||||||||||||||||||
International Equity | 4,243,038 | 7,171,664 | 3,622,718 | 122,750 | 148,218 | — | ||||||||||||||||||
Emerging Markets Equity | 1,191,035 | 1,938,503 | 1,022,616 | 132,250 | 9,465 | 38,901 | ||||||||||||||||||
Real Estate Securities | 528,778 | 881,955 | 333,483 | 33,500 | 19,707 | 29,276 | ||||||||||||||||||
Global Natural Resources Equity | 532,392 | 922,666 | 690,418 | 105,000 | 2,803 | 20,615 | ||||||||||||||||||
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$ | 15,781,513 | $ | 26,960,581 | $ | 22,245,027 | $ | 10,046,444 | $ | 265,738 | $ | 1,262,028 | |||||||||||||
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Conservative Allocation | ||||||||||||||||||||||||
Money Market | $ | 4,124,830 | $ | 3,302,579 | $ | 38,490,932 | $ | 39,313,183 | $ | 468 | $ | 252 | ||||||||||||
Low-Duration Bond | 181,357,631 | 128,115,480 | 3,616,425 | 56,714,000 | 1,965,642 | 90,783 | ||||||||||||||||||
Medium-Duration Bond | — | 33,734,297 | 34,618,921 | 700,000 | 113,767 | 85,154 | ||||||||||||||||||
Global Bond | — | 8,464,633 | 8,590,920 | — | 15,920 | — | ||||||||||||||||||
Defensive Market Strategies | 24,101,563 | 27,931,117 | 6,696,249 | 2,998,000 | 290,713 | 1,917,536 | ||||||||||||||||||
Value Equity | 11,615,696 | 13,416,106 | 3,306,354 | 1,505,000 | 108,721 | 987,633 | ||||||||||||||||||
Growth Equity | 11,586,568 | 13,369,667 | 3,981,110 | 2,001,000 | — | 1,253,110 | ||||||||||||||||||
Small Cap Equity | 2,552,633 | 3,025,072 | 888,363 | 238,000 | 3,397 | 283,967 | ||||||||||||||||||
International Equity | 12,999,842 | 15,146,967 | 4,477,458 | 1,145,000 | 318,458 | — | ||||||||||||||||||
Emerging Markets Equity | 3,476,288 | 3,932,432 | 1,058,116 | 320,000 | 19,200 | 78,915 | ||||||||||||||||||
Inflation Protected Bond | 37,061,722 | 31,179,137 | 1,038,136 | 7,282,000 | 736,136 | — | ||||||||||||||||||
Flexible Income | 14,017,375 | 15,453,603 | 2,308,078 | 425,000 | 424,092 | 31,986 | ||||||||||||||||||
Real Estate Securities | 3,435,007 | 3,196,748 | 257,055 | 840,000 | 78,009 | 107,046 | ||||||||||||||||||
Global Natural Resources Equity | 12,847,970 | 10,982,229 | 1,886,743 | 1,275,000 | 33,365 | 245,378 | ||||||||||||||||||
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$ | 319,177,125 | $ | 311,250,067 | $ | 111,214,860 | $ | 114,756,183 | $ | 4,107,888 | $ | 5,081,760 | |||||||||||||
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309
Table of Contents
Total Value at 12/31/13 | Total Value at 12/31/14 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Balanced Allocation | ||||||||||||||||||||||||
Money Market | $ | 28,394,843 | $ | 31,194,352 | $ | 70,278,825 | $ | 67,479,316 | $ | 2,831 | $ | 2,040 | ||||||||||||
Low-Duration Bond | 151,286,470 | 155,358,696 | 9,256,033 | 4,715,000 | 1,880,054 | 75,979 | ||||||||||||||||||
Medium-Duration Bond | 203,632,561 | 209,350,903 | 5,768,145 | 7,560,000 | 3,889,692 | 528,453 | ||||||||||||||||||
Extended-Duration Bond | 51,050,418 | 53,087,969 | 6,017,403 | 9,880,000 | 1,453,418 | 1,133,986 | ||||||||||||||||||
Global Bond | 101,512,097 | 102,585,859 | 4,121,817 | 2,500,000 | 3,621,817 | — | ||||||||||||||||||
Defensive Market Strategies | 103,700,222 | 103,864,940 | 8,451,951 | 10,225,000 | 1,148,844 | 7,303,107 | ||||||||||||||||||
Value Equity | 115,385,816 | 115,024,563 | 11,112,579 | 13,800,000 | 1,050,676 | 8,696,904 | ||||||||||||||||||
Growth Equity | 117,555,854 | 114,790,336 | 13,074,370 | 16,163,000 | — | 11,074,371 | ||||||||||||||||||
Small Cap Equity | 25,883,218 | 26,216,986 | 3,869,455 | 2,125,000 | 29,438 | 2,461,016 | ||||||||||||||||||
International Equity | 132,825,976 | 126,897,358 | 7,197,955 | 2,645,000 | 2,667,955 | — | ||||||||||||||||||
Emerging Markets Equity | 35,939,786 | 33,071,501 | 2,325,146 | 2,985,000 | 161,474 | 663,672 | ||||||||||||||||||
Inflation Protected Bond | 72,324,031 | 73,637,055 | 5,299,171 | 4,475,000 | 1,549,171 | — | ||||||||||||||||||
Flexible Income | 38,381,452 | 38,412,620 | 2,288,236 | 1,075,000 | 1,180,129 | 83,107 | ||||||||||||||||||
Real Estate Securities | 33,665,678 | 36,573,726 | 2,650,798 | 2,940,000 | 861,486 | 1,220,311 | ||||||||||||||||||
Global Natural Resources Equity | 75,969,866 | 70,996,359 | 16,751,977 | 6,950,000 | 215,693 | 1,586,284 | ||||||||||||||||||
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$ | 1,287,508,288 | $ | 1,291,063,223 | $ | 168,463,861 | $ | 155,517,316 | $ | 19,712,678 | $ | 34,829,230 | |||||||||||||
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| |||||||||||||
Growth Allocation | ||||||||||||||||||||||||
Money Market | $ | 19,336,501 | $ | 22,955,888 | $ | 60,978,769 | $ | 57,359,382 | $ | 2,119 | $ | 1,670 | ||||||||||||
Low-Duration Bond | 67,509,057 | 69,123,237 | 5,565,888 | 3,750,000 | 831,984 | 33,904 | ||||||||||||||||||
Medium-Duration Bond | 91,002,174 | 93,623,667 | 4,267,724 | 5,000,000 | 1,731,395 | 236,329 | ||||||||||||||||||
Extended-Duration Bond | 23,302,975 | 23,969,654 | 3,540,095 | 5,550,000 | 653,049 | 512,046 | ||||||||||||||||||
Global Bond | 45,723,874 | 46,197,272 | 2,871,896 | 2,150,000 | 1,621,896 | — | ||||||||||||||||||
Value Equity | 170,602,934 | 165,791,412 | 15,107,902 | 23,130,000 | 1,510,757 | 12,597,145 | ||||||||||||||||||
Growth Equity | 170,653,044 | 165,543,750 | 18,795,545 | 24,500,000 | — | 16,095,544 | ||||||||||||||||||
Small Cap Equity | 37,525,434 | 37,662,459 | 6,289,705 | 4,100,000 | 42,290 | 3,535,415 | ||||||||||||||||||
International Equity | 195,545,699 | 187,390,627 | 11,556,045 | 4,100,000 | 3,898,045 | — | ||||||||||||||||||
Emerging Markets Equity | 52,827,873 | 48,143,848 | 4,461,206 | 6,080,000 | 235,065 | 966,141 | ||||||||||||||||||
Real Estate Securities | 32,195,539 | 33,926,470 | 2,572,882 | 3,952,000 | 809,438 | 1,133,444 | ||||||||||||||||||
Global Natural Resources Equity | 56,743,574 | 56,893,117 | 14,017,778 | 2,550,000 | 163,720 | 1,204,058 | ||||||||||||||||||
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$ | 962,968,678 | $ | 951,221,401 | $ | 150,025,435 | $ | 142,221,382 | $ | 11,499,758 | $ | 36,315,696 | |||||||||||||
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Aggressive Allocation | ||||||||||||||||||||||||
Money Market | $ | 17,878,395 | $ | 19,468,875 | $ | 52,546,141 | $ | 50,955,661 | $ | 1,871 | $ | 1,376 | ||||||||||||
Value Equity | 232,579,031 | 232,399,206 | 19,657,392 | 23,750,000 | 2,090,684 | 17,566,708 | ||||||||||||||||||
Growth Equity | 236,169,182 | 231,696,900 | 27,703,686 | 32,435,000 | — | 22,453,687 | ||||||||||||||||||
Small Cap Equity | 51,819,192 | 53,626,378 | 8,044,181 | 3,215,000 | 60,216 | 5,033,965 | ||||||||||||||||||
International Equity | 267,705,065 | 263,844,623 | 22,734,578 | 4,600,000 | 5,484,578 | — | ||||||||||||||||||
Emerging Markets Equity | 72,347,121 | 67,987,625 | 6,696,315 | 6,515,000 | 331,954 | 1,364,361 | ||||||||||||||||||
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$ | 878,497,986 | $ | 869,023,607 | $ | 137,382,293 | $ | 121,470,661 | $ | 7,969,303 | $ | 46,420,097 | |||||||||||||
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310
Table of Contents
Total Value at 12/31/13 | Total Value at 12/31/14 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Conservative Allocation I | ||||||||||||||||||||||||
Money Market | $ | 1,003,363 | $ | 1,105,057 | $ | 19,849,408 | $ | 19,747,714 | $ | 175 | $ | 71 | ||||||||||||
Low-Duration Bond | 47,501,174 | 32,158,818 | 3,610,815 | 18,562,000 | 933,731 | 37,085 | ||||||||||||||||||
Medium-Duration Bond | — | 8,471,373 | 8,731,076 | 164,000 | 62,521 | 44,555 | ||||||||||||||||||
Global Bond | — | 2,124,498 | 2,155,996 | — | 3,996 | — | ||||||||||||||||||
Defensive Market Strategies | 6,313,658 | 7,015,274 | 1,935,578 | 1,276,000 | 86,099 | 481,479 | ||||||||||||||||||
Value Equity | 3,040,580 | 3,368,119 | 1,280,231 | 628,000 | 78,484 | 533,747 | ||||||||||||||||||
Growth Equity | 3,038,462 | 3,356,776 | 1,403,797 | 756,000 | — | 599,798 | ||||||||||||||||||
Small Cap Equity | 668,463 | 760,771 | 286,289 | 92,000 | 5,016 | 125,273 | ||||||||||||||||||
International Equity | 3,405,600 | 3,806,585 | 1,257,464 | 532,000 | 117,464 | — | ||||||||||||||||||
Emerging Markets Equity | 912,549 | 987,186 | 295,060 | 152,000 | 7,298 | 19,762 | ||||||||||||||||||
Inflation Protected Bond | 9,704,788 | 7,831,173 | 899,679 | 2,880,000 | 187,679 | — | ||||||||||||||||||
Flexible Income | 3,673,259 | 3,881,602 | 776,256 | 456,000 | 108,113 | 8,143 | ||||||||||||||||||
Real Estate Securities | 900,449 | 800,286 | 82,490 | 272,000 | 19,671 | 26,818 | ||||||||||||||||||
Global Natural Resources Equity | 3,364,729 | 2,756,076 | 629,953 | 640,000 | 8,373 | 61,580 | ||||||||||||||||||
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| |||||||||||||
$ | 83,527,074 | $ | 78,423,594 | $ | 43,194,092 | $ | 46,157,714 | $ | 1,618,620 | $ | 1,938,311 | |||||||||||||
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Balanced Allocation I | ||||||||||||||||||||||||
Money Market | $ | 7,009,585 | $ | 6,957,931 | $ | 41,528,408 | $ | 41,580,062 | $ | 1,114 | $ | 430 | ||||||||||||
Low-Duration Bond | 45,601,127 | 45,182,622 | 4,450,117 | 4,336,000 | 1,026,615 | 35,502 | ||||||||||||||||||
Medium-Duration Bond | 61,464,073 | 60,894,618 | 4,876,901 | 6,180,000 | 2,584,889 | 320,012 | ||||||||||||||||||
Extended-Duration Bond | 15,414,850 | 15,442,110 | 4,388,363 | 4,048,000 | 1,646,566 | 1,209,796 | ||||||||||||||||||
Global Bond | 30,621,300 | 29,855,998 | 2,017,571 | 2,628,000 | 1,081,571 | — | ||||||||||||||||||
Defensive Market Strategies | 31,292,866 | 30,225,875 | 3,087,954 | 4,788,000 | 397,677 | 2,130,277 | ||||||||||||||||||
Value Equity | 34,815,915 | 33,483,341 | 7,430,904 | 6,128,000 | 879,058 | 5,459,846 | ||||||||||||||||||
Growth Equity | 35,474,776 | 33,391,818 | 7,267,283 | 6,644,000 | — | 6,163,284 | ||||||||||||||||||
Small Cap Equity | 7,810,599 | 7,626,332 | 1,858,079 | 1,072,000 | 50,284 | 1,255,795 | ||||||||||||||||||
International Equity | 40,093,098 | 36,958,652 | 3,456,557 | 3,228,000 | 1,140,557 | — | ||||||||||||||||||
Emerging Markets Equity | 10,840,765 | 9,623,357 | 1,167,682 | 1,744,000 | 71,114 | 192,567 | ||||||||||||||||||
Inflation Protected Bond | 21,817,397 | 21,433,733 | 2,012,102 | 2,552,000 | 460,102 | — | ||||||||||||||||||
Flexible Income | 11,576,680 | 11,176,086 | 956,242 | 1,008,000 | 351,815 | 24,427 | ||||||||||||||||||
Real Estate Securities | 10,155,515 | 10,641,473 | 1,004,501 | 1,488,000 | 253,094 | 355,406 | ||||||||||||||||||
Global Natural Resources Equity | 22,917,798 | 20,662,250 | 5,464,332 | 3,348,000 | 62,761 | 461,571 | ||||||||||||||||||
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$ | 386,906,344 | $ | 373,556,196 | $ | 90,966,996 | $ | 90,772,062 | $ | 10,007,217 | $ | 17,608,913 | |||||||||||||
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311
Table of Contents
Total Value at 12/31/13 | Total Value at 12/31/14 | Purchases | Sales Proceeds | Dividend Income | Distributions of Realized Gains | |||||||||||||||||||
Growth Allocation I | ||||||||||||||||||||||||
Money Market | $ | 5,114,024 | $ | 4,836,862 | $ | 21,426,900 | $ | 21,704,062 | $ | 786 | $ | 313 | ||||||||||||
Low-Duration Bond | 18,996,085 | 19,757,423 | 2,671,661 | 1,680,000 | 436,789 | 14,873 | ||||||||||||||||||
Medium-Duration Bond | 25,627,848 | 26,764,932 | 3,063,954 | 2,224,000 | 1,098,686 | 141,268 | ||||||||||||||||||
Extended-Duration Bond | 6,560,575 | 6,855,247 | 2,183,036 | 1,736,000 | 705,133 | 537,902 | ||||||||||||||||||
Global Bond | 12,867,895 | 13,214,669 | 1,328,268 | 900,000 | 460,268 | — | ||||||||||||||||||
Value Equity | 47,984,403 | 47,438,832 | 10,468,279 | 7,068,000 | 1,222,760 | 7,765,518 | ||||||||||||||||||
Growth Equity | 48,042,442 | 47,327,507 | 11,362,871 | 8,124,000 | — | 8,786,871 | ||||||||||||||||||
Small Cap Equity | 10,554,319 | 10,772,988 | 2,997,129 | 1,388,000 | 71,345 | 1,781,784 | ||||||||||||||||||
International Equity | 55,049,827 | 53,640,213 | 6,024,807 | 2,524,000 | 1,644,807 | — | ||||||||||||||||||
Emerging Markets Equity | 14,866,752 | 13,774,951 | 1,974,796 | 2,168,000 | 102,160 | 276,636 | ||||||||||||||||||
Real Estate Securities | 9,059,241 | 9,706,295 | 1,121,119 | 1,348,000 | 231,751 | 325,368 | ||||||||||||||||||
Global Natural Resources Equity | 15,970,817 | 16,273,007 | 4,652,800 | 1,068,000 | 47,017 | 345,783 | ||||||||||||||||||
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| |||||||||||||
$ | 270,694,228 | $ | 270,362,926 | $ | 69,275,620 | $ | 51,932,062 | $ | 6,021,502 | $ | 19,976,316 | |||||||||||||
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Aggressive Allocation I | ||||||||||||||||||||||||
Money Market | $ | 3,618,856 | $ | 3,356,259 | $ | 17,017,881 | $ | 17,280,478 | $ | 527 | $ | 229 | ||||||||||||
Value Equity | 49,964,167 | 49,846,967 | 10,843,769 | 6,776,000 | 1,284,048 | 8,123,720 | ||||||||||||||||||
Growth Equity | 50,784,861 | 49,654,121 | 11,489,376 | 8,408,000 | — | 9,201,376 | ||||||||||||||||||
Small Cap Equity | 11,136,469 | 11,499,645 | 3,024,818 | 1,156,000 | 75,953 | 1,896,865 | ||||||||||||||||||
International Equity | 57,574,864 | 56,610,739 | 7,093,816 | 2,872,000 | 1,729,816 | — | ||||||||||||||||||
Emerging Markets Equity | 15,535,488 | 14,577,678 | 2,020,253 | 2,008,000 | 107,947 | 292,306 | ||||||||||||||||||
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| |||||||||||||
$ | 188,614,705 | $ | 185,545,409 | $ | 51,489,913 | $ | 38,500,478 | $ | 3,198,291 | $ | 19,514,496 | |||||||||||||
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Real Assets | ||||||||||||||||||||||||
Money Market | $ | 377,614 | $ | 605,669 | $ | 21,644,202 | $ | 21,416,147 | $ | 92 | $ | 52 | ||||||||||||
Inflation Protected Bond | 8,964,518 | 18,226,105 | 11,797,300 | 2,406,970 | 340,898 | — | ||||||||||||||||||
Flexible Income | 4,619,355 | 9,524,262 | 6,121,246 | 924,060 | 252,665 | 17,925 | ||||||||||||||||||
Real Estate Securities | 4,151,983 | 8,272,816 | 5,208,029 | 1,656,196 | 190,619 | 283,458 | ||||||||||||||||||
Global Natural Resources Equity | 4,788,101 | 9,880,345 | 9,022,985 | 1,388,434 | 30,017 | 229,621 | ||||||||||||||||||
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$ | 22,901,571 | $ | 46,509,197 | $ | 53,793,762 | $ | 27,791,807 | $ | 814,291 | $ | 531,056 | |||||||||||||
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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 year ended December 31, 2014, the Funds engaged in the following security transactions with affiliates:
Purchases | Sales Proceeds | Net Realized Loss from Sales | ||||||||||
Low-Duration Bond | $ | 41,902,010 | $ | 41,185,536 | $ | 525,372 | ||||||
Medium-Duration Bond | 5,757,320 | 9,969,856 | 1,650,446 | |||||||||
Defensive Market Strategies | — | 932,607 | 319,968 |
312
Table of Contents
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, which invests in securities that satisfy the quality requirements of Rule 2a-7 and have short maturities. This investment is presented on the Funds’ Schedules of Investments. The Funds do not have control of non-cash securities lending collateral: as such, this amount is not presented on the Funds’ Schedules of Investments. At December 31, 2014, 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 | ||||||||||||
Low-Duration Bond | $ | 76,429,909 | $ | 4,945,595 | $ | 73,502,584 | $ | 78,448,179 | ||||||||
Medium-Duration Bond | 144,361,200 | 14,963,551 | 132,049,333 | 147,012,884 | ||||||||||||
Extended-Duration Bond | 64,310,927 | 22,331,853 | 43,396,372 | 65,728,225 | ||||||||||||
Global Bond | 48,318,838 | 1,117,265 | 48,325,335 | 49,442,600 | ||||||||||||
Defensive Market Strategies | 75,888,217 | 1,324,832 | 76,778,472 | 78,103,304 | ||||||||||||
Equity Index | 34,251,792 | 921,863 | 34,327,381 | 35,249,244 | ||||||||||||
Value Equity | 144,036,281 | 2,236,314 | 147,493,810 | 149,730,124 | ||||||||||||
Growth Equity | 264,248,109 | 6,704,989 | 265,272,396 | 271,977,385 | ||||||||||||
Small Cap Equity | 192,127,776 | 238,488 | 198,134,622 | 198,373,110 | ||||||||||||
International Equity | 82,528,429 | 6,419,010 | 80,066,434 | 86,485,444 | ||||||||||||
Emerging Markets Equity | 25,188,688 | 1,865,527 | 24,435,674 | 26,301,201 | ||||||||||||
Flexible Income | 724,763 | — | 743,930 | 743,930 | ||||||||||||
Real Estate Securities | 33,703,577 | 1,490,815 | 33,776,821 | 35,267,636 | ||||||||||||
Global Natural Resources Equity | 94,538,533 | 5,958,233 | 92,402,069 | 98,360,302 |
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 December 31, 2014, 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) | ||||||||||||
Low-Duration Bond | $ | 76,429,909 | $ | (4,945,595 | ) | $ | (71,484,314 | ) | $ | — | ||||||
Medium-Duration Bond | 144,361,200 | (14,963,551 | ) | (129,397,649 | ) | — | ||||||||||
Extended-Duration Bond | 64,310,927 | (22,331,853 | ) | (41,979,074 | ) | — | ||||||||||
Global Bond | 48,318,838 | (1,117,265 | ) | (47,201,573 | ) | — | ||||||||||
Defensive Market Strategies | 75,888,217 | (1,324,832 | ) | (74,563,385 | ) | — | ||||||||||
Equity Index | 34,251,792 | (921,863 | ) | (33,329,929 | ) | — | ||||||||||
Value Equity | 144,036,281 | (2,236,314 | ) | (141,799,967 | ) | — | ||||||||||
Growth Equity | 264,248,109 | (6,704,989 | ) | (257,543,120 | ) | — | ||||||||||
Small Cap Equity | 192,127,776 | (238,488 | ) | (191,889,288 | ) | — | ||||||||||
International Equity | 82,528,429 | (6,419,010 | ) | (76,109,419 | ) | — | ||||||||||
Emerging Markets Equity | 25,188,688 | (1,865,527 | ) | (23,323,161 | ) | — | ||||||||||
Flexible Income | 724,763 | — | (724,763 | ) | — | |||||||||||
Real Estate Securities | 33,703,577 | (1,490,815 | ) | (32,212,762 | ) | — | ||||||||||
Global Natural Resources Equity | 94,538,533 | (5,958,233 | ) | (88,580,300 | ) | — |
(1) | Net amount represents the net amount receivable due from (payable to) the counterparty in the event of default. |
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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 year ended December 31, 2014, 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 | $ | 13,362,500 | $ | 8,218,000 | $ | — | $ | — | ||||||||
MyDestination 2015 | 46,573,000 | 25,344,000 | — | — | ||||||||||||
MyDestination 2025 | 102,606,879 | 16,343,000 | — | — | ||||||||||||
MyDestination 2035 | 72,549,500 | 15,159,500 | — | — | ||||||||||||
MyDestination 2045 | 44,284,500 | 8,359,937 | — | — | ||||||||||||
MyDestination 2055 | 11,841,800 | 1,012,000 | — | — | ||||||||||||
Conservative Allocation | 63,535,000 | 75,443,000 | — | — | ||||||||||||
Balanced Allocation | 43,648,000 | 88,038,000 | — | — | ||||||||||||
Growth Allocation | 41,235,000 | 84,862,000 | — | — | ||||||||||||
Aggressive Allocation | 30,450,000 | 70,515,000 | — | — | ||||||||||||
Conservative Allocation I | 19,788,000 | 26,410,000 | — | — | ||||||||||||
Balanced Allocation I | 21,824,000 | 49,192,000 | — | — | ||||||||||||
Growth Allocation I | 21,852,000 | 30,228,000 | — | — | ||||||||||||
Aggressive Allocation I | 11,760,000 | 21,220,000 | — | — | ||||||||||||
Low-Duration Bond | 1,045,612,926 | 992,597,548 | 3,408,926,534 | 3,426,752,790 | ||||||||||||
Medium-Duration Bond | 2,179,781,546 | 2,237,954,891 | 1,204,120,631 | 1,111,206,439 | ||||||||||||
Extended-Duration Bond | 36,113,693 | 83,047,256 | 97,232,475 | 58,025,873 | ||||||||||||
Global Bond | 216,733,677 | 182,123,409 | 22,231,092 | 12,198,902 | ||||||||||||
Defensive Market Strategies | 457,910,229 | 448,943,001 | — | — | ||||||||||||
Equity Index | 47,554,701 | 16,814,860 | — | — | ||||||||||||
Value Equity | 545,123,358 | 582,477,949 | — | — | ||||||||||||
Growth Equity | 753,084,037 | 814,321,883 | — | — | ||||||||||||
Small Cap Equity | 547,983,295 | 570,414,572 | 6,619,826 | 15,652,458 | ||||||||||||
International Equity | 615,152,306 | 536,554,882 | — | — | ||||||||||||
Emerging Markets Equity | 136,328,672 | 109,853,288 | — | — | ||||||||||||
Inflation Protected Bond | 21,316,696 | 23,861,644 | 243,222,551 | 228,470,062 | ||||||||||||
Flexible Income | 108,315,206 | 86,420,584 | — | — | ||||||||||||
Real Assets | 37,646,282 | 6,375,660 | — | — | ||||||||||||
Real Estate Securities | 317,119,917 | 320,425,162 | — | — | ||||||||||||
Global Natural Resources Equity | 146,979,423 | 95,654,306 | — | — |
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Financial Futures Contracts
Investments as of December 31, 2014, 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 | |||||||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 5 | $ | 513,100 | GSC | $ | 7,103 | ||||||||||||||||||
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|
| ||||||||||||||||||||||
MyDestination 2015 Fund | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 18 | $ | 2,282,344 | GSC | $ | 13,185 | ||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 14 | 1,230,530 | GSC | (22,210 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 4 | 191,540 | GSC | 1,390 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 21 | 2,155,020 | GSC | 21,469 | ||||||||||||||||||||
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|
| ||||||||||||||||||||||
