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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(Address of principal executive offices) (Zip code)
Matthew A. Wolfe, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(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, 2018
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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• | 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. |
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Matt L. Peden, CFA |
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Index | 3rd Quarter 2018 Return | 4th Quarter 2018 Return | 2018 Calendar Year Return |
U.S. Equities | |||
S&P 500® | 7.71% | -13.52% | -4.38% |
Dow Jones Industrial Average | 9.63% | -11.31% | -3.48% |
NASDAQ | 7.41% | -17.29% | -2.84% |
International Equities | |||
MSCI EAFE | 1.35% | -12.54% | -13.79% |
MSCI Emerging Markets | -1.09% | -7.47% | -14.58% |
U.S. Fixed Income | |||
Bloomberg Barclays US Aggregate Bond | 0.02% | 1.64% | 0.01% |
Bloomberg Barclays US High Yield Corporate | 2.40% | -4.53% | -2.08% |
Global Fixed Income | |||
Bloomberg Barclays Global Aggregate Bond | -0.92% | 1.20% | -1.20% |
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Vice President - Chief Investment Officer
GuideStone Capital Management, LLC
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Actual | ||||||||||
Fund | Class | Beginning Account Value 07/01/18 | Ending Account Value 12/31/18 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $ 968.60 | 0.11% | $0.55 | |||||
Investor | 1,000.00 | 967.10 | 0.35 | 1.73 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 953.60 | 0.10 | 0.51 | |||||
Investor | 1,000.00 | 952.20 | 0.35 | 1.73 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 930.60 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 928.30 | 0.38 | 1.82 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 917.40 | 0.14 | 0.68 | |||||
Investor | 1,000.00 | 916.10 | 0.38 | 1.86 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 913.50 | 0.16 | 0.78 | |||||
Investor | 1,000.00 | 912.30 | 0.39 | 1.86 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 979.30 | 0.17 | 0.84 | |||||
Investor | 1,000.00 | 978.70 | 0.40 | 1.97 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 954.50 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 953.50 | 0.38 | 1.87 | ||||||
Growth Allocation | Institutional | 1,000.00 | 920.80 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 920.50 | 0.38 | 1.85 | ||||||
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Fund | Class | Beginning Account Value 07/01/18 | Ending Account Value 12/31/18 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Aggressive Allocation | Institutional | $1,000.00 | $890.30 | 0.14% | $0.66 | |||||
Investor | 1,000.00 | 889.80 | 0.38 | 1.81 | ||||||
Money Market | Institutional | 1,000.00 | 1,010.10 | 0.15 | 0.78 | |||||
Investor | 1,000.00 | 1,008.80 | 0.40 | 2.01 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,010.80 | 0.34 | 1.74 | |||||
Investor | 1,000.00 | 1,009.30 | 0.60 | 3.05 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,013.10 | 0.37 | 1.90 | |||||
Investor | 1,000.00 | 1,011.60 | 0.64 | 3.26 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,003.40 | 0.56 | 2.81 | |||||
Investor | 1,000.00 | 1,001.90 | 0.82 | 4.16 | ||||||
Global Bond | Institutional | 1,000.00 | 990.10 | 0.53 | 2.66 | |||||
Investor | 1,000.00 | 988.00 | 0.80 | 4.01 | ||||||
Defensive Market Strategies | Institutional | 1,000.00 | 967.50 | 0.66 | 3.27 | |||||
Investor | 1,000.00 | 966.80 | 0.93 | 4.61 | ||||||
Equity Index | Institutional | 1,000.00 | 931.60 | 0.14 | 0.68 | |||||
Investor | 1,000.00 | 930.20 | 0.40 | 1.93 | ||||||
Value Equity | Institutional | 1,000.00 | 900.10 | 0.57 | 2.74 | |||||
Investor | 1,000.00 | 899.30 | 0.84 | 4.00 | ||||||
Growth Equity | Institutional | 1,000.00 | 920.60 | 0.70 | 3.41 | |||||
Investor | 1,000.00 | 919.60 | 0.96 | 4.66 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 828.00 | 0.97 | 4.46 | |||||
Investor | 1,000.00 | 827.30 | 1.23 | 5.68 | ||||||
International Equity Index | Institutional | 1,000.00 | 891.30 | 0.26 | 1.22 | |||||
International Equity (3) | Institutional | 1,000.00 | 870.40 | 0.94 | 4.42 | |||||
Investor | 1,000.00 | 869.90 | 1.21 | 5.69 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 871.90 | 1.32 | 6.23 | |||||
Investor | 1,000.00 | 871.10 | 1.57 | 7.40 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 944.60 | 0.86 | 4.21 | |||||
Investor | 1,000.00 | 944.30 | 1.14 | 5.58 | ||||||
Strategic Alternatives(3) | Institutional | 1,000.00 | 995.60 | 1.16 | 5.85 | |||||
Investor | 1,000.00 | 994.40 | 1.47 | 7.39 | ||||||
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/18 | Ending Account Value 12/31/18 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $ 1,024.65 | 0.11% | $0.56 | |||||
Investor | 1,000.00 | 1,023.45 | 0.35 | 1.78 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,024.68 | 0.10 | 0.53 | |||||
Investor | 1,000.00 | 1,023.43 | 0.35 | 1.79 | ||||||
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Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/18 | Ending Account Value 12/31/18 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2035 | Institutional | $1,000.00 | $1,024.55 | 0.13% | $0.67 | |||||
Investor | 1,000.00 | 1,023.31 | 0.38 | 1.91 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,024.50 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,023.27 | 0.38 | 1.96 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,024.39 | 0.16 | 0.82 | |||||
Investor | 1,000.00 | 1,023.26 | 0.39 | 1.97 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,024.36 | 0.17 | 0.86 | |||||
Investor | 1,000.00 | 1,023.21 | 0.40 | 2.01 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,024.55 | 0.13 | 0.66 | |||||
Investor | 1,000.00 | 1,023.29 | 0.38 | 1.94 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.53 | 0.13 | 0.69 | |||||
Investor | 1,000.00 | 1,023.28 | 0.38 | 1.95 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,024.50 | 0.14 | 0.71 | |||||
Investor | 1,000.00 | 1,023.29 | 0.38 | 1.93 | ||||||
Money Market | Institutional | 1,000.00 | 1,024.43 | 0.15 | 0.79 | |||||
Investor | 1,000.00 | 1,023.20 | 0.40 | 2.03 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.47 | 0.34 | 1.75 | |||||
Investor | 1,000.00 | 1,022.16 | 0.60 | 3.07 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,023.32 | 0.37 | 1.91 | |||||
Investor | 1,000.00 | 1,021.97 | 0.64 | 3.27 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,022.40 | 0.56 | 2.83 | |||||
Investor | 1,000.00 | 1,021.05 | 0.82 | 4.20 | ||||||
Global Bond | Institutional | 1,000.00 | 1,022.54 | 0.53 | 2.70 | |||||
Investor | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||||
Defensive Market Strategies | Institutional | 1,000.00 | 1,021.88 | 0.66 | 3.36 | |||||
Investor | 1,000.00 | 1,020.52 | 0.93 | 4.73 | ||||||
Equity Index | Institutional | 1,000.00 | 1,024.50 | 0.14 | 0.71 | |||||
Investor | 1,000.00 | 1,023.21 | 0.40 | 2.02 | ||||||
Value Equity | Institutional | 1,000.00 | 1,022.32 | 0.57 | 2.91 | |||||
Investor | 1,000.00 | 1,021.00 | 0.84 | 4.25 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,021.66 | 0.70 | 3.59 | |||||
Investor | 1,000.00 | 1,020.35 | 0.96 | 4.91 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,020.33 | 0.97 | 4.93 | |||||
Investor | 1,000.00 | 1,018.99 | 1.23 | 6.27 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,023.91 | 0.26 | 1.31 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,020.48 | 0.94 | 4.78 | |||||
Investor | 1,000.00 | 1,019.12 | 1.21 | 6.14 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,018.55 | 1.32 | 6.72 | |||||
Investor | 1,000.00 | 1,017.29 | 1.57 | 7.98 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,020.88 | 0.86 | 4.37 | |||||
Investor | 1,000.00 | 1,019.47 | 1.14 | 5.80 | ||||||
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Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/18 | Ending Account Value 12/31/18 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Strategic Alternatives (3) | Institutional | $1,000.00 | $ 1,019.34 | 1.16% | $ 5.92 | |||||
Investor | 1,000.00 | 1,017.79 | 1.47 | 7.48 | ||||||
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INVESTMENT ABBREVIATIONS: | ||
10Y | — | 10 Year |
1M | — | 1 Month |
1Y | — | 1 Year |
2M | — | 2 Month |
3M | — | 3 Month |
5Y | — | 5 Year |
6M | — | 6 Month |
ACES | — | Alternative Credit Enhancement Securities |
ADR | — | American Depositary Receipt |
ASX | — | Australian Securities Exchange |
BBSW | — | Bank Bill Swap Rate |
BUBOR | — | Budapest Interbank Offered Rate |
CDI | — | Crest Depository Interest |
CDOR | — | Canadian Dollar Offered Rate |
CDX | — | A series of indexes that track North American and emerging market credit derivative indexes. |
CFETS | — | China Foreign Exchange Trade System |
CLO | — | Collateralized Loan Obligation |
CMBX | — | A group of indexes made up of 25 tranches of commercial mortgage-backed securities (CMBS), each with different credit ratings. |
CMT | — | Constant Maturity |
COF | — | Cost of Funds |
CONV | — | Convertible |
CVA | — | Dutch Certificate |
ETF | — | Exchange Traded Fund |
EURIBOR | — | Euro Interbank Offered Rate |
GDR | — | Global Depositary Receipt |
HIBOR | — | Hong Kong Interbank Offered Rate |
ICE LIBOR | — | Intercontinental Exchange London Interbank Offered Rate |
IO | — | Interest Only (Principal amount shown is notional) |
JIBAR | — | Johannesburg Interbank Average Rate |
KORIBOR | — | Korea Interbank Offered Rate |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
MIBID | — | Mumbai Interbank Bid Rate |
MIBOR | — | Mumbai Interbank Offered Rate |
MXN- TIIE- Banxico | — | The Equilibrium Interbank Interest Rate (“TIIE”) represents interbank credit transactions in local currency (MXN). |
NIBOR | — | Norwegian Interbank Offered Rate |
NSE | — | National Stock Exchange of India Ltd. |
NVDR | — | Non-Voting Depository Receipt |
PCL | — | Public Company Limited |
PIK | — | Payment-in-Kind Bonds |
PLC | — | Public Limited Company |
PRIBOR | — | Prague Interbank Offered Rate |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SDR | — | Special Drawing Rights |
SONIA | — | Sterling Overnight Index Average Rate |
SOFR | — | Secured Overnight Financing Rate |
SPDR | — | Standard and Poor's Depositary |
STEP | — | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. |
STIBOR | — | Stockholm Interbank Offered Rate |
STRIP | — | Stripped Security |
TBA | — | To be announced |
TELBOR | — | Tel Aviv Interbank Offered Rate |
WIBOR | — | Warsaw Interbank Offered Rate |
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, 2018, 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 | ||
Low-Duration Bond | $243,352,795 | 26.79% | ||
Medium-Duration Bond | 239,735,854 | 15.87 | ||
Extended-Duration Bond | 16,255,624 | 7.37 | ||
Global Bond | 113,207,997 | 21.62 | ||
Defensive Market Strategies | 107,999,041 | 10.67 | ||
International Equity Index | 3,932,932 | 0.72 | ||
International Equity | 9,774,789 | 0.90 | ||
Emerging Markets Equity | 10,463,852 | 2.46 | ||
Global Real Estate Fund | 630,422 | 0.29 | ||
Strategic Alternatives | 29,091,247 | 7.52 | ||
INVESTMENT FOOTNOTES: | ||
π | — | Century bond maturing in 2115. |
‡‡ | — | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
‡ | — | Security represents underlying investment on open options contracts. |
* | — | Non-income producing security. |
# | — | Security in default. |
§ | — | Security purchased with the cash proceeds from securities loaned. |
^ | — | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
† | — | Variable rate security. Rate shown reflects the rate in effect as of December 31, 2018. Maturity date for money market instruments is the date of the next interest rate reset. |
γ | — | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
Ω | — | Rate shown reflects the effective yield as of December 31, 2018. |
∞ | — | Affiliated fund. |
Δ | — | Security either partially or fully on loan. |
Σ | — | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
††† | — | Security is a Level 3 investment (see Note 2 in Notes to Financial Statements). |
Ø | — | 7-day current yield as of December 31, 2018 is disclosed. |
Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 2 in Notes to Financial Statements). As of December 31, 2018, 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 | ||
Medium-Duration Bond | $2,524,396 | 0.17% | ||
Global Bond | 46,220 | 0.01 | ||
Small Cap Equity | 1,956,000 | 0.40 | ||
International Equity | — | — | ||
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FOREIGN BOND FOOTNOTES: | ||
(A) | — | Par is denominated in Australian Dollars (AUD). |
(B) | — | Par is denominated in Brazilian Reals (BRL). |
(C) | — | Par is denominated in Canadian Dollars (CAD). |
(E) | — | Par is denominated in Euro (EUR). |
(I) | — | Par is denominated in Indonesian Rupiahs (IDR). |
(J) | — | Par is denominated in Japanese Yen (JPY). |
(K) | — | Par is denominated in Norwegian Kroner (NOK). |
(M) | — | Par is denominated in Mexican Pesos (MXN). |
(Q) | — | Par is denominated in Russian Rubles (RUB). |
(S) | — | Par is denominated in South African Rand (ZAR). |
(T) | — | Par is denominated in Turkish Lira (TRY). |
(U) | — | Par is denominated in British Pounds (GBP). |
(V) | — | Par is denominated in Dominican Pesos (DOP). |
(X) | — | Par is denominated in Colombian Pesos (COP). |
(Y) | — | Par is denominated in Chinese Yuan (CNY). |
(Z) | — | Par is denominated in New Zealand Dollars (NZD). |
(ZA) | — | Par is denominated in Argentine Pesos (ARS). |
COUNTERPARTY ABBREVIATIONS: | ||
ANZ | — | Counterparty to contract is Australia and New Zealand Banking Group. |
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. |
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. |
HSBC | — | Counterparty to contract is HSBC Securities. |
ICE | — | Counterparty to contract is Intercontinental Exchange. |
JPM | — | Counterparty to contract is JPMorgan Chase Bank. |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
NAB | — | Counterparty to contract is National Australia Bank. |
NT | — | Counterparty to contract is Northern Trust. |
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. |
TD | — | Counterparty to contract is Toronto-Dominion Bank. |
UBS | — | Counterparty to contract is UBS AG. |
WEST | — | Counterparty to contract is Westpac Pollock. |
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% | |
Fixed Income Select Funds | 52.0 |
U.S. Equity Select Funds | 29.9 |
Non-U.S. Equity Select Funds | 12.4 |
Alternative Select Funds | 4.7 |
Real Return Select Funds | 1.0 |
U.S. Treasury Obligation | —** |
Money Market Funds | —** |
100.0 |
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Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (3.33)% | (3.66)% | (2.72)% | ||||
Five Year | N/A | 3.22% | 3.42% | ||||
Ten Year | N/A | 7.72% | 7.41% | ||||
Since Inception(1) | 2.03% | 3.87% | 4.03% | ||||
Inception Date | 05/01/17 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented September 17, 2018)(2) | 0.50% | 0.75% |
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Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 7,500,998 | $7,500,998 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 6,883,361 | 90,929,194 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 10,668,593 | 152,347,514 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 6,576,149 | 61,289,712 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 5,538,625 | 64,968,075 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 3,825,491 | 105,430,525 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 729,671 | 9,514,904 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 6,267,918 | 57,915,560 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,867,571 | 16,266,545 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 654,525 | 5,779,452 |
Shares | Value | |||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,902,866 | $28,651,286 | ||
Total Mutual Funds (Cost $632,185,861) | 600,593,765 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $3,409) | 3,409 | 3,409 |
Par | |||
U.S. TREASURY OBLIGATION — 0.0% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $197,950) | $200,000 | 198,009 | |
TOTAL INVESTMENTS —100.0% (Cost $632,387,220) | 600,795,183 | ||
Liabilities in Excess of Other Assets — (0.0)% | (285,548) | ||
NET ASSETS — 100.0% | $600,509,635 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 8 | $686,400 | $(13,547) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 5 | 241,700 | (4,114) | ||||
S&P 500® E-Mini | 03/2019 | 12 | 1,503,120 | (86,322) | ||||
10-Year U.S. Treasury Note | 03/2019 | 25 | 3,050,391 | 68,143 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $5,481,611 | $(35,840) | ||||||
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $3,409 | $3,409 | $— | $— | |||
Mutual Funds | 600,593,765 | 600,593,765 | — | — | |||
U.S. Treasury Obligation | 198,009 | — | 198,009 | — | |||
Total Assets - Investments in Securities | $600,795,183 | $600,597,174 | $198,009 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $68,143 | $68,143 | $— | $— | |||
Total Assets - Other Financial Instruments | $68,143 | $68,143 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(103,983) | $(103,983) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(103,983) | $(103,983) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
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% | |
Fixed Income Select Funds | 39.7 |
U.S. Equity Select Funds | 38.3 |
Non-U.S. Equity Select Funds | 18.1 |
Alternative Select Funds | 2.7 |
Real Return Select Funds | 1.2 |
U.S. Treasury Obligation | —** |
Money Market Funds | —** |
100.0 |
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Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (4.64)% | (4.87)% | (4.13)% | ||||
Five Year | N/A | 3.56% | 3.89% | ||||
Ten Year | N/A | 8.91% | 8.72% | ||||
Since Inception(1) | 2.38% | 4.02% | 4.32% | ||||
Inception Date | 05/01/17 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented September 17, 2018)(2) | 0.50% | 0.75% |
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Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 15,958,272 | $15,958,272 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 3,838,259 | 50,703,407 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 20,948,303 | 299,141,759 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 9,235,383 | 86,073,773 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 10,489,438 | 123,041,113 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 10,421,424 | 287,214,453 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,999,489 | 26,073,342 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 17,331,914 | 160,146,882 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,273,113 | 45,928,812 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,547,530 | 13,664,687 |
Shares | Value | |||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,038,581 | $29,990,790 | ||
Total Mutual Funds (Cost $1,212,929,593) | 1,137,937,290 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $9,253) | 9,253 | 9,253 |
Par | |||
U.S. TREASURY OBLIGATION — 0.0% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $494,876) | $500,000 | 495,023 | |
TOTAL INVESTMENTS —100.0% (Cost $1,213,433,722) | 1,138,441,566 | ||
Liabilities in Excess of Other Assets — (0.0)% | (85,718) | ||
NET ASSETS — 100.0% | $1,138,355,848 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 29 | $2,488,200 | $(49,130) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 17 | 821,780 | (17,336) | ||||
S&P 500® E-Mini | 03/2019 | 40 | 5,010,400 | (287,742) | ||||
10-Year U.S. Treasury Note | 03/2019 | 46 | 5,612,719 | 123,105 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $13,933,099 | $(231,103) | ||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $9,253 | $9,253 | $— | $— | |||
Mutual Funds | 1,137,937,290 | 1,137,937,290 | — | — | |||
U.S. Treasury Obligation | 495,023 | — | 495,023 | — | |||
Total Assets - Investments in Securities | $1,138,441,566 | $1,137,946,543 | $495,023 | $ — | |||
Other Financial Instruments | |||||||
Futures Contracts | $123,105 | $123,105 | $— | $— | |||
Total Assets - Other Financial Instruments | $123,105 | $123,105 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(354,208) | $(354,208) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(354,208) | $(354,208) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
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% | |
U.S. Equity Select Funds | 46.8 |
Non-U.S. Equity Select Funds | 27.7 |
Fixed Income Select Funds | 23.8 |
Real Return Select Funds | 1.6 |
U.S. Treasury Obligation | 0.1 |
Money Market Funds | —** |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (6.56)% | (6.89)% | (6.20)% | ||||
Five Year | N/A | 3.31% | 4.28% | ||||
Ten Year | N/A | 9.37% | 9.89% | ||||
Since Inception(1) | 2.48% | 3.86% | 4.57% | ||||
Inception Date | 05/01/17 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented September 17, 2018)(2) | 0.50% | 0.75% |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 15,961,275 | $15,961,275 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 8,383,307 | 119,713,628 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 3,038,994 | 28,323,420 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 3,391,205 | 39,778,836 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,395,678 | 258,944,892 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,812,721 | 23,637,880 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 16,045,249 | 148,258,098 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 4,836,419 | 42,125,212 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,237,147 | 10,924,010 | ||
Total Mutual Funds (Cost $746,574,837) | 687,667,251 |
Shares | Value | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $7,414) | 7,414 | $7,414 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $692,826) | $700,000 | 693,032 | |
TOTAL INVESTMENTS —100.0% (Cost $747,275,077) | 688,367,697 | ||
Liabilities in Excess of Other Assets — (0.0)% | (124,721) | ||
NET ASSETS — 100.0% | $688,242,976 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 45 | $3,861,000 | $(60,655) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 20 | 966,800 | (21,002) | ||||
S&P 500® E-Mini | 03/2019 | 62 | 7,766,120 | (315,432) | ||||
10-Year U.S. Treasury Note | 03/2019 | 29 | 3,538,453 | 66,372 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $16,132,373 | $(330,717) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $7,414 | $7,414 | $— | $— | |||
Mutual Funds | 687,667,251 | 687,667,251 | — | — | |||
U.S. Treasury Obligation | 693,032 | — | 693,032 | — | |||
Total Assets - Investments in Securities | $688,367,697 | $687,674,665 | $693,032 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $66,372 | $66,372 | $— | $— | |||
Total Assets - Other Financial Instruments | $66,372 | $66,372 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(397,089) | $(397,089) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(397,089) | $(397,089) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
U.S. Equity Select Funds | 53.0 |
Non-U.S. Equity Select Funds | 32.6 |
Fixed Income Select Funds | 12.5 |
Real Return Select Funds | 1.8 |
U.S. Treasury Obligation | 0.1 |
Money Market Fund | —** |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (7.50)% | (7.73)% | (7.18)% | ||||
Five Year | N/A | 3.40% | 4.44% | ||||
Ten Year | N/A | 9.61% | 10.32% | ||||
Since Inception(1) | 2.60% | 3.78% | 4.57% | ||||
Inception Date | 05/01/17 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented September 17, 2018)(2) | 0.50% | 0.75% |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 10,350,106 | $10,350,106 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 3,045,107 | 43,484,124 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,166,199 | 10,868,981 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 2,182,616 | 25,602,092 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 8,256,670 | 227,553,822 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,622,843 | 21,161,869 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 14,188,943 | 131,105,834 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 4,294,267 | 37,403,064 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,079,996 | 9,536,363 | ||
Total Mutual Funds (Cost $565,469,308) | 517,066,255 |
Shares | Value | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $5,956) | 5,956 | $5,956 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.93%, 05/30/19Ω‡‡ (Cost $544,364) | $550,000 | 544,526 | |
TOTAL INVESTMENTS —100.0% (Cost $566,019,628) | 517,616,737 | ||
Liabilities in Excess of Other Assets — (0.0)% | (40,129) | ||
NET ASSETS — 100.0% | $517,576,608 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 33 | $2,831,400 | $(50,074) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 17 | 821,780 | (17,330) | ||||
S&P 500® E-Mini | 03/2019 | 44 | 5,511,440 | (276,383) | ||||
10-Year U.S. Treasury Note | 03/2019 | 7 | 854,109 | 21,103 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $10,018,729 | $(322,684) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $5,956 | $5,956 | $— | $— | |||
Mutual Funds | 517,066,255 | 517,066,255 | — | — | |||
U.S. Treasury Obligation | 544,526 | — | 544,526 | — | |||
Total Assets - Investments in Securities | $517,616,737 | $517,072,211 | $544,526 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $21,103 | $21,103 | $— | $— | |||
Total Assets - Other Financial Instruments | $21,103 | $21,103 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(343,787) | $(343,787) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(343,787) | $(343,787) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
U.S. Equity Select Funds | 55.1 |
Non-U.S. Equity Select Funds | 33.5 |
Fixed Income Select Funds | 9.4 |
Real Return Select Funds | 1.8 |
U.S. Treasury Obligation | 0.1 |
Money Market Funds | —** |
99.9 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (7.77)% | (8.02)% | (7.45)% | ||||
Five Year | N/A | 3.54% | 4.53% | ||||
Ten Year | N/A | N/A | N/A | ||||
Since Inception(1) | 2.68% | 7.67% | 8.69% | ||||
Inception Date | 05/01/17 | 01/01/12 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented September 17, 2018)(2) | 0.50% | 0.75% |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.8% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 3,632,309 | $3,632,309 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 579,106 | 8,269,639 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 228,456 | 2,129,211 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 619,449 | 7,266,138 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 2,475,385 | 68,221,613 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 494,433 | 6,447,412 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 4,188,571 | 38,702,391 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,265,377 | 11,021,434 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 310,237 | 2,739,389 | ||
Total Mutual Funds (Cost $163,350,620) | 148,429,536 |
Shares | Value | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $1,519) | 1,519 | $1,519 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.17%, 01/31/19Ω‡‡ (Cost $149,730) | $150,000 | 149,724 | |
TOTAL INVESTMENTS —99.9% (Cost $163,501,869) | 148,580,779 | ||
Other Assets in Excess of Liabilities — 0.1% | 137,329 | ||
NET ASSETS — 100.0% | $148,718,108 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 12 | $1,029,600 | $(12,632) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 5 | 241,700 | (4,114) | ||||
S&P 500® E-Mini | 03/2019 | 16 | 2,004,160 | (51,467) | ||||
10-Year U.S. Treasury Note | 03/2019 | 1 | 122,016 | 3,014 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $3,397,476 | $(65,199) | ||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $1,519 | $1,519 | $— | $— | |||
Mutual Funds | 148,429,536 | 148,429,536 | — | — | |||
U.S. Treasury Obligation | 149,724 | — | 149,724 | — | |||
Total Assets - Investments in Securities | $148,580,779 | $148,431,055 | $149,724 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $3,014 | $3,014 | $— | $— | |||
Total Assets - Other Financial Instruments | $3,014 | $3,014 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(68,213) | $(68,213) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(68,213) | $(68,213) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Table of Contents
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $201,418 | $504,276 | |
Investments in securities of affiliated issuers, at value | 600,593,765 | 1,137,937,290 | |
Total investments, at value(1) | 600,795,183 | 1,138,441,566 | |
Deposits with broker for futures contracts | — | — | |
Receivables: | |||
Dividends | 13,426 | 29,892 | |
From advisor | — | — | |
Fund shares sold | 173,187 | 231,551 | |
Variation margin on futures contracts | 21,606 | 57,529 | |
Prepaid expenses and other assets | 49,051 | 64,082 | |
Total Assets | 601,052,453 | 1,138,824,620 | |
Liabilities | |||
Payables: | |||
Fund shares redeemed | 297,057 | 59,982 | |
Variation margin on futures contracts | 875 | 2,975 | |
Accrued expenses: | |||
Investment advisory fees | 51,092 | 96,878 | |
Shareholder servicing fees | 105,628 | 188,839 | |
Other expenses | 88,166 | 120,098 | |
Total Liabilities | 542,818 | 468,772 | |
Net Assets | $600,509,635 | $1,138,355,848 | |
Net Assets Consist of: | |||
Paid-in-capital | $628,707,342 | $1,206,530,084 | |
Distributable earnings (loss) | (28,197,707) | (68,174,236) | |
Net Assets | $600,509,635 | $1,138,355,848 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $104,300,368 | $250,202,468 | |
Institutional shares outstanding | 11,095,771 | 27,344,783 | |
Net asset value, offering and redemption price per Institutional share | $9.40 | $9.15 | |
Net assets applicable to the Investor Class | $496,209,267 | $888,153,380 | |
Investor shares outstanding | 52,761,435 | 96,948,351 | |
Net asset value, offering and redemption price per Investor share | $9.40 | $9.16 | |
(1)Investments in securities of unaffiliated issuers, at cost | $201,359 | $504,129 | |
Investments in securities of affiliated issuers, at cost | 632,185,861 | 1,212,929,593 | |
Total investments, at cost | $632,387,220 | $1,213,433,722 |
Table of Contents
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$700,446 | $550,482 | $151,243 | ||
687,667,251 | 517,066,255 | 148,429,536 | ||
688,367,697 | 517,616,737 | 148,580,779 | ||
— | — | 50,000 | ||
27,234 | 20,604 | 6,562 | ||
— | — | 11,984 | ||
109,709 | 106,866 | 170,887 | ||
64,774 | 46,294 | 16,231 | ||
24,691 | 17,395 | 12,962 | ||
688,594,105 | 517,807,896 | 148,849,405 | ||
81,896 | 19,207 | 34,311 | ||
3,500 | 2,975 | 875 | ||
58,627 | 44,208 | 12,600 | ||
109,750 | 76,294 | 20,037 | ||
97,356 | 88,604 | 63,474 | ||
351,129 | 231,288 | 131,297 | ||
$688,242,976 | $517,576,608 | $148,718,108 | ||
$743,140,837 | $562,830,576 | $162,875,395 | ||
(54,897,861) | (45,253,968) | (14,157,287) | ||
$688,242,976 | $517,576,608 | $148,718,108 | ||
$173,572,624 | $160,532,968 | $54,326,341 | ||
20,072,823 | 19,557,022 | 4,731,528 | ||
$8.65 | $8.21 | $11.48 | ||
$514,670,352 | $357,043,640 | $94,391,767 | ||
59,490,264 | 43,499,923 | 8,226,697 | ||
$8.65 | $8.21 | $11.47 | ||
$700,240 | $550,320 | $151,249 | ||
746,574,837 | 565,469,308 | 163,350,620 | ||
$747,275,077 | $566,019,628 | $163,501,869 |
Table of Contents
MyDestination 2015 Fund | |
Investment Income | |
Income distributions received from affiliated funds | $12,909,717 |
Interest | 4,802 |
Total Investment Income | 12,914,519 |
Expenses | |
Investment advisory fees | 635,273 |
Transfer agent fees: | |
Institutional shares | 3,540 |
Investor shares | 16,590 |
Custodian fees | 24,558 |
Shareholder servicing fees: | |
Investor shares | 1,314,145 |
Accounting and administration fees | 23,876 |
Professional fees | 65,799 |
Blue sky fees: | |
Institutional shares | 21,878 |
Investor shares | 31,972 |
Shareholder reporting fees: | |
Institutional shares | 578 |
Investor shares | 17,753 |
Trustees expenses | 6,328 |
Line of credit facility fees and interest expense | 4,233 |
Other expenses | 31,060 |
Total Expenses | 2,197,583 |
Expenses waived/reimbursed net of amount recaptured(1) | (129,495) |
Net Expenses | 2,068,088 |
Net Investment Income | 10,846,431 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 5,962,354 |
Net realized gain on investment securities of affiliated issuers | 11,868,884 |
Net realized loss on futures transactions | (219,700) |
Net realized gain | 17,611,538 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (50,370,403) |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 153 |
Change in unrealized appreciation (depreciation) on futures | (75,663) |
Net change in unrealized appreciation (depreciation) | (50,445,913) |
Net Realized and Unrealized Loss | (32,834,375) |
Net Decrease in Net Assets Resulting from Operations | $(21,987,944) |
(1) | See Note 3a and 3c in Notes to Financial Statements. |
Table of Contents
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$21,671,325 | $11,400,142 | $7,825,215 | $2,097,174 | |||
— | — | — | — | |||
21,671,325 | 11,400,142 | 7,825,215 | 2,097,174 | |||
1,150,409 | 695,239 | 529,019 | 138,299 | |||
3,573 | 3,562 | 3,627 | 3,560 | |||
26,036 | 16,277 | 14,732 | 12,794 | |||
28,313 | 22,110 | 21,761 | 13,690 | |||
2,277,811 | 1,324,828 | 926,600 | 229,121 | |||
45,298 | 26,302 | 20,016 | 5,280 | |||
67,597 | 65,373 | 64,798 | 63,554 | |||
21,736 | 23,219 | 20,731 | 20,802 | |||
36,063 | 28,503 | 28,672 | 34,101 | |||
629 | 659 | 948 | 750 | |||
27,104 | 17,978 | 13,167 | 6,072 | |||
8,974 | 5,407 | 4,512 | 1,855 | |||
7,435 | 4,564 | 3,523 | 1,641 | |||
78,384 | 57,746 | 52,638 | 35,595 | |||
3,779,362 | 2,291,767 | 1,704,744 | 567,114 | |||
(174,630) | (53,379) | (32,865) | (117,152) | |||
3,604,732 | 2,238,388 | 1,671,879 | 449,962 | |||
18,066,593 | 9,161,754 | 6,153,336 | 1,647,212 | |||
13,233,828 | 8,342,363 | 6,960,401 | 2,051,711 | |||
31,382,157 | 25,405,923 | 23,772,116 | 7,490,206 | |||
(917,257) | (661,039) | (569,311) | (213,755) | |||
43,698,728 | 33,087,247 | 30,163,206 | 9,328,162 | |||
(120,237,353) | (92,723,850) | (80,078,783) | (24,249,488) | |||
260 | 319 | 256 | 11 | |||
(370,203) | (481,691) | (459,393) | (88,827) | |||
(120,607,296) | (93,205,222) | (80,537,920) | (24,338,304) | |||
(76,908,568) | (60,117,975) | (50,374,714) | (15,010,142) | |||
$(58,841,975) | $(50,956,221) | $(44,221,378) | $(13,362,930) |
Table of Contents
MyDestination 2015 Fund | MyDestination 2025 Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | ||||
Operations: | |||||||
Net investment income | $10,846,431 | $7,514,026 | $18,066,593 | $12,023,440 | |||
Net realized gain on investment securities and futures transactions | 17,611,538 | 17,241,242 | 43,698,728 | 40,153,102 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (50,445,913) | 39,760,391 | (120,607,296) | 84,809,914 | |||
Net increase (decrease) in net assets resulting from operations | (21,987,944) | 64,515,659 | (58,841,975) | 136,986,456 | |||
Distributions to Shareholders:(1) | |||||||
Institutional shares | (6,604,455) | (3,059,458) | (16,350,338) | (8,931,283) | |||
Investor shares | (30,285,425) | (13,313,392) | (55,692,414) | (33,272,231) | |||
Total distributions | (36,889,880) | (16,372,850) | (72,042,752) | (42,203,514) | |||
Capital Share Transactions:(1) | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 16,426,731 | 113,256,141 | 56,134,192 | 214,353,950 | |||
Investor shares | 78,979,838 | 82,501,857 | 112,982,675 | 138,861,919 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 6,604,455 | 3,059,458 | 16,350,338 | 8,931,283 | |||
Investor shares | 30,278,786 | 13,312,314 | 55,690,937 | 33,271,048 | |||
Total proceeds from shares sold and reinvested | 132,289,810 | 212,129,770 | 241,158,142 | 395,418,200 | |||
Value of shares redeemed | |||||||
Institutional shares | (17,508,898) | (11,401,387) | (15,193,743) | (10,202,150) | |||
Investor shares | (85,707,539) | (153,957,686) | (57,333,646) | (234,560,442) | |||
Total value of shares redeemed | (103,216,437) | (165,359,073) | (72,527,389) | (244,762,592) | |||
Net increase from capital share transactions(2) | 29,073,373 | 46,770,697 | 168,630,753 | 150,655,608 | |||
Total increase (decrease) in net assets | (29,804,451) | 94,913,506 | 37,746,026 | 245,438,550 | |||
Net Assets: | |||||||
Beginning of Year | 630,314,086 | 535,400,580 | 1,100,609,822 | 855,171,272 | |||
End of Year | $600,509,635 | $630,314,086 | $1,138,355,848 | $1,100,609,822 |
(1) | Inception date for Institutional Class for MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund was May 1, 2017. | |
(2) | See Note 6 in Notes to Financial Statements. |
Table of Contents
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | |||||
$9,161,754 | $7,319,043 | $6,153,336 | $5,308,261 | $1,647,212 | $1,199,419 | |||||
33,087,247 | 23,550,810 | 30,163,206 | 19,778,145 | 9,328,162 | 5,359,954 | |||||
(93,205,222) | 65,248,091 | (80,537,920) | 54,716,484 | (24,338,304) | 10,735,017 | |||||
(50,956,221) | 96,117,944 | (44,221,378) | 79,802,890 | (13,362,930) | 17,294,390 | |||||
(12,321,756) | (5,971,205) | (12,439,781) | (6,359,553) | (4,137,262) | (1,682,128) | |||||
(35,422,853) | (18,531,783) | (26,848,548) | (14,387,189) | (7,020,293) | (3,335,220) | |||||
(47,744,609) | (24,502,988) | (39,288,329) | (20,746,742) | (11,157,555) | (5,017,348) | |||||
42,767,692 | 143,246,388 | 35,535,113 | 134,495,227 | 23,647,962 | 35,427,273 | |||||
74,504,056 | 78,857,500 | 56,272,089 | 53,664,908 | 30,548,502 | 31,044,282 | |||||
12,321,756 | 5,971,204 | 12,439,781 | 6,359,553 | 4,137,262 | 1,682,128 | |||||
35,422,853 | 18,531,779 | 26,848,548 | 14,387,189 | 7,020,226 | 3,335,220 | |||||
165,016,357 | 246,606,871 | 131,095,531 | 208,906,877 | 65,353,952 | 71,488,903 | |||||
(8,920,967) | (5,699,759) | (6,748,975) | (4,856,474) | (2,598,836) | (1,236,265) | |||||
(20,380,091) | (140,345,026) | (12,750,653) | (127,887,444) | (5,701,187) | (29,318,397) | |||||
(29,301,058) | (146,044,785) | (19,499,628) | (132,743,918) | (8,300,023) | (30,554,662) | |||||
135,715,299 | 100,562,086 | 111,595,903 | 76,162,959 | 57,053,929 | 40,934,241 | |||||
37,014,469 | 172,177,042 | 28,086,196 | 135,219,107 | 32,533,444 | 53,211,283 | |||||
651,228,507 | 479,051,465 | 489,490,412 | 354,271,305 | 116,184,664 | 62,973,381 | |||||
$688,242,976 | $651,228,507 | $517,576,608 | $489,490,412 | $148,718,108 | $116,184,664 |
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) | 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(2)(3) | Expenses, Gross(2)(4) | Investment Income, Net (1)(3) | Portfolio Turnover Rate | |
MyDestination 2015 Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $10.37 | $0.20 | $(0.54) | $(0.38) | $(0.25) | $9.40 | (3.33)% | $104,300 | 0.13% | 0.15% | 1.91% | 32% |
2017(5) | 9.97 | 0.12 | 0.58 | (0.06) | (0.24) | 10.37 | 6.99 | 108,975 | 0.16 | 0.16 | 1.78 | 17 |
Investor Class | ||||||||||||
2018 | $10.38 | $0.17 | $(0.55) | $(0.35) | $(0.25) | $9.40 | (3.66)% | $496,209 | 0.37% | 0.39% | 1.67% | 32% |
2017 | 9.54 | 0.12 | 1.00 | (0.04) | (0.24) | 10.38 | 11.67 | 521,339 | 0.38 | 0.39 | 1.21 | 17 |
2016 | 9.19 | 0.16 | 0.48 | (0.11) | (0.18) | 9.54 | 6.99 | 535,401 | 0.35 | 0.40 | 1.65 | 16 |
2015 | 10.84 | 0.15 | (0.38) | (0.14) | (1.28) | 9.19 | (2.06) | 479,512 | 0.28 | 0.31 | 1.41 | 108(6) |
2014 | 10.97 | 0.15 | 0.28 | (0.22) | (0.34) | 10.84 | 3.92 | 480,325 | 0.14 | 0.14 | 1.29 | 6 |
MyDestination 2025 Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $10.25 | $0.18 | $(0.66) | $(0.28) | $(0.34) | $9.15 | (4.64)% | $250,202 | 0.12% | 0.13% | 1.80% | 37% |
2017(5) | 9.79 | 0.13 | 0.75 | (0.12) | (0.30) | 10.25 | 9.08 | 222,031 | 0.14 | 0.14 | 1.82 | 15 |
Investor Class | ||||||||||||
2018 | $10.26 | $0.15 | $(0.65) | $(0.26) | $(0.34) | $9.16 | (4.87)% | $888,153 | 0.36% | 0.38% | 1.51% | 37% |
2017 | 9.28 | 0.11 | 1.27 | (0.10) | (0.30) | 10.26 | 14.92 | 878,579 | 0.38 | 0.38 | 1.12 | 15 |
2016 | 8.88 | 0.16 | 0.55 | (0.09) | (0.22) | 9.28 | 8.01 | 855,171 | 0.35 | 0.39 | 1.70 | 17 |
2015 | 10.66 | 0.16 | (0.48) | (0.13) | (1.33) | 8.88 | (2.91) | 707,698 | 0.28 | 0.31 | 1.46 | 110(6) |
2014 | 10.80 | 0.14 | 0.28 | (0.22) | (0.34) | 10.66 | 3.88 | 658,695 | 0.14 | 0.14 | 1.23 | 3 |
MyDestination 2035 Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $9.95 | $0.15 | $(0.80) | $(0.29) | $(0.36) | $8.65 | (6.56)% | $173,573 | 0.13% | 0.14% | 1.54% | 50% |
2017(5) | 9.29 | 0.13 | 0.93 | (0.07) | (0.33) | 9.95 | 11.51 | 152,421 | 0.15 | 0.15 | 1.99 | 35 |
Investor Class | ||||||||||||
2018 | $9.96 | $0.12 | $(0.80) | $(0.27) | $(0.36) | $8.65 | (6.89)% | $514,670 | 0.38% | 0.39% | 1.25% | 50% |
2017 | 8.72 | 0.11 | 1.51 | (0.05) | (0.33) | 9.96 | 18.66 | 498,807 | 0.38 | 0.39 | 1.16 | 35 |
2016 | 8.36 | 0.14 | 0.57 | (0.07) | (0.28) | 8.72 | 8.38 | 479,051 | 0.35 | 0.40 | 1.65 | 16 |
2015 | 10.49 | 0.15 | (0.62) | (0.12) | (1.54) | 8.36 | (4.30) | 391,279 | 0.28 | 0.32 | 1.41 | 120(6) |
2014 | 10.79 | 0.12 | 0.17 | (0.19) | (0.40) | 10.49 | 2.70 | 358,812 | 0.15 | 0.15 | 1.10 | 5 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.53%, 0.55%, 0.57%, 0.59% and 0.60%, respectively for 2018, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
(4) | 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. |
(5) | Inception date was May 1, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
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) | 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(2)(3) | Expenses, Gross(2)(4) | Investment Income, Net (1)(3) | Portfolio Turnover Rate | |
MyDestination 2045 Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $9.60 | $0.13 | $(0.84) | $(0.26) | $(0.42) | $8.21 | (7.50)% | $160,533 | 0.14% | 0.15% | 1.36% | 58% |
2017(5) | 8.90 | 0.13 | 1.01 | (0.07) | (0.37) | 9.60 | 12.85 | 145,343 | 0.16 | 0.16 | 1.99 | 10 |
Investor Class | ||||||||||||
2018 | $9.60 | $0.10 | $(0.83) | $(0.24) | $(0.42) | $8.21 | (7.73)% | $357,044 | 0.39% | 0.40% | 1.08% | 58% |
2017 | 8.29 | 0.10 | 1.63 | (0.05) | (0.37) | 9.60 | 20.90 | 344,147 | 0.38 | 0.40 | 1.06 | 10 |
2016 | 7.95 | 0.12 | 0.56 | (0.04) | (0.30) | 8.29 | 8.45 | 354,271 | 0.35 | 0.41 | 1.50 | 16 |
2015 | 10.00 | 0.12 | (0.59) | (0.09) | (1.49) | 7.95 | (4.46) | 281,718 | 0.29 | 0.34 | 1.22 | 124(6) |
2014 | 10.37 | 0.10 | 0.13 | (0.17) | (0.43) | 10.00 | 2.23 | 253,395 | 0.20 | 0.17 | 0.92 | 4 |
MyDestination 2055 Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $13.45 | $0.19 | $(1.23) | $(0.31) | $(0.62) | $11.48 | (7.77)% | $54,326 | 0.18% | 0.24% | 1.40% | 62% |
2017(5) | 12.43 | 0.18 | 1.47 | (0.02) | (0.61) | 13.45 | 13.33 | 38,161 | 0.20 | 0.33 | 2.04 | 9 |
Investor Class | ||||||||||||
2018 | $13.45 | $0.15 | $(1.22) | $(0.29) | $(0.62) | $11.47 | (8.02)% | $94,392 | 0.39% | 0.49% | 1.08% | 62% |
2017 | 11.56 | 0.14 | 2.37 | (0.01) | (0.61) | 13.45 | 21.73 | 78,024 | 0.38 | 0.55 | 1.12 | 9 |
2016 | 11.05 | 0.18 | 0.80 | (0.13) | (0.34) | 11.56 | 8.81 | 62,973 | 0.35 | 0.65 | 1.62 | 27 |
2015 | 12.60 | 0.16 | (0.73) | (0.13) | (0.85) | 11.05 | (4.48) | 38,465 | 0.30 | 0.65 | 1.29 | 124(6) |
2014 | 12.95 | 0.14 | 0.15 | (0.21) | (0.43) | 12.60 | 2.25 | 27,813 | 0.20 | 0.62 | 1.02 | 5 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.53%, 0.55%, 0.57%, 0.59% and 0.60%, respectively for 2018, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
(4) | 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. |
(5) | Inception date was May 1, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
Table of Contents
% | |
Fixed Income Select Funds | 66.0 |
U.S. Equity Select Funds | 19.5 |
Non-U.S. Equity Select Funds | 8.1 |
Alternative Select Funds | 5.2 |
Real Return Select Funds | 1.2 |
U.S. Treasury Obligation | —** |
Money Market Funds | —** |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (1.90)% | (2.13)% | (1.30)% | ||||
Five Year | N/A | 1.84% | 2.42% | ||||
Ten Year | N/A | 4.45% | 4.06% | ||||
Since Inception(1) | 2.98% | 3.40% | 3.75% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(2) | 0.72% | 0.95% |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 5,148,018 | $5,148,018 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 18,036,721 | 238,265,086 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,569,415 | 65,251,242 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,763,619 | 16,436,934 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 3,049,479 | 35,770,384 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 1,651,407 | 27,727,117 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 1,301,448 | 27,942,085 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 373,785 | 4,874,153 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 2,650,711 | 31,119,354 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,029,169 | 8,964,064 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 697,171 | 6,156,024 |
Shares | Value | |||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,571,749 | $25,383,158 | ||
Total Mutual Funds (Cost $520,652,050) | 493,037,619 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $4,397) | 4,397 | 4,397 |
Par | |||
U.S. TREASURY OBLIGATION — 0.0% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $98,975) | $100,000 | 99,004 | |
TOTAL INVESTMENTS —100.0% (Cost $520,755,422) | 493,141,020 | ||
Liabilities in Excess of Other Assets — (0.0)% | (220,748) | ||
NET ASSETS — 100.0% | $492,920,272 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 6 | $514,800 | $(10,021) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 4 | 193,360 | (3,101) | ||||
S&P 500®E-Mini | 03/2019 | 7 | 876,820 | (50,355) | ||||
2-Year U.S. Treasury Note | 03/2019 | 23 | 4,883,188 | 22,770 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $6,468,168 | $(40,707) | ||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $4,397 | $4,397 | $— | $— | |||
Mutual Funds | 493,037,619 | 493,037,619 | — | — | |||
U.S. Treasury Obligation | 99,004 | — | 99,004 | — | |||
Total Assets - Investments in Securities | $493,141,020 | $493,042,016 | $99,004 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $22,770 | $22,770 | $— | $— | |||
Total Assets - Other Financial Instruments | $22,770 | $22,770 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(63,477) | $(63,477) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(63,477) | $(63,477) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
Fixed Income Select Funds | 45.1 |
U.S. Equity Select Funds | 33.4 |
Non-U.S. Equity Select Funds | 15.1 |
Alternative Select Funds | 4.1 |
Real Return Select Funds | 2.2 |
U.S. Treasury Obligation | 0.1 |
Money Market Funds | —** |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (4.63)% | (4.89)% | (3.93)% | ||||
Five Year | N/A | 2.70% | 3.64% | ||||
Ten Year | N/A | 7.11% | 7.18% | ||||
Since Inception(1) | 4.06% | 4.83% | 5.38% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(2) | 0.77% | 1.02% |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 25,802,747 | $25,802,747 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 7,144,948 | 94,384,760 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 24,466,314 | 349,378,964 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 3,692,060 | 61,768,156 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 13,663,018 | 127,339,326 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 12,707,353 | 149,057,245 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 9,203,981 | 154,534,840 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 7,298,452 | 156,697,769 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,140,791 | 27,915,920 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 14,850,265 | 174,342,111 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,310,670 | 46,255,934 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,610,377 | $31,879,629 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 6,150,352 | 60,703,977 | ||
Total Mutual Funds (Cost $1,620,165,102) | 1,460,061,378 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $415,087) | 415,087 | 415,087 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $791,802) | $800,000 | 792,037 | |
TOTAL INVESTMENTS —100.0% (Cost $1,621,371,991) | 1,461,268,502 | ||
Other Assets in Excess of Liabilities — 0.0% | 200,188 | ||
NET ASSETS — 100.0% | $1,461,468,690 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 48 | $4,118,400 | $(80,672) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 28 | 1,353,520 | (28,830) | ||||
S&P 500® E-Mini | 03/2019 | 60 | 7,515,600 | (431,612) | ||||
10-Year U.S. Treasury Note | 03/2019 | 36 | 4,392,563 | 108,530 | ||||
U.S. Treasury Long Bond | 03/2019 | 16 | 2,336,000 | 109,251 | ||||
5-Year U.S. Treasury Note | 03/2019 | 34 | 3,899,375 | 66,350 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $23,615,458 | $(256,983) | ||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $415,087 | $415,087 | $— | $— | |||
Mutual Funds | 1,460,061,378 | 1,460,061,378 | — | — | |||
U.S. Treasury Obligation | 792,037 | — | 792,037 | — | |||
Total Assets - Investments in Securities | $1,461,268,502 | $1,460,476,465 | $792,037 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $284,131 | $284,131 | $— | $— | |||
Total Assets - Other Financial Instruments | $284,131 | $284,131 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(541,114) | $(541,114) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(541,114) | $(541,114) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
U.S. Equity Select Funds | 45.6 |
Non-U.S. Equity Select Funds | 27.1 |
Fixed Income Select Funds | 21.3 |
Real Return Select Funds | 3.3 |
Alternative Select Funds | 2.6 |
U.S. Treasury Obligation | 0.1 |
Money Market Funds | —** |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (7.32)% | (7.50)% | (6.45)% | ||||
Five Year | N/A | 3.06% | 4.06% | ||||
Ten Year | N/A | 8.44% | 8.74% | ||||
Since Inception(1) | 4.75% | 5.00% | 5.62% | ||||
Inception Date | 11/23/15 | 8/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(2) | 0.87% | 1.11% |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 18,201,625 | $18,201,625 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 2,410,095 | 31,837,352 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 8,444,090 | 120,581,608 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 1,238,307 | 20,716,883 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,599,094 | 42,863,560 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 4,304,648 | 50,493,516 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 12,205,666 | 204,933,129 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 9,645,394 | 207,086,598 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,941,765 | 38,360,618 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 19,901,851 | 233,647,731 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 7,325,113 | 63,801,735 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 4,130,834 | $36,475,265 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,849,870 | 28,128,216 | ||
Total Mutual Funds (Cost $1,287,665,707) | 1,097,127,836 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $14,493) | 14,493 | 14,493 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $841,289) | $850,000 | 841,539 | |
TOTAL INVESTMENTS —100.0% (Cost $1,288,521,489) | 1,097,983,868 | ||
Liabilities in Excess of Other Assets — (0.0)% | (360,689) | ||
NET ASSETS — 100.0% | $1,097,623,179 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 54 | $4,633,200 | $(90,774) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 29 | 1,401,860 | (30,067) | ||||
S&P 500® E-Mini | 03/2019 | 65 | 8,141,900 | (467,580) | ||||
10-Year U.S. Treasury Note | 03/2019 | 13 | 1,586,203 | 39,180 | ||||
U.S. Treasury Long Bond | 03/2019 | 6 | 876,000 | 40,969 | ||||
5-Year U.S. Treasury Note | 03/2019 | 14 | 1,605,625 | 27,382 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $18,244,788 | $(480,890) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $14,493 | $14,493 | $— | $— | |||
Mutual Funds | 1,097,127,836 | 1,097,127,836 | — | — | |||
U.S. Treasury Obligation | 841,539 | — | 841,539 | — | |||
Total Assets - Investments in Securities | $1,097,983,868 | $1,097,142,329 | $841,539 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $107,531 | $107,531 | $— | $— | |||
Total Assets - Other Financial Instruments | $107,531 | $107,531 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(588,421) | $(588,421) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(588,421) | $(588,421) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
U.S. Equity Select Funds | 59.4 |
Non-U.S. Equity Select Funds | 38.5 |
Fixed Income Select Funds | 2.0 |
U.S. Treasury Obligation | 0.1 |
Money Market Funds | —** |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (9.95)% | (10.15)% | (8.83)% | ||||
Five Year | N/A | 3.89% | 5.03% | ||||
Ten Year | N/A | 9.95% | 10.64% | ||||
Since Inception(1) | 5.28% | 5.17% | 5.95% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(2) | 0.95% | 1.19% |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 18,449,991 | $18,449,991 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 14,516,812 | 243,737,275 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 11,542,370 | 247,814,690 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,735,231 | 48,707,407 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 23,257,856 | 273,047,228 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 8,847,045 | 77,057,761 | ||
Total Mutual Funds (Cost $1,113,422,037) | 908,814,352 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø (Cost $12,400) | 12,400 | 12,400 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
2.48%, 05/30/19Ω‡‡ (Cost $989,752) | $1,000,000 | $990,046 | ||
TOTAL INVESTMENTS —100.0% (Cost $1,114,424,189) | 909,816,798 | |||
Liabilities in Excess of Other Assets — (0.0)% | (392,030) | |||
NET ASSETS — 100.0% | $909,424,768 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 68 | $5,834,400 | $(103,319) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 35 | 1,691,900 | (31,162) | ||||
S&P 500® E-Mini | 03/2019 | 89 | 11,148,140 | (542,109) | ||||
Total Futures Contracts outstanding at December 31, 2018 | $18,674,440 | $(676,590) | ||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $12,400 | $12,400 | $— | $— | |||
Mutual Funds | 908,814,352 | 908,814,352 | — | — | |||
U.S. Treasury Obligation | 990,046 | — | 990,046 | — | |||
Total Assets - Investments in Securities | $909,816,798 | $908,826,752 | $990,046 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(676,590) | $(676,590) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(676,590) | $(676,590) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of unaffiliated issuers, at value | $103,401 | $1,207,124 | $856,032 | $1,002,446 | |||
Investments in securities of affiliated issuers, at value | 493,037,619 | 1,460,061,378 | 1,097,127,836 | 908,814,352 | |||
Total investments, at value(1) | 493,141,020 | 1,461,268,502 | 1,097,983,868 | 909,816,798 | |||
Receivables: | |||||||
Dividends from affiliated funds | 11,040 | 48,206 | 35,879 | 30,690 | |||
Investment securities sold | — | — | 500,000 | — | |||
Fund shares sold | 124,368 | 1,173,203 | 45,224 | 54,799 | |||
Variation margin on futures contracts | 10,194 | 89,583 | 75,951 | 88,160 | |||
Prepaid expenses and other assets | 13,144 | 21,576 | 18,406 | 16,812 | |||
Total Assets | 493,299,766 | 1,462,601,070 | 1,098,659,328 | 910,007,259 | |||
Liabilities | |||||||
Payables: | |||||||
Fund shares redeemed | 119,813 | 593,002 | 626,916 | 240,254 | |||
Variation margin on futures contracts | 700 | 4,900 | 5,075 | 6,125 | |||
Accrued expenses: | |||||||
Investment advisory fees | 42,061 | 124,966 | 94,654 | 78,765 | |||
Shareholder servicing fees | 86,446 | 248,956 | 183,702 | 160,693 | |||
Other expenses | 130,474 | 160,556 | 125,802 | 96,654 | |||
Total Liabilities | 379,494 | 1,132,380 | 1,036,149 | 582,491 | |||
Net Assets | $492,920,272 | $1,461,468,690 | $1,097,623,179 | $909,424,768 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $511,506,368 | $1,571,358,718 | $1,209,434,930 | $1,017,289,647 | |||
Distributable earnings (loss) | (18,586,096) | (109,890,028) | (111,811,751) | (107,864,879) | |||
Net Assets | $492,920,272 | $1,461,468,690 | $1,097,623,179 | $909,424,768 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $87,408,616 | $296,529,715 | $244,900,614 | $167,012,963 | |||
Institutional shares outstanding | 8,039,617 | 26,779,643 | 22,224,377 | 15,741,061 | |||
Net asset value, offering and redemption price per Institutional share | $10.87 | $11.07 | $11.02 | $10.61 | |||
Net assets applicable to the Investor Class | $405,511,656 | $1,164,938,975 | $852,722,565 | $742,411,805 | |||
Investor shares outstanding | 37,300,592 | 105,207,995 | 77,409,544 | 70,185,256 | |||
Net asset value, offering and redemption price per Investor share | $10.87 | $11.07 | $11.02 | $10.58 | |||
(1)Investments in securities of unaffiliated issuers, at cost | $103,372 | $1,206,889 | $855,782 | $1,002,152 | |||
Investments in securities of affiliated issuers, at cost | 520,652,050 | 1,620,165,102 | 1,287,665,707 | 1,113,422,037 | |||
Total investments, at cost | $520,755,422 | $1,621,371,991 | $1,288,521,489 | $1,114,424,189 |
Table of Contents
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Income distributions received from affiliated funds | $11,129,299 | $32,480,267 | $21,201,803 | $13,827,717 | |||
Interest | 4,413 | 21,795 | 20,344 | 20,141 | |||
Total Investment Income | 11,133,712 | 32,502,062 | 21,222,147 | 13,847,858 | |||
Expenses | |||||||
Investment advisory fees | 515,118 | 1,578,153 | 1,228,747 | 1,051,158 | |||
Transfer agent fees: | |||||||
Institutional shares | 4,583 | 4,753 | 4,720 | 4,569 | |||
Investor shares | 23,047 | 41,285 | 31,071 | 26,753 | |||
Custodian fees | 31,222 | 34,414 | 33,322 | 24,246 | |||
Shareholder servicing fees: | |||||||
Investor shares | 1,065,422 | 3,141,800 | 2,387,743 | 2,145,074 | |||
Accounting and administration fees | 19,367 | 59,009 | 46,056 | 39,364 | |||
Professional fees | 59,116 | 71,369 | 68,744 | 67,554 | |||
Blue sky fees: | |||||||
Institutional shares | 36,277 | 37,229 | 37,521 | 34,009 | |||
Investor shares | 41,549 | 25,777 | 22,036 | 20,233 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 477 | 749 | 591 | 383 | |||
Investor shares | 23,683 | 84,893 | 54,265 | 26,287 | |||
Trustees expenses | 6,511 | 14,958 | 10,629 | 8,417 | |||
Line of credit facility fees and interest expense | 6,724 | 10,884 | 8,362 | 7,072 | |||
Other expenses | 19,292 | 51,994 | 44,594 | 42,206 | |||
Total Expenses | 1,852,388 | 5,157,267 | 3,978,401 | 3,497,325 | |||
Net Investment Income | 9,281,324 | 27,344,795 | 17,243,746 | 10,350,533 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 14,272,878 | 78,837,816 | 99,252,213 | 116,367,560 | |||
Net realized gain (loss) on investment securities of affiliated issuers | (594,519) | (1,771,150) | 431,922 | (1,405,507) | |||
Net realized loss on futures transactions | (157,108) | (1,243,469) | (1,138,812) | (1,081,767) | |||
Net realized gain | 13,521,251 | 75,823,197 | 98,545,323 | 113,880,286 | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (33,057,017) | (177,485,117) | (204,457,764) | (225,254,476) | |||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 85 | 424 | 439 | 482 | |||
Change in unrealized appreciation (depreciation) on futures | (45,103) | (472,434) | (776,720) | (985,334) | |||
Net change in unrealized appreciation (depreciation) | (33,102,035) | (177,957,127) | (205,234,045) | (226,239,328) | |||
Net Realized and Unrealized Loss | (19,580,784) | (102,133,930) | (106,688,722) | (112,359,042) | |||
Net Decrease in Net Assets Resulting from Operations | $(10,299,460) | $(74,789,135) | $(89,444,976) | $(102,008,509) |
Table of Contents
Conservative Allocation Fund | Balanced Allocation Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | ||||
Operations: | |||||||
Net investment income | $9,281,324 | $6,045,409 | $27,344,795 | $21,658,910 | |||
Net realized gain on investment securities and futures transactions | 13,521,251 | 6,214,889 | 75,823,197 | 36,237,086 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (33,102,035) | 20,214,120 | (177,957,127) | 123,828,812 | |||
Net increase (decrease) in net assets resulting from operations | (10,299,460) | 32,474,418 | (74,789,135) | 181,724,808 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (2,972,759) | (1,559,074) | (13,477,706) | (8,696,207) | |||
Investor shares | (12,862,446) | (6,739,777) | (49,835,500) | (30,415,917) | |||
Total distributions | (15,835,205) | (8,298,851) | (63,313,206) | (39,112,124) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 16,045,556 | 28,983,265 | 15,120,577 | 42,494,809 | |||
Investor shares | 45,071,229 | 121,045,545 | 45,373,813 | 68,762,452 | |||
Shares issued from Merger(1) | |||||||
Investor shares | — | 105,467,529 | — | — | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 2,959,667 | 1,551,407 | 13,403,701 | 8,648,353 | |||
Investor shares | 12,839,159 | 6,736,883 | 49,814,872 | 30,408,884 | |||
Total proceeds from shares sold and reinvested | 76,915,611 | 263,784,629 | 123,712,963 | 150,314,498 | |||
Value of shares redeemed | |||||||
Institutional shares | (12,430,684) | (24,731,445) | (38,100,646) | (73,970,553) | |||
Investor shares | (58,396,787) | (131,895,052) | (100,441,597) | (87,585,030) | |||
Total value of shares redeemed | (70,827,471) | (156,626,497) | (138,542,243) | (161,555,583) | |||
Net increase (decrease) from capital share transactions(2) | 6,088,140 | 107,158,132 | (14,829,280) | (11,241,085) | |||
Total increase (decrease) in net assets | (20,046,525) | 131,333,699 | (152,931,621) | 131,371,599 | |||
Net Assets: | |||||||
Beginning of Year | 512,966,797 | 381,633,098 | 1,614,400,311 | 1,483,028,712 | |||
End of Year | $492,920,272 | $512,966,797 | $1,461,468,690 | $1,614,400,311 |
(1) | See Note 1 in Notes to Financial Statements. | |
(2) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Growth Allocation Fund | Aggressive Allocation Fund | |||||
For the Year Ended | For the Year Ended | |||||
12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | |||
$17,243,746 | $14,120,166 | $10,350,533 | $7,693,809 | |||
98,545,323 | 55,330,354 | 113,880,286 | 69,194,704 | |||
(205,234,045) | 131,811,745 | (226,239,328) | 142,399,607 | |||
(89,444,976) | 201,262,265 | (102,008,509) | 219,288,120 | |||
(10,661,534) | (13,213,437) | (6,776,974) | (13,581,760) | |||
(34,763,236) | (44,042,703) | (28,239,358) | (58,315,214) | |||
(45,424,770) | (57,256,140) | (35,016,332) | (71,896,974) | |||
7,299,692 | 11,722,106 | 5,814,021 | 5,993,845 | |||
33,074,873 | 44,551,351 | 26,325,550 | 31,226,891 | |||
— | — | — | — | |||
10,644,712 | 13,192,179 | 6,774,126 | 13,577,714 | |||
34,754,218 | 44,033,935 | 28,234,382 | 58,306,688 | |||
85,773,495 | 113,499,571 | 67,148,079 | 109,105,138 | |||
(22,129,719) | (22,885,997) | (16,481,653) | (17,607,915) | |||
(83,535,607) | (69,886,447) | (64,716,255) | (52,785,968) | |||
(105,665,326) | (92,772,444) | (81,197,908) | (70,393,883) | |||
(19,891,831) | 20,727,127 | (14,049,829) | 38,711,255 | |||
(154,761,577) | 164,733,252 | (151,074,670) | 186,102,401 | |||
1,252,384,756 | 1,087,651,504 | 1,060,499,438 | 874,397,037 | |||
$1,097,623,179 | $1,252,384,756 | $909,424,768 | $1,060,499,438 |
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) | 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(2)(3) | Expenses, Gross(2)(4) | Investment Income, Net (1)(3) | Portfolio Turnover Rate | |
Conservative Allocation Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $11.47 | $0.23 | $(0.45) | $(0.37) | $(0.01) | $10.87 | (1.90)% | $87,409 | 0.17% | 0.17% | 2.01% | 12% |
2017 | 10.88 | 0.16 | 0.64 | (0.05) | (0.16) | 11.47 | 7.33 | 85,482 | 0.19 | 0.19 | 1.40 | 19 |
2016 | 10.62 | 0.18 | 0.35 | (0.13) | (0.14) | 10.88 | 5.07 | 75,333 | 0.14 | 0.15 | 1.61 | 5 |
2015(5) | 11.51 | 0.05 | (0.17) | (0.12) | (0.65) | 10.62 | (0.99) | 70,895 | 0.18 | 0.20 | 4.36 | 92(6) |
Investor Class | ||||||||||||
2018 | $11.47 | $0.20 | $(0.44) | $(0.35) | $(0.01) | $10.87 | (2.13)% | $405,512 | 0.40% | 0.40% | 1.76% | 12% |
2017 | 10.88 | 0.13 | 0.64 | (0.02) | (0.16) | 11.47 | 7.11 | 427,485 | 0.42 | 0.42 | 1.19 | 19 |
2016 | 10.62 | 0.15 | 0.36 | (0.11) | (0.14) | 10.88 | 4.82 | 306,300 | 0.39 | 0.42 | 1.36 | 5 |
2015 | 11.59 | 0.14 | (0.34) | (0.12) | (0.65) | 10.62 | (1.69) | 294,997 | 0.27 | 0.33 | 1.22 | 92(6) |
2014 | 11.84 | 0.14 | 0.02 | (0.19) | (0.22) | 11.59 | 1.40 | 311,438 | 0.12 | 0.16 | 1.17 | 20 |
Balanced Allocation Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $12.16 | $0.23 | $(0.80) | $(0.49) | $(0.03) | $11.07 | (4.63)% | $296,530 | 0.13% | 0.13% | 1.93% | 13% |
2017 | 11.09 | 0.19 | 1.20 | (0.16) | (0.16) | 12.16 | 12.57 | 334,114 | 0.12 | 0.13 | 1.57 | 19 |
2016 | 10.70 | 0.22 | 0.56 | (0.08) | (0.31) | 11.09 | 7.27 | 326,164 | 0.11 | 0.13 | 1.97 | 4 |
2015(5) | 12.67 | 0.09 | (0.32) | (0.16) | (1.58) | 10.70 | (1.73) | 332,327 | 0.12 | 0.14 | 7.28 | 95(6) |
Investor Class | ||||||||||||
2018 | $12.16 | $0.20 | $(0.80) | $(0.46) | $(0.03) | $11.07 | (4.89)% | $1,164,939 | 0.38% | 0.38% | 1.68% | 13% |
2017 | 11.09 | 0.16 | 1.20 | (0.13) | (0.16) | 12.16 | 12.30 | 1,280,286 | 0.37 | 0.38 | 1.34 | 19 |
2016 | 10.70 | 0.19 | 0.56 | (0.05) | (0.31) | 11.09 | 7.00 | 1,156,865 | 0.37 | 0.38 | 1.71 | 4 |
2015 | 12.89 | 0.20 | (0.65) | (0.16) | (1.58) | 10.70 | (3.43) | 1,191,878 | 0.28 | 0.30 | 1.56 | 95(6) |
2014 | 13.14 | 0.19 | 0.27 | (0.27) | (0.44) | 12.89 | 3.53 | 1,291,859 | 0.12 | 0.13 | 1.38 | 3 |
# | 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) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.53%, 0.64%, 0.74% and 0.81%, respectively for 2018, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
(4) | 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. |
(5) | Inception date was November 23, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
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) | 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(2)(3) | Expenses, Gross(2)(4) | Investment Income, Net (1)(3) | Portfolio Turnover Rate | |
Growth Allocation Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $12.43 | $0.20 | $(1.11) | $(0.46) | $(0.04) | $11.02 | (7.32)% | $244,900 | 0.13% | 0.13% | 1.60% | 9% |
2017 | 10.97 | 0.17 | 1.90 | (0.11) | (0.50) | 12.43 | 18.94 | 279,148 | 0.13 | 0.13 | 1.38 | 17 |
2016 | 10.83 | 0.19 | 0.61 | (0.10) | (0.56) | 10.97 | 7.34 | 244,873 | 0.12 | 0.13 | 1.72 | 4 |
2015(5) | 13.23 | 0.11 | (0.44) | (0.14) | (1.93) | 10.83 | (2.36) | 247,746 | 0.14 | 0.14 | 8.37 | 97(6) |
Investor Class | ||||||||||||
2018 | $12.42 | $0.17 | $(1.10) | $(0.43) | $(0.04) | $11.02 | (7.50)% | $852,723 | 0.38% | 0.38% | 1.35% | 9% |
2017 | 10.97 | 0.14 | 1.89 | (0.08) | (0.50) | 12.42 | 18.59 | 973,237 | 0.37 | 0.37 | 1.14 | 17 |
2016 | 10.83 | 0.16 | 0.61 | (0.07) | (0.56) | 10.97 | 7.08 | 842,779 | 0.38 | 0.39 | 1.46 | 4 |
2015 | 13.43 | 0.17 | (0.71) | (0.13) | (1.93) | 10.83 | (3.83) | 867,203 | 0.29 | 0.30 | 1.26 | 97(6) |
2014 | 14.00 | 0.15 | 0.26 | (0.25) | (0.73) | 13.43 | 2.93 | 952,103 | 0.12 | 0.13 | 1.07 | 4 |
Aggressive Allocation Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $12.28 | $0.15 | $(1.37) | $(0.40) | $(0.05) | $10.61 | (9.95)% | $167,013 | 0.14% | 0.14% | 1.18% | 9% |
2017 | 10.48 | 0.12 | 2.58 | (0.13) | (0.77) | 12.28 | 25.88 | 195,991 | 0.14 | 0.14 | 0.98 | 7 |
2016 | 10.77 | 0.14 | 0.57 | — | (1.00) | 10.48 | 6.55 | 166,293 | 0.13 | 0.13 | 1.28 | 2 |
2015(5) | 14.13 | 0.12 | (0.57) | (0.09) | (2.82) | 10.77 | (2.85) | 169,302 | 0.15 | 0.15 | 8.75 | 103(6) |
Investor Class | ||||||||||||
2018 | $12.24 | $0.12 | $(1.36) | $(0.37) | $(0.05) | $10.58 | (10.15)% | $742,412 | 0.38% | 0.38% | 0.94% | 9% |
2017 | 10.46 | 0.09 | 2.57 | (0.11) | (0.77) | 12.24 | 25.49 | 864,508 | 0.38 | 0.38 | 0.75 | 7 |
2016 | 10.77 | 0.10 | 0.59 | — | (1.00) | 10.46 | 6.38 | 708,104 | 0.39 | 0.39 | 0.96 | 2 |
2015 | 14.06 | 0.12 | (0.50) | (0.09) | (2.82) | 10.77 | (2.39) | 797,043 | 0.29 | 0.30 | 0.85 | 103(6) |
2014 | 14.82 | 0.12 | 0.39 | (0.23) | (1.04) | 14.06 | 3.38 | 869,726 | 0.12 | 0.13 | 0.79 | 4 |
# | 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) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.53%, 0.64%, 0.74% and 0.81%, respectively for 2018, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
(4) | 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. |
(5) | Inception date was November 23, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
Table of Contents
% | |
Agency Obligations | 48.7 |
Repurchase Agreements | 36.6 |
U.S. Treasury Obligations | 11.9 |
Money Market Funds | 0.1 |
97.3 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 1.74% | 1.48% | 1.83% | ||||
Five Year | 0.57% | 0.41% | 0.59% | ||||
Ten year | 0.37% | 0.24% | 0.34% | ||||
Since Inception | 1.41% | 1.28% | 1.30% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented June 19, 2018)(1) | 0.16% | 0.41% |
Yield as of 12/31/18(2) | |||||
Institutional Class* | Investor Class* | ||||
7-Day Annualized Yield (Net) | 2.22% | 1.96% | |||
7-Day Annualized Yield (Gross) | 2.45% | 2.45% |
(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 expenses. |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 48.7% | ||||
Federal Farm Credit Bank | ||||
(Floating, ICE LIBOR USD 1M - 0.08%), 2.44%, 07/30/19† | $5,720,000 | $5,717,978 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 2.33%, 02/07/20† | 13,700,000 | 13,699,845 | ||
(Floating, ICE LIBOR USD 1M + 0.00%), 2.47%, 06/19/20† | 11,000,000 | 11,007,510 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 2.41%, 08/17/20† | 4,255,000 | 4,255,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 2.36%, 09/11/20† | 5,475,000 | 5,474,724 | ||
(Floating, ICE LIBOR USD 1M + 0.03%), 2.47%, 12/14/20† | 6,300,000 | 6,299,499 | ||
Federal Farm Credit Bank Discount Notes | ||||
2.16%, 01/04/19 | 6,010,000 | 6,008,933 | ||
2.31%, 01/15/19 | 17,190,000 | 17,174,758 | ||
2.17%, 01/16/19 | 11,545,000 | 11,534,706 | ||
2.24%, 02/04/19 | 7,060,000 | 7,045,264 | ||
2.16%, 02/08/19 | 1,285,000 | 1,282,111 | ||
2.25%, 03/11/19 | 6,510,000 | 6,482,300 | ||
2.26%, 03/19/19 | 6,510,000 | 6,478,949 | ||
2.24%, 04/12/19 | 1,740,000 | 1,729,163 | ||
2.43%, 06/17/19 | 6,955,000 | 6,877,568 | ||
2.44%, 06/28/19 | 4,815,000 | 4,757,624 | ||
2.56%, 07/22/19 | 6,240,000 | 6,151,766 | ||
2.55%, 07/23/19 | 12,250,000 | 12,076,378 | ||
2.62%, 07/29/19 | 31,155,000 | 30,687,287 | ||
2.43%, 08/15/19 | 6,560,000 | 6,461,163 | ||
2.65%, 09/12/19 | 4,260,000 | 4,181,552 | ||
Federal Home Loan Bank | ||||
(Floating, ICE LIBOR USD 1M - 0.09%), 2.42%, 01/25/19† | 7,080,000 | 7,080,000 | ||
(Floating, ICE LIBOR USD 1M - 0.13%), 2.38%, 01/28/19† | 5,525,000 | 5,525,000 | ||
(Floating, ICE LIBOR USD 1M - 0.13%), 2.39%, 02/01/19† | 8,080,000 | 8,080,000 | ||
(Floating, ICE LIBOR USD 1M - 0.07%), 2.33%, 02/11/19† | 2,825,000 | 2,825,112 | ||
(Floating, ICE LIBOR USD 1M - 0.12%), 2.39%, 02/25/19† | 16,000,000 | 16,000,000 | ||
(Floating, ICE LIBOR USD 1M - 0.12%), 2.39%, 03/25/19† | 30,000,000 | 30,000,000 | ||
(Floating, ICE LIBOR USD 3M - 0.16%), 2.62%, 06/12/19† | 3,695,000 | 3,694,573 | ||
(Floating, ICE LIBOR USD 1M - 0.09%), 2.35%, 06/14/19† | 20,410,000 | 20,410,000 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 2.46%, 06/20/19† | 1,290,000 | 1,290,000 | ||
(Floating, ICE LIBOR USD 3M - 0.16%), 2.63%, 06/20/19† | 21,140,000 | 21,140,000 | ||
(Floating, United States SOFR + 0.04%), 3.04%, 06/21/19† | 2,085,000 | 2,085,000 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 2.46%, 06/24/19† | 7,750,000 | 7,750,000 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 2.46%, 06/28/19† | 1,290,000 | 1,290,000 |
Par | Value | |||
(Floating, ICE LIBOR USD 1M - 0.11%), 2.37%, 07/19/19† | $19,690,000 | $19,690,000 | ||
(Floating, ICE LIBOR USD 1M - 0.08%), 2.43%, 08/27/19† | 7,925,000 | 7,925,000 | ||
(Floating, ICE LIBOR USD 1M - 0.09%), 2.30%, 09/09/19† | 16,095,000 | 16,095,000 | ||
(Floating, ICE LIBOR USD 1M - 0.06%), 2.34%, 09/11/19† | 10,000,000 | 10,000,000 | ||
(Floating, ICE LIBOR USD 1M - 0.07%), 2.39%, 09/17/19† | 5,800,000 | 5,800,000 | ||
(Floating, ICE LIBOR USD 1M - 0.06%), 2.45%, 09/27/19† | 5,980,000 | 5,980,000 | ||
(Floating, ICE LIBOR USD 3M - 0.14%), 2.66%, 12/19/19† | 4,765,000 | 4,765,000 | ||
(Floating, ICE LIBOR USD 1M - 0.06%), 2.44%, 02/24/20† | 10,755,000 | 10,755,000 | ||
(Floating, ICE LIBOR USD 3M - 0.13%), 2.67%, 12/21/20† | 8,000,000 | 8,000,000 | ||
Federal Home Loan Bank Discount Notes | ||||
2.11%, 01/04/19 | 4,775,000 | 4,774,152 | ||
2.28%, 01/09/19 | 16,305,000 | 16,296,739 | ||
2.28%, 01/11/19 | 9,900,000 | 9,893,727 | ||
2.31%, 01/16/19 | 27,500,000 | 27,473,428 | ||
2.34%, 01/23/19 | 3,650,000 | 3,644,769 | ||
2.23%, 01/29/19 | 2,630,000 | 2,625,459 | ||
2.38%, 02/05/19 | 3,780,000 | 3,771,382 | ||
2.37%, 02/06/19 | 24,220,000 | 24,162,563 | ||
2.40%, 02/11/19 | 11,620,000 | 11,588,711 | ||
2.37%, 02/13/19 | 15,615,000 | 15,570,809 | ||
2.38%, 02/15/19 | 6,930,000 | 6,909,487 | ||
2.41%, 02/20/19 | 3,330,000 | 3,318,993 | ||
2.27%, 03/06/19 | 1,650,000 | 1,643,406 | ||
2.34%, 03/20/19 | 11,500,000 | 11,442,145 | ||
2.41%, 03/27/19 | 44,250,000 | 43,996,429 | ||
2.52%, 06/21/19 | 6,630,000 | 6,551,584 | ||
Federal Home Loan Mortgage Corporation | ||||
(Floating, ICE LIBOR USD 1M - 0.10%), 2.29%, 08/08/19† | 10,510,000 | 10,506,872 | ||
Federal National Mortgage Association Discount Note | ||||
2.27%, 01/09/19 | 12,809,000 | 12,802,624 | ||
Total Agency Obligations (Cost $608,537,042) | 608,537,042 | |||
U.S. TREASURY OBLIGATIONS — 11.9% | ||||
U.S. Treasury Bills | ||||
2.28%, 01/02/19Ω | 15,000,000 | 14,999,062 | ||
2.14%, 01/17/19Ω | 71,915,000 | 71,846,201 | ||
2.30%, 01/29/19Ω | 5,440,000 | 5,430,036 | ||
2.17%, 02/07/19Ω | 19,895,000 | 19,850,424 | ||
2.19%, 02/21/19Ω | 8,805,000 | 8,777,745 | ||
2.49%, 06/06/19Ω | 5,150,000 | 5,094,320 | ||
125,997,788 |
Table of Contents
Par | Value | |||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY + 0.04%), 2.52%, 07/31/20† | $10,000,000 | $10,000,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.05%), 2.53%, 10/31/20† | 12,000,000 | 11,977,098 | ||
21,977,098 | ||||
U.S. Treasury Notes | ||||
1.13%, 01/31/19 | 565,000 | 564,514 | ||
1.25%, 01/31/19 | 565,000 | 564,570 | ||
1,129,084 | ||||
Total U.S. Treasury Obligations (Cost $149,103,970) | 149,103,970 |
Shares | |||
MONEY MARKET FUNDS — 0.1% | |||
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 2.25% (Cost $862,826) | 862,826 | 862,826 |
Par | |||
REPURCHASE AGREEMENTS — 36.6% | |||
Bank of Montreal | |||
2.90% (dated 12/31/18, due 01/02/19, repurchase price $45,007,250, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, 3.000% to 4.000%, due 02/01/28 to 06/01/48, total market value $46,350,001) | $45,000,000 | 45,000,000 | |
Bank of Nova Scotia | |||
2.90% (dated 12/31/18, due 01/02/19, repurchase price $60,009,667, collateralized by U.S. Treasury Bonds, U.S. Treasury Note, 2.500% to 7.875%, due 02/15/21 to 08/15/47, total market value $61,209,919) | 60,000,000 | 60,000,000 | |
BNP Paribas | |||
2.95% (dated 12/31/18, due 01/02/19, repurchase price $40,006,556, collateralized by U.S. Treasury Bonds, U.S. Treasury Notes, 0.000% to 8.000%, due 08/15/20 to 11/15/40, total market value $40,800,038) | 40,000,000 | 40,000,000 | |
3.00% (dated 12/31/18, due 01/02/19, repurchase price $13,002,167, collateralized by Government National Mortgage Association, 3.458% to 5.500%, due 04/20/43 to 11/20/48, total market value $13,260,001) | 13,000,000 | 13,000,000 |
Par | Value | |||
Citigroup Global Markets, Inc. | ||||
2.95% (dated 12/31/18, due 01/02/19, repurchase price $10,001,639, collateralized by Government National Mortgage Association, 2.500% to 9.500%, due 01/15/24 to 11/20/48, total market value $10,200,919) | $10,000,000 | $10,000,000 | ||
Credit Agricole | ||||
3.00% (dated 12/31/18, due 01/02/19, repurchase price $30,005,000, collateralized by Government National Mortgage Association, 3.000%, due 09/20/46, total market value $30,600,001) | 30,000,000 | 30,000,000 | ||
Goldman Sachs & Co. | ||||
2.90% (dated 12/31/18, due 01/02/19, repurchase price $20,003,222, collateralized by Federal National Mortgage Association, 3.000%, due 04/01/33, total market value $20,600,001) | 20,000,000 | 20,000,000 | ||
2.67% (dated 12/31/18, due 01/07/19, repurchase price $23,011,941, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, 3.000% to 5.500%, due 09/01/25 to 12/01/47, total market value $23,690,000) | 23,000,000 | 23,000,000 | ||
HSBC Securities USA, Inc. | ||||
3.00% (dated 12/31/18, due 01/02/19, repurchase price $51,008,500, collateralized by U.S. Treasury Note, 2.750%, due 05/31/23, total market value $52,020,018) | 51,000,000 | 51,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
3.00% (dated 12/31/18, due 01/02/19, repurchase price $30,005,000, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, Government National Mortgage Association, 3.000% to 3.500%, due 05/01/27 to 07/20/45, total market value $30,892,188) | 30,000,000 | 30,000,000 | ||
Mizuho Securities USA, Inc. | ||||
2.95% (dated 12/31/18, due 01/02/19, repurchase price $50,008,194, collateralized by Federal Farm Credit Banks, 2.480%, due 08/19/20, total market value $51,000,139) | 50,000,000 | 50,000,000 |
Table of Contents
Par | Value | |||
Natixis S.A. | ||||
2.85% (dated 12/31/18, due 01/02/19, repurchase price $21,003,325, collateralized by U.S. Treasury Bonds, U.S. Treasury Notes, 0.750% to 5.375%, due 09/30/19 to 02/15/36, total market value $21,420,006) | $21,000,000 | $21,000,000 | ||
2.90% (dated 12/31/18, due 01/02/19, repurchase price $4,000,644, collateralized by U.S. Treasury Bond, U.S. Treasury Notes, 2.250% to 5.375%, due 03/31/21 to 02/15/31, total market value $4,080,053) | 4,000,000 | 4,000,000 | ||
TD Securities USA LLC | ||||
3.00% (dated 12/31/18, due 01/02/19, repurchase price $60,010,000, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, 4.000%, due 10/01/45 to 03/01/47, total market value $61,800,000) | 60,000,000 | 60,000,000 | ||
Total Repurchase Agreements (Cost $457,000,000) | 457,000,000 | |||
TOTAL INVESTMENTS — 97.3% (Cost $1,215,503,838) | 1,215,503,838 | |||
Other Assets in Excess of Liabilities — 2.7% | 34,259,547 | |||
NET ASSETS — 100.0% | $1,249,763,385 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $608,537,042 | $— | $608,537,042 | $— | |||
Money Market Funds | 862,826 | 862,826 | — | — | |||
Repurchase Agreements | 457,000,000 | — | 457,000,000 | — | |||
U.S. Treasury Obligations | 149,103,970 | — | 149,103,970 | — | |||
Total Assets - Investments in Securities | $1,215,503,838 | $862,826 | $1,214,641,012 | $ — |
Table of Contents
% | |
U.S. Treasury Obligations | 32.8 |
Corporate Bonds | 24.0 |
Mortgage-Backed Securities | 19.8 |
Foreign Bonds | 14.2 |
Asset-Backed Securities | 13.6 |
Money Market Funds | 1.6 |
Municipal Bonds | 1.4 |
Agency Obligation | 0.3 |
Commercial Paper | 0.2 |
Purchased Options | 0.1 |
Written Options | (0.1) |
Security Sold Short | (0.7) |
107.2 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 1.36% | 1.10% | 1.58% | ||||
Five Year | 1.35% | 1.09% | 0.81% | ||||
Ten Year | 2.90% | 2.66% | 0.95% | ||||
Since Inception | 2.84% | 2.67% | 2.30% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 0.36% | 0.63% |
Table of Contents
Par | Value | |||
AGENCY OBLIGATION — 0.3% | ||||
Federal National Mortgage Association | ||||
2.75%, 06/22/21 (Cost $2,979,430) | $2,980,000 | $2,997,791 | ||
ASSET-BACKED SECURITIES — 13.6% | ||||
Adams Mill CLO, Ltd., Series 2014-1A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.54%, 07/15/26 144A † | 748,575 | 748,291 | ||
Ally Auto Receivables Trust, Series 2018-1, Class A2 | ||||
2.14%, 09/15/20 | 1,884,774 | 1,880,450 | ||
Ally Auto Receivables Trust, Series 2018-3, Class A2 | ||||
2.72%, 05/17/21 | 1,030,000 | 1,028,454 | ||
ALM XII, Ltd., Series 2015-12A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.89%, 0.89% Floor), 3.33%, 04/16/27 144A † | 440,000 | 436,623 | ||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A3 | ||||
1.60%, 11/09/20 | 75,459 | 75,402 | ||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C | ||||
2.87%, 11/08/21 | 230,000 | 229,432 | ||
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A3 | ||||
1.46%, 05/10/21 | 519,479 | 517,343 | ||
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A3 | ||||
1.87%, 08/18/21 | 187,642 | 186,491 | ||
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class A3 | ||||
1.98%, 12/20/21 | 540,000 | 535,988 | ||
Americredit Automobile Receivables Trust, Series 2018-1, Class A3 | ||||
3.07%, 12/19/22 | 650,000 | 649,717 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1LR | ||||
(Floating, ICE LIBOR USD 3M + 1.26%), 3.75%, 07/24/29 144A † | 2,000,000 | 2,002,502 | ||
Apidos CLO XXI, Series 2015-21A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 3.37%, 07/18/27 144A † | 3,215,000 | 3,188,022 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2016-FL1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.70%), 4.16%, 09/15/26 144A † | 490,000 | 484,973 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.76%, 04/15/27 144A † | 1,610,000 | 1,612,405 | ||
Ascentium Equipment Receivables Trust, Series 2018-2A, Class A3 | ||||
3.51%, 04/10/24 144A | 1,320,000 | 1,328,226 |
Par | Value | |||
Atlas Senior Loan Fund IV, Ltd., Series 2013-2A, Class A1RR | ||||
(Floating, ICE LIBOR USD 3M + 0.68%), 3.30%, 02/17/26 144A † | $373,290 | $373,194 | ||
Bank of The West Auto Trust, Series 2018-1, Class A2 | ||||
3.09%, 04/15/21 144A | 2,000,000 | 2,001,469 | ||
Barings CLO, Ltd., Series 2013-IA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 3.27%, 01/20/28 144A † | 1,200,000 | 1,185,289 | ||
Bayview Koitere Fund Trust, Series 2018-RN4, Class A1 | ||||
(Step to 4.62% on 03/28/20), 3.62%, 03/28/33 144A STEP | 165,914 | 166,191 | ||
Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN8, Class A1 | ||||
(Step to 4.35% on 12/28/19), 3.35%, 11/28/32 144A STEP | 54,220 | 54,142 | ||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 3.51%, 10/25/37† | 379,256 | 380,500 | ||
Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 11.00% Cap), 2.96%, 12/25/42† | 39,333 | 38,920 | ||
BMW Vehicle Lease Trust, Series 2018-1, Class A3 | ||||
3.26%, 07/20/21 | 540,000 | 542,747 | ||
BMW Vehicle Lease Trust, Series 2018-1, Class A4 | ||||
3.36%, 03/21/22 | 550,000 | 553,687 | ||
BMW Vehicle Owner Trust, Series 2016-A, Class A3 | ||||
1.16%, 11/25/20 | 693,526 | 689,064 | ||
BSPRT Issuer Ltd., Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%), 3.81%, 06/15/27 144A † | 119,439 | 119,546 | ||
BSPRT Issuer Ltd., Series 2018-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 3.51%, 03/15/28 144A † | 950,000 | 949,155 | ||
BSPRT Issuer, Ltd., Series 2018-FL4 , Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.76%, 09/15/35 144A † | 1,520,000 | 1,519,065 | ||
Capital Auto Receivables Asset Trust, Series 2016-2, Class B | ||||
2.11%, 03/22/21 | 170,000 | 168,776 | ||
Capital Auto Receivables Asset Trust, Series 2017-1, Class A3 | ||||
2.02%, 08/20/21 144A | 650,000 | 644,411 | ||
Carmax Auto Owner Trust, Series 2018-4, Class A3 | ||||
3.36%, 09/15/23 | 1,560,000 | 1,571,595 |
Table of Contents
Par | Value | |||
Chesapeake Funding II LLC, Series 2017-4A, Class A1 | ||||
2.12%, 11/15/29 144A | $1,397,686 | $1,382,855 | ||
Chesapeake Funding II LLC, Series 2018-1A, Class A1 | ||||
3.04%, 04/15/30 144A | 931,470 | 933,358 | ||
CIFC Funding 2015-II, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.78%, 0.78% Floor), 3.22%, 04/15/27 144A † | 1,000,000 | 990,350 | ||
Citibank Credit Card Issuance Trust, Series 2017-A9, Class A9 | ||||
1.80%, 09/20/21 | 1,720,000 | 1,706,341 | ||
CNH Equipment Trust, Series 2016-B, Class A3 | ||||
1.63%, 08/15/21 | 712,844 | 707,528 | ||
CNH Equipment Trust, Series 2018-B, Class A3 | ||||
3.19%, 11/15/23 | 1,030,000 | 1,034,812 | ||
Colony Starwood Homes Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 3.71%, 12/17/33 144A † | 767,081 | 769,244 | ||
Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A | ||||
2.42%, 11/15/23 144A | 602,220 | 601,457 | ||
Credit Acceptance Auto Loan Trust, Series 2017-1A, Class A | ||||
2.56%, 10/15/25 144A | 1,020,000 | 1,013,611 | ||
Credit Acceptance Auto Loan Trust, Series 2018-1A, Class A | ||||
3.01%, 02/16/27 144A | 1,380,000 | 1,369,867 | ||
Credit Acceptance Auto Loan Trust, Series 2018-2A, Class A | ||||
3.47%, 05/17/27 144A | 1,800,000 | 1,797,539 | ||
Credit Acceptance Auto Loan Trust, Series 2018-3A, Class A | ||||
3.55%, 08/15/27 144A | 800,000 | 804,004 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.22% on 10/25/19), 5.72%, 09/25/36 STEP | 337,130 | 186,121 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor), 3.05%, 12/25/34† | 1,086,111 | 1,080,000 | ||
Dell Equipment Finance Trust, Series 2017-2, Class A3 | ||||
2.19%, 10/24/22 144A | 560,000 | 556,081 | ||
Dell Equipment Finance Trust, Series 2018-2, Class A3 | ||||
3.37%, 10/22/23 144A | 1,130,000 | 1,135,517 | ||
DLL LLC, Series 2018-ST2, Class A3 | ||||
3.46%, 01/20/22 144A | 1,700,000 | 1,710,288 | ||
Drive Auto Receivables Trust, Series 2017-2, Class B | ||||
2.25%, 06/15/21 | 90,342 | 90,279 | ||
Drive Auto Receivables Trust, Series 2018-2, Class A3 | ||||
2.88%, 06/15/21 | 980,000 | 980,296 |
Par | Value | |||
Drive Auto Receivables Trust, Series 2018-4, Class A3 | ||||
3.04%, 11/15/21 | $200,000 | $199,713 | ||
Drive Auto Receivables Trust, Series 2018-4, Class B | ||||
3.36%, 10/17/22 | 770,000 | 768,732 | ||
Drug Royalty II LP 2, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 2.85%, 2.85% Floor), 5.29%, 07/15/23 144A † | 56,565 | 56,934 | ||
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 3.34%, 10/15/27 144A † | 1,680,000 | 1,667,182 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 3.34%, 04/15/29 144A † | 1,000,000 | 989,146 | ||
Enterprise Fleet Financing LLC, Series 2016-2, Class A2 | ||||
1.74%, 02/22/22 144A | 438,749 | 437,140 | ||
Enterprise Fleet Financing LLC, Series 2016-2, Class A3 | ||||
2.04%, 02/22/22 144A | 730,000 | 720,647 | ||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2 | ||||
2.13%, 07/20/22 144A | 201,770 | 200,602 | ||
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 | ||||
2.60%, 07/20/22 144A | 250,000 | 248,446 | ||
Enterprise Fleet Financing LLC, Series 2017-3, Class A2 | ||||
2.13%, 05/22/23 144A | 890,634 | 882,930 | ||
Enterprise Fleet Financing, Series 2018-2, Class A2 | ||||
3.14%, 02/20/24 144A | 3,000,000 | 2,998,621 | ||
FHLMC Structured Pass-Through Certificates, Series T-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.13%, 0.13% Floor), 2.64%, 08/25/31† | 318,282 | 316,931 | ||
First Investors Auto Owner Trust, Series 2018-2A, Class A2 | ||||
3.56%, 06/15/23 144A | 840,000 | 848,026 | ||
Flatiron CLO, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.33%, 04/15/27 144A † | 1,765,000 | 1,753,815 | ||
Ford Credit Floorplan Master Owner Trust, Series 2016-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 3.36%, 02/15/21† | 625,000 | 625,775 | ||
Ford Credit Floorplan Master Owner Trust, Series 2017-2, Class A1 | ||||
2.16%, 09/15/22 | 1,600,000 | 1,576,848 | ||
GM Financial Automobile Leasing Trust, Series 2018-2, Class A3 | ||||
3.06%, 06/21/21 | 790,000 | 789,042 |
Table of Contents
Par | Value | |||
GM Financial Automobile Leasing Trust, Series 2018-3, Class A4 | ||||
3.30%, 07/20/22 | $310,000 | $311,256 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2018-4, Class A3 | ||||
3.21%, 10/16/23 | 2,080,000 | 2,092,508 | ||
Greystone Commercial Real Estate Notes, Ltd., Series 2017-FL1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 4.01%, 03/15/27 144A † | 900,000 | 894,727 | ||
Hyundai Auto Receivables Trust, Series 2016-A, Class A3 | ||||
1.56%, 09/15/20 | 373,506 | 372,120 | ||
Hyundai Auto Receivables Trust, Series 2016-B, Class D | ||||
2.68%, 09/15/23 | 680,000 | 674,088 | ||
JP Morgan Mortgage Acquisition Corporation, Series 2006-FRE2, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 2.69%, 02/25/36† | 11,737 | 11,763 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 3.40%, 06/15/36 144A † | 1,360,000 | 1,364,736 | ||
Kubota Credit Owner Trust, Series 2017-1A, Class A3 | ||||
1.88%, 08/16/21 144A | 1,730,000 | 1,701,381 | ||
LA Arena Funding LLC, Series 1, Class A | ||||
7.66%, 12/15/26 144A | 103,659 | 107,955 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 3.38%, 10/20/27 144A † | 1,220,000 | 1,211,594 | ||
Lendmark Funding Trust, Series 2018-1A, Class A | ||||
3.81%, 12/21/26 144A | 960,000 | 958,924 | ||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 3.59%, 05/15/28 144A † | 630,000 | 627,464 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 3.24%, 01/15/28 144A † | 2,890,000 | 2,849,894 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 3.42%, 04/15/31 144A † | 530,000 | 522,689 | ||
Marathon CRE, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 3.61%, 06/15/28 144A † | 290,000 | 290,433 | ||
Mercedes-Benz Master Owner Trust, Series 2016-BA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.75% Floor), 3.16%, 05/17/21 144A † | 1,354,000 | 1,356,822 |
Par | Value | |||
Mercedes-Benz Master Owner Trust, Series 2017-BA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.42%), 2.88%, 05/16/22 144A † | $1,750,000 | $1,750,707 | ||
Mill City Mortgage Loan Trust, Series 2016-1, Class A1 | ||||
2.50%, 04/25/57 144A | 921,120 | 904,933 | ||
MMAF Equipment Finance LLC, Series 2017-AA, Class A3 | ||||
2.04%, 02/16/22 144A | 2,210,000 | 2,189,711 | ||
MVW Owner Trust, Series 2017-1A, Class A | ||||
2.42%, 12/20/34 144A | 699,274 | 685,941 | ||
Navient Private Education Loan Trust, Series 2014-CTA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 3.16%, 09/16/24 144A † | 38,057 | 38,132 | ||
Navient Student Loan Trust, Series 2016-6A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 3.26%, 03/25/66 144A † | 1,500,000 | 1,508,663 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 3.56%, 12/27/66 144A † | 1,103,059 | 1,104,436 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 3.31%, 07/26/66 144A † | 1,228,674 | 1,232,054 | ||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | 143,000 | 146,325 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 3.31%, 09/25/65 144A † | 1,274,974 | 1,287,050 | ||
Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 3.29%, 01/15/28 144A † | 1,145,000 | 1,134,018 | ||
Nissan Master Owner Receivables Trust, Series 2016-A, Class A2 | ||||
1.54%, 06/15/21 | 1,440,000 | 1,430,499 | ||
Nissan Master Owner Receivables Trust, Series 2017-B, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.43%), 2.89%, 04/18/22† | 1,650,000 | 1,650,019 | ||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | ||||
3.43%, 12/16/24 144A | 1,150,000 | 1,147,109 | ||
Palmer Square Loan Funding, Ltd., Series 2017-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.74%), 3.18%, 10/15/25 144A † | 642,982 | 638,339 | ||
PFS Financing Corporation, Series 2016-BA, Class A | ||||
1.87%, 10/15/21 144A | 290,000 | 287,452 |
Table of Contents
Par | Value | |||
PFS Financing Corporation, Series 2018-B, Class A | ||||
2.89%, 02/15/23 144A | $2,330,000 | $2,312,045 | ||
Prestige Auto Receivables Trust, Series 2018-1A, Class A3 | ||||
3.29%, 09/15/22 144A | 590,000 | 590,216 | ||
Santander Drive Auto Receivables Trust, Series 2015-2, Class D | ||||
3.02%, 04/15/21 | 5,000 | 4,997 | ||
Santander Drive Auto Receivables Trust, Series 2016-2, Class C | ||||
2.66%, 11/15/21 | 640,000 | 637,710 | ||
Santander Drive Auto Receivables Trust, Series 2018-1, Class A3 | ||||
2.32%, 08/16/21 | 350,000 | 348,994 | ||
Santander Drive Auto Receivables Trust, Series 2018-3, Class A3 | ||||
3.03%, 02/15/22 | 200,000 | 200,147 | ||
Securitized Asset-Backed Receivables LLC Trust, Series 2006-OP1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.37%, 0.37% Floor), 2.88%, 10/25/35† | 458,709 | 459,066 | ||
Securitized Term Auto Receivables Trust, Series 2017-2A, Class A3 | ||||
2.04%, 04/26/21 144A | 1,390,000 | 1,375,219 | ||
SLC Student Loan Trust, Series 2006-2, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.10%), 2.89%, 09/15/26† | 657,922 | 656,938 | ||
SLM Private Credit Student Loan Trust, Series 2005-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.20%), 2.99%, 06/15/23† | 1,245,647 | 1,242,855 | ||
SLM Private Education Loan Trust, Series 2010-A, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 3.25% Floor), 5.71%, 05/16/44 144A † | 415,133 | 420,770 | ||
SLM Private Education Loan Trust, Series 2011-B, Class A2 | ||||
3.74%, 02/15/29 144A | 282,249 | 282,475 | ||
SLM Private Education Loan Trust, Series 2014-A, Class A2A | ||||
2.59%, 01/15/26 144A | 141,425 | 141,185 | ||
SLM Private Education Loan Trust, Series 2014-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 3.61%, 01/15/26 144A † | 317,250 | 317,948 | ||
SLM Student Loan Trust, Series 2003-5, Class A5 | ||||
(Floating, 0.27% - Euribor 3M), 0.00%, 06/17/24(E) † | 264,911 | 302,382 | ||
SLM Student Loan Trust, Series 2004-2, Class A5 | ||||
(Floating, 0.18% - Euribor 3M), 0.00%, 01/25/24(E) † | 1,648,198 | 1,881,635 |
Par | Value | |||
SLM Student Loan Trust, Series 2004-3, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.17%, 0.17% Floor), 2.66%, 07/25/23† | $559,738 | $559,402 | ||
SLM Student Loan Trust, Series 2005-8, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.55%), 3.04%, 01/25/28† | 1,719,142 | 1,721,182 | ||
SMB Private Education Loan Trust, Series 2015-C, Class A2A | ||||
2.75%, 07/15/27 144A | 475,350 | 470,760 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2A | ||||
2.70%, 05/15/31 144A | 364,697 | 365,201 | ||
SMB Private Education Loan Trust, Series 2016-B, Class A2A | ||||
2.43%, 02/17/32 144A | 236,399 | 231,827 | ||
SMB Private Education Loan Trust, Series 2018-A, Class A2A | ||||
3.50%, 02/15/36 144A | 1,105,000 | 1,107,976 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 3.18%, 01/15/37 144A † | 640,000 | 636,429 | ||
SoFi Professional Loan Program LLC, Series 2015-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 3.71%, 03/25/33 144A † | 247,174 | 249,255 | ||
SoFi Professional Loan Program LLC, Series 2015-D, Class A2 | ||||
2.72%, 10/27/36 144A | 1,017,271 | 1,000,835 | ||
Sofi Professional Loan Program LLC, Series 2016-A, Class A2 | ||||
2.76%, 12/26/36 144A | 357,181 | 352,215 | ||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | ||||
2.36%, 12/27/32 144A | 210,000 | 205,921 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2A | ||||
1.53%, 04/25/33 144A | 8,540 | 8,532 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | ||||
2.34%, 04/25/33 144A | 190,000 | 186,738 | ||
Sofi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 1,167,787 | 1,161,465 | ||
Sofi Professional Loan Program LLC, Series 2017-C, Class A2A | ||||
1.75%, 07/25/40 144A | 287,351 | 285,079 | ||
Springleaf Funding Trust, Series 2015-AA, Class A | ||||
3.16%, 11/15/24 144A | 136,932 | 136,752 | ||
Springleaf Funding Trust, Series 2017-AA, Class A | ||||
2.68%, 07/15/30 144A | 400,000 | 393,347 |
Table of Contents
Par | Value | |||
Starwood Waypoint Homes Trust, Series 2017-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 3.41%, 01/17/35 144A † | $2,000,680 | $1,991,916 | ||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 3.85%, 04/25/35† | 236,872 | 231,189 | ||
Towd Point Mortgage Trust, Series 2016-3, Class A1 | ||||
2.25%, 04/25/56 144A | 551,050 | 540,669 | ||
Toyota Auto Receivables Owner Trust, Series 2016-B, Class A3 | ||||
1.30%, 04/15/20 | 173,489 | 172,563 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.33%, 04/15/29 144A † | 3,070,000 | 3,036,851 | ||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 3.32%, 04/15/27 144A † | 360,000 | 354,795 | ||
Verizon Owner Trust, Series 2017-3A, Class A1A | ||||
2.06%, 04/20/22 144A | 3,000,000 | 2,967,675 | ||
VOLT LX LLC, Series 2017-NPL7, Class A1 | ||||
(Step to 6.25% on 07/25/20), 3.25%, 06/25/47 144A STEP | 210,133 | 209,639 | ||
Westlake Automobile Receivables Trust, Series 2016-2A, Class D | ||||
4.10%, 06/15/21 144A | 350,000 | 351,097 | ||
Westlake Automobile Receivables Trust, Series 2017-1A, Class C | ||||
2.70%, 10/17/22 144A | 740,000 | 736,375 | ||
Wheels SPV 2 LLC, Series 2016-1A, Class A2 | ||||
1.59%, 05/20/25 144A | 32,684 | 32,596 | ||
Wheels SPV 2 LLC, Series 2017-1A, Class A2 | ||||
1.88%, 04/20/26 144A | 145,305 | 144,347 | ||
Total Asset-Backed Securities (Cost $123,626,020) | 123,293,100 | |||
COMMERCIAL PAPER — 0.2% | ||||
UBS AG | ||||
(Floating, ICE LIBOR USD 3M + 0.33%), 2.74%, 04/04/19 144A † (Cost $1,500,000) | 1,500,000 | 1,500,847 | ||
CORPORATE BONDS — 24.0% | ||||
AbbVie, Inc. | ||||
2.50%, 05/14/20 | 975,000 | 966,067 | ||
2.30%, 05/14/21Δ | 2,300,000 | 2,247,394 | ||
3.38%, 11/14/21 | 500,000 | 499,868 | ||
2.90%, 11/06/22 | 160,000 | 155,825 | ||
3.75%, 11/14/23 | 385,000 | 383,477 | ||
ADT Security Corporation (The) | ||||
6.25%, 10/15/21 | 150,000 | 152,813 |
Par | Value | |||
AES Corporation | ||||
4.00%, 03/15/21Δ | $850,000 | $837,250 | ||
Aetna, Inc. | ||||
2.20%, 03/15/19 | 75,000 | 74,894 | ||
Air Lease Corporation | ||||
2.63%, 07/01/22 | 150,000 | 142,303 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 415,000 | 417,978 | ||
American Electric Power Co., Inc. | ||||
2.15%, 11/13/20 | 530,000 | 519,663 | ||
3.65%, 12/01/21 | 730,000 | 735,988 | ||
2.95%, 12/15/22 | 220,000 | 215,923 | ||
American Express Co. | ||||
2.20%, 10/30/20 | 520,000 | 510,842 | ||
2.50%, 08/01/22 | 265,000 | 255,989 | ||
American Express Credit Corporation | ||||
2.20%, 03/03/20Δ | 735,000 | 727,223 | ||
2.38%, 05/26/20 | 1,550,000 | 1,534,059 | ||
American Tower Corporation REIT | ||||
2.25%, 01/15/22Δ | 2,700,000 | 2,585,790 | ||
3.50%, 01/31/23 | 95,000 | 93,451 | ||
Amphenol Corporation | ||||
2.20%, 04/01/20 | 365,000 | 359,708 | ||
Analog Devices, Inc. | ||||
2.85%, 03/12/20 | 110,000 | 109,646 | ||
Andeavor Logistics LP | ||||
6.25%, 10/15/22 | 199,000 | 203,478 | ||
3.50%, 12/01/22 | 265,000 | 258,002 | ||
Anthem, Inc. | ||||
3.13%, 05/15/22 | 165,000 | 162,704 | ||
Apache Corporation | ||||
3.63%, 02/01/21 | 71,000 | 70,914 | ||
3.25%, 04/15/22 | 236,000 | 231,322 | ||
Ares Capital Corporation | ||||
3.63%, 01/19/22 | 1,325,000 | 1,287,272 | ||
Arizona Public Service Co. | ||||
2.20%, 01/15/20 | 1,580,000 | 1,572,651 | ||
Associated Bank NA | ||||
3.50%, 08/13/21 | 570,000 | 568,929 | ||
Assurant, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 4.07%, 03/26/21† | 1,410,000 | 1,409,547 | ||
AT&T, Inc. | ||||
2.80%, 02/17/21 | 715,000 | 706,430 | ||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.49%, 06/01/21† | 2,800,000 | 2,783,050 | ||
(Floating, ICE LIBOR USD 3M + 0.95%), 3.39%, 07/15/21† | 1,000,000 | 997,062 | ||
3.80%, 03/15/22 | 680,000 | 683,476 | ||
3.60%, 02/17/23Δ | 855,000 | 850,509 | ||
(Floating, ICE LIBOR USD 3M + 1.18%), 3.96%, 06/12/24† | 600,000 | 582,419 | ||
Athene Global Funding | ||||
2.75%, 04/20/20 144A | 1,445,000 | 1,431,970 | ||
AXA Equitable Holdings, Inc. | ||||
3.90%, 04/20/23 144A | 70,000 | 69,200 |
Table of Contents
Par | Value | |||
Bank of America Corporation | ||||
5.49%, 03/15/19 | $200,000 | $200,918 | ||
2.65%, 04/01/19 | 2,500,000 | 2,497,474 | ||
(Variable, ICE LIBOR USD 3M + 0.66%), 2.37%, 07/21/21^ | 1,840,000 | 1,807,481 | ||
(Variable, ICE LIBOR USD 3M + 0.63%), 2.33%, 10/01/21^ | 765,000 | 750,258 | ||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.86%, 01/23/22† | 900,000 | 882,402 | ||
(Variable, ICE LIBOR USD 3M + 0.63%), 3.50%, 05/17/22^ | 425,000 | 425,208 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.47%, 06/25/22† | 750,000 | 740,814 | ||
2.50%, 10/21/22 | 775,000 | 746,594 | ||
3.30%, 01/11/23 | 715,000 | 704,568 | ||
BB&T Corporation | ||||
3.20%, 09/03/21 | 185,000 | 184,950 | ||
Becton Dickinson and Co. | ||||
2.40%, 06/05/20 | 325,000 | 320,039 | ||
BGC Partners, Inc. | ||||
5.13%, 05/27/21 | 1,400,000 | 1,412,958 | ||
BMW US Capital LLC | ||||
3.25%, 08/14/20 144A | 1,040,000 | 1,039,878 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 3.12%, 08/13/21 144A † | 3,000,000 | 2,972,578 | ||
BP Capital Markets America, Inc. | ||||
3.79%, 02/06/24 | 95,000 | 96,090 | ||
Broadcom Corporation | ||||
2.38%, 01/15/20 | 3,275,000 | 3,234,914 | ||
Burlington Northern Santa Fe LLC | ||||
3.40%, 09/01/24 | 500,000 | 500,962 | ||
CA, Inc. | ||||
3.60%, 08/15/22 | 205,000 | 200,291 | ||
Calpine Corporation | ||||
6.00%, 01/15/22 144A | 200,000 | 199,250 | ||
Cantor Fitzgerald LP | ||||
6.50%, 06/17/22 144A | 750,000 | 795,835 | ||
Capital One Bank USA NA | ||||
2.30%, 06/05/19 | 250,000 | 249,179 | ||
Capital One Financial Corporation | ||||
2.40%, 10/30/20 | 1,105,000 | 1,082,293 | ||
(Floating, ICE LIBOR USD 3M + 0.95%), 3.72%, 03/09/22† | 995,000 | 979,360 | ||
3.75%, 04/24/24 | 135,000 | 131,823 | ||
Capital One NA | ||||
2.35%, 01/31/20 | 1,030,000 | 1,017,208 | ||
Caterpillar Financial Services Corporation | ||||
3.15%, 09/07/21 | 125,000 | 125,377 | ||
Centene Corporation | ||||
5.63%, 02/15/21 | 350,000 | 351,750 | ||
4.75%, 05/15/22 | 210,000 | 208,163 | ||
CenterPoint Energy Resources Corporation | ||||
3.55%, 04/01/23 | 200,000 | 200,303 | ||
CenterPoint Energy, Inc. | ||||
3.60%, 11/01/21 | 765,000 | 767,111 | ||
CenturyLink, Inc. | ||||
5.63%, 04/01/20Δ | 530,000 | 529,337 |
Par | Value | |||
Charter Communications Operating LLC | ||||
4.46%, 07/23/22 | $640,000 | $646,652 | ||
(Floating, ICE LIBOR USD 3M + 1.65%), 4.19%, 02/01/24† | 2,700,000 | 2,656,425 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25 | 630,000 | 628,425 | ||
Cigna Corporation | ||||
3.20%, 09/17/20 144A | 1,360,000 | 1,354,968 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.44%, 09/17/21 144A † | 860,000 | 848,179 | ||
CIT Group, Inc. | ||||
4.13%, 03/09/21 | 1,030,000 | 1,017,125 | ||
Citibank NA | ||||
2.10%, 06/12/20 | 1,050,000 | 1,032,837 | ||
2.13%, 10/20/20 | 800,000 | 784,350 | ||
Citigroup, Inc. | ||||
2.50%, 07/29/19 | 290,000 | 289,050 | ||
2.45%, 01/10/20 | 820,000 | 813,618 | ||
2.75%, 04/25/22 | 1,100,000 | 1,069,348 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.88%, 07/24/23^ | 325,000 | 314,775 | ||
(Floating, ICE LIBOR USD 3M + 1.02%), 3.76%, 06/01/24† | 1,000,000 | 980,229 | ||
Citizens Bank NA | ||||
2.25%, 03/02/20 | 285,000 | 282,042 | ||
2.20%, 05/26/20 | 370,000 | 364,905 | ||
(Floating, ICE LIBOR USD 3M + 0.57%), 3.26%, 05/26/20† | 750,000 | 748,315 | ||
CNH Industrial Capital LLC | ||||