$ | 5,859,434 | $ | 13,834 | ||||||||||||||||||||||
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| ||||||||||||||||||||||
MyDestination 2025 Fund | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 22 | $ | 2,789,531 | GSC | $ | 10,034 | ||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 31 | 2,724,745 | GSC | (38,224 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 15 | 718,275 | GSC | 10,245 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 50 | 5,131,000 | GSC | 56,647 | ||||||||||||||||||||
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|
|
| ||||||||||||||||||||||
$ | 11,363,551 | $ | 38,702 | ||||||||||||||||||||||
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|
| ||||||||||||||||||||||
MyDestination 2035 Fund | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 9 | $ | 1,141,172 | GSC | $ | 7,190 | ||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 21 | 1,845,795 | GSC | (25,181 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 10 | 478,850 | GSC | 4,370 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 36 | 3,694,320 | GSC | 34,221 | ||||||||||||||||||||
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|
|
| ||||||||||||||||||||||
$ | 7,160,137 | $ | 20,600 | ||||||||||||||||||||||
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| ||||||||||||||||||||||
MyDestination 2045 Fund | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 2 | $ | 253,594 | GSC | $ | 1,597 | ||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 17 | 1,494,215 | GSC | (18,694 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 10 | 478,850 | GSC | 10,780 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 28 | 2,873,360 | GSC | 36,673 | ||||||||||||||||||||
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|
|
| ||||||||||||||||||||||
$ | 5,100,019 | $ | 30,356 | ||||||||||||||||||||||
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|
|
| ||||||||||||||||||||||
MyDestination 2055 Fund | |||||||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 5 | $ | 513,100 | GSC | $ | 7,102 | ||||||||||||||||||
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|
| ||||||||||||||||||||||
Conservative Allocation Fund | |||||||||||||||||||||||||
2-Year U.S. Treasury Note | 03/2015 | 10 | 2,185,938 | GSC | (3,656 | ) | |||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 3 | 263,685 | GSC | (4,815 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 1 | 47,885 | GSC | 735 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 5 | 513,100 | GSC | 12,852 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 3,010,608 | $ | 5,116 | ||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Balanced Allocation Fund | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 24 | $ | 3,043,125 | GSC | $ | 19,174 | ||||||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | 51 | 6,065,414 | GSC | 1,106 | ||||||||||||||||||||
Long U.S. Treasury Bond | 03/2015 | 22 | 3,180,375 | GSC | 88,000 | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 50 | 4,394,750 | GSC | (80,440 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 23 | 1,101,355 | GSC | 3,115 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 86 | 8,825,320 | GSC | 122,176 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 26,610,339 | $ | 153,131 | ||||||||||||||||||||||
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Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | ||||||||||||||||||||
Growth Allocation Fund | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 9 | $ | 1,141,172 | GSC | $ | 5,124 | ||||||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | 23 | 2,735,383 | GSC | (528 | ) | |||||||||||||||||||
Long U.S. Treasury Bond | 03/2015 | 9 | 1,301,062 | GSC | 32,062 | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 61 | 5,361,595 | GSC | (98,255 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 32 | 1,532,320 | GSC | 2,880 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 100 | 10,262,000 | GSC | 141,705 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 22,333,532 | $ | 82,988 | ||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Aggressive Allocation Fund | |||||||||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 71 | $ | 6,240,545 | GSC | $ | (114,355 | ) | |||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 33 | 1,580,205 | GSC | 8,345 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 117 | 12,006,540 | GSC | 165,795 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 19,827,290 | $ | 59,785 | ||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Conservative Allocation Fund I | |||||||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 2 | $ | 205,240 | GSC | $ | 2,841 | ||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Balanced Allocation Fund I | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 5 | $ | 633,984 | GSC | $ | 2,578 | ||||||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | 12 | 1,427,156 | GSC | (1,031 | ) | |||||||||||||||||||
Long U.S. Treasury Bond | 03/2015 | 5 | 722,813 | GSC | 16,406 | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 12 | 1,054,740 | GSC | (19,320 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 5 | 239,425 | GSC | 1,400 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 19 | 1,949,780 | GSC | 26,992 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 6,027,898 | $ | 27,025 | ||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Growth Allocation Fund I | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 1 | $ | 126,797 | GSC | $ | 799 | ||||||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | 4 | 475,719 | GSC | 105 | ||||||||||||||||||||
Long U.S. Treasury Bond | 03/2015 | 2 | 289,125 | GSC | 8,000 | ||||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 12 | 1,054,740 | GSC | (19,320 | ) | |||||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 5 | 239,425 | GSC | 1,400 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 20 | 2,052,400 | GSC | 28,413 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 4,238,206 | $ | 19,397 | ||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Aggressive Allocation Fund I | |||||||||||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 13 | $ | 1,142,635 | GSC | $ | (15,291 | ) | |||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 5 | 239,425 | GSC | 1,400 | ||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 18 | 1,847,160 | GSC | 31,607 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 3,229,220 | $ | 17,716 | ||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Low-Duration Bond Fund | |||||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | (51 | ) | $ | (6,466,641 | ) | UBS | $ | (42,803 | ) | |||||||||||||||
2-Year U.S. Treasury Note | 03/2015 | 1,414 | 309,091,563 | UBS | (73,725 | ) | |||||||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | (106 | ) | (12,606,547 | ) | UBS | 5,098 | ||||||||||||||||||
90-Day Euro | 06/2015 | 1,062 | 264,345,075 | CITI | 13,961 | ||||||||||||||||||||
90-Day Euro | 12/2015 | 240 | 59,451,000 | CITI | (9,230 | ) | |||||||||||||||||||
90-Day Euro | 09/2016 | (286 | ) | (55,045,844 | ) | CITI | (173,339 | ) | |||||||||||||||||
90-Day Euro | 09/2016 | (525 | ) | (101,045,694 | ) | UBS | (384,556 | ) | |||||||||||||||||
90-Day Euro | 03/2018 | (562 | ) | (137,022,625 | ) | CITI | (53,896 | ) | |||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 320,700,287 | $ | (718,490 | ) | |||||||||||||||||||||
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Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | |||||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 1,074 | $ | 136,179,844 | DEUT | $ | 315,804 | |||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | (54 | ) | (6,847,031 | ) | CITI | (8,350 | ) | ||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | (87 | ) | (11,031,328 | ) | GSC | 9,006 | |||||||||||||||
2-Year U.S. Treasury Note | 03/2015 | 188 | 41,095,625 | CITI | (60,560 | ) | ||||||||||||||||
2-Year U.S. Treasury Note | 03/2015 | 91 | 19,892,031 | GSC | (37,843 | ) | ||||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | 103 | 12,249,758 | CITI | (5,127 | ) | ||||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | (62 | ) | (7,373,641 | ) | GSC | 21,283 | |||||||||||||||
Euro Currency | 03/2015 | (8 | ) | (1,210,700 | ) | GSC | 34,274 | |||||||||||||||
Euro-BOBL | 03/2015 | (28 | ) | (4,414,080 | ) | GSC | (29,751 | ) | ||||||||||||||
Euro-Bund | 03/2015 | (15 | ) | (2,829,165 | ) | MLCS | (39,040 | ) | ||||||||||||||
Euro-Bund | 03/2015 | (18 | ) | (3,394,998 | ) | GSC | (55,069 | ) | ||||||||||||||
Italian Govt. Bond Futures | 03/2015 | 44 | 7,219,661 | GSC | 89,184 | |||||||||||||||||
Long U.S. Treasury Bond | 03/2015 | 57 | 8,240,062 | DEUT | 223,929 | |||||||||||||||||
Long U.S. Treasury Bond | 03/2015 | (19 | ) | (2,746,687 | ) | GSC | (33,874 | ) | ||||||||||||||
Long U.S. Treasury Bond | 03/2015 | (93 | ) | (13,444,312 | ) | CITI | (191,401 | ) | ||||||||||||||
Ultra Long U.S. Treasury Bond | 03/2015 | 37 | 6,111,938 | CITI | 201,483 | |||||||||||||||||
Ultra Long U.S. Treasury Bond | 03/2015 | (1 | ) | (165,187 | ) | GSC | (1,128 | ) | ||||||||||||||
90-Day Euro | 06/2015 | 62 | 15,432,575 | CITI | 3,543 | |||||||||||||||||
90-Day Euro | 09/2015 | 31 | 7,699,625 | CITI | 3,745 | |||||||||||||||||
90-Day Euro | 12/2015 | 77 | �� | 19,073,862 | DEUT | 8,588 | ||||||||||||||||
90-Day Euro | 12/2015 | 66 | 16,349,025 | GSC | (39,402 | ) | ||||||||||||||||
90-Day Euro | 03/2016 | 110 | 27,175,500 | DEUT | 50,053 | |||||||||||||||||
90-Day Euro | 06/2016 | 104 | 25,628,200 | DEUT | 50,999 | |||||||||||||||||
90-Day Euro | 06/2016 | 76 | 18,728,300 | GSC | 31,378 | |||||||||||||||||
90-Day Euro | 09/2016 | (29 | ) | (7,129,288 | ) | CITI | (21,503 | ) | ||||||||||||||
90-Day Euro | 06/2017 | (335 | ) | (81,924,250 | ) | DEUT | (369,461 | ) | ||||||||||||||
90-Day Euro | 09/2017 | (334 | ) | (81,583,675 | ) | DEUT | (447,323 | ) | ||||||||||||||
90-Day Euro | 06/2018 | (92 | ) | (22,414,650 | ) | GSC | (192,349 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||
$ | 114,567,014 | $ | (488,912 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||
Global Bond Fund | ||||||||||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | (10 | ) | $ | (1,267,969 | ) | GSC | $ | (9,486 | ) | ||||||||||||
10-Year U.S. Treasury Note | 03/2015 | (10 | ) | (1,267,969 | ) | MSCS | (11,126 | ) | ||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | (20 | ) | (2,535,937 | ) | MLCS | (22,096 | ) | ||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | (21 | ) | (2,662,734 | ) | CITI | (23,201 | ) | ||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | 377 | 44,836,492 | GSC | (38,585 | ) | ||||||||||||||||
Euro-BOBL | 03/2015 | (1 | ) | (157,646 | ) | GSC | (1,055 | ) | ||||||||||||||
Euro-Bund | 03/2015 | (36 | ) | (6,789,995 | ) | GSC | (110,114 | ) | ||||||||||||||
Ultra Long U.S. Treasury Bond | 03/2015 | (19 | ) | (3,138,562 | ) | GSC | (142,413 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||
$ | 27,015,680 | $ | (358,076 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||
Defensive Market Strategies Fund | ||||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 266 | $ | 27,296,920 | GSC | $ | 404,047 | |||||||||||||||
|
|
|
| |||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 149 | $ | 15,290,380 | GSC | $ | 197,656 | |||||||||||||||
|
|
|
| |||||||||||||||||||
Value Equity Fund | ||||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 397 | $ | 40,740,140 | GSC | $ | 472,607 | |||||||||||||||
|
|
|
| |||||||||||||||||||
Growth Equity Fund | ||||||||||||||||||||||
S&P 500® E-Mini | 03/2015 | 610 | $ | 62,598,200 | GSC | $ | 733,237 | |||||||||||||||
|
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Fund/Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Counter- party | Net Unrealized Appreciation (Depreciation) on Futures | ||||||||||||||||||||
Small Cap Equity Fund | |||||||||||||||||||||||||
Russell 2000® IMM-Mini | 03/2015 | 127 | $ | 15,248,890 | GSC | $ | 660,446 | ||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
International Equity Fund | |||||||||||||||||||||||||
AEX Index | 01/2015 | 31 | $ | 3,188,490 | BAR | $ | 198,744 | ||||||||||||||||||
CAC40 Index | 01/2015 | 198 | 10,247,286 | BAR | 658,080 | ||||||||||||||||||||
Hang Seng Index | 01/2015 | 33 | 5,031,929 | BAR | 20,051 | ||||||||||||||||||||
IBEX 35 | 01/2015 | (24 | ) | (2,975,075 | ) | BAR | (25,035 | ) | |||||||||||||||||
MSCI Singapore Index | 01/2015 | 9 | 518,537 | BAR | 3,261 | ||||||||||||||||||||
OMX 30 Index | 01/2015 | 54 | 1,016,022 | BAR | 20,120 | ||||||||||||||||||||
ASX SPI 200 Index | 03/2015 | (145 | ) | (15,930,719 | ) | BAR | (755,501 | ) | |||||||||||||||||
DAX Index | 03/2015 | 14 | 4,168,905 | BAR | 188,051 | ||||||||||||||||||||
FTSE 100 Index® | 03/2015 | 203 | 20,636,956 | BAR | 1,131,329 | ||||||||||||||||||||
FTSE MIB Index | 03/2015 | (51 | ) | (5,883,998 | ) | BAR | (171,289 | ) | |||||||||||||||||
MSCI EAFE Index E-Mini | 03/2015 | 499 | 43,859,605 | GSC | (495,660 | ) | |||||||||||||||||||
S&P/TSE 60 Index | 03/2015 | (34 | ) | (4,984,404 | ) | BAR | (310,909 | ) | |||||||||||||||||
TOPIX Index® | 03/2015 | 140 | 16,450,994 | BAR | (403,689 | ) | |||||||||||||||||||
Hang Seng Index | 01/2015 | 44 | 6,709,239 | GSC | 60,592 | ||||||||||||||||||||
Swiss Synthetic | 03/2015 | (134 | ) | (12,005,009 | ) | JPM | (207,228 | ) | |||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 70,048,758 | $ | (89,083 | ) | |||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Emerging Markets Equity Fund | |||||||||||||||||||||||||
HSCEI China Index | 01/2015 | 29 | $ | 2,241,758 | BAR | $ | 8,353 | ||||||||||||||||||
KLCI Index | 01/2015 | 31 | 776,219 | BAR | (1,805 | ) | |||||||||||||||||||
MSCI Singapore Index | 01/2015 | 31 | 1,786,072 | BAR | 11,236 | ||||||||||||||||||||
MSCI Taiwan Index | 01/2015 | 44 | 1,509,640 | BAR | 19,416 | ||||||||||||||||||||
SGX CNX Nifty Index | 01/2015 | (56 | ) | (936,208 | ) | BAR | (4,526 | ) | |||||||||||||||||
BIST 30 Index | 02/2015 | 48 | 219,897 | JPM | 2,905 | ||||||||||||||||||||
KOSPI 200 Index | 03/2015 | (11 | ) | (1,220,943 | ) | BAR | 37,621 | ||||||||||||||||||
MEXBOL Index | 03/2015 | (7 | ) | (204,912 | ) | JPM | (9,403 | ) | |||||||||||||||||
MSCI Emerging Markets E-Mini | 03/2015 | 464 | 22,218,640 | GSC | 144,655 | ||||||||||||||||||||
SAF Top 40 Index | 03/2015 | (78 | ) | (2,984,266 | ) | BAR | (119,990 | ) | |||||||||||||||||
SET50 Index | 03/2015 | 77 | 462,983 | BAR | (9,401 | ) | |||||||||||||||||||
HSCEI China Index | 01/2015 | 10 | 773,020 | GSC | 12,950 | ||||||||||||||||||||
MSCI Taiwan Index | 01/2015 | 43 | 1,475,330 | GSC | 22,308 | ||||||||||||||||||||
SGX CNX Nifty Index | 01/2015 | (128 | ) | (2,139,904 | ) | GSC | (9,992 | ) | |||||||||||||||||
TA-25 Index | 01/2015 | 59 | 2,215,983 | GSC | (38,909 | ) | |||||||||||||||||||
TAIEX | 01/2015 | 27 | 1,585,893 | GSC | 60,603 | ||||||||||||||||||||
Bovespa Index | 02/2015 | 135 | 2,562,877 | GSC | 115,072 | ||||||||||||||||||||
WIG20 Index | 03/2015 | 16 | 209,775 | GSC | (5,193 | ) | |||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | 30,551,854 | $ | 235,900 | ||||||||||||||||||||||
|
|
|
|
318
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 | ||||||||||||||||||||
Inflation Protected Bond Fund | |||||||||||||||||||||||||
10-Year Japan Treasury Note | 03/2015 | (14 | ) | $ | (17,273,835 | ) | GSC | $ | (77,182 | ) | |||||||||||||||
10-Year U.S. Treasury Note | 03/2015 | 314 | 39,814,219 | UBS | (3,625 | ) | |||||||||||||||||||
2-Year U.S. Treasury Note | 03/2015 | 27 | 5,902,031 | UBS | (7,132 | ) | |||||||||||||||||||
5-Year U.S. Treasury Note | 03/2015 | 23 | 2,735,383 | UBS | 1,187 | ||||||||||||||||||||
90-Day Euro | 03/2015 | (69 | ) | (17,200,838 | ) | UBS | (90 | ) | |||||||||||||||||
Euro-BTP | 03/2015 | (17 | ) | (2,789,414 | ) | GSC | (17,635 | ) | |||||||||||||||||
Euro-Bund | 03/2015 | (8 | ) | (1,508,888 | ) | UBS | (30,888 | ) | |||||||||||||||||
Euro-Buxl® | 03/2015 | (3 | ) | (562,602 | ) | UBS | (27,519 | ) | |||||||||||||||||
Long U.S. Treasury Bond | 03/2015 | 15 | 2,168,438 | UBS | 42,729 | ||||||||||||||||||||
Ultra Long U.S. Treasury Bond | 03/2015 | (121 | ) | (19,987,688 | ) | UBS | (978,432 | ) | |||||||||||||||||
90-Day Euro | 06/2015 | (115 | ) | (28,624,938 | ) | UBS | (13,683 | ) | |||||||||||||||||
90-Day Euro | 12/2015 | (25 | ) | (6,192,812 | ) | UBS | (367 | ) | |||||||||||||||||
90-Day Euro | 03/2016 | (185 | ) | (45,704,250 | ) | UBS | (287 | ) | |||||||||||||||||
90-Day Euro | 12/2017 | (187 | ) | (45,628,000 | ) | UBS | (30,695 | ) | |||||||||||||||||
|
|
|
| ||||||||||||||||||||||
$ | (134,853,194 | ) | $ | (1,143,619 | ) | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Real Estate Securities Fund | |||||||||||||||||||||||||
S&P 500® MidCap 400 E-Mini | 03/2015 | 53 | $ | 7,677,580 | GSC | $ | 150,649 | ||||||||||||||||||
|
|
|
|
Forward Foreign Currency Contracts
As of December 31, 2014, 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 | ||||||||||||||||||||
01/05/15 | U.S. Dollars | 17,961,384 | Euro | 14,483,000 | JPM | $ | 435,228 | |||||||||||||
01/05/15 | Euro | 14,332,000 | U.S. Dollars | 17,565,301 | CITI | (221,874 | ) | |||||||||||||
01/05/15 | Brazilian Reals | 898,851 | U.S. Dollars | 345,958 | BNP | (8,287 | ) | |||||||||||||
01/05/15 | U.S. Dollars | 349,340 | Brazilian Reals | 898,851 | DEUT | 11,669 | ||||||||||||||
01/05/15 | Euro | 151,000 | U.S. Dollars | 188,411 | BNP | (5,683 | ) | |||||||||||||
01/08/15 | Canadian Dollars | 13,000 | U.S. Dollars | 11,199 | RBC | (10 | ) | |||||||||||||
01/08/15 | British Pounds | 8,000 | U.S. Dollars | 12,444 | HKSB | 25 | ||||||||||||||
01/08/15 | U.S. Dollars | 2,987,455 | Euro | 2,427,000 | CITIG | 50,656 | ||||||||||||||
01/08/15 | U.S. Dollars | 2,391,836 | Canadian Dollars | 2,721,000 | RBC | 49,780 | ||||||||||||||
01/08/15 | U.S. Dollars | 423,363 | British Pounds | 270,000 | HSBC | 2,540 | ||||||||||||||
01/09/15 | Japanese Yen | 81,308,677 | U.S. Dollars | 675,000 | JPM | 3,870 | ||||||||||||||
01/09/15 | Japanese Yen | 80,187,975 | U.S. Dollars | 675,000 | HSBC | (5,487 | ) | |||||||||||||
01/09/15 | Japanese Yen | 78,867,880 | U.S. Dollars | 674,000 | JPM | (15,509 | ) | |||||||||||||
01/09/15 | Norwegian Krone | 4,719,418 | Euro | 544,000 | GSC | (25,283 | ) | |||||||||||||
01/09/15 | U.S. Dollars | 2,023,486 | Euro | 1,643,000 | GSC | 35,174 | ||||||||||||||
01/09/15 | New Zealand Dollars | 1,728,379 | Australian Dollars | 1,595,000 | JPM | 45,598 | ||||||||||||||
01/09/15 | Euro | 1,643,000 | U.S. Dollars | 2,061,871 | JPM | (73,559 | ) | |||||||||||||
01/09/15 | Euro | 1,610,000 | Switzerland Francs | 1,934,911 | BOA | 1,881 | ||||||||||||||
01/09/15 | Australian Dollars | 1,595,000 | New Zealand Dollars | 1,726,672 | JPM | (44,267 | ) | |||||||||||||
01/09/15 | U.S. Dollars | 1,319,175 | Australian Dollars | 1,595,000 | BOA | 17,896 | ||||||||||||||
01/09/15 | New Zealand Dollars | 878,381 | Australian Dollars | 809,000 | BOA | 24,476 | ||||||||||||||
01/09/15 | New Zealand Dollars | 874,000 | U.S. Dollars | 675,182 | HSBC | 5,901 | ||||||||||||||
01/09/15 | U.S. Dollars | 858,708 | Switzerland Francs | 837,524 | CS | 16,170 | ||||||||||||||
01/09/15 | New Zealand Dollars | 848,666 | Australian Dollars | 781,000 | SS | 24,163 |
319
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
01/09/15 | Australian Dollars | 837,000 | U.S. Dollars | 686,943 | JPM | $ | (4,077 | ) | ||||||||||||
01/09/15 | Australian Dollars | 822,166 | U.S. Dollars | 675,000 | JPM | (4,237 | ) | |||||||||||||
01/09/15 | Australian Dollars | 809,000 | New Zealand Dollars | 874,958 | BOA | (21,809 | ) | |||||||||||||
01/09/15 | Australian Dollars | 790,000 | U.S. Dollars | 641,930 | HSBC | 2,590 | ||||||||||||||
01/09/15 | Australian Dollars | 781,000 | New Zealand Dollars | 844,511 | BAR | (20,925 | ) | |||||||||||||
01/09/15 | Canadian Dollars | 768,204 | U.S. Dollars | 675,000 | JPM | (13,912 | ) | |||||||||||||
01/09/15 | U.S. Dollars | 691,327 | Australian Dollars | 846,000 | JPM | 653 | ||||||||||||||
01/09/15 | U.S. Dollars | 690,315 | Australian Dollars | 832,000 | WEST | 11,528 | ||||||||||||||
01/09/15 | U.S. Dollars | 678,486 | New Zealand Dollars | 874,000 | WEST | (2,597 | ) | |||||||||||||
01/09/15 | U.S. Dollars | 675,000 | Euro | 545,806 | JPM | 14,481 | ||||||||||||||
01/09/15 | U.S. Dollars | 675,000 | Canadian Dollars | 768,476 | JPM | 13,678 | ||||||||||||||
01/09/15 | U.S. Dollars | 675,000 | Australian Dollars | 811,799 | JPM | 12,695 | ||||||||||||||
01/09/15 | U.S. Dollars | 675,000 | Euro | 549,443 | JPM | 10,079 | ||||||||||||||
01/09/15 | U.S. Dollars | 675,000 | Japanese Yen | 80,860,659 | DEUT | (129 | ) | |||||||||||||
01/09/15 | U.S. Dollars | 675,000 | Japanese Yen | 81,791,167 | JPM | (7,898 | ) | |||||||||||||
01/09/15 | U.S. Dollars | 674,000 | Japanese Yen | 80,386,969 | JPM | 2,826 | ||||||||||||||
01/09/15 | U.S. Dollars | 674,000 | Canadian Dollars | 787,038 | BOA | (3,295 | ) | |||||||||||||