3.38%, 07/15/19 | 275,000 | 273,009 | ||
3.88%, 10/15/21 | 145,000 | 144,391 | ||
Comcast Corporation | ||||
3.30%, 10/01/20 | 2,605,000 | 2,615,624 | ||
3.45%, 10/01/21 | 605,000 | 611,373 | ||
2.85%, 01/15/23 | 600,000 | 588,670 | ||
Conagra Brands, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.22%, 10/22/20† Δ | 905,000 | 902,693 | ||
3.80%, 10/22/21 | 425,000 | 425,430 | ||
Continental Airlines Pass Through Trust, Series 2010-1, Class B | ||||
6.00%, 01/12/19 | 82,136 | 82,280 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 1,404,000 | 1,383,115 | ||
CoreCivic, Inc. REIT | ||||
4.63%, 05/01/23 | 200,000 | 185,750 | ||
Cox Communications, Inc. | ||||
3.25%, 12/15/22 144A | 380,000 | 371,567 | ||
3.15%, 08/15/24 144A | 480,000 | 462,349 | ||
Crown Castle International Corporation REIT | ||||
4.88%, 04/15/22 | 325,000 | 334,672 | ||
Crown Castle Towers LLC | ||||
3.22%, 05/15/22 144A | 1,500,000 | 1,477,605 | ||
CVS Health Corporation | ||||
3.13%, 03/09/20 | 1,475,000 | 1,472,502 | ||
2.80%, 07/20/20 | 775,000 | 768,295 |
Table of Contents
Par | Value | |||
3.35%, 03/09/21 | $1,700,000 | $1,696,032 | ||
3.70%, 03/09/23 | 1,790,000 | 1,772,539 | ||
D.R. Horton, Inc. | ||||
4.00%, 02/15/20 | 1,100,000 | 1,102,375 | ||
Daimler Finance North America LLC | ||||
1.50%, 07/05/19 144A | 510,000 | 505,014 | ||
2.20%, 05/05/20 144A | 230,000 | 226,275 | ||
2.70%, 08/03/20 144A | 210,000 | 207,383 | ||
2.30%, 02/12/21 144A | 1,455,000 | 1,420,106 | ||
(Floating, ICE LIBOR USD 3M + 0.84%), 3.42%, 05/04/23 144A † Δ | 3,000,000 | 2,970,754 | ||
DCP Midstream Operating LP | ||||
2.70%, 04/01/19 | 420,000 | 417,637 | ||
5.35%, 03/15/20 144A | 275,000 | 276,719 | ||
Dell International LLC | ||||
3.48%, 06/01/19 144A | 1,455,000 | 1,450,847 | ||
4.42%, 06/15/21 144A | 1,325,000 | 1,323,574 | ||
5.88%, 06/15/21 144A | 540,000 | 540,768 | ||
5.45%, 06/15/23 144A | 1,200,000 | 1,222,325 | ||
Delta Air Lines, Inc. | ||||
2.88%, 03/13/20 | 465,000 | 462,045 | ||
3.63%, 03/15/22 | 2,100,000 | 2,056,574 | ||
Devon Energy Corporation | ||||
3.25%, 05/15/22 | 960,000 | 936,210 | ||
Diamondback Energy, Inc. | ||||
4.75%, 11/01/24 144A | 350,000 | 339,500 | ||
Discover Bank | ||||
3.35%, 02/06/23 | 250,000 | 243,570 | ||
Discovery Communications LLC | ||||
4.38%, 06/15/21 | 220,000 | 224,007 | ||
3.30%, 05/15/22 | 375,000 | 367,906 | ||
DISH DBS Corporation | ||||
6.75%, 06/01/21 | 700,000 | 694,540 | ||
Dominion Energy Gas Holdings LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.39%, 06/15/21† | 1,800,000 | 1,795,614 | ||
Dominion Energy, Inc. | ||||
2.96%, 07/01/19 STEP | 1,125,000 | 1,121,136 | ||
2.58%, 07/01/20 | 335,000 | 329,877 | ||
Dow Chemical Co. (The) | ||||
4.25%, 11/15/20 | 175,000 | 178,181 | ||
DowDuPont, Inc. | ||||
3.77%, 11/15/20 | 1,870,000 | 1,888,774 | ||
DTE Energy Co. | ||||
1.50%, 10/01/19 | 400,000 | 394,142 | ||
3.70%, 08/01/23 | 240,000 | 238,568 | ||
Duke Energy Corporation | ||||
3.95%, 10/15/23 | 430,000 | 434,328 | ||
DXC Technology Co. | ||||
2.88%, 03/27/20 | 140,000 | 138,832 | ||
Elanco Animal Health, Inc. | ||||
3.91%, 08/27/21 144A | 295,000 | 297,021 | ||
Emera US Finance LP | ||||
2.15%, 06/15/19 | 250,000 | 247,983 | ||
Enbridge Energy Partners LP | ||||
5.20%, 03/15/20 | 280,000 | 286,069 |
Par | Value | |||
4.38%, 10/15/20 | $15,000 | $15,181 | ||
Energy Transfer LP | ||||
4.25%, 03/15/23Δ | 630,000 | 607,950 | ||
Energy Transfer Operating LP | ||||
4.15%, 10/01/20 | 1,115,000 | 1,122,154 | ||
3.60%, 02/01/23 | 105,000 | 101,254 | ||
EnLink Midstream Partners LP | ||||
2.70%, 04/01/19 | 685,000 | 680,760 | ||
Enterprise Products Operating LLC | ||||
3.35%, 03/15/23 | 295,000 | 291,253 | ||
EOG Resources, Inc. | ||||
2.45%, 04/01/20 | 290,000 | 287,277 | ||
EQT Corporation | ||||
2.50%, 10/01/20 | 395,000 | 386,408 | ||
Exelon Corporation | ||||
2.45%, 04/15/21 | 175,000 | 171,251 | ||
Exelon Generation Co. LLC | ||||
5.20%, 10/01/19 | 240,000 | 243,136 | ||
First Data Corporation | ||||
5.38%, 08/15/23 144A | 400,000 | 394,000 | ||
FirstEnergy Corporation | ||||
2.85%, 07/15/22 | 2,357,000 | 2,299,106 | ||
Ford Motor Credit Co LLC | ||||
1.90%, 08/12/19 | 2,200,000 | 2,178,680 | ||
3.81%, 10/12/21 | 241,000 | 234,210 | ||
Ford Motor Credit Co. LLC | ||||
2.94%, 01/08/19 | 1,300,000 | 1,300,008 | ||
2.26%, 03/28/19 | 535,000 | 533,497 | ||
2.02%, 05/03/19 | 420,000 | 418,337 | ||
2.43%, 06/12/20 | 1,135,000 | 1,105,563 | ||
3.16%, 08/04/20 | 225,000 | 220,569 | ||
3.34%, 03/18/21 | 640,000 | 621,326 | ||
(Floating, ICE LIBOR USD 3M + 1.27%), 4.08%, 03/28/22† | 235,000 | 224,650 | ||
4.14%, 02/15/23 | 345,000 | 328,231 | ||
Fortive Corporation | ||||
1.80%, 06/15/19 | 24,000 | 23,716 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 500,000 | 474,375 | ||
GATX Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 3.30%, 11/05/21† | 500,000 | 495,051 | ||
General Electric Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 5.00%, 01/21/21^ | 700,000 | 536,375 | ||
General Mills, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 3.46%, 10/17/23† | 200,000 | 195,481 | ||
General Motors Financial Co., Inc. | ||||
3.10%, 01/15/19 | 175,000 | 174,994 | ||
2.40%, 05/09/19 | 780,000 | 777,136 | ||
2.65%, 04/13/20 | 460,000 | 452,460 | ||
(Floating, ICE LIBOR USD 3M + 0.93%), 3.37%, 04/13/20† | 1,010,000 | 1,003,872 | ||
2.45%, 11/06/20 | 605,000 | 587,881 | ||
3.20%, 07/06/21 | 800,000 | 781,910 | ||
4.20%, 11/06/21 | 395,000 | 395,084 |
Table of Contents
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 1.55%), 3.99%, 01/14/22† | $895,000 | $883,152 | ||
(Floating, ICE LIBOR USD 3M + 1.31%), 4.11%, 06/30/22† | 614,000 | 593,726 | ||
3.25%, 01/05/23Δ | 290,000 | 273,352 | ||
4.15%, 06/19/23 | 235,000 | 229,203 | ||
Georgia-Pacific LLC | ||||
3.73%, 07/15/23 144A | 500,000 | 505,056 | ||
Gilead Sciences, Inc. | ||||
2.50%, 09/01/23 | 90,000 | 86,879 | ||
Glencore Funding LLC | ||||
(Floating, ICE LIBOR USD 3M + 1.36%), 3.80%, 01/15/19 144A † | 680,000 | 680,184 | ||
Goldman Sachs Group, Inc. (The) | ||||
2.60%, 04/23/20 | 980,000 | 970,723 | ||
2.60%, 12/27/20Δ | 990,000 | 971,932 | ||
3.00%, 04/26/22 | 1,835,000 | 1,777,924 | ||
3.20%, 02/23/23Δ | 510,000 | 495,156 | ||
Harley-Davidson Financial Services, Inc. | ||||
2.15%, 02/26/20 144A | 260,000 | 256,057 | ||
Hartford Financial Services Group, Inc. (The) | ||||
5.13%, 04/15/22 | 263,000 | 275,904 | ||
HCA, Inc. | ||||
5.88%, 03/15/22 | 1,180,000 | 1,212,450 | ||
HSBC USA, Inc. | ||||
2.75%, 08/07/20 | 1,500,000 | 1,484,023 | ||
Hughes Satellite Systems Corporation | ||||
6.50%, 06/15/19 | 275,000 | 277,922 | ||
Huntington National Bank (The) | ||||
2.38%, 03/10/20 | 1,240,000 | 1,228,396 | ||
Hyundai Capital America | ||||
2.50%, 03/18/19 144A | 30,000 | 29,952 | ||
1.75%, 09/27/19 144A Δ | 435,000 | 429,529 | ||
2.55%, 04/03/20 144A | 315,000 | 311,088 | ||
IBM Credit LLC | ||||
3.45%, 11/30/20 | 285,000 | 286,552 | ||
International Lease Finance Corporation | ||||
5.88%, 04/01/19 | 1,385,000 | 1,390,735 | ||
6.25%, 05/15/19 | 1,300,000 | 1,311,619 | ||
8.25%, 12/15/20 | 800,000 | 861,016 | ||
Interpublic Group of Cos., Inc. (The) | ||||
3.50%, 10/01/20 | 230,000 | 230,382 | ||
3.75%, 10/01/21 | 80,000 | 80,551 | ||
Iron Mountain, Inc. REIT | ||||
4.38%, 06/01/21 144A | 635,000 | 628,650 | ||
iStar, Inc. REIT | ||||
4.63%, 09/15/20 | 225,000 | 219,938 | ||
JPMorgan Chase & Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.68%), 3.42%, 06/01/21† | 1,265,000 | 1,257,743 | ||
(Floating, ICE LIBOR USD 3M + 0.61%), 3.41%, 06/18/22† | 540,000 | 534,325 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 2.78%, 04/25/23^ | 815,000 | 790,632 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 0.73%), 3.56%, 04/23/24^ | $310,000 | $307,838 | ||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.37%, 07/23/24† | 625,000 | 611,096 | ||
JPMorgan Chase Bank NA | ||||
(Variable, ICE LIBOR USD 3M + 0.28%), 2.60%, 02/01/21^ | 1,600,000 | 1,587,543 | ||
Kinder Morgan Energy Partners LP | ||||
5.00%, 10/01/21 | 300,000 | 308,675 | ||
Kinder Morgan, Inc. | ||||
3.05%, 12/01/19 | 810,000 | 805,510 | ||
3.15%, 01/15/23 | 220,000 | 213,982 | ||
(Floating, ICE LIBOR USD 3M + 1.28%), 3.72%, 01/15/23† | 660,000 | 645,620 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.82%), 3.44%, 08/10/22† Δ | 400,000 | 395,342 | ||
Lam Research Corporation | ||||
2.80%, 06/15/21 | 65,000 | 64,314 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 600,000 | 11,400 | ||
Lennar Corporation | ||||
4.13%, 01/15/22 | 1,250,000 | 1,204,687 | ||
Level 3 Financing, Inc. | ||||
5.13%, 05/01/23 | 200,000 | 193,750 | ||
Marriott International, Inc. | ||||
3.00%, 03/01/19 | 225,000 | 224,722 | ||
Masco Corporation | ||||
5.95%, 03/15/22 | 683,000 | 724,283 | ||
McCormick & Co., Inc. | ||||
2.70%, 08/15/22 | 200,000 | 194,097 | ||
Metropolitan Life Global Funding I | ||||
2.40%, 01/08/21 144A Δ | 790,000 | 778,197 | ||
Microchip Technology, Inc. | ||||
3.92%, 06/01/21 144A | 475,000 | 471,462 | ||
Morgan Stanley | ||||
5.50%, 01/26/20 | 969,000 | 991,270 | ||
2.80%, 06/16/20 | 1,300,000 | 1,292,011 | ||
(Floating, ICE LIBOR USD 3M + 0.55%), 3.17%, 02/10/21† | 1,500,000 | 1,483,689 | ||
(Floating, ICE LIBOR USD 3M + 1.18%), 3.65%, 01/20/22† | 653,000 | 651,050 | ||
2.75%, 05/19/22 | 755,000 | 734,877 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 415,000 | 411,872 | ||
Motorola Solutions, Inc. | ||||
3.50%, 09/01/21 | 1,900,000 | 1,886,063 | ||
MPLX LP | ||||
3.38%, 03/15/23Δ | 190,000 | 184,600 | ||
Nabors Industries, Inc. | ||||
4.63%, 09/15/21Δ | 1,050,000 | 946,772 | ||
Navient Corporation | ||||
4.88%, 06/17/19 | 620,000 | 618,062 | ||
8.00%, 03/25/20 | 400,000 | 407,440 | ||
6.63%, 07/26/21 | 575,000 | 556,312 | ||
Newmont Mining Corporation | ||||
3.50%, 03/15/22 | 280,000 | 277,277 |
Table of Contents
Par | Value | |||
NextEra Energy Capital Holdings, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 3.11%, 08/21/20† | $1,000,000 | $999,011 | ||
3.34%, 09/01/20 | 1,815,000 | 1,819,331 | ||
Nissan Motor Acceptance Corporation | ||||
2.25%, 01/13/20 144A | 310,000 | 305,611 | ||
2.13%, 03/03/20 144A | 455,000 | 447,653 | ||
2.15%, 09/28/20 144A Δ | 515,000 | 500,570 | ||
3.65%, 09/21/21 144A Δ | 5,000,000 | 4,977,957 | ||
Northwest Airlines Pass Through Trust, Series 2002-1, Class G2 | ||||
6.26%, 11/20/21 | 63,448 | 64,298 | ||
Nuance Communications, Inc. | ||||
5.38%, 08/15/20 144A | 182,000 | 181,886 | ||
NuStar Logistics LP | ||||
6.75%, 02/01/21 | 250,000 | 253,125 | ||
ONEOK, Inc. | ||||
4.25%, 02/01/22 | 300,000 | 303,030 | ||
Pacific Gas & Electric Co. | ||||
4.25%, 08/01/23 144A | 425,000 | 395,919 | ||
Pennsylvania Electric Co. | ||||
5.20%, 04/01/20 | 500,000 | 512,660 | ||
Penske Truck Leasing Co. LP | ||||
3.05%, 01/09/20 144A | 760,000 | 756,946 | ||
3.20%, 07/15/20 144A | 1,000,000 | 995,382 | ||
3.38%, 02/01/22 144A | 755,000 | 747,113 | ||
4.25%, 01/17/23 144A | 165,000 | 167,640 | ||
2.70%, 03/14/23 144A | 255,000 | 243,526 | ||
Phillips 66 | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.29%, 02/26/21† | 595,000 | 588,529 | ||
Pioneer Natural Resources Co. | ||||
3.45%, 01/15/21 | 300,000 | 299,245 | ||
Protective Life Global Funding | ||||
2.16%, 09/25/20 144A | 1,565,000 | 1,537,466 | ||
QEP Resources, Inc. | ||||
6.88%, 03/01/21 | 543,000 | 549,787 | ||
QUALCOMM, Inc. | ||||
3.00%, 05/20/22 | 205,000 | 201,776 | ||
2.60%, 01/30/23 | 345,000 | 332,192 | ||
Qwest Corporation | ||||
6.75%, 12/01/21 | 350,000 | 358,734 | ||
Rockies Express Pipeline LLC | ||||
6.00%, 01/15/19 144A | 285,000 | 285,178 | ||
Ryder System, Inc. | ||||
3.75%, 06/09/23Δ | 250,000 | 248,715 | ||
S&P Global, Inc. | ||||
3.30%, 08/14/20 | 800,000 | 801,873 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 02/01/21 | 1,170,000 | 1,206,005 | ||
6.25%, 03/15/22 | 1,100,000 | 1,157,417 | ||
Santander Holdings USA, Inc. | ||||
2.65%, 04/17/20 | 1,230,000 | 1,214,466 | ||
4.45%, 12/03/21 | 1,265,000 | 1,287,769 | ||
3.70%, 03/28/22 | 815,000 | 801,013 | ||
Sempra Energy | ||||
1.63%, 10/07/19 | 385,000 | 379,749 |
Par | Value | |||
2.40%, 02/01/20 | $290,000 | $286,176 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.94%, 01/15/21† | 630,000 | 619,601 | ||
Sirius XM Radio, Inc. | ||||
3.88%, 08/01/22 144A | 1,250,000 | 1,193,750 | ||
SLM Corporation | ||||
5.13%, 04/05/22 | 404,000 | 392,890 | ||
Smithfield Foods, Inc. | ||||
2.70%, 01/31/20 144A | 250,000 | 246,680 | ||
2.65%, 10/03/21 144A | 495,000 | 473,259 | ||
Southern California Edison Co. | ||||
2.90%, 03/01/21 | 1,000,000 | 987,944 | ||
1.85%, 02/01/22 | 750,000 | 729,623 | ||
Spectra Energy Partners LP | ||||
4.75%, 03/15/24 | 90,000 | 92,593 | ||
Sprint Spectrum Co., LLC | ||||
3.36%, 09/20/21 144A | 1,285,625 | 1,272,769 | ||
4.74%, 03/20/25 144A | 445,000 | 437,769 | ||
Starwood Property Trust, Inc. REIT | ||||
3.63%, 02/01/21 | 270,000 | 260,550 | ||
5.00%, 12/15/21 | 275,000 | 270,875 | ||
Sterling Bancorp | ||||
3.50%, 06/08/20 | 480,000 | 477,033 | ||
Sunoco Logistics Partners Operations LP | ||||
5.50%, 02/15/20 | 130,000 | 132,540 | ||
SunTrust Bank | ||||
(Variable, ICE LIBOR USD 3M + 0.30%), 2.59%, 01/29/21^ | 1,515,000 | 1,500,698 | ||
Synchrony Financial | ||||
3.00%, 08/15/19 | 390,000 | 387,484 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.81%, 02/03/20† | 250,000 | 249,851 | ||
Targa Resources Partners LP | ||||
4.13%, 11/15/19 | 150,000 | 149,063 | ||
Tenet Healthcare Corporation | ||||
6.00%, 10/01/20 | 435,000 | 442,069 | ||
Texas Eastern Transmission LP | ||||
2.80%, 10/15/22 144A | 340,000 | 327,250 | ||
Time Warner Cable LLC | ||||
8.75%, 02/14/19 | 150,000 | 150,842 | ||
8.25%, 04/01/19 | 95,000 | 96,072 | ||
Total System Services, Inc. | ||||
3.75%, 06/01/23 | 240,000 | 238,287 | ||
TRI Pointe Group, Inc. | ||||
4.88%, 07/01/21 | 300,000 | 287,250 | ||
Unit Corporation | ||||
6.63%, 05/15/21 | 175,000 | 160,125 | ||
United Technologies Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.28%, 08/16/21† | 370,000 | 368,748 | ||
3.35%, 08/16/21 | 915,000 | 913,092 | ||
3.65%, 08/16/23 | 710,000 | 707,964 | ||
US Airways Pass-Through Trust, Series 2012-1, Class B | ||||
8.00%, 10/01/19 | 229,430 | 236,868 | ||
US Bank NA | ||||
2.13%, 10/28/19Δ | 370,000 | 367,430 |
Table of Contents
Par | Value | |||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.72%, 05/15/25† | $1,900,000 | $1,843,843 | ||
Virginia Electric & Power Co. | ||||
5.00%, 06/30/19 | 175,000 | 176,369 | ||
Vistra Energy Corporation | ||||
5.88%, 06/01/23 | 150,000 | 150,750 | ||
Volkswagen Group of America Finance LLC | ||||
3.88%, 11/13/20 144A | 820,000 | 824,368 | ||
4.00%, 11/12/21 144A | 605,000 | 605,029 | ||
Walgreen Co. | ||||
3.10%, 09/15/22Δ | 370,000 | 361,248 | ||
Walgreens Boots Alliance, Inc. | ||||
2.70%, 11/18/19 | 925,000 | 919,918 | ||
Warner Media LLC | ||||
4.70%, 01/15/21 | 170,000 | 174,407 | ||
WEA Finance LLC REIT | ||||
2.70%, 09/17/19 144A | 260,000 | 258,876 | ||
WEC Energy Group, Inc. | ||||
3.38%, 06/15/21 | 555,000 | 554,975 | ||
Wells Fargo & Co. | ||||
2.13%, 04/22/19 | 325,000 | 324,055 | ||
(Floating, ICE LIBOR USD 3M + 0.93%), 3.55%, 02/11/22† | 500,000 | 496,979 | ||
3.07%, 01/24/23 | 50,000 | 48,724 | ||
Wells Fargo Bank NA | ||||
2.60%, 01/15/21 | 1,500,000 | 1,481,805 | ||
Welltower, Inc. REIT | ||||
6.13%, 04/15/20 | 784,000 | 808,988 | ||
Williams Cos., Inc. (The) | ||||
4.00%, 11/15/21 | 175,000 | 175,789 | ||
3.60%, 03/15/22 | 895,000 | 878,839 | ||
3.70%, 01/15/23 | 480,000 | 468,852 | ||
4.55%, 06/24/24 | 325,000 | 328,535 | ||
Willis North America, Inc. | ||||
3.60%, 05/15/24 | 230,000 | 224,834 | ||
WR Grace & Co-Conn | ||||
5.13%, 10/01/21 144A | 135,000 | 133,988 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 144A | 115,000 | 112,998 | ||
Xerox Corporation | ||||
3.50%, 08/20/20 | 270,000 | 262,051 | ||
Xilinx, Inc. | ||||
2.13%, 03/15/19 | 325,000 | 324,284 | ||
Zimmer Biomet Holdings, Inc. | ||||
2.70%, 04/01/20 | 190,000 | 188,244 | ||
Zoetis, Inc. | ||||
3.45%, 11/13/20 | 300,000 | 300,956 | ||
Total Corporate Bonds (Cost $220,463,904) | 217,708,366 | |||
FOREIGN BONDS — 14.2% | ||||
Australia — 1.1% | ||||
Australia & New Zealand Banking Group, Ltd. | ||||
2.25%, 11/09/20 | 250,000 | 246,126 |
Par | Value | |||
Commonwealth Bank of Australia | ||||
2.05%, 09/18/20 144A Δ | $250,000 | $245,247 | ||
Macquarie Group, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.02%), 3.73%, 11/28/23 144A † | 1,435,000 | 1,407,591 | ||
(Floating, ICE LIBOR USD 3M + 1.35%), 4.17%, 03/27/24 144A † | 3,200,000 | 3,134,906 | ||
National Australia Bank, Ltd. | ||||
2.25%, 03/16/21 144A | 1,500,000 | 1,479,256 | ||
Suncorp-Metway, Ltd. | ||||
2.10%, 05/03/19 144A | 1,700,000 | 1,694,305 | ||
2.35%, 04/27/20 144A | 420,000 | 414,634 | ||
2.38%, 11/09/20 144A | 785,000 | 769,455 | ||
Virgin Australia Pass-Through Trust, Series 2013-1A | ||||
5.00%, 10/23/23 144A | 168,341 | 170,849 | ||
Woodside Finance, Ltd. | ||||
4.60%, 05/10/21 144A | 400,000 | 404,957 | ||
3.70%, 09/15/26 144A | 400,000 | 369,199 | ||
10,336,525 | ||||
Bermuda — 0.0% | ||||
Enstar Group, Ltd. | ||||
4.50%, 03/10/22 | 275,000 | 277,035 | ||
Brazil — 0.0% | ||||
Vale Overseas, Ltd. | ||||
4.38%, 01/11/22 | 47,000 | 47,940 | ||
Canada — 0.4% | ||||
Bank of Montreal | ||||
1.75%, 09/11/19 | 360,000 | 356,806 | ||
Bausch Health Cos., Inc. | ||||
6.50%, 03/15/22 144A | 300,000 | 302,250 | ||
Cenovus Energy, Inc. | ||||
5.70%, 10/15/19 | 461,538 | 469,890 | ||
Enbridge, Inc. | ||||
2.90%, 07/15/22 | 15,000 | 14,528 | ||
Encana Corporation | ||||
3.90%, 11/15/21 | 450,000 | 450,658 | ||
Province of Alberta Canada | ||||
1.90%, 12/06/19 | 1,000,000 | 991,986 | ||
1.75%, 08/26/20 144A | 1,000,000 | 984,332 | ||
TransCanada PipeLines, Ltd. | ||||
3.13%, 01/15/19 | 115,000 | 114,991 | ||
3.75%, 10/16/23 | 330,000 | 329,158 | ||
4,014,599 | ||||
Chile — 0.2% | ||||
Banco del Estado de Chile | ||||
2.67%, 01/08/21 144A | 725,000 | 709,512 | ||
Banco Santander Chile | ||||
2.50%, 12/15/20 144A | 635,000 | 621,360 | ||
Itau CorpBanca | ||||
3.88%, 09/22/19 144A Δ | 500,000 | 502,419 | ||
1,833,291 |
Table of Contents
Par | Value | |||
China — 0.6% | ||||
Baidu, Inc. | ||||
2.88%, 07/06/22 | $235,000 | $228,526 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 610,000 | 592,463 | ||
Sinopec Group Overseas Development 2015, Ltd. | ||||
2.50%, 04/28/20 | 3,500,000 | 3,457,881 | ||
Sinopec Group Overseas Development 2017, Ltd. | ||||
2.38%, 04/12/20 144A | 970,000 | 959,406 | ||
5,238,276 | ||||
Finland — 0.2% | ||||
Nokia OYJ | ||||
5.38%, 05/15/19Δ | 79,000 | 79,395 | ||
3.38%, 06/12/22 | 185,000 | 175,287 | ||
Nordea Bank Abp | ||||
(Floating, ICE LIBOR USD 3M + 0.20%), 2.99%, 04/05/19† | 500,000 | 500,158 | ||
1.63%, 09/30/19 144A | 280,000 | 276,938 | ||
2.25%, 05/27/21 144A Δ | 335,000 | 326,732 | ||
1,358,510 | ||||
France — 0.7% | ||||
Banque Federative du Credit Mutuel | ||||
2.20%, 07/20/20 144A | 1,230,000 | 1,207,704 | ||
BNP Paribas SA | ||||
(Floating, ICE LIBOR USD 3M + 0.25%), 3.04%, 04/08/19† | 1,500,000 | 1,500,529 | ||
BPCE SA | ||||
(Floating, ICE LIBOR USD 3M + 1.22%), 3.90%, 05/22/22 144A † | 545,000 | 544,627 | ||
Credit Agricole SA | ||||
3.38%, 01/10/22 144A | 680,000 | 669,345 | ||
Dexia Credit Local SA | ||||
2.25%, 02/18/20 | 2,100,000 | 2,087,978 | ||
6,010,183 | ||||
Germany — 0.9% | ||||
Deutsche Bank AG | ||||
3.15%, 01/22/21 | 1,405,000 | 1,358,426 | ||
4.25%, 02/04/21 | 410,000 | 404,261 | ||
Erste Abwicklungsanstalt | ||||
1.38%, 10/30/19 | 2,000,000 | 1,977,754 | ||
(Floating, ICE LIBOR USD 3M + 0.21%), 2.98%, 03/09/20† | 4,000,000 | 4,008,794 | ||
IHO Verwaltungs GmbH | ||||
Cash coupon 4.13% or PIK 4.88%, 09/15/21 144A | 400,000 | 382,000 | ||
8,131,235 | ||||
Hong Kong — 0.2% | ||||
CK Hutchison International 17 II, Ltd. | ||||
2.25%, 09/29/20 144A | 990,000 | 973,922 | ||
Goodman HK Finance | ||||
4.38%, 06/19/24 | 1,200,000 | 1,205,923 | ||
2,179,845 |
Par | Value | |||
India — 0.4% | ||||
Export-Import Bank of India | ||||
2.75%, 04/01/20 | $1,300,000 | $1,286,054 | ||
ICICI Bank, Ltd. | ||||
3.13%, 08/12/20 | 1,000,000 | 987,973 | ||
State Bank of India | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 3.74%, 04/06/20† | 1,000,000 | 1,001,260 | ||
3,275,287 | ||||
Indonesia — 0.1% | ||||
Pelabuhan Indonesia III Persero PT | ||||
4.50%, 05/02/23 144A Δ | 1,175,000 | 1,155,172 | ||
Ireland — 1.1% | ||||
AerCap Ireland Capital DAC | ||||
3.75%, 05/15/19 | 745,000 | 745,012 | ||
3.95%, 02/01/22 | 940,000 | 924,152 | ||
3.50%, 05/26/22 | 460,000 | 446,349 | ||
3.30%, 01/23/23 | 155,000 | 147,498 | ||
Shire Acquisitions Investments Ireland DAC | ||||
1.90%, 09/23/19 | 3,560,000 | 3,510,731 | ||
2.40%, 09/23/21 | 3,090,000 | 2,989,926 | ||
2.88%, 09/23/23 | 565,000 | 534,686 | ||
SMBC Aviation Capital Finance DAC | ||||
2.65%, 07/15/21 144A Δ | 390,000 | 379,727 | ||
3.00%, 07/15/22 144A Δ | 540,000 | 524,117 | ||
Willis Towers Watson PLC | ||||
5.75%, 03/15/21 | 131,000 | 137,071 | ||
10,339,269 | ||||
Italy — 0.9% | ||||
Intesa Sanpaolo SpA | ||||
3.38%, 01/12/23 144A Δ | 200,000 | 185,441 | ||
Italy Buoni Ordinari del Tesoro BOT | ||||
0.05%, 01/31/19(E) Ω | 1,320,000 | 1,512,652 | ||
Italy Buoni Poliennali Del Tesoro | ||||
4.25%, 02/01/19(E) 144A | 650,000 | 747,573 | ||
4.50%, 03/01/19(E) | 3,255,000 | 3,757,137 | ||
0.10%, 04/15/19(E) | 1,300,000 | 1,490,293 | ||
7,693,096 | ||||
Japan — 1.6% | ||||
Central Nippon Expressway Co., Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 3.63%, 09/14/21† | 1,000,000 | 1,003,029 | ||
2.85%, 03/03/22 | 2,000,000 | 1,969,260 | ||
Japan Finance Organization for Municipalities | ||||
2.00%, 09/08/20 144A | 200,000 | 196,823 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
2.95%, 03/01/21 | 250,000 | 247,565 | ||
3.54%, 07/26/21 | 65,000 | 65,268 | ||
(Floating, ICE LIBOR USD 3M + 0.79%), 3.28%, 07/25/22† | 1,500,000 | 1,483,517 | ||
(Floating, ICE LIBOR USD 3M + 0.74%), 3.48%, 03/02/23† | 900,000 | 885,597 |
Table of Contents
Par | Value | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | ||||
2.25%, 09/07/21 | $500,000 | $480,072 | ||
Mitsubishi UFJ Trust & Banking Corporation | ||||
2.45%, 10/16/19 144A | 480,000 | 477,319 | ||
2.65%, 10/19/20 144A | 700,000 | 692,510 | ||
Mizuho Bank, Ltd. | ||||
2.65%, 09/25/19 144A | 320,000 | 318,909 | ||
2.40%, 03/26/20 144A | 510,000 | 505,108 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.06%, 07/14/21 | 1,100,000 | 1,065,698 | ||
2.85%, 01/11/22 | 335,000 | 328,986 | ||
(Floating, ICE LIBOR USD 3M + 0.74%), 3.18%, 10/18/22† | 2,000,000 | 1,983,016 | ||
Sumitomo Mitsui Trust Bank, Ltd. | ||||
1.95%, 09/19/19 144A | 490,000 | 485,697 | ||
2.05%, 10/18/19 144A | 520,000 | 515,538 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
3.80%, 11/26/20 144A | 690,000 | 694,478 | ||
4.00%, 11/26/21 144A | 1,100,000 | 1,115,741 | ||
14,514,131 | ||||
Luxembourg — 0.1% | ||||
ArcelorMittal | ||||
5.25%, 08/05/20 | 500,000 | 507,632 | ||
Malaysia — 0.1% | ||||
Petronas Capital, Ltd. | ||||
5.25%, 08/12/19 | 900,000 | 911,717 | ||
Netherlands — 2.2% | ||||
BNG Bank NV | ||||
2.50%, 02/28/20 144A Δ | 2,000,000 | 1,995,810 | ||
1.75%, 10/05/20 144A | 1,450,000 | 1,426,580 | ||
Cooperatieve Rabobank UA | ||||
(Floating, ICE LIBOR USD 3M + 0.20%), 2.99%, 04/05/19† | 1,500,000 | 1,500,550 | ||
3.13%, 04/26/21 | 1,570,000 | 1,564,775 | ||
3.88%, 09/26/23 144A Δ | 505,000 | 507,073 | ||
Deutsche Telekom International Finance BV | ||||
6.00%, 07/08/19Δ | 390,000 | 395,367 | ||
Enel Finance International NV | ||||
4.25%, 09/14/23 144A | 1,250,000 | 1,223,519 | ||
ING Groep NV | ||||
(Floating, ICE LIBOR USD 3M + 1.15%), 3.95%, 03/29/22† | 365,000 | 365,038 | ||
4.10%, 10/02/23 | 565,000 | 565,261 | ||
LeasePlan Corporation NV | ||||
2.88%, 01/22/19 144A | 1,500,000 | 1,499,461 | ||
Mylan NV | ||||
2.50%, 06/07/19 | 336,000 | 334,455 | ||
Nederlandse Waterschapsbank NV | ||||
(Floating, ICE LIBOR USD 3M + 0.02%), 2.81%, 03/15/19 144A † | 6,000,000 | 6,000,861 | ||
NXP BV | ||||
4.13%, 06/15/20 144A | 275,000 | 274,409 | ||
4.13%, 06/01/21 144A | 1,600,000 | 1,584,000 |
Par | Value | |||
4.63%, 06/15/22 144A | $200,000 | $197,500 | ||
3.88%, 09/01/22 144A | 585,000 | 563,062 | ||
19,997,721 | ||||
New Zealand — 0.0% | ||||
ANZ New Zealand International, Ltd. | ||||
2.20%, 07/17/20 144A | 340,000 | 334,360 | ||
Norway — 0.1% | ||||
DNB Bank ASA | ||||
2.13%, 10/02/20 144A Δ | 950,000 | 931,521 | ||
Peru — 0.1% | ||||
Fondo MIVIVIENDA SA | ||||
3.50%, 01/31/23 144A | 690,000 | 665,167 | ||
Qatar — 0.0% | ||||
QNB Finance, Ltd. | ||||
2.13%, 09/07/21 | 200,000 | 190,764 | ||
Singapore — 0.1% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 05/23/22 | 700,000 | 681,752 | ||
South Korea — 0.1% | ||||
Hyundai Capital Services, Inc. | ||||
1.63%, 08/30/19 144A | 520,000 | 514,701 | ||
KT Corporation | ||||
2.63%, 04/22/19 | 800,000 | 799,218 | ||
1,313,919 | ||||
Spain — 0.1% | ||||
El Corte Ingles SA | ||||
3.00%, 03/15/24(E) 144A | 400,000 | 461,646 | ||
Sweden — 0.1% | ||||
Stadshypotek AB | ||||
2.50%, 04/05/22 144A | 1,000,000 | 985,504 | ||
Telefonaktiebolaget LM Ericsson | ||||
4.13%, 05/15/22 | 155,000 | 152,579 | ||
1,138,083 | ||||
Switzerland — 0.6% | ||||
Credit Suisse Group AG | ||||
3.57%, 01/09/23 144A | 750,000 | 732,325 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
2.75%, 03/26/20 | 900,000 | 890,557 | ||
3.80%, 09/15/22 | 450,000 | 447,099 | ||
UBS AG | ||||
2.38%, 08/14/19 | 250,000 | 249,009 | ||
2.20%, 06/08/20 144A | 1,490,000 | 1,466,970 | ||
2.45%, 12/01/20 144A | 755,000 | 741,376 | ||
UBS Group Funding Switzerland AG | ||||
(Floating, ICE LIBOR USD 3M + 1.78%), 4.22%, 04/14/21 144A † | 900,000 | 914,727 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 365,000 | 351,231 | ||
5,793,294 |
Table of Contents
Par | Value | |||
United Arab Emirates — 0.2% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | $655,000 | $637,033 | ||
ADCB Finance Cayman, Ltd. | ||||
3.00%, 03/04/19 | 1,000,000 | 999,565 | ||
1,636,598 | ||||
United Kingdom — 2.0% | ||||
Aon PLC | ||||
2.80%, 03/15/21 | 225,000 | 222,668 | ||
Barclays PLC | ||||
2.75%, 11/08/19 | 700,000 | 695,442 | ||
3.25%, 01/12/21 | 1,210,000 | 1,186,792 | ||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 1,650,000 | 1,637,252 | ||
HSBC Holdings PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.24%, 05/18/21† | 900,000 | 886,946 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.43%, 09/11/21† | 2,690,000 | 2,655,451 | ||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 555,000 | 543,400 | ||
Jaguar Land Rover Automotive PLC | ||||
3.50%, 03/15/20 144A Δ | 300,000 | 287,625 | ||
Lloyds Banking Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 3.59%, 06/21/21† | 2,000,000 | 1,981,005 | ||
4.50%, 11/04/24 | 370,000 | 357,733 | ||
Royal Bank of Scotland Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.47%), 4.09%, 05/15/23† | 1,810,000 | 1,756,839 | ||
Santander UK Group Holdings PLC | ||||
2.88%, 08/05/21 | 3,500,000 | 3,380,489 | ||
3.57%, 01/10/23 | 350,000 | 335,325 | ||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | 204,186 | ||
Santander UK PLC | ||||
3.75%, 11/15/21Δ | 525,000 | 523,979 | ||
Sky, Ltd. | ||||
2.63%, 09/16/19 144A | 221,000 | 219,369 | ||
Standard Chartered PLC | ||||
2.10%, 08/19/19 144A Δ | 580,000 | 574,996 | ||
Vodafone Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 3.43%, 01/16/24† | 500,000 | 488,079 | ||
17,937,576 | ||||
Total Foreign Bonds (Cost $130,369,404) | 128,906,144 | |||
MORTGAGE-BACKED SECURITIES — 19.8% | ||||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 3.08%, 11/25/46† | 686,807 | 346,522 | ||
American Home Mortgage Investment Trust, Series 2004-3, Class 5A | ||||
(Floating, ICE LIBOR USD 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 4.25%, 10/25/34† | 40,246 | 40,113 |
Par | Value | |||
Americold LLC, Series 2010-ARTA, Class A1 | ||||
3.85%, 01/14/29 144A | $422,860 | $425,953 | ||
AOA Mortgage Trust, Series 2015-1177, Class A | ||||
2.96%, 12/13/29 144A | 1,330,000 | 1,324,963 | ||
Apollo Trust, Series 2009-1, Class A3 | ||||
(Floating, Australian BBSW 1M + 1.30%), 3.33%, 10/03/40(A) † | 51,045 | 35,987 | ||
Aventura Mall Trust, Series 2013-AVM, Class A | ||||
3.74%, 12/05/32 144A † γ | 1,770,000 | 1,789,065 | ||
Aventura Mall Trust, Series 2013-AVM, Class B | ||||
3.74%, 12/05/32 144A † γ | 1,410,000 | 1,434,650 | ||
Banc of America Funding Trust, Series 2006-J, Class 4A1 | ||||
4.45%, 01/20/47† γ | 237,185 | 226,413 | ||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
4.63%, 01/25/34† γ | 83,870 | 83,064 | ||
Banc of America Mortgage Trust, Series 2004-2, Class 5A1 | ||||
6.50%, 10/25/31 | 28,097 | 28,918 | ||
Banc of America Mortgage Trust, Series 2004-I, Class 3A2 | ||||
4.84%, 10/25/34† γ | 141,503 | 143,891 | ||
Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.66%, 0.33% Floor, 11.50% Cap), 3.17%, 09/25/34† | 620,662 | 607,416 | ||
Bear Stearns ALT-A Trust, Series 2004-13, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.74%, 0.37% Floor, 11.50% Cap), 3.25%, 11/25/34† | 22,623 | 22,549 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
4.69%, 01/25/34† γ | 135,311 | 136,592 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
4.38%, 07/25/34† γ | 127,563 | 126,834 | ||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM | ||||
5.46%, 01/12/45† γ | 154,270 | 155,305 | ||
BX Trust, Series 2017-APPL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 3.34%, 07/15/34 144A † | 2,147,368 | 2,136,641 | ||
Caesars Palace Las Vegas Trust, Series 2017-VICI, Class A | ||||
3.53%, 10/15/34 144A | 585,000 | 589,235 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,500,000 | 1,506,941 | ||
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class B | ||||
3.21%, 04/10/28 144A | 850,000 | 848,769 |
Table of Contents
Par | Value | |||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 11.50% Cap), 3.05%, 02/25/35† | $72,002 | $68,613 | ||
Citigroup Commercial Mortgage Trust, Series 2015-SHP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.28%, 1.28% Floor), 3.74%, 07/15/27 144A † | 1,035,000 | 1,030,367 | ||
CLNS Trust, Series 2017-IKPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 3.20%, 06/11/32 144A † | 420,000 | 417,716 | ||
COMM Mortgage Trust, Series 2012-CR4, Class ASB | ||||
2.44%, 10/15/45 | 558,746 | 552,875 | ||
COMM Mortgage Trust, Series 2013-CR12, Class A2 | ||||
2.90%, 10/10/46 | 382,629 | 382,197 | ||
COMM Mortgage Trust, Series 2013-CR8, Class A5 | ||||
3.61%, 06/10/46 | 750,000 | 760,401 | ||
COMM Mortgage Trust, Series 2013-SFS, Class A1 | ||||
1.87%, 04/12/35 144A | 366,425 | 356,740 | ||
COMM Mortgage Trust, Series 2014-CR17, Class ASB | ||||
3.60%, 05/10/47 | 1,525,000 | 1,548,783 | ||
COMM Mortgage Trust, Series 2014-PAT, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 3.19%, 08/13/27 144A † | 100,000 | 99,929 | ||
COMM Mortgage Trust, Series 2014-TWC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 0.85% Floor), 3.24%, 02/13/32 144A † | 1,728,000 | 1,724,098 | ||
COMM Mortgage Trust, Series 2014-UBS3, Class ASB | ||||
3.37%, 06/10/47 | 1,055,000 | 1,063,890 | ||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | 390,000 | 395,096 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 480,000 | 485,218 | ||
COMM Mortgage Trust, Series 2015-CR25, Class ASB | ||||
3.54%, 08/10/48 | 1,160,000 | 1,175,748 | ||
COMM Trust, Series 2013-GAM, Class A1 | ||||
1.71%, 02/10/28 144A | 420,113 | 412,410 | ||
Core Industrial Trust, Series 2015-TEXW, Class A | ||||
3.08%, 02/10/34 144A | 1,439,120 | 1,434,114 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
1.80%, 01/15/49† IO γ | 984,311 | 87,560 |
Par | Value | |||
CSMC Trust Series 2017-1 | ||||
4.50%, 03/25/21 | $362,919 | $364,257 | ||
CSMC Trust, Series 2013-IVR2, Class AD | ||||
1.55%, 04/25/43 144A | 611,122 | 587,306 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.62% on 02/25/19), 5.87%, 10/25/36 STEP | 206,917 | 192,045 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.62% on 02/25/19), 5.89%, 10/25/36 STEP | 206,917 | 192,042 | ||
Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 3.29%, 06/15/35 144A † | 430,000 | 429,482 | ||
Fannie Mae Connecticut Avenue Securities, Series 2016-C02 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%), 4.66%, 09/25/28† | 37,762 | 37,818 | ||
Fannie Mae Connecticut Avenue Securities, Series 2016-C05 | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 3.86%, 01/25/29† | 118,888 | 119,069 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C02 | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 3.66%, 09/25/29† | 482,271 | 483,490 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04 | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 3.36%, 11/25/29† | 653,097 | 653,287 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C05, Class 1M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor), 3.23%, 01/25/31† | 970,323 | 968,388 | ||
Federal Home Loan Mortgage Corporation | ||||
5.00%, 01/01/19 | 381 | 387 | ||
5.00%, 02/01/19 | 1,260 | 1,270 | ||
5.00%, 12/01/19 | 16,961 | 17,198 | ||
5.50%, 05/01/22 | 72,811 | 73,769 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 13.12% Cap), 4.43%, 07/01/27† | 4,148 | 4,352 | ||
2.50%, 11/01/27 | 1,413,414 | 1,398,129 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 11.05% Cap), 4.73%, 11/01/31† | 29,452 | 31,649 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 10.94% Cap), 4.12%, 04/01/32† | 5,451 | 5,699 |
Table of Contents
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 9.71% Cap), 3.93%, 06/01/33† | $417,176 | $437,405 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 9.49% Cap), 4.74%, 10/01/34† | 79,912 | 84,219 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 10.76% Cap), 4.41%, 08/01/35† | 239,471 | 249,961 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 10.35% Cap), 4.09%, 09/01/35† | 135,173 | 139,826 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 10.86% Cap), 4.40%, 10/01/35† | 163,542 | 170,754 | ||
(Floating, ICE LIBOR USD 1Y + 1.52%, 11.83% Cap), 3.43%, 04/01/36† | 197,482 | 205,141 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 2.96%, 10/15/36† | 1,646,815 | 1,664,618 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 134,477 | 140,108 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 340,259 | 358,175 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 394,181 | 412,518 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | 626,685 | 623,388 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4493 | ||||
3.00%, 02/15/44 | 483,967 | 483,585 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 572,757 | 585,086 | ||
Federal National Mortgage Association | ||||
5.00%, 07/01/19 | 2,724 | 2,773 | ||
5.00%, 05/01/21 | 12,421 | 12,643 | ||
5.00%, 11/01/21 | 9,262 | 9,428 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.99%, 10.58% Cap), 3.86%, 12/01/24 CONV † | 9,510 | 9,658 | ||
2.50%, 12/01/27 | 848,290 | 837,190 | ||
3.00%, 09/01/30 | 389,659 | 390,041 | ||
3.00%, 02/01/31 | 2,009,842 | 2,006,860 | ||
3.00%, 04/01/31 | 34,834 | 34,783 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 11.69% Cap), 4.52%, 09/01/31† | 40,367 | 41,863 | ||
2.50%, 10/01/31 | 832,606 | 813,701 | ||
2.50%, 11/01/31 | 1,647,237 | 1,609,836 | ||
2.50%, 01/01/32 | 15,490 | 15,146 | ||
3.00%, 03/01/32 | 1,246,960 | 1,245,110 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 11.27% Cap), 3.56%, 08/01/32† | 334,034 | 340,551 |
Par | Value | |||
3.00%, 11/01/32 | $119,906 | $119,706 | ||
3.00%, 12/01/32 | 1,760,722 | 1,757,772 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 9.73% Cap), 3.83%, 12/01/32† | 287,457 | 303,378 | ||
2.50%, 01/19/33 TBA | 1,960,000 | 1,914,254 | ||
4.00%, 01/19/33 TBA | 545,000 | 557,901 | ||
4.50%, 01/19/33 TBA | 510,000 | 519,324 | ||
3.00%, 03/01/33 | 494,471 | 493,643 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 9.42% Cap), 4.45%, 06/01/33† | 14,345 | 14,988 | ||
3.00%, 11/01/33 | 980,317 | 978,674 | ||
3.00%, 12/01/33 | 1,199,996 | 1,197,985 | ||
(Floating, ICE LIBOR USD 1Y + 1.66%, 10.09% Cap), 3.60%, 02/01/35† | 149,968 | 156,798 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 10.74% Cap), 4.48%, 09/01/35† | 133,921 | 139,577 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 11.11% Cap), 3.49%, 12/01/35† | 4,993 | 5,054 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 9.50% Cap), 4.29%, 05/01/38† | 1,350,601 | 1,415,910 | ||
(Floating, ICE LIBOR USD 1Y + 1.62%, 0.01% Floor, 9.38% Cap), 4.07%, 08/01/38† | 126,912 | 132,621 | ||
(Floating, ICE LIBOR USD 1Y + 1.49%, 10.08% Cap), 4.12%, 10/01/38† | 278,889 | 290,261 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 10.71% Cap), 3.25%, 08/01/42† | 129,967 | 129,276 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 9.25% Cap), 3.25%, 08/01/42† | 148,522 | 147,710 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 8.38% Cap), 3.29%, 09/01/42† | 636,517 | 647,379 | ||
(Floating, ICE LIBOR USD 1Y + 1.70%, 7.71% Cap), 2.72%, 07/01/43† | 1,070,550 | 1,075,417 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 8.49% Cap), 3.25%, 07/01/44† | 141,526 | 140,741 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 9.61% Cap), 3.25%, 10/01/44† | 117,334 | 116,696 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 7.66% Cap), 2.66%, 06/01/45† | 1,275,080 | 1,276,871 | ||
3.50%, 01/19/48 TBA | 7,399,000 | 7,387,968 | ||
4.00%, 01/19/48 TBA | 13,200,000 | 13,456,780 | ||
3.50%, 02/19/48 TBA | 9,201,000 | 9,193,152 | ||
4.00%, 02/19/48 TBA | 5,000,000 | 5,092,580 | ||
Federal National Mortgage Association ACES, Series 2015-M4 | ||||
0.37%, 07/25/22† IO γ | 19,797,735 | 210,113 | ||
Federal National Mortgage Association ACES, Series 2016-M6 | ||||
1.79%, 06/25/19 | 8,266 | 8,226 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2004-80 | ||||
4.00%, 11/25/19 | $1,265 | $1,262 | ||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 2.94%, 10/25/36† | 222,652 | 223,792 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 3.06%, 10/25/37† | 383,991 | 387,158 | ||
Federal National Mortgage Association REMIC, Series 2010-72 | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor, 6.50% Cap), 3.23%, 07/25/40† | 994,216 | 1,011,310 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 215,089 | 224,408 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 2.96%, 07/25/42† | 299,685 | 301,890 | ||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 2.61%, 06/25/55† | 388,661 | 388,215 | ||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 2.80%, 03/25/46† | 1,980,316 | 1,979,366 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 2.75%, 07/25/46† | 2,388,003 | 2,384,835 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | 441,039 | 436,980 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series KJ18 | ||||
3.07%, 08/25/22 | 390,000 | 392,157 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series KW01 | ||||
0.97%, 01/25/26† IO γ | 2,623,412 | 144,477 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA3 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 3.06%, 04/25/30† | 678,956 | 677,786 |
Par | Value | |||
FHLMC Structured Pass-Through Certificates, Series T-56 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 3.51%, 05/25/43† | $495,995 | $507,305 | ||
FHLMC Structured Pass-Through Certificates, Series T-61 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.56%, 07/25/44† | 589,025 | 611,397 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
4.29%, 06/25/34† γ | 171,717 | 170,075 | ||
Flagstar Mortgage Trust, Series 2018-4, Class A4 | ||||
4.00%, 07/25/48 144A | 1,963,952 | 1,980,272 | ||
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 2.87%, 08/19/34† | 408,824 | 405,439 | ||
Gosforth Funding, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 3.14%, 08/25/60 144A † | 777,645 | 783,631 | ||
Government National Mortgage Association | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 2.00% Floor, 12.00% Cap), 3.63%, 06/20/21† | 688 | 692 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 0.50% Floor, 10.50% Cap), 3.38%, 03/20/22† | 42,606 | 42,969 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.38%, 03/20/22† | 5,944 | 5,996 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.38%, 01/20/23† | 8,833 | 8,938 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 10.00% Cap), 3.63%, 05/20/24† | 21,257 | 21,686 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.75%, 07/20/25† | 29,048 | 29,856 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.00% Floor, 11.00% Cap), 3.75%, 08/20/25† | 8,457 | 8,695 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.00% Floor, 11.00% Cap), 3.13%, 11/20/25† | 29,778 | 30,601 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.13%, 12/20/26† | 42,953 | 44,263 |
Table of Contents
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.00% Floor, 11.00% Cap), 3.75%, 07/20/27† | $997 | $1,030 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 10.00% Cap), 3.13%, 10/20/27† | 15,166 | 15,655 | ||
8.50%, 10/15/29 | 20,438 | 20,763 | ||
8.50%, 04/15/30 | 3,977 | 4,015 | ||
8.50%, 05/15/30 | 55,558 | 57,125 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.63%, 05/20/30† | 23,436 | 24,206 | ||
8.50%, 07/15/30 | 40,968 | 42,624 | ||
8.50%, 08/15/30 | 4,769 | 4,824 | ||
8.50%, 11/15/30 | 6,601 | 6,813 | ||
8.50%, 12/15/30 | 23,388 | 25,869 | ||
8.50%, 02/15/31 | 14,855 | 15,284 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 2.77%, 05/20/37† | 117,074 | 116,994 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 2.91%, 02/20/61† | 1,038,440 | 1,042,865 | ||
Government National Mortgage Association, Series 2012-102 | ||||
3.50%, 08/20/39 | 1,500,000 | 1,525,784 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 3.11%, 05/20/63† | 1,677,740 | 1,681,268 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 3.08%, 02/20/66† | 669,357 | 671,515 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 3.08%, 10/20/66† | 2,250,740 | 2,288,726 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 3.25%, 04/20/67† | 2,908,927 | 2,985,743 | ||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 3.25%, 04/20/67† | 3,321,390 | 3,407,715 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 3.38%, 11/21/35 144A † | 1,200,000 | 1,196,190 | ||
GRACE Mortgage Trust, Series 2014-GRCE, Class A | ||||
3.37%, 06/10/28 144A | 1,850,000 | 1,856,097 |
Par | Value | |||
Great Wolf Trust, Series 2017-WOLF, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 1.00% Floor), 3.46%, 09/15/34 144A † | $390,000 | $383,564 | ||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 3.05%, 11/25/45† | 134,076 | 117,597 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 2.69%, 01/25/37† | 398,157 | 372,047 | ||
GS Mortgage Securities Corporation Trust, Series 2017-500K, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 3.16%, 07/15/32 144A † | 1,500,000 | 1,486,093 | ||
GS Mortgage Securities Trust, Series 2013-GC13, Class AAB | ||||
3.72%, 07/10/46 | 2,460,254 | 2,492,035 | ||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
4.72%, 09/25/34† γ | 185,719 | 190,226 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.30%, 09/25/35† γ | 108,665 | 110,800 | ||
Holmes Master Issuer PLC, Series 2018-2A, Class A2 | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 2.86%, 10/15/54 144A † | 3,200,000 | 3,225,277 | ||
Impac CMB Trust, Series 2003-1, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.40% Floor, 11.95% Cap), 3.31%, 03/25/33† | 66,270 | 65,723 | ||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 2.70%, 09/25/46† | 490,334 | 438,545 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 2.78%, 06/25/37† | 237,447 | 223,625 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4 | ||||
3.48%, 06/15/45 | 1,310,000 | 1,313,789 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FX | ||||
3.48%, 06/15/45 144A | 800,000 | 802,314 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | ||||
2.55%, 04/15/46 | 1,131,424 | 1,113,570 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class XA | ||||
0.80%, 12/15/49† IO γ | 1,928,982 | 73,326 |
Table of Contents
Par | Value | |||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | $190,000 | $197,694 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
4.34%, 02/25/35† γ | 36,196 | 36,023 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
2.75%, 06/25/46 144A † γ | 898,360 | 892,707 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 1,009,436 | 1,001,664 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A5 | ||||
3.50%, 01/25/47 144A | 873,887 | 867,159 | ||
JP Morgan Mortgage Trust, Series 2017-3, Class 1A6 | ||||
3.00%, 08/25/47 144A | 2,437,348 | 2,360,484 | ||
JP Morgan Mortgage Trust, Series 2017-5, Class A1A | ||||
3.00%, 10/26/48 144A | 2,200,867 | 2,193,463 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 365,000 | 368,778 | ||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | 1,500,000 | 1,490,641 | ||
Lanark Master Issuer PLC, Series 2018-2A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 3.07%, 12/22/69 144A † | 1,287,800 | 1,284,392 | ||
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM | ||||
6.11%, 07/15/40 | 38,878 | 38,927 | ||
LSTAR Commercial Mortgage Trust, Series 2017-5, Class A1 | ||||
2.42%, 03/10/50 144A | 993,186 | 981,790 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor, 10.50% Cap), 2.68%, 12/25/36† | 483,896 | 456,998 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
4.57%, 12/25/33† γ | 179,421 | 179,329 | ||
Merrill Lynch Mortgage Investors Trust Series MLCC, Series 2006-1, Class 2A1 | ||||
4.18%, 02/25/36† γ | 247,703 | 248,250 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | ||||
3.82%, 10/15/46 | 1,358,532 | 1,382,371 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | 545,000 | 555,278 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | ||||
2.66%, 05/15/46 | 260,278 | 256,840 |
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | $520,000 | $529,119 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 2,000,000 | 1,995,917 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.75%, 12/15/49† IO γ | 1,966,542 | 89,450 | ||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | ||||
3.35%, 07/13/29 144A | 815,000 | 817,739 | ||
National Rmbs Trust, Series 2012-2, Class A1 | ||||
(Floating, Australian BBSW 1M + 1.10%), 3.10%, 06/20/44(A) † | 131,121 | 92,464 | ||
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.53%, 0.53% Floor, 8.00% Cap), 2.81%, 03/09/21† | 655,233 | 658,562 | ||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | 1,872,584 | 1,888,561 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A | 1,879,115 | 1,900,557 | ||
Permanent Master Issuer PLC, Series 2018-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.82%, 07/15/58 144A † | 830,000 | 827,360 | ||
RAIT Trust, Series 2017-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 3.41%, 06/15/37 144A † | 148,266 | 148,247 | ||
Resource Capital Corporation, Ltd., Series 2017-CRE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 3.26%, 07/15/34 144A † | 169,106 | 169,183 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 7,201 | 7,320 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 621,950 | 623,881 | ||
Sequoia Mortgage Trust 2017-CH1 A2 | ||||
3.50%, 08/25/47 144A | 697,098 | 694,259 | ||
Sequoia Mortgage Trust, Series 2012-1, Class 1A1 | ||||
2.87%, 01/25/42 | 72,519 | 72,793 | ||
Sequoia Mortgage Trust, Series 2013-1, Class 1A1 | ||||
1.45%, 02/25/43 | 206,403 | 196,423 | ||
Sequoia Mortgage Trust, Series 2013-4, Class A3 | ||||
1.55%, 04/25/43 | 365,927 | 349,134 | ||
Sequoia Mortgage Trust, Series 2017-CH1, Class A11 | ||||
3.50%, 08/25/47 144A | 1,155,840 | 1,153,922 |
Table of Contents
Par | Value | |||
Sequoia Mortgage Trust, Series 2017-CH2, Class A10 | ||||
4.00%, 12/25/47 144A | $975,477 | $981,244 | ||
STACR Trust, Series 2018-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 3.31%, 12/25/30 144A † | 1,620,000 | 1,618,833 | ||
STACR Trust, Series 2018-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%), 4.16%, 04/25/43 144A † | 1,085,522 | 1,087,349 | ||
STACR Trust, Series 2018-HRP2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 3.76%, 02/25/47 144A † | 2,200,000 | 2,201,770 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Class 3A1 | ||||
4.41%, 08/25/34† γ | 247,948 | 244,293 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
0.49%, 09/25/34 | 67,779 | 63,111 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 2.72%, 07/19/35† | 57,488 | 56,065 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 10.50% Cap), 2.79%, 02/25/36† | 383,590 | 363,221 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.80% on 02/25/19), 6.01%, 07/25/37 STEP | 263,240 | 181,362 | ||
TORRENS Trust, Series 2013-1, Class A | ||||
(Floating, Australian BBSW 1M + 0.95%), 2.86%, 04/12/44(A) † | 658,053 | 461,588 | ||
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 3.81%, 06/15/29 144A † | 210,000 | 209,777 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.56%, 06/25/42† | 8,001 | 7,751 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2003-AR8, Class A | ||||
4.24%, 08/25/33† γ | 186,866 | 190,041 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor, 10.50% Cap), 2.82%, 01/25/45† | 360,549 | 360,236 |
Par | Value | |||
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR19, Class 1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.74%, 0.74% Floor), 2.90%, 01/25/47† | $334,669 | $317,589 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR5, Class A12A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.98%, 0.98% Floor), 3.14%, 06/25/46† | 686,913 | 667,275 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY1, Class 1A1 | ||||
3.36%, 02/25/37† γ | 264,534 | 242,778 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY5, Class 2A1 | ||||
3.39%, 05/25/37† γ | 284,797 | 250,568 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY7, Class 2A1 | ||||
3.55%, 07/25/37† γ | 804,732 | 718,842 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA5, Class A1B | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.84%, 0.84% Floor), 3.00%, 05/25/47† | 82,535 | 21,182 | ||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 | ||||
3.35%, 11/15/43 144A | 292,895 | 293,214 | ||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class ASB | ||||
3.48%, 08/15/50 | 940,000 | 946,218 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 4.01%, 01/15/59 144A † | 2,000,000 | 2,063,209 | ||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-EE, Class 2A1 | ||||
4.48%, 12/25/34† γ | 128,565 | 131,311 | ||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 1A1 | ||||
4.51%, 08/25/33† γ | 21,138 | 21,498 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C4, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 3.91%, 06/15/44 144A † | 3,000,000 | 3,041,265 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C8, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 3.46%, 08/15/45 144A † | 628,979 | 636,638 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 775,000 | 782,728 |
Table of Contents
Par | Value | |||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | $702,000 | $709,795 | ||
Total Mortgage-Backed Securities (Cost $181,062,633) | 179,853,852 | |||
MUNICIPAL BONDS — 1.4% | ||||
California Earthquake Authority, Revenue Bond | ||||
2.81%, 07/01/19 | 546,000 | 545,407 | ||
New York City Transitional Finance Authority Future Tax Secured, Revenue Bond | ||||
1.90%, 02/01/20 | 4,560,000 | 4,511,938 | ||
North Texas Higher Education Authority, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor, 15.00% Cap), 3.90%, 04/01/40† | 1,708,911 | 1,723,907 | ||
South Carolina Public Service Authority | ||||
2.39%, 12/01/23 | 715,000 | 679,107 | ||
3.72%, 12/01/23 | 400,000 | 395,614 | ||
State of California, General Obligation, Series B | ||||
(Floating, ICE LIBOR USD 1M + 0.76%), 2.51%, 12/01/31† | 3,000,000 | 3,024,135 | ||
State of California, General Obligation, Series C | ||||
(Floating, ICE LIBOR USD 1M + 0.78%), 3.28%, 04/01/47† | 1,500,000 | 1,508,482 | ||
State of Texas, General Obligation, Series C-2 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%), 2.92%, 06/01/19† | 780,000 | 780,168 | ||
Total Municipal Bonds (Cost $13,147,373) | 13,168,758 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.1% | ||||
Call Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $131.00, Expires 02/22/19 (Citi) | 120 | $14,641,872 | 1,876 | |
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $132.00, Expires 02/22/19 (Citi) | 30 | 3,660,468 | 469 | |
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $133.50, Expires 02/22/19 (Citi) | 193 | 23,549,011 | 193 | |
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $135.00, Expires 02/22/19 (Citi) | 1 | 122,016 | 1 |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $135.50, Expires 02/22/19 (Citi) | 19 | $2,318,296 | $19 | ||
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $137.50, Expires 02/22/19 (Citi) | 12 | 1,464,187 | 12 | ||
5-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $119.50, Expires 02/22/19 (Citi) | 205 | 23,510,937 | 3,203 | ||
5-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $119.70, Expires 02/22/19 (Citi) | 67 | 7,684,063 | 1,047 | ||
5-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $120.00, Expires 02/22/19 (Citi) | 748 | 85,786,250 | 11,687 | ||
5-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $120.20, Expires 02/22/19 (Citi) | 68 | 7,798,750 | 531 | ||
19,038 | |||||
Call Swaptions — 0.1% | |||||
Pay 3-Month LIBOR (Quarterly); Receive 2.85% (Semiannually): Interest Rate Swap Maturing 2/26/2021 USD, Strike Price $2.85, Expires 02/24/20 (MSCS) | 1 | 76,360,000 | 349,127 | ||
Pay 3-Month LIBOR (Quarterly); Receive 3.00% (Semiannually): Interest Rate Swap Maturing 2/13/2021 USD, Strike Price $3.00, Expires 02/11/19 (GSC) | 1 | 48,800,000 | 347,683 | ||
696,810 | |||||
Put Options — 0.0% | |||||
2-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $103.30, Expires 02/22/19 (Citi) | 404 | 85,774,291 | 404 |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
2-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $103.50, Expires 02/22/19 (Citi) | 264 | $56,050,526 | $264 | ||
2-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $103.70, Expires 02/22/19 (Citi) | 220 | 46,708,772 | 220 | ||
888 | |||||
Total Purchased Options (Premiums paid $248,247) | 716,736 |
Par | |||
U.S. TREASURY OBLIGATIONS — 32.8% | |||
U.S. Treasury Inflationary Index Bonds | |||
0.13%, 04/15/22 | $8,734,656 | 8,451,819 | |
0.63%, 04/15/23 | 8,197,425 | 8,081,817 | |
0.75%, 07/15/28 | 10,678,864 | 10,458,583 | |
26,992,219 | |||
U.S. Treasury Notes | |||
1.25%, 10/31/19‡‡ | 29,000,000 | 28,674,881 | |
1.50%, 10/31/19‡‡ | 114,600,000 | 113,554,734 | |
1.00%, 11/30/19 | 3,000,000 | 2,956,113 | |
1.38%, 01/15/20‡‡ | 13,000,000 | 12,837,246 | |
2.63%, 07/31/20‡‡ | 19,500,000 | 19,526,276 | |
2.63%, 08/31/20 | 10,720,000 | 10,735,914 | |
2.75%, 11/30/20‡‡ Δ | 22,000,000 | 22,103,554 | |
2.63%, 07/15/21‡‡ | 20,000,000 | 20,074,220 | |
2.88%, 11/15/21 | 11,300,000 | 11,427,345 | |
2.63%, 12/15/21 | 29,500,000 | 29,635,980 | |
271,526,263 | |||
Total U.S. Treasury Obligations (Cost $297,847,693) | 298,518,482 |
Shares | |||
MONEY MARKET FUNDS — 1.6% | |||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø ∞ | 8,110,271 | 8,110,270 | |
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%Ø § | 5,294,384 | 5,294,384 | |
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 785,004 | 785,004 | |
Total Money Market Funds (Cost $14,189,658) | 14,189,658 | ||
TOTAL INVESTMENTS — 108.0% (Cost $985,434,362) | 980,853,734 |
Number of Contracts | Notional Amount | Value | |||
WRITTEN OPTIONS — (0.1)% | |||||
Call Swaptions — (0.1)% | |||||
Pay 2.35% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 2/25/2022 USD, Strike Price $2.35, Expires 02/21/20 (MSCS) | 1 | $(40,520,000) | $(205,771) | ||
Pay 2.35% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 2/26/2021 USD, Strike Price $2.35, Expires 02/24/20 (MSCS) | 1 | (76,360,000) | (168,534) | ||
Pay 2.60% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 2/26/2021 USD, Strike Price $2.60, Expires 02/24/20 (MSCS) | 1 | (76,360,000) | (245,494) | ||
Pay 3-Month LIBOR (Quarterly); Receive 2.95% (Semiannually): Interest Rate Swap Maturing 2/13/2024 USD, Strike Price $2.95, Expires 02/11/19 (GSC) | 1 | (10,500,000) | (186,796) | ||
Pay 3-Month LIBOR (Quarterly); Receive 3.03% (Semiannually): Interest Rate Swap Maturing 2/13/2029 USD, Strike Price $3.03, Expires 02/11/19 (GSC) | 1 | (5,700,000) | (160,592) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $0.95, Expires 02/20/19 (JPM) | 1 | (2,000,000) | (5,451) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $1.05, Expires 02/20/19 (BAR) | 1 | $(2,500,000) | $(4,225) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $1.20, Expires 03/20/19 (JPM) | 1 | (11,500,000) | (19,317) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $2.40, Expires 09/18/19 (GSC) | 1 | (2,000,000) | (3,826) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.05% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $1.10, Expires 03/20/19 (BAR) | 1 | (2,000,000) | (4,612) | ||
(1,004,618) | |||||
Put Swaptions — (0.0)% | |||||
Pay 3-Month LIBOR (Quarterly); Receive 1.85% (Semiannually): Interest Rate Swap Maturing 2/25/2022 USD, Strike Price $3.35, Expires 02/21/20 (MSCS) | 1 | (40,520,000) | (39,492) | ||
Pay 3-Month LIBOR (Quarterly); Receive 3.10% (Semiannually): Interest Rate Swap Maturing 3/4/2021 USD, Strike Price $3.10, Expires 02/28/19 (MSCS) | 1 | (44,495,000) | (2,082) |
Number of Contracts | Notional Amount | Value | |||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $0.90, Expires 01/16/19 (GSC) | 1 | $(2,000,000) | $(3,246) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $0.90, Expires 01/16/19 (MSCS) | 1 | (6,100,000) | (9,900) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $0.90, Expires 01/16/19 (GSC) | 1 | (2,400,000) | (3,895) | ||
(58,615) | |||||
Total Written Options (Premiums received $ (707,145)) | (1,063,233) |
Par | |||
SECURITY SOLD SHORT — (0.7)% | |||
U.S. Treasury Notes 2.88%, 08/15/28 (Proceeds $(5,955,155)) | $(5,900,000) | (5,992,418) | |
Liabilities in Excess of Other Assets — (7.2)% | (65,355,169) | ||
NET ASSETS — 100.0% | $908,442,914 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 03/2019 | (22) | $(4,122,271) | $ (30,708) | ||||
90-Day Eurodollar | 03/2019 | 597 | 145,205,325 | 185,529 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2019 | (21) | (2,731,641) | (84,978) | ||||
10-Year U.S. Treasury Note | 03/2019 | (35) | (4,270,547) | (101,230) | ||||
10-Year U.S. Treasury Note | 03/2019 | (317) | (38,678,953) | (918,805) | ||||
U.S. Treasury Long Bond | 03/2019 | 3 | 438,000 | 20,385 | ||||
Long GILT | 03/2019 | (97) | (15,228,272) | (126,508) | ||||
2-Year U.S. Treasury Note | 03/2019 | 1,838 | 390,230,375 | 2,671,531 | ||||
2-Year U.S. Treasury Note | 03/2019 | 496 | 105,307,000 | 675,993 | ||||
2-Year U.S. Treasury Note | 03/2019 | 203 | 43,099,438 | 263,269 | ||||
5-Year U.S. Treasury Note | 03/2019 | (304) | (34,865,000) | (537,783) | ||||
5-Year U.S. Treasury Note | 03/2019 | (1,059) | (121,454,063) | (1,787,495) | ||||
90-Day Sterling | 03/2019 | 500 | 78,913,679 | (25,287) | ||||
Ultra Long U.S. Treasury Bond | 03/2019 | (3) | (481,969) | (25,629) | ||||
Ultra Long U.S. Treasury Bond | 03/2019 | (30) | (4,819,687) | (253,359) | ||||
90-Day Bank Acceptance | 12/2019 | 108 | 19,333,321 | 95,858 | ||||
Eurodollar 2-Year Midcurve | 12/2019 | 84 | 20,443,500 | 11,452 | ||||
90-Day Bank Acceptance | 03/2020 | 36 | 6,445,429 | 38,961 | ||||
90-Day Eurodollar | 03/2020 | (176) | (42,875,800) | (257,400) | ||||
90-Day Sterling | 03/2020 | (500) | (78,758,337) | 2,447 | ||||
90-Day Bank Acceptance | 06/2020 | 111 | 19,875,440 | 147,617 | ||||
90-Day Eurodollar | 12/2020 | (84) | (20,481,300) | (16,962) | ||||
Total Futures Contracts outstanding at December 31, 2018 | $460,523,667 | $(53,102) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/11/19 | Japanese Yen | 723,100,000 | U.S. Dollars | 6,496,151 | JPM | $107,140 | ||||||
01/11/19 | Japanese Yen | 210,200,000 | U.S. Dollars | 1,861,526 | BNP | 58,004 | ||||||
04/15/19 | U.S. Dollars | 1,534,862 | Euro | 1,300,000 | RBS | 31,923 | ||||||
03/01/19 | U.S. Dollars | 1,523,847 | Euro | 1,300,000 | HSBC | 26,897 | ||||||
03/20/19 | Japanese Yen | 83,984,100 | U.S. Dollars | 750,000 | CITI | 21,210 | ||||||
03/01/19 | U.S. Dollars | 2,267,826 | Euro | 1,955,000 | BNP | 16,644 | ||||||
01/31/19 | U.S. Dollars | 760,439 | Euro | 649,617 | RBS | 14,095 | ||||||
02/05/19 | U.S. Dollars | 263,058 | Australian Dollars | 360,000 | HSBC | 9,305 | ||||||
01/31/19 | U.S. Dollars | 755,317 | Euro | 650,000 | NAB | 8,533 | ||||||
02/01/19 | U.S. Dollars | 769,886 | Euro | 663,000 | HSBC | 8,106 | ||||||
03/20/19 | Swiss Francs | 370,000 | Norwegian Kroner | 3,233,618 | RBS | 3,983 | ||||||
03/20/19 | Swedish Kronor | 3,284,823 | Euro | 320,000 | RBS | 3,897 | ||||||
03/20/19 | Euro | 320,000 | Norwegian Kroner | 3,149,193 | RBS | 3,608 | ||||||
01/11/19 | U.S. Dollars | 151,977 | Canadian Dollars | 203,000 | JPM | 3,235 | ||||||
03/20/19 | New Zealand Dollars | 1,158,970 | Australian Dollars | 1,100,000 | TD | 3,155 | ||||||
03/20/19 | New Zealand Dollars | 1,062,728 | Australian Dollars | 1,010,000 | CITI | 1,944 | ||||||
03/20/19 | New Zealand Dollars | 580,000 | Canadian Dollars | 528,763 | BOA | 1,812 | ||||||
03/20/19 | Australian Dollars | 510,000 | Canadian Dollars | 489,379 | RBS | 577 | ||||||
01/25/19 | U.S. Dollars | 1,567 | Mexican Pesos | 30,189 | HSBC | 37 | ||||||
01/31/19 | U.S. Dollars | 449 | Euro | 383 | CIBC | 8 | ||||||
Subtotal Appreciation | $324,113 | |||||||||||
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/11/19 | U.S. Dollars | 559,484 | British Pounds | 439,000 | JPM | $(391) | ||||||
03/20/19 | Canadian Dollars | 487,994 | Australian Dollars | 510,000 | ANZ | (1,594) | ||||||
01/11/19 | U.S. Dollars | 204,761 | British Pounds | 162,000 | BAR | (1,844) | ||||||
01/09/19 | U.S. Dollars | 463,339 | Euro | 407,000 | CITI | (3,355) | ||||||
03/20/19 | Euro | 320,000 | Swedish Kronor | 3,289,552 | RBS | (4,434) | ||||||
03/20/19 | Canadian Dollars | 520,617 | New Zealand Dollars | 580,000 | ANZ | (7,789) | ||||||
03/20/19 | Norwegian Kroner | 3,092,111 | Euro | 320,000 | HSBC | (10,233) | ||||||
03/20/19 | U.S. Dollars | 750,000 | Japanese Yen | 82,801,350 | RBS | (10,349) | ||||||
03/20/19 | Norwegian Kroner | 3,141,342 | Swiss Francs | 370,000 | MSCS | (14,693) | ||||||
03/20/19 | Australian Dollars | 2,110,000 | New Zealand Dollars | 2,249,133 | BNP | (23,540) | ||||||
01/11/19 | U.S. Dollars | 5,244,224 | Euro | 4,599,000 | GSC | (30,241) | ||||||
01/11/19 | U.S. Dollars | 9,628,776 | Euro | 8,442,000 | UBS | (53,118) | ||||||
01/11/19 | U.S. Dollars | 8,229,515 | Japanese Yen | 932,228,815 | UBS | (283,523) | ||||||
Subtotal Depreciation | $(445,104) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2018 | $(120,991) |
Reference Obligation | Fixed Deal (Pay)/Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swap on Credit Indexes — Buy Protection | ||||||||||||||
Markit CDX.NA.IG.31 Index | (1.00)% | 12/20/2023 | USD | 13,900,000 | $(82,778) | $(91,344) | $8,566 | |||||||
�� | $(82,778) | $(91,344) | $8,566 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Month LIBOR + 0.14% (Quarterly) | 3-Month LIBOR (Quarterly) | 5/10/2021 | USD | 50,720,000 | $2,447 | $ — | $2,447 | |||||||
1-Month LIBOR + 0.14% (Quarterly) | 3-Month LIBOR (Quarterly) | 5/11/2021 | USD | 25,400,000 | 6,773 | — | 6,773 | |||||||
1-Month LIBOR + 0.14% (Quarterly) | 3-Month LIBOR (Quarterly) | 5/14/2021 | USD | 31,480,000 | 3,419 | — | 3,419 | |||||||
Subtotal Appreciation | $12,639 | $ — | $12,639 | |||||||||||
3.00% (Semi-annual) | 3-Month LIBOR (Quarterly) | 12/19/2028 | USD | 1,800,000 | $(43,733) | $29,546 | $(73,279) | |||||||
Subtotal Depreciation | $(43,733) | $29,546 | $(73,279) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2018 | $(31,094) | $29,546 | $(60,640) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligation | $2,997,791 | $— | $2,997,791 | $— | |||
Asset-Backed Securities | 123,293,100 | — | 123,293,100 | — | |||
Commercial Paper | 1,500,847 | — | 1,500,847 | — | |||
Corporate Bonds | 217,708,366 | — | 217,708,366 | — | |||
Foreign Bonds | 128,906,144 | — | 128,906,144 | — | |||
Money Market Funds | 14,189,658 | 14,189,658 | — | — | |||
Mortgage-Backed Securities | 179,853,852 | — | 179,853,852 | — | |||
Municipal Bonds | 13,168,758 | — | 13,168,758 | — | |||
Purchased Options: | |||||||
Call Options | 19,038 | 19,037 | 1 | — | |||
Call Swaptions | 696,810 | — | 696,810 | — | |||
Put Options | 888 | 888 | — | — | |||
Total Purchased Options | 716,736 | 19,925 | 696,811 | — | |||
U.S. Treasury Obligations | 298,518,482 | — | 298,518,482 | — | |||
Total Assets - Investments in Securities | $980,853,734 | $14,209,583 | $966,644,151 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $324,113 | $— | $324,113 | $— | |||
Futures Contracts | 4,113,042 | 4,113,042 | — | — | |||
Swap Agreements | 21,205 | — | 21,205 | — | |||
Total Assets - Other Financial Instruments | $4,458,360 | $4,113,042 | $345,318 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Security Sold Short | $(5,992,418) | $— | $(5,992,418) | $— | |||
Written Options: | |||||||
Call Swaptions | (1,004,618) | — | (1,004,618) | — | |||
Put Swaptions | (58,615) | — | (58,615) | — | |||
Total Written Options | (1,063,233) | — | (1,063,233) | — | |||
Total Liabilities - Investments in Securities | $(7,055,651) | $ — | $(7,055,651) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(445,104) | $— | $(445,104) | $— | |||
Futures Contracts | (4,166,144) | (4,166,144) | — | — | |||
Swap Agreements | (73,279) | — | (73,279) | — | |||
Total Liabilities - Other Financial Instruments | $(4,684,527) | $(4,166,144) | $(518,383) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
Table of Contents
% | |
Mortgage-Backed Securities | 44.8 |
Corporate Bonds | 20.7 |
U.S. Treasury Obligations | 20.2 |
Foreign Bonds | 14.5 |
Asset-Backed Securities | 8.0 |
Money Market Funds | 2.7 |
Repurchase Agreements | 1.9 |
Agency Obligations | 1.3 |
Loan Agreements | 0.9 |
Municipal Bonds | 0.4 |
Purchased Options | 0.3 |
Commercial Paper | 0.3 |
Preferred Stocks | —** |
Written Options | (0.4) |
TBA Sale Commitments | (2.6) |
113.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (0.39)% | (0.72)% | 0.01% | ||||
Five Year | 2.57% | 2.32% | 2.52% | ||||
Ten Year | 5.02% | 4.83% | 3.48% | ||||
Since Inception | 4.72% | 4.59% | 4.26% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 0.42% | 0.69% |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 1.3% | ||||
Federal Home Loan Bank | ||||
2.13%, 02/11/20 | $270,000 | $268,765 | ||
3.38%, 12/08/23 | 200,000 | 206,250 | ||
Federal Home Loan Bank Discount Notes | ||||
2.38%, 02/15/19Ω | 4,400,000 | 4,386,855 | ||
2.47%, 04/15/19Ω | 600,000 | 595,828 | ||
2.52%, 06/21/19Ω | 5,720,000 | 5,653,554 | ||
Federal National Mortgage Association | ||||
2.51%, 10/09/19Ω | 3,350,000 | 3,280,623 | ||
2.63%, 09/06/24 | 200,000 | 199,460 | ||
1.88%, 09/24/26 | 2,200,000 | 2,049,176 | ||
6.25%, 05/15/29 | 500,000 | 641,957 | ||
6.63%, 11/15/30 | 1,170,000 | 1,570,371 | ||
NCUA Guaranteed Notes | ||||
3.00%, 06/12/19 | 300,000 | 300,393 | ||
Tennessee Valley Authority | ||||
3.88%, 02/15/21 | 1,000,000 | 1,026,609 | ||
Total Agency Obligations (Cost $20,192,123) | 20,179,841 | |||
ASSET-BACKED SECURITIES — 8.0% | ||||
Academic Loan Funding Trust, Series 2012-1A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 1.10%), 3.61%, 12/27/44 144A † | 1,108,549 | 1,115,100 | ||
Access Group, Inc., Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 3.21%, 07/25/56 144A † | 272,949 | 273,248 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 2.96%, 01/25/36† | 2,900,000 | 2,859,168 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 3.53%, 04/30/31 144A † | 1,210,000 | 1,187,924 | ||
Ares XXXIII CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.35%), 4.10%, 12/05/25 144A † | 1,000,000 | 999,670 | ||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 5.62%, 04/20/31 144A † | 750,000 | 691,464 |
Par | Value | |||
Bayview Opportunity Master Fund IVa Trust, Series 2018-RN3, Class A1 | ||||
(Step to 4.67% on 03/28/20), 3.67%, 03/28/33 144A STEP | $129,612 | $128,685 | ||
Bayview Opportunity Master Fund IVa Trust, Series 2018-SBR1, Class A1 | ||||
(Step to 6.72% on 03/28/21), 3.72%, 02/28/33 144A STEP | 1,216,198 | 1,211,366 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | 1,159,334 | 879,890 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | 2,119,155 | 1,596,707 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 3.69%, 07/15/29 144A † | 1,400,000 | 1,396,814 | ||
BlueMountain CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.33%), 3.77%, 04/13/27 144A † | 1,000,000 | 998,676 | ||
BlueMountain CLO, Ltd., Series 2016-1A, Class CR | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 4.32%, 04/20/27 144A † | 800,000 | 761,265 | ||
BSPRT Issuer, Ltd., Series 2018-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 3.51%, 09/15/35 144A † | 2,600,000 | 2,597,676 | ||
Capital Auto Receivables Asset Trust, Series 2017-1, Class A3 | ||||
2.02%, 08/20/21 144A | 4,790,000 | 4,748,813 | ||
Capital One Multi-Asset Execution Trust, Series 2016-A1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 2.91%, 02/15/22† | 800,000 | 800,763 | ||
CarMax Auto Owner Trust, Series 2017-2, Class A3 | ||||
1.93%, 03/15/22 | 2,900,000 | 2,870,983 | ||
Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | ||||
(Floating, ICE LIBOR USD 1M + 0.98%, 0.65% Floor), 3.48%, 05/25/35† | 2,700,000 | 2,701,590 | ||
Catamaran CLO, Ltd., Series 2013-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 3.36%, 01/27/28 144A † | 1,600,000 | 1,581,222 | ||
Chapel BV, Series 2007, Class A2 | ||||
(Floating, 0.36% - Euribor 3M), 0.04%, 07/17/66(E) † | 311,562 | 355,166 |
Table of Contents
Par | Value | |||
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7 | ||||
3.96%, 10/13/30 | $850,000 | $893,052 | ||
Community Funding CLO, Series 2015-1A, Class A | ||||
5.75%, 11/01/27 144A Ψ ††† STEP | 846,785 | 843,693 | ||
Countrywide Asset-Backed Certificates, Series 2006-1, Class AV3 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 2.62%, 07/25/36† | 604,808 | 603,447 | ||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.50% Floor), 3.26%, 03/25/34† | 462,589 | 464,423 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 2.70%, 12/15/35† | 65,591 | 57,355 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2006-E, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.14%, 0.14% Floor, 16.00% Cap), 2.60%, 07/15/36† | 194,235 | 185,070 | ||
ECMC Group Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%), 3.86%, 07/26/66 144A † | 690,747 | 701,275 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 3.71%, 12/27/66 144A † | 1,700,943 | 1,721,674 | ||
ECMC Group Student Loan Trust, Series 2018-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 3.26%, 02/27/68 144A † | 3,309,658 | 3,306,854 | ||
Edsouth Indenture No. 7 LLC, Series 2014-3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%), 3.11%, 02/25/36 144A † | 752,564 | 753,180 | ||
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 3.86%, 03/25/36 144A † | 1,200,000 | 1,222,960 | ||
EFS Volunteer No. 3 LLC, Series 2012-1, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 3.51%, 04/25/33 144A † | 2,100,000 | 2,112,698 |
Par | Value | |||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 2.92%, 02/27/35 144A † | $845,311 | $804,804 | ||
Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A | ||||
4.06%, 11/15/30 | 900,000 | 900,796 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 1A1 | ||||
7.00%, 09/25/37 | 11,004 | 11,125 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | ||||
7.00%, 09/25/37 | 68,176 | 68,977 | ||
Golden Credit Card Trust, Series 2016-5A, Class A | ||||
1.60%, 09/15/21 144A | 900,000 | 891,648 | ||
Golden Credit Card Trust, Series 2017-2A, Class A | ||||
1.98%, 04/15/22 144A | 500,000 | 492,092 | ||
GSAMP Trust, Series 2007-HS1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 0.85% Floor), 3.36%, 02/25/47† | 202,241 | 201,569 | ||
Halcyon Loan Advisors Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 3.57%, 07/25/27 144A † | 950,000 | 949,987 | ||
Hertz Vehicle Financing II LP, Series 2018-1A, Class A | ||||
3.29%, 02/25/24 144A | 1,550,000 | 1,531,913 | ||
Higher Education Funding I, Series 2014-1, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 3.74%, 05/25/34 144A † | 954,580 | 963,199 | ||
Jackson Mill CLO, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 2.80%, 2.80% Floor), 5.24%, 04/15/27 144A † | 750,000 | 713,981 | ||
Kabbage Asset Securitization LLC, Series 2017-1, Class B | ||||
5.79%, 03/15/22 144A | 1,240,000 | 1,252,225 | ||
KKR CLO, Series 21, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.44%, 04/15/31 144A † | 550,000 | 539,633 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 3.40%, 06/15/36 144A † | 1,450,000 | 1,455,049 | ||
LCM XXIII, Ltd., Series 23A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.40%), 3.87%, 10/20/29 144A † | 1,000,000 | 997,909 |
Table of Contents
Par | Value | |||
LP Credit Card ABS Master Trust, Series 2018-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 3.83%, 08/20/24 144A † | $1,039,903 | $1,042,332 | ||
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 3.19%, 04/15/29 144A † | 2,750,000 | 2,690,814 | ||
Marlette Funding Trust, Series 2018-2A, Class A | ||||
3.06%, 07/17/28 144A | 1,888,455 | 1,885,866 | ||
Midocean Credit Clo VII, Series 2017-7A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 4.34%, 07/15/29 144A † | 1,500,000 | 1,483,888 | ||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 3.19%, 10/25/35† | 517,323 | 518,192 | ||
Montana Higher Education Student Assistance Corporation, Series 2012-1, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 3.52%, 07/20/43† | 700,000 | 702,158 | ||
Navient Student Loan Trust, Series 2016-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 3.76%, 06/25/65 144A † | 1,692,866 | 1,707,516 | ||
Navient Student Loan Trust, Series 2016-7A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 3.66%, 03/25/66 144A † | 828,067 | 831,865 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 3.56%, 12/27/66 144A † | 1,654,588 | 1,656,654 | ||
Nelnet Student Loan Trust, Series 2006-1, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%, 0.45% Floor), 3.10%, 08/23/36 144A † | 1,200,000 | 1,172,096 | ||
Nelnet Student Loan Trust, Series 2006-2, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.10%), 2.59%, 01/25/30† | 375,840 | 375,709 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 3.41%, 04/15/31 144A † | 1,500,000 | 1,478,127 | ||
OHA Loan Funding, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.41%), 4.03%, 08/15/29 144A † | 1,000,000 | 1,003,341 |
Par | Value | |||
Orec, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 3.49%, 06/15/36 144A † | $750,000 | $751,124 | ||
OZLM VII, Ltd., Series 2014-7RA, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.60%, 1.60% Floor), 4.05%, 07/17/29 144A † | 1,250,000 | 1,230,631 | ||
OZLM XV, Ltd., Series 2016-15A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 2.70%), 5.17%, 01/20/29 144A † | 1,000,000 | 999,935 | ||
Panhandle-Plains Higher Education Authority, Inc., Series 2010-2, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 18.00% Cap), 3.93%, 10/01/35† | 266,635 | 268,408 | ||
Park Place Securities, Inc. Pass-Through Trust Certificates, Series 2005-WCH1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.84%, 0.56% Floor), 3.35%, 01/25/36† | 49,679 | 49,777 | ||
Penarth Master Issuer PLC, Series 2018-2A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 2.91%, 09/18/22 144A † | 1,600,000 | 1,594,775 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 3.06%, 05/25/57 144A † | 751,562 | 752,831 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 3.66%, 09/25/65 144A † | 660,704 | 669,119 | ||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 3.46%, 11/25/65 144A † | 1,407,141 | 1,415,473 | ||
RAMP Trust, Series 2005-EFC6, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%, 0.43% Floor, 14.00% Cap), 3.15%, 11/25/35† | 1,692,631 | 1,693,157 | ||
Ready Capital Mortgage Financing, Series 2018-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 3.36%, 06/25/35 144A † | 599,992 | 600,891 | ||
RMAT LP, Series 2018-NPL1, Class A1 | ||||
(Step to 7.09% on 06/25/21), 4.09%, 05/25/48 144A STEP | 986,840 | 988,621 |
Table of Contents
Par | Value | |||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.53% Floor, 10.28% Cap), 3.11%, 03/25/35† | $341,510 | $333,571 | ||
SBA Small Business Investment Cos., Series 2018-10B, Class 1 | ||||
3.55%, 09/11/28 | 220,000 | 226,618 | ||
Scholar Funding Trust, Series 2010-A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.26%, 10/28/41 144A † | 252,710 | 249,832 | ||
SLC Student Loan Trust, Series 2005-3, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 2.91%, 06/15/29† | 713,764 | 710,067 | ||
SLM Private Education Loan Trust, Series 2010-A, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 3.25% Floor), 5.71%, 05/16/44 144A † | 172,972 | 175,321 | ||
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 | ||||
3.50%, 10/28/29 144A | 101,498 | 99,891 | ||
SLM Student Loan Trust, Series 2003-10A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 3.26%, 12/15/27 144A † | 2,819,306 | 2,822,174 | ||
SLM Student Loan Trust, Series 2003-7A, Class A5A | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 3.99%, 12/15/33 144A † | 812,151 | 817,576 | ||
SLM Student Loan Trust, Series 2005-4, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 2.61%, 01/25/27† | 123,575 | 123,016 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 2.63%, 10/25/28† | 818,763 | 813,110 | ||
SLM Student Loan Trust, Series 2007-1, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.09%), 2.58%, 01/26/26† | 2,859,654 | 2,851,004 | ||
SLM Student Loan Trust, Series 2007-7, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.33%), 2.82%, 01/25/22† | 397,887 | 390,977 | ||
SLM Student Loan Trust, Series 2008-2, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.24%, 04/25/23† | 132,421 | 131,313 | ||
SLM Student Loan Trust, Series 2008-4, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 1.65%), 4.14%, 07/25/22† | 364,777 | 369,603 |
Par | Value | |||
SLM Student Loan Trust, Series 2008-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 4.19%, 07/25/23† | $812,470 | $826,093 | ||
SLM Student Loan Trust, Series 2008-6, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.59%, 07/25/23† | 560,934 | 565,542 | ||
SLM Student Loan Trust, Series 2008-8, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 3.99%, 04/25/23† | 399,296 | 406,602 | ||
SoFi Consumer Loan Program, Series 2017-4, Class A | ||||
2.50%, 05/26/26 144A | 540,922 | 534,838 | ||
Soundview Home Loan Trust, Series 2006-OPT2, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 2.69%, 05/25/36† | 399,551 | 399,080 | ||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC3, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.62% Floor), 3.44%, 07/25/35† | 1,712,503 | 1,703,517 | ||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.52% Floor), 3.29%, 02/25/35 144A † | 2,700,000 | 2,653,626 | ||
TIAA CLO II, Ltd., Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 3.75%, 04/20/29 144A † | 3,950,000 | 3,944,112 | ||
TPG Real Estate Finance Issuer, Ltd., Series 2018-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%), 3.59%, 11/15/37 144A † | 1,150,000 | 1,139,430 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.33%, 04/15/29 144A † | 2,690,000 | 2,660,954 | ||
Upstart Securitization Trust, Series 2017-2, Class A | ||||
2.51%, 03/20/25 144A | 517,554 | 516,305 | ||
Utah State Board of Regents, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 3.11%, 02/25/43† | 461,006 | 461,901 | ||
Vibrant CLO VI, Ltd., Series 2017-6A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%), 4.03%, 06/20/29 144A † | 2,750,000 | 2,745,119 |
Table of Contents
Par | Value | |||
Voya CLO, Ltd., Series 2017-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.70%, 07/20/30 144A † | $4,150,000 | $4,136,755 | ||
Voya CLO, Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.90%, 0.90% Floor), 3.34%, 01/18/29 144A † | 500,000 | 492,185 | ||
Voya CLO, Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 3.61%, 10/15/31 144A † | 1,500,000 | 1,485,834 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class A1 | ||||
2.53%, 09/16/19 144A | 779,870 | 779,530 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A | ||||
2.98%, 01/18/22 144A | 1,900,000 | 1,899,373 | ||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 6.08%, 10/15/31 144A † | 750,000 | 712,238 | ||
Total Asset-Backed Securities (Cost $120,619,159) | 120,137,185 | |||
COMMERCIAL PAPER — 0.3% | ||||
Royal Bank of Canada | ||||
2.00%, 01/07/19Ω (Cost $4,184,039) | 5,600,000 | 4,100,571 | ||
CORPORATE BONDS — 20.7% | ||||
21st Century Fox America, Inc. | ||||
3.70%, 09/15/24 | 625,000 | 631,528 | ||
6.15%, 03/01/37 | 175,000 | 215,281 | ||
6.65%, 11/15/37 | 150,000 | 198,095 | ||
ABB Finance USA, Inc. | ||||
4.38%, 05/08/42 | 40,000 | 40,665 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 148,000 | 146,412 | ||
4.75%, 11/30/36Δ | 170,000 | 177,999 | ||
4.90%, 11/30/46 | 210,000 | 221,290 | ||
AbbVie, Inc. | ||||
3.38%, 11/14/21 | 750,000 | 749,802 | ||
2.85%, 05/14/23Δ | 1,050,000 | 1,012,786 | ||
3.75%, 11/14/23 | 525,000 | 522,923 | ||
3.60%, 05/14/25 | 440,000 | 422,634 | ||
3.20%, 05/14/26 | 300,000 | 278,484 | ||
Aetna, Inc. | ||||
2.80%, 06/15/23 | 225,000 | 214,198 | ||
Aircastle, Ltd. | ||||
5.13%, 03/15/21 | 764,000 | 776,845 | ||
5.50%, 02/15/22 | 1,300,000 | 1,331,011 | ||
Allegion US Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 377,778 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 275,000 | 276,973 | ||
4.25%, 06/15/28 144A | 75,000 | 74,594 |
Par | Value | |||
Allison Transmission, Inc. | ||||
5.00%, 10/01/24 144A | $200,000 | $192,750 | ||
Amazon.com, Inc. | ||||
3.15%, 08/22/27 | 1,170,000 | 1,130,882 | ||
3.88%, 08/22/37 | 160,000 | 154,824 | ||
4.95%, 12/05/44 | 220,000 | 244,448 | ||
4.05%, 08/22/47 | 790,000 | 773,850 | ||
Ambac LSNI LLC | ||||
(Floating, ICE LIBOR USD 3M + 5.00%), 7.80%, 02/12/23 144A † | 1,736,190 | 1,744,871 | ||
American Campus Communities Operating Partnership LP REIT | ||||
3.75%, 04/15/23 | 525,000 | 521,720 | ||
American Express Credit Corporation | ||||
2.38%, 05/26/20 | 310,000 | 306,812 | ||
American International Group, Inc. | ||||
3.90%, 04/01/26 | 825,000 | 794,943 | ||
4.20%, 04/01/28Δ | 1,050,000 | 1,013,444 | ||
6.25%, 03/15/37 | 278,000 | 268,965 | ||
American Tower Corporation REIT | ||||
3.40%, 02/15/19 | 200,000 | 200,119 | ||
3.38%, 10/15/26 | 1,500,000 | 1,397,824 | ||
American Tower Trust #1 REIT | ||||
3.07%, 03/15/23 144A | 940,000 | 926,648 | ||
Amgen, Inc. | ||||
2.13%, 05/01/20 | 70,000 | 69,090 | ||
3.63%, 05/22/24Δ | 50,000 | 49,909 | ||
4.66%, 06/15/51 | 34,000 | 32,165 | ||
Anadarko Petroleum Corporation | ||||
4.85%, 03/15/21 | 231,000 | 236,635 | ||
5.55%, 03/15/26 | 815,000 | 854,811 | ||
6.45%, 09/15/36 | 255,000 | 276,143 | ||
6.60%, 03/15/46 | 470,000 | 520,677 | ||
Antero Resources Corporation | ||||
5.63%, 06/01/23 | 1,035,000 | 987,131 | ||
Anthem, Inc. | ||||
2.95%, 12/01/22 | 390,000 | 380,691 | ||
3.35%, 12/01/24 | 130,000 | 126,814 | ||
3.65%, 12/01/27 | 520,000 | 497,755 | ||
Apache Corporation | ||||
3.25%, 04/15/22 | 24,000 | 23,524 | ||
4.38%, 10/15/28 | 50,000 | 46,791 | ||
5.10%, 09/01/40 | 180,000 | 163,546 | ||
4.25%, 01/15/44 | 800,000 | 646,395 | ||
Apple, Inc. | ||||
2.00%, 11/13/20 | 260,000 | 256,645 | ||
1.55%, 08/04/21 | 230,000 | 223,091 | ||
2.75%, 01/13/25Δ | 650,000 | 627,285 | ||
2.45%, 08/04/26 | 1,620,000 | 1,498,787 | ||
2.90%, 09/12/27 | 600,000 | 564,586 | ||
4.65%, 02/23/46 | 275,000 | 291,778 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 224,146 | ||
AT&T, Inc. | ||||
4.45%, 05/15/21 | 80,000 | 81,779 | ||
3.00%, 02/15/22 | 170,000 | 167,193 |
Table of Contents
Par | Value | |||
3.00%, 06/30/22 | $475,000 | $463,624 | ||
3.60%, 02/17/23Δ | 825,000 | 820,667 | ||
4.45%, 04/01/24 | 725,000 | 737,851 | ||
3.40%, 05/15/25 | 1,805,000 | 1,702,081 | ||
4.13%, 02/17/26Δ | 175,000 | 171,271 | ||
4.25%, 03/01/27 | 1,400,000 | 1,372,041 | ||
5.25%, 03/01/37 | 225,000 | 221,642 | ||
4.35%, 06/15/45 | 290,000 | 245,968 | ||
4.75%, 05/15/46 | 90,000 | 80,201 | ||
5.45%, 03/01/47Δ | 175,000 | 171,530 | ||
4.50%, 03/09/48 | 430,000 | 369,347 | ||
AXA Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 144A | 1,300,000 | 1,230,819 | ||
Bank of America Corporation | ||||
2.60%, 01/15/19Δ | 47,000 | 46,991 | ||
3.30%, 01/11/23 | 120,000 | 118,249 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | 319,968 | ||
(Floating, ICE LIBOR USD 3M + 0.79%), 3.54%, 03/05/24† Δ | 1,500,000 | 1,458,430 | ||
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 530,000 | 523,892 | ||
4.00%, 04/01/24 | 420,000 | 422,626 | ||
(Floating, ICE LIBOR USD 3M + 0.96%), 3.44%, 07/23/24† | 900,000 | 883,990 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 875,000 | 873,458 | ||
4.20%, 08/26/24 | 390,000 | 387,091 | ||
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24^ | 300,000 | 296,775 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24^ | 150,000 | 152,063 | ||
4.00%, 01/22/25 | 440,000 | 428,966 | ||
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,200,000 | 2,087,645 | ||
4.45%, 03/03/26 | 420,000 | 415,841 | ||
3.50%, 04/19/26Δ | 2,010,000 | 1,936,141 | ||
4.25%, 10/22/26 | 440,000 | 428,365 | ||
3.25%, 10/21/27 | 275,000 | 254,840 | ||
4.18%, 11/25/27 | 825,000 | 794,415 | ||
(Variable, ICE LIBOR USD 3M + 1.58%), 3.82%, 01/20/28^ | 575,000 | 558,381 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28^ | 1,300,000 | 1,248,369 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28^ | 1,360,000 | 1,291,117 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 694,000 | 649,038 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | 523,146 | ||
6.11%, 01/29/37 | 500,000 | 551,067 | ||
5.00%, 01/21/44 | 790,000 | 819,318 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49Δ ^ | 270,000 | 241,087 | ||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41 | 150,000 | 158,452 | ||
Beacon Roofing Supply, Inc. | ||||
4.88%, 11/01/25 144A Δ | 80,000 | 70,600 | ||
Becton Dickinson and Co. | ||||
4.67%, 06/06/47 | 575,000 | 542,891 |
Par | Value | |||
Becton, Dickinson and Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 3.68%, 12/29/20† | $800,000 | $792,186 | ||
2.89%, 06/06/22 | 700,000 | 678,510 | ||
3.36%, 06/06/24 | 855,000 | 822,214 | ||
3.73%, 12/15/24 | 171,000 | 165,403 | ||
4.69%, 12/15/44 | 345,000 | 324,086 | ||
Berkshire Hathaway Energy Co. | ||||
3.25%, 04/15/28 | 825,000 | 785,732 | ||
Blackstone CQP Holdco LP | ||||
6.50%, 03/20/21 144A | 600,000 | 604,545 | ||
BMW US Capital LLC | ||||
1.85%, 09/15/21 144A | 60,000 | 57,539 | ||
Boeing Capital Corporation | ||||
4.70%, 10/27/19Δ | 230,000 | 232,889 | ||
Boeing Co. (The) | ||||
4.88%, 02/15/20 | 50,000 | 51,082 | ||
6.63%, 02/15/38 | 210,000 | 279,966 | ||
Boston Properties LP REIT | ||||
4.50%, 12/01/28Δ | 1,700,000 | 1,741,558 | ||
BP Capital Markets America, Inc. | ||||
3.22%, 11/28/23 | 370,000 | 364,907 | ||
3.12%, 05/04/26 | 570,000 | 536,508 | ||
4.23%, 11/06/28 | 1,875,000 | 1,931,208 | ||
Brighthouse Financial, Inc. | ||||
3.70%, 06/22/27 | 1,600,000 | 1,354,330 | ||
Broadcom Corporation | ||||
3.00%, 01/15/22 | 550,000 | 529,315 | ||
2.65%, 01/15/23Δ | 225,000 | 209,591 | ||
3.63%, 01/15/24 | 775,000 | 734,058 | ||
3.13%, 01/15/25 | 595,000 | 537,866 | ||
3.88%, 01/15/27 | 940,000 | 844,699 | ||
Catholic Health Initiatives | ||||
4.35%, 11/01/42 | 40,000 | 36,266 | ||
CCO Holdings LLC | ||||
5.13%, 05/01/27 144A | 130,000 | 121,407 | ||
Celgene Corporation | ||||
2.25%, 08/15/21 | 270,000 | 261,921 | ||
3.55%, 08/15/22 | 170,000 | 168,274 | ||
3.88%, 08/15/25 | 710,000 | 684,475 | ||
5.00%, 08/15/45 | 110,000 | 102,076 | ||
Centene Corporation | ||||
5.63%, 02/15/21 | 80,000 | 80,400 | ||
4.75%, 05/15/22 | 150,000 | 148,688 | ||
6.13%, 02/15/24 | 220,000 | 225,775 | ||
4.75%, 01/15/25 | 50,000 | 47,875 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 700,000 | 710,734 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,507,020 | ||
Charter Communications Operating LLC | ||||
3.58%, 07/23/20 | 895,000 | 894,370 | ||
4.46%, 07/23/22 | 725,000 | 732,535 | ||
4.50%, 02/01/24 | 600,000 | 599,763 | ||
4.91%, 07/23/25 | 2,310,000 | 2,300,159 | ||
3.75%, 02/15/28 | 1,800,000 | 1,631,382 |
Table of Contents
Par | Value | |||
4.20%, 03/15/28 | $710,000 | $670,075 | ||
6.48%, 10/23/45 | 90,000 | 92,810 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.13%, 06/30/27 | 150,000 | 142,170 | ||
Chesapeake Energy Corporation | ||||
6.13%, 02/15/21 | 160,000 | 151,200 | ||
Chevron Corporation | ||||
2.95%, 05/16/26 | 540,000 | 520,356 | ||
Chubb INA Holdings, Inc. | ||||
2.30%, 11/03/20 | 90,000 | 88,737 | ||
3.35%, 05/03/26 | 120,000 | 117,500 | ||
Cigna Corporation | ||||
3.40%, 09/17/21 144A | 240,000 | 239,608 | ||
3.75%, 07/15/23 144A | 2,240,000 | 2,234,849 | ||
4.13%, 11/15/25 144A | 180,000 | 180,014 | ||
4.38%, 10/15/28 144A | 460,000 | 463,464 | ||
Cimarex Energy Co. | ||||
3.90%, 05/15/27Δ | 500,000 | 464,783 | ||
Cintas Corporation No. 2 | ||||
2.90%, 04/01/22 | 180,000 | 177,192 | ||
3.70%, 04/01/27 | 190,000 | 185,892 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 88,670 | ||
CIT Group, Inc. | ||||
5.25%, 03/07/25 | 1,040,000 | 1,019,200 | ||
Citibank NA | ||||
3.05%, 05/01/20 | 975,000 | 973,951 | ||
Citigroup, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.19%), 3.75%, 08/02/21† Δ | 1,300,000 | 1,304,053 | ||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23^ | 170,000 | 155,355 | ||
3.50%, 05/15/23 | 220,000 | 216,200 | ||
(Variable, ICE LIBOR USD 3M + 3.47%), 5.35%, 05/15/23Δ ^ | 180,000 | 162,000 | ||
(Floating, ICE LIBOR USD 3M + 1.02%), 3.76%, 06/01/24† | 1,700,000 | 1,666,390 | ||
(Variable, ICE LIBOR USD 3M + 1.02%), 4.04%, 06/01/24^ | 1,700,000 | 1,706,478 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25^ | 690,000 | 625,312 | ||
4.40%, 06/10/25 | 450,000 | 440,756 | ||
5.50%, 09/13/25 | 290,000 | 304,749 | ||
3.40%, 05/01/26 | 2,075,000 | 1,954,903 | ||
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/05/26^ | 150,000 | 143,843 | ||
3.20%, 10/21/26 | 500,000 | 462,064 | ||
4.30%, 11/20/26 | 1,675,000 | 1,613,371 | ||
4.45%, 09/29/27 | 1,480,000 | 1,427,977 | ||
4.13%, 07/25/28 | 125,000 | 117,442 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 4.08%, 04/23/29^ | 800,000 | 779,254 | ||
6.63%, 06/15/32 | 50,000 | 58,329 | ||
8.13%, 07/15/39 | 20,000 | 27,827 | ||
6.68%, 09/13/43 | 10,000 | 11,835 | ||
5.30%, 05/06/44 | 24,000 | 24,001 | ||
4.65%, 07/30/45 | 894,000 | 874,070 |
Par | Value | |||
4.75%, 05/18/46 | $40,000 | $37,115 | ||
CNOOC Finance 2015 USA LLC | ||||
3.50%, 05/05/25 | 760,000 | 737,412 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 1,375,000 | 1,384,370 | ||
3.38%, 08/15/25 | 275,000 | 268,201 | ||
3.95%, 10/15/25 | 550,000 | 556,994 | ||
3.30%, 02/01/27 | 344,000 | 328,194 | ||
3.15%, 02/15/28 | 950,000 | 893,269 | ||
4.15%, 10/15/28 | 2,570,000 | 2,612,731 | ||
4.25%, 10/15/30 | 1,135,000 | 1,149,397 | ||
5.65%, 06/15/35 | 420,000 | 461,195 | ||
3.20%, 07/15/36 | 380,000 | 327,512 | ||
3.90%, 03/01/38 | 30,000 | 27,826 | ||
4.70%, 10/15/48 | 90,000 | 91,197 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 282,100 | ||
Compass Bank | ||||
5.50%, 04/01/20 | 300,000 | 306,764 | ||
Conagra Brands, Inc. | ||||
5.40%, 11/01/48Δ | 400,000 | 369,697 | ||
Concho Resources, Inc. | ||||
3.75%, 10/01/27 | 30,000 | 28,293 | ||
4.30%, 08/15/28 | 610,000 | 597,866 | ||
ConocoPhillips Holding Co. | ||||
6.95%, 04/15/29 | 220,000 | 272,345 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 1,575,000 | 1,551,572 | ||
3.80%, 06/01/24 | 70,000 | 66,347 | ||
4.38%, 01/15/28Δ | 200,000 | 188,497 | ||
Cott Holdings, Inc. | ||||
5.50%, 04/01/25 144A | 170,000 | 160,863 | ||
CRH America Finance, Inc. | ||||
3.95%, 04/04/28 144A | 500,000 | 477,339 | ||
Crown Castle International Corporation REIT | ||||
5.25%, 01/15/23 | 525,000 | 545,666 | ||
3.15%, 07/15/23 | 725,000 | 697,658 | ||
3.65%, 09/01/27 | 50,000 | 46,437 | ||
CVS Health Corporation | ||||
3.35%, 03/09/21 | 210,000 | 209,510 | ||
2.75%, 12/01/22 | 210,000 | 202,290 | ||
3.70%, 03/09/23 | 720,000 | 712,976 | ||
4.00%, 12/05/23 | 800,000 | 803,134 | ||
4.10%, 03/25/25 | 590,000 | 584,909 | ||
3.88%, 07/20/25 | 1,013,000 | 988,581 | ||
4.30%, 03/25/28 | 2,870,000 | 2,811,026 | ||
4.78%, 03/25/38 | 400,000 | 384,487 | ||
5.13%, 07/20/45 | 350,000 | 341,913 | ||
5.05%, 03/25/48 | 1,200,000 | 1,171,532 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30 | 609,734 | 677,779 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 800,000 | 809,928 | ||
DAE Funding LLC | ||||
5.75%, 11/15/23 144A | 150,000 | 148,875 |
Table of Contents
Par | Value | |||
DaVita, Inc. | ||||
5.13%, 07/15/24 | $1,000,000 | $940,000 | ||
Dell International LLC | ||||
3.48%, 06/01/19 144A | 1,010,000 | 1,007,117 | ||
4.42%, 06/15/21 144A | 2,520,000 | 2,517,288 | ||
5.45%, 06/15/23 144A | 900,000 | 916,744 | ||
Delta Air Lines Pass Through Trust, Series 2007-1, Class A | ||||
6.82%, 08/10/22 | 270,777 | 290,733 | ||
Depository Trust & Clearing Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.17%), 4.88%, 06/15/20 144A Δ ^ | 750,000 | 740,625 | ||
Devon Energy Corporation | ||||
3.25%, 05/15/22 | 220,000 | 214,548 | ||
5.85%, 12/15/25 | 442,000 | 469,451 | ||
5.60%, 07/15/41 | 437,000 | 415,658 | ||
4.75%, 05/15/42 | 330,000 | 286,356 | ||
5.00%, 06/15/45Δ | 660,000 | 583,407 | ||
Diamondback Energy, Inc. | ||||
4.75%, 11/01/24 | 800,000 | 776,000 | ||
Digital Realty Trust LP REIT | ||||
3.40%, 10/01/20 | 900,000 | 897,503 | ||
Discover Financial Services | ||||
3.75%, 03/04/25 | 450,000 | 430,915 | ||
DISH DBS Corporation | ||||
5.88%, 07/15/22 | 130,000 | 120,088 | ||
5.88%, 11/15/24 | 70,000 | 56,613 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 325,000 | 312,873 | ||
4.20%, 05/15/28 | 400,000 | 379,601 | ||
DowDuPont, Inc. | ||||
4.21%, 11/15/23 | 550,000 | 562,789 | ||
4.49%, 11/15/25 | 350,000 | 360,871 | ||
4.73%, 11/15/28 | 350,000 | 362,038 | ||
Duke Energy Carolinas LLC | ||||
3.95%, 03/15/48 | 300,000 | 286,988 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24 | 200,000 | 200,545 | ||
3.15%, 08/15/27 | 550,000 | 514,388 | ||
3.95%, 08/15/47 | 30,000 | 27,188 | ||
Eaton Corporation | ||||
2.75%, 11/02/22 | 710,000 | 691,163 | ||
4.15%, 11/02/42 | 200,000 | 188,450 | ||
Ecolab, Inc. | ||||
3.95%, 12/01/47 | 68,000 | 63,984 | ||
Elanco Animal Health, Inc. | ||||
3.91%, 08/27/21 144A | 550,000 | 553,768 | ||
4.27%, 08/28/23 144A | 225,000 | 225,045 | ||
Eli Lilly & Co. | ||||
3.10%, 05/15/27 | 140,000 | 135,696 | ||
Enable Midstream Partners LP | ||||
4.95%, 05/15/28Δ | 900,000 | 853,525 | ||
Energy Transfer LP | ||||
5.50%, 06/01/27 | 525,000 | 513,187 | ||
Energy Transfer Operating LP | ||||
4.65%, 06/01/21 | 150,000 | 152,695 |
Par | Value | |||
4.20%, 09/15/23 | $625,000 | $616,612 | ||
4.95%, 06/15/28 | 220,000 | 215,652 | ||
5.30%, 04/15/47 | 225,000 | 198,992 | ||
6.00%, 06/15/48 | 225,000 | 219,854 | ||
Energy Transfer Partners LP | ||||
4.50%, 11/01/23 | 310,000 | 310,434 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24 | 1,200,000 | 1,320,062 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 320,000 | 319,024 | ||
5.70%, 02/15/42Δ | 60,000 | 64,026 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26 | 140,000 | 143,904 | ||
EQM Midstream Partners LP | ||||
4.75%, 07/15/23 | 1,225,000 | 1,223,600 | ||
4.13%, 12/01/26 | 1,800,000 | 1,636,680 | ||
ERAC USA Finance LLC | ||||
4.50%, 08/16/21 144A | 709,000 | 723,814 | ||
ERP Operating LP REIT | ||||
4.63%, 12/15/21 | 150,000 | 155,251 | ||
Exelon Corporation | ||||
5.63%, 06/15/35 | 415,000 | 448,904 | ||
Expedia Group, Inc. | ||||
3.80%, 02/15/28 | 300,000 | 272,563 | ||
Exxon Mobil Corporation | ||||
3.04%, 03/01/26 | 280,000 | 273,420 | ||
4.11%, 03/01/46 | 230,000 | 234,053 | ||
First Data Corporation | ||||
5.38%, 08/15/23 144A | 70,000 | 68,950 | ||
FirstEnergy Corporation | ||||
4.25%, 03/15/23 | 290,000 | 294,906 | ||
3.90%, 07/15/27 | 690,000 | 669,954 | ||
7.38%, 11/15/31 | 1,800,000 | 2,279,431 | ||
Fiserv, Inc. | ||||
3.80%, 10/01/23 | 225,000 | 226,641 | ||
4.20%, 10/01/28 | 375,000 | 374,992 | ||
Florida Power & Light Co. | ||||
3.80%, 12/15/42 | 425,000 | 405,374 | ||
3.95%, 03/01/48 | 275,000 | 269,267 | ||
Ford Motor Credit Co LLC | ||||
3.20%, 01/15/21 | 200,000 | 194,045 | ||
Ford Motor Credit Co. LLC | ||||
2.46%, 03/27/20 | 800,000 | 783,381 | ||
3.16%, 08/04/20 | 225,000 | 220,569 | ||
5.75%, 02/01/21 | 200,000 | 204,079 | ||
3.34%, 03/18/21 | 250,000 | 242,706 | ||
5.88%, 08/02/21 | 800,000 | 820,943 | ||
Freeport-McMoRan, Inc. | ||||
6.88%, 02/15/23 | 10,000 | 10,350 | ||
3.88%, 03/15/23 | 10,000 | 9,275 | ||
4.55%, 11/14/24 | 10,000 | 9,263 | ||
5.45%, 03/15/43 | 122,000 | 93,483 | ||
General Electric Co. | ||||
6.00%, 08/07/19 | 301,000 | 304,286 | ||
5.50%, 01/08/20Δ | 40,000 | 40,481 | ||
4.38%, 09/16/20 | 198,000 | 197,798 | ||
5.30%, 02/11/21Δ | 104,000 | 104,180 |
Table of Contents
Par | Value | |||
4.65%, 10/17/21Δ | $140,000 | $140,511 | ||
3.15%, 09/07/22 | 230,000 | 217,554 | ||
6.88%, 01/10/39 | 500,000 | 524,195 | ||
4.50%, 03/11/44Δ | 790,000 | 646,539 | ||
General Mills, Inc. | ||||
4.20%, 04/17/28Δ | 600,000 | 589,069 | ||
General Motors Co. | ||||
5.15%, 04/01/38 | 50,000 | 42,841 | ||
General Motors Financial Co., Inc. | ||||
3.50%, 07/10/19 | 300,000 | 299,993 | ||
(Floating, ICE LIBOR USD 3M + 1.27%), 4.06%, 10/04/19† | 400,000 | 401,668 | ||
3.20%, 07/13/20 | 1,000,000 | 987,950 | ||
2.45%, 11/06/20 | 130,000 | 126,321 | ||
4.38%, 09/25/21 | 400,000 | 401,029 | ||
3.45%, 04/10/22 | 230,000 | 222,594 | ||
4.35%, 01/17/27Δ | 560,000 | 516,300 | ||
Gilead Sciences, Inc. | ||||
2.55%, 09/01/20 | 80,000 | 79,372 | ||
3.70%, 04/01/24 | 230,000 | 229,779 | ||
4.50%, 02/01/45 | 400,000 | 385,552 | ||
4.75%, 03/01/46 | 20,000 | 19,887 | ||
4.15%, 03/01/47Δ | 300,000 | 277,007 | ||
Glencore Funding LLC | ||||
2.88%, 04/16/20 144A | 90,000 | 89,202 | ||
4.13%, 05/30/23 144A | 50,000 | 49,140 | ||
4.63%, 04/29/24 144A | 658,000 | 654,536 | ||
4.00%, 03/27/27 144A Δ | 480,000 | 437,734 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/04/19† | 3,000 | 2,048 | ||
Goldman Sachs Group, Inc. (The) | ||||
5.38%, 03/15/20 | 200,000 | 204,508 | ||
6.00%, 06/15/20 | 540,000 | 559,195 | ||
5.25%, 07/27/21 | 560,000 | 581,541 | ||
3.85%, 07/08/24 | 150,000 | 146,743 | ||
3.50%, 01/23/25 | 1,700,000 | 1,612,748 | ||
4.25%, 10/21/25 | 1,470,000 | 1,408,935 | ||
3.50%, 11/16/26 | 700,000 | 647,211 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 690,000 | 644,945 | ||
(Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 880,000 | 848,513 | ||
6.75%, 10/01/37 | 110,000 | 124,428 | ||
6.25%, 02/01/41 | 750,000 | 857,035 | ||
5.15%, 05/22/45 | 330,000 | 309,242 | ||
4.75%, 10/21/45Δ | 530,000 | 505,397 | ||
Goodman US Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | 1,000,000 | 953,562 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A Δ | 225,000 | 229,125 | ||
Halliburton Co. | ||||
3.80%, 11/15/25 | 670,000 | 650,192 | ||
5.00%, 11/15/45 | 230,000 | 226,650 | ||
Harris Corporation | ||||
5.05%, 04/27/45 | 110,000 | 113,566 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 850,000 | 830,875 |
Par | Value | |||
5.25%, 04/15/25 | $120,000 | $119,700 | ||
7.69%, 06/15/25 | 250,000 | 266,875 | ||
5.25%, 06/15/26 | 10,000 | 9,950 | ||
5.38%, 09/01/26 | 1,600,000 | 1,560,000 | ||
5.63%, 09/01/28 | 20,000 | 19,350 | ||
5.50%, 06/15/47 | 50,000 | 47,500 | ||
HCP, Inc. REIT | ||||
2.63%, 02/01/20 | 300,000 | 297,941 | ||
Hewlett Packard Enterprise Co. | ||||
4.90%, 10/15/25 | 425,000 | 428,936 | ||
Hilton Worldwide Finance LLC | ||||
4.88%, 04/01/27 | 110,000 | 103,538 | ||
Home Depot, Inc. (The) | ||||
3.90%, 12/06/28 | 450,000 | 461,471 | ||
Humana, Inc. | ||||
3.15%, 12/01/22 | 70,000 | 68,637 | ||
3.95%, 03/15/27 | 150,000 | 146,802 | ||
4.63%, 12/01/42 | 60,000 | 59,532 | ||
4.95%, 10/01/44 | 70,000 | 72,165 | ||
4.80%, 03/15/47 | 10,000 | 10,046 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25 | 550,000 | 553,438 | ||
Intel Corporation | ||||
3.70%, 07/29/25 | 805,000 | 812,713 | ||
3.73%, 12/08/47 | 76,000 | 70,551 | ||
International Lease Finance Corporation | ||||
8.63%, 01/15/22 | 420,000 | 467,251 | ||
John Deere Capital Corporation | ||||
2.25%, 04/17/19 | 160,000 | 159,647 | ||
1.70%, 01/15/20 | 80,000 | 78,968 | ||
Johnson & Johnson | ||||
2.45%, 03/01/26 | 560,000 | 526,473 | ||
3.63%, 03/03/37 | 520,000 | 501,174 | ||
JPMorgan Chase & Co. | ||||
6.30%, 04/23/19 | 900,000 | 908,840 | ||
(Variable, ICE LIBOR USD 3M + 3.80%), 5.30%, 05/01/20^ | 550,000 | 544,500 | ||
4.40%, 07/22/20 | 980,000 | 997,947 | ||
2.55%, 03/01/21 | 300,000 | 295,862 | ||
2.40%, 06/07/21 | 1,100,000 | 1,076,292 | ||
4.35%, 08/15/21 | 70,000 | 71,659 | ||
2.97%, 01/15/23 | 475,000 | 463,376 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 1,600,000 | 1,603,886 | ||
3.88%, 09/10/24 | 860,000 | 846,860 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | 2,900,000 | 2,925,020 | ||
3.13%, 01/23/25 | 900,000 | 858,136 | ||
3.90%, 07/15/25 | 700,000 | 694,242 | ||
2.95%, 10/01/26 | 700,000 | 647,130 | ||
4.25%, 10/01/27 | 780,000 | 769,228 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,520,000 | 1,440,944 | ||
(Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | 379,289 | ||
(Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 170,000 | 173,122 |
Table of Contents
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.36%), 3.88%, 07/24/38^ | $175,000 | $159,239 | ||
4.95%, 06/01/45 | 400,000 | 406,554 | ||
Kerr-McGee Corporation | ||||
6.95%, 07/01/24 | 290,000 | 323,682 | ||
7.88%, 09/15/31 | 280,000 | 336,023 | ||
Keurig Dr. Pepper, Inc. | ||||
4.06%, 05/25/23 144A | 475,000 | 473,828 | ||
Kilroy Realty LP REIT | ||||
3.80%, 01/15/23 | 400,000 | 398,683 | ||
4.75%, 12/15/28 | 1,750,000 | 1,785,815 | ||
Kimberly-Clark Corporation | ||||
3.70%, 06/01/43 | 200,000 | 187,753 | ||
Kinder Morgan Energy Partners LP | ||||
3.95%, 09/01/22 | 520,000 | 520,192 | ||
4.25%, 09/01/24Δ | 980,000 | 975,344 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 30,561 | ||
Kraft Heinz Foods Co. | ||||