01/09/15 | Switzerland Francs | 642,000 | U.S. Dollars | 666,073 | DEUT | (20,230 | ) | |||||||||||||
01/09/15 | Euro | 545,752 | U.S. Dollars | 675,000 | HSBC | (14,546 | ) | |||||||||||||
01/09/15 | Euro | 545,490 | U.S. Dollars | 675,000 | HSBC | (14,864 | ) | |||||||||||||
01/09/15 | Euro | 544,000 | Norwegian Krone | 4,768,965 | CITI | 18,637 | ||||||||||||||
01/09/15 | Euro | 40,000 | Switzerland Francs | 48,093 | JPM | 26 | ||||||||||||||
01/09/15 | Euro | 10,000 | Switzerland Francs | 12,022 | JPM | 7 | ||||||||||||||
01/21/15 | U.S. Dollars | 3,824,345 | Australian Dollars | 4,422,000 | UBS | 219,914 | ||||||||||||||
01/21/15 | U.S. Dollars | 1,940,458 | British Pounds | 1,217,000 | BAR | 43,959 | ||||||||||||||
01/21/15 | U.S. Dollars | 1,551,718 | Euro | 1,216,223 | JPM | 79,687 | ||||||||||||||
01/21/15 | Euro | 340,000 | U.S. Dollars | 422,730 | BNP | (11,217 | ) | |||||||||||||
01/21/15 | Switzerland Francs | 200,000 | U.S. Dollars | 211,693 | BNP | (10,455 | ) | |||||||||||||
01/21/15 | Euro | 96,000 | U.S. Dollars | 120,369 | SS | (4,177 | ) | |||||||||||||
01/21/15 | Euro | 26,000 | U.S. Dollars | 32,205 | GSC | (736 | ) | |||||||||||||
02/03/15 | U.S. Dollars | 17,570,172 | Euro | 14,332,000 | CITI | 221,502 | ||||||||||||||
02/03/15 | U.S. Dollars | 3,774,017 | British Pounds | 2,410,000 | UBS | 18,806 | ||||||||||||||
02/03/15 | British Pounds | 745,683 | U.S. Dollars | 1,165,110 | CS | (3,202 | ) | |||||||||||||
02/03/15 | British Pounds | 222,000 | U.S. Dollars | 345,282 | GSC | 634 | ||||||||||||||
02/05/15 | Mexican Pesos | 9,247,000 | U.S. Dollars | 653,891 | JPM | (28,546 | ) | |||||||||||||
02/05/15 | U.S. Dollars | 404,401 | Mexican Pesos | 5,340,000 | BNP | 43,274 | ||||||||||||||
02/05/15 | U.S. Dollars | 275,679 | Mexican Pesos | 3,736,000 | BNP | 23,025 | ||||||||||||||
02/12/15 | Norwegian Krone | 3,585,000 | U.S. Dollars | 521,663 | CITI | (41,247 | ) | |||||||||||||
02/13/15 | U.S. Dollars | 674,000 | Japanese Yen | 80,534,035 | BNP | 1,399 | ||||||||||||||
03/27/15 | Japanese Yen | 3,885,000 | U.S. Dollars | 32,550 | BAR | (90 | ) | |||||||||||||
07/02/15 | Brazilian Reals | 898,851 | U.S. Dollars | 331,312 | DEUT | (10,376 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 825,903 | |||||||||||||||||||
|
| |||||||||||||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||
01/05/15 | Brazilian Reals | 2,806,984 | U.S. Dollars | 1,056,767 | UBS | $ | (2,269 | ) | ||||||||||||
01/05/15 | U.S. Dollars | 2,064,819 | Japanese Yen | 247,000,000 | JPM | 2,615 | ||||||||||||||
01/05/15 | U.S. Dollars | 917,816 | Brazilian Reals | 2,437,904 | DEUT | 1,971 | ||||||||||||||
01/05/15 | U.S. Dollars | 258,593 | Brazilian Reals | 686,874 | BNP | 555 | ||||||||||||||
01/05/15 | Euro | 167,000 | U.S. Dollars | 204,915 | DEUT | (2,825 | ) | |||||||||||||
01/05/15 | South Korean Won | 3,745,392,000 | U.S. Dollars | 3,391,029 | UBS | 16,505 | ||||||||||||||
01/05/15 | South Korean Won | 3,745,392,000 | U.S. Dollars | 3,407,380 | HSBC | (775 | ) | |||||||||||||
01/05/15 | Japanese Yen | 1,236,413,620 | U.S. Dollars | 10,239,450 | CITI | 83,370 |
320
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
01/05/15 | U.S. Dollars | 17,182,557 | Euro | 13,855,000 | JPM | $ | 416,357 | |||||||||||||
01/05/15 | Euro | 13,792,000 | U.S. Dollars | 16,903,477 | CITI | (213,514 | ) | |||||||||||||
01/05/15 | U.S. Dollars | 8,361,053 | Japanese Yen | 989,413,620 | CS | 100,436 | ||||||||||||||
01/05/15 | U.S. Dollars | 3,407,380 | South Korean Won | 3,745,392,000 | UBS | 775 | ||||||||||||||
01/05/15 | U.S. Dollars | 3,360,000 | South Korean Won | 3,745,392,000 | HKSB | (46,605 | ) | |||||||||||||
01/05/15 | Brazilian Reals | 3,124,778 | U.S. Dollars | 1,187,000 | BNP | (13,117 | ) | |||||||||||||
01/05/15 | Brazilian Reals | 2,437,904 | U.S. Dollars | 947,495 | DEUT | (31,649 | ) | |||||||||||||
01/05/15 | New Zealand Dollars | 2,120,000 | U.S. Dollars | 1,663,278 | GSC | (9,574 | ) | |||||||||||||
01/05/15 | U.S. Dollars | 1,681,659 | New Zealand Dollars | 2,149,000 | GSC | 6,261 | ||||||||||||||
01/05/15 | Australian Dollars | 1,414,000 | U.S. Dollars | 1,218,819 | CITI | (64,862 | ) | |||||||||||||
01/05/15 | U.S. Dollars | 1,231,743 | Australian Dollars | 1,440,000 | HKSB | 56,568 | ||||||||||||||
01/05/15 | U.S. Dollars | 1,194,030 | Brazilian Reals | 3,124,778 | UBS | 20,148 | ||||||||||||||
01/05/15 | U.S. Dollars | 938,323 | Brazilian Reals | 2,437,904 | BNP | 22,478 | ||||||||||||||
01/05/15 | Brazilian Reals | 317,794 | U.S. Dollars | 117,592 | UBS | 1,793 | ||||||||||||||
01/05/15 | U.S. Dollars | 128,667 | Euro | 104,000 | CITI | 2,814 | ||||||||||||||
01/15/15 | Brazilian Reals | 1,660,000 | U.S. Dollars | 714,593 | JPM | (92,719 | ) | |||||||||||||
01/20/15 | U.S. Dollars | 3,090,102 | Mexican Pesos | 43,653,560 | RBS | 134,996 | ||||||||||||||
01/20/15 | U.S. Dollars | 2,348,069 | Mexican Pesos | 33,884,988 | DEUT | 54,242 | ||||||||||||||
01/23/15 | U.S. Dollars | 1,145,396 | Brazilian Reals | 2,926,486 | MLCS | 51,503 | ||||||||||||||
01/28/15 | U.S. Dollars | 2,452,048 | Euro | 1,984,138 | JPM | 50,403 | ||||||||||||||
02/03/15 | U.S. Dollars | 16,908,165 | Euro | 13,792,000 | CITI | 213,156 | ||||||||||||||
02/03/15 | U.S. Dollars | 10,241,998 | Japanese Yen | 1,236,414,000 | CITI | (83,407 | ) | |||||||||||||
02/03/15 | U.S. Dollars | 2,765,257 | Brazilian Reals | 7,313,829 | DEUT | 39,499 | ||||||||||||||
02/03/15 | U.S. Dollars | 334,547 | British Pounds | 214,114 | CS | 919 | ||||||||||||||
02/03/15 | U.S. Dollars | 124,086 | British Pounds | 79,000 | GSC | 990 | ||||||||||||||
02/05/15 | Mexican Pesos | 1,635,000 | U.S. Dollars | 119,310 | CITI | (8,740 | ) | |||||||||||||
02/05/15 | Mexican Pesos | 1,530,000 | U.S. Dollars | 112,173 | BAR | (8,704 | ) | |||||||||||||
02/05/15 | U.S. Dollars | 155,096 | Mexican Pesos | 2,048,000 | BNP | 16,597 | ||||||||||||||
02/05/15 | U.S. Dollars | 77,581 | Mexican Pesos | 1,118,000 | JPM | 1,974 | ||||||||||||||
02/05/15 | U.S. Dollars | 65,119 | Mexican Pesos | 890,000 | BAR | 4,796 | ||||||||||||||
02/12/15 | Norwegian Krone | 1,133,000 | U.S. Dollars | 164,866 | CITI | (13,036 | ) | |||||||||||||
02/13/15 | U.S. Dollars | 7,087,951 | Euro | 5,663,116 | CITIC | 232,320 | ||||||||||||||
02/13/15 | Euro | 2,307,692 | U.S. Dollars | 2,879,239 | BOA | (85,602 | ) | |||||||||||||
02/13/15 | U.S. Dollars | 1,356,099 | Japanese Yen | 153,366,000 | BAR | 75,223 | ||||||||||||||
02/13/15 | Euro | 949,687 | U.S. Dollars | 1,185,411 | UBS | (35,743 | ) | |||||||||||||
02/13/15 | U.S. Dollars | 773,242 | Japanese Yen | 88,504,503 | CITIC | 34,073 | ||||||||||||||
02/19/15 | U.S. Dollars | 82,443 | Mexican Pesos | 1,122,941 | RBC | 6,568 | ||||||||||||||
02/26/15 | U.S. Dollars | 3,383,371 | South Korean Won | 3,745,392,000 | UBS | (24,164 | ) | |||||||||||||
02/26/15 | U.S. Dollars | 396,405 | Mexican Pesos | 5,465,316 | JPM | 27,286 | ||||||||||||||
03/03/15 | U.S. Dollars | 155,347 | Canadian Dollars | 178,000 | CITI | 2,344 | ||||||||||||||
03/18/15 | Japanese Yen | 23,942,793 | Euro | 161,000 | SS | 5,075 | ||||||||||||||
03/18/15 | Japanese Yen | 23,395,581 | U.S. Dollars | 198,000 | BNP | (2,541 | ) | |||||||||||||
03/18/15 | Mexican Pesos | 12,658,050 | U.S. Dollars | 865,490 | JPM | (11,668 | ) | |||||||||||||
03/18/15 | Japanese Yen | 11,854,408 | U.S. Dollars | 99,000 | DEUT | 38 | ||||||||||||||
03/18/15 | Japanese Yen | 11,743,578 | U.S. Dollars | 99,000 | RBC | (888 | ) | |||||||||||||
03/18/15 | Japanese Yen | 11,681,604 | U.S. Dollars | 99,000 | MSCS | (1,406 | ) | |||||||||||||
03/18/15 | Japanese Yen | 5,933,483 | U.S. Dollars | 49,000 | MLCS | 571 | ||||||||||||||
03/18/15 | Japanese Yen | 5,902,540 | U.S. Dollars | 49,000 | SC | 313 | ||||||||||||||
03/18/15 | Japanese Yen | 5,833,533 | U.S. Dollars | 49,000 | JPM | (264 | ) | |||||||||||||
03/18/15 | Japanese Yen | 5,810,821 | U.S. Dollars | 49,000 | MLCS | (453 | ) | |||||||||||||
03/18/15 | Japanese Yen | 5,807,014 | U.S. Dollars | 49,000 | BNP | (485 | ) | |||||||||||||
03/18/15 | Japanese Yen | 5,753,237 | U.S. Dollars | 49,000 | BAR | (934 | ) |
321
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | Japanese Yen | 5,748,410 | U.S. Dollars | 49,000 | BNP | $ | (975 | ) | ||||||||||||
03/18/15 | Norwegian Krone | 1,482,816 | Euro | 158,000 | DEUT | 7,191 | ||||||||||||||
03/18/15 | U.S. Dollars | 803,869 | Mexican Pesos | 11,906,991 | DEUT | 708 | ||||||||||||||
03/18/15 | Norwegian Krone | 567,800 | U.S. Dollars | 83,305 | JPM | (7,289 | ) | |||||||||||||
03/18/15 | Norwegian Krone | 373,778 | Euro | 39,000 | BAR | 2,815 | ||||||||||||||
03/18/15 | Norwegian Krone | 362,532 | Euro | 40,000 | JPM | 99 | ||||||||||||||
03/18/15 | Norwegian Krone | 354,873 | Euro | 40,000 | MLCS | (927 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 354,009 | Switzerland Francs | 343,069 | UBS | 8,426 | ||||||||||||||
03/18/15 | U.S. Dollars | 327,301 | Switzerland Francs | 318,770 | JPM | 6,195 | ||||||||||||||
03/18/15 | U.S. Dollars | 319,384 | Switzerland Francs | 311,783 | MLCS | 5,316 | ||||||||||||||
03/18/15 | U.S. Dollars | 316,575 | Switzerland Francs | 305,986 | BNP | 8,347 | ||||||||||||||
03/18/15 | Canadian Dollars | 276,323 | U.S. Dollars | 245,097 | UBS | (7,662 | ) | |||||||||||||
03/18/15 | Canadian Dollars | 274,972 | U.S. Dollars | 243,681 | MLCS | (7,406 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 252,432 | Switzerland Francs | 243,849 | SS | 6,795 | ||||||||||||||
03/18/15 | U.S. Dollars | 247,000 | Switzerland Francs | 242,150 | MLCS | 3,076 | ||||||||||||||
03/18/15 | Australian Dollars | 234,559 | U.S. Dollars | 200,407 | MLCS | (9,986 | ) | |||||||||||||
03/18/15 | Canadian Dollars | 226,766 | U.S. Dollars | 197,000 | RBC | (2,147 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 200,290 | Australian Dollars | 234,559 | BAR | 9,869 | ||||||||||||||
03/18/15 | U.S. Dollars | 198,000 | Canadian Dollars | 225,498 | UBS | 4,236 | ||||||||||||||
03/18/15 | U.S. Dollars | 198,000 | Canadian Dollars | 225,793 | RBC | 3,983 | ||||||||||||||
03/18/15 | U.S. Dollars | 198,000 | Canadian Dollars | 226,195 | SS | 3,637 | ||||||||||||||
03/18/15 | U.S. Dollars | 198,000 | Japanese Yen | 23,509,134 | MLCS | 1,593 | ||||||||||||||
03/18/15 | U.S. Dollars | 198,000 | Japanese Yen | 23,520,816 | SS | 1,495 | ||||||||||||||
03/18/15 | U.S. Dollars | 197,892 | Euro | 161,000 | JPM | 2,936 | ||||||||||||||
03/18/15 | U.S. Dollars | 197,150 | British Pounds | 127,000 | JPM | (668 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 196,104 | Australian Dollars | 240,000 | DEUT | 168 | ||||||||||||||
03/18/15 | U.S. Dollars | 196,045 | Australian Dollars | 236,000 | MLCS | 4,454 | ||||||||||||||
03/18/15 | U.S. Dollars | 195,193 | Australian Dollars | 230,000 | RBS | 8,473 | ||||||||||||||
03/18/15 | Switzerland Francs | 195,149 | U.S. Dollars | 198,000 | BAR | (1,421 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 195,035 | New Zealand Dollars | 258,000 | MLCS | (4,703 | ) | |||||||||||||
03/18/15 | Euro | 162,322 | British Pounds | 126,953 | BAR | (1,451 | ) | |||||||||||||
03/18/15 | Euro | 162,154 | U.S. Dollars | 197,008 | DEUT | (655 | ) | |||||||||||||
03/18/15 | Euro | 161,000 | U.S. Dollars | 197,012 | BNP | (2,057 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 154,624 | New Zealand Dollars | 197,975 | JPM | 194 | ||||||||||||||
03/18/15 | U.S. Dollars | 146,671 | New Zealand Dollars | 188,547 | CITIG | 702 | ||||||||||||||
03/18/15 | U.S. Dollars | 142,287 | New Zealand Dollars | 183,834 | MLCS | (33 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 141,552 | New Zealand Dollars | 183,834 | WEST | (768 | ) | |||||||||||||
03/18/15 | British Pounds | 133,516 | U.S. Dollars | 209,030 | SS | (1,063 | ) | |||||||||||||
03/18/15 | New Zealand Dollars | 128,000 | U.S. Dollars | 98,138 | UBS | 957 | ||||||||||||||
03/18/15 | New Zealand Dollars | 127,000 | U.S. Dollars | 98,190 | WEST | 131 | ||||||||||||||
03/18/15 | British Pounds | 126,595 | Euro | 161,000 | BAR | 2,231 | ||||||||||||||
03/18/15 | New Zealand Dollars | 126,500 | U.S. Dollars | 97,962 | MLCS | (28 | ) | |||||||||||||
03/18/15 | British Pounds | 126,466 | Euro | 161,000 | BNP | 2,030 | ||||||||||||||
03/18/15 | British Pounds | 126,180 | Euro | 160,000 | BNP | 2,796 | ||||||||||||||
03/18/15 | New Zealand Dollars | 126,000 | U.S. Dollars | 97,467 | UBS | 80 | ||||||||||||||
03/18/15 | New Zealand Dollars | 126,000 | U.S. Dollars | 97,700 | WEST | (154 | ) | |||||||||||||
03/18/15 | New Zealand Dollars | 125,000 | U.S. Dollars | 97,733 | MLCS | (961 | ) | |||||||||||||
03/18/15 | Australian Dollars | 121,000 | U.S. Dollars | 98,197 | RBS | 34 | ||||||||||||||
03/18/15 | Australian Dollars | 119,000 | U.S. Dollars | 97,946 | BAR | (1,339 | ) | |||||||||||||
03/18/15 | Canadian Dollars | 115,387 | U.S. Dollars | 99,000 | BAR | 148 | ||||||||||||||
03/18/15 | Canadian Dollars | 115,256 | U.S. Dollars | 99,000 | RBC | 36 | ||||||||||||||
03/18/15 | Canadian Dollars | 110,946 | U.S. Dollars | 98,000 | RBC | (2,668 | ) |
322
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | U.S. Dollars | 99,000 | Japanese Yen | 11,540,845 | MLCS | $ | 2,582 | |||||||||||||
03/18/15 | U.S. Dollars | 99,000 | Canadian Dollars | 113,352 | MLCS | 1,600 | ||||||||||||||
03/18/15 | U.S. Dollars | 99,000 | Canadian Dollars | 113,651 | RBC | 1,344 | ||||||||||||||
03/18/15 | U.S. Dollars | 99,000 | Japanese Yen | 11,752,785 | MLCS | 811 | ||||||||||||||
03/18/15 | U.S. Dollars | 99,000 | Japanese Yen | 11,757,833 | RBS | 769 | ||||||||||||||
03/18/15 | U.S. Dollars | 99,000 | Japanese Yen | 11,794,984 | RBS | 459 | ||||||||||||||
03/18/15 | U.S. Dollars | 98,843 | Euro | 79,000 | JPM | 3,181 | ||||||||||||||
03/18/15 | U.S. Dollars | 98,000 | Canadian Dollars | 112,117 | MLCS | 1,661 | ||||||||||||||
03/18/15 | U.S. Dollars | 97,809 | New Zealand Dollars | 128,000 | MLCS | (1,286 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 97,606 | New Zealand Dollars | 127,000 | WEST | (715 | ) | |||||||||||||
03/18/15 | Euro | 81,143 | U.S. Dollars | 99,964 | BAR | (1,708 | ) | |||||||||||||
03/18/15 | Euro | 80,000 | U.S. Dollars | 98,756 | MLCS | (1,883 | ) | |||||||||||||
03/18/15 | Euro | 80,000 | U.S. Dollars | 98,759 | BNP | (1,887 | ) | |||||||||||||
03/18/15 | Euro | 80,000 | Japanese Yen | 11,846,032 | BNP | (2,095 | ) | |||||||||||||
03/18/15 | Euro | 79,500 | U.S. Dollars | 99,066 | MLCS | (2,799 | ) | |||||||||||||
03/18/15 | Euro | 79,000 | Norwegian Krone | 688,888 | JPM | 3,435 | ||||||||||||||
03/18/15 | Euro | 79,000 | Norwegian Krone | 690,891 | UBS | 3,167 | ||||||||||||||
03/18/15 | Euro | 79,000 | U.S. Dollars | 98,405 | BNP | (2,743 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 49,991 | Euro | 40,000 | MSCS | 1,555 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,591 | Euro | 40,000 | SC | 1,154 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,564 | Australian Dollars | 59,000 | WEST | 1,666 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,563 | Euro | 40,000 | MLCS | 1,127 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,500 | Japanese Yen | 5,863,869 | JPM | 510 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,410 | Australian Dollars | 59,000 | DEUT | 1,512 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,000 | Canadian Dollars | 55,327 | RBC | 1,378 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,000 | Japanese Yen | 5,743,059 | BNP | 1,053 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,000 | Canadian Dollars | 56,143 | HKSB | 758 | ||||||||||||||
03/18/15 | U.S. Dollars | 49,000 | Japanese Yen | 5,781,436 | BNP | 699 | ||||||||||||||
03/18/15 | Euro | 43,730 | U.S. Dollars | 54,520 | BNP | (1,568 | ) | |||||||||||||
03/18/15 | Euro | 41,000 | Norwegian Krone | 371,782 | DEUT | (126 | ) | |||||||||||||
03/18/15 | Euro | 40,000 | Norwegian Krone | 363,654 | UBS | (248 | ) | |||||||||||||
03/18/15 | Euro | 40,000 | Norwegian Krone | 366,048 | HKSB | (569 | ) | |||||||||||||
03/18/15 | Euro | 40,000 | U.S. Dollars | 49,320 | JPM | (883 | ) | |||||||||||||
03/18/15 | Euro | 40,000 | U.S. Dollars | 49,513 | MLCS | (1,077 | ) | |||||||||||||
03/18/15 | Euro | 40,000 | Japanese Yen | 5,929,772 | UBS | (1,101 | ) | |||||||||||||
03/18/15 | Euro | 40,000 | U.S. Dollars | 49,612 | MLCS | (1,176 | ) | |||||||||||||
03/18/15 | Euro | 40,000 | U.S. Dollars | 49,744 | RBS | (1,308 | ) | |||||||||||||
03/18/15 | Euro | 40,000 | Norwegian Krone | 375,268 | JPM | (1,804 | ) | |||||||||||||
03/18/15 | Euro | 39,500 | U.S. Dollars | 49,346 | MLCS | (1,549 | ) | |||||||||||||
07/02/15 | Brazilian Reals | 3,124,778 | U.S. Dollars | 1,132,166 | UBS | 43,358 | ||||||||||||||
07/02/15 | U.S. Dollars | 898,601 | Brazilian Reals | 2,437,904 | DEUT | (18,525 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 1,003,107 | |||||||||||||||||||
|
| |||||||||||||||||||
Global Bond Fund | ||||||||||||||||||||
01/27/15 | Indonesian Rupiahs | 21,641,250,000 | U.S. Dollars | 1,775,183 | HKSB | $ | (27,807 | ) | ||||||||||||
01/27/15 | Indian Rupees | 286,380,000 | U.S. Dollars | 4,587,497 | CITI | (50,604 | ) | |||||||||||||
01/27/15 | Indian Rupees | 51,960,000 | U.S. Dollars | 831,493 | JPM | (8,332 | ) | |||||||||||||
01/27/15 | Chinese Yuan Renminbi | 21,064,000 | U.S. Dollars | 3,420,980 | HKSB | (25,751 | ) | |||||||||||||
01/27/15 | U.S. Dollars | 1,096,966 | Brazilian Reals | 2,809,000 | BAR | 40,236 | ||||||||||||||
02/13/15 | Japanese Yen | 744,255,000 | U.S. Dollars | 6,499,675 | DEUT | (286,158 | ) | |||||||||||||
02/13/15 | Japanese Yen | 204,360,000 | U.S. Dollars | 1,803,428 | BAR | (97,301 | ) | |||||||||||||
02/13/15 | U.S. Dollars | 12,796,661 | Euro | 10,213,878 | BAR | 437,327 |
323
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
02/13/15 | U.S. Dollars | 7,896,061 | Euro | 6,370,000 | HKSB | $ | 188,023 | |||||||||||||
02/13/15 | Swedish Kronor | 5,133,306 | U.S. Dollars | 694,666 | BAR | (36,174 | ) | |||||||||||||
02/13/15 | U.S. Dollars | 3,945,530 | Euro | 3,153,442 | JPM | 129,699 | ||||||||||||||
02/13/15 | U.S. Dollars | 2,454,385 | Euro | 1,990,000 | HKSB | 46,379 | ||||||||||||||
02/13/15 | U.S. Dollars | 2,265,174 | Euro | 1,808,255 | MSCS | 77,089 | ||||||||||||||
02/13/15 | U.S. Dollars | 2,015,789 | Euro | 1,614,942 | UBS | 61,624 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,997,944 | Euro | 1,610,000 | HKSB | 49,758 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,985,260 | Japanese Yen | 236,500,000 | HKSB | 10,067 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,881,758 | British Pounds | 1,200,000 | JPM | 11,435 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,829,419 | British Pounds | 1,149,041 | JPM | 38,520 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,757,148 | Mexican Pesos | 24,000,000 | DEUT | 130,442 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,194,682 | Euro | 954,524 | MLCS | 39,657 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,184,893 | Euro | 947,399 | GSC | 38,490 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,070,822 | British Pounds | 669,710 | BAR | 27,011 | ||||||||||||||
02/13/15 | U.S. Dollars | 1,032,505 | British Pounds | 650,000 | CS | 19,413 | ||||||||||||||
02/13/15 | British Pounds | 990,000 | U.S. Dollars | 1,575,535 | RBC | (32,518 | ) | |||||||||||||
02/13/15 | U.S. Dollars | 693,562 | Swedish Kronor | 5,130,000 | UBS | 35,494 | ||||||||||||||
02/13/15 | U.S. Dollars | 559,504 | Turkish Lira | 1,280,270 | RBC | 11,103 | ||||||||||||||
02/13/15 | U.S. Dollars | 550,844 | Euro | 450,000 | UBS | 6,320 | ||||||||||||||
02/13/15 | U.S. Dollars | 318,570 | British Pounds | 200,000 | GSC | 6,849 | ||||||||||||||
02/13/15 | U.S. Dollars | 226,878 | British Pounds | 145,000 | DEUT | 881 | ||||||||||||||
02/13/15 | U.S. Dollars | 213,472 | Australian Dollars | 249,499 | MLCS | 9,780 | ||||||||||||||
02/13/15 | U.S. Dollars | 142,822 | South African Rand | 1,616,591 | JPM | 3,072 | ||||||||||||||
02/13/15 | U.S. Dollars | 34,986 | Euro | 28,000 | JPM | 1,104 | ||||||||||||||
|
| |||||||||||||||||||
$ | 855,128 | |||||||||||||||||||
|
| |||||||||||||||||||
Defensive Market Strategies Fund | ||||||||||||||||||||
01/30/15 | U.S. Dollars | 4,777,771 | Euro | 3,905,482 | UBS | $ | 50,386 | |||||||||||||
01/30/15 | U.S. Dollars | 1,608,782 | Canadian Dollars | 1,871,174 | JPM | (733 | ) | |||||||||||||
01/30/15 | U.S. Dollars | 1,140,008 | Switzerland Francs | 1,120,896 | CS | 12,000 | ||||||||||||||
01/30/15 | U.S. Dollars | 841,683 | British Pounds | 539,468 | CS | 1,070 | ||||||||||||||
01/30/15 | U.S. Dollars | 480,573 | British Pounds | 307,951 | CS | 715 | ||||||||||||||
01/30/15 | U.S. Dollars | 353,978 | Japanese Yen | 42,289,200 | CS | 828 | ||||||||||||||
01/30/15 | U.S. Dollars | 243,612 | British Pounds | 156,940 | CS | (936 | ) | |||||||||||||
01/30/15 | U.S. Dollars | 73,811 | British Pounds | 47,616 | CS | (386 | ) | |||||||||||||
01/30/15 | U.S. Dollars | 70,927 | Canadian Dollars | 82,386 | JPM | 62 | ||||||||||||||
01/30/15 | U.S. Dollars | 48,373 | British Pounds | 31,083 | CS | (62 | ) | |||||||||||||
01/30/15 | U.S. Dollars | 42,463 | Switzerland Francs | 41,700 | CS | 498 | ||||||||||||||