5.38%, 02/10/20 | 223,000 | 228,157 | ||
(Floating, ICE LIBOR USD 3M + 0.57%), 3.19%, 02/10/21† | 1,000,000 | 991,996 | ||
3.50%, 07/15/22 | 1,190,000 | 1,173,701 | ||
4.00%, 06/15/23 | 20,000 | 19,968 | ||
3.95%, 07/15/25 | 110,000 | 106,604 | ||
3.00%, 06/01/26 | 830,000 | 741,633 | ||
5.00%, 07/15/35 | 100,000 | 94,106 | ||
5.00%, 06/04/42 | 50,000 | 44,861 | ||
Kroger Co. (The) | ||||
6.15%, 01/15/20 | 360,000 | 370,317 | ||
Lamb Weston Holdings, Inc. | ||||
4.63%, 11/01/24 144A | 150,000 | 146,250 | ||
Lehman Brothers Holdings, Inc. | ||||
0.00%, 12/28/17Ψ ††† # | 3,340,000 | — | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 200,000 | 3,800 | ||
0.00%, 07/19/17Ψ ††† # | 150,000 | — | ||
0.00%, 01/24/49# | 2,300,000 | 43,700 | ||
0.00%, 11/29/49Ψ ††† # | 2,330,000 | — | ||
Lennar Corporation | ||||
4.75%, 11/29/27 | 150,000 | 135,938 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27 | 900,000 | 858,078 | ||
Lockheed Martin Corporation | ||||
3.10%, 01/15/23 | 40,000 | 39,683 | ||
3.55%, 01/15/26 | 310,000 | 308,085 | ||
4.50%, 05/15/36 | 50,000 | 51,745 | ||
Marathon Oil Corporation | ||||
4.40%, 07/15/27Δ | 400,000 | 380,746 | ||
Marathon Petroleum Corporation | ||||
3.80%, 04/01/28 144A | 250,000 | 235,059 | ||
McDonald’s Corporation | ||||
3.70%, 01/30/26Δ | 240,000 | 235,632 | ||
3.50%, 03/01/27 | 500,000 | 486,458 | ||
Medtronic Global Holdings SCA | ||||
3.35%, 04/01/27 | 350,000 | 343,185 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 30,000 | 29,906 |
Par | Value | |||
4.63%, 03/15/45 | $250,000 | $262,717 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 341,250 | ||
MetLife, Inc. | ||||
4.75%, 02/08/21 | 100,000 | 103,214 | ||
6.40%, 12/15/36Δ | 50,000 | 50,918 | ||
4.05%, 03/01/45 | 25,000 | 23,358 | ||
Microchip Technology, Inc. | ||||
3.92%, 06/01/21 144A | 350,000 | 347,393 | ||
Microsoft Corporation | ||||
2.88%, 02/06/24 | 470,000 | 465,898 | ||
2.70%, 02/12/25 | 120,000 | 116,485 | ||
3.13%, 11/03/25 | 450,000 | 445,478 | ||
2.40%, 08/08/26Δ | 2,040,000 | 1,903,944 | ||
3.30%, 02/06/27 | 800,000 | 793,240 | ||
3.45%, 08/08/36 | 10,000 | 9,437 | ||
4.10%, 02/06/37 | 50,000 | 51,405 | ||
3.95%, 08/08/56 | 130,000 | 127,206 | ||
Moody’s Corporation | ||||
4.50%, 09/01/22 | 800,000 | 823,549 | ||
Morgan Stanley | ||||
5.50%, 07/24/20 | 550,000 | 567,193 | ||
(Floating, ICE LIBOR USD 3M + 1.40%), 3.87%, 04/21/21† | 100,000 | 100,491 | ||
(Floating, ICE LIBOR USD 3M + 1.40%), 3.89%, 10/24/23† | 225,000 | 224,052 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 500,000 | 496,231 | ||
3.88%, 04/29/24 | 275,000 | 273,882 | ||
3.70%, 10/23/24 | 450,000 | 442,869 | ||
3.63%, 01/20/27 | 1,475,000 | 1,403,283 | ||
(Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 630,000 | 603,452 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 234,412 | ||
4.88%, 06/01/25 | 100,000 | 101,050 | ||
4.80%, 02/15/29 | 250,000 | 249,880 | ||
4.50%, 04/15/38 | 580,000 | 508,101 | ||
4.70%, 04/15/48 | 1,195,000 | 1,041,729 | ||
5.50%, 02/15/49Δ | 760,000 | 741,942 | ||
National Retail Properties, Inc. REIT | ||||
3.60%, 12/15/26 | 250,000 | 240,812 | ||
Navient Corporation | ||||
5.88%, 03/25/21 | 300,000 | 288,375 | ||
NCL Corporation, Ltd. | ||||
4.75%, 12/15/21 144A | 40,000 | 39,800 | ||
Newell Brands, Inc. | ||||
3.85%, 04/01/23 | 200,000 | 197,260 | ||
4.20%, 04/01/26 | 150,000 | 146,734 | ||
Newfield Exploration Co. | ||||
5.63%, 07/01/24 | 475,000 | 482,125 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A | 2,000,000 | 2,070,837 | ||
NiSource, Inc. | ||||
3.65%, 06/15/23 144A | 400,000 | 401,078 | ||
3.49%, 05/15/27 | 925,000 | 884,257 |
Table of Contents
Par | Value | |||
Nissan Motor Acceptance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.33%, 01/13/22 144A † | $1,900,000 | $1,867,783 | ||
Noble Energy, Inc. | ||||
4.15%, 12/15/21 | 620,000 | 623,306 | ||
3.85%, 01/15/28Δ | 230,000 | 208,336 | ||
4.95%, 08/15/47 | 110,000 | 95,512 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 1,620,000 | 1,539,292 | ||
3.25%, 01/15/28 | 1,595,000 | 1,491,004 | ||
4.75%, 06/01/43 | 200,000 | 202,919 | ||
Northwell Healthcare, Inc. | ||||
6.15%, 11/01/43 | 375,000 | 452,739 | ||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | 300,000 | 365,449 | ||
3.85%, 09/30/47 144A | 250,000 | 226,956 | ||
Nuveen LLC | ||||
4.00%, 11/01/28 144A | 375,000 | 386,871 | ||
Oasis Petroleum, Inc. | ||||
6.88%, 03/15/22 | 57,000 | 53,865 | ||
Occidental Petroleum Corporation | ||||
3.13%, 02/15/22 | 100,000 | 99,483 | ||
2.70%, 02/15/23 | 20,000 | 19,396 | ||
3.40%, 04/15/26 | 500,000 | 489,665 | ||
3.00%, 02/15/27Δ | 150,000 | 142,520 | ||
4.63%, 06/15/45 | 130,000 | 129,362 | ||
4.40%, 04/15/46 | 60,000 | 58,514 | ||
4.10%, 02/15/47 | 210,000 | 196,376 | ||
4.20%, 03/15/48Δ | 80,000 | 76,649 | ||
ONEOK, Inc. | ||||
4.55%, 07/15/28 | 150,000 | 148,334 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 375,000 | 350,759 | ||
Pacific Gas & Electric Co. | ||||
3.50%, 10/01/20Δ | 250,000 | 239,471 | ||
4.25%, 08/01/23 144A | 250,000 | 232,893 | ||
3.30%, 03/15/27 | 25,000 | 20,705 | ||
6.05%, 03/01/34 | 570,000 | 530,686 | ||
5.80%, 03/01/37 | 210,000 | 195,681 | ||
4.00%, 12/01/46Δ | 25,000 | 18,997 | ||
Penske Truck Leasing Co. LP | ||||
3.38%, 02/01/22 144A | 1,000,000 | 989,553 | ||
3.95%, 03/10/25 144A | 1,000,000 | 980,953 | ||
Phillips 66 | ||||
3.90%, 03/15/28 | 600,000 | 580,699 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,270,882 | ||
Pioneer Natural Resources Co. | ||||
3.95%, 07/15/22 | 75,000 | 75,280 | ||
Plains All American Pipeline LP | ||||
3.65%, 06/01/22 | 200,000 | 196,502 | ||
4.50%, 12/15/26 | 600,000 | 578,873 | ||
Principal Life Global Funding II | ||||
2.38%, 09/11/19 144A | 2,900,000 | 2,881,591 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31 | 350,000 | 466,645 |
Par | Value | |||
Prudential Financial, Inc. | ||||
3.88%, 03/27/28 | $675,000 | $679,623 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 130,000 | 114,888 | ||
4.88%, 05/15/25Δ | 10,000 | 8,250 | ||
Raytheon Co. | ||||
3.13%, 10/15/20 | 200,000 | 200,675 | ||
Refinitiv US Holdings, Inc. | ||||
6.25%, 05/15/26 144A | 600,000 | 579,750 | ||
Reliance Standard Life Global Funding II | ||||
2.50%, 01/15/20 144A | 100,000 | 99,059 | ||
RELX Capital, Inc. | ||||
3.50%, 03/16/23 | 1,300,000 | 1,290,944 | ||
Reynolds Group Issuer, Inc. | ||||
5.13%, 07/15/23 144A | 160,000 | 152,600 | ||
Rockwell Collins, Inc. | ||||
3.50%, 03/15/27 | 550,000 | 517,184 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 495,997 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 475,000 | 499,794 | ||
5.63%, 04/15/23 | 400,000 | 421,812 | ||
5.63%, 03/01/25 | 450,000 | 467,893 | ||
salesforce.com, Inc. | ||||
3.25%, 04/11/23 | 300,000 | 301,717 | ||
3.70%, 04/11/28 | 100,000 | 100,644 | ||
Santander Holdings USA, Inc. | ||||
4.45%, 12/03/21 | 1,100,000 | 1,119,799 | ||
4.50%, 07/17/25 | 60,000 | 59,490 | ||
Schlumberger Holdings Corporation | ||||
3.00%, 12/21/20 144A | 250,000 | 247,950 | ||
4.00%, 12/21/25 144A | 190,000 | 187,820 | ||
Select Income REIT | ||||
3.60%, 02/01/20 | 125,000 | 124,414 | ||
Sempra Energy | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.94%, 01/15/21† | 625,000 | 614,684 | ||
2.90%, 02/01/23 | 1,125,000 | 1,094,204 | ||
3.40%, 02/01/28 | 275,000 | 251,748 | ||
Sherwin-Williams Co. (The) | ||||
2.75%, 06/01/22 | 125,000 | 121,099 | ||
3.13%, 06/01/24 | 75,000 | 71,701 | ||
3.45%, 06/01/27 | 350,000 | 326,844 | ||
4.50%, 06/01/47 | 200,000 | 181,044 | ||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | 1,800,000 | 1,797,062 | ||
Southern Co. (The) | ||||
3.25%, 07/01/26 | 1,400,000 | 1,313,604 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26 | 300,000 | 280,988 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 960,000 | 915,432 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 509,885 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 110,000 | 105,017 |
Table of Contents
Par | Value | |||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28 | $1,246,499 | $1,228,799 | ||
Sprint Corporation | ||||
7.25%, 09/15/21 | 30,000 | 30,780 | ||
Sprint Spectrum Co., LLC | ||||
3.36%, 09/20/21 144A | 137,500 | 136,125 | ||
4.74%, 03/20/25 144A | 900,000 | 885,375 | ||
5.15%, 03/20/28 144A Δ | 1,100,000 | 1,083,500 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 618,971 | ||
Stryker Corporation | ||||
2.63%, 03/15/21 | 125,000 | 123,379 | ||
Sunoco Logistics Partners Operations LP | ||||
4.25%, 04/01/24 | 100,000 | 97,114 | ||
5.95%, 12/01/25 | 300,000 | 313,225 | ||
5.40%, 10/01/47 | 625,000 | 568,345 | ||
SunTrust Bank | ||||
(Variable, ICE LIBOR USD 3M + 0.30%), 2.59%, 01/29/21^ | 875,000 | 866,740 | ||
Synchrony Financial | ||||
2.70%, 02/03/20 | 200,000 | 196,654 | ||
4.50%, 07/23/25 | 332,000 | 303,166 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 144A | 350,000 | 342,125 | ||
5.38%, 02/01/27Δ | 10,000 | 9,425 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 59,921 | ||
4.90%, 09/15/44 144A | 655,000 | 680,690 | ||
Thermo Fisher Scientific, Inc. | ||||
3.00%, 04/15/23Δ | 100,000 | 97,386 | ||
3.65%, 12/15/25 | 200,000 | 197,361 | ||
Time Warner Cable LLC | ||||
4.13%, 02/15/21 | 400,000 | 401,817 | ||
7.30%, 07/01/38 | 620,000 | 673,917 | ||
5.88%, 11/15/40 | 100,000 | 95,793 | ||
Time Warner Entertainment Co. LP | ||||
8.38%, 07/15/33 | 390,000 | 476,526 | ||
TJX Cos, Inc. (The) | ||||
2.25%, 09/15/26 | 40,000 | 36,329 | ||
T-Mobile USA, Inc. | ||||
4.50%, 02/01/26 | 350,000 | 322,437 | ||
Toll Brothers Finance Corporation | ||||
4.38%, 04/15/23Δ | 120,000 | 113,100 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 350,000 | 423,687 | ||
Transocean Pontus, Ltd. | ||||
6.13%, 08/01/25 144A | 79,000 | 76,630 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25 | 210,000 | 212,291 | ||
3.95%, 09/10/28Δ | 680,000 | 680,431 | ||
4.50%, 09/10/48 | 600,000 | 594,038 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | 757,711 | 701,541 |
Par | Value | |||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28 | $757,710 | $698,037 | ||
United Parcel Service, Inc. | ||||
2.50%, 04/01/23 | 120,000 | 116,816 | ||
3.05%, 11/15/27Δ | 100,000 | 95,358 | ||
United Rentals North America, Inc. | ||||
5.50%, 07/15/25 | 90,000 | 85,050 | ||
6.50%, 12/15/26 | 110,000 | 108,625 | ||
4.88%, 01/15/28 | 40,000 | 35,200 | ||
United Technologies Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.28%, 08/16/21† | 250,000 | 249,154 | ||
3.35%, 08/16/21 | 225,000 | 224,531 | ||
3.95%, 08/16/25 | 730,000 | 725,393 | ||
4.13%, 11/16/28 | 440,000 | 436,785 | ||
4.50%, 06/01/42 | 120,000 | 113,770 | ||
UnitedHealth Group, Inc. | ||||
1.63%, 03/15/19 | 170,000 | 169,546 | ||
2.70%, 07/15/20 | 280,000 | 279,062 | ||
2.88%, 12/15/21 | 180,000 | 179,494 | ||
3.75%, 07/15/25 | 270,000 | 273,548 | ||
4.63%, 07/15/35 | 150,000 | 159,277 | ||
Univision Communications, Inc. | ||||
5.13%, 02/15/25 144A Δ | 150,000 | 132,000 | ||
US Bank NA | ||||
3.15%, 04/26/21 | 300,000 | 300,373 | ||
Valero Energy Corporation | ||||
4.35%, 06/01/28 | 275,000 | 272,954 | ||
VEREIT Operating Partnership LP REIT | ||||
3.00%, 02/06/19 | 500,000 | 499,710 | ||
4.13%, 06/01/21 | 200,000 | 201,944 | ||
4.63%, 11/01/25Δ | 600,000 | 601,992 | ||
Verizon Communications, Inc. | ||||
3.50%, 11/01/24 | 150,000 | 148,135 | ||
3.38%, 02/15/25 | 1,095,000 | 1,064,051 | ||
2.63%, 08/15/26 | 3,455,000 | 3,137,726 | ||
4.13%, 03/16/27 | 460,000 | 461,151 | ||
4.33%, 09/21/28 | 2,443,000 | 2,457,882 | ||
5.25%, 03/16/37 | 680,000 | 710,429 | ||
4.13%, 08/15/46 | 160,000 | 141,718 | ||
4.86%, 08/21/46 | 190,000 | 187,430 | ||
5.50%, 03/16/47Δ | 40,000 | 42,694 | ||
5.01%, 04/15/49 | 541,000 | 541,151 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 700,000 | 688,521 | ||
4.30%, 12/14/45 | 460,000 | 476,540 | ||
Vistra Energy Corporation | ||||
7.63%, 11/01/24 | 350,000 | 370,125 | ||
VMware, Inc. | ||||
2.95%, 08/21/22 | 1,100,000 | 1,049,375 | ||
3.90%, 08/21/27 | 500,000 | 444,299 | ||
Volkswagen Group of America Finance LLC | ||||
4.75%, 11/13/28 144A | 1,600,000 | 1,552,605 |
Table of Contents
Par | Value | |||
Voya Financial, Inc. | ||||
5.70%, 07/15/43 | $170,000 | $184,205 | ||
Wachovia Capital Trust III | ||||
(Variable, ICE LIBOR USD 3M + 0.93%), 5.57%, 02/04/19† | 560,000 | 507,220 | ||
Walmart, Inc. | ||||
3.70%, 06/26/28 | 620,000 | 629,994 | ||
4.05%, 06/29/48 | 250,000 | 249,395 | ||
Warner Media LLC | ||||
6.10%, 07/15/40 | 140,000 | 146,022 | ||
Washington Prime Group LP REIT | ||||
5.95%, 08/15/24Δ | 1,700,000 | 1,493,152 | ||
Waste Management, Inc. | ||||
3.50%, 05/15/24 | 140,000 | 140,022 | ||
7.38%, 05/15/29 | 140,000 | 173,326 | ||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | 770,000 | 765,378 | ||
Wells Fargo & Co. | ||||
4.60%, 04/01/21 | 70,000 | 71,704 | ||
3.45%, 02/13/23 | 200,000 | 195,989 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.76%, 10/31/23† | 600,000 | 598,536 | ||
4.48%, 01/16/24 | 396,000 | 401,199 | ||
3.00%, 04/22/26 | 900,000 | 839,467 | ||
4.10%, 06/03/26 | 440,000 | 430,081 | ||
3.00%, 10/23/26 | 2,210,000 | 2,047,952 | ||
4.30%, 07/22/27 | 1,590,000 | 1,566,799 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 3.58%, 05/22/28^ | 600,000 | 576,664 | ||
5.38%, 11/02/43 | 190,000 | 198,693 | ||
4.65%, 11/04/44 | 70,000 | 66,043 | ||
4.90%, 11/17/45 | 370,000 | 361,576 | ||
4.40%, 06/14/46 | 70,000 | 64,360 | ||
4.75%, 12/07/46 | 260,000 | 250,911 | ||
Wells Fargo Bank NA | ||||
(Variable, ICE LIBOR USD 3M + 0.49%), 3.33%, 07/23/21^ | 1,100,000 | 1,099,176 | ||
(Floating, ICE LIBOR USD 3M + 0.51%), 2.99%, 10/22/21† | 1,600,000 | 1,581,685 | ||
Wells Fargo Capital X | ||||
5.95%, 12/15/36 | 140,000 | 145,250 | ||
Welltower, Inc. REIT | ||||
4.25%, 04/01/26 | 900,000 | 899,789 | ||
Western Gas Partners LP | ||||
3.95%, 06/01/25 | 200,000 | 188,687 | ||
WestRock RKT Co. | ||||
3.50%, 03/01/20 | 150,000 | 149,908 | ||
4.00%, 03/01/23Δ | 30,000 | 30,015 | ||
Whiting Petroleum Corporation | ||||
6.25%, 04/01/23Δ | 50,000 | 45,750 | ||
6.63%, 01/15/26Δ | 140,000 | 120,750 | ||
Williams Cos., Inc. (The) | ||||
5.25%, 03/15/20 | 140,000 | 142,825 | ||
3.60%, 03/15/22 | 155,000 | 152,201 | ||
3.90%, 01/15/25 | 350,000 | 340,499 | ||
7.50%, 01/15/31 | 100,000 | 119,768 | ||
7.75%, 06/15/31 | 585,000 | 709,639 | ||
8.75%, 03/15/32Δ | 181,000 | 236,279 | ||
5.10%, 09/15/45 | 105,000 | 97,352 |
Par | Value | |||
Wm.Wrigley Jr. Co. | ||||
2.90%, 10/21/19 144A | $230,000 | $229,684 | ||
WPX Energy, Inc. | ||||
6.00%, 01/15/22 | 10,000 | 9,775 | ||
8.25%, 08/01/23 | 30,000 | 31,500 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 144A Δ | 500,000 | 491,295 | ||
4.00%, 03/15/28 144A Δ | 1,100,000 | 1,046,562 | ||
Total Corporate Bonds (Cost $319,778,831) | 312,791,951 | |||
FOREIGN BONDS — 14.5% | ||||
Argentina — 0.4% | ||||
Argentina POM Politica Monetaria | ||||
(Floating, Argentina Blended Historical Policy Rate + 0.00%), 59.39%, 06/21/20(ZA) † | 1,110,000 | 31,969 | ||
Argentine Bonos del Tesoro | ||||
18.20%, 10/03/21(ZA) | 13,930,000 | 284,814 | ||
Argentine Republic Government International Bond | ||||
6.25%, 04/22/19 | 1,600,000 | 1,616,616 | ||
5.63%, 01/26/22 | 1,410,000 | 1,194,975 | ||
5.88%, 01/11/28 | 1,190,000 | 859,775 | ||
7.13%, 07/06/36 | 720,000 | 518,850 | ||
(Step to 3.75% on 03/31/19), 2.50%, 12/31/38 STEP | 810,000 | 446,926 | ||
6.88%, 01/11/48 | 580,000 | 406,725 | ||
Provincia de Buenos Aires | ||||
6.50%, 02/15/23 144A | 230,000 | 186,300 | ||
7.88%, 06/15/27 144A | 180,000 | 130,502 | ||
5,677,452 | ||||
Australia — 0.2% | ||||
BHP Billiton Finance (USA), Ltd. | ||||
2.88%, 02/24/22Δ | 20,000 | 19,858 | ||
5.00%, 09/30/43 | 170,000 | 185,982 | ||
(Variable, USD Swap 5Y + 5.09%), 6.75%, 10/19/75 144A ^ | 880,000 | 913,840 | ||
CNOOC Finance 2015 Australia Proprietary, Ltd. | ||||
2.63%, 05/05/20 | 1,300,000 | 1,288,420 | ||
Commonwealth Bank of Australia | ||||
5.00%, 10/15/19 144A | 50,000 | 50,729 | ||
3.90%, 07/12/47 144A | 370,000 | 346,432 | ||
Westpac Banking Corporation | ||||
2.30%, 05/26/20 | 50,000 | 49,431 | ||
2.60%, 11/23/20 | 310,000 | 306,129 | ||
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31Δ ^ | 175,000 | 166,379 | ||
3,327,200 | ||||
Brazil — 0.4% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/21(B) | 6,392,000 | 1,724,385 | ||
10.00%, 01/01/23(B) | 7,128,000 | 1,926,332 | ||
10.00%, 01/01/27(B) | 1,013,000 | 273,518 |
Table of Contents
Par | Value | |||
Brazilian Government International Bond | ||||
4.63%, 01/13/28 | $480,000 | $462,365 | ||
5.63%, 01/07/41 | 750,000 | 722,812 | ||
5.00%, 01/27/45 | 350,000 | 306,822 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 284,000 | 326,174 | ||
5,742,408 | ||||
Canada — 0.4% | ||||
Alimentation Couche-Tard, Inc. | ||||
2.70%, 07/26/22 144A | 275,000 | 265,592 | ||
3.55%, 07/26/27 144A | 75,000 | 70,153 | ||
Bank of Montreal | ||||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 92,725 | ||
Bank of Nova Scotia (The) | ||||
1.88%, 04/26/21 | 1,600,000 | 1,562,741 | ||
Barrick Gold Corporation | ||||
5.25%, 04/01/42 | 560,000 | 561,138 | ||
Bausch Health Cos., Inc. | ||||
7.00%, 03/15/24 144A | 280,000 | 283,500 | ||
Bombardier, Inc. | ||||
7.75%, 03/15/20 144A | 550,000 | 560,312 | ||
Brookfield Finance, Inc. | ||||
3.90%, 01/25/28 | 800,000 | 756,629 | ||
Canadian Natural Resources, Ltd. | ||||
3.85%, 06/01/27Δ | 350,000 | 330,746 | ||
Cenovus Energy, Inc. | ||||
4.25%, 04/15/27Δ | 275,000 | 250,903 | ||
Nutrien, Ltd. | ||||
4.88%, 03/30/20 | 110,000 | 111,951 | ||
Royal Bank of Canada | ||||
2.15%, 10/26/20 | 270,000 | 265,923 | ||
3.20%, 04/30/21 | 300,000 | 300,069 | ||
Toronto-Dominion Bank (The) | ||||
3.25%, 06/11/21 | 370,000 | 371,646 | ||
5,784,028 | ||||
Chile — 0.0% | ||||
Latam Airlines Pass Through Trust, Series 2015-1, Class A | ||||
4.20%, 11/15/27 | 757,273 | 732,661 | ||
China — 0.1% | ||||
China Evergrande Group | ||||
8.75%, 06/28/25 | 200,000 | 169,284 | ||
China Government Bond | ||||
3.31%, 11/30/25(Y) | 1,000,000 | 141,943 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 1,360,000 | 1,320,900 | ||
5.50%, 02/15/24 144A | 80,000 | 77,400 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 398,818 | ||
2,108,345 |
Par | Value | |||
Colombia — 0.1% | ||||
Colombia Government International Bond | ||||
5.63%, 02/26/44 | $480,000 | $496,080 | ||
Ecopetrol SA | ||||
5.88%, 05/28/45Δ | 720,000 | 682,538 | ||
1,178,618 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
10.38%, 03/04/22(V) | 800,000 | 16,037 | ||
14.50%, 02/10/23(V) | 1,300,000 | 29,607 | ||
11.38%, 07/06/29(V) | 700,000 | 14,425 | ||
60,069 | ||||
Ecuador — 0.0% | ||||
Ecuador Government International Bond | ||||
7.88%, 01/23/28 144A | 370,000 | 302,244 | ||
Egypt — 0.0% | ||||
Egypt Government International Bond | ||||
5.58%, 02/21/23 144A | 410,000 | 389,642 | ||
Finland — 0.1% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 259,000 | 241,517 | ||
Nordea Bank Abp | ||||
4.88%, 05/13/21 144A | 640,000 | 651,298 | ||
892,815 | ||||
France — 0.6% | ||||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A Δ | 925,000 | 897,656 | ||
3.38%, 01/09/25 144A | 450,000 | 424,053 | ||
4.40%, 08/14/28 144A | 1,340,000 | 1,310,430 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A Δ ^ | 440,000 | 412,435 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 738,678 | ||
4.63%, 09/12/28 144A | 375,000 | 370,652 | ||
Credit Agricole SA | ||||
2.50%, 04/15/19 144A | 250,000 | 249,623 | ||
(Variable, ICE LIBOR USD 3M + 6.98%), 8.38%, 10/13/19 144A ^ | 510,000 | �� | 524,025 | |
4.38%, 03/17/25 | 275,000 | 266,604 | ||
4.13%, 01/10/27 144A | 450,000 | 434,666 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A Δ ^ | 250,000 | 229,360 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 650,000 | 618,642 | ||
2.95%, 11/02/26 144A | 310,000 | 283,328 |
Table of Contents
Par | Value | |||
Unibail-Rodamco SE REIT | ||||
(Floating, ICE LIBOR USD 3M + 0.77%), 3.21%, 04/16/19† | $1,600,000 | $1,602,992 | ||
XLIT, Ltd. | ||||
4.45%, 03/31/25 | 349,000 | 347,295 | ||
8,710,439 | ||||
Germany — 0.3% | ||||
Deutsche Bank AG | ||||
2.50%, 02/13/19 | 100,000 | 99,813 | ||
2.85%, 05/10/19 | 1,600,000 | 1,590,522 | ||
4.25%, 10/14/21 | 1,500,000 | 1,467,578 | ||
Kreditanstalt fuer Wiederaufbau | ||||
1.50%, 09/09/19 | 1,490,000 | 1,479,544 | ||
4,637,457 | ||||
Hong Kong — 0.0% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A | 200,000 | 200,641 | ||
India — 0.0% | ||||
Bharti Airtel, Ltd. | ||||
4.38%, 06/10/25 144A | 330,000 | 301,033 | ||
Reliance Industries, Ltd. | ||||
3.67%, 11/30/27 144A | 250,000 | 227,994 | ||
529,027 | ||||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
4.88%, 05/05/21 | 570,000 | 583,316 | ||
4.75%, 01/08/26 144A | 250,000 | 253,821 | ||
3.85%, 07/18/27 144A | 500,000 | 475,903 | ||
3.50%, 01/11/28 | 450,000 | 417,287 | ||
5.13%, 01/15/45 144A | 200,000 | 197,632 | ||
5.25%, 01/08/47 144A | 200,000 | 201,227 | ||
4.35%, 01/11/48Δ | 500,000 | 457,561 | ||
2,586,747 | ||||
Ireland — 1.0% | ||||
AerCap Ireland Capital DAC | ||||
5.00%, 10/01/21 | 150,000 | 152,456 | ||
4.63%, 07/01/22 | 550,000 | 552,352 | ||
3.30%, 01/23/23 | 1,625,000 | 1,546,350 | ||
3.50%, 01/15/25 | 600,000 | 548,153 | ||
4.45%, 10/01/25 | 800,000 | 760,563 | ||
AIB Group PLC | ||||
4.75%, 10/12/23 144A | 950,000 | 941,593 | ||
Ardagh Packaging Finance PLC | ||||
7.25%, 05/15/24 144A | 450,000 | 450,563 | ||
Bank of Ireland | ||||
(Variable, EUR Swap Rate 5Y + 6.96%), 7.38%, 06/18/20(E) ^ | 1,000,000 | 1,198,196 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
2.34%, 11/15/20 | 1,723,000 | 1,663,538 | ||
3.37%, 11/15/25 | 597,000 | 531,113 | ||
4.42%, 11/15/35 | 1,700,000 | 1,427,872 |
Par | Value | |||
Shire Acquisitions Investments Ireland DAC | ||||
1.90%, 09/23/19 | $500,000 | $493,080 | ||
2.40%, 09/23/21 | 1,000,000 | 967,614 | ||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | 900,000 | 904,637 | ||
Virgin Media Receivables Financing Notes I DAC | ||||
5.50%, 09/15/24(U) | 2,200,000 | 2,701,130 | ||
14,839,210 | ||||
Israel — 0.1% | ||||
Israel Government AID Bond | ||||
5.50%, 09/18/23 | 1,200,000 | 1,349,992 | ||
5.50%, 12/04/23 | 200,000 | 225,147 | ||
5.50%, 04/26/24 | 500,000 | 568,903 | ||
2,144,042 | ||||
Italy — 0.4% | ||||
Intesa Sanpaolo SpA | ||||
3.13%, 07/14/22 144A | 580,000 | 536,714 | ||
3.38%, 01/12/23 144A Δ | 220,000 | 203,985 | ||
5.02%, 06/26/24 144A | 1,310,000 | 1,189,401 | ||
5.71%, 01/15/26 144A | 200,000 | 183,594 | ||
3.88%, 07/14/27 144A | 1,000,000 | 861,691 | ||
UniCredit SpA | ||||
7.83%, 12/04/23 144A | 3,100,000 | 3,246,243 | ||
Wind Tre SpA | ||||
5.00%, 01/20/26 144A | 525,000 | 435,099 | ||
6,656,727 | ||||
Jamaica — 0.0% | ||||
Digicel, Ltd. | ||||
6.75%, 03/01/23 144A Δ | 300,000 | 238,875 | ||
Japan — 1.5% | ||||
Development Bank of Japan, Inc. | ||||
1.63%, 09/01/21 144A | 1,300,000 | 1,257,786 | ||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | 2,200,000 | 2,109,069 | ||
Japan Treasury Discount Bill | ||||
0.00%, 03/11/19(J) Ω | 1,770,000,000 | 16,153,646 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
2.95%, 03/01/21 | 250,000 | 247,565 | ||
3.00%, 02/22/22 | 180,000 | 177,559 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.06%, 07/14/21 | 260,000 | 251,892 | ||
4.44%, 04/02/24 144A | 350,000 | 352,709 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
4.40%, 11/26/23 144A | 1,700,000 | 1,720,472 | ||
22,270,698 | ||||
Jersey — 0.0% | ||||
UBM PLC | ||||
5.75%, 11/03/20 144A | 230,000 | 235,651 |
Table of Contents
Par | Value | |||
Jordan — 0.1% | ||||
Hashemite Kingdom of Jordan Government AID Bond | ||||
2.50%, 10/30/20 | $1,200,000 | $1,197,143 | ||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 197,152 | ||
Kenya — 0.0% | ||||
Kenya Government International Bond | ||||
6.88%, 06/24/24 | 200,000 | 188,495 | ||
7.25%, 02/28/28 144A | 200,000 | 179,304 | ||
367,799 | ||||
Kuwait — 0.1% | ||||
Kuwait International Government Bond | ||||
3.50%, 03/20/27 144A | 1,490,000 | 1,485,786 | ||
Luxembourg — 0.0% | ||||
Altice Financing SA | ||||
6.63%, 02/15/23 144A | 350,000 | 336,875 | ||
ArcelorMittal | ||||
6.25%, 02/25/22Δ | 50,000 | 52,885 | ||
7.00%, 10/15/39 | 70,000 | 73,892 | ||
463,652 | ||||
Mexico — 0.5% | ||||
America Movil SAB de CV | ||||
6.00%, 06/09/19(M) | 3,030,000 | 152,395 | ||
5.00%, 03/30/20 | 240,000 | 244,312 | ||
Mexican Bonos | ||||
8.00%, 06/11/20(M) | 5,120,000 | 258,853 | ||
6.50%, 06/10/21(M) | 190,100 | 9,243 | ||
8.00%, 12/07/23(M) | 121,800 | 6,054 | ||
10.00%, 12/05/24(M) | 25,130,000 | 1,359,469 | ||
8.50%, 11/18/38(M) | 31,478,500 | 1,542,982 | ||
7.75%, 11/13/42(M) | 40,935,200 | 1,841,358 | ||
8.00%, 11/07/47(M) | 19,952,200 | 917,921 | ||
Mexico City Airport Trust | ||||
5.50%, 07/31/47 | 200,000 | 176,752 | ||
Petroleos Mexicanos | ||||
6.38%, 02/04/21 | 11,000 | 11,148 | ||
5.13%, 03/15/23(E) | 110,000 | 130,653 | ||
6.88%, 08/04/26 | 200,000 | 194,900 | ||
6.50%, 03/13/27 | 80,000 | 75,400 | ||
6.63%, 06/15/35 | 19,000 | 16,682 | ||
5.50%, 06/27/44 | 170,000 | 129,316 | ||
6.38%, 01/23/45 | 370,000 | 299,237 | ||
6.75%, 09/21/47Δ | 220,000 | 182,466 | ||
7,549,141 | ||||
Morocco & Antilles — 0.0% | ||||
OCP SA | ||||
4.50%, 10/22/25 144A | 450,000 | 432,328 | ||
Netherlands — 1.5% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 199,389 |
Par | Value | |||
Alcoa Nederland Holding BV | ||||
7.00%, 09/30/26 144A | $200,000 | $205,000 | ||
Cooperatieve Rabobank UA | ||||
(Variable, ICE LIBOR USD 3M + 10.87%), 11.00%, 06/30/19 144A ^ | 487,000 | 504,654 | ||
4.75%, 01/15/20 144A | 540,000 | 548,970 | ||
(Variable, EUR Swap Rate 5Y + 5.25%), 5.50%, 06/29/20(E) ^ | 500,000 | 588,271 | ||
4.63%, 12/01/23 | 400,000 | 406,015 | ||
4.38%, 08/04/25 | 920,000 | 904,866 | ||
5.25%, 08/04/45 | 370,000 | 382,899 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 260,000 | 252,420 | ||
ING Bank NV | ||||
5.80%, 09/25/23 144A | 340,000 | 355,506 | ||
ING Groep NV | ||||
4.10%, 10/02/23 | 1,100,000 | 1,100,508 | ||
4.63%, 01/06/26 144A Δ | 1,600,000 | 1,613,201 | ||
Mylan NV | ||||
2.25%, 11/22/24(E) | 1,500,000 | 1,718,105 | ||
3.95%, 06/15/26 | 1,700,000 | 1,554,302 | ||
Myriad International Holdings BV | ||||
4.85%, 07/06/27 144A Δ | 420,000 | 403,898 | ||
NXP BV | ||||
3.88%, 09/01/22 144A | 950,000 | 914,375 | ||
Petrobras Global Finance BV | ||||
6.13%, 01/17/22 | 51,000 | 52,466 | ||
6.25%, 03/17/24 | 380,000 | 386,935 | ||
5.30%, 01/27/25 | 2,116,000 | 2,026,070 | ||
7.38%, 01/17/27 | 120,000 | 123,540 | ||
5.75%, 02/01/29 | 210,000 | 194,775 | ||
6.85%, 06/05/15π | 550,000 | 493,488 | ||
Shell International Finance BV | ||||
4.38%, 03/25/20 | 320,000 | 325,578 | ||
2.88%, 05/10/26Δ | 1,210,000 | 1,161,721 | ||
4.55%, 08/12/43 | 120,000 | 125,012 | ||
4.38%, 05/11/45 | 230,000 | 236,398 | ||
4.00%, 05/10/46 | 190,000 | 183,927 | ||
Stichting AK Rabobank Certificaten | ||||
6.50%, 03/29/18(E) | 700,000 | 861,888 | ||
Syngenta Finance NV | ||||
3.70%, 04/24/20 144A | 565,000 | 561,083 | ||
3.93%, 04/23/21 144A | 2,350,000 | 2,319,153 | ||
4.44%, 04/24/23 144A | 1,075,000 | 1,037,006 | ||
5.18%, 04/24/28 144A Δ | 200,000 | 185,804 | ||
UPCB Finance IV, Ltd. | ||||
5.38%, 01/15/25 144A | 200,000 | 187,524 | ||
22,114,747 | ||||
Nigeria — 0.0% | ||||
Nigeria Government International Bond | ||||
6.50%, 11/28/27 144A | 200,000 | 177,444 | ||
7.14%, 02/23/30 144A | 250,000 | 221,885 | ||
399,329 |
Table of Contents
Par | Value | |||
Norway — 0.1% | ||||
Yara International ASA | ||||
4.75%, 06/01/28 144A | $1,100,000 | $1,098,450 | ||
Peru — 0.0% | ||||
Peruvian Government International Bond | ||||
5.63%, 11/18/50Δ | 330,000 | 388,245 | ||
Poland — 0.1% | ||||
Republic of Poland Government International Bond | ||||
4.00%, 01/22/24 | 780,000 | 799,679 | ||
Russia — 0.3% | ||||
Gazprom OAO Via Gaz Capital SA | ||||
7.29%, 08/16/37 | 100,000 | 111,807 | ||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 34,070,000 | 469,479 | ||
7.00%, 08/16/23(Q) | 52,440,000 | 716,872 | ||
7.75%, 09/16/26(Q) | 9,710,000 | 133,996 | ||
8.15%, 02/03/27(Q) | 63,930,000 | 899,608 | ||
7.05%, 01/19/28(Q) | 150,011,000 | 1,959,132 | ||
4,290,894 | ||||
Singapore — 0.0% | ||||
ABJA Investment Co., Pte, Ltd. | ||||
5.45%, 01/24/28 | 200,000 | 170,824 | ||
South Africa — 0.0% | ||||
Republic of South Africa Government Bond | ||||
8.00%, 01/31/30(S) | 780,000 | 49,086 | ||
7.00%, 02/28/31(S) | 2,020,000 | 115,489 | ||
8.25%, 03/31/32(S) | 5,580,000 | 348,112 | ||
8.88%, 02/28/35(S) | 720,000 | 46,506 | ||
6.25%, 03/31/36(S) | 915,000 | 45,460 | ||
9.00%, 01/31/40(S) | 90,000 | 5,755 | ||
6.50%, 02/28/41(S) | 390,000 | 18,927 | ||
8.75%, 01/31/44(S) | 1,500,000 | 92,846 | ||
722,181 | ||||
South Korea — 0.1% | ||||
Export-Import Bank of Korea | ||||
5.00%, 04/11/22 | 900,000 | 946,908 | ||
Spain — 0.2% | ||||
Banco Santander SA | ||||
(Floating, ICE LIBOR USD 3M + 1.12%), 3.55%, 04/12/23† | 200,000 | 196,232 | ||
3.85%, 04/12/23Δ | 400,000 | 389,044 | ||
4.38%, 04/12/28 | 800,000 | 748,377 | ||
Telefonica Emisiones SA | ||||
5.88%, 07/15/19 | 70,000 | 70,848 | ||
4.57%, 04/27/23 | 500,000 | 514,084 | ||
5.21%, 03/08/47 | 400,000 | 367,454 | ||
2,286,039 | ||||
Supranational — 1.3% | ||||
African Development Bank | ||||
(Floating, ICE LIBOR USD 3M + 0.19%), 2.98%, 06/15/20† | 2,700,000 | 2,707,950 |
Par | Value | |||
2.63%, 03/22/21 | $5,530,000 | $5,533,924 | ||
2.31%, 07/14/21 | 6,000,000 | 5,924,871 | ||
International Bank for Reconstruction & Development | ||||
1.63%, 09/04/20 | 5,210,000 | 5,128,200 | ||
19,294,945 | ||||
Sweden — 0.1% | ||||
Stadshypotek AB | ||||
1.88%, 10/02/19 144A | 900,000 | 893,156 | ||
Svenska Handelsbanken AB | ||||
3.35%, 05/24/21 | 250,000 | 249,949 | ||
1,143,105 | ||||
Switzerland — 0.8% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | 225,000 | 235,268 | ||
Credit Suisse Group AG | ||||
4.28%, 01/09/28 144A | 1,800,000 | 1,738,391 | ||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 425,000 | 396,121 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.45%, 04/16/21Δ | 800,000 | 797,560 | ||
3.80%, 09/15/22Δ | 1,300,000 | 1,291,620 | ||
4.55%, 04/17/26 | 2,440,000 | 2,419,520 | ||
4.88%, 05/15/45Δ | 350,000 | 346,692 | ||
UBS Group Funding Switzerland AG | ||||
3.00%, 04/15/21 144A | 1,500,000 | 1,488,888 | ||
2.65%, 02/01/22 144A | 300,000 | 290,490 | ||
(Floating, ICE LIBOR USD 3M + 1.53%), 4.07%, 02/01/22 144A † | 200,000 | 202,033 | ||
3.49%, 05/23/23 144A | 480,000 | 468,394 | ||
4.13%, 09/24/25 144A | 440,000 | 438,756 | ||
4.25%, 03/23/28 144A | 1,490,000 | 1,470,713 | ||
11,584,446 | ||||
Turkey — 0.1% | ||||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 1,237,463 | 1,080,306 | ||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 610,000 | 593,268 | ||
3.13%, 10/11/27 144A | 500,000 | 478,760 | ||
DP World, Ltd. | ||||
5.63%, 09/25/48 144A | 620,000 | 585,280 | ||
1,657,308 | ||||
United Kingdom — 3.3% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A | 700,000 | 662,261 | ||
4.00%, 09/11/27 144A | 220,000 | 199,283 | ||
Barclays Bank PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.89%, 10/25/19† | 2,700,000 | 2,701,600 |
Table of Contents
Par | Value | |||
7.63%, 11/21/22 | $1,700,000 | $1,764,812 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 5Y + 5.88%), 6.50%, 09/15/19(E) ^ | 800,000 | 895,571 | ||
(Variable, USD Swap 5Y + 5.02%), 6.63%, 09/15/19^ | 200,000 | 195,625 | ||
(Floating, ICE LIBOR USD 3M + 2.11%), 4.73%, 08/10/21† | 1,600,000 | 1,613,812 | ||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 950,000 | 942,660 | ||
(Floating, ICE LIBOR USD 3M + 1.38%), 4.01%, 05/16/24† | 1,600,000 | 1,524,640 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 1,400,000 | 1,362,482 | ||
3.25%, 02/12/27(U) | 500,000 | 612,565 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,060,000 | 1,023,914 | ||
BP Capital Markets PLC | ||||
3.56%, 11/01/21 | 30,000 | 30,279 | ||
3.81%, 02/10/24 | 330,000 | 333,453 | ||
3.54%, 11/04/24 | 60,000 | 59,520 | ||
3.51%, 03/17/25Δ | 330,000 | 323,962 | ||
British Telecommunications PLC | ||||
5.13%, 12/04/28 | 450,000 | 453,391 | ||
GlaxoSmithKline Capital PLC | ||||
2.85%, 05/08/22 | 220,000 | 217,435 | ||
5.25%, 12/19/33(U) | 100,000 | 166,935 | ||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | 100,000 | 126,091 | ||
HSBC Bank PLC | ||||
4.75%, 01/19/21 144A | 200,000 | 205,215 | ||
HSBC Holdings PLC | ||||
3.40%, 03/08/21 | 610,000 | 608,607 | ||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.24%, 05/18/21† | 400,000 | 394,198 | ||
(Floating, ICE LIBOR USD 3M + 1.50%), 4.29%, 01/05/22† Δ | 400,000 | 404,173 | ||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 525,000 | 514,027 | ||
(Variable, USD ICE Swap Rate 5Y + 3.45%), 6.25%, 03/23/23^ | 540,000 | 506,925 | ||
4.25%, 03/14/24 | 240,000 | 238,454 | ||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.64%, 05/18/24† | 900,000 | 877,088 | ||
4.25%, 08/18/25 | 220,000 | 213,834 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28^ | 700,000 | 670,418 | ||
(Variable, USD ICE Swap Rate 5Y + 3.61%), 6.50%, 03/23/28^ | 540,000 | 491,400 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 1,000,000 | 992,369 | ||
6.50%, 09/15/37 | 500,000 | 568,285 | ||
Lloyds Bank Corporate Markets PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.91%, 10/26/20† | 1,600,000 | 1,600,426 | ||
Lloyds Bank PLC | ||||
(Variable, ICE LIBOR USD 3M + 11.76%), 12.00%, 12/16/24 144A ^ | 1,200,000 | 1,409,394 |
Par | Value | |||
(Step to 0.00% on 04/02/22), 7.50%, 04/02/32 STEP | $2,000,000 | $1,607,313 | ||
Lloyds Banking Group PLC | ||||
4.05%, 08/16/23 | 1,400,000 | 1,384,536 | ||
2.25%, 10/16/24(U) | 400,000 | 488,473 | ||
4.50%, 11/04/24 | 240,000 | 232,043 | ||
4.38%, 03/22/28 | 800,000 | 760,367 | ||
4.55%, 08/16/28Δ | 230,000 | 221,411 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.57%, 11/07/28^ | 200,000 | 178,234 | ||
Nationwide Building Society | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.77%, 03/08/24 144A ^ | 2,000,000 | 1,926,704 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 4.36%, 08/01/24 144A ^ | 1,300,000 | 1,274,952 | ||
Reckitt Benckiser Group PLC | ||||
2.75%, 06/26/24 144A | 600,000 | 567,497 | ||
Royal Bank of Scotland Group PLC | ||||
6.13%, 12/15/22 | 180,000 | 182,581 | ||
2.50%, 03/22/23(E) | 1,400,000 | 1,637,635 | ||
(Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23^ | 429,000 | 412,857 | ||
(Floating, ICE LIBOR USD 3M + 1.47%), 4.09%, 05/15/23† | 1,300,000 | 1,261,818 | ||
3.88%, 09/12/23 | 579,000 | 555,667 | ||
6.00%, 12/19/23 | 110,000 | 111,450 | ||
5.13%, 05/28/24 | 280,000 | 271,794 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | 2,165,779 | ||
Santander UK Group Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 1,500,000 | 1,424,552 | ||
(Variable, ICE LIBOR USD 3M + 1.57%), 4.80%, 11/15/24^ | 1,700,000 | 1,689,814 | ||
(Variable, GBP Swap Rate 1Y + 1.38%), 2.92%, 05/08/26(U) ^ | 1,300,000 | 1,596,840 | ||
(Variable, ICE LIBOR USD 3M + 1.40%), 3.82%, 11/03/28Δ ^ | 800,000 | 724,448 | ||
Santander UK PLC | ||||
2.38%, 03/16/20 | 160,000 | 158,281 | ||
Severn Trent Utilities Finance PLC | ||||
6.25%, 06/07/29(U) | 100,000 | 166,423 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) | 100,000 | 133,318 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.15%), 4.25%, 01/20/23 144A ^ | 1,000,000 | 991,431 | ||
5.70%, 03/26/44 144A Δ | 430,000 | 431,729 | ||
Vodafone Group PLC | ||||
3.75%, 01/16/24 | 1,025,000 | 1,011,420 | ||
4.38%, 05/30/28 | 1,200,000 | 1,166,300 | ||
5.25%, 05/30/48 | 580,000 | 546,502 | ||
50,187,273 | ||||
Total Foreign Bonds (Cost $227,432,445) | 219,102,676 |
Table of Contents
Par | Value | |||
LOAN AGREEMENTS — 0.9% | ||||
Air Medical Group Holdings, Inc. 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 1.00% Floor), 5.68%, 04/28/22† | $462,955 | $434,164 | ||
American Airlines, Inc. 2018 Replacement Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.26%, 06/27/25† | 350,000 | 329,000 | ||
American Axle & Manufacturing, Inc. Tranche B Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.25%, 0.75% Floor), 4.74%, 04/06/24† | 18,667 | 17,745 | ||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.75% Floor), 4.76%, 04/06/24† | 27,485 | 26,128 | ||
American Builders & Contractors Supply Co., Inc. Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 0.75% Floor), 4.52%, 10/31/23† | 601,434 | 573,943 | ||
Atlantic Aviation FBO, Inc. Term Loan | ||||
0.00%, 12/06/25† Σ | 90,000 | 89,437 | ||
(Floating, ICE LIBOR USD 1M + 3.75%), 6.13%, 12/06/25† | 90,000 | 89,437 | ||
Avolon TLB Borrower 1 (US) LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 0.75% Floor), 4.47%, 01/15/25† | 675,463 | 650,910 | ||
Beacon Roofing Supply, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.68%, 01/02/25† | 598,490 | 570,810 | ||
Berry Global, Inc. Term Q Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.39%, 10/01/22† | 135,408 | 132,625 | ||
Berry Global, Inc. Term R Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.39%, 01/19/24† | 457,257 | 446,560 | ||
BWay Holding Co. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%), 5.66%, 04/03/24† | 423,550 | 399,725 | ||
Catalent Pharma Solutions, Inc. Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 1.00% Floor), 4.77%, 05/20/24† | 229,540 | 223,687 | ||
Charter Communications Operating LLC Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.53%, 04/30/25† | 630,932 | 606,881 | ||
Dell International L.L.C. Refinancing Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 0.75% Floor), 4.53%, 09/07/23† | 492,800 | 474,936 |
Par | Value | |||
Delos Finance S.a r.l. New Loan | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 4.55%, 10/06/23† | $560,000 | $546,280 | ||
Envision Healthcare Corporation Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 6.27%, 10/10/25† | 540,000 | 504,706 | ||
First Data Corporation 2024A New Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.50%, 04/26/24† | 911,932 | 873,403 | ||
Flying Fortress Holdings LLC New Loan | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 4.55%, 10/30/22† | 410,000 | 402,911 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.52%, 11/30/23† | 172,385 | 165,890 | ||
HCA, Inc. Tranche B-10 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.52%, 03/13/25† | 63,976 | 62,891 | ||
Hilton Worldwide Finance LLC Series B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.26%, 10/25/23† | 408,355 | 395,229 | ||
Jaguar Holding Co. I LLC 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 5.02%, 08/18/22† | 491,565 | 468,830 | ||
Michaels Stores, Inc. 2018 New Replacement Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 4.97%, 01/30/23† | 182,222 | 174,705 | ||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 5.01%, 01/30/23† | 31,418 | 30,122 | ||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 5.02%, 01/30/23† | 482,258 | 462,365 | ||
MPH Acquisition Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 1.00% Floor), 5.55%, 06/07/23† | 504,345 | 479,479 | ||
Numericable U.S. LLC USD TLB Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.69%), 6.14%, 01/31/26† | 390,840 | 363,872 | ||
ON Semiconductor Corporation 2018 New Replacement Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.27%, 03/31/23† | 79,193 | 76,174 | ||
PetSmart, Inc. Tranche B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%, 1.00% Floor), 5.38%, 03/11/22† | 887,215 | 704,067 |
Table of Contents
Par | Value | |||
Post Holdings, Inc. Series A Incremental Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.51%, 05/24/24† | $77,380 | $74,768 | ||
Prime Security Services Borrower LLC December 2018 Incremental Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.27%, 05/02/22† | 410,956 | 392,976 | ||
Realogy Group LLC Extended 2025 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.71%, 02/08/25† | 62,884 | 59,740 | ||
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 5.27%, 02/05/23† | 117,584 | 112,419 | ||
RPI Finance Trust Initial Term Loan B-6 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.52%, 03/27/23† | 528,908 | 513,514 | ||
Sprint Communications, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 5.06%, 02/02/24† | 425,285 | 405,794 | ||
Trans Union LLC 2017 Replacement Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.52%, 04/10/23† | 221,989 | 214,140 | ||
Unitymedia Finance LLC Facility D Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.71%, 01/15/26† | 250,000 | 242,082 | ||
Univision Communications, Inc. 2017 Replacement Repriced First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.27%, 03/15/24† | 898,609 | 817,734 | ||
UPC Financing Partnership Facility AR | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.96%, 01/15/26† | 276,430 | 263,784 | ||
Vistra Operations Co. LLC 2016 Incremental Term Loan | ||||
0.00%, 12/14/23† Σ | 20,000 | 19,283 | ||
Vistra Operations Co. LLC 2018 Incremental Term Loan | ||||
0.00%, 12/31/25† Σ | 29,925 | 28,873 | ||
Vistra Operations Co. LLC Initial Term Loan | ||||
0.00%, 08/04/23† Σ | 99,873 | 96,529 | ||
Total Loan Agreements (Cost $14,860,153) | 14,018,548 | |||
MORTGAGE-BACKED SECURITIES — 44.8% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 3.34%, 09/15/34 144A † | 1,200,000 | 1,189,832 |
Par | Value | |||
Aggregator of Loans Backed by Assets PLC, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR GBP 1M + 1.25%), 1.98%, 04/24/49(U) † | $627,417 | $800,216 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, ICE LIBOR GBP 3M + 0.17%), 1.08%, 03/17/39(U) † | 749,166 | 888,072 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 2.70%, 09/25/46† | 410,416 | 378,051 | ||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | ||||
(Floating, ICE LIBOR USD 6M + 1.50%, 1.50% Floor, 11.00% Cap), 4.39%, 09/25/45† | 460,490 | 459,189 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
4.36%, 05/25/35† γ | 574,879 | 603,074 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
4.49%, 07/25/34† γ | 53,299 | 54,403 | ||
Bancorp Commercial Mortgage, Series 2018-CRE4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.95% Floor), 3.36%, 09/15/35 144A † | 778,350 | 779,321 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.82%, 11/15/54† IO γ | 9,975,074 | 564,120 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,637,802 | ||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.56%, 08/10/33 144A † γ | 390,000 | 379,423 | ||
BBCCRE Trust, Series 2015-GTP, Class E | ||||
4.56%, 08/10/33 144A † γ | 1,210,000 | 1,092,802 | ||
BBCMS Trust, Series 2015-STP, Class A | ||||
3.32%, 09/10/28 144A | 1,244,574 | 1,247,487 | ||
BCAP LLC, Series 2014-RR2, Class 7A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 2.52%, 01/26/38 144A † | 1,022,935 | 979,841 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
4.03%, 05/25/35† γ | 173,980 | 176,002 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
4.34%, 02/25/33† γ | 8,651 | 8,705 | ||
Bear Stearns ARM Trust, Series 2004-2, Class 24A | ||||
2.38%, 05/25/34 | 19,103 | 17,846 | ||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
4.35%, 01/26/36† γ | 500,286 | 454,226 |
Table of Contents
Par | Value | |||
BX Commercial Mortgage Trust, Series 2018-IND, Class H | ||||
(Floating, ICE LIBOR USD 1M + 3.00%, 3.00% Floor), 5.46%, 11/15/35 144A † | $3,614,606 | $3,586,703 | ||
BX Trust, Series 2017-IMC, Class F | ||||
(Floating, ICE LIBOR USD 1M + 4.25%, 4.25% Floor), 6.71%, 10/15/32 144A † | 1,000,000 | 1,003,273 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
4.66%, 02/19/34† γ | 282,628 | 285,756 | ||
CHL Mortgage Pass-Through Trust, Series 2004-HYB5, Class 2A1 | ||||
4.31%, 04/20/35† γ | 370,179 | 367,490 | ||
CHT Mortgage Trust, Series 2017-CSMO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 3.39%, 11/15/36 144A † | 540,000 | 534,280 | ||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class XA | ||||
1.19%, 05/10/47† IO γ | 1,004,543 | 48,227 | ||
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5 | ||||
3.14%, 02/10/48 | 650,000 | 639,903 | ||
Cold Storage Trust, Series 2017-ICE3, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 3.71%, 04/15/36 144A † | 460,000 | 451,611 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 51,514 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 41,351 | ||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.09%, 10/10/46† γ | 20,000 | 20,259 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 390,000 | 387,528 | ||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.61%, 08/10/49 144A † γ | 160,000 | 162,438 | ||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.35%, 02/10/48† γ | 80,000 | 77,808 | ||
Credit Suisse First Boston Mortgage Securities Corporation, Series 2003-AR20, Class 2X | ||||
0.00%, 08/25/33 IO | 8,488 | — | ||
Credit Suisse Mortgage Capital Certificates, Series 2018-PLUM, Class A | ||||
(Floating, ICE LIBOR USD 1M + 3.23%, 3.23% Floor), 5.69%, 08/15/20 144A † | 2,300,000 | 2,302,781 |
Par | Value | |||
CSFB Mortgage-Backed Pass-Through Certificates Series, Series 2003-AR18, Class 2X | ||||
0.00%, 07/25/33 IO | $23,760 | $ — | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
3.88%, 06/25/50 144A † γ | 2,185,813 | 1,635,468 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 5,498,566 | 5,376,957 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 528,673 | ||
DBCG Mortgage Trust, Series 2017-BBG, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 3.16%, 06/15/34 144A † | 310,000 | 305,783 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series, Series 2006-AR1, Class 3A1 | ||||
4.05%, 02/25/36† γ | 793,850 | 752,267 | ||
Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 3.29%, 06/15/35 144A † | 1,400,000 | 1,398,314 | ||
Fannie Mae Connecticut Avenue Securities, Series 2016-C04 | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 6.76%, 01/25/29† | 200,000 | 221,668 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 666 | 703 | ||
4.00%, 10/01/25 | 142,880 | 146,627 | ||
5.50%, 02/01/27 | 26,533 | 28,034 | ||
4.50%, 10/01/29 | 2,074 | 2,148 | ||
7.50%, 11/01/29 | 3,201 | 3,642 | ||
7.50%, 12/01/29 | 3,554 | 4,033 | ||
7.50%, 02/01/31 | 4,250 | 4,387 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%, 11.36% Cap), 4.48%, 07/01/31† | 2,923 | 3,005 | ||
7.50%, 11/01/31 | 7,912 | 7,923 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 10.50% Cap), 4.35%, 04/01/32† | 1,481 | 1,541 | ||
3.50%, 08/01/33 | 680,376 | 688,409 | ||
5.00%, 08/01/33 | 4,288 | 4,555 | ||
5.00%, 09/01/33 | 838 | 890 | ||
5.00%, 10/01/33 | 2,509 | 2,665 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 9.19% Cap), 4.19%, 03/01/34† | 1,066 | 1,130 | ||
5.00%, 12/01/34 | 71,206 | 75,591 | ||
5.50%, 05/01/35 | 244,002 | 263,099 | ||
5.00%, 07/01/35 | 3,653 | 3,881 | ||
5.00%, 11/01/35 | 108,068 | 114,780 | ||
5.50%, 11/01/35 | 25,139 | 27,112 |
Table of Contents
Par | Value | |||
5.00%, 12/01/35 | $9,976 | $10,653 | ||
6.00%, 02/01/36 | 194,593 | 209,493 | ||
5.00%, 02/01/37 | 9,375 | 9,939 | ||
5.50%, 07/01/37 | 28,522 | 30,778 | ||
3.00%, 02/01/38 | 283,621 | 279,187 | ||
3.00%, 04/01/38 | 189,540 | 186,728 | ||
5.50%, 04/01/38 | 6,761 | 7,291 | ||
7.00%, 03/01/39 | 15,712 | 17,833 | ||
4.50%, 06/01/39 | 82,979 | 86,665 | ||
6.50%, 09/01/39 | 33,967 | 38,563 | ||
4.00%, 02/01/41 | 59,581 | 61,284 | ||
5.00%, 06/01/41 | 3,037 | 3,219 | ||
3.50%, 10/01/42 | 114,741 | 115,414 | ||
4.00%, 10/01/42 | 50,114 | 51,447 | ||
3.50%, 11/01/42 | 254,953 | 256,451 | ||
3.50%, 12/01/42 | 68,490 | 68,893 | ||
3.50%, 01/01/43 | 385,951 | 388,206 | ||
3.50%, 02/01/43 | 267,211 | 268,780 | ||
3.50%, 03/01/43 | 633,717 | 637,427 | ||
4.00%, 04/01/43 | 118,446 | 121,580 | ||
3.50%, 05/01/43 | 431,987 | 435,326 | ||
4.00%, 05/01/43 | 53,952 | 55,662 | ||
4.00%, 06/01/43 | 63,464 | 65,475 | ||
4.00%, 07/01/43 | 212,520 | 219,075 | ||
4.00%, 08/01/43 | 123,190 | 126,480 | ||
4.50%, 12/01/43 | 808,205 | 847,410 | ||
3.50%, 02/01/44 | 63,093 | 63,463 | ||
4.50%, 02/01/44 | 652,333 | 683,916 | ||
4.50%, 03/01/44 | 195,164 | 204,658 | ||
3.50%, 03/01/45 | 679,593 | 683,572 | ||
4.00%, 12/01/45 | 477,964 | 488,157 | ||
4.00%, 09/01/46 | 1,549,339 | 1,582,446 | ||
4.50%, 01/01/47 | 950,364 | 985,433 | ||
3.50%, 04/01/47 | 11,654,286 | 11,678,537 | ||
4.00%, 07/01/47 | 759,421 | 775,647 | ||
5.00%, 07/01/47 | 489,538 | 514,190 | ||
4.00%, 08/01/47 | 177,162 | 181,353 | ||
3.00%, 09/01/47 | 1,185,462 | 1,157,072 | ||
3.00%, 01/19/48 TBA | 6,200,000 | 6,042,142 | ||
4.00%, 01/19/48 TBA | 5,800,000 | 5,913,170 | ||
3.50%, 04/01/48 | 1,968,484 | 1,968,674 | ||
4.00%, 04/01/48 | 286,049 | 291,850 | ||
4.00%, 05/01/48 | 1,827,485 | 1,864,500 | ||
4.50%, 08/01/48 | 1,963,457 | 2,059,608 | ||
5.00%, 08/01/48 | 488,723 | 513,380 | ||
4.00%, 09/01/48 | 7,464,117 | 7,614,545 | ||
5.00%, 09/01/48 | 1,285,350 | 1,348,790 | ||
5.00%, 10/01/48 | 393,771 | 412,969 | ||
5.00%, 11/01/48 | 298,935 | 314,050 | ||
5.00%, 01/01/49 | 1,700,000 | 1,782,929 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 164,868 | 183,688 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 2.96%, 06/15/37† | 115,689 | 116,443 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 3.77%, 01/15/40† IO | $230,699 | $31,157 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 3.49%, 10/15/41† IO | 153,846 | 22,875 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 4.03%, 12/15/41† IO | 287,391 | 51,992 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.54%, 08/15/42† IO | 234,833 | 41,409 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 856,613 | 137,618 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 347,277 | 325,059 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 309,049 | 28,111 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | 277,698 | 37,383 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 3.49%, 02/15/44† IO | 115,570 | 17,531 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.54%, 05/15/44† IO | 119,843 | 18,938 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
1.65%, 04/15/41† IO γ | 175,627 | 8,648 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%), 2.74%, 07/15/40† | 446,669 | 445,709 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 1,395,025 | 1,366,786 | ||
3.00%, 06/15/48 | 1,038,764 | 1,012,577 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 1,444,418 | 1,406,274 | ||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.54%, 12/15/46† IO | 414,072 | 72,656 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association | ||||
2.68%, 04/01/19 | $492,902 | $491,908 | ||
9.50%, 05/01/22 | 92 | 92 | ||
(Floating, COF 11th District San Francisco + 1.25%, 12.75% Cap), 2.27%, 07/01/22† | 1,162 | 1,154 | ||
5.50%, 09/01/23 | 21,210 | 21,834 | ||
5.50%, 10/01/23 | 5,011 | 5,175 | ||
9.50%, 07/01/24 | 90 | 91 | ||
2.81%, 04/01/25 | 50,000 | 49,597 | ||
5.50%, 05/01/25 | 11,412 | 11,563 | ||
(Floating, COF 11th District San Francisco + 1.25%, 12.05% Cap), 2.27%, 07/01/27† | 9,039 | 8,949 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 11.86% Cap), 4.21%, 08/01/27† | 14,779 | 15,367 | ||
(Floating, COF 11th District San Francisco + 1.25%, 10.61% Cap), 2.27%, 11/01/27 CONV † | 9,614 | 9,548 | ||
2.84%, 01/01/28 | 820,000 | 795,523 | ||
3.08%, 01/01/28 | 140,000 | 136,805 | ||
3.15%, 03/01/28 | 150,000 | 147,972 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.64%, 12.39% Cap), 4.89%, 02/01/30† | 71,001 | 72,470 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.38%, 10.65% Cap), 4.63%, 06/01/30 CONV † | 11,802 | 11,918 | ||
8.00%, 10/01/30 | 9,843 | 11,571 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 12.62% Cap), 4.95%, 12/01/30 CONV † | 3,492 | 3,529 | ||
(Floating, COF 11th District San Francisco + 1.25%, 10.55% Cap), 2.27%, 01/01/31† | 5,000 | 4,928 | ||
4.50%, 04/01/31 | 47,847 | 50,043 | ||
4.50%, 05/01/31 | 172,030 | 179,927 | ||
4.50%, 06/01/31 | 51,437 | 53,798 | ||
4.50%, 11/01/31 | 75,945 | 79,433 | ||
6.00%, 11/01/31 | 1,938 | 2,113 | ||
4.50%, 12/01/31 | 117,409 | 122,761 | ||
6.00%, 01/01/32 | 54,273 | 58,310 | ||
6.00%, 03/01/32 | 4,182 | 4,495 | ||
6.00%, 04/01/32 | 107,750 | 115,899 | ||
(Floating, COF 11th District San Francisco + 1.25%, 10.95% Cap), 2.27%, 06/01/32† | 6,706 | 6,606 | ||
(Floating, COF 11th District San Francisco + 1.25%, 12.22% Cap), 2.27%, 08/01/32† | 6,825 | 6,725 | ||
3.50%, 01/19/33 TBA | 5,800,000 | 5,870,122 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 9.75% Cap), 3.88%, 02/01/33† | 909 | 919 |
Par | Value | |||
(Floating, COF 11th District San Francisco + 1.25%, 11.98% Cap), 2.27%, 05/01/33† | $17,103 | $16,892 | ||
5.00%, 07/01/33 | 21,589 | 22,933 | ||
5.00%, 09/01/33 | 26,703 | 28,367 | ||
3.50%, 12/01/33 | 254,971 | 258,167 | ||
3.50%, 01/01/34 | 545,030 | 548,522 | ||
3.50%, 02/01/34 | 1,400,000 | 1,417,546 | ||
3.50%, 05/01/34 | 144,371 | 147,101 | ||
6.00%, 10/01/34 | 26,734 | 28,705 | ||
(Floating, ICE LIBOR USD 1Y + 1.60%, 9.80% Cap), 3.35%, 12/01/34† | 33,538 | 35,440 | ||
6.00%, 05/01/35 | 421,179 | 459,563 | ||
6.00%, 07/01/35 | 81,183 | 87,658 | ||
5.50%, 09/01/35 | 56,552 | 59,867 | ||
5.00%, 10/01/35 | 74,488 | 79,135 | ||
6.00%, 10/01/35 | 21,440 | 23,254 | ||
(Floating, COF 11th District San Francisco + 1.25%, 10.54% Cap), 2.27%, 11/01/35† | 3,459 | 3,458 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.94%, 8.98% Cap), 4.02%, 11/01/35† | 37,507 | 38,364 | ||
6.00%, 11/01/35 | 270,709 | 291,687 | ||
5.50%, 04/01/36 | 3,790 | 3,929 | ||
(Floating, COF 11th District San Francisco + 1.25%, 3.56% Floor, 12.94% Cap), 4.03%, 05/01/36† | 32,664 | 34,069 | ||
5.50%, 11/01/36 | 61,982 | 66,787 | ||
5.50%, 03/01/37 | 3,710 | 3,998 | ||
6.00%, 07/01/37 | 586,393 | 640,193 | ||
6.50%, 10/01/37 | 51,226 | 55,613 | ||
7.00%, 10/01/37 | 1,334 | 1,444 | ||
7.00%, 11/01/37 | 5,024 | 5,446 | ||
(Floating, COF 11th District San Francisco + 1.25%, 10.65% Cap), 2.27%, 12/01/37† | 23,168 | 22,822 | ||
3.00%, 12/01/37 | 186,506 | 184,556 | ||
7.00%, 12/01/37 | 3,327 | 3,815 | ||
(Floating, COF 11th District San Francisco + 1.25%, 10.52% Cap), 2.27%, 01/01/38† | 14,085 | 13,968 | ||
7.00%, 02/01/38 | 1,748 | 1,900 | ||
4.50%, 03/01/38 | 3,543 | 3,670 | ||
4.50%, 04/01/38 | 70,712 | 74,086 | ||
5.00%, 04/01/38 | 73,878 | 77,901 | ||
5.00%, 06/01/38 | 80,508 | 84,860 | ||
5.50%, 08/01/38 | 43,149 | 46,517 | ||
7.00%, 11/01/38 | 15,677 | 17,804 | ||
7.00%, 02/01/39 | 7,156 | 8,145 | ||
6.00%, 12/01/39 | 257,622 | 281,168 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 9.69% Cap), 3.45%, 06/01/40† | 30,322 | 31,205 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 10.67% Cap), 3.45%, 10/01/40† | 4,934 | 4,983 |
Table of Contents
Par | Value | |||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 10.51% Cap), 3.45%, 10/01/40† | $96,401 | $96,266 | ||
(Floating, COF 11th District San Francisco + 1.25%, 10.25% Cap), 2.27%, 11/01/40† | 8,046 | 7,957 | ||
4.50%, 04/01/41 | 98,521 | 103,232 | ||
4.50%, 08/01/41 | 57,427 | 60,152 | ||
4.50%, 11/01/41 | 309,704 | 324,112 | ||
4.00%, 06/01/42 | 53,890 | 55,438 | ||
3.50%, 09/01/42 | 53,162 | 53,493 | ||
2.50%, 10/01/42 | 383,014 | 363,411 | ||
4.00%, 10/01/42 | 209,838 | 215,329 | ||
2.50%, 11/01/42 | 22,626 | 21,470 | ||
4.00%, 11/01/42 | 1,688,689 | 1,739,053 | ||
2.50%, 12/01/42 | 16,428 | 15,587 | ||
3.00%, 12/01/42 | 17,078 | 16,794 | ||
4.00%, 12/01/42 | 116,926 | 120,285 | ||
2.50%, 01/01/43 | 16,250 | 15,419 | ||
3.00%, 01/01/43 | 307,373 | 302,054 | ||
3.50%, 01/01/43 | 1,623,583 | 1,631,698 | ||
2.50%, 02/01/43 | 19,621 | 18,617 | ||
2.50%, 03/01/43 | 1,457,585 | 1,382,998 | ||
3.00%, 03/01/43 | 191,786 | 188,541 | ||
2.50%, 04/01/43 | 1,205,314 | 1,143,635 | ||
3.00%, 04/01/43 | 290,767 | 285,944 | ||
4.00%, 04/01/43 | 54,441 | 56,168 | ||
2.50%, 05/01/43 | 27,468 | 26,062 | ||
3.00%, 05/01/43 | 185,617 | 182,504 | ||
2.50%, 06/01/43 | 25,217 | 23,927 | ||
3.00%, 06/01/43 | 55,420 | 54,473 | ||
4.00%, 06/01/43 | 505,107 | 520,373 | ||
3.00%, 07/01/43 | 502,201 | 493,747 | ||
4.00%, 07/01/43 | 523,668 | 538,948 | ||
2.50%, 08/01/43 | 838,158 | 794,120 | ||
4.00%, 08/01/43 | 174,853 | 179,417 | ||
4.50%, 09/01/43 | 578,645 | 603,485 | ||
2.50%, 10/01/43 | 38,909 | 36,852 | ||
4.50%, 10/01/43 | 185,324 | 193,755 | ||
4.50%, 11/01/43 | 126,512 | 132,296 | ||
4.50%, 12/01/43 | 175,907 | 183,940 | ||
4.50%, 01/01/44 | 112,133 | 117,256 | ||
4.50%, 02/01/44 | 827,606 | 862,128 | ||
4.50%, 07/01/44 | 102,619 | 107,673 | ||
4.50%, 10/01/44 | 433,417 | 454,559 | ||
4.00%, 01/01/45 | 168,446 | 173,246 | ||
4.50%, 02/01/45 | 1,067,522 | 1,124,899 | ||
4.50%, 04/01/45 | 612,565 | 645,139 | ||
4.50%, 05/01/45 | 68,105 | 71,600 | ||
3.50%, 06/01/45 | 651,941 | 654,508 | ||
4.50%, 06/01/45 | 807,145 | 840,790 | ||
3.00%, 11/01/45 | 1,540,622 | 1,504,297 | ||
3.50%, 12/01/45 | 226,749 | 227,560 | ||
3.50%, 01/01/46 | 447,326 | 449,057 | ||
3.00%, 05/01/46 | 531,677 | 518,531 | ||
3.00%, 08/01/46 | 719,965 | 702,163 | ||
3.00%, 11/01/46 | 3,173,440 | 3,098,293 |
Par | Value | |||
4.50%, 11/01/46 | $819,276 | $849,512 | ||
5.00%, 11/01/46 | 1,064,436 | 1,124,467 | ||
4.50%, 03/01/47 | 968,532 | 1,008,173 | ||
4.00%, 04/01/47 | 753,666 | 771,400 | ||
4.00%, 05/01/47 | 175,539 | 179,458 | ||
4.50%, 05/01/47 | 867,750 | 899,693 | ||
4.50%, 06/01/47 | 805,148 | 842,748 | ||
4.50%, 07/01/47 | 1,559,761 | 1,625,550 | ||
4.50%, 08/01/47 | 104,206 | 104,913 | ||
3.50%, 09/01/47 | 19,570,620 | 19,586,090 | ||
3.50%, 10/01/47 | 19,893,940 | 19,905,568 | ||
3.50%, 11/01/47 | 25,045,915 | 25,060,554 | ||
4.50%, 11/01/47 | 355,110 | 370,108 | ||
3.50%, 12/01/47 | 25,393,340 | 25,408,132 | ||
4.00%, 12/01/47 | 581,767 | 597,032 | ||
4.00%, 01/01/48 | 590,505 | 606,031 | ||
3.00%, 01/19/48 TBA | 100,420,000 | 97,887,608 | ||
3.50%, 01/19/48 TBA | 22,100,000 | 22,067,049 | ||
4.00%, 01/19/48 TBA | 3,200,000 | 3,262,250 | ||
4.50%, 01/19/48 TBA | 48,700,000 | 50,435,887 | ||
5.00%, 01/19/48 TBA | 2,000,000 | 2,095,156 | ||
4.00%, 02/01/48 | 1,973,032 | 2,023,625 | ||
3.50%, 02/19/48 TBA | 9,100,000 | 9,092,238 | ||
4.00%, 03/01/48 | 1,652,504 | 1,693,835 | ||
4.00%, 05/01/48 | 958,162 | 981,579 | ||
5.00%, 05/01/48 | 433,954 | 455,210 | ||
4.00%, 06/01/48 | 966,597 | 992,710 | ||
4.00%, 07/01/48 | 2,931,096 | 3,005,940 | ||
3.50%, 08/01/48 | 10,846,013 | 10,852,981 | ||
4.00%, 08/01/48 | 3,975,677 | 4,067,235 | ||
4.50%, 08/01/48 | 399,961 | 414,488 | ||
4.50%, 09/01/48 | 1,884,740 | 1,966,150 | ||
5.00%, 10/01/48 | 1,769,375 | 1,855,255 | ||
4.00%, 11/01/48 | 2,093,741 | 2,135,742 | ||
4.50%, 11/01/48 | 899,911 | 932,395 | ||
5.00%, 11/01/48 | 1,965,625 | 2,065,332 | ||
4.00%, 02/01/56 | 562,438 | 575,717 | ||
4.50%, 04/01/56 | 878,795 | 918,510 | ||
5.50%, 09/01/56 | 827,653 | 888,839 | ||
4.00%, 01/01/57 | 338,002 | 345,981 | ||
3.50%, 03/01/57 | 2,500,093 | 2,492,523 | ||
4.00%, 06/01/57 | 623,867 | 636,678 | ||
4.50%, 09/01/57 | 1,025,698 | 1,065,736 | ||
Federal National Mortgage Association ACES Series 2015-M1 | ||||
0.55%, 09/25/24† IO γ | 3,813,402 | 95,835 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 261,136 | 255,015 | ||
Federal National Mortgage Association ACES, Series 2018-M2 | ||||
2.90%, 01/25/28† γ | 230,000 | 221,158 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | $263,516 | $20,720 | ||
4.50%, 11/25/39 IO | 44,824 | 9,966 | ||
3.50%, 11/25/41 IO | 172,788 | 33,532 | ||
4.00%, 11/25/41 IO | 212,191 | 44,685 | ||
4.00%, 04/25/42 IO | 393,315 | 77,318 | ||
Federal National Mortgage Association REMIC, Series 1991-137 | ||||
868.32%, 10/25/21 IO | 24 | 221 | ||
Federal National Mortgage Association REMIC, Series 1991-97 | ||||
1,009.30%, 08/25/21 IO | 14 | 151 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 2.91%, 10/18/30† | 7,420 | 7,447 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 365,512 | 408,199 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 4.24%, 03/25/37† IO | 505,838 | 77,075 | ||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | 310,286 | 334,717 | ||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | 942,434 | 1,030,945 | ||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 4.04%, 10/25/41† IO | 384,952 | 57,402 | ||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | 155,755 | 13,356 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 26,399 | 30,657 | ||
Federal National Mortgage Association REMIC, Series 2012-118 | ||||
3.50%, 12/25/39 IO | 242,581 | 24,879 | ||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 3.64%, 12/25/42† IO | 132,733 | 22,367 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | $89,434 | $102,313 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 10,832 | 11,563 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 3.99%, 04/25/42† IO | 128,389 | 22,126 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 132,698 | 142,946 | ||
Federal National Mortgage Association REMIC, Series 2012-70 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.14%, 02/25/41† IO | 25,614 | 2,840 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.14%, 03/25/42† IO | 163,957 | 19,825 | ||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 4.09%, 07/25/42† IO | 46,960 | 7,919 | ||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 3.44%, 12/25/43† IO | 494,838 | 87,486 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 201,233 | 38,384 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 1,006,855 | 85,987 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 555,148 | 107,040 | ||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 3.64%, 06/25/43† IO | 225,294 | 41,224 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 566,850 | 617,144 |
Table of Contents
Par | Value | |||
6.50%, 07/25/42 | $230,436 | $261,480 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
1.69%, 08/25/44† IO γ | 473,072 | 25,096 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
1.34%, 08/25/55† IO γ | 159,810 | 7,663 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 3.64%, 08/25/45† IO | 68,525 | 13,616 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.59%, 10/25/57† IO | 965,488 | 166,702 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 3.69%, 11/25/47† IO | 316,295 | 47,148 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K015 | ||||
1.57%, 07/25/21† IO γ | 582,620 | 19,542 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K016 | ||||
1.49%, 10/25/21† IO γ | 182,723 | 6,409 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044 | ||||
0.75%, 01/25/25† IO γ | 1,277,701 | 47,580 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | ||||
0.44%, 08/25/27† IO γ | 2,439,456 | 78,013 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | ||||
0.95%, 08/25/23† IO γ | 3,282,709 | 116,717 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KF11 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 3.00%, 09/25/25† | 453,663 | 454,144 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KJ17 | ||||
2.98%, 11/25/25 | 590,000 | 584,748 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA1 | ||||
(Floating, ICE LIBOR USD 1M + 4.15%), 6.66%, 01/25/25† | 309,241 | 328,677 |
Par | Value | |||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%, 3.80% Floor), 6.31%, 03/25/29† | $250,000 | $270,002 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2 | ||||
(Floating, ICE LIBOR USD 1M + 5.15%), 7.66%, 11/25/28† | 300,000 | 347,115 | ||
FHLMC Structured Pass-Through Certificates, Series T-61 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.56%, 07/25/44† | 594,284 | 616,856 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
4.29%, 06/25/34† γ | 228,956 | 226,767 | ||
Flagstar Mortgage Trust, Series 2018-2, Class A4 | ||||
3.50%, 04/25/48 144A † γ | 1,263,589 | 1,237,138 | ||
FREMF Mortgage Trust, Series 2012-K20, Class X2A | ||||
0.20%, 05/25/45 144A IO | 5,330,343 | 29,727 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 2,683 | 2,829 | ||
7.00%, 07/15/27 | 27,179 | 30,076 | ||
7.00%, 01/15/28 | 11,902 | 12,022 | ||
7.00%, 03/15/28 | 36,924 | 41,095 | ||
7.00%, 07/15/28 | 5,435 | 5,775 | ||
7.50%, 07/15/28 | 10,268 | 10,406 | ||
6.50%, 08/15/28 | 2,423 | 2,611 | ||
7.00%, 08/15/28 | 6,779 | 7,206 | ||
7.50%, 08/15/28 | 7,029 | 7,623 | ||
6.50%, 09/15/28 | 4,634 | 5,168 | ||
7.00%, 10/15/28 | 11,800 | 11,868 | ||
7.50%, 03/15/29 | 11,796 | 13,493 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.00% Floor, 11.00% Cap), 3.13%, 11/20/29† | 20,485 | 21,212 | ||
8.50%, 08/15/30 | 536 | 554 | ||
8.50%, 11/20/30 | 5,461 | 6,234 | ||
6.50%, 08/15/31 | 31,095 | 34,436 | ||
7.50%, 08/15/31 | 8,641 | 9,501 | ||
6.50%, 10/15/31 | 51,529 | 56,804 | ||
6.00%, 11/15/31 | 102,306 | 111,310 | ||
6.50%, 11/15/31 | 65,143 | 70,177 | ||
6.00%, 12/15/31 | 20,835 | 22,687 | ||
6.00%, 01/15/32 | 71,647 | 77,102 | ||
6.00%, 02/15/32 | 99,829 | 107,171 | ||
6.50%, 02/15/32 | 89,025 | 95,921 | ||
6.00%, 04/15/32 | 39,603 | 42,516 | ||
7.50%, 04/15/32 | 34,986 | 35,513 | ||
6.50%, 06/15/32 | 54,644 | 59,034 |
Table of Contents
Par | Value | |||
6.50%, 08/15/32 | $121,313 | $130,748 | ||
6.50%, 09/15/32 | 97,354 | 107,365 | ||
6.00%, 10/15/32 | 78,645 | 85,751 | ||
5.50%, 11/15/32 | 10,469 | 11,200 | ||
6.00%, 11/15/32 | 60,822 | 65,553 | ||
6.00%, 12/15/32 | 27,698 | 29,877 | ||
6.50%, 12/15/32 | 8,718 | 9,395 | ||
5.50%, 01/15/33 | 5,975 | 6,365 | ||
6.00%, 01/15/33 | 29,924 | 32,539 | ||
5.50%, 02/15/33 | 14,865 | 16,083 | ||
6.00%, 02/15/33 | 26,760 | 29,142 | ||
5.50%, 03/15/33 | 15,048 | 16,279 | ||
6.50%, 04/15/33 | 169,972 | 193,964 | ||
6.00%, 06/15/33 | 18,661 | 20,033 | ||
5.50%, 07/15/33 | 16,090 | 17,345 | ||
5.50%, 08/15/33 | 7,423 | 7,942 | ||
5.50%, 09/15/33 | 3,157 | 3,354 | ||
6.00%, 10/15/33 | 36,043 | 38,694 | ||
6.50%, 10/15/33 | 79,544 | 86,662 | ||
5.50%, 04/15/34 | 10,682 | 11,532 | ||
5.50%, 05/15/34 | 2,635 | 2,799 | ||
6.50%, 08/15/34 | 131,999 | 146,831 | ||
5.50%, 09/15/34 | 66,277 | 71,736 | ||
5.50%, 12/15/34 | 68,259 | 73,903 | ||
5.50%, 01/15/35 | 49,884 | 54,005 | ||
6.00%, 09/20/38 | 154,061 | 166,252 | ||
5.00%, 07/20/40 | 13,298 | 14,194 | ||
5.00%, 09/20/40 | 57,776 | 61,338 | ||
4.00%, 10/20/40 | 7,523 | 7,774 | ||
6.00%, 10/20/40 | 23,759 | 25,785 | ||
6.00%, 01/20/41 | 20,071 | 21,751 | ||
4.50%, 04/20/41 | 259,569 | 272,505 | ||
4.00%, 08/20/43 | 439,426 | 453,506 | ||
4.00%, 10/20/43 | 1,438,057 | 1,484,114 | ||
3.50%, 06/20/44 | 179,953 | 181,873 | ||
3.00%, 01/15/45 | 3,788,306 | 3,735,366 | ||
3.00%, 02/15/45 | 139,610 | 137,969 | ||
3.50%, 04/15/45 | 789,170 | 795,242 | ||
4.00%, 05/20/45 | 40,508 | 41,805 | ||
4.00%, 08/20/45 | 806,291 | 830,096 | ||
4.00%, 10/20/45 | 346,190 | 355,909 | ||
3.50%, 09/20/46 | 2,763,791 | 2,790,054 | ||
4.00%, 08/20/47 | 1,894,341 | 1,941,843 | ||
3.00%, 09/20/47 | 1,378,126 | 1,358,081 | ||
3.50%, 10/20/47 | 1,120,695 | 1,129,079 | ||
3.50%, 11/20/47 | 92,887 | 93,533 | ||
3.50%, 01/19/48 TBA | 1,500,000 | 1,509,375 | ||
4.50%, 01/19/48 TBA | 11,240,000 | 11,632,304 | ||
5.00%, 01/19/48 TBA | 15,400,000 | 16,029,837 | ||
5.00%, 02/19/48 TBA | 400,000 | 415,922 | ||
3.00%, 02/20/48 | 2,038,065 | 2,008,115 | ||
4.50%, 05/20/48 | 969,906 | 1,004,720 | ||
3.50%, 06/15/48 | 286,767 | 290,077 | ||
4.50%, 06/20/48 | 34,956,986 | 36,224,316 | ||
4.50%, 07/20/48 | 24,301,287 | 25,175,259 | ||
4.50%, 08/20/48 | 8,967,553 | 9,290,066 | ||
5.00%, 08/20/48 | 1,187,175 | 1,238,364 |
Par | Value | |||
4.50%, 09/20/48 | $396,278 | $410,586 | ||
4.50%, 10/20/48 | 5,976,811 | 6,191,345 | ||
4.50%, 11/20/48 | 2,994,108 | 3,102,392 | ||
5.00%, 11/20/48 | 309,441 | 322,733 | ||
5.00%, 01/20/49 | 100,000 | 104,246 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 2.77%, 05/20/37† | 120,851 | 120,767 | ||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 4.11%, 08/20/37† IO | 1,063,330 | 171,990 | ||
Government National Mortgage Association, Series 2010-31 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 4.03%, 03/20/39† IO | 17,045 | 519 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.18%, 01/20/40† IO | 39,396 | 3,423 | ||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 2.71%, 12/20/60† | 245,316 | 245,361 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 2.79%, 03/20/61† | 333,464 | 334,151 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 2.81%, 03/20/61† | 232,698 | 233,264 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.41%, 01/16/53† IO γ | 7,874,877 | 227,986 | ||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 3.58%, 03/20/42† IO | 40,544 | 5,648 | ||
Government National Mortgage Association, Series 2012-66 | ||||
3.50%, 02/20/38 IO | 141,105 | 10,519 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
(Variable, ICE LIBOR USD 1M + 0.00%), 1.74%, 10/20/62† IO | 775,887 | 41,290 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 2.66%, 12/20/62† | 1,124,070 | 1,122,993 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | $124,633 | $18,235 | ||
Government National Mortgage Association, Series 2014-117 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 3.13%, 08/20/44† IO | 86,765 | 10,359 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 3.73%, 08/20/44† IO | 234,529 | 41,555 | ||
Government National Mortgage Association, Series 2014-135 | ||||
0.82%, 01/16/56† IO γ | 6,199,116 | 323,281 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.76%, 11/16/55† IO γ | 3,123,938 | 136,794 | ||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | 123,357 | 24,489 | ||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 2.86%, 05/20/65† | 2,407,430 | 2,414,266 | ||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 2.74%, 05/20/65† | 2,503,516 | 2,506,132 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 2.88%, 06/20/65† | 4,088,403 | 4,102,510 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 2.89%, 06/20/65† | 1,521,854 | 1,528,248 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 2.91%, 06/20/65† | 3,775,936 | 3,793,802 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 2.91%, 07/20/65† | 3,939,613 | 3,958,646 | ||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 2.73%, 06/20/65† | 591,151 | 592,297 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 2.91%, 07/20/65† | 584,008 | 586,750 | ||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 2.91%, 08/20/65† | 593,396 | 596,229 |
Par | Value | |||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 2.91%, 09/20/65† | $608,458 | $611,511 | ||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 2.93%, 09/20/65† | 713,126 | 717,151 | ||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 2.83%, 10/20/65† | 1,391,066 | 1,398,757 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 2.99%, 08/20/61† | 106,331 | 106,501 | ||
Government National Mortgage Association, Series 2016-152 | ||||
0.93%, 08/15/58† IO γ | 5,349,418 | 405,267 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.69%, 03/16/60† IO γ | 7,232,491 | 426,146 | ||
Government National Mortgage Association, Series 2017-H15 | ||||
(Variable, ICE LIBOR USD 1Y + 0.00%), 2.22%, 07/20/67† IO | 597,257 | 85,275 | ||
(Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 3.52%, 07/20/67† | 1,879,352 | 1,935,294 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
(Variable, ICE LIBOR USD 1Y + 0.00%), 1.58%, 09/20/67† IO | 4,609,628 | 431,892 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
(Variable, ICE LIBOR USD 1Y + 0.00%), 2.00%, 10/20/67† IO | 198,556 | 22,794 | ||
Government National Mortgage Association, Series 2017-H22 | ||||
(Variable, ICE LIBOR USD 1Y + 0.00%), 2.01%, 11/20/67† IO | 1,660,049 | 199,725 | ||
Government National Mortgage Association, Series 2018-118 | ||||
3.20%, 05/16/49 | 298,743 | 295,493 | ||
Government National Mortgage Association, Series 2018-123 | ||||
3.25%, 09/16/52 | 69,782 | 69,153 | ||
Government National Mortgage Association, Series 2018-129 | ||||
3.10%, 05/16/59 | 588,185 | 580,721 | ||
Government National Mortgage Association, Series 2018-98 | ||||
3.00%, 10/16/50 | 168,759 | 165,955 | ||
Government National Mortgage Association, Series 2018-99 | ||||
3.20%, 01/16/52 | 268,409 | 266,269 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 2.61%, 05/20/68† | $1,140,030 | $1,137,123 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 3.38%, 11/21/35 144A † | 2,200,000 | 2,193,015 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 2.69%, 01/25/37† | 504,332 | 471,259 | ||
GS Mortgage Securities Corporation II, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 374,200 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.76%, 09/15/31 144A † | 1,530,000 | 1,535,119 | ||
GS Mortgage Securities Trust, Series 2007-GG10, Class AM | ||||
5.78%, 08/10/45† γ | 27,621 | 28,116 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 137,662 | ||
GS Mortgage Securities Trust, Series 2015-GC28, Class C | ||||
4.32%, 02/10/48† γ | 290,000 | 281,140 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.30%, 09/25/35† γ | 524,151 | 534,448 | ||
Harben Finance PLC, Series 2017-1X, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.69%, 08/20/56(U) † | 606,590 | 772,517 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.36% Floor, 11.00% Cap), 3.23%, 10/25/34† | 36,084 | 35,338 | ||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
3.91%, 01/25/32† γ | 5,784 | 5,723 | ||
JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.26% Floor, 11.50% Cap), 3.03%, 01/25/36† | 121,110 | 119,550 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.14%, 05/15/45† γ | 280,000 | 277,019 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 3.22%, 07/15/34 144A † | 4,000,000 | 3,962,118 |
Par | Value | |||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
4.34%, 02/25/35† γ | $47,507 | $47,280 | ||
JP Morgan Mortgage Trust, Series 2018-3, Class A1 | ||||
3.50%, 09/25/48 144A † γ | 2,857,852 | 2,836,185 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 1,113,623 | 1,105,836 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
4.89%, 01/15/47† γ | 50,000 | 51,847 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | 840,000 | 842,197 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3 | ||||
3.80%, 08/15/48 | 440,000 | 448,497 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 800,000 | 800,553 | ||
Kensington Mortgage Securities PLC, Series 2007-1X, Class A3C | ||||
(Floating, ICE LIBOR USD 3M + 0.17%), 2.95%, 06/14/40† | 893,025 | 859,690 | ||
London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.85%), 1.74%, 11/15/49(U) † | 1,138,884 | 1,440,343 | ||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 1.07%, 01/01/61(U) † | 778,988 | 920,662 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 1.51%, 01/01/61(U) † | 624,463 | 757,956 | ||
Magnolia Finance X, Ltd., Series 2015-3GNA, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 2.48%), 3.24%, 03/12/20(U) 144A † Ψ ††† | 985,336 | 1,224,512 | ||
Magnolia Finance X, Ltd., Series 2015-3GNA, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 3.75%), 4.51%, 03/12/20(U) 144A † Ψ ††† | 367,086 | 456,191 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.18%), 0.99%, 04/15/47(U) † | 765,445 | 918,243 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
4.44%, 11/21/34† γ | 244,330 | 251,126 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
4.13%, 05/25/34† γ | 87,725 | 86,922 |
Table of Contents
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A4 | ||||
3.10%, 05/15/46 | $300,000 | $297,559 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 140,000 | 139,880 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 366,877 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 04/15/48 | 480,000 | 479,393 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | 1,400,000 | 1,390,275 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 800,000 | 814,699 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class C | ||||
4.13%, 09/15/49† γ | 450,000 | 436,141 | ||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class B | ||||
3.45%, 07/13/29 144A † γ | 800,000 | 797,421 | ||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 11.50% Cap), 2.79%, 10/25/35† | 325,106 | 320,068 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.46%, 06/07/35 144A † γ | 580,000 | 562,250 | ||
MSCG Trust, Series 2016-SNR, Class C | ||||
5.21%, 11/15/34 144A | 331,500 | 328,411 | ||
Nomura Resecuritization Trust, Series 2014-7R, Class 2A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 2.52%, 12/26/35 144A † | 398,207 | 395,535 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 3.16%, 06/25/57 144A † | 1,015,545 | 1,009,307 | ||
Prime Mortgage Trust, Series 2006-DR1, Class 2A1 | ||||
5.50%, 05/25/35 144A | 2,025,608 | 1,629,879 | ||
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 | ||||
6.00%, 05/25/35 144A | 1,638,906 | 1,309,256 | ||
ResLoC UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 1,099,325 | 1,190,473 |
Par | Value | |||
(Floating, ICE LIBOR GBP 3M + 0.16%), 1.07%, 12/15/43(U) † | $274,831 | $329,445 | ||
Ripon Mortgages PLC, Series 1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.69%, 08/20/56(U) † | 174,854 | 221,804 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.69%, 08/20/56(U) † | 1,898,417 | 2,408,161 | ||
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 1.94% Floor), 3.41%, 06/15/33 144A † | 450,000 | 448,598 | ||
Sequoia Mortgage Trust, Series 2003-4, Class 1A2 | ||||
(Floating, ICE LIBOR USD 6M + 0.66%, 0.33% Floor, 11.50% Cap), 3.17%, 07/20/33† | 65,926 | 62,417 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.00% Cap), 3.11%, 04/19/27† | 326,433 | 310,004 | ||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | 340,000 | 326,500 | ||
Station Place Securitization Trust, Series 2015-2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor), 2.99%, 07/15/19 144A † | 350,000 | 350,000 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 2.81%, 10/25/35† | 584,603 | 580,097 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 2.72%, 07/19/35† | 75,453 | 73,585 | ||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.50% Cap), 3.15%, 09/25/43† | 7,393 | 7,347 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
3.72%, 04/25/45† γ | 59,326 | 59,773 | ||
Towd Point Mortgage Funding Vantage1 PLC, Series 2016-V1A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.20%), 2.09%, 02/20/54(U) 144A † | 400,074 | 510,708 |
Table of Contents
Par | Value | |||
TPG Real Estate Finance Issuer, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 3.21%, 02/15/35 144A † | $971,942 | $969,035 | ||
Trinity Square PLC, Series 2015-1A, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.15%), 1.96%, 07/15/51(U) 144A † | 238,381 | 304,259 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | ||||
4.48%, 12/10/45 144A † γ | 320,000 | 299,066 | ||
VNDO Mortgage Trust, Series 2012-6AVE, Class A | ||||
3.00%, 11/15/30 144A | 100,000 | 99,220 | ||
Warwick Finance Residential Mortgages Number One PLC, Series 1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.00%), 1.91%, 09/21/49(U) † | 1,086,421 | 1,385,776 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2002-AR19, Class A7 | ||||
3.79%, 02/25/33† γ | 4,225 | 4,241 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.56%, 06/25/42† | 9,501 | 9,204 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.39% Floor, 10.50% Cap), 3.29%, 01/25/45† | 1,289,546 | 1,277,662 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.29%, 0.29% Floor, 10.50% Cap), 2.80%, 10/25/45† | 936,065 | 928,260 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 3.05%, 07/25/45† | 603,330 | 604,797 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.29% Floor, 10.50% Cap), 3.09%, 07/25/45† | 123,396 | 122,259 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY1, Class 1A1 | ||||
3.36%, 02/25/37† γ | 264,859 | 243,076 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY1, Class 2A3 | ||||
3.47%, 02/25/37† γ | 168,372 | 165,092 |
Par | Value | |||
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.76%, 0.76% Floor), 2.92%, 04/25/47† | $586,415 | $581,226 | ||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 09/14/22 144A | 200,075 | 201,192 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
4.70%, 12/28/37† γ | 491,802 | 488,659 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.29%, 07/15/46† γ | 20,000 | 20,299 | ||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class XA | ||||
1.33%, 08/15/50† IO γ | 2,823,857 | 118,390 | ||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR2, Class 2A2 | ||||
4.09%, 03/25/35† γ | 52,280 | 53,556 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class XA | ||||
1.40%, 06/15/45 144A † IO γ | 276,369 | 10,047 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | ||||
1.20%, 05/15/45 144A † IO γ | 2,420,760 | 104,701 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.08%, 03/15/47† IO γ | 964,292 | 38,278 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.07%, 08/15/47† IO γ | 3,421,771 | 145,702 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | 290,000 | 291,315 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 287,215 | ||
Total Mortgage-Backed Securities (Cost $677,384,655) | 677,414,729 | |||
MUNICIPAL BONDS — 0.4% | ||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 956,220 | ||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | 250,000 | 311,004 | ||
Chicago Transit Authority, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 700,000 | 896,031 | ||
Chicago Transit Authority, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 300,000 | 384,013 |
Table of Contents
Par | Value | |||
Northstar Education Finance, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.10%, 0.10% Floor), 2.59%, 04/28/30† | $141,192 | $140,634 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 326,924 | ||
State of California, General Obligation | ||||
7.95%, 03/01/36 | 265,000 | 279,839 | ||
7.55%, 04/01/39 | 410,000 | 588,760 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 315,000 | 300,819 | ||
6.63%, 02/01/35 | 495,000 | 527,130 | ||
7.35%, 07/01/35 | 465,000 | 516,162 | ||
Utah State Board of Regents | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 25.00% Cap), 3.26%, 09/25/56† | 1,333,094 | 1,331,348 | ||
Total Municipal Bonds (Cost $6,374,638) | 6,558,884 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.3% | ||||
Call Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $121.75, Expires 01/25/19 (MSCS) | 176 | $21,474,746 | 115,500 | |
Euro vs. U.S. Dollar, Strike Price $1.14, Expires 11/05/19 (CITI) | 1 | 7,191,896 | 132,169 | |
Euro-Bund, Strike Price $172.00, Expires 02/22/19 (MSCS) | 406 | 66,397,240 | 13,955 | |
Euro-Bund, Strike Price $175.00, Expires 02/22/19 (MSCS) | 10 | 1,635,400 | 115 | |
Long U.S. Treasury Bond Futures expiration date 1/2019, Strike Price $146.00, Expires 01/04/19 (MSCS) | 24 | 3,855,751 | 13,125 | |
274,864 | ||||
Call Swaptions — 0.2% | ||||
Pay 2-year Treasury (Quarterly); Receive 2.15% (Semiannually): Interest Rate Swap Maturing 2/4/2021 USD, Strike Price $2.15, Expires 02/04/19 (GSC) | 1 | 72,500,000 | 2,386 |
Number of Contracts | Notional Amount | Value | |||
Pay 3-Month LIBOR (Quarterly); Receive 3.02% (Semiannually): Interest Rate Swap Maturing 7/13/2021 USD, Strike Price $3.02, Expires 07/09/20 (DEUT) | 1 | $115,100,000 | $763,915 | ||
Pay 3-Month LIBOR (Quarterly); Receive 3.04% (Semiannually): Interest Rate Swap Maturing 6/24/2021 USD, Strike Price $3.04, Expires 06/22/20 (MSCS) | 1 | 211,400,000 | 1,408,954 | ||
Pay 3-Month LIBOR (Quarterly); Receive 3.04% (Semiannually): Interest Rate Swap Maturing 6/24/2021 USD, Strike Price $3.04, Expires 06/22/20 (MSCS) | 1 | 30,200,000 | 201,279 | ||
Pay 3-Month LIBOR (Quarterly); Receive 3.04% (Semiannually): Interest Rate Swap Maturing 6/24/2021 USD, Strike Price $3.04, Expires 06/22/20 (GSC) | 1 | 70,500,000 | 469,874 | ||
2,846,408 | |||||
Put Options — 0.0% | |||||
10-Year U.S. Treasury Note Future expiration date 1/2019, Strike Price $121.50, Expires 01/04/19 (MSCS) | 33 | 4,026,515 | 2,062 | ||
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $106.00, Expires 02/22/19 (MSCS) | 389 | 47,464,068 | 389 | ||
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $112.00, Expires 02/22/19 (MSCS) | 28 | 3,416,437 | 28 |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
5-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $103.75, Expires 02/22/19 (MSCS) | 182 | $20,873,125 | $182 | ||
5-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $106.50, Expires 02/22/19 (MSCS) | 869 | 99,663,437 | 869 | ||
Long U.S. Treasury Bond Futures expiration date 2/2019, Strike Price $142.00, Expires 01/25/19 (MSCS) | 16 | 2,336,000 | 2,500 | ||
6,030 | |||||
Put Swaptions — 0.1% | |||||
Pay 2.30% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 10/23/2049 USD, Strike Price $2.30, Expires 10/21/19 (GSC) | 1 | 7,700,000 | 912,946 | ||
Pay 2.50% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/12/2049 USD, Strike Price $2.50, Expires 11/07/19 (DEUT) | 1 | 3,100,000 | 273,675 | ||
1,186,621 | |||||
Total Purchased Options (Premiums paid $2,908,648) | 4,313,923 |
Par | |||
U.S. TREASURY OBLIGATIONS — 20.2% | |||
U.S. Treasury Bills | |||
2.10%, 01/17/19Ω Δ | $12,510,000 | 12,498,116 | |
2.19%, 02/21/19Ω | 7,210,000 | 7,186,394 | |
19,684,510 | |||
U.S. Treasury Bonds | |||
4.25%, 05/15/39 | 5,300,000 | 6,396,644 | |
4.38%, 11/15/39 | 200,000 | 245,316 | |
2.75%, 08/15/42 | 600,000 | 574,652 | |
2.75%, 11/15/42 | 1,080,000 | 1,033,109 | |
3.13%, 02/15/43 | 650,000 | 663,305 | |
2.88%, 05/15/43 | 800,000 | 781,328 | |
3.75%, 11/15/43‡‡ | 1,000,000 | 1,129,726 |
Par | Value | |||
3.13%, 08/15/44‡‡ | $760,000 | $776,061 | ||
3.00%, 11/15/44 | 3,800,000 | 3,795,400 | ||
2.50%, 02/15/45 | 3,780,000 | 3,426,880 | ||
3.00%, 05/15/45 | 690,000 | 688,895 | ||
2.88%, 08/15/45 | 3,710,000 | 3,614,640 | ||
2.88%, 11/15/46‡‡ | 7,290,000 | 7,090,382 | ||
3.00%, 05/15/47 | 8,130,000 | 8,097,606 | ||
2.75%, 08/15/47 | 2,220,000 | 2,103,189 | ||
2.75%, 11/15/47 | 3,480,000 | 3,294,037 | ||
3.00%, 02/15/48Δ | 20,000 | 19,900 | ||
3.13%, 05/15/48Δ | 3,900,000 | 3,975,180 | ||
3.38%, 11/15/48 | 4,410,000 | 4,717,064 | ||
52,423,314 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
0.13%, 07/15/22Δ | 769,776 | 747,736 | ||
0.63%, 04/15/23 | 6,551,845 | 6,459,445 | ||
0.13%, 07/15/24 | 6,709,626 | 6,435,257 | ||
0.13%, 07/15/26 | 422,000 | 396,405 | ||
0.50%, 01/15/28 | 4,510,924 | 4,307,088 | ||
0.75%, 07/15/28 | 7,021,857 | 6,877,012 | ||
2.13%, 02/15/40 | 1,076,409 | 1,267,695 | ||
0.75%, 02/15/42 | 235,024 | 213,727 | ||
1.38%, 02/15/44 | 1,128,473 | 1,167,444 | ||
27,871,809 | ||||
U.S. Treasury Notes | ||||
2.63%, 08/31/20 | 2,700,000 | 2,704,008 | ||
2.63%, 07/15/21‡‡ | 1,800,000 | 1,806,680 | ||
2.00%, 12/31/21‡‡ | 1,500,000 | 1,479,844 | ||
1.88%, 03/31/22‡‡ | 8,800,000 | 8,637,064 | ||
1.88%, 08/31/22 | 360,000 | 352,378 | ||
1.88%, 09/30/22‡‡ | 3,000,000 | 2,935,429 | ||
2.00%, 10/31/22‡‡ | 2,700,000 | 2,652,645 | ||
2.13%, 07/31/24 | 23,880,000 | 23,366,950 | ||
2.38%, 08/15/24 | 440,000 | 436,098 | ||
2.13%, 09/30/24 | 8,550,000 | 8,357,292 | ||
2.25%, 11/15/24 | 11,210,000 | 11,020,388 | ||
2.13%, 11/30/24‡‡ | 29,360,000 | 28,665,005 | ||
2.25%, 12/31/24 | 17,080,000 | 16,785,438 | ||
2.00%, 02/15/25 | 9,930,000 | 9,608,829 | ||
2.75%, 06/30/25 | 2,480,000 | 2,505,527 | ||
2.88%, 07/31/25 | 7,020,000 | 7,144,633 | ||
2.00%, 11/15/26 | 14,000,000 | 13,368,355 | ||
2.25%, 02/15/27 | 7,718,000 | 7,496,713 | ||
2.38%, 05/15/27 | 10,970,000 | 10,743,530 | ||
2.25%, 08/15/27 | 33,000,000 | 31,945,534 | ||
2.75%, 02/15/28‡‡ | 1,402,000 | 1,409,585 | ||
2.88%, 05/15/28 | 803,000 | 815,500 | ||
2.88%, 08/15/28 | 1,900,000 | 1,929,762 | ||
196,167,187 | ||||
U.S. Treasury Strips | ||||
2.26%, 02/15/40Ω | 8,060,000 | 4,268,177 | ||
2.23%, 11/15/40Ω | 4,030,000 | 2,081,324 |
Table of Contents
Par | Value | |||
2.21%, 08/15/41Ω | $4,030,000 | $2,020,892 | ||
8,370,393 | ||||
Total U.S. Treasury Obligations (Cost $307,619,188) | 304,517,213 |
Shares | |||
PREFERRED STOCK — 0.0% | |||
GMAC Capital Trust I | |||
(Variable, ICE LIBOR USD 3M + 5.79%), 8.40%, 02/13/19† (Cost $173,227) | 6,979 | 178,064 | |
MONEY MARKET FUNDS — 2.3% | |||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø ∞ | 28,981,400 | 28,981,400 | |
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%Ø § | 4,216,070 | 4,216,070 | |
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 979,768 | 979,768 | |
Total Money Market Funds (Cost $34,177,238) | 34,177,238 |
Par | |||
REPURCHASE AGREEMENTS — 1.9% | |||
Merrill Lynch Pierce Fenner & Smith | |||
2.97% (dated 12/31/18, due 01/02/2019, repurchase price $14,205,858, collateralized by U.S. Treasury Bond, 3.125%, due 08/15/2044, total market value $14,200,000) | $14,200,000 | 14,200,000 | |
3.10% (dated 12/31/18, due 01/03/2019, repurchase price $14,403,720, collateralized by U.S. Treasury Bond, 3.000%, due 05/15/2045, total market value $14,706,000) | 14,400,000 | 14,400,000 | |
Total Repurchase Agreements (Cost $28,600,000) | 28,600,000 | ||
TOTAL INVESTMENTS — 115.6% (Cost $1,764,304,344) | 1,746,090,823 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.4)% | ||||
Call Options — (0.1)% | ||||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $120.50, Expires 01/25/19 (MSCS) | (76) | $(9,273,186) | (122,313) | |
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $121.00, Expires 01/25/19 (MSCS) | (64) | (7,808,998) | (76,000) |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $122.00, Expires 01/25/19 (MSCS) | (20) | $(2,440,312) | $(10,625) | ||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $122.25, Expires 01/25/19 (MSCS) | (99) | (12,079,544) | (41,766) | ||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $122.50, Expires 01/25/19 (MSCS) | (57) | (6,954,889) | (18,703) | ||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $123.00, Expires 01/25/19 (MSCS) | (128) | (15,617,997) | (24,000) | ||
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $123.00, Expires 02/22/19 (MSCS) | (112) | (13,665,747) | (45,500) | ||
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $123.50, Expires 02/22/19 (MSCS) | (48) | (5,856,749) | (13,500) | ||
5-Year U.S. Treasury Note Future expiration date 1/2019, Strike Price $114.25, Expires 01/04/19 (MSCS) | (80) | (9,175,000) | (36,875) | ||
5-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $114.00, Expires 01/25/19 (MSCS) | (136) | (15,597,500) | (106,250) | ||
5-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $114.25, Expires 01/25/19 (MSCS) | (73) | (8,372,188) | (43,344) | ||
5-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $115.00, Expires 01/25/19 (MSCS) | (33) | (3,784,688) | (6,703) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
5-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $115.50, Expires 02/22/19 (MSCS) | (146) | $(16,744,375) | $(30,797) | ||
Long U.S. Treasury Bond Futures expiration date 1/2019, Strike Price $147.00, Expires 01/04/19 (MSCS) | (24) | (3,855,751) | (4,500) | ||
Long U.S. Treasury Bond Futures expiration date 2/2019, Strike Price $143.00, Expires 01/25/19 (MSCS) | (18) | (2,628,000) | (58,500) | ||
Long U.S. Treasury Bond Futures expiration date 2/2019, Strike Price $144.00, Expires 01/25/19 (MSCS) | (34) | (4,964,000) | (82,875) | ||
Long U.S. Treasury Bond Futures expiration date 2/2019, Strike Price $149.00, Expires 01/25/19 (MSCS) | (66) | (9,636,000) | (17,532) | ||
(739,783) | |||||
Call Swaptions — (0.2)% | |||||
Pay 3-Month LIBOR (Quarterly); Receive 2.21% (Semiannually): Interest Rate Swap Maturing 2/4/2029 USD, Strike Price $2.21, Expires 02/04/19 (GSC) | 1 | (14,500,000) | (1,513) | ||
Pay 3-Month LIBOR (Quarterly); Receive 2.96% (Semiannually): Interest Rate Swap Maturing 7/13/2022 USD, Strike Price $2.96, Expires 07/09/21 (DEUT) | 1 | (115,100,000) | (858,785) | ||
Pay 3-Month LIBOR (Quarterly); Receive 3.015% (Semiannually): Interest Rate Swap Maturing 6/23/2022 USD, Strike Price $3.02, Expires 06/21/21 (GSC) | 1 | (70,500,000) | (549,570) |
Number of Contracts | Notional Amount | Value | |||
Pay 3-Month LIBOR (Quarterly); Receive 3.02% (Semiannually): Interest Rate Swap Maturing 6/23/2022 USD, Strike Price $3.02, Expires 06/21/21 (MSCS) | 1 | $(211,400,000) | $(1,653,108) | ||
Pay 3-Month LIBOR (Quarterly); Receive 3.02% (Semiannually): Interest Rate Swap Maturing 6/23/2022 USD, Strike Price $3.02, Expires 06/21/21 (MSCS) | 1 | (30,200,000) | (236,158) | ||
(3,299,134) | |||||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $119.00, Expires 01/25/19 (MSCS) | (25) | (3,050,390) | (781) | ||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $119.50, Expires 01/25/19 (MSCS) | (34) | (4,148,530) | (1,063) | ||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $120.00, Expires 01/25/19 (MSCS) | (17) | (2,074,265) | (797) | ||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $120.25, Expires 01/25/19 (MSCS) | (50) | (6,100,780) | (3,125) | ||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $120.50, Expires 01/25/19 (MSCS) | (41) | (5,002,640) | (3,844) | ||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $120.75, Expires 01/25/19 (MSCS) | (65) | (7,931,014) | (8,125) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $121.00, Expires 01/25/19 (MSCS) | (34) | $(4,148,530) | $(5,844) | ||
10-Year U.S. Treasury Note Future expiration date 3/2019, Strike Price $119.50, Expires 02/22/19 (MSCS) | (50) | (6,100,780) | (5,469) | ||
5-Year U.S. Treasury Note Future expiration date 2/2019, Strike Price $113.50, Expires 01/25/19 (MSCS) | (33) | (3,784,688) | (1,289) | ||
Long U.S. Treasury Bond Futures expiration date 1/2019, Strike Price $143.00, Expires 01/04/19 (MSCS) | (24) | (3,855,751) | (375) | ||
Long U.S. Treasury Bond Futures expiration date 2/2019, Strike Price $141.00, Expires 01/25/19 (MSCS) | (66) | (9,636,000) | (6,187) | ||
Long U.S. Treasury Bond Futures expiration date 2/2019, Strike Price $143.00, Expires 01/25/19 (MSCS) | (24) | (3,504,000) | (6,000) | ||
Mexican Peso vs. U.S. Dollar, Strike Price $19.50, Expires 01/30/19 (CITI) | 1 | (2,842,000) | (28,075) | ||
(70,974) | |||||
Put Swaptions — (0.1)% | |||||
Pay 2.00% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 10/23/2024 USD, Strike Price $2.00, Expires 10/21/19 (GSC) | 1 | (38,500,000) | (1,138,773) |
Number of Contracts | Notional Amount | Value | |||
Pay 2.25% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/12/2024 USD, Strike Price $2.25, Expires 11/07/19 (DEUT) | 1 | $(15,500,000) | $(326,488) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $1.00, Expires 02/20/19 (BNP) | 1 | (3,000,000) | (6,415) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $1.05, Expires 02/20/19 (BAR) | 1 | (2,000,000) | (3,380) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $1.10, Expires 02/20/19 (GSC) | 1 | (1,600,000) | (2,154) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $1.10, Expires 02/20/19 (MSCS) | 1 | (2,300,000) | (3,097) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $1.20, Expires 03/20/19 (JPM) | 1 | $(2,100,000) | $(3,527) | ||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $2.40, Expires 09/18/19 (GSC) | 1 | (3,300,000) | (6,313) | ||
(1,490,147) | |||||
Total Written Options (Premiums received $ (3,525,240)) | (5,600,038) |
Par | Value | |||
TBA SALE COMMITMENTS — (2.7)% | ||||
Federal National Mortgage Association 4.00%, 01/19/48 TBA | $(5,000,000) | $(5,097,265) | ||
Government National Mortgage Association 3.00%, 01/19/48 TBA | (1,000,000) | (985,430) | ||
Government National Mortgage Association 4.00%, 01/19/48 TBA | (3,000,000) | (3,071,953) | ||
Government National Mortgage Association 4.50%, 01/19/48 TBA | (30,000,000) | (31,047,075) | ||
Total TBA Sale Commitments (Proceeds $(40,033,942)) | (40,201,723) | |||
Liabilities in Excess of Other Assets — (12.5)% | (189,214,267) | |||
NET ASSETS — 100.0% | $1,511,074,795 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 03/2019 | (12) | $(2,483,345) | $(34,425) | ||||
Euro-Bobl | 03/2019 | 106 | 16,094,489 | 46,672 | ||||
Euro-BTP | 03/2019 | (120) | (17,573,972) | (544,586) | ||||
Euro-Bund | 03/2019 | (264) | (49,467,256) | (875,558) | ||||
Euro-OAT | 03/2019 | (169) | (29,199,670) | (63,971) | ||||
10-Year Japanese Treasury Bond | 03/2019 | (12) | (16,694,129) | (71,930) | ||||
10-Year Commonwealth Treasury Bond | 03/2019 | (73) | (6,821,822) | (69,090) | ||||
90-Day Eurodollar | 03/2019 | (5) | (1,216,125) | 52,432 | ||||
Euro Fx | 03/2019 | (8) | (1,152,250) | (8,200) | ||||
10-Year CAN Bond | 03/2019 | (40) | (4,007,325) | (126,281) | ||||
10-Year U.S. Treasury Note | 03/2019 | 504 | 61,495,875 | 1,358,033 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2019 | 50 | 6,503,906 | 194,223 | ||||
U.S. Treasury Long Bond | 03/2019 | (293) | (42,778,000) | (1,424,847) | ||||
Long GILT | 03/2019 | (79) | (12,402,407) | 64,279 | ||||
2-Year U.S. Treasury Note | 03/2019 | 383 | 81,315,688 | 552,884 | ||||
5-Year U.S. Treasury Note | 03/2019 | 2,247 | 257,702,813 | 3,858,607 | ||||
Ultra Long U.S. Treasury Bond | 03/2019 | 775 | 124,508,594 | 5,867,360 | ||||
3-Month Euro Euribor | 06/2019 | 314 | 90,202,210 | 3,883 | ||||
90-Day Eurodollar | 06/2019 | (34) | (8,271,775) | 58,225 | ||||
90-Day Eurodollar | 09/2019 | (22) | (5,353,700) | (7,700) | ||||
Eurodollar 2-Year Midcurve | 12/2019 | (443) | (107,815,125) | 178,681 | ||||
90-Day Eurodollar | 03/2020 | (464) | (113,036,200) | (29,000) | ||||
90-Day Eurodollar | 06/2020 | 46 | 11,213,075 | (43,435) | ||||
90-Day Eurodollar | 09/2020 | (124) | (30,238,950) | (83,731) | ||||
90-Day Eurodollar | 12/2020 | (142) | (34,623,150) | (160,783) | ||||
90-Day Eurodollar | 03/2021 | 42 | 10,243,800 | 13,125 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $176,145,249 | $8,704,867 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
02/15/19 | Japanese Yen | 1,998,200,000 | U.S. Dollars | 17,709,101 | JPM | $588,095 | ||||||
01/11/19 | Mexican Pesos | 154,763,000 | U.S. Dollars | 7,566,672 | BAR | 294,052 | ||||||
01/18/19 | Indian Rupees | 285,290,000 | U.S. Dollars | 3,827,700 | BAR | 261,307 | ||||||
01/15/19 | Turkish Lira | 5,780,160 | U.S. Dollars | 877,950 | UBS | 204,378 | ||||||
01/18/19 | U.S. Dollars | 10,027,599 | Euro | 8,593,983 | CITI | 165,264 | ||||||
01/11/19 | Mexican Pesos | 66,029,000 | U.S. Dollars | 3,246,981 | GSC | 106,765 | ||||||
02/15/19 | Japanese Yen | 413,000,000 | U.S. Dollars | 3,678,821 | BAR | 102,954 | ||||||
02/19/19 | Turkish Lira | 17,766,480 | U.S. Dollars | 3,165,633 | JPM | 99,129 | ||||||
01/07/19 | U.S. Dollars | 4,188,305 | Canadian Dollars | 5,600,000 | MSCS | 85,542 | ||||||
01/18/19 | Indonesian Rupiahs | 22,179,120,000 | U.S. Dollars | 1,456,470 | BAR | 80,654 | ||||||
03/26/19 | Argentine Pesos | 33,720,000 | U.S. Dollars | 744,698 | CITI | 59,284 | ||||||
01/18/19 | U.S. Dollars | 1,445,938 | British Pounds | 1,089,161 | CITI | 56,373 | ||||||
01/11/19 | British Pounds | 5,308,000 | U.S. Dollars | 6,729,196 | UBS | 40,313 | ||||||
01/18/19 | U.S. Dollars | 1,339,016 | Brazilian Reals | 5,044,406 | CITI | 38,892 | ||||||
01/11/19 | U.S. Dollars | 13,059,871 | British Pounds | 10,211,000 | JPM | 37,366 | ||||||
01/18/19 | U.S. Dollars | 2,821,672 | Australian Dollars | 3,961,937 | CITI | 29,988 | ||||||
01/18/19 | Euro | 5,129,277 | U.S. Dollars | 5,857,218 | CITI | 29,068 | ||||||
01/17/19 | U.S. Dollars | 7,150,397 | British Pounds | 5,585,632 | CITI | 24,556 | ||||||
01/18/19 | Japanese Yen | 158,450,376 | U.S. Dollars | 1,424,347 | CITI | 23,441 | ||||||
01/18/19 | U.S. Dollars | 737,722 | Russian Rubles | 49,965,929 | CITI | 22,530 | ||||||
03/20/19 | U.S. Dollars | 820,869 | Canadian Dollars | 1,089,065 | RBC | 21,663 | ||||||
03/20/19 | U.S. Dollars | 389,981 | Australian Dollars | 530,128 | CITI | 16,077 | ||||||
03/20/19 | U.S. Dollars | 1,176,582 | New Zealand Dollars | 1,727,093 | SS | 15,731 | ||||||
03/20/19 | Japanese Yen | 43,497,405 | U.S. Dollars | 387,968 | DEUT | 11,461 | ||||||
01/18/19 | Mexican Pesos | 8,000,000 | U.S. Dollars | 394,485 | BAR | 11,372 | ||||||
03/20/19 | Japanese Yen | 32,753,226 | U.S. Dollars | 292,101 | RBC | 8,667 | ||||||
01/11/19 | U.S. Dollars | 2,425,435 | British Pounds | 1,895,000 | BAR | 8,664 | ||||||
03/20/19 | Euro | 1,325,530 | U.S. Dollars | 1,521,251 | UBS | 7,691 | ||||||
03/20/19 | Singapore Dollars | 4,127,000 | U.S. Dollars | 3,026,612 | RBS | 6,912 | ||||||
03/20/19 | U.S. Dollars | 192,778 | Australian Dollars | 263,903 | JPM | 6,645 | ||||||
01/11/19 | Euro | 644,000 | U.S. Dollars | 732,419 | BAR | 6,166 | ||||||
03/20/19 | Singapore Dollars | 2,111,625 | U.S. Dollars | 1,546,040 | BNP | 6,096 | ||||||
03/20/19 | U.S. Dollars | 192,981 | Canadian Dollars | 256,106 | WEST | 5,039 | ||||||
03/20/19 | Singapore Dollars | 2,360,000 | U.S. Dollars | 1,730,434 | BAR | 4,269 | ||||||
03/20/19 | Euro | 171,034 | Canadian Dollars | 264,082 | BOA | 3,485 | ||||||
03/20/19 | Japanese Yen | 31,991,400 | Euro | 252,000 | CITI | 3,100 | ||||||
03/20/19 | Japanese Yen | 10,849,539 | U.S. Dollars | 97,027 | UBS | 2,603 | ||||||
01/03/19 | Brazilian Reals | 2,338,000 | U.S. Dollars | 600,874 | DEUT | 2,256 | ||||||
03/20/19 | U.S. Dollars | 56,537 | Canadian Dollars | 74,444 | UBS | 1,906 | ||||||
03/20/19 | U.S. Dollars | 97,030 | Australian Dollars | 134,957 | DEUT | 1,844 | ||||||
03/20/19 | Swedish Kronor | 879,105 | Euro | 85,060 | UBS | 1,713 | ||||||
03/20/19 | Norwegian Kroner | 840,936 | U.S. Dollars | 95,983 | WEST | 1,616 | ||||||
01/03/19 | U.S. Dollars | 604,587 | Brazilian Reals | 2,338,000 | DEUT | 1,458 | ||||||
01/11/19 | British Pounds | 1,399,000 | U.S. Dollars | 1,782,957 | JPM | 1,245 | ||||||
03/20/19 | British Pounds | 77,454 | Euro | 84,956 | SS | 1,112 | ||||||
03/20/19 | Swedish Kronor | 861,942 | Euro | 83,976 | SS | 1,013 | ||||||
03/20/19 | Swedish Kronor | 1,013,201 | Euro | 98,961 | CITI | 905 | ||||||
03/20/19 | Norwegian Kroner | 841,092 | Euro | 83,964 | RBC | 769 | ||||||
03/20/19 | Euro | 84,921 | U.S. Dollars | 97,470 | DEUT | 483 | ||||||
03/20/19 | Canadian Dollars | 51,826 | Australian Dollars | 53,342 | SS | 410 | ||||||
03/20/19 | Swiss Francs | 754,949 | Euro | 670,595 | UBS | 381 | ||||||
03/20/19 | Norwegian Kroner | 837,825 | Euro | 84,008 | CITI | 339 | ||||||
03/20/19 | Norwegian Kroner | 1,701,377 | Euro | 170,993 | BOA | 230 | ||||||
03/20/19 | British Pounds | 33,668 | Euro | 37,221 | CITI | 147 | ||||||
03/20/19 | Norwegian Kroner | 845,317 | Euro | 84,965 | SS | 105 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/20/19 | Euro | 37,958 | Norwegian Kroner | 376,490 | RBC | $88 | ||||||
03/20/19 | British Pounds | 76,036 | U.S. Dollars | 97,225 | SS | 67 | ||||||
03/20/19 | U.S. Dollars | 96,867 | Euro | 83,955 | BOA | 29 | ||||||
03/20/19 | Norwegian Kroner | 331,893 | Euro | 33,388 | JPM | 8 | ||||||
Subtotal Appreciation | $2,513,716 | |||||||||||
03/20/19 | U.S. Dollars | 96,975 | Euro | 84,075 | UBS | $(2) | ||||||
03/20/19 | Euro | 84,036 | Swedish Kronor | 854,523 | WEST | (102) | ||||||
02/08/19 | Euro | 194,000 | U.S. Dollars | 223,144 | CITI | (119) | ||||||
03/20/19 | Canadian Dollars | 57,507 | U.S. Dollars | 42,324 | SS | (122) | ||||||