01/30/15 | U.S. Dollars | 12,814 | Japanese Yen | 1,536,120 | CS | (14 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 63,428 | |||||||||||||||||||
|
| |||||||||||||||||||
International Equity Fund | ||||||||||||||||||||
01/30/15 | Australian Dollars | 5,983,000 | U.S. Dollars | 4,955,289 | NT | $ | (81,770 | ) | ||||||||||||
01/30/15 | U.S. Dollars | 5,291,724 | Australian Dollars | 5,983,000 | NT | 418,207 | ||||||||||||||
03/18/15 | Japanese Yen | 1,176,334,000 | U.S. Dollars | 9,827,038 | CITIG | 665 | ||||||||||||||
03/18/15 | Japanese Yen | 400,583,000 | U.S. Dollars | 3,375,538 | CITIG | (28,861 | ) | |||||||||||||
03/18/15 | Japanese Yen | 376,199,000 | U.S. Dollars | 3,142,875 | CITIG | 86 | ||||||||||||||
03/18/15 | Japanese Yen | 300,684,768 | U.S. Dollars | 2,504,046 | CITIG | 8,030 | ||||||||||||||
03/18/15 | Japanese Yen | 297,004,729 | U.S. Dollars | 2,481,172 | CITIG | 159 | ||||||||||||||
03/18/15 | Japanese Yen | 284,294,684 | U.S. Dollars | 2,342,786 | CITIG | 32,359 | ||||||||||||||
03/18/15 | Japanese Yen | 281,618,183 | U.S. Dollars | 2,365,816 | CITIG | (13,032 | ) | |||||||||||||
03/18/15 | Japanese Yen | 279,787,038 | U.S. Dollars | 2,365,768 | CITIG | (28,282 | ) |
324
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | Japanese Yen | 230,014,637 | U.S. Dollars | 1,935,286 | CITIG | $ | (13,624 | ) | ||||||||||||
03/18/15 | Japanese Yen | 198,019,000 | U.S. Dollars | 1,675,831 | CITIG | (21,478 | ) | |||||||||||||
03/18/15 | Japanese Yen | 141,583,961 | U.S. Dollars | 1,182,819 | CITIG | 46 | ||||||||||||||
03/18/15 | Japanese Yen | 47,277,000 | U.S. Dollars | 401,384 | CITIG | (6,407 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 37,656,479 | British Pounds | 24,084,501 | CITIG | 141,943 | ||||||||||||||
03/18/15 | Swedish Kronor | 22,557,000 | U.S. Dollars | 2,965,838 | CITIG | (71,450 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 20,189,000 | British Pounds | 12,919,513 | CITIG | 65,289 | ||||||||||||||
03/18/15 | Swedish Kronor | 19,702,000 | U.S. Dollars | 2,645,602 | CITIG | (117,552 | ) | |||||||||||||
03/18/15 | Norwegian Krone | 16,870,165 | U.S. Dollars | 2,399,184 | CITIG | (140,662 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 16,735,735 | British Pounds | 10,741,986 | CITIG | 3,787 | ||||||||||||||
03/18/15 | Norwegian Krone | 14,881,748 | U.S. Dollars | 2,111,238 | CITIG | (118,919 | ) | |||||||||||||
03/18/15 | Norwegian Krone | 13,750,268 | U.S. Dollars | 1,919,731 | CITIG | (78,891 | ) | |||||||||||||
03/18/15 | Swedish Kronor | 13,399,000 | U.S. Dollars | 1,781,674 | CITIG | (62,389 | ) | |||||||||||||
03/18/15 | Norwegian Krone | 11,311,073 | U.S. Dollars | 1,581,991 | CITIG | (67,702 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 10,613,000 | U.S. Dollars | 1,368,801 | CITIG | (247 | ) | |||||||||||||
03/18/15 | Norwegian Krone | 10,343,746 | U.S. Dollars | 1,439,721 | CITIG | (54,934 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 9,379,621 | Japanese Yen | 1,093,068,000 | CITIG | 247,566 | ||||||||||||||
03/18/15 | New Zealand Dollars | 8,871,731 | U.S. Dollars | 6,834,160 | CITIG | 34,141 | ||||||||||||||
03/18/15 | Swedish Kronor | 8,552,000 | U.S. Dollars | 1,108,380 | CITIG | (11,036 | ) | |||||||||||||
03/18/15 | Euro | 8,135,000 | U.S. Dollars | 9,982,443 | CITIG | (131,716 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 7,770,408 | Norwegian Krone | 53,121,000 | CITIG | 658,743 | ||||||||||||||
03/18/15 | Canadian Dollars | 7,349,000 | U.S. Dollars | 6,457,949 | CITIG | (143,176 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 7,103,641 | Canadian Dollars | 8,251,000 | CITIG | 13,806 | ||||||||||||||
03/18/15 | Australian Dollars | 6,600,662 | U.S. Dollars | 5,451,671 | CITIG | (93,083 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 6,156,133 | Norwegian Krone | 43,158,000 | CITIG | 378,283 | ||||||||||||||
03/18/15 | Australian Dollars | 5,831,014 | U.S. Dollars | 4,771,408 | CITIG | (37,640 | ) | |||||||||||||
03/18/15 | New Zealand Dollars | 5,523,891 | U.S. Dollars | 4,201,996 | CITIG | 74,480 | ||||||||||||||
03/18/15 | U.S. Dollars | 5,402,346 | Canadian Dollars | 6,166,000 | CITIG | 104,090 | ||||||||||||||
03/18/15 | U.S. Dollars | 5,143,050 | Euro | 4,131,000 | CITIG | 140,794 | ||||||||||||||
03/18/15 | U.S. Dollars | 4,891,201 | British Pounds | 3,132,000 | CITIG | 12,731 | ||||||||||||||
03/18/15 | Australian Dollars | 4,873,121 | U.S. Dollars | 4,112,763 | CITIG | (156,637 | ) | |||||||||||||
03/18/15 | New Zealand Dollars | 4,873,000 | U.S. Dollars | 3,747,311 | CITIG | 25,259 | ||||||||||||||
03/18/15 | New Zealand Dollars | 4,575,403 | U.S. Dollars | 3,450,883 | CITIG | 91,294 | ||||||||||||||
03/18/15 | New Zealand Dollars | 4,496,671 | U.S. Dollars | 3,422,012 | CITIG | 59,214 | ||||||||||||||
03/18/15 | New Zealand Dollars | 4,421,652 | U.S. Dollars | 3,407,404 | CITIG | 15,742 | ||||||||||||||
03/18/15 | New Zealand Dollars | 4,366,236 | U.S. Dollars | 3,407,423 | CITIG | (27,179 | ) | |||||||||||||
03/18/15 | Norwegian Krone | 4,280,000 | U.S. Dollars | 594,845 | CITIG | (21,853 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 4,145,027 | British Pounds | 2,647,000 | SS | 22,003 | ||||||||||||||
03/18/15 | U.S. Dollars | 4,123,583 | Norwegian Krone | 30,503,000 | CITIG | 39,942 | ||||||||||||||
03/18/15 | U.S. Dollars | 3,727,168 | Japanese Yen | 439,669,000 | CITIG | 53,945 | ||||||||||||||
03/18/15 | Switzerland Francs | 3,639,000 | U.S. Dollars | 3,766,997 | CITIG | (101,325 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 3,614,544 | Norwegian Krone | 27,324,000 | CITIG | (43,504 | ) | |||||||||||||
03/18/15 | British Pounds | 3,289,000 | U.S. Dollars | 5,151,207 | CITIG | (28,190 | ) | |||||||||||||
03/18/15 | Australian Dollars | 3,285,489 | U.S. Dollars | 2,741,770 | CITIG | (74,525 | ) | |||||||||||||
03/18/15 | Euro | 3,103,975 | U.S. Dollars | 3,806,427 | CITIG | (47,802 | ) | |||||||||||||
03/18/15 | Euro | 2,969,993 | U.S. Dollars | 3,652,501 | CITIG | (56,116 | ) | |||||||||||||
03/18/15 | Euro | 2,932,211 | U.S. Dollars | 3,644,357 | CITIG | (93,723 | ) | |||||||||||||
03/18/15 | Danish Kroner | 2,798,000 | U.S. Dollars | 468,212 | CITIG | (13,258 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 2,796,338 | Switzerland Francs | 2,702,000 | CITIG | 74,534 | ||||||||||||||
03/18/15 | Australian Dollars | 2,768,049 | U.S. Dollars | 2,303,291 | CITIG | (56,117 | ) | |||||||||||||
03/18/15 | New Zealand Dollars | 2,664,416 | U.S. Dollars | 2,044,414 | CITIG | 18,319 | ||||||||||||||
03/18/15 | Euro | 2,657,821 | U.S. Dollars | 3,279,871 | CITIG | (61,498 | ) |
325
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | British Pounds | 2,638,000 | U.S. Dollars | 4,139,444 | CITIG | $ | (30,439 | ) | ||||||||||||
03/18/15 | Australian Dollars | 2,634,665 | U.S. Dollars | 2,193,448 | CITIG | (54,559 | ) | |||||||||||||
03/18/15 | Euro | 2,627,000 | U.S. Dollars | 3,287,869 | CITIG | (106,817 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 2,422,000 | U.S. Dollars | 312,299 | CITIG | 20 | ||||||||||||||
03/18/15 | Canadian Dollars | 2,345,000 | U.S. Dollars | 2,070,377 | CITIG | (55,389 | ) | |||||||||||||
03/18/15 | Danish Kroner | 2,193,000 | U.S. Dollars | 361,804 | CITIG | (5,223 | ) | |||||||||||||
03/18/15 | Israeli Shekels | 2,111,325 | U.S. Dollars | 533,594 | CITIG | 7,863 | ||||||||||||||
03/18/15 | Israeli Shekels | 1,984,085 | U.S. Dollars | 498,062 | CITIG | 10,764 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,942,964 | Australian Dollars | 2,364,000 | CITIG | 23,807 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,906,139 | Australian Dollars | 2,354,000 | CITIG | (4,898 | ) | |||||||||||||
03/18/15 | Euro | 1,899,000 | U.S. Dollars | 2,371,200 | CITIG | (71,688 | ) | |||||||||||||
03/18/15 | Israeli Shekels | 1,841,590 | U.S. Dollars | 465,000 | CITIG | 7,283 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,777,483 | Swedish Kronor | 13,276,958 | CITIG | 73,858 | ||||||||||||||
03/18/15 | Euro | 1,725,000 | U.S. Dollars | 2,145,858 | CITIG | (57,043 | ) | |||||||||||||
03/18/15 | Canadian Dollars | 1,699,000 | U.S. Dollars | 1,477,393 | CITIG | (17,494 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 1,674,000 | U.S. Dollars | 215,859 | CITIG | 5 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,659,014 | Swedish Kronor | 12,471,437 | CITIG | 58,749 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,569,401 | New Zealand Dollars | 2,020,000 | CITIG | 5,561 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,540,425 | Swedish Kronor | 11,584,471 | CITIG | 53,971 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,531,356 | Swedish Kronor | 11,543,939 | CITIG | 50,103 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,303,478 | Swedish Kronor | 9,890,858 | CITIG | 34,339 | ||||||||||||||
03/18/15 | Australian Dollars | 1,208,000 | U.S. Dollars | 1,018,151 | CITIG | (37,465 | ) | |||||||||||||
03/18/15 | Canadian Dollars | 1,170,000 | U.S. Dollars | 1,002,087 | CITIG | 3,258 | ||||||||||||||
03/18/15 | Australian Dollars | 1,042,000 | U.S. Dollars | 879,920 | CITIG | (33,997 | ) | |||||||||||||
03/18/15 | New Zealand Dollars | 1,015,000 | U.S. Dollars | 772,148 | CITIG | 13,642 | ||||||||||||||
03/18/15 | U.S. Dollars | 979,888 | British Pounds | 624,000 | CITIG | 7,932 | ||||||||||||||
03/18/15 | U.S. Dollars | 947,998 | Swedish Kronor | 7,157,337 | CITIG | 29,608 | ||||||||||||||
03/18/15 | British Pounds | 933,000 | U.S. Dollars | 1,459,941 | CITIG | (6,680 | ) | |||||||||||||
03/18/15 | Danish Kroner | 928,000 | U.S. Dollars | 154,141 | CITIG | (3,248 | ) | |||||||||||||
03/18/15 | New Zealand Dollars | 908,000 | U.S. Dollars | 708,324 | CITIG | (5,371 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 853,327 | Danish Kroner | 5,114,000 | CITIG | 21,792 | ||||||||||||||
03/18/15 | U.S. Dollars | 853,034 | Australian Dollars | 1,006,000 | RBS | 36,337 | ||||||||||||||
03/18/15 | Switzerland Francs | 697,000 | U.S. Dollars | 723,976 | CITIG | (21,867 | ) | |||||||||||||
03/18/15 | New Zealand Dollars | 611,000 | U.S. Dollars | 471,951 | WEST | 1,071 | ||||||||||||||
03/18/15 | U.S. Dollars | 608,381 | Euro | 492,000 | CITIG | 12,615 | ||||||||||||||
03/18/15 | New Zealand Dollars | 566,000 | U.S. Dollars | 434,694 | CITIG | 3,491 | ||||||||||||||
03/18/15 | U.S. Dollars | 532,294 | Swedish Kronor | 4,005,000 | CITIG | 18,395 | ||||||||||||||
03/18/15 | U.S. Dollars | 395,901 | British Pounds | 252,000 | CITIG | 3,381 | ||||||||||||||
03/18/15 | U.S. Dollars | 353,828 | Hong Kong Dollars | 2,743,000 | CITIG | 116 | ||||||||||||||
03/18/15 | Norwegian Krone | 324,000 | U.S. Dollars | 46,440 | CITIG | (3,064 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 312,000 | U.S. Dollars | 40,226 | CITIG | 7 | ||||||||||||||
03/18/15 | U.S. Dollars | 284,263 | Singapore Dollars | 372,000 | CITIG | 3,800 | ||||||||||||||
03/18/15 | Israeli Shekels | 264,000 | U.S. Dollars | 67,387 | CITIG | 316 | ||||||||||||||
03/18/15 | U.S. Dollars | 226,203 | Hong Kong Dollars | 1,754,000 | CITIG | 23 | ||||||||||||||
03/18/15 | Singapore Dollars | 225,000 | U.S. Dollars | 170,586 | CITIG | (950 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 192,175 | U.S. Dollars | 146,430 | CITIG | (1,542 | ) | |||||||||||||
03/18/15 | Israeli Shekels | 182,000 | U.S. Dollars | 46,461 | CITIG | 214 | ||||||||||||||
03/18/15 | Singapore Dollars | 178,000 | U.S. Dollars | 136,289 | CITIG | (2,089 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 144,406 | U.S. Dollars | 109,797 | CITIG | (925 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 143,783 | Hong Kong Dollars | 1,115,000 | CITIG | 3 | ||||||||||||||
03/18/15 | U.S. Dollars | 137,822 | Hong Kong Dollars | 1,069,000 | CITIG | (26 | ) | |||||||||||||
03/18/15 | Switzerland Francs | 137,000 | U.S. Dollars | 141,796 | CITIG | (3,792 | ) |
326
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | U.S. Dollars | 97,052 | Israeli Shekels | 383,000 | CITIG | $ | (1,170 | ) | ||||||||||||
03/18/15 | Switzerland Francs | 95,565 | U.S. Dollars | 98,606 | CITIG | (2,341 | ) | |||||||||||||
03/18/15 | Switzerland Francs | 92,435 | U.S. Dollars | 94,419 | CITIG | (1,306 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 90,462 | Danish Kroner | 539,000 | CITIG | 2,821 | ||||||||||||||
03/18/15 | U.S. Dollars | 88,515 | Canadian Dollars | 101,000 | CITIG | 1,728 | ||||||||||||||
03/18/15 | Israeli Shekels | 83,000 | U.S. Dollars | 21,101 | CITIG | 185 | ||||||||||||||
03/18/15 | Singapore Dollars | 80,000 | U.S. Dollars | 61,225 | CITIG | (911 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 79,000 | U.S. Dollars | 60,220 | CITIG | (659 | ) | |||||||||||||
03/18/15 | Israeli Shekels | 76,000 | U.S. Dollars | 19,223 | CITIG | 268 | ||||||||||||||
03/18/15 | Danish Kroner | 74,000 | U.S. Dollars | 12,370 | CITIG | (337 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 72,013 | Danish Kroner | 430,000 | CITIG | 2,095 | ||||||||||||||
03/18/15 | U.S. Dollars | 68,192 | Danish Kroner | 407,000 | CITIG | 2,014 | ||||||||||||||
03/18/15 | Singapore Dollars | 64,156 | U.S. Dollars | 48,790 | CITIG | (420 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 59,310 | U.S. Dollars | 45,225 | CITIG | (509 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 57,000 | U.S. Dollars | 43,058 | CITIG | (83 | ) | |||||||||||||
03/18/15 | Israeli Shekels | 55,000 | U.S. Dollars | 14,244 | CITIG | (139 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 48,515 | U.S. Dollars | 36,676 | CITIG | (99 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 47,845 | U.S. Dollars | 36,628 | CITIG | (556 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 43,000 | U.S. Dollars | 32,990 | CITIG | (571 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 32,447 | U.S. Dollars | 24,515 | CITIG | (52 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 32,146 | U.S. Dollars | 24,402 | CITIG | (166 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 25,504 | Swedish Kronor | 189,000 | CITIG | 1,252 | ||||||||||||||
03/18/15 | U.S. Dollars | 14,001 | Australian Dollars | 17,000 | CITIG | 200 | ||||||||||||||
03/18/15 | Euro | 6,000 | U.S. Dollars | 7,491 | CITIG | (226 | ) | |||||||||||||
03/18/15 | Australian Dollars | 1,000 | U.S. Dollars | 825 | CITIG | (13 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 589,642 | |||||||||||||||||||
|
| |||||||||||||||||||
Emerging Markets Equity Fund | ||||||||||||||||||||
03/18/15 | Russian Rubles | 9,000,000 | U.S. Dollars | 155,406 | CITIG | $ | (13,706 | ) | ||||||||||||
03/18/15 | Indonesian Rupiahs | 13,900,000,000 | U.S. Dollars | 1,112,125 | CITIG | (5,407 | ) | |||||||||||||
03/18/15 | Indonesian Rupiahs | 10,163,743,801 | U.S. Dollars | 811,675 | CITIG | (2,439 | ) | |||||||||||||
03/18/15 | Indonesian Rupiahs | 2,837,679,987 | U.S. Dollars | 225,841 | CITIG | 95 | ||||||||||||||
03/18/15 | South Korean Won | 2,300,000,000 | U.S. Dollars | 2,079,169 | CITIG | 5,918 | ||||||||||||||
03/18/15 | South Korean Won | 1,910,000,000 | U.S. Dollars | 1,745,272 | CITIG | (13,743 | ) | |||||||||||||
03/18/15 | South Korean Won | 1,650,000,000 | U.S. Dollars | 1,498,050 | CITIG | (2,227 | ) | |||||||||||||
03/18/15 | South Korean Won | 1,470,000,000 | U.S. Dollars | 1,327,941 | CITIG | 4,702 | ||||||||||||||
03/18/15 | South Korean Won | 1,200,000,000 | U.S. Dollars | 1,069,282 | CITIG | 18,589 | ||||||||||||||
03/18/15 | South Korean Won | 1,180,000,000 | U.S. Dollars | 1,079,821 | CITIG | (10,081 | ) | |||||||||||||
03/18/15 | South Korean Won | 520,000,000 | U.S. Dollars | 469,502 | CITIG | 1,909 | ||||||||||||||
03/18/15 | Hungarian Forint | 350,024,470 | U.S. Dollars | 1,395,743 | CITIG | (60,552 | ) | |||||||||||||
03/18/15 | Hungarian Forint | 329,838,087 | U.S. Dollars | 1,327,161 | CITIG | (68,972 | ) | |||||||||||||
03/18/15 | Chilean Peso | 310,000,000 | U.S. Dollars | 502,857 | CITIG | 4,194 | ||||||||||||||
03/18/15 | South Korean Won | 270,000,000 | U.S. Dollars | 244,883 | CITIG | (112 | ) | |||||||||||||
03/18/15 | Hungarian Forint | 204,901,937 | U.S. Dollars | 829,331 | CITIG | (47,719 | ) | |||||||||||||
03/18/15 | Hungarian Forint | 201,235,506 | U.S. Dollars | 814,620 | CITIG | (46,994 | ) | |||||||||||||
03/18/15 | Indian Rupees | 104,352,319 | U.S. Dollars | 1,660,523 | CITIG | (33,993 | ) | |||||||||||||
03/18/15 | Indian Rupees | 96,150,457 | U.S. Dollars | 1,531,027 | CITIG | (32,339 | ) | |||||||||||||
03/18/15 | Russian Rubles | 95,000,000 | U.S. Dollars | 1,765,799 | CITIG | (270,078 | ) | |||||||||||||
03/18/15 | Taiwan Dollars | 73,392,834 | U.S. Dollars | 2,362,951 | CITIG | (39,337 | ) | |||||||||||||
03/18/15 | Indian Rupees | 64,256,004 | U.S. Dollars | 1,019,943 | CITIG | (18,390 | ) | |||||||||||||
03/18/15 | Indian Rupees | 64,136,500 | U.S. Dollars | 1,021,125 | CITIG | (21,436 | ) | |||||||||||||
03/18/15 | Indian Rupees | 64,033,087 | U.S. Dollars | 1,020,840 | CITIG | (22,762 | ) |
327
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | Taiwan Dollars | 49,234,166 | U.S. Dollars | 1,586,673 | CITIG | $ | (27,921 | ) | ||||||||||||
03/18/15 | Indian Rupees | 48,167,376 | U.S. Dollars | 766,391 | CITIG | (15,611 | ) | |||||||||||||
03/18/15 | Czech Republic Koruna | 35,000,000 | U.S. Dollars | 1,577,684 | CITIG | (47,222 | ) | |||||||||||||
03/18/15 | Indian Rupees | 32,042,397 | U.S. Dollars | 510,456 | CITIG | (11,014 | ) | |||||||||||||
03/18/15 | Russian Rubles | 32,000,000 | U.S. Dollars | 435,562 | CITIG | 68,260 | ||||||||||||||
03/18/15 | South African Rand | 30,300,000 | U.S. Dollars | 2,708,034 | CITIG | (121,982 | ) | |||||||||||||
03/18/15 | Russian Rubles | 26,000,000 | U.S. Dollars | 423,618 | CITIG | (14,262 | ) | |||||||||||||
03/18/15 | Indian Rupees | 25,447,860 | U.S. Dollars | 401,959 | CITIG | (5,305 | ) | |||||||||||||
03/18/15 | Russian Rubles | 23,000,000 | U.S. Dollars | 432,375 | CITIG | (70,253 | ) | |||||||||||||
03/18/15 | Russian Rubles | 14,000,000 | U.S. Dollars | 233,529 | CITIG | (13,107 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 13,800,000 | U.S. Dollars | 1,779,405 | CITIG | 115 | ||||||||||||||
03/18/15 | Hong Kong Dollars | 13,757,000 | U.S. Dollars | 1,774,296 | CITIG | (320 | ) | |||||||||||||
03/18/15 | Philippine Peso | 13,500,000 | U.S. Dollars | 301,042 | CITIG | (315 | ) | |||||||||||||
03/18/15 | Russian Rubles | 13,000,000 | U.S. Dollars | 234,142 | CITIG | (29,464 | ) | |||||||||||||
03/18/15 | Russian Rubles | 12,100,000 | U.S. Dollars | 249,606 | CITIG | (59,098 | ) | |||||||||||||
03/18/15 | Philippine Peso | 11,800,000 | U.S. Dollars | 262,954 | CITIG | (97 | ) | |||||||||||||
03/18/15 | Philippine Peso | 11,700,000 | U.S. Dollars | 260,231 | CITIG | 399 | ||||||||||||||
03/18/15 | Hong Kong Dollars | 11,600,000 | U.S. Dollars | 1,496,154 | CITIG | (325 | ) | |||||||||||||
03/18/15 | Philippine Peso | 11,100,000 | U.S. Dollars | 247,603 | CITIG | (339 | ) | |||||||||||||
03/18/15 | Philippine Peso | 10,200,000 | U.S. Dollars | 227,426 | CITIG | (210 | ) | |||||||||||||
03/18/15 | Philippine Peso | 8,900,000 | U.S. Dollars | 197,999 | CITIG | 258 | ||||||||||||||
03/18/15 | Philippine Peso | 8,700,000 | U.S. Dollars | 194,176 | CITIG | (374 | ) | |||||||||||||
03/18/15 | Thailand Baht | 8,400,000 | U.S. Dollars | 254,380 | CITIG | (11 | ) | |||||||||||||
03/18/15 | Malaysian Ringgits | 8,071,274 | U.S. Dollars | 2,321,146 | CITIG | (27,440 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 7,400,000 | U.S. Dollars | 954,632 | CITIG | (396 | ) | |||||||||||||
03/18/15 | Brazilian Reals | 7,140,000 | U.S. Dollars | 2,698,209 | DEUT | (69,173 | ) | |||||||||||||
03/18/15 | Malaysian Ringgits | 6,452,904 | U.S. Dollars | 1,857,068 | CITIG | (23,273 | ) | |||||||||||||
03/18/15 | Russian Rubles | 6,000,000 | U.S. Dollars | 104,603 | CITIG | (10,136 | ) | |||||||||||||
03/18/15 | South African Rand | 5,851,050 | U.S. Dollars | 522,861 | CITIG | (23,483 | ) | |||||||||||||
03/18/15 | South African Rand | 5,377,938 | U.S. Dollars | 473,162 | CITIG | (14,164 | ) | |||||||||||||
03/18/15 | South African Rand | 5,025,868 | U.S. Dollars | 430,697 | CITIG | (1,748 | ) | |||||||||||||
03/18/15 | Malaysian Ringgits | 4,803,762 | U.S. Dollars | 1,392,807 | CITIG | (27,667 | ) | |||||||||||||
03/18/15 | South African Rand | 4,676,564 | U.S. Dollars | 410,208 | CITIG | (11,072 | ) | |||||||||||||
03/18/15 | South African Rand | 4,599,580 | U.S. Dollars | 396,152 | CITIG | (3,586 | ) | |||||||||||||
03/18/15 | Turkish Lira | 4,535,342 | U.S. Dollars | 1,989,149 | CITIG | (79,333 | ) | |||||||||||||
03/18/15 | Polish Zloty | 4,220,000 | U.S. Dollars | 1,208,658 | CITIG | (20,863 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 4,100,000 | U.S. Dollars | 528,838 | CITIG | (140 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 3,987,324 | Singapore Dollars | 5,232,984 | CITIG | 42,000 | ||||||||||||||
03/18/15 | Turkish Lira | 3,946,454 | U.S. Dollars | 1,744,854 | CITIG | (83,017 | ) | |||||||||||||
03/18/15 | Malaysian Ringgits | 3,629,060 | U.S. Dollars | 1,028,587 | CITIG | 2,725 | ||||||||||||||