03/20/19 | Australian Dollars | 135,056 | New Zealand Dollars | 142,057 | CITI | (227) | ||||||
03/20/19 | U.S. Dollars | 96,083 | Swedish Kronor | 848,581 | DEUT | (276) | ||||||
03/20/19 | Euro | 86,047 | British Pounds | 77,839 | BOA | (346) | ||||||
03/20/19 | U.S. Dollars | 42,381 | Swedish Kronor | 376,834 | SS | (410) | ||||||
03/20/19 | U.S. Dollars | 96,718 | British Pounds | 75,992 | UBS | (517) | ||||||
03/20/19 | Australian Dollars | 54,088 | Japanese Yen | 4,219,346 | RBC | (597) | ||||||
03/20/19 | Norwegian Kroner | 329,107 | U.S. Dollars | 38,871 | CITI | (674) | ||||||
01/18/19 | British Pounds | 150,000 | U.S. Dollars | 192,119 | CITI | (747) | ||||||
03/20/19 | British Pounds | 366,503 | U.S. Dollars | 469,710 | CITI | (756) | ||||||
03/20/19 | British Pounds | 76,930 | Euro | 86,075 | JPM | (850) | ||||||
01/30/19 | Russian Rubles | 2,554,730 | U.S. Dollars | 37,392 | GSC | (891) | ||||||
03/20/19 | New Zealand Dollars | 142,704 | Euro | 83,986 | UBS | (958) | ||||||
03/20/19 | U.S. Dollars | 196,184 | Euro | 170,923 | WEST | (969) | ||||||
03/20/19 | U.S. Dollars | 97,637 | British Pounds | 77,073 | BOA | (981) | ||||||
01/11/19 | U.S. Dollars | 566,610 | Euro | 495,000 | GSC | (1,091) | ||||||
03/20/19 | U.S. Dollars | 96,070 | Japanese Yen | 10,590,485 | DEUT | (1,180) | ||||||
03/20/19 | Norwegian Kroner | 842,667 | Euro | 85,912 | RBC | (1,295) | ||||||
03/20/19 | Canadian Dollars | 52,129 | Japanese Yen | 4,347,089 | JPM | (1,664) | ||||||
03/20/19 | Norwegian Kroner | 841,097 | Euro | 86,078 | UBS | (1,669) | ||||||
03/20/19 | Euro | 255,878 | Swiss Francs | 289,579 | UBS | (1,696) | ||||||
03/20/19 | U.S. Dollars | 195,527 | Euro | 170,996 | RBC | (1,709) | ||||||
01/18/19 | U.S. Dollars | 365,366 | Euro | 320,000 | CITI | (1,861) | ||||||
01/15/19 | U.S. Dollars | 627,640 | South African Rand | 9,075,580 | UBS | (1,951) | ||||||
03/20/19 | U.S. Dollars | 195,011 | Euro | 170,947 | CITI | (2,169) | ||||||
03/20/19 | New Zealand Dollars | 145,285 | U.S. Dollars | 99,835 | BOA | (2,183) | ||||||
02/04/19 | U.S. Dollars | 599,641 | Brazilian Reals | 2,338,000 | DEUT | (2,234) | ||||||
03/20/19 | Norwegian Kroner | 823,620 | Euro | 84,933 | CITI | (2,376) | ||||||
03/20/19 | Australian Dollars | 134,299 | U.S. Dollars | 97,108 | JPM | (2,386) | ||||||
01/11/19 | U.S. Dollars | 455,140 | Euro | 399,000 | HSBC | (2,462) | ||||||
03/20/19 | New Zealand Dollars | 146,834 | U.S. Dollars | 101,189 | UBS | (2,495) | ||||||
03/20/19 | New Zealand Dollars | 140,005 | U.S. Dollars | 96,946 | SS | (2,843) | ||||||
03/20/19 | U.S. Dollars | 96,946 | Japanese Yen | 10,902,435 | BOA | (3,169) | ||||||
03/20/19 | Canadian Dollars | 130,623 | Euro | 85,953 | BOA | (3,286) | ||||||
03/20/19 | U.S. Dollars | 465,620 | Singapore Dollars | 638,000 | BAR | (3,337) | ||||||
03/20/19 | New Zealand Dollars | 282,162 | U.S. Dollars | 193,060 | RBC | (3,407) | ||||||
03/20/19 | Canadian Dollars | 193,071 | U.S. Dollars | 145,586 | UBS | (3,901) | ||||||
01/18/19 | U.S. Dollars | 140,127 | Japanese Yen | 15,773,455 | CITI | (3,997) | ||||||
01/17/19 | British Pounds | 378,934 | U.S. Dollars | 487,815 | SS | (4,392) | ||||||
01/11/19 | British Pounds | 1,487,000 | U.S. Dollars | 1,901,557 | JPM | (5,125) | ||||||
03/20/19 | Canadian Dollars | 389,338 | U.S. Dollars | 290,976 | RBC | (5,262) | ||||||
02/07/19 | U.S. Dollars | 107,986 | Mexican Pesos | 2,242,101 | CITI | (5,404) | ||||||
03/20/19 | Canadian Dollars | 260,265 | Euro | 170,948 | RBC | (6,187) | ||||||
03/20/19 | Australian Dollars | 270,809 | Euro | 171,013 | SS | (6,253) | ||||||
01/18/19 | U.S. Dollars | 424,133 | Chinese Offshore Yuan | 2,957,482 | BAR | (6,437) | ||||||
03/20/19 | Australian Dollars | 266,981 | U.S. Dollars | 194,823 | UBS | (6,520) | ||||||
01/11/19 | U.S. Dollars | 1,812,323 | Euro | 1,586,000 | BAR | (6,616) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/20/19 | U.S. Dollars | 289,896 | Japanese Yen | 32,328,369 | SS | $(6,970) | ||||||
03/20/19 | Canadian Dollars | 387,431 | U.S. Dollars | 291,989 | WEST | (7,674) | ||||||
03/20/19 | Australian Dollars | 406,008 | U.S. Dollars | 294,464 | RBC | (8,103) | ||||||
03/20/19 | Australian Dollars | 264,016 | U.S. Dollars | 194,970 | SS | (8,758) | ||||||
01/18/19 | U.S. Dollars | 261,072 | Indian Rupees | 18,872,902 | CITI | (9,430) | ||||||
01/18/19 | U.S. Dollars | 394,660 | Mexican Pesos | 8,000,000 | BAR | (11,197) | ||||||
01/11/19 | U.S. Dollars | 512,779 | Mexican Pesos | 10,318,000 | BAR | (11,293) | ||||||
03/20/19 | Norwegian Kroner | 6,116,577 | Euro | 625,569 | SS | (11,673) | ||||||
03/20/19 | Canadian Dollars | 386,939 | Euro | 256,509 | CITI | (11,919) | ||||||
03/20/19 | U.S. Dollars | 486,137 | Japanese Yen | 54,331,295 | CITI | (12,778) | ||||||
03/20/19 | Australian Dollars | 425,942 | U.S. Dollars | 313,884 | DEUT | (13,465) | ||||||
03/20/19 | U.S. Dollars | 2,495,930 | Singapore Dollars | 3,414,000 | GSC | (13,508) | ||||||
02/15/19 | U.S. Dollars | 919,638 | Japanese Yen | 102,100,000 | GSC | (15,276) | ||||||
03/20/19 | U.S. Dollars | 2,217,196 | Singapore Dollars | 3,037,337 | HSBC | (15,378) | ||||||
01/11/19 | U.S. Dollars | 564,251 | Mexican Pesos | 11,463,000 | GSC | (17,977) | ||||||
01/11/19 | U.S. Dollars | 3,872,758 | British Pounds | 3,054,000 | BAR | (22,132) | ||||||
01/25/19 | U.S. Dollars | 1,264,699 | Mexican Pesos | 25,424,000 | HSBC | (23,594) | ||||||
01/18/19 | U.S. Dollars | 1,208,501 | Mexican Pesos | 24,505,000 | CITI | (34,690) | ||||||
01/11/19 | U.S. Dollars | 3,043,447 | British Pounds | 2,418,000 | HSBC | (40,327) | ||||||
01/11/19 | U.S. Dollars | 7,651,011 | Euro | 6,708,000 | UBS | (42,207) | ||||||
02/15/19 | U.S. Dollars | 1,755,384 | Japanese Yen | 198,400,000 | JPM | (61,333) | ||||||
01/18/19 | U.S. Dollars | 5,092,951 | Chinese Yuan Renminbi | 35,528,427 | CITI | (79,877) | ||||||
01/11/19 | U.S. Dollars | 2,816,103 | Mexican Pesos | 57,046,000 | JPM | (81,378) | ||||||
01/18/19 | Brazilian Reals | 11,180,600 | U.S. Dollars | 2,963,193 | BAR | (81,556) | ||||||
01/18/19 | Canadian Dollars | 2,389,664 | U.S. Dollars | 1,843,663 | CITI | (92,372) | ||||||
01/18/19 | Russian Rubles | 140,806,000 | U.S. Dollars | 2,132,649 | CITI | (117,209) | ||||||
01/11/19 | U.S. Dollars | 3,880,060 | Mexican Pesos | 80,090,000 | UBS | (187,873) | ||||||
01/18/19 | U.S. Dollars | 4,350,645 | Philippine Pesos | 238,833,000 | BAR | (194,315) | ||||||
01/18/19 | Mexican Pesos | 128,266,787 | U.S. Dollars | 6,724,516 | CITI | (217,264) | ||||||
01/11/19 | U.S. Dollars | 6,903,846 | Mexican Pesos | 141,521,224 | BNP | (284,302) | ||||||
02/19/19 | U.S. Dollars | 3,867,979 | Turkish Lira | 23,133,121 | JPM | (382,955) | ||||||
03/11/19 | U.S. Dollars | 15,712,802 | Japanese Yen | 1,770,000,000 | BNP | (526,829) | ||||||
02/15/19 | U.S. Dollars | 35,325,816 | Japanese Yen | 3,954,900,000 | BAR | (888,568) | ||||||
Subtotal Depreciation | $(3,650,281) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2018 | $(1,136,565) |
Table of Contents
Reference Obligation | Fixed Deal (Pay)/Receive Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Corporate and Sovereign Issues—Buy Protection | ||||||||||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 3/20/2019 | CITI | USD | 1,450,000 | $(3,281) | $(7,024) | $3,743 | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 3/20/2019 | JPM | USD | 180,000 | (408) | (641) | 233 | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2019 | CITI | USD | 1,020,000 | (4,590) | (8,378) | 3,788 | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2019 | JPM | USD | 60,000 | (270) | (416) | 146 | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2019 | BOA | USD | 50,000 | (225) | (320) | 95 | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 180,000 | (3,233) | (3,428) | 195 | ||||||||
Subtotal Appreciation | $(12,007) | $(20,207) | $8,200 | |||||||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 3/20/2019 | CITI | USD | 250,000 | $(566) | $(461) | $(105) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2019 | CITI | USD | 950,000 | (4,274) | — | (4,274) | ||||||||
Credit Suisse (USA), Inc. 6.5% due 1/15/2018 (Pay Quarterly) | (1.00)% | 9/20/2020 | GSC | USD | 300,000 | (3,671) | 6,900 | (10,571) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | JPM | USD | 590,000 | (8,632) | 2,494 | (11,126) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | CITI | USD | 330,000 | (4,828) | 2,663 | (7,491) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | BOA | USD | 300,000 | (4,389) | 1,691 | (6,080) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | BOA | USD | 520,000 | (8,504) | 6,078 | (14,582) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | CITI | USD | 920,000 | (15,047) | 6,694 | (21,741) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | DEUT | USD | 360,000 | (5,887) | 2,601 | (8,488) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 320,000 | (5,233) | 1,225 | (6,458) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | (7,765) | 1,639 | (9,404) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2021 | JPM | USD | 220,000 | (3,973) | 846 | (4,819) | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 630,000 | (11,314) | (6,835) | (4,479) | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | GSC | USD | 130,000 | (2,335) | (2,277) | (58) | ||||||||
Subtotal Depreciation | $(86,418) | $23,258 | $(109,676) | |||||||||||||
Net Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection outstanding at December 31, 2018 | $(98,425) | $3,051 | $(101,476) |
Reference Obligation | Fixed Deal (Pay)/Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Sovereign Issues — Buy Protection | ||||||||||||||
Federal Republic of Brazil, 4.25% due 01/07/2025 (Receive Quarterly) | (1.00)% | 6/20/2023 | USD | 1,460,000 | $(53,332) | $(45,206) | $(8,126) |
Table of Contents
Reference Obligation | Fixed Deal (Pay)/Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
$(53,332) | $(45,206) | $(8,126) |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay)/Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate Issuers—Sell Protection | ||||||||||||||||
Berkshire Hathaway, Inc., 1.55% due 02/09/18 (Receive Quarterly) | 0.48% | 1.00% | 12/20/2021 | USD | 400,000 | $6,064 | $5,258 | $806 | ||||||||
Subtotal Appreciation | $6,064 | $5,258 | $806 | |||||||||||||
Berkshire Hathaway, Inc., 1.55% due 02/09/18 (Receive Quarterly) | 0.58% | 1.00% | 6/20/2022 | USD | 100,000 | $1,434 | $1,852 | $(418) | ||||||||
Ford Motor Credit Company LLC, 3.81% due 1/9/2024 (Receive Quarterly) | 2.40% | 5.00% | 12/20/2023 | USD | 1,600,000 | 182,578 | 222,128 | (39,550) | ||||||||
General Electric Company, 2.70% due 10/9/2022 (Receive Quarterly) | 2.04% | 1.00% | 12/20/2023 | USD | 1,400,000 | (63,208) | (60,490) | (2,718) | ||||||||
Subtotal Depreciation | $120,804 | $163,490 | $(42,686) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate Issuers — Sell Protection outstanding at December 31, 2018 | $126,868 | $168,748 | $(41,880) |
Reference Obligation | Fixed Deal (Pay)/Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes — Buy Protection | ||||||||||||||
Markit iTraxx Europe Series 30 (Pay Quarterly) | (1.00)% | 12/20/2023 | EUR | 3,725,000 | $(26,138) | $(33,571) | $7,433 | |||||||
Markit CDX.NA.HY.31 Index (Pay Quarterly) | (5.00)% | 12/20/2023 | USD | 1,390,000 | (30,535) | (102,512) | 71,977 | |||||||
Subtotal Appreciation | $(56,673) | $(136,083) | $79,410 | |||||||||||
Markit CDX.EM.30 Index (Pay Quarterly) | (1.00)% | 12/20/2023 | USD | 460,000 | $21,511 | $22,100 | $(589) | |||||||
Subtotal Depreciation | $21,511 | $22,100 | $(589) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes — Buy Protection outstanding at December 31, 2018 | $(35,162) | $(113,983) | $78,821 |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay)/Receive Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||
Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||||
Markit CMBX.NA.AAA.7 Index (Receive Monthly) | 0.38% | 0.50% | 1/17/2047 | GSC | USD | 1,700,000 | $9,610 | $(75,678) | $85,288 | |||||||||
Markit CMBX.NA.AAA.8 Index (Receive Monthly) | 0.46% | 0.50% | 10/17/2057 | GSC | USD | 1,700,000 | 3,475 | (102,781) | 106,256 | |||||||||
Markit CMBX.NA.AAA.8 Index (Receive Monthly) | 0.46% | 0.50% | 10/17/2057 | DEUT | USD | 1,700,000 | 3,475 | (116,926) | 120,401 | |||||||||
$16,560 | $(295,385) | $311,945 | ||||||||||||||||
Table of Contents
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay)/Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes — Sell Protection | ||||||||||||||||
Markit CDX.NA.HY30 Index (Receive Quarterly) | 4.17% | 5.00% | 6/20/2023 | USD | 2,100,000 | $67,998 | $130,485 | $(62,487) | ||||||||
Markit CDX.EM.29 (Receive Quarterly) | 1.92% | 1.00% | 6/20/2023 | USD | 2,850,000 | (104,491) | (73,915) | (30,576) | ||||||||
Markit CDX.NA.IG30 Index (Receive Quarterly) | 0.80% | 1.00% | 6/20/2023 | USD | 34,900,000 | 294,584 | 648,420 | (353,836) | ||||||||
CDX.NA.IG.31 1% (Receive Quarterly) | 0.88% | 1.00% | 12/20/2023 | USD | 15,000,000 | 89,328 | 186,224 | (96,896) | ||||||||
Markit CDX.NA.IG.31 Index (Receive Quarterly) | 0.88% | 1.00% | 12/20/2023 | USD | 60,625,000 | 361,036 | 904,063 | (543,027) | ||||||||
$708,455 | $1,795,277 | $(1,086,822) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.41% (Upon termination) | 1/2/2020 | CITI | BRL | 88,650,000 | $642,298 | $26,922 | $615,376 | ||||||||
$642,298 | $26,922 | $615,376 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Monthly) | 7.25% (Monthly) | 1/2/2020 | BRL | 16,747,126 | $35,238 | $4,947 | $30,291 | |||||||
3-Month JIBAR (Quarterly) | 7.50% (Quarterly) | 9/19/2020 | ZAR | 9,300,000 | 2,083 | 592 | 1,491 | |||||||
3-Month EURIBOR (Quarterly) | 0.09% (Annually) | 11/22/2020 | EUR | 24,690,000 | 81,140 | 1,209 | 79,931 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Monthly) | 8.00% (Monthly) | 1/4/2021 | BRL | 3,700,000 | 14,454 | 1,538 | 12,916 | |||||||
0.10% (Annually) | 3-Month EURIBOR (Annually) | 1/16/2021 | SEK | 105,370,000 | 5,814 | 3,732 | 2,082 | |||||||
3-Month EURIBOR (Quarterly) | 0.1% (Annually) | 1/16/2021 | EUR | 12,700,000 | 38,864 | 8,442 | 30,422 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 2.25% (Semiannually) | 3/20/2021 | NZD | 16,300,000 | 54,369 | 38,974 | 15,395 | |||||||
6-Month EURIBOR (Semiannually) | 0.35% (Annually) | 12/16/2021 | EUR | 22,650,000 | 177,974 | (44,172) | 222,146 | |||||||
3-Month LIBOR (Quarterly) | 3.23% (Semiannually) | 12/18/2021 | USD | 55,251,000 | 750,654 | 89,188 | 661,466 | |||||||
3-Month LIBOR (Quarterly) | 2.85% (Semiannually) | 8/31/2022 | USD | 29,625,000 | 494,004 | (6,614) | 500,618 | |||||||
6.75% (Lunar) | MXN-TIIE-Banxico (Lunar) | 12/14/2022 | MXN | 10,000 | 33 | 23 | 10 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 3/20/2023 | EUR | 6,330,000 | 113,552 | 86,389 | 27,163 | |||||||
6-Month EURIBOR (Semiannually) | 0.67% (Annually) | 8/3/2023 | EUR | 6,000,000 | 70,900 | 15,908 | 54,992 | |||||||
3-Month LIBOR (Quarterly) | 2.80% (Semiannually) | 8/22/2023 | USD | 9,400,000 | 159,680 | — | 159,680 | |||||||
3-Month LIBOR (Quarterly) | Receive 1-Day US Federal Fund Effective rate + 0.31% (Quarterly) | 12/19/2023 | USD | 52,631,000 | 94,217 | — | 94,217 | |||||||
3-Month CDOR (Semiannually) | 2.50% (Semiannually) | 3/20/2024 | CAD | 9,790,000 | 68,992 | 779 | 68,213 | |||||||
3-Month LIBOR (Quarterly) | Receive 1-Day US Federal Fund Effective Rate + 0.31% (Quarterly) | 3/20/2024 | USD | 58,248,000 | 122,315 | 1,842 | 120,473 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 3/20/2024 | EUR | 26,710,000 | 382,891 | 270,009 | 112,882 | |||||||
6-Month NIBOR (Semiannually) | 2.00% (Annually) | 3/20/2024 | NOK | 13,960,000 | 12,453 | 5,432 | 7,021 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/16/2025 | USD | 1,500,000 | 11,640 | (20,888) | 32,528 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/21/2026 | USD | 5,200,000 | $340,658 | $297,037 | $43,621 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/21/2027 | USD | 4,600,000 | 415,468 | 310,356 | 105,112 | |||||||
3-Month LIBOR (Quarterly) | 2.75% (Semiannually) | 12/21/2027 | USD | 3,310,000 | (3,315) | (21,463) | 18,148 | |||||||
6-Month LIBOR (Semiannually) | 1.05% (Annually) | 8/7/2028 | CHF | 3,940,000 | 54,619 | (2,674) | 57,293 | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 9/20/2028 | USD | 1,510,000 | 10,125 | (18,871) | 28,996 | |||||||
28-Day Mexico Interbank TIIE (Monthly) | 9.30% (Monthly) | 10/27/2028 | MXN | 48,750,000 | (1,585) | (26,583) | 24,998 | |||||||
1.15% (Annually) | 6-Month SONIA (Annually) | 12/18/2028 | GBP | 630,000 | 21,510 | 739 | 20,771 | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 3/20/2029 | EUR | 2,900,000 | 47,378 | (21,538) | 68,916 | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 3/20/2029 | USD | 6,810,000 | 169,064 | 46,425 | 122,639 | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 3/20/2029 | EUR | 2,160,000 | 35,245 | 20,605 | 14,640 | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 6/19/2029 | EUR | 2,600,000 | 27,216 | 9,926 | 17,290 | |||||||
6-Month EURIBOR (Semiannually) | 1.50% (Annually) | 6/19/2029 | EUR | 2,090,000 | (3,053) | (6,896) | 3,843 | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 2/15/2036 | USD | 9,694,000 | 209,729 | 15,986 | 193,743 | |||||||
6-Month EURIBOR (Semiannually) | 2.05% (Annually) | 2/3/2037 | EUR | 6,200,000 | 91,411 | 27,302 | 64,109 | |||||||
3-Month LIBOR (Quarterly) | 2.75% (Semiannually) | 6/16/2037 | USD | 1,320,000 | (23,652) | (31,842) | 8,190 | |||||||
6-Month EURIBOR (Semiannually) | 1.50% (Annually) | 3/20/2039 | EUR | 400,000 | 12,903 | 7,479 | 5,424 | |||||||
2.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/16/2045 | USD | 8,200,000 | 188,316 | (76,299) | 264,615 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/15/2046 | USD | 4,700,000 | 340,890 | (59,355) | 400,245 | |||||||
2.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/21/2046 | USD | 600,000 | 74,102 | 58,844 | 15,258 | |||||||
2.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/20/2047 | USD | 3,200,000 | 75,974 | (116,555) | 192,529 | |||||||
2.54% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/23/2048 | USD | 500,000 | 30,332 | — | 30,332 | |||||||
3-Month LIBOR (Quarterly) | 3.50% (Semiannually) | 11/8/2048 | USD | 1,300,000 | 89,820 | 23,932 | 65,888 | |||||||
1.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/19/2049 | GBP | 1,200,000 | (76,166) | (84,178) | 8,012 | |||||||
Subtotal Appreciation | $4,818,256 | $809,707 | $4,009,549 | |||||||||||
0.00% (Annually) | 3-Month EURIBOR (Quarterly) | 3/18/2020 | EUR | 274,670,000 | $(199,947) | $(4,442) | $(195,505) | |||||||
MXN-TIIE-Banxico (Monthly) | 7.60% (Monthly) | 6/17/2020 | MXN | 20,000,000 | (16,527) | (841) | (15,686) | |||||||
8.90% (Monthly) | 28-Day Mexico Interbank TIIE (Monthly) | 3/17/2021 | MXN | 32,075,000 | (4,783) | — | (4,783) | |||||||
0.10% (Semiannually) | 3-Month EURIBOR (Annually) | 3/20/2021 | USD | 17,160,000 | (40,840) | 45,751 | (86,591) | |||||||
28-Day Mexico Interbank TIIE (Monthly) | 7.35% (Monthly) | 4/5/2021 | MXN | 766,870,000 | (1,024,174) | (31,591) | (992,583) | |||||||
1.27% (Semiannually) | 6-Month LIBOR (Semiannually) | 10/26/2021 | GBP | 6,220,000 | 1,865 | 3,029 | (1,164) | |||||||
0.10% (Annually) | 3-Month EURIBOR (Annually) | 12/16/2021 | SEK | 187,410,000 | (68,710) | 76,103 | (144,813) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 1/9/2023 | JPY | 2,160,000,000 | (881,158) | 109,363 | (990,521) | |||||||
0.10% (Annually) | 3-Month EURIBOR (Annually) | 3/20/2023 | SEK | 56,500,000 | (19,424) | (17,756) | (1,668) | |||||||
2.55% (Annually) | 6-Month WIBOR (Semiannually) | 3/21/2023 | PLN | 8,600,000 | (81,295) | 5,415 | (86,710) | |||||||
1.10% (Annually) | 6-Month SONIA (Annually) | 8/1/2023 | GBP | 3,440,000 | (25,869) | (5,085) | (20,784) | |||||||
1-Day US Federal Fund Effective Rate + 0.31% (Quarterly) | Receive 3-Month LIBOR (Quarterly) | 12/19/2023 | USD | 42,095,000 | (75,356) | 14,264 | (89,620) | |||||||
1-Day US Federal Fund Effective Rate + 0.36% (Quarterly) | Receive 3-Month LIBOR (Quarterly) | 12/19/2023 | USD | 10,536,000 | (18,861) | 1,748 | (20,609) | |||||||
0.10% (Annually) | 3-Month EURIBOR (Annually) | 3/20/2024 | SEK | 139,990,000 | (132,939) | (121,985) | (10,954) | |||||||
0.10% (Semiannually) | 3-Month EURIBOR (Annually) | 3/20/2024 | USD | 9,550,000 | (77,948) | 39,386 | (117,334) | |||||||
2.75% (Semiannually) | 6-Month ASX Australian Bank Bill Short Term Rates Mid (Semiannually) | 3/20/2024 | AUD | 11,450,000 | (191,791) | (149,437) | (42,354) | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/20/2027 | USD | 2,200,000 | 34,414 | 49,008 | (14,594) | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/22/2028 | JPY | 177,150,000 | (19,483) | (17,944) | (1,539) | |||||||
2.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/20/2028 | USD | 92,700,000 | 3,566,453 | 5,828,742 | (2,262,289) | |||||||
2.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/21/2028 | GBP | 3,610,000 | (96,557) | (90,714) | (5,843) | |||||||
1.90% (Semiannually) | 6-Month LIBOR (Semiannually) | 8/3/2028 | GBP | 2,500,000 | (51,194) | (4,788) | (46,406) | |||||||
2.25% (Quarterly) | 3-Month KORIBOR (Quarterly) | 9/20/2028 | KRW | 1,822,040,000 | (26,911) | 2,515 | (29,426) | |||||||
0.10% (Semiannually) | 3-Month EURIBOR (Annually) | 10/27/2028 | USD | 860,000 | (14,401) | (2,383) | (12,018) |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
0.10% (Annually) | 3-Month EURIBOR (Annually) | 3/20/2029 | SEK | 10,980,000 | $(6,985) | $(6,289) | $(696) | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2029 | GBP | 18,940,000 | (122,484) | 235,725 | (358,209) | |||||||
3.30% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/18/2029 | USD | 12,188,000 | (573,317) | (63,096) | (510,221) | |||||||
2.04% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 2,100,000 | (82,115) | (28,928) | (53,187) | |||||||
2.05% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 3,300,000 | (132,617) | (55,871) | (76,746) | |||||||
1.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/14/2038 | JPY | 48,200,000 | (14,780) | (10,879) | (3,901) | |||||||
3.33% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2044 | USD | 8,319,000 | (725,037) | (427) | (724,610) | |||||||
3.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/15/2044 | USD | 7,252,000 | (182,985) | (8,854) | (174,131) | |||||||
2.91% (Semiannually) | 3-Month LIBOR (Quarterly) | 8/22/2048 | USD | 1,600,000 | (25,650) | — | (25,650) | |||||||
2.94% (Semiannually) | 3-Month LIBOR (Quarterly) | 8/22/2048 | USD | 500,000 | (11,715) | — | (11,715) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2049 | JPY | 378,120,000 | (257,606) | (144,644) | (112,962) | |||||||
Subtotal Depreciation | $(1,600,727) | $5,645,095 | $(7,245,822) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2018 | $3,219,101 | $6,550,592 | $(3,331,491) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Inflation Swaps | ||||||||||||||
1-Day UK RPI (Upon termination) | 3.47% (Upon termination) | 11/15/2025 | GBP | 9,550,000 | $(6,121) | $(102,690) | $96,569 | |||||||
1-Day UK RPI (Upon termination) | 3.57% (Upon termination) | 11/15/2028 | GBP | 3,690,000 | 18,322 | 328 | 17,994 | |||||||
Subtotal Appreciation | $12,201 | $(102,362) | $114,563 | |||||||||||
3.29% (Upon termination) | 1-Day UK RPI (Upon termination) | 11/15/2020 | GBP | 10,660,000 | $(26,990) | $21,401 | $(48,391) | |||||||
2.19% (Upon termination) | US CPI Urban Consumers NSA Index (Upon termination) | 11/26/2028 | USD | 6,260,000 | (141,891) | (12,025) | (129,866) | |||||||
3.52% (Upon termination) | 1-Day UK RPI (Upon termination) | 11/15/2048 | GBP | 160,000 | (5,263) | 2,306 | (7,569) | |||||||
Subtotal Depreciation | $(174,144) | $11,682 | $(185,826) | |||||||||||
Net Centrally Cleared Inflation Swaps outstanding at December 31, 2018 | $(161,943) | $(90,680) | $(71,263) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $20,179,841 | $— | $20,179,841 | $— | |||
Asset-Backed Securities | 120,137,185 | — | 119,293,492 | 843,693 | |||
Commercial Paper | 4,100,571 | — | 4,100,571 | — |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Corporate Bonds | $312,791,951 | $— | $312,791,951 | $—** | |||
Foreign Bonds | 219,102,676 | — | 219,102,676 | — | |||
Loan Agreements | 14,018,548 | — | 14,018,548 | — | |||
Money Market Funds | 34,177,238 | 34,177,238 | — | — | |||
Mortgage-Backed Securities | 677,414,729 | — | 675,734,026 | 1,680,703 | |||
Municipal Bonds | 6,558,884 | — | 6,558,884 | — | |||
Preferred Stock | 178,064 | — | 178,064 | — | |||
Purchased Options: | |||||||
Call Options | 274,864 | 142,695 | 132,169 | — | |||
Call Swaptions | 2,846,408 | — | 2,846,408 | — | |||
Put Options | 6,030 | 6,030 | — | — | |||
Put Swaptions | 1,186,621 | — | 1,186,621 | — | |||
Total Purchased Options | 4,313,923 | 148,725 | 4,165,198 | — | |||
Repurchase Agreements | 28,600,000 | — | 28,600,000 | — | |||
U.S. Treasury Obligations | 304,517,213 | — | 304,517,213 | — | |||
Total Assets - Investments in Securities | $1,746,090,823 | $34,325,963 | $1,709,240,464 | $2,524,396 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $2,513,716 | $— | $2,513,716 | $— | |||
Futures Contracts | 12,248,404 | 12,248,404 | — | — | |||
Swap Agreements | 5,138,849 | — | 5,138,849 | — | |||
Total Assets - Other Financial Instruments | $19,900,969 | $12,248,404 | $7,652,565 | $ — | |||
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 | $(40,201,723) | $— | $(40,201,723) | $— | |||
Written Options: | |||||||
Call Options | (739,783) | (739,783) | — | — | |||
Call Swaptions | (3,299,134) | — | (3,299,134) | — | |||
Put Options | (70,974) | (42,899) | (28,075) | — | |||
Put Swaptions | (1,490,147) | — | (1,490,147) | — | |||
Total Written Options | (5,600,038) | (782,682) | (4,817,356) | — | |||
Total Liabilities - Investments in Securities | $(45,801,761) | $(782,682) | $(45,019,079) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(3,650,281) | $— | $(3,650,281) | $— | |||
Futures Contracts | (3,543,537) | (3,543,537) | — | — | |||
Swap Agreements | (8,679,547) | — | (8,679,547) | — | |||
Total Liabilities - Other Financial Instruments | $(15,873,365) | $(3,543,537) | $(12,329,828) | $ — |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
Table of Contents
% | |
U.S. Treasury Obligations | 41.4 |
Corporate Bonds | 33.7 |
Foreign Bonds | 11.2 |
Mortgage-Backed Securities | 10.0 |
Money Market Funds | 2.1 |
Commercial Paper | 0.3 |
Asset-Backed Securities | 0.3 |
Preferred Stocks | 0.1 |
Municipal Bonds | 0.1 |
Common Stocks | —** |
99.2 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (3.07)% | (3.34)% | (1.90)% | ||||
Five Year | 5.14% | 4.88% | 6.04% | ||||
Ten Year | 8.41% | 8.16% | 6.11% | ||||
Since Inception | 7.24% | 7.05% | 6.59% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 0.58% | 0.86% |
Table of Contents
Par | Value | |||
ASSET-BACKED SECURITY — 0.3% | ||||
Towd Point Mortgage Trust, Series 2016-4, Class A1 | ||||
2.25%, 07/25/56 144A (Cost $542,182) | $548,265 | $535,094 | ||
COMMERCIAL PAPER — 0.3% | ||||
Ford Motor Credit Co. LLC | ||||
4.16%, (Cost $655,663) | 682,000 | 657,105 | ||
CORPORATE BONDS — 33.7% | ||||
21st Century Fox America, Inc. | ||||
4.75%, 09/15/44 | 623,000 | 665,933 | ||
AbbVie, Inc. | ||||
4.70%, 05/14/45 | 558,000 | 509,293 | ||
AES Corporation | ||||
4.88%, 05/15/23 | 145,000 | 142,100 | ||
Aflac, Inc. | ||||
6.45%, 08/15/40 | 328,000 | 396,173 | ||
Allison Transmission, Inc. | ||||
4.75%, 10/01/27 144A | 85,000 | 76,075 | ||
Ally Financial, Inc. | ||||
8.00%, 11/01/31 | 177,000 | 197,355 | ||
Alta Wind Holdings LLC | ||||
7.00%, 06/30/35 144A | 367,236 | 399,007 | ||
American Airlines Pass Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 575,810 | 594,175 | ||
American Airlines Pass Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 255,253 | 245,301 | ||
American Airlines Pass Through Trust, Series 2017-1, Class B | ||||
4.95%, 02/15/25 | 118,462 | 119,007 | ||
American Airlines Pass Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 94,945 | 91,953 | ||
American International Group, Inc. | ||||
3.90%, 04/01/26 | 1,800,000 | 1,734,421 | ||
Anadarko Holding Co. | ||||
7.15%, 05/15/28 | 250,000 | 272,952 | ||
Antares Holdings LP | ||||
6.00%, 08/15/23 144A | 255,000 | 252,329 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21 | 125,000 | 121,094 | ||
5.13%, 12/01/22 | 35,000 | 33,031 | ||
Apple, Inc. | ||||
4.38%, 05/13/45 | 676,000 | 688,140 | ||
3.85%, 08/04/46 | 367,000 | 342,149 | ||
4.25%, 02/09/47 | 242,000 | 241,747 | ||
AT&T, Inc. | ||||
4.30%, 02/15/30 | 2,000,000 | 1,894,076 | ||
4.50%, 05/15/35Δ | 529,000 | 476,267 | ||
4.30%, 12/15/42 | 1,242,000 | 1,058,346 | ||
4.75%, 05/15/46 | 1,153,000 | 1,027,460 | ||
4.50%, 03/09/48 | 105,000 | 90,189 | ||
4.55%, 03/09/49 | 115,000 | 99,370 | ||
AXA Equitable Holdings, Inc. | ||||
5.00%, 04/20/48 144A | 1,328,000 | 1,182,251 |
Par | Value | |||
Bank of America Corporation | ||||
3.50%, 04/19/26Δ | $964,000 | $928,577 | ||
6.11%, 01/29/37 | 900,000 | 991,921 | ||
Bank of America NA | ||||
6.00%, 10/15/36 | 1,315,000 | 1,520,016 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV Δ | 110,000 | 121,664 | ||
Burlington Northern Santa Fe LLC | ||||
4.15%, 04/01/45 | 879,000 | 854,227 | ||
CenturyLink, Inc. | ||||
6.88%, 01/15/28Δ | 65,000 | 57,525 | ||
Chesapeake Energy Corporation | ||||
6.63%, 08/15/20 | 25,000 | 24,313 | ||
6.88%, 11/15/20 | 15,000 | 14,625 | ||
4.88%, 04/15/22Δ | 70,000 | 61,425 | ||
5.75%, 03/15/23 | 20,000 | 17,350 | ||
Cincinnati Bell, Inc. | ||||
8.00%, 10/15/25 144A Δ | 160,000 | 132,800 | ||
Citigroup, Inc. | ||||
8.13%, 07/15/39 | 858,000 | 1,193,791 | ||
(Variable, ICE LIBOR USD 3M + 1.84%), 4.28%, 04/24/48Δ ^ | 533,000 | 494,346 | ||
Comcast Corporation | ||||
3.70%, 04/15/24Δ | 1,550,000 | 1,560,562 | ||
Continental Airlines Pass Through Trust, Series 1999-2, Class B | ||||
7.57%, 03/15/20 | 45 | 47 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 40,000 | 39,405 | ||
3.80%, 06/01/24 | 125,000 | 118,476 | ||
Cox Communications, Inc. | ||||
4.60%, 08/15/47 144A | 255,000 | 230,263 | ||
CSC Holdings LLC | ||||
5.38%, 02/01/28 144A | 200,000 | 184,436 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 1,620,000 | 1,771,278 | ||
CVS Health Corporation | ||||
5.13%, 07/20/45 | 240,000 | 234,455 | ||
DCP Midstream Operating LP | ||||
6.45%, 11/03/36 144A | 490,000 | 477,750 | ||
Dell International LLC | ||||
6.02%, 06/15/26 144A | 140,000 | 140,837 | ||
8.10%, 07/15/36 144A | 180,000 | 196,099 | ||
8.35%, 07/15/46 144A | 130,000 | 141,159 | ||
Dillard's, Inc. | ||||
7.00%, 12/01/28 | 500,000 | 515,544 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 1,080,000 | 863,909 | ||
Dow Chemical Co. (The) | ||||
9.40%, 05/15/39 | 374,000 | 542,429 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 445,000 | 366,948 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 305,000 | 378,999 | ||
Energy Transfer Operating LP | ||||
5.15%, 03/15/45 | 446,000 | 387,131 |
Table of Contents
Par | Value | |||
Enterprise Products Operating LLC | ||||
5.10%, 02/15/45 | $595,000 | $599,294 | ||
EQT Corporation | ||||
3.90%, 10/01/27 | 1,800,000 | 1,554,532 | ||
Foot Locker, Inc. | ||||
8.50%, 01/15/22 | 380,000 | 412,300 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 680,000 | 687,966 | ||
6.38%, 02/01/29 | 1,255,000 | 1,256,408 | ||
General Electric Co. | ||||
3.10%, 01/09/23 | 248,000 | 231,625 | ||
5.88%, 01/14/38 | 150,000 | 143,816 | ||
General Motors Co. | ||||
5.20%, 04/01/45 | 1,085,000 | 902,142 | ||
5.95%, 04/01/49 | 198,000 | 179,130 | ||
General Motors Financial Co., Inc. | ||||
3.45%, 04/10/22 | 130,000 | 125,814 | ||
5.25%, 03/01/26 | 250,000 | 244,986 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.50%, 11/16/26 | 2,755,000 | 2,547,236 | ||
6.75%, 10/01/37 | 500,000 | 565,582 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27Δ | 355,000 | 312,844 | ||
HCA, Inc. | ||||
5.38%, 09/01/26 | 140,000 | 136,500 | ||
7.05%, 12/01/27 | 500,000 | 528,750 | ||
Hewlett Packard Enterprise Co. | ||||
6.35%, 10/15/45 | 135,000 | 126,404 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 175,000 | 158,119 | ||
Jefferies Group LLC | ||||
6.45%, 06/08/27 | 50,000 | 52,367 | ||
6.25%, 01/15/36 | 185,000 | 185,983 | ||
JPMorgan Chase & Co. | ||||
5.60%, 07/15/41 | 1,813,000 | 2,046,657 | ||
KB Home | ||||
1.38%, 02/01/19 CONV | 80,000 | 79,800 | ||
Kinder Morgan Energy Partners LP | ||||
5.80%, 03/15/35 | 280,000 | 287,004 | ||
Liberty Mutual Group, Inc. | ||||
6.50%, 03/15/35 144A | 1,400,000 | 1,635,474 | ||
Lockheed Martin Corporation | ||||
4.70%, 05/15/46 | 903,000 | 944,603 | ||
Marathon Petroleum Corporation | ||||
3.63%, 09/15/24 | 1,500,000 | 1,461,425 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 129,000 | 154,018 | ||
6.50%, 08/15/32 | 15,000 | 16,620 | ||
McDonald’s Corporation | ||||
4.88%, 12/09/45 | 625,000 | 631,495 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36Δ | 310,000 | 315,692 | ||
5.88%, 02/06/41 | 300,000 | 353,965 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/25 CONV | 85,000 | 120,142 | ||
Microsoft Corporation | ||||
4.45%, 11/03/45 | 595,000 | 632,579 |
Par | Value | |||
3.70%, 08/08/46 | $594,000 | $570,494 | ||
Morgan Stanley | ||||
3.13%, 08/05/21(C) | 235,000 | 172,422 | ||
3.63%, 01/20/27 | 1,500,000 | 1,427,068 | ||
MPLX LP | ||||
4.50%, 04/15/38 | 809,000 | 708,713 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 100,000 | 124,689 | ||
Nationstar Mortgage Holdings, Inc. | ||||
9.13%, 07/15/26 144A | 175,000 | 170,625 | ||
Navient Corporation | ||||
5.88%, 10/25/24Δ | 30,000 | 25,200 | ||
6.75%, 06/15/26Δ | 155,000 | 129,037 | ||
5.63%, 08/01/33 | 1,460,000 | 970,900 | ||
New Albertsons LP | ||||
6.63%, 06/01/28 | 35,000 | 26,075 | ||
7.45%, 08/01/29 | 65,000 | 52,325 | ||
8.70%, 05/01/30 | 200,000 | 169,000 | ||
8.00%, 05/01/31 | 370,000 | 303,400 | ||
Newell Brands, Inc. | ||||
5.38%, 04/01/36 | 321,000 | 305,916 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 100,000 | 96,500 | ||
6.13%, 03/01/25 | 220,000 | 190,300 | ||
Noble Energy, Inc. | ||||
5.05%, 11/15/44 | 600,000 | 518,563 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 60,000 | 53,149 | ||
1.00%, 12/15/35 CONV | 85,000 | 74,047 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 230,000 | 239,368 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 85,000 | 93,925 | ||
ONEOK Partners LP | ||||
6.20%, 09/15/43 | 5,000 | 5,377 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 1,750,000 | 2,305,516 | ||
Prudential Financial, Inc. | ||||
6.63%, 06/21/40 | 548,000 | 671,356 | ||
PulteGroup, Inc. | ||||
6.38%, 05/15/33 | 1,000,000 | 917,500 | ||
Quicken Loans, Inc. | ||||
5.75%, 05/01/25 144A | 60,000 | 56,400 | ||
5.25%, 01/15/28 144A | 65,000 | 57,769 | ||
Qwest Corporation | ||||
7.25%, 09/15/25 | 490,000 | 505,161 | ||
6.88%, 09/15/33 | 1,823,000 | 1,633,122 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24 | 90,000 | 82,013 | ||
Rockwell Collins, Inc. | ||||
4.35%, 04/15/47 | 236,000 | 217,959 | ||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | 35,000 | 29,753 | ||
Sempra Energy | ||||
6.00%, 10/15/39Δ | 991,000 | 1,105,153 |
Table of Contents
Par | Value | |||
Sherwin-Williams Co. (The) | ||||
4.50%, 06/01/47 | $646,000 | $584,773 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 80,000 | 74,761 | ||
5.00%, 01/15/24Δ | 15,000 | 13,125 | ||
Southern Co. (The) | ||||
4.40%, 07/01/46 | 1,356,000 | 1,251,591 | ||
Springleaf Finance Corporation | ||||
6.88%, 03/15/25 | 170,000 | 152,575 | ||
Sprint Capital Corporation | ||||
6.88%, 11/15/28Δ | 1,025,000 | 971,187 | ||
8.75%, 03/15/32 | 20,000 | 21,150 | ||
Sprint Communications, Inc. | ||||
6.00%, 11/15/22 | 40,000 | 39,353 | ||
Sprint Corporation | ||||
7.13%, 06/15/24 | 15,000 | 14,893 | ||
Tenet Healthcare Corporation | ||||
5.13%, 05/01/25 | 335,000 | 313,225 | ||
Textron, Inc. | ||||
6.63%, 04/07/20(U) | 160,000 | 215,455 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 25,000 | 22,853 | ||
4.50%, 09/15/42 | 45,000 | 36,297 | ||
Toro Co. (The) | ||||
6.63%, 05/01/37 | 300,000 | 350,131 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 455,000 | 550,793 | ||
Transocean, Inc. | ||||
5.80%, 10/15/22 | 205,000 | 181,425 | ||
6.80%, 03/15/38Δ | 20,000 | 13,400 | ||
Tyson Foods, Inc. | ||||
4.55%, 06/02/47 | 357,000 | 313,990 | ||
United Airlines Pass Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 77,720 | 74,143 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 92,639 | 92,537 | ||
United Rentals North America, Inc. | ||||
6.50%, 12/15/26 | 85,000 | 83,938 | ||
4.88%, 01/15/28 | 30,000 | 26,400 | ||
United States Steel Corporation | ||||
6.65%, 06/01/37 | 95,000 | 71,963 | ||
United Technologies Corporation | ||||
3.95%, 08/16/25 | 400,000 | 397,475 | ||
Unum Group | ||||
5.75%, 08/15/42 | 800,000 | 799,882 | ||
US Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 301,311 | 322,013 | ||
Verizon Communications, Inc. | ||||
4.27%, 01/15/36 | 1,700,000 | 1,592,283 | ||
5.25%, 03/16/37 | 999,000 | 1,043,704 | ||
5.50%, 03/16/47 | 1,000,000 | 1,067,337 |
Par | Value | |||
Visa, Inc. | ||||
4.30%, 12/14/45 | $700,000 | $725,169 | ||
Walmart, Inc. | ||||
3.63%, 12/15/47 | 261,000 | 240,904 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 144A CONV Δ | 140,000 | 113,806 | ||
WestRock MWV LLC | ||||
7.55%, 03/01/47 | 515,000 | 631,028 | ||
Weyerhaeuser Co. REIT | ||||
6.88%, 12/15/33 | 580,000 | 692,398 | ||
Windstream Services LLC | ||||
7.75%, 10/15/20 | 25,000 | 16,000 | ||
7.50%, 04/01/23 | 5,000 | 2,438 | ||
8.75%, 12/15/24 144A | 14,000 | 5,460 | ||
Total Corporate Bonds (Cost $72,652,952) | 74,272,423 | |||
FOREIGN BONDS — 11.2% | ||||
Australia — 0.3% | ||||
Barrick PD Australia Finance Proprietary, Ltd. | ||||
5.95%, 10/15/39 | 571,000 | 610,150 | ||
New South Wales Treasury Corporation | ||||
3.50%, 03/20/19(A) | 60,000 | 42,396 | ||
652,546 | ||||
Brazil — 0.3% | ||||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,525,000 | 723,929 | ||
Canada — 3.8% | ||||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A Δ | 515,000 | 485,387 | ||
Canadian Government Bond Residual STRIP | ||||
3.47%, 06/01/25(C) Ω | 3,685,000 | 2,393,239 | ||
Enbridge, Inc. | ||||
5.50%, 12/01/46Δ | 549,000 | 588,061 | ||
MEG Energy Corporation | ||||
7.00%, 03/31/24 144A | 340,000 | 326,400 | ||
Province of Ontario Generic Residual STRIP | ||||
2.98%, 03/08/29(C) Ω | 4,600,000 | 2,495,817 | ||
Province of Saskatchewan Residual STRIP | ||||
3.49%, 02/04/22(C) Ω | 3,000,000 | 2,053,699 | ||
8,342,603 | ||||
Ireland — 0.1% | ||||
Johnson Controls International PLC | ||||
4.50%, 02/15/47 | 160,000 | 148,603 | ||
Italy — 0.3% | ||||
Telecom Italia Capital SA | ||||
6.00%, 09/30/34 | 785,000 | 682,950 |
Table of Contents
Par | Value | |||
Luxembourg — 0.6% | ||||
ArcelorMittal | ||||
7.00%, 10/15/39 | $215,000 | $226,954 | ||
6.75%, 03/01/41 | 975,000 | 1,031,616 | ||
1,258,570 | ||||
Mexico — 1.2% | ||||
America Movil SAB de CV | ||||
6.45%, 12/05/22(M) | 2,600,000 | 117,420 | ||
8.46%, 12/18/36(M) | 12,000,000 | 488,506 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 21,300,000 | 1,058,673 | ||
10.00%, 12/05/24(M) | 3,500,000 | 189,341 | ||
7.50%, 06/03/27(M) | 3,500,000 | 165,556 | ||
8.50%, 05/31/29(M) | 500,000 | 25,039 | ||
7.75%, 05/29/31(M) | 1,000,000 | 47,008 | ||
Petroleos Mexicanos | ||||
6.50%, 03/13/27 | 362,000 | 341,185 | ||
6.35%, 02/12/48 | 327,000 | 263,235 | ||
2,695,963 | ||||
Netherlands — 1.3% | ||||
Cooperatieve Rabobank UA | ||||
3.75%, 07/21/26 | 493,000 | 462,755 | ||
5.25%, 05/24/41 | 632,000 | 697,576 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 80,000 | 82,901 | ||
Enel Finance International NV | ||||
6.00%, 10/07/39 144A | 500,000 | 497,127 | ||
Petrobras Global Finance BV | ||||
5.63%, 05/20/43 | 120,000 | 101,011 | ||
Shell International Finance BV | ||||
4.00%, 05/10/46 | 1,060,000 | 1,026,118 | ||
2,867,488 | ||||
New Zealand — 0.3% | ||||
New Zealand Government Bond | ||||
5.00%, 03/15/19(Z) | 945,000 | 638,456 | ||
Norway — 0.0% | ||||
Norway Government Bond | ||||
4.50%, 05/22/19(K) 144A | 265,000 | 31,076 | ||
3.75%, 05/25/21(K) 144A | 196,000 | 24,069 | ||
55,145 | ||||
Spain — 0.3% | ||||
Telefonica Emisiones SA | ||||
7.05%, 06/20/36 | 524,000 | 598,669 | ||
Switzerland — 0.5% | ||||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 1,188,000 | 1,107,276 | ||
United Kingdom — 2.2% | ||||
Barclays PLC | ||||
4.38%, 01/12/26 | 865,000 | 823,421 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 645,000 | 640,078 |
Par | Value | |||
Lloyds Banking Group PLC | ||||
4.34%, 01/09/48 | $1,056,000 | $836,391 | ||
Royal Bank of Scotland Group PLC | ||||
3.88%, 09/12/23 | 1,761,000 | 1,690,033 | ||
Vodafone Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 3.43%, 01/16/24† | 962,000 | 939,065 | ||
4,928,988 | ||||
Total Foreign Bonds (Cost $27,413,954) | 24,701,186 | |||
MORTGAGE-BACKED SECURITIES — 10.0% | ||||
Federal Home Loan Mortgage Corporation | ||||
4.50%, 09/01/48 | 1,893,835 | 1,962,044 | ||
Federal National Mortgage Association | ||||
4.50%, 12/01/47 | 1,080,412 | 1,120,106 | ||
3.50%, 01/01/48 | 7,739,221 | 7,742,212 | ||
4.50%, 08/01/48 | 1,898,643 | 1,968,328 | ||
4.50%, 11/01/48 | 1,919,610 | 1,988,903 | ||
Government National Mortgage Association | ||||
4.50%, 10/20/48 | 1,925,943 | 1,995,074 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 2,537,340 | 2,517,804 | ||
JP Morgan Trust, Series 2015-6, Class A5 | ||||
3.50%, 10/25/45 144A γ | 2,828,787 | 2,806,895 | ||
Total Mortgage-Backed Securities (Cost $22,293,334) | 22,101,366 | |||
MUNICIPAL BOND — 0.1% | ||||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 (Cost $188,982) | 235,000 | 224,420 | ||
U.S. TREASURY OBLIGATIONS — 41.4% | ||||
U.S. Treasury Bill | ||||
2.40%, 03/28/19Ω | 2,600,000 | 2,585,474 | ||
U.S. Treasury Bonds | ||||
4.50%, 02/15/36 | 1,152,000 | 1,420,425 | ||
5.00%, 05/15/37 | 215,000 | 282,301 | ||
4.63%, 02/15/40 | 11,876,000 | 15,057,705 | ||
2.88%, 05/15/43 | 5,839,000 | 5,702,718 | ||
2.50%, 05/15/46 | 5,000,000 | 4,510,840 | ||
2.75%, 08/15/47 | 15,577,000 | 14,757,377 | ||
2.75%, 11/15/47 | 1,504,300 | 1,423,914 | ||
43,155,280 | ||||
U.S. Treasury Notes | ||||
1.25%, 10/31/19 | 1,625,000 | 1,606,782 | ||
1.75%, 11/30/19 | 12,372,000 | 12,276,068 | ||
2.25%, 03/31/20 | 5,000,000 | 4,980,077 | ||
2.75%, 11/30/20 | 1,161,000 | 1,166,465 | ||
2.00%, 11/30/22 | 16,495,000 | 16,198,610 | ||
2.88%, 11/30/23 | 1,000,000 | 1,017,578 | ||
2.75%, 02/15/28 | 3,350,000 | 3,368,123 |
Table of Contents
Par | Value | |||
2.88%, 08/15/28 | $4,807,000 | $4,882,297 | ||
45,496,000 | ||||
Total U.S. Treasury Obligations (Cost $92,630,738) | 91,236,754 |
Shares | |||
COMMON STOCK — 0.0% | |||
Industrials — 0.0% | |||
Arconic, Inc.(E) (Cost $80,543) | 2,606 | 43,937 | |
PREFERRED STOCKS — 0.1% | |||
Chesapeake Energy Corporation | |||
5.00%, 10/31/18 CONV Δ | 620 | 32,166 | |
5.75%, 10/31/18 144A CONV | 80 | 41,751 | |
El Paso Energy Capital Trust I | |||
4.75%, 12/13/18 CONV Δ | 5,350 | 223,362 | |
Total Preferred Stocks (Cost $354,717) | 297,279 |
Shares | Value | |||
MONEY MARKET FUNDS — 2.1% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø ∞ | 4,269,935 | $4,269,935 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%Ø § | 312,356 | 312,356 | ||
Total Money Market Funds (Cost $4,582,291) | 4,582,291 | |||
TOTAL INVESTMENTS — 99.2% (Cost $221,395,356) | 218,651,855 | |||
Other Assets in Excess of Liabilities — 0.8% | 1,765,076 | |||
NET ASSETS — 100.0% | $220,416,931 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Security | $535,094 | $— | $535,094 | $— | |||
Commercial Paper | 657,105 | — | 657,105 | — | |||
Common Stock | 43,937 | 43,937 | — | — | |||
Corporate Bonds | 74,272,423 | — | 74,272,423 | — | |||
Foreign Bonds | 24,701,186 | — | 24,701,186 | — | |||
Money Market Funds | 4,582,291 | 4,582,291 | — | — | |||
Mortgage-Backed Securities | 22,101,366 | — | 22,101,366 | — | |||
Municipal Bond | 224,420 | — | 224,420 | — | |||
Preferred Stocks | 297,279 | 223,362 | 73,917 | — | |||
U.S. Treasury Obligations | 91,236,754 | — | 91,236,754 | — | |||
Total Assets - Investments in Securities | $218,651,855 | $4,849,590 | $213,802,265 | $ — |
Table of Contents
% | |
Corporate Bonds | 32.0 |
Foreign Bonds | 31.3 |
U.S. Treasury Obligations | 19.1 |
Money Market Funds | 8.9 |
Mortgage-Backed Securities | 3.1 |
Loan Agreements | 2.3 |
Asset-Backed Securities | 1.3 |
Communication Services | 0.4 |
Information Technology | 0.4 |
Foreign Government Inflation-Linked Bond | 0.4 |
Commercial Paper | 0.3 |
Energy | 0.3 |
Health Care | 0.2 |
Financials | 0.2 |
Consumer Discretionary | 0.1 |
Industrials | 0.1 |
Municipal Bonds | —** |
Real Estate | —** |
100.4 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (4.51)% | (4.73)% | (2.41)% | ||||
Five Year | N/A | 1.96% | 2.52% | ||||
Ten Year | N/A | 7.08% | 5.86% | ||||
Since Inception(1) | 1.64% | 4.47% | 4.81% | ||||
Inception Date | 05/01/15 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(2) | 0.59% | 0.86% |
Table of Contents
Par | Value | |||
ASSET-BACKED SECURITIES — 1.3% | ||||
Ajax Mortgage Loan Trust, Series 2016-C, Class A | ||||
(Step to 7.00% on 11/25/19), 4.00%, 10/25/57 144A STEP | $876,458 | $877,614 | ||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 2.91%, 07/25/36 144A † | 880,000 | 819,243 | ||
Hertz Vehicle Financing II LP, Series 2016-3A, Class B | ||||
3.11%, 07/25/20 144A | 309,000 | 308,170 | ||
Hertz Vehicle Financing II LP, Series 2017-1A, Class B | ||||
3.56%, 10/25/21 144A | 610,000 | 608,967 | ||
PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | ||||
4.27%, 01/22/35 144A † γ | 1,001,145 | 1,012,154 | ||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.54%, 03/15/33 144A † | 248,779 | 245,654 | ||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 2.64%, 03/25/44† | 480,000 | 467,646 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HE4, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor), 2.68%, 07/25/47† | 2,941,629 | 2,298,722 | ||
Total Asset-Backed Securities (Cost $6,169,320) | 6,638,170 | |||
COMMERCIAL PAPER — 0.3% | ||||
Ford Motor Credit Co. LLC | ||||
4.55%, 12/02/19 (Cost $1,571,860) | 1,635,000 | 1,575,318 | ||
CORPORATE BONDS — 32.0% | ||||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 396,000 | 391,752 | ||
Allison Transmission, Inc. | ||||
5.00%, 10/01/24 144A | 800,000 | 771,000 | ||
4.75%, 10/01/27 144A | 210,000 | 187,950 | ||
Ally Financial, Inc. | ||||
8.00%, 03/15/20 | 161,000 | 167,038 | ||
5.13%, 09/30/24 | 920,000 | 915,400 | ||
8.00%, 11/01/31 | 345,000 | 384,675 | ||
Amazon.com, Inc. | ||||
3.88%, 08/22/37 | 870,000 | 841,858 | ||
American Airlines Pass Through Trust, Series 2013-1, Class B | ||||
5.63%, 01/15/21 144A | 456,550 | 460,252 | ||
American Airlines Pass Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 1,461,367 | 1,507,976 | ||
American Airlines Pass Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 629,015 | 604,492 |
Par | Value | |||
American Airlines Pass Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | $232,615 | $225,284 | ||
Anadarko Petroleum Corporation | ||||
3.45%, 07/15/24Δ | 135,000 | 128,212 | ||
4.50%, 07/15/44 | 215,000 | 182,837 | ||
Andeavor Logistics LP | ||||
6.38%, 05/01/24 | 190,000 | 196,888 | ||
Antares Holdings LP | ||||
6.00%, 08/15/23 144A | 415,000 | 410,654 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21 | 365,000 | 353,594 | ||
5.13%, 12/01/22 | 475,000 | 448,281 | ||
5.63%, 06/01/23 | 155,000 | 147,831 | ||
Apple, Inc. | ||||
1.55%, 02/07/20 | 165,000 | 163,029 | ||
Ashtead Capital, Inc. | ||||
5.63%, 10/01/24 144A Δ | 330,000 | 334,538 | ||
4.13%, 08/15/25 144A | 274,000 | 252,080 | ||
AT&T, Inc. | ||||
4.50%, 03/09/48 | 250,000 | 214,737 | ||
4.55%, 03/09/49 | 275,000 | 237,625 | ||
Avon Products, Inc. | ||||
8.95%, 03/15/43 | 115,000 | 90,275 | ||
Bank of America Corporation | ||||
5.49%, 03/15/19 | 100,000 | 100,459 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24^ | 490,000 | 496,737 | ||
4.25%, 10/22/26 | 100,000 | 97,356 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 860,000 | 804,284 | ||
6.11%, 01/29/37 | 1,300,000 | 1,432,774 | ||
Barrick North America Finance LLC | ||||
5.75%, 05/01/43 | 1,890,000 | 1,987,928 | ||
Beacon Roofing Supply, Inc. | ||||
4.88%, 11/01/25 144A Δ | 310,000 | 273,575 | ||
Beazer Homes USA, Inc. | ||||
7.25%, 02/01/23 | 3,000 | 2,805 | ||
Berry Petroleum Corporation (Escrow) | ||||
6.38%, 09/15/22Ψ ††† # Δ | 60,000 | — | ||
Blue Cube Spinco LLC | ||||
10.00%, 10/15/25 | 1,525,000 | 1,730,875 | ||
Blue Racer Midstream LLC | ||||
6.13%, 11/15/22 144A | 200,000 | 194,000 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV Δ | 570,000 | 630,441 | ||
Braskem America Finance Co. | ||||
7.13%, 07/22/41 | 2,290,000 | 2,494,955 | ||
CalAmp Corporation | ||||
1.63%, 05/15/20 CONV | 65,000 | 61,916 | ||
California Resources Corporation | ||||
8.00%, 12/15/22 144A Δ | 1,390,000 | 945,200 | ||
Care Capital Properties LP REIT | ||||
5.13%, 08/15/26 | 220,000 | 204,203 | ||
Carrizo Oil & Gas, Inc. | ||||
6.25%, 04/15/23Δ | 320,000 | 297,600 |
Table of Contents
Par | Value | |||
CCO Holdings LLC | ||||
5.38%, 05/01/25 144A | $380,000 | $365,275 | ||
Celgene Corporation | ||||
5.00%, 08/15/45 | 1,120,000 | 1,039,322 | ||
Centene Corporation | ||||
4.75%, 05/15/22 | 550,000 | 545,187 | ||
6.13%, 02/15/24 | 200,000 | 205,250 | ||
4.75%, 01/15/25 | 260,000 | 248,950 | ||
CenturyLink, Inc. | ||||
5.63%, 04/01/20 | 295,000 | 294,631 | ||
6.75%, 12/01/23Δ | 600,000 | 579,750 | ||
5.63%, 04/01/25Δ | 90,000 | 79,425 | ||
Charter Communications Operating LLC | ||||
6.48%, 10/23/45 | 300,000 | 309,368 | ||
5.75%, 04/01/48 | 1,000,000 | 939,619 | ||
Chemours Co. (The) | ||||
6.63%, 05/15/23 | 37,000 | 37,509 | ||
Chesapeake Energy Corporation | ||||
6.63%, 08/15/20 | 145,000 | 141,013 | ||
6.88%, 11/15/20 | 5,000 | 4,875 | ||
6.13%, 02/15/21 | 665,000 | 628,425 | ||
5.38%, 06/15/21Δ | 80,000 | 73,600 | ||
4.88%, 04/15/22Δ | 2,570,000 | 2,255,175 | ||
5.75%, 03/15/23 | 250,000 | 216,875 | ||
5.50%, 09/15/26 CONV | 40,000 | 32,294 | ||
8.00%, 06/15/27Δ | 500,000 | 422,500 | ||
Cincinnati Bell, Inc. | ||||
7.00%, 07/15/24 144A Δ | 300,000 | 249,000 | ||
8.00%, 10/15/25 144A Δ | 385,000 | 319,550 | ||
CIT Group, Inc. | ||||
5.00%, 08/15/22 | 412,000 | 407,365 | ||
5.00%, 08/01/23 | 670,000 | 658,275 | ||
5.25%, 03/07/25 | 750,000 | 735,000 | ||
Citigroup, Inc. | ||||
5.13%, 11/12/19(Z) | 640,000 | 438,142 | ||
3.50%, 05/15/23 | 1,305,000 | 1,282,461 | ||
(Variable, ICE LIBOR USD 3M + 3.47%), 5.35%, 05/15/23Δ ^ | 1,180,000 | 1,062,000 | ||
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24^ | 1,330,000 | 1,228,587 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25^ | 250,000 | 226,563 | ||
Clear Channel Worldwide Holdings, Inc. | ||||
7.63%, 03/15/20 | 345,000 | 337,669 | ||
CME Group, Inc. | ||||
5.30%, 09/15/43 | 860,000 | 1,005,894 | ||
Comcast Corporation | ||||
5.15%, 03/01/20 | 170,000 | 174,051 | ||
3.15%, 03/01/26Δ | 1,010,000 | 967,300 | ||
4.70%, 10/15/48 | 1,000,000 | 1,013,299 | ||
4.95%, 10/15/58 | 300,000 | 305,795 | ||
ConocoPhillips | ||||
6.50%, 02/01/39 | 20,000 | 24,797 | ||
Consolidated Communications, Inc. | ||||
6.50%, 10/01/22Δ | 50,000 | 44,250 |
Par | Value | |||