03/18/15 | Israeli Shekels | 3,570,000 | U.S. Dollars | 911,262 | CITIG | 4,278 | ||||||||||||||
03/18/15 | Singapore Dollars | 3,330,000 | U.S. Dollars | 2,530,918 | CITIG | (20,318 | ) | |||||||||||||
03/18/15 | South African Rand | 3,300,000 | U.S. Dollars | 294,301 | CITIG | (12,651 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 2,989,815 | Singapore Dollars | 3,932,219 | CITIG | 25,181 | ||||||||||||||
03/18/15 | Polish Zloty | 2,940,561 | U.S. Dollars | 867,555 | CITIG | (39,881 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 2,580,092 | Hong Kong Dollars | 20,011,000 | CITIG | (341 | ) | |||||||||||||
03/18/15 | Israeli Shekels | 2,580,000 | U.S. Dollars | 658,425 | CITIG | 3,226 | ||||||||||||||
03/18/15 | U.S. Dollars | 2,527,867 | South Korean Won | 2,797,354,000 | CITIG | (8,101 | ) | |||||||||||||
03/18/15 | Turkish Lira | 2,426,660 | U.S. Dollars | 1,053,039 | CITIG | (31,182 | ) | |||||||||||||
03/18/15 | Brazilian Reals | 2,380,000 | U.S. Dollars | 911,902 | CITIG | (35,557 | ) | |||||||||||||
03/18/15 | Turkish Lira | 2,322,054 | U.S. Dollars | 1,008,474 | CITIG | (30,666 | ) | |||||||||||||
03/18/15 | Turkish Lira | 2,280,000 | U.S. Dollars | 999,112 | CITIG | (39,013 | ) |
328
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | Turkish Lira | 2,261,002 | U.S. Dollars | 994,550 | CITIG | $ | (42,451 | ) | ||||||||||||
03/18/15 | Singapore Dollars | 2,250,000 | U.S. Dollars | 1,724,294 | CITIG | (27,942 | ) | |||||||||||||
03/18/15 | Turkish Lira | 2,210,655 | U.S. Dollars | 968,400 | CITIG | (37,501 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 2,200,000 | U.S. Dollars | 283,685 | CITIG | 6 | ||||||||||||||
03/18/15 | U.S. Dollars | 2,158,840 | Turkish Lira | 5,110,000 | CITIG | 7,038 | ||||||||||||||
03/18/15 | U.S. Dollars | 2,150,075 | Mexican Pesos | 31,700,000 | JPM | 11,818 | ||||||||||||||
03/18/15 | U.S. Dollars | 2,106,824 | Brazilian Reals | 5,720,000 | CITIG | 650 | ||||||||||||||
03/18/15 | Thailand Baht | 2,100,000 | U.S. Dollars | 62,612 | CITIG | 980 | ||||||||||||||
03/18/15 | Turkish Lira | 2,094,576 | U.S. Dollars | 917,711 | CITIG | (35,693 | ) | |||||||||||||
03/18/15 | Turkish Lira | 1,986,257 | U.S. Dollars | 855,334 | CITIG | (18,929 | ) | |||||||||||||
03/18/15 | Thailand Baht | 1,900,000 | U.S. Dollars | 57,281 | CITIG | 255 | ||||||||||||||
03/18/15 | Philippine Peso | 1,800,000 | U.S. Dollars | 40,156 | CITIG | (59 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,756,514 | Mexican Pesos | 26,100,000 | CITIG | (4,007 | ) | |||||||||||||
03/18/15 | Polish Zloty | 1,737,439 | U.S. Dollars | 516,643 | CITIG | (27,609 | ) | |||||||||||||
03/18/15 | Turkish Lira | 1,660,000 | U.S. Dollars | 719,976 | CITIG | (20,956 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,596,198 | Israeli Shekels | 6,315,837 | CITIG | (23,523 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 1,500,000 | U.S. Dollars | 193,435 | CITIG | (9 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,489,908 | Israeli Shekels | 5,935,213 | CITIG | (32,200 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,430,795 | Mexican Pesos | 21,300,000 | CITIG | (5,952 | ) | |||||||||||||
03/18/15 | Brazilian Reals | 1,420,000 | U.S. Dollars | 539,050 | CITIG | (16,188 | ) | |||||||||||||
03/18/15 | Hong Kong Dollars | 1,400,000 | U.S. Dollars | 180,532 | CITIG | (1 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,391,005 | Israeli Shekels | 5,508,950 | CITIG | (21,787 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,390,035 | South African Rand | 15,749,000 | CITIG | 45,884 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,328,554 | Singapore Dollars | 1,746,988 | CITIG | 11,440 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,231,467 | Singapore Dollars | 1,615,014 | CITIG | 13,853 | ||||||||||||||
03/18/15 | Brazilian Reals | 1,200,000 | U.S. Dollars | 448,936 | CITIG | (7,081 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,173,878 | Chilean Peso | 721,046,832 | CITIG | (5,501 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,159,816 | Turkish Lira | 2,800,000 | CITIG | (19,253 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,064,711 | Malaysian Ringgits | 3,740,000 | CITIG | 1,873 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,051,595 | Taiwan Dollars | 32,670,000 | CITIG | 17,264 | ||||||||||||||
03/18/15 | Polish Zloty | 1,020,000 | U.S. Dollars | 303,295 | CITIG | (16,197 | ) | |||||||||||||
03/18/15 | Brazilian Reals | 1,020,000 | U.S. Dollars | 394,048 | CITIG | (18,471 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 1,002,457 | Mexican Pesos | 14,500,000 | DEUT | 24,390 | ||||||||||||||
03/18/15 | U.S. Dollars | 1,002,018 | Mexican Pesos | 14,600,000 | CITIG | 17,205 | ||||||||||||||
03/18/15 | Indian Rupees | 1,000,000 | U.S. Dollars | 15,873 | CITIG | (286 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 998,688 | Singapore Dollars | 1,321,070 | CITIG | 2,689 | ||||||||||||||
03/18/15 | U.S. Dollars | 997,389 | Singapore Dollars | 1,302,844 | CITIG | 15,130 | ||||||||||||||
03/18/15 | Indonesian Rupiahs | 982,000 | U.S. Dollars | 79 | CITIG | — | ||||||||||||||
03/18/15 | U.S. Dollars | 956,512 | Mexican Pesos | 13,600,000 | RBS | 39,153 | ||||||||||||||
03/18/15 | U.S. Dollars | 949,064 | Columbian Peso | 2,180,000,000 | CITIG | 35,597 | ||||||||||||||
03/18/15 | U.S. Dollars | 948,817 | Chilean Peso | 585,565,191 | CITIG | (8,962 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 939,863 | Brazilian Reals | 2,550,000 | CITIG | 922 | ||||||||||||||
03/18/15 | Singapore Dollars | 930,000 | U.S. Dollars | 710,659 | CITIG | (9,500 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 880,299 | Chilean Peso | 541,694,977 | CITIG | (5,723 | ) | |||||||||||||
03/18/15 | Israeli Shekels | 880,000 | U.S. Dollars | 222,992 | CITIG | 2,687 | ||||||||||||||
03/18/15 | U.S. Dollars | 861,589 | South Korean Won | 965,772,000 | CITIG | (13,941 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 845,368 | Brazilian Reals | 2,242,000 | CITIG | 19,836 | ||||||||||||||
03/18/15 | U.S. Dollars | 826,639 | Russian Rubles | 45,430,198 | CITIG | 111,366 | ||||||||||||||
03/18/15 | U.S. Dollars | 804,870 | Malaysian Ringgits | 2,830,000 | CITIG | 637 | ||||||||||||||
03/18/15 | Polish Zloty | 800,000 | U.S. Dollars | 237,962 | CITIG | (12,788 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 777,758 | South Korean Won | 870,000,000 | CITIG | (10,949 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 751,999 | Philippine Peso | 33,764,946 | CITIG | (151 | ) |
329
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | U.S. Dollars | 750,818 | Philippine Peso | 33,664,972 | CITIG | $ | 895 | |||||||||||||
03/18/15 | U.S. Dollars | 732,380 | Mexican Pesos | 10,600,000 | CITIG | 17,379 | ||||||||||||||
03/18/15 | U.S. Dollars | 709,326 | Hong Kong Dollars | 5,500,000 | CITIG | 97 | ||||||||||||||
03/18/15 | Israeli Shekels | 700,000 | U.S. Dollars | 178,291 | CITIG | 1,226 | ||||||||||||||
03/18/15 | U.S. Dollars | 699,273 | Philippine Peso | 31,296,144 | CITIG | 2,118 | ||||||||||||||
03/18/15 | U.S. Dollars | 681,416 | Russian Rubles | 38,500,167 | CITI | 75,253 | ||||||||||||||
03/18/15 | U.S. Dollars | 678,362 | Russian Rubles | 38,436,001 | CITI | 73,209 | ||||||||||||||
03/18/15 | U.S. Dollars | 676,448 | Brazilian Reals | 1,880,000 | UBS | (15,791 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 667,542 | Singapore Dollars | 883,525 | CITIG | 1,422 | ||||||||||||||
03/18/15 | U.S. Dollars | 664,480 | Singapore Dollars | 875,356 | CITIG | 4,519 | ||||||||||||||
03/18/15 | U.S. Dollars | 648,151 | Malaysian Ringgits | 2,270,000 | CITIG | 3,059 | ||||||||||||||
03/18/15 | U.S. Dollars | 629,217 | Malaysian Ringgits | 2,220,000 | CITIG | (1,666 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 619,952 | Russian Rubles | 35,904,634 | CITIG | 54,653 | ||||||||||||||
03/18/15 | Thailand Baht | 600,000 | U.S. Dollars | 18,059 | CITIG | 110 | ||||||||||||||
03/18/15 | Brazilian Reals | 590,000 | U.S. Dollars | 220,817 | CITIG | (3,574 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 579,223 | Philippine Peso | 25,862,477 | CITIG | 3,109 | ||||||||||||||
03/18/15 | U.S. Dollars | 567,396 | Hong Kong Dollars | 4,400,000 | CITIG | 13 | ||||||||||||||
03/18/15 | U.S. Dollars | 563,997 | Philippine Peso | 25,289,756 | CITIG | 641 | ||||||||||||||
03/18/15 | U.S. Dollars | 533,866 | Malaysian Ringgits | 1,880,000 | CITIG | (395 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 528,693 | Hong Kong Dollars | 4,100,000 | CITIG | (5 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 521,669 | Indian Rupees | 32,746,000 | CITIG | 11,261 | ||||||||||||||
03/18/15 | U.S. Dollars | 517,825 | Russian Rubles | 38,051,000 | CITIG | (81,267 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 500,858 | Malaysian Ringgits | 1,730,000 | CITIG | 9,224 | ||||||||||||||
03/18/15 | Thailand Baht | 500,000 | U.S. Dollars | 14,966 | CITIG | 175 | ||||||||||||||
03/18/15 | Thailand Baht | 500,000 | U.S. Dollars | 14,999 | CITIG | 142 | ||||||||||||||
03/18/15 | Brazilian Reals | 470,000 | U.S. Dollars | 173,081 | CITIG | (22 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 452,201 | Mexican Pesos | 6,427,000 | CITIG | 18,681 | ||||||||||||||
03/18/15 | U.S. Dollars | 438,349 | Hong Kong Dollars | 3,400,000 | CITIG | (84 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 427,665 | Brazilian Reals | 1,135,059 | CITIG | 9,722 | ||||||||||||||
03/18/15 | U.S. Dollars | 423,850 | Russian Rubles | 23,672,000 | CITIG | 51,147 | ||||||||||||||
03/18/15 | U.S. Dollars | 399,863 | Hong Kong Dollars | 3,100,000 | CITIG | 115 | ||||||||||||||
03/18/15 | U.S. Dollars | 398,016 | Malaysian Ringgits | 1,400,000 | CITIG | 162 | ||||||||||||||
03/18/15 | U.S. Dollars | 394,268 | South African Rand | 4,700,000 | CITIG | (6,869 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 383,860 | Indonesian Rupiahs | 4,900,000,000 | CITIG | (6,278 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 380,395 | Indonesian Rupiahs | 5,000,000,000 | CITIG | (17,704 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 377,191 | Philippine Peso | 16,905,803 | CITIG | 596 | ||||||||||||||
03/18/15 | U.S. Dollars | 376,001 | Philippine Peso | 16,901,336 | CITIG | (494 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 375,407 | Philippine Peso | 16,814,566 | CITIG | 844 | ||||||||||||||
03/18/15 | U.S. Dollars | 372,014 | Malaysian Ringgits | 1,310,000 | CITIG | (264 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 370,700 | Columbian Peso | 810,000,000 | CITIG | 31,293 | ||||||||||||||
03/18/15 | U.S. Dollars | 361,224 | Turkish Lira | 820,000 | CITIG | 15,925 | ||||||||||||||
03/18/15 | U.S. Dollars | 360,616 | Columbian Peso | 840,000,000 | CITIG | 8,637 | ||||||||||||||
03/18/15 | U.S. Dollars | 359,879 | Brazilian Reals | 955,941 | CITIG | 7,890 | ||||||||||||||
03/18/15 | U.S. Dollars | 359,715 | South Korean Won | 400,000,000 | CITIG | (2,909 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 359,627 | Indian Rupees | 23,000,000 | CITIG | 1,128 | ||||||||||||||
03/18/15 | U.S. Dollars | 331,998 | Malaysian Ringgits | 1,120,000 | CITIG | 13,715 | ||||||||||||||
03/18/15 | U.S. Dollars | 331,891 | Columbian Peso | 760,000,000 | CITIG | 13,434 | ||||||||||||||
03/18/15 | South African Rand | 330,000 | U.S. Dollars | 29,375 | CITIG | (1,210 | ) | |||||||||||||
03/18/15 | Russian Rubles | 304,000 | U.S. Dollars | 5,490 | CITIG | (703 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 300,349 | Malaysian Ringgits | 1,045,000 | CITIG | 3,379 | ||||||||||||||
03/18/15 | U.S. Dollars | 299,211 | Singapore Dollars | 390,000 | CITIG | 5,177 | ||||||||||||||
03/18/15 | U.S. Dollars | 296,617 | Hong Kong Dollars | 2,300,000 | CITIG | 30 |
330
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | U.S. Dollars | 284,884 | Turkish Lira | 649,000 | CITIG | $ | 11,593 | |||||||||||||
03/18/15 | U.S. Dollars | 250,055 | Malaysian Ringgits | 870,000 | CITIG | 2,817 | ||||||||||||||
03/18/15 | U.S. Dollars | 249,577 | Indonesian Rupiahs | 3,126,201,000 | CITIG | 669 | ||||||||||||||
03/18/15 | U.S. Dollars | 242,145 | Malaysian Ringgits | 840,000 | CITIG | 3,432 | ||||||||||||||
03/18/15 | U.S. Dollars | 235,572 | Thailand Baht | 7,805,000 | CITIG | (779 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 217,987 | Russian Rubles | 10,200,000 | CITIG | 57,394 | ||||||||||||||
03/18/15 | U.S. Dollars | 212,026 | Mexican Pesos | 3,000,000 | CITIG | 9,667 | ||||||||||||||
03/18/15 | U.S. Dollars | 211,678 | Polish Zloty | 715,000 | CITIG | 10,428 | ||||||||||||||
03/18/15 | Mexican Pesos | 211,000 | U.S. Dollars | 15,347 | CITIG | (1,115 | ) | |||||||||||||
03/18/15 | Thailand Baht | 200,000 | U.S. Dollars | 6,034 | CITIG | 22 | ||||||||||||||
03/18/15 | U.S. Dollars | 190,415 | Mexican Pesos | 2,700,000 | CITIG | 8,293 | ||||||||||||||
03/18/15 | Israeli Shekels | 190,000 | U.S. Dollars | 48,057 | CITIG | 670 | ||||||||||||||
03/18/15 | U.S. Dollars | 171,729 | Thailand Baht | 5,698,000 | CITIG | (818 | ) | |||||||||||||
03/18/15 | Peruvian Nuevos Soles | 170,000 | U.S. Dollars | 57,438 | CITIG | (1,371 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 144,537 | Malaysian Ringgits | 510,000 | CITIG | (396 | ) | |||||||||||||
03/18/15 | Singapore Dollars | 140,000 | U.S. Dollars | 107,688 | CITIG | (2,137 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 127,197 | Brazilian Reals | 335,000 | CITIG | 3,846 | ||||||||||||||
03/18/15 | U.S. Dollars | 126,482 | Indonesian Rupiahs | 1,600,000,000 | CITIG | (910 | ) | |||||||||||||
03/18/15 | Thailand Baht | 100,000 | U.S. Dollars | 3,017 | CITIG | 12 | ||||||||||||||
03/18/15 | U.S. Dollars | 94,787 | Turkish Lira | 220,000 | CITIG | 2,145 | ||||||||||||||
03/18/15 | Polish Zloty | 90,000 | U.S. Dollars | 26,666 | CITIG | (1,334 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 83,397 | Singapore Dollars | 110,000 | CITIG | 465 | ||||||||||||||
03/18/15 | U.S. Dollars | 82,481 | Mexican Pesos | 1,169,000 | CITIG | 3,628 | ||||||||||||||
03/18/15 | U.S. Dollars | 82,306 | Turkish Lira | 190,000 | CITIG | 2,297 | ||||||||||||||
03/18/15 | U.S. Dollars | 64,483 | Hong Kong Dollars | 500,000 | CITIG | 7 | ||||||||||||||
03/18/15 | Brazilian Reals | 64,000 | U.S. Dollars | 24,390 | CITIG | (825 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 60,478 | Malaysian Ringgits | 210,000 | CITIG | 800 | ||||||||||||||
03/18/15 | U.S. Dollars | 53,524 | Peruvian Nuevos Soles | 161,000 | CITIG | 425 | ||||||||||||||
03/18/15 | U.S. Dollars | 51,585 | Hong Kong Dollars | 400,000 | CITIG | 5 | ||||||||||||||
03/18/15 | Peruvian Nuevos Soles | 50,000 | U.S. Dollars | 16,639 | CITIG | (149 | ) | |||||||||||||
03/18/15 | Mexican Pesos | 50,000 | U.S. Dollars | 3,524 | CITIG | (151 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 48,397 | Thailand Baht | 1,600,000 | CITIG | (55 | ) | |||||||||||||
03/18/15 | Peruvian Nuevos Soles | 40,000 | U.S. Dollars | 13,545 | CITIG | (350 | ) | |||||||||||||
03/18/15 | Peruvian Nuevos Soles | 28,000 | U.S. Dollars | 9,510 | CITIG | (276 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 27,223 | Thailand Baht | 900,000 | CITIG | (31 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 25,775 | Hong Kong Dollars | 200,000 | CITIG | (15 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 24,109 | Thailand Baht | 800,000 | CITIG | (117 | ) | |||||||||||||
03/18/15 | Peruvian Nuevos Soles | 20,000 | U.S. Dollars | 6,669 | CITIG | (73 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 18,165 | Thailand Baht | 600,000 | CITIG | (4 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 16,478 | Turkish Lira | 40,000 | CITIG | (365 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 15,313 | Singapore Dollars | 20,000 | CITIG | 235 | ||||||||||||||
03/18/15 | U.S. Dollars | 14,941 | Indian Rupees | 940,000 | CITIG | 290 | ||||||||||||||
03/18/15 | U.S. Dollars | 12,007 | Thailand Baht | 400,000 | CITIG | (106 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 10,156 | Peruvian Nuevos Soles | 30,000 | CITIG | 262 | ||||||||||||||
03/18/15 | U.S. Dollars | 10,067 | Peruvian Nuevos Soles | 30,000 | CITIG | 173 | ||||||||||||||
03/18/15 | Peruvian Nuevos Soles | 10,000 | U.S. Dollars | 3,322 | CITIG | (24 | ) | |||||||||||||
03/18/15 | Peruvian Nuevos Soles | 10,000 | U.S. Dollars | 3,329 | CITIG | (31 | ) | |||||||||||||
03/18/15 | Peruvian Nuevos Soles | 10,000 | U.S. Dollars | 3,338 | CITIG | (40 | ) | |||||||||||||
03/18/15 | Peruvian Nuevos Soles | 10,000 | U.S. Dollars | 3,346 | CITIG | (48 | ) | |||||||||||||
03/18/15 | Polish Zloty | 10,000 | U.S. Dollars | 2,967 | CITIG | (152 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 9,973 | Peruvian Nuevos Soles | 30,000 | CITIG | 79 | ||||||||||||||
03/18/15 | U.S. Dollars | 9,076 | Thailand Baht | 300,000 | CITIG | (8 | ) |
331
Table of Contents
Fund/Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
03/18/15 | U.S. Dollars | 6,673 | Peruvian Nuevos Soles | 20,000 | CITIG | $ | 77 | |||||||||||||
03/18/15 | U.S. Dollars | 6,660 | Peruvian Nuevos Soles | 20,000 | CITIG | 64 | ||||||||||||||
03/18/15 | Taiwan Dollars | 6,000 | U.S. Dollars | 193 | CITIG | (3 | ) | |||||||||||||
03/18/15 | U.S. Dollars | 4,519 | Russian Rubles | 210,000 | CITIG | 1,213 | ||||||||||||||
03/18/15 | U.S. Dollars | 4,340 | Turkish Lira | 10,000 | CITIG | 129 | ||||||||||||||
03/18/15 | U.S. Dollars | 3,665 | Indonesian Rupiahs | 45,219,000 | CITIG | 65 | ||||||||||||||
03/18/15 | U.S. Dollars | 3,346 | Peruvian Nuevos Soles | 10,000 | CITIG | 48 | ||||||||||||||
03/18/15 | U.S. Dollars | 694 | Indian Rupees | 43,000 | CITIG | 24 | ||||||||||||||
|
| |||||||||||||||||||
$ | (1,211,070 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Inflation Protected Bond Fund | ||||||||||||||||||||
01/07/15 | U.S. Dollars | 18,301,096 | Euro | 14,652,000 | BNP | $ | 570,045 | |||||||||||||
01/07/15 | U.S. Dollars | 1,636,081 | British Pounds | 1,037,000 | UBS | 19,900 | ||||||||||||||
01/07/15 | Euro | 1,516,000 | U.S. Dollars | 1,868,484 | JPM | (33,904 | ) | |||||||||||||
01/07/15 | British Pounds | 1,037,000 | U.S. Dollars | 1,626,384 | HSBC | (10,203 | ) | |||||||||||||
01/07/15 | Euro | 505,000 | U.S. Dollars | 621,662 | RBC | (10,538 | ) | |||||||||||||
01/21/15 | U.S. Dollars | 1,753,647 | New Zealand Dollars | 2,234,000 | JPM | 15,071 | ||||||||||||||
01/21/15 | U.S. Dollars | 848,405 | New Zealand Dollars | 1,081,000 | BOA | 7,134 | ||||||||||||||
01/21/15 | U.S. Dollars | 361,782 | New Zealand Dollars | 465,000 | CITI | (98 | ) | |||||||||||||
03/16/15 | U.S. Dollars | 5,682,947 | Euro | 4,589,050 | MSCS | 126,136 | ||||||||||||||
03/16/15 | Euro | 3,620,000 | U.S. Dollars | 4,411,687 | SC | (28,284 | ) | |||||||||||||
03/16/15 | U.S. Dollars | 1,299,569 | Japanese Yen | 155,160,345 | RBC | 3,310 | ||||||||||||||
03/16/15 | U.S. Dollars | 564,455 | Australian Dollars | 685,000 | RBC | 8,267 | ||||||||||||||
|
| |||||||||||||||||||
$ | 666,836 | |||||||||||||||||||
|
|
Options Written
Transactions in options written during the year ended December 31, 2014 were as follows:
Fund | Number of Contracts | Premiums Received | Notional Amount | Premiums Received | Total Premiums Received | |||||||||||||||
Low-Duration Bond | ||||||||||||||||||||
Options written, 12/31/13 | 396 | $ | 173,943 | $ | 90,200,000 | $ | 230,869 | $ | 404,812 | |||||||||||
|
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| |||||||||||
Options written | — | — | 386,400,000 | 1,286,684 | 1,286,684 | |||||||||||||||
Options expired | (396 | ) | (173,943 | ) | (34,700,000 | ) | (90,275 | ) | (264,218 | ) | ||||||||||
Options closed | — | — | (351,100,000 | ) | (710,984 | ) | (710,984 | ) | ||||||||||||
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|
|
|
| |||||||||||
Options written, 12/31/14 | — | $ | — | $ | 90,800,000 | $ | 716,294 | $ | 716,294 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Medium-Duration Bond | ||||||||||||||||||||
Options written, 12/31/13 | 412 | $ | 180,759 | $ | 107,500,000 | $ | 276,212 | $ | 456,971 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 3,353 | 953,322 | 604,610,000 | 1,778,814 | 2,732,136 | |||||||||||||||
Options expired | (1,853 | ) | (561,884 | ) | (480,330,000 | ) | (891,957 | ) | (1,453,841 | ) | ||||||||||
Options closed | (1,255 | ) | (368,717 | ) | (150,460,000 | ) | (423,734 | ) | (792,451 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 12/31/14 | 657 | $ | 203,480 | $ | 81,320,000 | $ | 739,335 | $ | 942,815 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Defensive Market Strategies | ||||||||||||||||||||
Options written, 12/31/13 | 688 | $ | 32,881 | $ | — | $ | — | $ | 32,881 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 6,525 | 5,743,593 | — | — | 5,743,593 | |||||||||||||||
Options expired | (5,032 | ) | (3,912,926 | ) | — | — | (3,912,926 | ) | ||||||||||||
Options closed | (1,569 | ) | (1,225,716 | ) | — | — | (1,225,716 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 12/31/14 | 612 | $ | 637,832 | $ | — | $ | — | $ | 637,832 | |||||||||||
|
|
|
|
|
|
|
|
|
|
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Table of Contents
Fund | Number of Contracts | Premiums Received | Notional Amount | Premiums Received | Total Premiums Received | |||||||||||||||
Small Cap Equity | ||||||||||||||||||||
Options written, 12/31/13 | 13 | $ | 3,974 | $ | — | $ | — | $ | 3,974 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written | 83 | 19,277 | — | — | 19,277 | |||||||||||||||
Options expired | (7 | ) | (1,837 | ) | — | — | (1,837 | ) | ||||||||||||
Options closed | (89 | ) | (21,414 | ) | — | — | (21,414 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 12/31/14 | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation Protected Bond | ||||||||||||||||||||
Options written, 12/31/13 | 200 | $ | 14,660 | $ | 4,890,000 | $ | 66,923 | $ | 81,583 | |||||||||||
Options written | 2,279 | 411,382 | 48,302,000 | 328,569 | 739,951 | |||||||||||||||
Options expired | (1,669 | ) | (180,050 | ) | (18,895,000 | ) | (176,611 | ) | (356,661 | ) | ||||||||||
Options closed | (662 | ) | (125,238 | ) | — | — | (125,238 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Options written, 12/31/14 | 148 | $ | 120,754 | $ | 34,297,000 | $ | 218,881 | $ | 339,635 | |||||||||||
|
|
|
|
|
|
|
|
|
|
6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
Year Ended 12/31/14 | Year Ended 12/31/13 | |||||||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | |||||||||
MyDestination 2005 | ||||||||||||
Shares sold | 2,397,742 | 2,390,141 | ||||||||||
Shares reinvested | 344,332 | 133,788 | ||||||||||
Shares redeemed | (1,923,942 | ) | (2,453,997 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 818,132 | 69,932 | ||||||||||
|
|
|
| |||||||||
MyDestination 2015 | ||||||||||||
Shares sold | 6,770,402 | 7,823,039 | ||||||||||
Shares reinvested | 2,173,184 | 1,056,637 | ||||||||||
Shares redeemed | (4,804,080 | ) | (3,249,231 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 4,139,506 | 5,630,445 | ||||||||||
|
|
|
| |||||||||
MyDestination 2025 | ||||||||||||
Shares sold | 10,525,623 | 11,525,044 | ||||||||||
Shares reinvested | 3,065,748 | 2,356,280 | ||||||||||
Shares redeemed | (2,327,812 | ) | (1,456,827 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 11,263,559 | 12,424,497 | ||||||||||
|
|
|
| |||||||||
MyDestination 2035 | ||||||||||||
Shares sold | 6,242,604 | 6,160,978 | ||||||||||
Shares reinvested | 1,822,344 | 1,469,835 | ||||||||||
Shares redeemed | (912,341 | ) | (599,267 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 7,152,607 | 7,031,546 | ||||||||||
|
|
|
|
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Table of Contents
Year Ended 12/31/14 | Year Ended 12/31/13 | |||||||||||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | |||||||||||||
MyDestination 2045 | ||||||||||||||||
Shares sold | 4,317,668 | 4,414,752 | ||||||||||||||
Shares reinvested | 1,436,263 | 1,643,081 | ||||||||||||||
Shares redeemed | (870,438 | ) | (400,028 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 4,883,493 | 5,657,805 | ||||||||||||||
|
|
|
| |||||||||||||
MyDestination 2055 | ||||||||||||||||
Shares sold | 1,061,681 | 779,633 | ||||||||||||||
Shares reinvested | 105,787 | 79,228 | ||||||||||||||
Shares redeemed | (224,376 | ) | (158,031 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 943,092 | 700,830 | ||||||||||||||
|
|
|
| |||||||||||||
Conservative Allocation | ||||||||||||||||
Shares sold | 3,108,659 | 3,550,322 | ||||||||||||||
Shares reinvested | 930,425 | 1,864,374 | ||||||||||||||
Shares redeemed | (4,137,007 | ) | (5,118,767 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (97,923 | ) | 295,929 | |||||||||||||
|
|
|
| |||||||||||||
Balanced Allocation | ||||||||||||||||
Shares sold | 4,429,822 | 6,124,611 | ||||||||||||||
Shares reinvested | 5,256,931 | 6,104,594 | ||||||||||||||
Shares redeemed | (7,513,346 | ) | (8,788,484 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 2,173,407 | 3,440,721 | ||||||||||||||
|
|
|
| |||||||||||||
Growth Allocation | ||||||||||||||||
Shares sold | 2,541,653 | 3,092,779 | ||||||||||||||
Shares reinvested | 4,815,305 | 6,462,903 | ||||||||||||||
Shares redeemed | (5,320,529 | ) | (6,124,482 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 2,036,429 | 3,431,200 | ||||||||||||||
|
|
|
| |||||||||||||
Aggressive Allocation | ||||||||||||||||
Shares sold | 1,630,041 | 2,138,220 | ||||||||||||||
Shares reinvested | 5,092,630 | 3,947,279 | ||||||||||||||
Shares redeemed | (4,212,364 | ) | (5,065,859 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 2,510,307 | 1,019,640 | ||||||||||||||
|
|
|
| |||||||||||||
Conservative Allocation I | ||||||||||||||||
Shares sold | 1,063,532 | 1,051,991 | ||||||||||||||
Shares reinvested | 352,127 | 307,930 | ||||||||||||||
Shares redeemed | (1,716,132 | ) | (1,268,188 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (300,473 | ) | 91,733 | |||||||||||||
|
|
|
| |||||||||||||
Balanced Allocation I | ||||||||||||||||
Shares sold | 1,731,634 | 2,931,254 | ||||||||||||||
Shares reinvested | 2,163,092 | 1,297,121 | ||||||||||||||
Shares redeemed | (4,258,293 | ) | (2,315,029 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (363,567 | ) | 1,913,346 | |||||||||||||
|
|
|
|
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Table of Contents
Year Ended 12/31/14 | Year Ended 12/31/13 | |||||||||||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | |||||||||||||
Growth Allocation I | ||||||||||||||||
Shares sold | 1,047,916 | 2,619,702 | ||||||||||||||
Shares reinvested | 1,740,500 | 769,800 | ||||||||||||||
Shares redeemed | (1,754,222 | ) | (1,488,489 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 1,034,194 | 1,901,013 | ||||||||||||||
|
|
|
| |||||||||||||
Aggressive Allocation I | ||||||||||||||||
Shares sold | 547,423 | 1,441,037 | ||||||||||||||
Shares reinvested | 1,185,497 | 335,244 | ||||||||||||||
Shares redeemed | (1,226,754 | ) | (988,775 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 506,166 | 787,506 | ||||||||||||||
|
|
|
| |||||||||||||
Money Market | ||||||||||||||||
Shares sold | 169,689,475 | 3,811,246,128 | 105,460,546 | 4,335,936,657 | ||||||||||||
Shares reinvested | 25,034 | 117,713 | 38,908 | 105,203 | ||||||||||||
Shares redeemed | (154,146,430 | ) | (3,910,770,582 | ) | (106,106,557 | ) | (4,204,891,545 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 15,568,079 | (99,406,741 | ) | (607,103 | ) | 131,150,315 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Low-Duration Bond | ||||||||||||||||
Shares sold | 4,063,942 | 7,018,714 | 2,410,812 | 7,197,509 | ||||||||||||
Shares reinvested | 393,822 | 681,680 | 320,329 | 549,518 | ||||||||||||
Shares redeemed | (3,737,141 | ) | (7,262,097 | ) | (2,259,882 | ) | (5,397,894 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 720,623 | 438,297 | 471,259 | 2,349,133 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Medium-Duration Bond | ||||||||||||||||
Shares sold | 8,168,870 | 9,117,338 | 3,728,890 | 5,082,508 | ||||||||||||
Shares reinvested | 1,570,128 | 908,367 | 1,297,479 | 725,378 | ||||||||||||
Shares redeemed | (8,348,990 | ) | (5,510,348 | ) | (6,539,868 | ) | (6,915,624 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,390,008 | 4,515,357 | (1,513,499 | ) | (1,107,738 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Extended-Duration Bond | ||||||||||||||||
Shares sold | 3,264,201 | 3,322,036 | 1,450,978 | 1,802,684 | ||||||||||||
Shares reinvested | 2,093,574 | 654,801 | 2,566,909 | 1,075,013 | ||||||||||||
Shares redeemed | (4,141,145 | ) | (3,912,203 | ) | (6,720,701 | ) | (10,234,291 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,216,630 | 64,634 | (2,702,814 | ) | (7,356,594 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Bond | ||||||||||||||||
Shares sold | 6,389,263 | 13,971,357 | ||||||||||||||
Shares reinvested | 1,287,159 | 931,764 | ||||||||||||||
Shares redeemed | (3,128,070 | ) | (1,865,216 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 4,548,352 | 13,037,905 | ||||||||||||||
|
|
|
| |||||||||||||
Defensive Market Strategies | ||||||||||||||||
Shares sold | 1,184,929 | 6,522,910 | 661,878 | 6,381,892 | ||||||||||||
Shares reinvested | 687,829 | 3,245,553 | 721,331 | 3,070,861 | ||||||||||||
Shares redeemed | (1,177,763 | ) | (3,323,066 | ) | (1,607,751 | ) | (4,528,408 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 694,995 | 6,445,397 | (224,542 | ) | 4,924,345 | |||||||||||
|
|
|
|
|
|
|
|
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Table of Contents
Year Ended 12/31/14 | Year Ended 12/31/13 | |||||||||||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | |||||||||||||
Equity Index | ||||||||||||||||
Shares sold | 2,729,593 | 2,574,571 | 1,131,793 | 2,256,224 | ||||||||||||
Shares reinvested | 622,444 | 331,565 | 460,083 | 335,582 | ||||||||||||
Shares redeemed | (668,356 | ) | (2,296,400 | ) | (662,076 | ) | (1,537,196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,683,681 | 609,736 | 929,800 | 1,054,610 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Value Equity | ||||||||||||||||
Shares sold | 2,847,915 | 3,204,628 | 2,595,246 | 4,377,712 | ||||||||||||
Shares reinvested | 5,502,833 | 4,449,662 | 2,293,663 | 2,159,615 | ||||||||||||
Shares redeemed | (3,647,127 | ) | (5,904,998 | ) | (6,218,683 | ) | (12,367,991 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,703,621 | 1,749,292 | (1,329,774 | ) | (5,830,664 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Growth Equity | ||||||||||||||||
Shares sold | 2,120,266 | 3,578,689 | 1,209,794 | 2,482,933 | ||||||||||||
Shares reinvested | 3,962,268 | 5,146,174 | 4,889,718 | 8,132,474 | ||||||||||||
Shares redeemed | (2,665,269 | ) | (6,337,327 | ) | (3,679,257 | ) | (9,363,004 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 3,417,265 | 2,387,536 | 2,420,255 | 1,252,403 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Equity | ||||||||||||||||
Shares sold | 1,399,917 | 2,495,255 | 674,645 | 3,097,274 | ||||||||||||
Shares reinvested | 1,626,024 | 2,624,103 | 2,205,035 | 4,671,768 | ||||||||||||
Shares redeemed | (1,703,202 | ) | (4,632,110 | ) | (1,346,815 | ) | (4,452,164 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,322,739 | 487,248 | 1,532,865 | 3,316,878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity | ||||||||||||||||
Shares sold | 2,437,760 | 7,992,902 | 2,527,358 | 8,472,335 | ||||||||||||
Shares reinvested | 675,464 | 1,676,582 | 497,233 | 1,031,763 | ||||||||||||
Shares redeemed | (4,114,501 | ) | (3,380,883 | ) | (6,818,923 | ) | (22,701,043 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,001,277 | ) | 6,288,601 | (3,794,332 | ) | (13,196,945 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Equity(1) | ||||||||||||||||
Shares sold | 791,628 | 4,915,611 | 4,766,135 | 25,064,445 | ||||||||||||
Shares reinvested | 136,107 | 700,396 | — | — | ||||||||||||
Shares redeemed | (731,088 | ) | (2,577,480 | ) | (6,609 | ) | (17,379 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 196,647 | 3,038,527 | 4,759,526 | 25,047,066 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation Protected Bond | ||||||||||||||||
Shares sold | 5,722,346 | 14,472,849 | ||||||||||||||
Shares reinvested | 593,439 | 256,571 | ||||||||||||||
Shares redeemed | (3,680,855 | ) | (5,308,242 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 2,634,930 | 9,421,178 | ||||||||||||||
|
|
|
| |||||||||||||
Flexible Income(2) | ||||||||||||||||
Shares sold | 2,674,874 | 10,983,177 | ||||||||||||||
Shares reinvested | 392,444 | 102,640 | ||||||||||||||
Shares redeemed | (535,915 | ) | (229,568 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase | 2,531,403 | 10,856,249 | ||||||||||||||
|
|
|
|
336
Table of Contents
Year Ended 12/31/14 | Year Ended 12/31/13 | |||||||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | |||||||||
Real Assets(2) | ||||||||||||
Shares sold | 4,013,055 | 2,902,856 | ||||||||||
Shares reinvested | 164,684 | 26,318 | ||||||||||
Shares redeemed | (949,385 | ) | (113,145 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 3,228,354 | 2,816,029 | ||||||||||
|
|
|
| |||||||||
Real Estate Securities | ||||||||||||
Shares sold | 3,955,264 | 12,984,775 | ||||||||||
Shares reinvested | 1,466,882 | 3,225,459 | ||||||||||
Shares redeemed | (4,212,142 | ) | (9,162,135 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 1,210,004 | 7,048,099 | ||||||||||
|
|
|
| |||||||||
Global Natural Resources Equity(2) | ||||||||||||
Shares sold | 9,038,907 | 26,918,280 | ||||||||||
Shares reinvested | 837,310 | 328,917 | ||||||||||
Shares redeemed | (2,761,078 | ) | (387,108 | ) | ||||||||
|
|
|
| |||||||||
Net increase | 7,115,139 | 26,860,089 | ||||||||||
|
|
|
|
(1)Inception date was October 31, 2013
(2)Inception date was July 1, 2013
7. BANK BORROWINGS
The Board of Trustees approved the renewal of a credit agreement with Bank of America, N.A. dated November 28, 2014 through November 27, 2015. The terms of the credit agreement did not change with the renewal. 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 0.23% per annum.
No Funds borrowed for the year ended December 31, 2014, and there were no outstanding loans at December 31, 2014.
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 year ended December 31, 2014, the Emerging Markets Equity Fund accrued non-U.S. taxes on unrealized gains of $193,562.
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
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Table of Contents
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 (years ended December 31, 2011 through December 31, 2014) remains subject to examination by the Internal Revenue Service. In regard to foreign taxes only, certain Funds have open tax years in certain foreign countries they invest in that may date back to the inception of the funds.
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 years ended December 31, 2014 and December 31, 2013, were characterized as follows for tax purposes:
Fund | Year | Ordinary Income | Long-Term Capital Gain | Total Distribution | ||||||||||||
MyDestination 2005 | 2014 | $ | 1,647,310 | $ | 2,025,520 | $ | 3,672,830 | |||||||||
2013 | 1,430,800 | — | 1,430,800 | |||||||||||||
MyDestination 2015 | 2014 | 9,893,987 | 14,015,347 | 23,909,334 | ||||||||||||
2013 | 11,082,375 | 507,649 | 11,590,024 | |||||||||||||
MyDestination 2025 | 2014 | 13,629,226 | 19,570,290 | 33,199,516 | ||||||||||||
2013 | 13,816,231 | 11,772,816 | 25,589,047 | |||||||||||||
MyDestination 2035 | 2014 | 6,771,198 | 12,665,870 | 19,437,068 | ||||||||||||
2013 | 6,111,194 | 9,769,547 | 15,880,741 | |||||||||||||
MyDestination 2045 | 2014 | 4,564,423 | 10,053,773 | 14,618,196 | ||||||||||||
2013 | 4,505,425 | 12,558,112 | 17,063,537 | |||||||||||||
MyDestination 2055 | 2014 | 488,935 | 866,009 | 1,354,944 | ||||||||||||
2013 | 337,035 | 689,617 | 1,026,652 | |||||||||||||
Conservative Allocation | 2014 | 5,199,569 | 5,697,230 | 10,896,799 | ||||||||||||
2013 | 4,707,701 | 17,556,365 | 22,264,066 | |||||||||||||
Balanced Allocation | 2014 | 27,727,181 | 41,042,091 | 68,769,272 | ||||||||||||
2013 | 27,828,660 | 53,077,462 | 80,906,122 | |||||||||||||
Growth Allocation | 2014 | 18,169,049 | 47,621,569 | 65,790,618 | ||||||||||||
2013 | 19,778,720 | 71,013,455 | 90,792,175 | |||||||||||||
Aggressive Allocation | 2014 | 14,556,180 | 58,352,188 | 72,908,368 | ||||||||||||
2013 | 18,059,402 | 40,374,215 | 58,433,617 | |||||||||||||
Conservative Allocation I | 2014 | 1,945,598 | 1,452,958 | 3,398,556 | ||||||||||||
2013 | 2,555,600 | 476,930 | 3,032,530 | |||||||||||||
Balanced Allocation I | 2014 | 18,280,125 | 4,586,199 | 22,866,324 | ||||||||||||
2013 | 13,881,599 | — | 13,881,599 | |||||||||||||
Growth Allocation I | 2014 | 10,504,008 | 10,326,449 | 20,830,457 | ||||||||||||
2013 | 9,414,953 | — | 9,414,953 | |||||||||||||
Aggressive Allocation I | 2014 | 10,074,623 | 6,094,551 | 16,169,174 | ||||||||||||
2013 | 4,675,371 | — | 4,675,371 | |||||||||||||
Money Market | 2014 | 223,392 | — | 223,392 | ||||||||||||
2013 | 228,385 | — | 228,385 | |||||||||||||
Low-Duration Bond | 2014 | 11,995,934 | 462,630 | 12,458,564 | ||||||||||||
2013 | 10,153,806 | — | 10,153,806 | |||||||||||||
Medium-Duration Bond | 2014 | 21,274,702 | 2,948,049 | 24,222,751 | ||||||||||||
2013 | 19,625,346 | — | 19,625,346 |
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Fund | Year | Ordinary Income | Long-Term Capital Gain | Total Distribution | ||||||||||||
Extended-Duration Bond | 2014 | $ | 14,965,018 | $ | 6,856,773 | $ | 21,821,791 | |||||||||
2013 | 16,784,004 | 15,235,598 | 32,019,602 | |||||||||||||
Global Bond | 2014 | 13,252,051 | — | 13,252,051 | ||||||||||||
2013 | 9,497,750 | — | 9,497,750 | |||||||||||||
Defensive Market Strategies | 2014 | 19,332,753 | 26,898,536 | 46,231,289 | ||||||||||||
2013 | 24,435,473 | 18,757,192 | 43,192,665 | |||||||||||||
Equity Index | 2014 | 7,055,940 | 6,176,009 | 13,231,949 | ||||||||||||
2013 | 6,219,243 | 4,196,449 | 10,415,692 | |||||||||||||
Value Equity | 2014 | 33,781,242 | 113,511,347 | 147,292,589 | ||||||||||||
2013 | 25,431,349 | 40,067,680 | 65,499,029 | |||||||||||||
Growth Equity | 2014 | 13,122,409 | 150,902,788 | 164,025,197 | ||||||||||||
2013 | 50,068,100 | 193,351,088 | 243,419,188 | |||||||||||||
Small Cap Equity | 2014 | 18,688,929 | 40,288,021 | 58,976,950 | ||||||||||||
2013 | 39,689,845 | 66,847,494 | 106,537,339 | |||||||||||||
International Equity | 2014 | 31,177,337 | — | 31,177,337 | ||||||||||||
2013 | 21,343,925 | — | 21,343,925 | |||||||||||||
Emerging Markets Equity | 2014 | 7,517,589 | 64,997 | 7,582,586 | ||||||||||||
Inflation Protected Bond | 2014 | 6,199,837 | — | 6,199,837 | ||||||||||||
2013 | 2,068,697 | 682,106 | 2,750,803 | |||||||||||||
Flexible Income | 2014 | 3,905,895 | — | 3,905,895 | ||||||||||||
2013 | 1,028,524 | — | 1,028,524 | |||||||||||||
Real Assets | 2014 | 1,207,736 | 332,748 | 1,540,484 | ||||||||||||
2013 | 258,438 | — | 258,438 | |||||||||||||
Real Estate Securities | 2014 | 11,864,438 | 3,399,432 | 15,263,870 | ||||||||||||
2013 | 10,582,340 | 19,896,262 | 30,478,602 | |||||||||||||
Global Natural Resources Equity | 2014 | 6,605,541 | — | 6,605,541 | ||||||||||||
2013 | 3,127,024 | — | 3,127,024 |
At December 31, 2014, 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 | $ | 7,751 | $ | 1,327,458 | $ | — | $ | 901,847 | ||||||||
MyDestination 2015 | 14,738 | 12,241,577 | — | 26,995,491 | ||||||||||||
MyDestination 2025 | — | 18,062,990 | — | 39,913,408 | ||||||||||||
MyDestination 2035 | — | 11,793,994 | — | 25,749,135 | ||||||||||||
MyDestination 2045 | 29,118 | 9,395,710 | — | 17,049,273 | ||||||||||||
MyDestination 2055 | 5,664 | 996,181 | — | (318,767 | ) | |||||||||||
Conservative Allocation | 695 | 6,115,654 | — | 5,072,395 | ||||||||||||
Balanced Allocation | 74,045 | 25,969,847 | — | 107,684,412 | ||||||||||||
Growth Allocation | 7,199 | 31,172,473 | — | 76,456,738 | ||||||||||||
Aggressive Allocation | — | 40,133,334 | — | 104,773,294 | ||||||||||||
Conservative Allocation I | 4,404 | 243,379 | — | (3,896,395 | ) | |||||||||||
Balanced Allocation I | 6,621 | 14,946,096 | — | (24,873,827 | ) | |||||||||||
Growth Allocation I | 5,072 | 15,486,104 | — | (12,322,740 | ) | |||||||||||
Aggressive Allocation I | 7,076 | 14,955,241 | — | (9,894,705 | ) | |||||||||||
Money Market | 7,677 | — | — | — | ||||||||||||
Low-Duration Bond | 1,880,563 | (587,544 | ) | (1,766,228 | ) | (7,882,733 | ) | |||||||||
Medium-Duration Bond | 2,804,622 | 1,867,991 | — | 9,244,155 | ||||||||||||
Extended-Duration Bond | 2,151,255 | 1,963,159 | — | 32,058,694 | ||||||||||||
Global Bond | 1,532,421 | (6,064,792 | ) | (563,210 | ) | 3,870,962 |
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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 | ||||||||||||
Defensive Market Strategies | $ | 410,336 | $ | 3,194,976 | $ | — | $ | 51,578,641 | ||||||||
Equity Index | 73,304 | 1,184,305 | — | 161,024,541 | ||||||||||||
Value Equity | — | 16,862,633 | (926,384 | ) | 295,245,110 | |||||||||||
Growth Equity | — | 41,098,475 | (2,632,970 | ) | 344,037,098 | |||||||||||
Small Cap Equity | 216,826 | 6,914,947 | — | 67,255,150 | ||||||||||||
International Equity | 348,315 | (1,498,318 | ) | — | 65,406,358 | |||||||||||
Emerging Markets Equity | — | — | (2,346,762 | ) | (25,089,704 | ) | ||||||||||
Inflation Protected Bond | 938,802 | (6,309,420 | ) | — | (2,253,577 | ) | ||||||||||
Flexible Income | — | — | (110,068 | ) | (3,100,561 | ) | ||||||||||
Real Assets | 1,012 | 74,083 | — | (5,399,470 | ) | |||||||||||
Real Estate Securities | 2,238,827 | 2,712,554 | — | 8,499,387 | ||||||||||||
Global Natural Resources Equity | — | — | (1,920,250 | ) | (66,933,141 | ) |
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, 2014:
|
|
|
|
|
|
|
| |||||||||
Expiring December 31, | 2017 | 2018 | Unlimited | Total | ||||||||||||
Low-Duration Bond | $ | — | $ | — | $ | 587,544 | $ | 587,544 | ||||||||
Global Bond | 6,064,792 | — | — | 6,064,792 | ||||||||||||
International Equity | 1,498,318 | — | — | 1,498,318 | ||||||||||||
Inflation Protected Bond | — | — | 6,309,420 | 6,309,420 |
Under the 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.
During the year ended December 31, 2014, the following Funds utilized capital loss carryforwards to offset capital gains:
Carryforward Utilized | ||||
Balanced Allocation I | $ | 2,089,258 | ||
Medium-Duration Bond | 10,419,386 | |||
Global Bond | 1,686,361 | |||
International Equity | 43,524,188 |
For federal income tax purposes, late year loss deferrals, which will reverse in 2015, were as follows as of December 31, 2014:
Capital | Ordinary Income | Total | ||||||||||
Low-Duration Bond | $ | 1,766,228 | $ | — | $ | 1,766,228 | ||||||
Global Bond | 563,210 | — | 563,210 | |||||||||
Value Equity | 926,384 | — | 926,384 | |||||||||
Growth Equity | 2,632,970 | — | 2,632,970 | |||||||||
Emerging Markets Equity | 1,785,329 | 561,433 | 2,346,762 |
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Capital | Ordinary Income | Total | ||||||||||
Flexible Income | $ | 110,068 | $ | — | $ | 110,068 | ||||||
Global Natural Resources Equity | 1,811,507 | 108,743 | 1,920,250 |
At December 31, 2014, 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 | $ | 91,516,304 | $ | 901,847 | $ | 3,339,300 | $ | (2,437,453 | ) | |||||||
MyDestination 2015 | 453,118,698 | 26,995,491 | 42,994,719 | (15,999,228 | ) | |||||||||||
MyDestination 2025 | 617,929,753 | 39,913,408 | 59,926,357 | (20,012,949 | ) | |||||||||||
MyDestination 2035 | 332,698,909 | 25,749,135 | 35,348,403 | (9,599,268 | ) | |||||||||||
MyDestination 2045 | 236,122,373 | 17,049,273 | 25,309,174 | (8,259,901 | ) | |||||||||||
MyDestination 2055 | 28,088,108 | (318,767 | ) | 543,599 | (862,366 | ) | ||||||||||
Conservative Allocation | 306,177,672 | 5,072,395 | 12,431,961 | (7,359,566 | ) | |||||||||||
Balanced Allocation | 1,183,378,811 | 107,684,412 | 139,953,662 | (32,269,250 | ) | |||||||||||
Growth Allocation | 874,764,663 | 76,456,738 | 100,312,876 | (23,856,138 | ) | |||||||||||
Aggressive Allocation | 764,250,313 | 104,773,294 | 111,560,419 | (6,787,125 | ) | |||||||||||
Conservative Allocation I | 82,319,989 | (3,896,395 | ) | 913,320 | (4,809,715 | ) | ||||||||||
Balanced Allocation I | 398,430,023 | (24,873,827 | ) | 16,224,498 | (41,098,325 | ) | ||||||||||
Growth Allocation I | 282,685,666 | (12,322,740 | ) | 13,996,282 | (26,319,022 | ) | ||||||||||
Aggressive Allocation I | 195,440,114 | (9,894,705 | ) | 7,670,767 | (17,565,472 | ) | ||||||||||
Money Market | 1,285,677,236 | — | — | — | ||||||||||||
Low-Duration Bond | 935,711,503 | (5,037,314 | ) | 5,396,390 | (10,433,704 | ) | ||||||||||
Medium-Duration Bond | 1,121,710,707 | 13,043,321 | 26,734,712 | (13,691,391 | ) | |||||||||||
Extended-Duration Bond | 309,350,532 | 32,071,133 | 37,057,448 | (4,986,315 | ) | |||||||||||
Global Bond | 439,776,324 | 4,608,676 | 25,020,340 | (20,411,664 | ) | |||||||||||
Defensive Market Strategies | 598,572,717 | 51,595,932 | 58,457,257 | (6,861,325 | ) | |||||||||||
Equity Index | 302,678,249 | 161,024,541 | 171,819,195 | (10,794,654 | ) | |||||||||||
Value Equity | 1,264,535,397 | 295,245,110 | 355,449,828 | (60,204,718 | ) | |||||||||||
Growth Equity | 1,412,217,862 | 344,037,097 | 366,135,983 | (22,098,886 | ) | |||||||||||
Small Cap Equity | 683,257,928 | 67,255,150 | 91,560,325 | (24,305,175 | ) | |||||||||||
International Equity | 1,463,843,817 | 53,894,089 | 190,147,915 | (136,253,826 | ) | |||||||||||
Emerging Markets Equity | 339,645,661 | (25,008,539 | ) | 17,711,512 | (42,720,051 | ) | ||||||||||
Inflation Protected Bond | 301,658,849 | 108,062 | 4,445,011 | (4,336,949 | ) | |||||||||||
Flexible Income | 137,573,172 | (3,100,561 | ) | 139,964 | (3,240,525 | ) | ||||||||||
Real Assets | 61,362,050 | (5,399,470 | ) | 100,837 | (5,500,307 | ) | ||||||||||
Real Estate Securities | 293,036,047 | 8,509,665 | 19,375,621 | (10,865,956 | ) | |||||||||||
Global Natural Resources | 424,928,729 | (66,933,116 | ) | 3,110,243 | (70,043,359 | ) |
The differences between book basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the deferral of losses on straddles, gains on constructive sales and investments in PFIC’s, partnerships and other securities with book and tax cost differences.
At December 31, 2014, 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.
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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 | $ | — | $ | 434,806 | $ | (434,806) | ||||||||||
MyDestination 2015 | — | 3,570,423 | (3,570,423) | |||||||||||||
MyDestination 2025 | — | 5,844,163 | (5,844,163) | |||||||||||||
MyDestination 2035 | — | 2,869,554 | (2,869,554) | |||||||||||||
MyDestination 2045 | — | 2,194,630 | (2,194,630) | |||||||||||||
MyDestination 2055 | — | 239,704 | (239,704) | |||||||||||||
Conservative Allocation | — | 1,358,409 | (1,358,409) | |||||||||||||
Balanced Allocation | — | 8,554,697 | (8,554,697) | |||||||||||||
Growth Allocation | — | 7,019,462 | (7,019,462) | |||||||||||||
Aggressive Allocation | — | 6,979,783 | (6,979,783) | |||||||||||||
Conservative Allocation I | — | 419,137 | (419,137) | |||||||||||||
Balanced Allocation I | — | 3,523,810 | (3,523,810) | |||||||||||||
Growth Allocation I | — | 3,241,475 | (3,241,475) | |||||||||||||
Aggressive Allocation I | — | 2,673,980 | (2,673,980) | |||||||||||||
Low-Duration Bond | — | 3,888,974 | (3,888,974) | |||||||||||||
Medium-Duration Bond | — | 4,830,403 | (4,830,403) | |||||||||||||
Extended-Duration Bond | — | 381,112 | (381,112) | |||||||||||||
Global Bond | — | 201,764 | (201,764) | |||||||||||||
Defensive Market Strategies | (812) | 1,033,320 | (1,032,508) | |||||||||||||
Equity Index | — | 89,297 | (89,297) | |||||||||||||
Value Equity | — | 275,548 | (275,548) | |||||||||||||
Growth Equity | — | 4,269,589 | (4,269,589) | |||||||||||||
Small Cap Equity | — | 471,542 | (471,542) | |||||||||||||
International Equity | — | 2,133,430 | (2,133,430) | |||||||||||||
Emerging Markets Equity | (31,834) | 690,033 | (658,199) | |||||||||||||
Inflation Protected Bond | — | 2,061,474 | (2,061,474) | |||||||||||||
Flexible Income | (1,400) | (22,683) | 24,083 | |||||||||||||
Real Assets | (5,496) | 428,693 | (423,197) | |||||||||||||
Real Estate Securities | — | 711,534 | (711,534) | |||||||||||||
Global Natural Resources Equity | (2,165) | 1,110,426 | (1,108,261) |
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.
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If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the returns of the Fund.
The market values of equities, such as common stocks and preferred stocks, or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. Market values may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.
A Fund’s investments in commodity-linked derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Credit and Counterparty Risks — A Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. A Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
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.
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10. OUT OF PERIOD ADJUSTMENT
The Statement of Changes in Net Assets contains an out of period adjustment to Investment Income. GuideStone Capital Management was notified of a clerical error by a third party service provider in certain Select Funds that are identified in the table below. The adjustment includes amounts due to the Funds from the years 2004 to 2013. This resulted in an understatement of Total Investment Income on the Statement of Changes in Net Assets for each year. As management believes that this error was not material to prior years’ financial statements and that the impact of recording the error in the current year is not material to the Funds’ financial statements, the Funds recorded the cumulative adjustment during the year ended December 31, 2013.
Payment Amount | ||||
Money Market | $ | 36,613 | ||
Low-Duration Bond | 199,296 | |||
Medium-Duration Bond | 348,413 | |||
Extended-Duration Bond | 156,881 | |||
Global Bond | 52,815 | |||
Defensive Market Strategies | 31,058 | |||
Equity Index | 67,963 | |||
Value Equity | 269,107 | |||
Growth Equity | 333,638 | |||
Small Cap Equity | 393,800 | |||
International Equity | 387,891 | |||
Emerging Markets Equity | 1,189 | |||
Inflation Protected Bond | 31,810 | |||
Real Estate Securities | 62,221 | |||
Global Natural Resources Equity | 6,927 |
11. RECENT SEC RULE AMENDMENT
On July 23, 2014, the U.S. Securities and Exchange Commission adopted amendments to money market fund regulations, which structurally change the way that certain money market funds will be required to operate. These amendments are generally not effective until sometime in 2016, but when implemented may affect the Money Market Fund’s operations and return potential.
12. REGULATORY EXAMINATIONS
Federal and state regulatory authorities from time to time make inquiries and conduct examinations regarding compliance by the Trust and its affiliates with securities and other laws and regulations affecting the Funds. There are currently no such matters which the Trust and its affiliates believe will be material to these financial statements.
13. 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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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and
Shareholders of GuideStone Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of MyDestination 2005 Fund, MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund, MyDestination 2055 Fund, Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund, Aggressive Allocation Fund, Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I, Aggressive Allocation Fund I, Money Market Fund, Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund, Global Bond Fund, Flexible Income Fund, Defensive Market Strategies Fund, Real Assets Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund and Global Natural Resources Equity Fund (constituting GuideStone Funds, hereafter referred to as the “Trust”) at December 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian, brokers and transfer agents of the investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 27, 2015
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NOTICE TO SHAREHOLDERS (Unaudited)
Each Fund is required by Subchapter M of the Internal Revenue Code of 1986, as amended, to advise its shareholders of the federal tax status of distributions received by each Fund’s shareholders. During the year ended December 31, 2014, the Funds hereby designate the following dividends and distributions paid by each of the Funds:
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | |||||||||
MyDestination 2005 | $ | 1,647,310 | $ | 2,025,520 | $ | — | ||||||
MyDestination 2015 | 9,893,987 | 14,015,347 | — | |||||||||
MyDestination 2025 | 13,629,226 | 19,570,290 | — | |||||||||
MyDestination 2035 | 6,771,198 | 12,665,870 | — | |||||||||
MyDestination 2045 | 4,564,423 | 10,053,773 | — | |||||||||
MyDestination 2055 | 488,935 | 866,009 | — | |||||||||
Conservative Allocation | 5,199,569 | 5,697,230 | — | |||||||||
Balanced Allocation | 27,727,181 | 41,042,091 | — | |||||||||
Growth Allocation | 18,169,049 | 47,621,569 | — | |||||||||
Aggressive Allocation | 14,556,180 | 58,352,188 | — | |||||||||
Conservative Allocation I | 1,945,598 | 1,452,958 | — | |||||||||
Balanced Allocation I | 18,280,125 | 4,586,199 | — | |||||||||
Growth Allocation I | 10,504,008 | 10,326,449 | — | |||||||||
Aggressive Allocation I | 10,074,623 | 6,094,551 | — | |||||||||
Money Market | 223,392 | — | — | |||||||||
Low-Duration Bond | 11,995,934 | 462,630 | — | |||||||||
Medium-Duration Bond | 21,274,702 | 2,948,049 | — | |||||||||
Extended-Duration Bond | 14,965,018 | 6,856,773 | — | |||||||||
Global Bond | 13,252,051 | — | — | |||||||||
Defensive Market Strategies | 19,332,753 | 26,898,536 | — | |||||||||
Equity Index | 7,055,940 | 6,176,009 | — | |||||||||
Value Equity | 33,781,242 | 113,511,347 | — | |||||||||
Growth Equity | 13,122,409 | 150,902,788 | — | |||||||||
Small Cap Equity | 18,688,929 | 40,288,021 | — | |||||||||
International Equity | 31,177,337 | — | — | |||||||||
Emerging Markets Equity | 7,517,589 | 64,997 | — | |||||||||
Inflation Protected Bond | 6,199,837 | — | — | |||||||||
Flexible Income | 3,905,895 | — | — | |||||||||
Real Assets | 1,207,736 | 332,748 | — | |||||||||
Real Estate Securities | 11,864,438 | 3,399,432 | — | |||||||||
Global Natural Resources Equity | 6,605,541 | — | — |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. Long-term capital gain distributions are taxable as capital gain dividends.
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NOTICE TO SHAREHOLDERS (Continued)
The following percentages of ordinary income dividends paid for the year ended December 31, 2014, have been designated as qualified for the reduced tax rate under The Job and Growth Tax Relief Reconciliation Act of 2003.
Fund | ||||
MyDestination 2005 | 21.79 | % | ||
MyDestination 2015 | 29.70 | % | ||
MyDestination 2025 | 37.70 | % | ||
MyDestination 2035 | 47.01 | % | ||
MyDestination 2045 | 54.39 | % | ||
MyDestination 2055 | 54.63 | % | ||
Conservative Allocation | 17.29 | % | ||
Balanced Allocation | 26.33 | % | ||
Growth Allocation | 44.96 | % | ||
Aggressive Allocation | 71.20 | % | ||
Conservative Allocation I | 16.43 | % | ||
Balanced Allocation I | 17.55 | % | ||
Growth Allocation I | 37.63 | % | ||
Aggressive Allocation I | 38.99 | % | ||
Defensive Market Strategies | 37.64 | % | ||
Equity Index | 85.53 | % | ||
Value Equity | 65.65 | % | ||
Growth Equity | 61.30 | % | ||
Small Cap Equity | 17.32 | % | ||
International Equity | 100.00 | % | ||
Emerging Markets Equity | 47.41 | % | ||
Real Assets | 12.41 | % | ||
Real Estate Securities | 20.17 | % | ||
Global Natural Resources Equity | 33.66 | % |
All above designations are based on financial information available as of the date of this annual report, and accordingly, are subject to change. It is the intention of the Funds to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder. Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Funds.
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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-GS-FUNDS(1-888-473-8637).
Name, (DOB), Address and Position(s) with Trust | Term of Office | Principal Occupation(s) During Past 5 Years | Number of in Fund | Other Trusteeships/ Directorships Held by Trusteee | ||||||
INDEPENDENT TRUSTEES | ||||||||||
Michael R. Buster (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2002 | Executive Pastor, Prestonwood Baptist Church, 1989 - present. | 31 | N/A | ||||||
Paul H. Dixon, Ed.D. (1939) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2014 | Chancellor, Cedarville University, 2003 – Present. | 31 | Golden Gate Baptist Theological Seminary – Board of Trustees Member; Shepherd Ministries – Board of Director Member | ||||||
Carson L. Eddy (1943) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2011 | Retired – Partner in Charge (Orlando office), Carr, Riggs & Ingram, LLC, 2007 - 2013 – Certified Public Accountants; President, Quantum Consulting Group LLC, 2000 - 2013. | 31 | N/A | ||||||
William Craig George (1958) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2004 | Senior Credit Officer, NewBridge Bank, 2014 - present; Credit Officer, CapStone Bank, 2011 - 2014 (bank acquired by NewBridge Bank); Executive Vice President/Regional Credit Officer, SunTrust Bank, 1995 - 2011. | 31 | N/A | ||||||
Barry D. Hartis (1945) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2014 | Certified Public Accountant, 1987 – Present; Client Services and Firm Development, Haynes Strand and Company, PLLC, 2005 – 2010; Vice President of Business and Finance, Greensboro College, 1998 – 2005. | 31 | GuideStone Financial Resources – Board of Trustees Member, 2004 – 2012; GuideStone Funds – Board of Trustees, Interested Trustee, 2005 – 2012 | ||||||
Grady R. Hazel (1947) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2011 | G400 Relations Manager, American Institute of Certified Public Accountants, 2012 - present; Executive Director, Society of Louisiana CPAs, 1995 - 2012. | 31 | 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 | Independent Consultant, 2010 - present; Retired - Director, Office of Public Policy, South Carolina Baptist Convention, 1999 - 2011. | 31 | 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 1960 - May 2003. | 31 | N/A | ||||||
Kyle Tucker (1981) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2013 | Vice President and Financial Advisor - CAPTRUST Financial Advisors, 2006 - Present. | 31 | N/A |
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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 in Fund | Other Trusteeships/ Directorships Held by Trusteee | ||||||
INTERESTED TRUSTEES2,3 | ||||||||||
Thomas G. Evans (1961) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2012 | Appraiser, Manager and Owner, Encompass Financial Services, Inc., 1985 – present, President and Owner, Custom Land Management, LLC, 1984 – present; Manager, Private Partners Opportunity Fund, LLC, 2011 – present. | 31 | Cherokee Strip Foundation – Board of Trustees Member, 2013 – present; Enid Regional Development Alliance – Board of Trustees member, 2010 – present; 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, LLC, Board of Directors Member, July 2011 – July 2012 | ||||||
James W. Hixson (1931) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee | Since 2010 | Retired | 31 | 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. | N/A | N/A | ||||||
Jeffrey P. Billinger (1946) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Treasurer | Since 2000 | Vice President, Treasurer and Chief Financial Officer, 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 | Vice President and Chief Investment Officer, GuideStone Financial Resources, 1998 - present. | N/A | N/A | ||||||
Ronald C. Dugan, Jr. (1962) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Investment Officer | Since 2010 | Vice President and Chief Strategic Investment Officer, GuideStone Financial Resources, 2013 - present; Director of Global Investment Strategies, GuideStone Financial Resources, 2010 - 2013; Managing Director, Equities, Russell Investments, 2000 - 2010. | 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, 1997 - present. | N/A | N/A | ||||||
Cherika N. Latham(1982) 2401 Cedar Springs Road Dallas, TX 75201-1407 Chief Legal Officer and Secretary | Since 2013 | Assistant Secretary, GuideStone Financial Resources, 2008 - present. | 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 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-GS-FUNDS (1-888-473-8637), by visiting our website at www.GuideStoneFunds.com 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.com 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.com. 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 THE CONTINUATION OF THE ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENTS
(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 the Trustees who are not “interested persons” of the Trust, as that term is defined in Section 2(a)(19) of the 1940 Act (the “Independent Trustees”), recently considered the renewal of (i) the investment advisory agreement between GuideStone Capital Management, LLC (the “Adviser” or “GSCM”) and the Trust on behalf of the Date Target, Asset Allocation and Select Funds (each a “Fund” and together, the “Funds”) (the “Advisory Agreement”); (ii) the sub-advisory agreements among the Adviser, each sub-adviser and the Trust on behalf of each Select Fund; and (iii) the sub-advisory agreement among the Adviser, Parametric Portfolio Associates LLC (“Parametric”) and the Trust on behalf of each Fund participating in the cash overlay program (“Cash Overlay Program”) (Items ii and iii referred to collectively as the “Sub-Advisory Agreements”). The Advisory Agreement and the Sub-Advisory Agreements presented for renewal (each, an “Agreement,” and collectively, the “Agreements”) were approved for an additional one-year term, except as noted below, at a meeting of the Board held on September 11-12, 2014. The Board’s decision to approve the Agreements reflects the exercise of its business judgment to continue each existing arrangement. In approving the Agreements, the Board considered information provided by the Adviser, each applicable sub-adviser and a consulting firm engaged by the Adviser with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust. Because the Board had recently approved them for an initial two-year term, the following agreements were not subject to annual renewal at the September 11-12, 2014 Board meeting: the Sub-Advisory agreements for the Defensive Market Strategies Fund with Parametric Portfolio Associates LLC and the Small Cap Equity Fund with Snow Capital Management L.P.
The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to continue the Agreements. The factors considered by the Board included, but were not limited to: (i) the key personnel of the Adviser and sub-advisers and any changes thereto; (ii) the resources of the Adviser and sub-advisers; (iii) the experience and expertise of the Adviser and sub-advisers; (iv) the financial capabilities of the Adviser and sub-advisers; (v) the compliance procedures and history of the Adviser and sub-advisers; (vi) the performance of the Funds and portfolio accounts in comparison to relevant benchmarks, similarly managed funds and the Adviser’s and sub-advisers’ other clients, if any, to which such Adviser or sub-adviser provides comparable services; (vii) the costs of the services to be provided by the Adviser and sub-advisers; (viii) the amount of the contractual advisory fee in comparison to similarly managed funds and the Adviser’s and sub-advisers’ other clients, if any, to which such Adviser or sub-adviser provides comparable services and the effect of any fee waivers and expense reimbursement arrangements; (ix) the total expenses of the Funds in comparison to similarly managed funds and the use of past and anticipated expense caps; (x) the profitability of the Adviser and sub-advisers with respect to the Funds or portfolio accounts and their overall businesses, as well as the effects of fee waivers and expense caps on profitability; (xi) the extent of any economies of scale and whether the fee structures reflect such economies of scale through breakpoints; (xii) the existence of any collateral benefits realized by the Adviser and sub-advisers, such as affiliated brokerage arrangements or the use of soft dollars; and (xiii) the existence of any collateral benefits realized by the Funds resulting from their respective relationships with the Adviser and sub-advisers. In addition, with respect to the Funds that utilize a multi-manager approach (i.e., the Fund is advised by multiple sub-advisers), the Board considered the ongoing role each sub-adviser plays in the overall structure of the Fund’s portfolio, including how each sub-adviser’s strategy complements the strategies of the other sub-advisers.
In its decision to renew the Agreements, the Board was also mindful of the potential disruptions of the Trust’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew an Agreement. The Board also evaluated whether the approval of each Agreement is in the best interests of the applicable Fund and its shareholders. No one factor was determinative in the Board’s consideration of the Agreements.
The Board undertook a review of the terms of the Agreements and the nature, extent and quality of the services provided by the Adviser and each applicable sub-adviser. The Board conducted its analysis on a Fund-by-Fund basis with respect to the Adviser and each applicable sub-adviser. The Adviser provided the Board with substantial detailed information in the form of reports about each Date Target Fund, Asset Allocation Fund, Select Fund, applicable sub-advisory firm and the Adviser prior to and during the meeting, which addressed the factors listed previously. The Adviser also provided additional information about the
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Adviser and each sub-adviser in presentations made during the meeting and responded to questions from the Trustees. In addition, the Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the continuation of the Agreements as well as the Trustees’ responsibilities and duties in approving the Agreements.
BOARD APPROVAL OF CONTINUATION OF ADVISORY AGREEMENT WITH GSCM
In considering the renewal of the existing Advisory Agreement with GSCM, the Board took into account all the materials provided prior to and during the meeting, the presentations made during the meeting and the comprehensive discussions during the meeting, including the discussions between the Independent Trustees and their independent legal counsel during the executive session. More specifically, the Board examined the nature, extent and quality of the services to be provided by the Adviser to the Funds pursuant to the terms of the Advisory Agreement. The Board evaluated the Adviser’s experience in serving as the investment adviser to the Funds, including managing the allocation of the Funds’ assets among the sub-advisers and overseeing the sub-advisers’ management of such assets. The Board considered the experience and expertise of key personnel at the Adviser in providing investment management and administrative services and the systems used by such persons and the ability of the Adviser to attract and retain capable personnel. The Board considered the reputation, compliance history, compliance program and financial condition of the Adviser. The Board also considered the Adviser’s oversight of the sub-advisers’ compliance with the Funds’ policies and objectives and oversight of general Fund compliance, including compliance with social restrictions and the implementation of Board directives as they relate to the Funds. The Board concluded that each Fund is likely to benefit from the nature, extent and quality of these services as a result of the Adviser’s experience, personnel, operations and resources. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
The Board also reviewed a memorandum prepared by a consulting firm engaged by the Adviser for, among other things, supplying research on fee and expense comparisons and investment performance of other similar funds. The memorandum compared each Date Target, Asset Allocation and Select Fund with other funds that have similar investment styles and objectives, and compared the share class of each Fund with other funds in a similar distribution channel. Where a Fund is described in the following discussions as being in the “first quartile”, it is in the best of four groups (that is, the group has the best performance or the lowest expenses, as the case may be). References below to quartiles are based on data provided to the Board in the reports prepared by an outside consultant.
The Board analyzed the comparative fee and expense information for each Fund and the performance information for each Select Fund in the memorandum, including comparative fee and expense information for each Fund based on a sampling of funds similar in asset size. The Board considered the comparative fee and expense information that had been provided in its evaluation of the management fees charged to each Fund.
The Board examined fee and expense information for the Select Funds, as compared to other funds in the Funds’ asset-stratified peer groups for the Investor Class as of June 30, 2014. The Board took into account the management fees, net of any fee waiver or expense reimbursement, as compared to similar funds with similar asset levels, for the Money Market, Low-Duration Bond and Inflation Protected Bond Funds, which ranked in the first quartile; the Global Bond, Equity Index, Real Estate Securities and Value Equity Funds, which ranked in the second quartile; the Medium-Duration Bond, Extended-Duration Bond, Defensive Market Strategies and Small Cap Equity Funds, which ranked in the third quartile; and the Flexible Income, Growth Equity, International Equity, Emerging Markets Equity and Global Natural Resources Equity Funds, which ranked in the fourth quartile. The Board also evaluated the total expense ratios for other funds in the Funds’ asset-stratified peer groups and determined that each Fund’s total expense ratio, with the exception of the Money Market, Flexible Income and Global Natural Resources Equity Funds, was the same as, or lower than, the median total expense ratio for such other funds. The Board took into account that the total expense ratio for the Global Natural Resources Equity Fund ranked in the third quartile, and that the Money Market and Flexible Income Funds ranked in the fourth quartile, among similar funds at similar asset levels.
The Board also examined the fee and expense information for the Select Funds, as compared to other funds in the Funds’ asset-stratified peer groups for the Institutional Class as of June 30, 2014. The Board took into account the management fees, net of any fee waiver or expense reimbursement, as compared to similar funds with similar asset levels, for the Low-Duration Bond,
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Defensive Market Strategies and Value Equity Funds, which ranked in the second quartile; the Money Market, Medium-Duration Bond, Extended-Duration Bond, Equity Index and Small Cap Equity Funds, which ranked in the third quartile; and the Growth Equity, International Equity and Emerging Markets Equity Funds, which ranked in the fourth quartile among each Fund’s peer group. The Board also evaluated the total expense ratios for other funds in the Funds’ asset-stratified peer groups and determined that each Fund’s total expense ratio was the same as, or lower than, the median total expense ratio for such other funds, except for the Money Market, Defensive Market Strategies, Growth Equity and International Equity Funds. The Board took into account that the total expense ratios for the Defensive Market Strategies, Growth Equity and International Equity Funds ranked in the third quartile and the Money Market Fund ranked in the fourth quartile among similar funds at similar asset levels.
The Board also examined fee and expense information for the Date Target Funds and the Asset Allocation Funds, as compared to other funds in the Funds’ asset-stratified peer groups for the Investor Class of the Date Target Funds and the Institutional and Investor Classes of the Asset Allocation Funds as of June 30, 2014. The Board determined that the management fees, net of any fee waiver or expense reimbursement, for each Date Target Fund were higher than the median management fees for other mutual funds in each Fund’s asset-stratified peer group, and that the total expense ratios for each Date Target Fund were lower than the median total expense ratio (top quartile) for such other funds. For the Asset Allocation Funds, the Board determined that the management fees, net of any fee waiver or expense reimbursement, for each Asset Allocation Fund for the Institutional Class were lower, and the Investor Class were higher, than the median management fees for other mutual funds in each Fund’s asset-stratified peer group, and that the total expense ratios for each Asset Allocation Fund for both the Institutional and Investor Classes were lower than the median total expense ratio for such other funds.
The Board examined the performance information for the Investor Class of the Select Funds compared to the relevant benchmark and to Morningstar peer rankings, specifically for the three-, five- and 10-year average annual total returns for the period ended June 30, 2014. Among Morningstar peers, the Board noted that, for the average annual total returns for the three-, five- and 10-year periods ended June 30, 2014, the Extended-Duration Bond Fund ranked in the first quartile.
For the period ended June 30, 2014, the Board noted that, among Morningstar peers, for the three-year average annual total return, the Global Bond and Value Equity Funds ranked in the first quartile; the Medium-Duration Bond, Inflation Protected Bond and Growth Equity Funds ranked in the second quartile; the Money Market, Low-Duration Bond, Small Cap Equity and International Equity Funds ranked in the third quartile; and the Real Estate Securities Fund ranked in the fourth quartile. For the five-year average annual total return for the period ended June 30, 2014, the Board noted that, among Morningstar peers, the Global Bond, Value Equity and Growth Equity Funds ranked in the first quartile; the Money Market, Medium-Duration Bond and Small Cap Equity Funds ranked in the second quartile; the Low-Duration Bond, Real Estate Securities and International Equity Funds ranked in the third quartile; and no Funds ranked in the fourth quartile. For the 10-year average annual total return for the period ended June 30, 2014, the Board noted that, among Morningstar peers, the Money Market and Medium-Duration Bond Funds ranked in the first quartile; the Low-Duration Bond Fund ranked in the second quartile; and the Value Equity, Growth Equity, Small Cap Equity and International Equity Funds ranked in the third quartile. No Funds ranked in the fourth quartile. The Board recognized that the Flexible Income Fund, Defensive Market Strategies Fund, Emerging Markets Equity Fund and Global Natural Resources Equity Fund each has less than three years of performance history; the Inflation Protected Bond Fund has less than five years of performance history; and the Global Bond Fund has less than 10 years of performance history.
The Board then examined the performance information in the materials provided in the Report of the Investment Adviser for the Investor Class of each Asset Allocation Fund compared to the relevant benchmark and to Lipper peer rankings for the three-, five- and 10-year periods ended June 30, 2014, and for the Date Target Funds for the three- and five-year periods ended June 30, 2014. Among Lipper peers, the Board noted that the Conservative Allocation Fund ranked in the fourth quartile for the three-, five- and 10-year periods ended June 30, 2014; the Balanced Allocation Fund ranked in the second quartile for the 10-year period and the third quartile for the three- and five-year periods ended June 30, 2014; the Growth Allocation Fund ranked in the second quartile for the five- and 10-year periods and the third quartile for the three-year period ended June 30, 2014; and the Aggressive Allocation Fund ranked in the second quartile for the three-, five- and 10-year periods ended June 30, 2014.
The Board also noted that the MyDestination 2015, 2025 and 2035 Funds each ranked in the second quartile among Lipper peers for the three-year period ended June 30, 2014; and the MyDestination 2005 and 2045 Funds ranked in the third quartile among
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Lipper peers for the same period. Among Lipper peers for the five-year period ended June 30, 2014, the Board noted that the MyDestination 2015, 2025, 2035 and 2045 Funds each ranked in the first quartile among Lipper peers for the five-year period ended June 30, 2014; and the MyDestination 2005 Fund ranked in the third quartile among Lipper peers for the same period. The Board recognized that the MyDestination 2055 Fund has less than three years of performance history.
The Board considered the costs to GSCM of serving as the Adviser to the Funds, including the costs associated with the personnel, systems and equipment necessary to manage the Funds in accordance with the existing Advisory Agreement. The Board considered the anticipated revenues that GSCM expected to receive for serving as the Adviser to the Funds and the fact that any profit realized by the Adviser is forwarded to its affiliate GuideStone Financial Resources, which for many years has operated at a deficit with respect to the Trust. The Board also considered the profitability estimates for the Adviser, first, without taking into account sub-advisory fees, and second, taking into account sub-advisory fees. The Board then considered whether any direct or indirect collateral benefits inured to either the Adviser or the Trust as a result of their affiliation with one another. In light of these considerations, the Board concluded that any profits realized in connection with the Adviser’s services appeared reasonable.
The Board also considered the extent to which the advisory fee to be paid to the Adviser reflected economies of scale. The Board noted that all of the Funds are subject to an expense cap and considered the amount of any fees waived by the Adviser for each Fund and the total amount of fees waived for the Trust as a whole during the past year. The Board also noted that the total expense ratios net of any fee waiver and expense reimbursement were below the median total expense ratio for other similar funds at the same asset levels for the Investor Class, except for the Money Market, Flexible Income and Global Natural Resources Equity Funds. Based on their review, the Board concluded that each Fund’s advisory fee was reasonable.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board concluded that the fee paid to the Adviser by each Fund was fair and reasonable in light of the services to be performed, and in the exercise of its business judgment, determined to approve the continuation of the Advisory Agreement for each Fund. The Board also determined that approval of the continuation of each Advisory Agreement is in the best interests of each Fund and its shareholders.
BOARD APPROVAL OF CONTINUATION OF SUB-ADVISORY AGREEMENTS FOR THE SELECT FUNDS AND THE FUNDS PARTICIPATING IN THE CASH OVERLAY PROGRAM
In considering the existing Sub-Advisory Agreements with each of the applicable sub-advisers, the Board took into account the materials provided prior to and during the meeting, the presentations made during the meeting and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive sessions with their independent legal counsel. The Board also took into account the Investment Management Committee’s (the “Committee”) review of information related to the Trust’s sub-advisers, questions submitted by the Committee to GSCM and Trust management regarding various sub-advisers, GSCM and Trust management’s responses to those questions and recommendations made by the Committee. More specifically, the Board examined the nature, extent and quality of the services to be provided by the sub-advisers to the Select Funds, including the services to be provided by Parametric to each Fund participating in the Cash Overlay Program. The Board evaluated each sub-adviser’s experience in serving as a sub-adviser to a Select Fund. The Board noted that each sub-adviser currently provides investment advice to various clients, including, in some cases, other pooled investment vehicles. The Board noted the experience and expertise of key personnel at each sub-adviser in providing investment management services, any changes in such key personnel, and the ability of each sub-adviser to attract and retain capable personnel. The Board noted the reputation, compliance history, compliance program and financial condition of each sub-adviser. The Board also noted the terms of the existing Sub-advisory Agreements and the responsibilities that each sub-adviser has towards a Select Fund, including the responsibility of the day-to-day management of the investment portfolio of each Fund, compliance with each Fund’s policies and objectives and the implementation of Board directives as they relate to each Fund. The Board also noted that market conditions presented challenges for certain active management strategies during recent periods. The Board concluded that each Fund is likely to benefit from the nature, extent and quality of these services as a result of each sub-adviser’s experience, personnel, operations and resources. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors deliberated upon, among others.
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The Board examined performance information for each segment of a Fund managed by a sub-adviser. The Board noted that, for many of the sub-advisers, the performance record of the segment of the Fund managed by the sub-adviser compared favorably to the relevant Fund’s benchmark, the composite performance for the sub-adviser’s clients (on a gross fee basis) and/or the peer universe of similarly managed funds. In cases where the sub-adviser’s performance lagged behind the relevant benchmark, the Board also considered more recent investment performance, performance measured against other relevant benchmarks, or how the sub-adviser’s strategy deviated from the composition of the benchmark, as well as any reductions in the sub-advisory fee, and the role each sub-adviser plays in that structure and in achieving each Fund’s overall investment objective.
The Board also noted that, in certain cases, market trends due to the 2008 economic downturn have contributed to the underperformance of certain sub-advisers. The Board also considered whether a sub-adviser’s underperformance was within the expected tracking error for the sub-adviser’s investment strategy. The Board concluded that, although past performance is no guarantee of future performance, the performance of each Fund was satisfactory and the Funds were likely to benefit from each sub-adviser continuing to serve as sub-adviser to the Funds and the Funds participating in the Cash Overlay Program were likely to benefit from the Parametric serving as sub-adviser to such Funds.
The Board also examined the fee schedule for each sub-adviser, noting how the fee levels charged to the Trust compared with available information about fees charged by the sub-advisers to their other similarly managed clients, which in many cases include separately managed accounts, as well as, for those Fund’s where there was a comparable peer universe, how the sub-adviser fee levels for each Fund compared to the median sub-advisory fee for the peer universe of similarly managed funds.
The Board also took into account the profitability and the financial capability of each sub-adviser in light of information presented at the meeting. In light of these considerations, the Board concluded that the profits realized by each sub-adviser who completed a profitability questionnaire appeared reasonable. For those sub-advisers that did not provide profitability information, the Board relied upon other relevant information, particularly the independent negotiation of the fee schedules, the level of the fees and the sub-adviser’s performance history. The Board noted that, based on the Adviser’s representations, the financial statements of the sub-advisers did not appear to raise any significant concerns regarding the financial capability of those sub-advisers. The Board also considered the Adviser’s representations in the materials prepared for the meeting that, to its knowledge, no sub-adviser experienced any material change in its financial condition since the date of its most recent audited financial statements, and took into account the Adviser’s representation that it would continue to monitor the financial condition of each sub-adviser.
The Board considered the extent to which sub-adviser fees to be paid to each sub-adviser reflected economies of scale. The Board noted that each sub-adviser’s fee schedule either reflected economies of scale by reducing the fee on assets in excess of certain stated breakpoints or the fee level negotiated was below or on par with the standard fee level for the sub-adviser.
In evaluating the benefits that are expected to accrue to each sub-adviser through its relationship as sub-adviser to a Select Fund, the Board noted that certain sub-advisers allocate portfolio brokerage to affiliated broker-dealers that receive commissions from the execution of Fund trades. The Board also noted that certain sub-advisers expect to benefit from “soft dollar” arrangements by which brokers will provide research and other services to the sub-adviser in exchange for commissions on trades of the portfolio securities of the Select Fund. The Board considered whether any direct or indirect collateral benefits inured to the Trust as a result of its affiliation with each sub-adviser.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the continuation of each Sub-Advisory Agreement. The Board also determined that approval of the continuation of each Sub-Advisory Agreement is in the best interest of each Select Fund and each Fund participating in the Cash Overlay Program and their respective shareholders.
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INVESTMENT SUB-ADVISERS (Assets under management as of December 31, 2014) (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 | $ | 4.7Tr | ||||||||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1988 | $ | 4.7Tr | ||||||||
Pacific Investment Management Company LLC | 1971 | $ | 1.7Tr | |||||||||
Payden & Rygel | 1983 | $ | 83.7B | |||||||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ | 1.0Tr | ||||||||
Pacific Investment Management Company LLC | 1971 | $ | 1.7Tr | |||||||||
Western Asset Management Company | 1971 | $ | 381.1B | |||||||||
Western Asset Management Company Limited | 1971 | $ | 70.7B | |||||||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 230.2B | ||||||||
Schroder Investment Management North America Inc.(1) | 1804 | $ | 447.7B | |||||||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $ | 230.2B | ||||||||
Western Asset Management Company | 1971 | $ | 381.1B | |||||||||
Western Asset Management Company Limited | 1971 | $ | 70.7B | |||||||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $ | 145.6B | ||||||||
AQR Capital Management, LLC | 1998 | $ | 122.2B | |||||||||
Parametric Portfolio Associates LLC | 1992 | $ | 136.7B | |||||||||
Shenkman Capital Management, Inc. | 1985 | $ | 27.0B | |||||||||
Equity Index | Northern Trust Investments, Inc. | 1889 | $ | 934.1B | ||||||||
Value Equity | AJO, LP | 1984 | $ | 25.4B | ||||||||
Barrow, Hanley, Mewhinney & Straus, LLC | 1979 | $ | 99.7B | |||||||||
Northern Trust Investments, Inc. | 1889 | $ | 934.1B | |||||||||
TCW Investment Management Company | 1971 | $ | 163.4B | |||||||||
Growth Equity | Brown Advisory, LLC | 1993 | $ | 44.8B | ||||||||
Columbus Circle Investors | 1975 | $ | 16.3B | |||||||||
Marsico Capital Management, LLC | 1997 | $ | 14.9B | |||||||||
Rainier Investment Management, LLC | 1991 | $ | 6.1B | |||||||||
Sands Capital Management, LLC | 1992 | $ | 47.7B | |||||||||
Small Cap Equity | AJO, LP | 1984 | $ | 25.4B | ||||||||
Columbus Circle Investors | 1975 | $ | 16.3B | |||||||||
RBC Global Asset Management (U.S.) Inc. | 1983 | $ | 44.5B | |||||||||
Snow Capital Management L.P. | 1980 | $ | 4.1B | |||||||||
TimesSquare Capital Management, LLC | 1971 | $ | 18.8B | |||||||||
International Equity | AQR Capital Management, LLC | 1998 | $ | 122.2B | ||||||||
Baillie Gifford Overseas Limited | 1983 | $ | 178.6B | |||||||||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $ | 99.7B | |||||||||
MFS Institutional Advisors, Inc. | 1970 | $ | 430.6B | |||||||||
Mondrian Investment Partners Ltd. | 1990 | $ | 69.4B | |||||||||
Philadelphia International Advisors, L.P. | 1956 | $ | 1.7B | |||||||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $ | 122.2B | ||||||||
Genesis Asset Managers, LLP and | 1989 | $ | 35.2B | |||||||||
Genesis Investment Management, LLP | ||||||||||||
Inflation Protected Bond | BlackRock Financial Management, Inc. | 1988 | $ | 4.7Tr | ||||||||
Flexible Income | Shenkman Capital Management, Inc. | 1985 | $ | 27.0B | ||||||||
Real Estate Securities | Heitman Real Estate Securities, LLC | 1966 | $ | 2.7B | ||||||||
Heitman International Real Estate Securities GmbH | 1966 | $ | 201.1M | |||||||||
Heitman International Real Estate Securities HK Limited | 1966 | $ | 324.5M | |||||||||
RREEF America L.L.C. | 1975 | $ | 48.2B | |||||||||
Global Natural Resources Equity | SailingStone Capital Partners LLC | 2014 | $ | 48.2B | ||||||||
Van Eck Associates Corporation | 1955 | $ | 28B | |||||||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ | 934.1B | ||||||||
Cash Overlay for Date Target, Asset Allocation, Fixed Income, Equity and Real Return Funds | Parametric Portfolio Associates LLC | 1992 | $ | 136.7B |
(1) Assets as of September 30, 2014.
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2401 Cedar Springs Road, Dallas, TX 75201-1498 1-888-GS-FUNDS • www.GuideStoneFunds.com | Funds distributed by Foreside Funds Distributors LLC 400 Berwyn Park, 899 Cassatt Road, Suite 110, Berwyn, PA 19312 | |||
© 2015 GuideStone Funds 25502 01/15 2233 |
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Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of directors has determined that Carson L. Eddy is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $731,746 and $755,000 for 2013 and 2014, respectively. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $40,146 and $40,000 for 2013 and 2014, respectively. Audit-related fees are related to procedures performed and the issuance of the auditors’ reports in connection with the Funds’ 17F-2 security counts. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $126,360 and $133,000 for 2013 and 2014, respectively. Tax fees are related to tax services in connection with Funds’ excise tax calculations and review of the Funds’ applicable tax returns. |
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All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 and $62,000 for 2013 and 2014, respectively. Other fees relate to procedures performed in connection with an assessment of the medical claims processed by Highmark Blue Cross Blue Shield. | |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
GuideStone
Non-Audit Services Provided to the Company, Advisor, and Others
The Audit Committee shall pre-approve all permissible non-audit services (e.g., tax services) to be provided to the Company by the Auditors, including the fees therefor;
provided, that if the Committee chooses to delegate the authority to grant pre-approvals to one or more Committee members, each acting on behalf of the Committee, then the Committee shall adopt policies and procedures detailed as to the particular service and designed to safeguard the continued independence of the auditors, consistent with the requirements of the Sarbanes-Oxley Act of 2002 (the “S-O Act”) and related SEC regulations, which shall then be used in making such pre-approvals; and,
further provided, that each delegated pre-approval shall be reported to the Committee during its next regularly scheduled meeting.
The pre-approval requirement for a permitted non-audit service may be waived if:
(1) | the aggregate amount of all such non-audit services provided constitutes not more than 5% of the total revenues paid by the Company to the Auditors in the fiscal year in which the non-audit services are provided; |
(2) | such services were not recognized by the Company at the time of the engagement to be non-audit services; and |
(3) | such services are promptly brought to the attention of, and approved by, the Audit Committee or by a member of the Audit Committee to whom the Committee has delegated the authority to grant such approvals, if any, prior to the Auditors’ completion of the Company’s audit. |
Additionally, if the Auditors’ engagement relates directly to the operations and financial reporting of the Company, to the extent required by Rule 2-01 of Regulation S-X, the Audit Committee shall pre-approve their engagements for non-audit services with:
(1) | the Advisor (excluding any subadviser whose role is primarily portfolio management and is sub-contracted or overseen by the Advisor), and |
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(2) | any entity controlling, controlled by, or under common control with such Advisor that provides ongoing services to the Company (each, a “Control Entity”) |
in accordance with the foregoing paragraph, unless the aggregate amount of all services provided constitutes no more than 5% of the total amount of revenues paid to the Auditors by the Company, the Advisor and any such Control Entity during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee pursuant to this paragraph (in the absence of this exception). The Auditors may not perform contemporaneously any prohibited non-audit services for the Company, which currently include the following:
1. | bookkeeping or other services related to the accounting records or financial statements of the Company; |
2. | financial information systems design and implementation; |
3. | appraisal or valuation services, fairness opinions, or contribution-in-kind reports; |
4. | actuarial services; |
5. | internal audit outsourcing services; |
6. | management functions or human resources; |
7. | broker or dealer, investment adviser, or investment banking services; |
8. | legal services and expert services unrelated to the audit; and |
9. | any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible. |
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) | 100% |
(c) | 100% |
(d) | N/A |
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another |
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investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 and $0 for 2013 and 2014, respectively. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
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) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. | |
(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. | |
(12.other) | Not applicable. |
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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 | February 27, 2015 |
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 | February 27, 2015 |
By (Signature and Title)* | /s/ Jeffrey P. Billinger | |||
Jeffrey P. Billinger, Vice President and Treasurer | ||||
(principal financial officer) |
Date | February 27, 2015 |
* Print the name and title of each signing officer under his or her signature.