Continental Airlines Pass Through Trust, Series 2007-1, Class A | ||||
5.98%, 04/19/22 | $372,710 | $389,631 | ||
Continental Resources, Inc. | ||||
5.00%, 09/15/22 | 76,000 | 75,549 | ||
4.50%, 04/15/23 | 525,000 | 517,191 | ||
3.80%, 06/01/24 | 315,000 | 298,560 | ||
4.90%, 06/01/44 | 370,000 | 328,604 | ||
Covey Park Energy LLC | ||||
7.50%, 05/15/25 144A | 1,360,000 | 1,176,400 | ||
CSC Holdings LLC | ||||
5.38%, 02/01/28 144A | 265,000 | 244,378 | ||
CTR Partnership LP REIT | ||||
5.25%, 06/01/25 | 600,000 | 579,000 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 860,000 | 940,308 | ||
CVS Health Corporation | ||||
4.10%, 03/25/25 | 1,800,000 | 1,784,467 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 1,405,000 | 1,422,437 | ||
DAE Funding LLC | ||||
4.50%, 08/01/22 144A | 10,000 | 9,625 | ||
5.75%, 11/15/23 144A | 1,110,000 | 1,101,675 | ||
DaVita, Inc. | ||||
5.00%, 05/01/25 | 90,000 | 82,013 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 610,000 | 609,344 | ||
5.88%, 06/15/21 144A | 500,000 | 500,711 | ||
7.13%, 06/15/24 144A | 290,000 | 295,298 | ||
6.02%, 06/15/26 144A | 260,000 | 261,554 | ||
8.10%, 07/15/36 144A | 440,000 | 479,352 | ||
8.35%, 07/15/46 144A | 240,000 | 260,601 | ||
Delta Air Lines Pass Through Trust, Series 2007-1, Class B | ||||
8.02%, 08/10/22 | 35,858 | 39,062 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 890,000 | 957,209 | ||
DISH DBS Corporation | ||||
5.88%, 07/15/22 | 600,000 | 554,250 | ||
5.00%, 03/15/23Δ | 975,000 | 815,344 | ||
5.88%, 11/15/24 | 1,370,000 | 1,107,987 | ||
7.75%, 07/01/26 | 2,020,000 | 1,676,600 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 1,785,000 | 1,427,850 | ||
El Paso Natural Gas Co. LLC | ||||
8.63%, 01/15/22 | 90,000 | 101,783 | ||
8.38%, 06/15/32 | 75,000 | 90,735 | ||
Embarq Corporation | ||||
8.00%, 06/01/36 | 565,000 | 514,150 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 260,000 | 214,396 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 175,000 | 217,458 | ||
Energy Transfer Partners LP | ||||
5.88%, 03/01/22 | 340,000 | 353,997 | ||
5.00%, 10/01/22 | 80,000 | 81,708 |
Table of Contents
Par | Value | |||
EnLink Midstream Partners LP | ||||
4.15%, 06/01/25 | $460,000 | $415,277 | ||
EP Energy LLC | ||||
9.38%, 05/01/24 144A | 110,000 | 49,500 | ||
ERAC USA Finance LLC | ||||
7.00%, 10/15/37 144A | 1,065,000 | 1,327,841 | ||
Evolent Health, Inc. | ||||
2.00%, 12/01/21 CONV | 95,000 | 105,581 | ||
Extraction Oil & Gas, Inc. | ||||
5.63%, 02/01/26 144A | 1,220,000 | 896,700 | ||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | 600,000 | 576,180 | ||
First Data Corporation | ||||
5.00%, 01/15/24 144A | 590,000 | 570,087 | ||
FirstEnergy Corporation | ||||
7.38%, 11/15/31 | 185,000 | 234,275 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 850,000 | 859,957 | ||
Ford Motor Credit Co. LLC | ||||
4.39%, 01/08/26 | 3,085,000 | 2,785,237 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 380,000 | 360,525 | ||
5.45%, 03/15/43 | 1,670,000 | 1,279,637 | ||
Fresenius Medical Care US Finance II, Inc. | ||||
5.88%, 01/31/22 144A | 750,000 | 782,449 | ||
Frontier Communications Corporation | ||||
11.00%, 09/15/25 | 295,000 | 185,098 | ||
7.88%, 01/15/27 | 405,000 | 198,450 | ||
General Electric Co. | ||||
3.15%, 09/07/22Δ | 95,000 | 89,859 | ||
6.75%, 03/15/32 | 30,000 | 31,337 | ||
6.88%, 01/10/39 | 161,000 | 168,791 | ||
General Motors Co. | ||||
5.20%, 04/01/45 | 210,000 | 174,608 | ||
General Motors Financial Co., Inc. | ||||
3.45%, 04/10/22 | 300,000 | 290,340 | ||
5.25%, 03/01/26 | 625,000 | 612,465 | ||
Genesis Energy LP | ||||
5.63%, 06/15/24 | 130,000 | 112,125 | ||
GEO Group, Inc. (The) REIT | ||||
5.88%, 10/15/24 | 400,000 | 355,000 | ||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31 | 605,000 | 886,018 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36 | 940,000 | 858,504 | ||
Global Marine, Inc. | ||||
7.00%, 06/01/28Δ | 45,000 | 36,675 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/04/19† | 58,000 | 39,585 | ||
Goldman Sachs Group, Inc. (The) | ||||
6.75%, 10/01/37 | 355,000 | 401,563 | ||
5.15%, 05/22/45 | 810,000 | 759,049 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27Δ | 835,000 | 735,844 |
Par | Value | |||
7.00%, 03/15/28 | $690,000 | $676,200 | ||
Hanesbrands, Inc. | ||||
4.63%, 05/15/24 144A | 160,000 | 150,800 | ||
4.88%, 05/15/26 144A | 783,000 | 709,594 | ||
Harris Corporation | ||||
5.05%, 04/27/45 | 870,000 | 898,208 | ||
HCA, Inc. | ||||
7.50%, 02/15/22 | 40,000 | 42,600 | ||
5.88%, 05/01/23 | 30,000 | 30,450 | ||
5.00%, 03/15/24 | 50,000 | 49,625 | ||
8.36%, 04/15/24 | 90,000 | 99,450 | ||
7.69%, 06/15/25 | 275,000 | 293,563 | ||
7.58%, 09/15/25 | 715,000 | 761,475 | ||
5.25%, 06/15/26 | 500,000 | 497,500 | ||
4.50%, 02/15/27 | 450,000 | 426,375 | ||
7.05%, 12/01/27 | 20,000 | 21,150 | ||
5.63%, 09/01/28 | 620,000 | 599,850 | ||
7.50%, 11/06/33 | 205,000 | 216,275 | ||
7.75%, 07/15/36 | 120,000 | 125,100 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 250,000 | 250,625 | ||
Hilton Worldwide Finance LLC | ||||
4.63%, 04/01/25 | 250,000 | 237,500 | ||
4.88%, 04/01/27 | 720,000 | 677,700 | ||
Intelsat Jackson Holdings SA | ||||
5.50%, 08/01/23 | 330,000 | 288,750 | ||
International Business Machines Corporation | ||||
1.63%, 05/15/20 | 720,000 | 705,920 | ||
International Lease Finance Corporation | ||||
6.25%, 05/15/19 | 75,000 | 75,670 | ||
4.63%, 04/15/21 | 300,000 | 303,023 | ||
INVISTA Finance LLC | ||||
4.25%, 10/15/19 144A | 915,000 | 912,799 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 430,000 | 388,522 | ||
J.C. Penney Corporation, Inc. | ||||
6.38%, 10/15/36 | 480,000 | 156,000 | ||
7.63%, 03/01/97 | 815,000 | 273,025 | ||
Jaguar Holding Co. II | ||||
6.38%, 08/01/23 144A | 190,000 | 182,305 | ||
Jefferies Finance LLC | ||||
7.50%, 04/15/21 144A Δ | 275,000 | 275,688 | ||
6.88%, 04/15/22 144A Δ | 200,000 | 195,500 | ||
Jefferies Group LLC | ||||
6.88%, 04/15/21 | 270,000 | 287,469 | ||
5.13%, 01/20/23 | 305,000 | 312,136 | ||
6.45%, 06/08/27 | 35,000 | 36,657 | ||
6.25%, 01/15/36 | 1,135,000 | 1,141,030 | ||
6.50%, 01/20/43 | 510,000 | 517,923 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24^ | 260,000 | 258,375 | ||
K Hovnanian Enterprises, Inc. | ||||
5.00%, 11/01/21 | 795,000 | 643,950 |
Table of Contents
Par | Value | |||
KB Home | ||||
1.38%, 02/01/19 CONV | $370,000 | $369,074 | ||
Kinder Morgan Energy Partners LP | ||||
6.50%, 02/01/37 | 75,000 | 81,017 | ||
6.95%, 01/15/38 | 90,000 | 100,657 | ||
Kinder Morgan, Inc. | ||||
7.75%, 01/15/32 | 780,000 | 935,684 | ||
Kraft Heinz Foods Co. | ||||
4.88%, 02/15/25 144A | 196,000 | 197,001 | ||
5.20%, 07/15/45 | 750,000 | 687,701 | ||
Lamb Weston Holdings, Inc. | ||||
4.63%, 11/01/24 144A | 440,000 | 429,000 | ||
4.88%, 11/01/26 144A | 1,430,000 | 1,379,950 | ||
Lennar Corporation | ||||
4.75%, 11/15/22 | 315,000 | 306,731 | ||
4.75%, 11/29/27 | 1,000,000 | 906,250 | ||
Leonardo US Holdings, Inc. | ||||
6.25%, 01/15/40 144A | 143,000 | 133,705 | ||
Lions Gate Capital Holdings LLC | ||||
5.88%, 11/01/24 144A | 500,000 | 496,250 | ||
Lockheed Martin Corporation | ||||
3.80%, 03/01/45 | 1,090,000 | 997,143 | ||
Magnum Hunter Resources Corporation (Escrow) | ||||
0.00%, 12/31/20Ψ ††† # | 470,000 | — | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 117,000 | 139,691 | ||
6.50%, 08/15/32 | 47,000 | 52,076 | ||
Match Group, Inc. | ||||
5.00%, 12/15/27 144A | 970,000 | 894,825 | ||
MBIA Insurance Corporation | ||||
13.70%, 01/15/33 144A | 435,000 | 267,525 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/25 CONV | 280,000 | 395,763 | ||
Midas Intermediate Holdco II LLC | ||||
7.88%, 10/01/22 144A | 1,015,000 | 928,725 | ||
Morgan Stanley | ||||
5.75%, 01/25/21 | 205,000 | 213,806 | ||
3.13%, 08/05/21(C) | 535,000 | 392,535 | ||
4.10%, 05/22/23 | 370,000 | 370,903 | ||
6.25%, 08/09/26 | 400,000 | 443,606 | ||
4.35%, 09/08/26 | 940,000 | 914,969 | ||
3.95%, 04/23/27 | 125,000 | 118,055 | ||
MPLX LP | ||||
4.50%, 07/15/23 | 20,000 | 20,220 | ||
4.88%, 06/01/25 | 75,000 | 75,787 | ||
MPT Operating Partnership LP REIT | ||||
5.25%, 08/01/26 | 340,000 | 322,150 | ||
5.00%, 10/15/27 | 1,090,000 | 999,394 | ||
Murray Energy Corporation | ||||
Cash coupon 12.00% or PIK 3.00%, 04/15/24 144A Δ | 20,176 | 10,996 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 1,200,000 | 1,496,262 | ||
Nationstar Mortgage Holdings, Inc. | ||||
9.13%, 07/15/26 144A | 415,000 | 404,625 | ||
Navient Corporation | ||||
8.00%, 03/25/20 | 600,000 | 611,160 |
Par | Value | |||
5.88%, 03/25/21 | $320,000 | $307,600 | ||
5.50%, 01/25/23 | 1,720,000 | 1,511,450 | ||
6.13%, 03/25/24 | 1,495,000 | 1,289,437 | ||
5.88%, 10/25/24Δ | 360,000 | 302,400 | ||
6.75%, 06/15/26Δ | 335,000 | 278,888 | ||
NCL Corporation, Ltd. | ||||
4.75%, 12/15/21 144A | 468,000 | 465,660 | ||
New Albertsons LP | ||||
7.75%, 06/15/26 | 410,000 | 350,550 | ||
6.63%, 06/01/28 | 70,000 | 52,150 | ||
7.45%, 08/01/29 | 1,405,000 | 1,131,025 | ||
8.70%, 05/01/30 | 320,000 | 270,400 | ||
8.00%, 05/01/31 | 1,310,000 | 1,074,200 | ||
Newell Brands, Inc. | ||||
3.85%, 04/01/23 | 680,000 | 670,684 | ||
4.00%, 12/01/24 | 445,000 | 438,967 | ||
Newfield Exploration Co. | ||||
5.63%, 07/01/24 | 955,000 | 969,325 | ||
Newmont Mining Corporation | ||||
4.88%, 03/15/42 | 575,000 | 544,888 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 785,000 | 757,525 | ||
6.13%, 03/01/25 | 740,000 | 640,100 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 600,000 | 586,500 | ||
7.77%, 12/15/37 144A | 200,000 | 229,000 | ||
Noble Holding International, Ltd. | ||||
7.88%, 02/01/26 144A | 215,000 | 184,094 | ||
NRG Energy, Inc. | ||||
7.25%, 05/15/26 | 230,000 | 239,488 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV Δ | 155,000 | 137,301 | ||
1.50%, 11/01/35 CONV | 5,000 | 4,705 | ||
1.00%, 12/15/35 CONV | 1,430,000 | 1,245,736 | ||
Oasis Petroleum, Inc. | ||||
6.88%, 03/15/22Δ | 313,000 | 295,785 | ||
6.88%, 01/15/23 | 95,000 | 87,994 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 520,000 | 541,180 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 645,000 | 712,725 | ||
ONEOK Partners LP | ||||
4.90%, 03/15/25 | 60,000 | 60,867 | ||
6.20%, 09/15/43 | 20,000 | 21,507 | ||
Outfront Media Capital LLC | ||||
5.25%, 02/15/22 | 70,000 | 69,913 | ||
5.88%, 03/15/25 | 170,000 | 167,450 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 1,043,000 | 1,156,568 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.38%, 01/15/25 144A Δ | 1,500,000 | 1,430,625 | ||
Pactiv LLC | ||||
8.38%, 04/15/27 | 200,000 | 199,000 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 685,000 | 902,445 |
Table of Contents
Par | Value | |||
Pride International, Inc. | ||||
7.88%, 08/15/40 | $270,000 | $201,150 | ||
PulteGroup, Inc. | ||||
7.88%, 06/15/32 | 1,500,000 | 1,560,000 | ||
6.38%, 05/15/33 | 470,000 | 431,225 | ||
6.00%, 02/15/35 | 180,000 | 156,600 | ||
QEP Resources, Inc. | ||||
5.38%, 10/01/22 | 315,000 | 287,831 | ||
5.25%, 05/01/23 | 1,500,000 | 1,335,000 | ||
Quicken Loans, Inc. | ||||
5.75%, 05/01/25 144A | 1,895,000 | 1,781,300 | ||
5.25%, 01/15/28 144A | 140,000 | 124,425 | ||
Qwest Corporation | ||||
6.88%, 09/15/33 | 2,019,000 | 1,808,707 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24 | 225,000 | 205,031 | ||
Range Resources Corporation | ||||
5.00%, 08/15/22 | 520,000 | 467,350 | ||
5.00%, 03/15/23 | 1,450,000 | 1,281,437 | ||
4.88%, 05/15/25Δ | 240,000 | 198,000 | ||
Reliance Holding USA, Inc. | ||||
4.50%, 10/19/20 144A | 540,000 | 546,454 | ||
Reynolds Group Issuer, Inc. | ||||
5.75%, 10/15/20 | 58,147 | 58,074 | ||
5.13%, 07/15/23 144A | 940,000 | 896,525 | ||
Rovi Corporation | ||||
0.50%, 03/01/20 CONV | 985,000 | 939,444 | ||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | 85,000 | 72,258 | ||
Sealed Air Corporation | ||||
4.88%, 12/01/22 144A | 25,000 | 24,844 | ||
ServiceMaster Co. LLC (The) | ||||
7.45%, 08/15/27 | 1,195,000 | 1,224,875 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 235,000 | 219,611 | ||
5.00%, 01/15/24Δ | 40,000 | 35,000 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42Δ | 1,210,000 | 1,153,826 | ||
Southwestern Energy Co. | ||||
6.20%, 01/23/25 | 280,000 | 251,650 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 910,000 | 868,777 | ||
Springleaf Finance Corporation | ||||
6.13%, 05/15/22 | 1,165,000 | 1,135,537 | ||
8.25%, 10/01/23 | 55,000 | 56,788 | ||
6.88%, 03/15/25 | 525,000 | 471,188 | ||
Sprint Capital Corporation | ||||
6.88%, 11/15/28Δ | 2,865,000 | 2,714,587 | ||
8.75%, 03/15/32 | 765,000 | 808,987 | ||
Sprint Communications, Inc. | ||||
11.50%, 11/15/21 | 570,000 | 648,375 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 680,000 | 699,550 | ||
Targa Resources Partners LP | ||||
4.25%, 11/15/23 | 430,000 | 399,363 | ||
6.75%, 03/15/24 | 1,050,000 | 1,069,687 |
Par | Value | |||
5.13%, 02/01/25 | $60,000 | $56,550 | ||
5.88%, 04/15/26 144A | 870,000 | 850,425 | ||
5.38%, 02/01/27Δ | 50,000 | 47,125 | ||
Taylor Morrison Communities, Inc. | ||||
5.25%, 04/15/21 144A | 410,000 | 407,438 | ||
Tenet Healthcare Corporation | ||||
7.50%, 01/01/22 144A | 400,000 | 406,500 | ||
8.13%, 04/01/22 | 20,000 | 20,125 | ||
6.75%, 06/15/23Δ | 285,000 | 268,613 | ||
5.13%, 05/01/25 | 1,025,000 | 958,375 | ||
6.88%, 11/15/31 | 115,000 | 97,175 | ||
Textron, Inc. | ||||
6.63%, 04/07/20(U) | 130,000 | 175,057 | ||
Time Warner Cable LLC | ||||
8.75%, 02/14/19 | 190,000 | 191,066 | ||
8.25%, 04/01/19 | 40,000 | 40,451 | ||
5.50%, 09/01/41 | 60,000 | 54,847 | ||
4.50%, 09/15/42 | 105,000 | 84,692 | ||
Time Warner, Inc. | ||||
4.00%, 01/15/22 | 50,000 | 50,651 | ||
TransDigm, Inc. | ||||
6.50%, 07/15/24 | 199,000 | 194,274 | ||
6.50%, 05/15/25 | 195,000 | 186,956 | ||
Transocean Proteus, Ltd. | ||||
6.25%, 12/01/24 144A | 1,284,000 | 1,235,850 | ||
Transocean, Inc. | ||||
5.80%, 10/15/22Δ | 430,000 | 380,550 | ||
6.80%, 03/15/38Δ | 80,000 | 53,600 | ||
TRI Pointe Group, Inc. | ||||
4.38%, 06/15/19 | 100,000 | 99,500 | ||
5.88%, 06/15/24 | 5,000 | 4,481 | ||
TRU Taj LLC | ||||
11.00%, 01/22/19 144A | 145,000 | 146,088 | ||
United Airlines Pass Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 182,870 | 174,453 | ||
United Airlines Pass-Through Series 2007-1 | ||||
6.64%, 07/02/22 | 139,036 | 144,764 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 201,389 | 201,168 | ||
United Airlines Pass-Through Trust, Series 2014-2, Class B | ||||
4.63%, 09/03/22 | 64,674 | 64,412 | ||
United Rentals North America, Inc. | ||||
5.75%, 11/15/24 | 540,000 | 521,775 | ||
4.63%, 10/15/25 | 150,000 | 134,250 | ||
6.50%, 12/15/26 | 210,000 | 207,375 | ||
5.50%, 05/15/27 | 890,000 | 827,700 | ||
4.88%, 01/15/28 | 445,000 | 391,600 | ||
United States Steel Corporation | ||||
6.65%, 06/01/37 | 760,000 | 575,700 | ||
US Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 219,433 | 234,509 |
Table of Contents
Par | Value | |||
US Airways Pass-Through Trust, Series 2012-1, Class B | ||||
8.00%, 10/01/19 | $383,475 | $395,907 | ||
US Airways Pass-Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | 176,407 | 183,128 | ||
Valvoline, Inc. | ||||
4.38%, 08/15/25 | 650,000 | 598,812 | ||
Vantiv LLC | ||||
4.38%, 11/15/25 144A | 625,000 | 574,219 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A | 130,000 | 121,550 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 390,000 | 361,725 | ||
Wells Fargo & Co. | ||||
4.48%, 01/16/24 | 124,000 | 125,628 | ||
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25^ | 240,000 | 237,528 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 144A CONV Δ | 330,000 | 268,257 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 145,000 | 184,446 | ||
7.95%, 02/15/31 | 45,000 | 57,583 | ||
Weyerhaeuser Co. REIT | ||||
8.50%, 01/15/25 | 405,000 | 493,616 | ||
6.95%, 10/01/27 | 55,000 | 64,573 | ||
7.38%, 03/15/32 | 370,000 | 453,460 | ||
6.88%, 12/15/33 | 490,000 | 584,957 | ||
Whiting Petroleum Corporation | ||||
5.75%, 03/15/21Δ | 420,000 | 401,100 | ||
6.25%, 04/01/23Δ | 980,000 | 896,700 | ||
6.63%, 01/15/26Δ | 615,000 | 530,437 | ||
William Lyon Homes, Inc. | ||||
7.00%, 08/15/22 | 20,000 | 19,850 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 60,000 | 71,861 | ||
5.75%, 06/24/44 | 440,000 | 443,679 | ||
Windstream Services LLC | ||||
10.50%, 06/30/24 144A | 255,000 | 195,075 | ||
9.00%, 06/30/25 144A Δ | 530,000 | 361,725 | ||
WPX Energy, Inc. | ||||
8.25%, 08/01/23 | 430,000 | 451,500 | ||
XPO Logistics, Inc. | ||||
6.50%, 06/15/22 144A | 14,000 | 13,930 | ||
6.13%, 09/01/23 144A Δ | 490,000 | 474,443 | ||
ZF North America Capital, Inc. | ||||
4.75%, 04/29/25 144A | 550,000 | 512,551 | ||
Total Corporate Bonds (Cost $171,283,046) | 167,800,132 | |||
FOREIGN BONDS — 31.3% | ||||
Argentina — 1.6% | ||||
Argentina Bonar Bonds | ||||
(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 3.25%), 48.80%, 03/01/20(ZA) † | 11,590,000 | 303,669 |
Par | Value | |||
(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 2.00%), 50.25%, 04/03/22(ZA) † ††† | $32,020,000 | $814,392 | ||
Argentina POM Politica Monetaria | ||||
(Floating, Argentina Blended Historical Policy Rate + 0.00%), 59.39%, 06/21/20(ZA) † | 5,680,000 | 163,589 | ||
Argentina Treasury Bill | ||||
0.00%, 02/28/19(ZA) Ω | 18,000,000 | 553,000 | ||
Argentine Bonos del Tesoro | ||||
18.20%, 10/03/21(ZA) | 91,281,000 | 1,866,340 | ||
Argentine Republic Government International Bond | ||||
6.88%, 04/22/21 | 310,000 | 281,251 | ||
7.50%, 04/22/26 | 850,000 | 683,719 | ||
7.63%, 04/22/46 | 950,000 | 692,431 | ||
Pampa Energia SA | ||||
7.50%, 01/24/27 144A | 1,810,000 | 1,525,287 | ||
Provincia de Buenos Aires | ||||
7.88%, 06/15/27 144A | 780,000 | 565,508 | ||
YPF SA | ||||
8.50%, 03/23/21 144A | 980,000 | 971,425 | ||
16.50%, 05/09/22(ZA) | 450,000 | 7,598 | ||
8,428,209 | ||||
Armenia — 0.1% | ||||
Republic of Armenia International Bond | ||||
6.00%, 09/30/20 | 520,000 | 526,523 | ||
Austria — 0.1% | ||||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A | 370,000 | 378,325 | ||
Brazil — 1.5% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/21(B) | 11,997,000 | 3,236,459 | ||
10.00%, 01/01/27(B) | 927,000 | 250,297 | ||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 5,250,000 | 1,505,199 | ||
4.63%, 01/13/28 | 1,000,000 | 963,260 | ||
Itau Unibanco Holding SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ^ | 1,060,000 | 996,400 | ||
Ultrapar International SA | ||||
5.25%, 10/06/26 144A Δ | 420,000 | 409,504 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 285,000 | 327,322 | ||
7,688,441 | ||||
Canada — 1.8% | ||||
1011778 BC ULC | ||||
5.00%, 10/15/25 144A | 40,000 | 36,900 |
Table of Contents
Par | Value | |||
Bausch Health Cos., Inc. | ||||
5.50%, 03/01/23 144A Δ | $270,000 | $248,062 | ||
6.13%, 04/15/25 144A | 1,480,000 | 1,295,000 | ||
5.50%, 11/01/25 144A | 380,000 | 355,775 | ||
9.00%, 12/15/25 144A | 60,000 | 59,925 | ||
Baytex Energy Corporation | ||||
5.13%, 06/01/21 144A Δ | 110,000 | 105,875 | ||
5.63%, 06/01/24 144A | 110,000 | 95,700 | ||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A Δ | 1,200,000 | 1,131,000 | ||
First Quantum Minerals, Ltd. | ||||
6.50%, 03/01/24 144A | 300,000 | 250,125 | ||
7.50%, 04/01/25 144A | 650,000 | 538,687 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41Δ | 470,000 | 453,906 | ||
Hudbay Minerals, Inc. | ||||
7.63%, 01/15/25 144A | 1,220,000 | 1,198,650 | ||
MEG Energy Corporation | ||||
6.38%, 01/30/23 144A | 45,000 | 42,694 | ||
7.00%, 03/31/24 144A | 605,000 | 580,800 | ||
6.50%, 01/15/25 144A | 30,000 | 30,563 | ||
Methanex Corporation | ||||
5.25%, 03/01/22 | 75,000 | 75,687 | ||
Province of Ontario Generic Residual STRIP | ||||
2.96%, 07/13/22(C) Ω | 2,600,000 | 1,757,257 | ||
2.90%, 03/08/29(C) Ω | 2,400,000 | 1,302,165 | ||
Teine Energy, Ltd. | ||||
6.88%, 09/30/22 144A | 60,000 | 58,500 | ||
9,617,271 | ||||
Chile — 0.0% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A Δ | 220,000 | 210,067 | ||
China — 0.3% | ||||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 310,000 | 301,088 | ||
4.50%, 03/15/23 144A | 260,000 | 243,750 | ||
5.50%, 02/15/24 144A | 1,160,000 | 1,122,300 | ||
1,667,138 | ||||
Colombia — 1.6% | ||||
Colombia Government International Bond | ||||
5.63%, 02/26/44 | 4,427,000 | 4,575,304 | ||
Colombian TES | ||||
10.00%, 07/24/24(X) | 23,100,000 | 8,386 | ||
Ecopetrol SA | ||||
5.88%, 09/18/23 | 190,000 | 198,552 | ||
4.13%, 01/16/25 | 920,000 | 876,300 | ||
5.38%, 06/26/26 | 80,000 | 80,700 | ||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A Δ | 1,820,000 | 1,628,900 | ||
Transportadora de Gas Internacional SA ESP | ||||
5.55%, 11/01/28 144A | 1,080,000 | 1,094,850 | ||
8,462,992 |
Par | Value | |||
Ecuador — 0.1% | ||||
Ecuador Government International Bond | ||||
9.65%, 12/13/26 144A | $810,000 | $740,138 | ||
France — 0.8% | ||||
3AB Optique Developpement SAS | ||||
4.00%, 10/01/23(E) 144A | 200,000 | 214,853 | ||
Altice France SA | ||||
7.38%, 05/01/26 144A | 1,100,000 | 1,012,000 | ||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ^ | 300,000 | 286,125 | ||
Burger King France SAS | ||||
(Floating, Euribor 3M + 5.25%), 5.25%, 05/01/23(E) 144A † | 130,000 | 149,312 | ||
6.00%, 05/01/24(E) 144A | 120,000 | 143,015 | ||
Europcar Mobility Group | ||||
5.75%, 06/15/22(E) 144A | 810,000 | 941,978 | ||
Hercule Debtco S.a.r.l. | ||||
Cash coupon 6.75% or PIK 7.50%, 06/30/24(E) 144A | 480,000 | 492,214 | ||
XLIT, Ltd. | ||||
6.25%, 05/15/27 | 640,000 | 733,434 | ||
3,972,931 | ||||
Germany — 0.4% | ||||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 780,000 | 955,838 | ||
IHO Verwaltungs GmbH | ||||
Cash coupon 4.13% or PIK 4.88%, 09/15/21 144A | 210,000 | 200,550 | ||
KME AG | ||||
6.75%, 02/01/23(E) 144A | 670,000 | 667,182 | ||
Platin 1426 GmbH | ||||
5.38%, 06/15/23(E) 144A | 480,000 | 507,239 | ||
2,330,809 | ||||
Ghana — 0.3% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 144A | 900,000 | 809,280 | ||
10.75%, 10/14/30 144A | 540,000 | 612,131 | ||
1,421,411 | ||||
Greece — 0.0% | ||||
Navios Maritime Acquisition Corporation | ||||
8.13%, 11/15/21 144A | 90,000 | 67,950 | ||
Guatemala — 0.1% | ||||
Guatemala Government Bond | ||||
4.38%, 06/05/27 144A | 760,000 | 703,000 | ||
Honduras — 0.2% | ||||
Honduras Government International Bond | ||||
7.50%, 03/15/24 | 460,000 | 484,891 |
Table of Contents
Par | Value | |||
6.25%, 01/19/27 144A | $620,000 | $615,412 | ||
1,100,303 | ||||
India — 0.2% | ||||
ICICI Bank, Ltd. | ||||
4.80%, 05/22/19 144A | 920,000 | 923,813 | ||
Indonesia — 1.5% | ||||
Indonesia Government International Bond | ||||
5.88%, 01/15/24 144A | 400,000 | 427,093 | ||
6.63%, 02/17/37 | 2,125,000 | 2,467,607 | ||
5.25%, 01/17/42 144A Δ | 2,710,000 | 2,731,580 | ||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | 30,479,000,000 | 1,983,890 | ||
7,610,170 | ||||
Ireland — 0.3% | ||||
AerCap Ireland Capital DAC | ||||
3.50%, 05/26/22 | 300,000 | 291,097 | ||
Ardagh Packaging Finance PLC | ||||
4.63%, 05/15/23 144A | 250,000 | 239,375 | ||
7.25%, 05/15/24 144A | 460,000 | 460,575 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 246,000 | 218,851 | ||
4.42%, 11/15/35 | 569,000 | 477,917 | ||
1,687,815 | ||||
Italy — 2.2% | ||||
Enel SpA | ||||
(Variable, GBP Swap Rate 5Y + 5.66%), 7.75%, 09/10/75(U) ^ | 440,000 | 593,835 | ||
Intesa Sanpaolo SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.88%), 7.00%, 01/19/21(E) ^ | 770,000 | 895,657 | ||
Italy Buoni Poliennali Del Tesoro | ||||
2.05%, 08/01/27(E) | 4,000,000 | 4,416,209 | ||
Nexi Capital SpA | ||||
4.13%, 11/01/23(E) 144A | 870,000 | 989,356 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 715,000 | 648,955 | ||
6.00%, 09/30/34 | 200,000 | 174,000 | ||
Telecom Italia Finance SA | ||||
7.75%, 01/24/33(E) Δ | 910,000 | 1,306,361 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 1,800,000 | 1,716,750 | ||
UniCredit SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.39%), 6.63%, 06/03/23(E) ^ | 700,000 | 756,711 | ||
11,497,834 | ||||
Ivory Coast — 0.1% | ||||
Ivory Coast Government International Bond | ||||
5.75%, 12/31/32 144A Δ STEP | 705,900 | 624,947 | ||
Jersey — 0.3% | ||||
Adient Global Holdings, Ltd. | ||||
4.88%, 08/15/26 144A Δ | 740,000 | 569,800 | ||
Delphi Technologies PLC | ||||
5.00%, 10/01/25 144A | 290,000 | 244,325 |
Par | Value | |||
LHC3 PLC | ||||
Cash coupon 4.13% or PIK 4.88%, 08/15/24(E) | $660,000 | $724,057 | ||
1,538,182 | ||||
Kazakhstan — 0.4% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 500,000 | 492,881 | ||
6.38%, 10/24/48 144A | 560,000 | 565,180 | ||
KazTransGas JSC | ||||
4.38%, 09/26/27 144A | 880,000 | 818,763 | ||
1,876,824 | ||||
Kenya — 0.3% | ||||
Kenya Government International Bond | ||||
6.88%, 06/24/24 144A | 1,180,000 | 1,112,121 | ||
7.25%, 02/28/28 144A | 200,000 | 179,304 | ||
1,291,425 | ||||
Luxembourg — 0.7% | ||||
Altice Luxembourg SA | ||||
7.25%, 05/15/22(E) Δ | 690,000 | 738,785 | ||
7.75%, 05/15/22 144A | 660,000 | 603,075 | ||
ArcelorMittal | ||||
5.50%, 03/01/21 | 30,000 | 30,872 | ||
7.00%, 10/15/39 | 510,000 | 538,356 | ||
6.75%, 03/01/41 | 690,000 | 730,067 | ||
Eurofins Scientific SE | ||||
(Variable, 7.01% - Euribor 3M), 4.88%, 04/29/23(E) Δ ^ | 780,000 | 894,204 | ||
3,535,359 | ||||
Mexico — 3.7% | ||||
Banco Mercantil del Norte SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.04%), 6.88%, 07/06/22 144A ^ | 260,000 | 252,525 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 880,000 | 766,700 | ||
Mexican Bonos | ||||
6.50%, 06/09/22(M) | 45,803,100 | 2,189,683 | ||
8.00%, 12/07/23(M) | 41,500,000 | 2,062,673 | ||
10.00%, 12/05/24(M) | 31,500,000 | 1,704,070 | ||
7.50%, 06/03/27(M) | 154,900,000 | 7,327,024 | ||
8.50%, 05/31/29(M) | 2,000,000 | 100,156 | ||
7.75%, 05/29/31(M) | 3,000,000 | 141,026 | ||
7.75%, 11/13/42(M) | 63,160,000 | 2,841,079 | ||
Mexichem SAB de CV | ||||
5.88%, 09/17/44 144A | 1,530,000 | 1,383,013 | ||
Petroleos Mexicanos | ||||
5.50%, 01/21/21 | 750,000 | 748,477 | ||
19,516,426 | ||||
Morocco & Antilles — 0.2% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A | 550,000 | 564,892 |
Table of Contents
Par | Value | |||
4.50%, 10/22/25 144A | $520,000 | $499,579 | ||
1,064,471 | ||||
Netherlands — 3.1% | ||||
ABN AMRO Bank NV | ||||
7.13%, 07/06/22(E) Δ | 750,000 | 1,028,557 | ||
Alcoa Nederland Holding BV | ||||
6.75%, 09/30/24 144A | 380,000 | 387,600 | ||
7.00%, 09/30/26 144A | 250,000 | 256,250 | ||
CBR Fashion Finance BV | ||||
5.13%, 10/01/22(E) | 540,000 | 510,882 | ||
Cooperatieve Rabobank UA | ||||
5.75%, 12/01/43Δ | 880,000 | 961,445 | ||
EDP Finance BV | ||||
4.90%, 10/01/19 144A | 1,600,000 | 1,613,056 | ||
4.13%, 01/15/20 144A | 540,000 | 542,082 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 250,000 | 259,065 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 580,000 | 563,090 | ||
Koninklijke KPN NV | ||||
(Variable, USD Swap 10Y + 5.33%), 7.00%, 03/28/73^ | 1,240,000 | 1,272,550 | ||
Myriad International Holdings BV | ||||
4.85%, 07/06/27 144A | 1,670,000 | 1,605,976 | ||
OCI NV | ||||
6.63%, 04/15/23 144A Δ | 840,000 | 829,500 | ||
Petrobras Global Finance BV | ||||
4.38%, 05/20/23 | 250,000 | 238,967 | ||
6.25%, 03/17/24 | 3,860,000 | 3,930,445 | ||
6.88%, 01/20/40 | 106,000 | 101,258 | ||
5.63%, 05/20/43 | 275,000 | 231,484 | ||
Syngenta Finance NV | ||||
4.44%, 04/24/23 144A | 920,000 | 887,484 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 710,000 | 639,000 | ||
UPCB Finance IV, Ltd. | ||||
5.38%, 01/15/25 144A | 250,000 | 234,405 | ||
Ziggo BV | ||||
5.50%, 01/15/27 144A | 150,000 | 134,625 | ||
16,227,721 | ||||
New Zealand — 0.3% | ||||
New Zealand Government Bond | ||||
5.00%, 03/15/19(Z) | 2,385,000 | 1,611,341 | ||
Nigeria — 0.3% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | 440,000 | 390,518 | ||
7.63%, 11/28/47 144A | 1,310,000 | 1,106,808 | ||
1,497,326 | ||||
Norway — 0.0% | ||||
Norway Government Bond | ||||
4.50%, 05/22/19(K) 144A | 172,000 | 20,170 |
Par | Value | |||
3.75%, 05/25/21(K) 144A | $129,000 | $15,841 | ||
36,011 | ||||
Panama — 0.0% | ||||
Panama Government International Bond | ||||
6.70%, 01/26/36 | 3,000 | 3,675 | ||
Peru — 0.6% | ||||
Peruvian Government International Bond | ||||
6.55%, 03/14/37 | 890,000 | 1,128,075 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 2,330,000 | 2,254,275 | ||
3,382,350 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
4.00%, 01/15/21 | 200,000 | 202,055 | ||
Qatar — 0.0% | ||||
Ooredoo International Finance, Ltd. | ||||
4.75%, 02/16/21 144A | 200,000 | 204,838 | ||
Russia — 1.7% | ||||
Russian Federal Bond - OFZ | ||||
8.15%, 02/03/27(Q) | 257,799,000 | 3,627,686 | ||
7.05%, 01/19/28(Q) | 385,541,000 | 5,035,135 | ||
8,662,821 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Government International Bond | ||||
3.25%, 10/26/26 144A | 440,000 | 412,415 | ||
Singapore — 0.2% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 03/30/20 144A | 1,000,000 | 994,741 | ||
South Africa — 0.9% | ||||
Republic of South Africa Government Bond | ||||
6.50%, 02/28/41(S) | 68,700,000 | 3,334,119 | ||
Republic of South Africa Government International Bond | ||||
5.88%, 06/22/30Δ | 1,320,000 | 1,291,171 | ||
4,625,290 | ||||
Spain — 0.2% | ||||
Telefonica Emisiones SA | ||||
5.13%, 04/27/20 | 75,000 | 76,572 | ||
Tendam Brands SAU | ||||
5.00%, 09/15/24(E) 144A | 710,000 | 748,896 | ||
(Floating, Euribor 3M + 5.25%), 5.25%, 09/15/24(E) 144A † | 260,000 | 279,369 | ||
1,104,837 |
Table of Contents
Par | Value | |||
Sri Lanka — 0.2% | ||||
Sri Lanka Government International Bond | ||||
5.88%, 07/25/22 | $900,000 | $846,154 | ||
Switzerland — 0.1% | ||||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ^ | 330,000 | 322,575 | ||
Turkey — 1.6% | ||||
Turk Telekomunikasyon AS | ||||
4.88%, 06/19/24 144A | 2,640,000 | 2,286,398 | ||
Turkey Government Bond | ||||
10.60%, 02/11/26(T) | 17,580,000 | 2,570,982 | ||
Turkey Government International Bond | ||||
7.25%, 12/23/23 | 940,000 | 967,688 | ||
6.00%, 03/25/27 | 2,190,000 | 2,067,145 | ||
4.88%, 04/16/43 | 500,000 | 372,920 | ||
8,265,133 | ||||
United Arab Emirates — 0.2% | ||||
DP World, Ltd. | ||||
5.63%, 09/25/48 144A | 1,350,000 | 1,274,400 | ||
United Kingdom — 3.0% | ||||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A | 200,000 | 191,739 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 1,660,000 | 1,723,287 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 5Y + 2.45%), 2.63%, 11/11/25(E) ^ | 300,000 | 340,942 | ||
Boparan Finance PLC | ||||
5.50%, 07/15/21(U) | 270,000 | 250,707 | ||
Garfunkelux Holdco 3 SA | ||||
7.50%, 08/01/22(E) Δ | 680,000 | 693,953 | ||
HSBC Holdings PLC | ||||
6.00%, 06/10/19(E) | 270,000 | 317,389 | ||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25^ | 600,000 | 577,500 | ||
Jerrold Finco PLC | ||||
6.13%, 01/15/24(U) 144A | 760,000 | 934,787 | ||
KCA Deutag UK Finance PLC | ||||
7.25%, 05/15/21 144A | 540,000 | 440,100 | ||
Lloyds Bank PLC | ||||
6.50%, 03/24/20(E) | 326,000 | 398,434 | ||
Lloyds Banking Group PLC | ||||
4.34%, 01/09/48 | 1,581,000 | 1,252,211 | ||
Monitchem Holdco 2 SA | ||||
6.88%, 06/15/22(E) | 220,000 | 203,848 | ||
Pinewood Finance Co., Ltd. | ||||
3.75%, 12/01/23(U) 144A | 780,000 | 978,910 | ||
Pinnacle Bidco PLC | ||||
6.38%, 02/15/25(U) 144A | 810,000 | 1,028,420 |
Par | Value | |||
Rio Tinto Finance USA PLC | ||||
4.13%, 08/21/42Δ | $145,000 | $140,068 | ||
Royal Bank of Scotland Group PLC | ||||
6.10%, 06/10/23 | 1,880,000 | 1,911,530 | ||
6.00%, 12/19/23 | 275,000 | 278,624 | ||
(Variable, EUR Swap Rate 5Y + 2.65%), 3.63%, 03/25/24(E) ^ | 547,000 | 628,775 | ||
Santander UK Group Holdings PLC | ||||
(Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22(U) ^ | 390,000 | 500,358 | ||
Southern Gas Networks PLC | ||||
4.88%, 12/21/20(U) | 270,000 | 365,777 | ||
Synlab Bondco PLC | ||||
6.25%, 07/01/22(E) | 270,000 | 315,561 | ||
Tesco Property Finance 3 PLC | ||||
5.74%, 04/13/40(U) | 272,817 | 392,271 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 579,657 | 801,016 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 220,000 | 391,932 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 01/15/25(U) | 378,000 | 480,233 | ||
5.50%, 08/15/26 144A | 200,000 | 185,470 | ||
15,723,842 | ||||
Total Foreign Bonds (Cost $189,776,025) | 163,880,299 | |||
FOREIGN GOVERNMENT INFLATION-LINKED BOND �� 0.4% | ||||
Brazil — 0.4% | ||||
Brazil Notas do Tesouro Nacional Serie B | ||||
6.00%, 08/15/50(B) (Cost $2,586,043) | 6,491,787 | 1,949,838 | ||
LOAN AGREEMENTS — 2.3% | ||||
1011778 B.C. Unlimited Liability Co. Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 1.00% Floor), 4.77%, 02/16/24† | 126,500 | 120,755 | ||
Air Medical Group Holdings, Inc. 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 1.00% Floor), 5.68%, 04/28/22† | 292,500 | 274,309 | ||
American Airlines, Inc. 2018 Replacement Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.26%, 06/27/25† | 975,019 | 916,518 | ||
American Axle & Manufacturing, Inc. Tranche B Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.25%, 0.75% Floor), 4.74%, 04/06/24† | 11,415 | 11,059 | ||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.75% Floor), 4.76%, 04/06/24† | 17,624 | 17,074 |
Table of Contents
Par | Value | |||
American Builders & Contractors Supply Co., Inc. Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 0.75% Floor), 4.52%, 10/31/23† | $464,226 | $443,006 | ||
Avolon TLB Borrower 1 (US) LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 0.75% Floor), 4.47%, 01/15/25† | 273,382 | 263,445 | ||
Bausch Health Companies Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 5.38%, 06/02/25† | 344,955 | 330,439 | ||
Beacon Roofing Supply, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.68%, 01/02/25† | 376,801 | 359,374 | ||
Berry Global, Inc. Term Q Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.39%, 10/01/22† | 142,322 | 139,397 | ||
Catalent Pharma Solutions, Inc. Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 1.00% Floor), 4.77%, 05/20/24† | 377,532 | 367,905 | ||
CBS Radio, Inc. Additional Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 5.26%, 11/18/24† | 339,114 | 320,251 | ||
CenturyLink, Inc. Initial Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.53%, 04/30/25† | 99,721 | 95,920 | ||
CSC Holdings LLC March 2017 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.71%, 07/17/25† | 258,563 | 246,151 | ||
Dell International LLC Refinancing Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 0.75% Floor), 4.53%, 09/07/23† | 335,299 | 323,145 | ||
First Data Corporation 2024A New Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.50%, 04/26/24† | 499,476 | 478,373 | ||
Flying Fortress Holdings LLC New Loan | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 4.55%, 10/30/22† | 380,000 | 373,430 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.52%, 11/30/23† | 365,624 | 351,847 | ||
Hilton Worldwide Finance LLC Series B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.26%, 10/25/23† | 376,095 | 325,291 | ||
Jaguar Holding Co. I LLC 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 5.02%, 08/18/22† | 247,559 | 236,110 |
Par | Value | |||
Level 3 Financing, Inc. Tranche B 2024 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.75%, 02/22/24† | $110,000 | $104,821 | ||
MPH Acquisition Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 1.00% Floor), 5.55%, 06/07/23† | 112,916 | 107,349 | ||
Party City Holdings, Inc. 2018 Replacement Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 5.03%, 08/19/22† | 146,207 | 141,516 | ||
Petco Animal Supplies, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%, 1.00% Floor), 5.78%, 01/26/23† | 400,729 | 296,317 | ||
PetSmart, Inc. Tranche B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 5.38%, 03/11/22† | 965,000 | 694,374 | ||
Post Holdings, Inc. Series A Incremental Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.51%, 05/24/24† | 262,557 | 253,695 | ||
Prime Security Services Borrower LLC December 2018 Incremental Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.27%, 05/02/22† | 523,388 | 500,489 | ||
Quikrete Holdings, Inc. Initial Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 5.27%, 11/15/23† | 115,650 | 110,519 | ||
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 5.27%, 02/05/23† | 365,902 | 349,828 | ||
TDC A/S Facility B3 | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.75%, 06/04/25† | 820,000 | 932,990 | ||
Trans Union LLC 2017 Replacement Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.52%, 04/10/23† | 103,083 | 99,439 | ||
Unitymedia Hessen GmbH & Co. KG Facility B | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.71%, 09/30/25† | 590,000 | 484,500 | ||
Univision Communications, Inc. 2017 Replacement Repriced First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.27%, 03/15/24† | 656,812 | 597,699 | ||
UPC Financing Partnership Facility AR | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.96%, 01/15/26† | 256,456 | 244,723 | ||
Virgin Media Bristol LLC K Facility | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.96%, 01/15/26† | 125,000 | 118,719 |
Table of Contents
Par | Value | |||
Vistra Operations Co. LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.52%, 08/04/23† | $25,227 | $24,382 | ||
Western Digital Corporation U.S. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.26%, 04/29/23† | 279,799 | 267,676 | ||
XPO Logistics, Inc. Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 4.51%, 02/24/25† | 310,000 | 297,600 | ||
Ziggo Secured Finance Partnership Term Loan E Facility | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.96%, 04/15/25† | 610,000 | 576,355 | ||
Total Loan Agreements (Cost $13,030,801) | 12,196,790 | |||
MORTGAGE-BACKED SECURITIES — 3.1% | ||||
Commercial Mortgage Trust, Series 2007-CD4, Class AJ | ||||
5.40%, 12/11/49 | 3,580 | 2,628 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2006-C5, Class AJ | ||||
5.37%, 12/15/39 | 92,328 | 62,864 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2007-C5, Class AM | ||||
5.87%, 09/15/40 | 93,719 | 90,898 | ||
Credit Suisse Mortgage Capital Certificates, Series 2018-PLUM, Class A | ||||
(Floating, ICE LIBOR USD 1M + 3.23%, 3.23% Floor), 5.69%, 08/15/20 144A † | 1,800,000 | 1,802,176 | ||
CSMC, Series 2015-2R, Class 3A2 | ||||
2.52%, 04/27/36 144A † γ | 729,605 | 544,066 | ||
Fannie Mae Connecticut Avenue Securities, Series 2015-C03 | ||||
(Floating, ICE LIBOR USD 1M + 5.00%), 7.51%, 07/25/25† | 285,611 | 315,557 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1 | ||||
(Floating, ICE LIBOR USD 1M + 4.95%, 4.95% Floor), 7.46%, 07/25/29† | 1,060,000 | 1,164,894 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA2 | ||||
(Floating, ICE LIBOR USD 1M + 5.15%), 7.66%, 10/25/29† | 560,000 | 629,392 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA3 | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 5.01%, 03/25/30† | 1,590,000 | 1,592,860 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 3.75% Floor), 6.21%, 09/15/31 144A † | 2,220,000 | 2,227,353 |
Par | Value | |||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor, 11.50% Cap), 3.61%, 08/25/36† | $609,219 | $598,680 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.21%, 02/15/51† γ | 5,166 | 4,812 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.21%, 8.21% Floor), 10.66%, 06/15/35 144A † | 2,500,000 | 2,484,775 | ||
Lone Star Portfolio Trust, Series 2015-LSMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 7.22%, 7.22% Floor), 9.67%, 09/15/20 144A † | 422,004 | 433,692 | ||
Lone Star Portfolio Trust, Series 2015-LSP, Class F | ||||
(Floating, ICE LIBOR USD 1M + 7.15%, 6.90% Floor), 9.61%, 09/15/28 144A † | 767,901 | 772,932 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A | 610,000 | 587,164 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 800,000 | 720,493 | ||
WFCG Commercial Mortgage Trust, Series 2015-BXRP, Class C | ||||
(Floating, ICE LIBOR USD 1M + 1.77%, 1.77% Floor), 4.23%, 11/15/29 144A † | 2,110,193 | 2,098,059 | ||
Total Mortgage-Backed Securities (Cost $16,001,037) | 16,133,295 | |||
MUNICIPAL BOND — 0.0% | ||||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 (Cost $128,670) | 160,000 | 152,797 | ||
U.S. TREASURY OBLIGATIONS — 19.1% | ||||
U.S. Treasury Bills | ||||
2.18%, 04/25/19Ω Δ | 3,075,000 | 3,051,822 | ||
2.48%, 05/30/19Ω Δ | 5,000,000 | 4,950,230 | ||
8,002,052 | ||||
U.S. Treasury Bonds | ||||
3.50%, 02/15/39 | 860,000 | 941,112 | ||
4.25%, 05/15/39 | 40,000 | 48,277 | ||
3.88%, 08/15/40 | 30,000 | 34,464 | ||
2.75%, 08/15/42 | 120,000 | 114,930 | ||
3.13%, 02/15/43 | 9,716,000 | 9,914,872 | ||
2.88%, 05/15/43 | 120,000 | 117,199 | ||
3.00%, 05/15/45 | 40,000 | 39,936 | ||
3.00%, 11/15/45 | 920,000 | 918,401 | ||
2.50%, 05/15/46 | 820,000 | 739,778 | ||
2.25%, 08/15/46 | 960,000 | 820,762 | ||
2.88%, 11/15/46 | 2,120,000 | 2,061,949 | ||
3.00%, 05/15/47 | 80,000 | 79,681 |
Table of Contents
Par | Value | |||
2.75%, 08/15/47 | $120,000 | $113,686 | ||
3.13%, 05/15/48Δ | 60,000 | 61,157 | ||
3.00%, 08/15/48Δ | 2,715,000 | 2,702,962 | ||
18,709,166 | ||||
U.S. Treasury Notes | ||||
1.25%, 03/31/19 | 8,750,000 | 8,725,229 | ||
1.25%, 06/30/19 | 3,000,000 | 2,981,367 | ||
1.63%, 06/30/19 | 10,000 | 9,955 | ||
1.25%, 10/31/19 | 110,000 | 108,767 | ||
3.63%, 02/15/21 | 14,549,000 | 14,890,276 | ||
1.88%, 01/31/22 | 710,000 | 697,519 | ||
2.00%, 02/15/22 | 120,000 | 118,340 | ||
1.63%, 08/15/22 | 17,580,000 | 17,060,836 | ||
2.75%, 02/15/24 | 6,650,000 | 6,723,253 | ||
2.25%, 11/15/24 | 20,630,000 | 20,281,054 | ||
2.00%, 02/15/25 | 100,000 | 96,766 | ||
1.63%, 02/15/26 | 180,000 | 168,546 | ||
1.63%, 05/15/26 | 470,000 | 439,028 | ||
2.00%, 11/15/26 | 1,220,000 | 1,164,957 | ||
73,465,893 | ||||
Total U.S. Treasury Obligations (Cost $99,950,002) | 100,177,111 |
Shares | |||
COMMON STOCKS — 1.3% | |||
Communication Services — 0.4% | |||
AT&T, Inc. | 78,546 | 2,241,703 | |
Consumer Discretionary — 0.2% | |||
Ford Motor Co. | 96,849 | 740,895 | |
Energy — 0.0% | |||
Berry Petroleum CorporationΔ | 2,350 | 20,563 | |
Blue Ridge Mountain Resources, Inc.* | 24,163 | 96,652 | |
Hercules Offshore, Inc.Ψ ††† Δ * | 46,644 | 44,444 | |
161,659 | |||
Financials — 0.0% | |||
Tricer Holdco SCAΨ ††† * | 4,654 | 5 | |
Health Care — 0.2% | |||
Bristol-Myers Squibb Co. | 20,746 | 1,078,377 |
Shares | Value | |||
Industrials — 0.1% | ||||
Arconic, Inc. | 14,757 | $248,803 | ||
Information Technology — 0.4% | ||||
Corning, Inc. | 70,534 | 2,130,832 | ||
Total Common Stocks (Cost $8,175,714) | 6,602,274 | |||
PREFERRED STOCKS — 0.4% | ||||
Bank of America Corporation | ||||
7.25%, 12/28/18 CONV Δ | 602 | 754,005 | ||
Chesapeake Energy Corporation | ||||
5.00%, 10/31/18 CONV Δ | 3,950 | 204,926 | ||
5.75%, 10/31/18 CONV | 30 | 15,657 | ||
5.75%, 10/31/18 CONV | 780 | 402,364 | ||
5.75%, 10/31/18 144A CONV | 50 | 26,094 | ||
4.50%, 11/29/18 CONV Δ | 1,229 | 51,680 | ||
El Paso Energy Capital Trust I | ||||
4.75%, 12/13/18 CONV | 11,315 | 472,401 | ||
iStar, Inc. REIT | ||||
4.50%, 11/30/18 CONV | 50 | 2,128 | ||
Tricer Holdco SCA | ||||
0.00%, 12/31/49Ψ ††† | 2,233,838 | 1,771 | ||
Total Preferred Stocks (Cost $2,020,836) | 1,931,026 | |||
MONEY MARKET FUNDS — 8.9% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø ∞ | 30,916,317 | 30,916,317 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%Ø § | 14,685,117 | 14,685,117 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 1,163,189 | 1,163,189 | ||
Total Money Market Funds (Cost $46,764,623) | 46,764,623 | |||
TOTAL INVESTMENTS — 100.4% (Cost $557,457,977) | 525,801,673 | |||
Liabilities in Excess of Other Assets — (0.4)% | (2,126,240) | |||
NET ASSETS — 100.0% | $523,675,433 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 03/2019 | (3) | $(620,836) | $(8,606) | ||||
Euro-Bund | 03/2019 | (96) | (17,988,093) | (248,861) | ||||
10-Year U.S. Treasury Note | 03/2019 | 73 | 8,907,141 | 211,890 | ||||
2-Year U.S. Treasury Note | 03/2019 | 3 | 636,937 | 4,344 | ||||
5-Year U.S. Treasury Note | 03/2019 | 120 | 13,762,500 | 223,297 | ||||
Total Futures Contracts outstanding at December 31, 2018 | $4,697,649 | $182,064 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/18/19 | U.S. Dollars | 31,003,639 | Japanese Yen | 3,448,975,000 | CITI | $510,232 | ||||||
01/18/19 | U.S. Dollars | 5,676,915 | Indian Rupees | 423,117,535 | BAR | 387,548 | ||||||
01/18/19 | British Pound | 2,793,751 | U.S. Dollars | 3,708,900 | CITI | 144,599 | ||||||
01/18/19 | U.S. Dollars | 673,109 | Turkish Lira | 4,332,800 | CITI | 136,732 | ||||||
01/18/19 | Brazilian Real | 20,759,000 | U.S. Dollars | 5,481,561 | BAR | 131,230 | ||||||
01/18/19 | Mexican Pesos | 71,074,921 | U.S. Dollars | 3,726,175 | CITI | 120,390 | ||||||
01/18/19 | U.S. Dollars | 1,760,579 | Indonesian Rupiahs | 26,810,100,000 | BAR | 97,495 | ||||||
01/18/19 | U.S. Dollars | 1,506,849 | Indian Rupees | 110,000,000 | CITI | 69,760 | ||||||
01/18/19 | Russian Rubles | 64,370,000 | U.S. Dollars | 974,949 | CITI | 53,583 | ||||||
01/18/19 | U.S. Dollars | 753,057 | Mexican Pesos | 15,000,000 | CITI | 7,925 | ||||||
01/18/19 | U.S. Dollars | 661,444 | Euro | 580,000 | CITI | 4,156 | ||||||
01/18/19 | Australian Dollars | 500,000 | U.S. Dollars | 356,098 | CITI | 3,784 | ||||||
Subtotal Appreciation | $1,667,434 | |||||||||||
01/18/19 | U.S. Dollars | 32,301 | Polish Zloty | 120,000 | BAR | (224) | ||||||
01/18/19 | South African Rand | 14,380,000 | U.S. Dollars | 960,427 | CITI | (36,760) | ||||||
01/18/19 | U.S. Dollars | 3,696,175 | Brazilian Real | 13,820,000 | BAR | (134,271) | ||||||
01/18/19 | U.S. Dollars | 22,989,344 | Euro | 19,677,940 | CITI | (407,214) | ||||||
Subtotal Depreciation | $(578,469) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2018 | $1,088,965 | |||||||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $6,638,170 | $— | $6,638,170 | $— | |||
Commercial Paper | 1,575,318 | — | 1,575,318 | — | |||
Common Stocks: | |||||||
Energy | 161,659 | 117,215 | — | 44,444 | |||
Financials | 5 | — | — | 5 | |||
Other^^ | 6,440,610 | 6,440,610 | — | — | |||
Total Common Stocks | 6,602,274 | 6,557,825 | — | 44,449 | |||
Corporate Bonds | 167,800,132 | — | 167,800,132 | — | |||
Foreign Bonds: | |||||||
Argentina | 8,428,209 | — | 7,613,817 | 814,392 | |||
Other^^ | 155,452,090 | — | 155,452,090 | — | |||
Total Foreign Bonds | 163,880,299 | — | 163,065,907 | 814,392 | |||
Foreign Government Inflation-Linked Bond | 1,949,838 | — | 1,949,838 | — | |||
Loan Agreements | 12,196,790 | — | 12,196,790 | — | |||
Money Market Funds | 46,764,623 | 46,764,623 | — | — | |||
Mortgage-Backed Securities | 16,133,295 | — | 16,133,295 | — | |||
Municipal Bond | 152,797 | — | 152,797 | — | |||
Preferred Stocks: | |||||||
Energy | 1,173,122 | 524,081 | 649,041 | — | |||
Financials | 757,904 | 754,005 | 2,128 | 1,771 | |||
Total Preferred Stocks | 1,931,026 | 1,278,086 | 651,169 | 1,771 | |||
U.S. Treasury Obligations | 100,177,111 | — | 100,177,111 | — | |||
Total Assets - Investments in Securities | $525,801,673 | $54,600,534 | $470,340,527 | $860,612 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $1,667,434 | $— | $1,667,434 | $— | |||
Futures Contracts | 439,531 | 439,531 | — | — | |||
Total Assets - Other Financial Instruments | $2,106,965 | $439,531 | $1,667,434 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(578,469) | $— | $(578,469) | $— | |||
Futures Contracts | (257,467) | (257,467) | — | — | |||
Total Liabilities - Other Financial Instruments | $(835,936) | $(257,467) | $(578,469) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forwards contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forwards Foreign Currency Contracts outstanding" disclosures. |
Table of Contents
Table of Contents
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $758,503,838 | $972,743,464 | |
Investments in repurchase agreements, at value | 457,000,000 | — | |
Investments in securities of affiliated issuers, at value | — | 8,110,270 | |
Total investments, at value(1), (2) | 1,215,503,838 | 980,853,734 | |
Cash collateral for swap agreements | — | 395,789 | |
Deposits with broker for futures contracts | — | 1,139,518 | |
Foreign currency(3) | — | 908,198 | |
Upfront premiums paid from swap agreements | — | 29,546 | |
Receivables: | |||
Dividends and reclaims | — | 33,196 | |
Interest | 386,272 | 4,530,894 | |
Securities lending | — | 7,133 | |
From advisor | — | 2,753 | |
Investment securities sold | — | 11,110,530 | |
Fund shares sold | 37,363,005 | 155,765 | |
Variation margin on centrally cleared swaps | — | 3,870 | |
Variation margin on futures contracts | — | 394,035 | |
Unrealized appreciation on foreign currency exchange contracts | — | 324,113 | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 43,120 | 23,492 | |
Total Assets | 1,253,296,235 | 999,912,566 | |
Liabilities | |||
Cash Overdraft | 488,672 | — | |
Securities sold short, at value(4) | — | 5,992,418 | |
TBA sale commitments, at value(5) | — | — | |
Options written, at value(6) | — | 1,063,233 | |
Upfront premiums received from swap agreements | — | 91,344 | |
Unrealized depreciation on foreign currency exchange contracts | — | 445,104 | |
Unrealized depreciation on swap agreements | — | — | |
Collateral held for securities on loan, at value | — | 5,294,984 | |
Collateral held for derivatives | — | 170,641 | |
Due to broker | — | — | |
Payables: | |||
Investment securities purchased | — | 77,316,318 | |
Fund shares redeemed | 2,215,328 | 63,693 | |
Variation margin on centrally cleared swaps | — | — | |
Variation margin on futures contracts | — | 529,150 | |
Distributions | 377,151 | — | |
Securities lending | — | 1,070 | |
Accrued expenses: | |||
Investment advisory fees | 112,872 | 234,817 | |
Shareholder servicing fees | 181,651 | 64,618 | |
Other expenses | 157,176 | 202,262 | |
Total Liabilities | 3,532,850 | 91,469,652 | |
Net Assets | $1,249,763,385 | $908,442,914 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,249,757,841 | $928,129,527 | |
Distributable earnings (loss) | 5,544 | (19,686,613) | |
Net Assets | $1,249,763,385 | $908,442,914 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $841,532,046 | $602,967,875 | |
Institutional shares outstanding | 841,532,404 | 45,655,828 | |
Net asset value, offering and redemption price per Institutional share | $1.00 | $13.21 | |
Net assets applicable to the Investor Class | $408,231,339 | $305,475,039 | |
Investor shares outstanding | 408,191,001 | 23,122,834 | |
Net asset value, offering and redemption price per Investor share | $1.00 | $13.21 | |
(1)Investments in securities of unaffiliated issuers, at cost | $758,503,838 | $977,324,093 | |
Investments in repurchase agreements, at cost | 457,000,000 | — | |
Investments in securities of affiliated issuers, at cost | — | 8,110,270 | |
Total investments, at cost | $1,215,503,838 | $985,434,363 | |
(2)Includes securities loaned of: | $— | $29,542,944 | |
(3)Foreign currency, at cost | $— | $915,766 | |
(4)Proceeds from securities sold short | $— | $5,955,155 | |
(5)TBA sale commitments, at cost | $— | $— | |
(6)Premiums received on options written | $— | $707,145 |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$1,688,509,423 | $214,381,920 | $494,885,356 | ||
28,600,000 | — | — | ||
28,981,400 | 4,269,935 | 30,916,317 | ||
1,746,090,823 | 218,651,855 | 525,801,673 | ||
10,867,760 | — | — | ||
6,518,054 | — | 506,859 | ||
5,268,465 | — | 4,289,570 | ||
9,963,349 | — | — | ||
194,630 | 16,876 | 96,440 | ||
9,268,822 | 1,976,532 | 6,371,563 | ||
12,928 | 2,184 | 22,460 | ||
13,347 | 1,037 | 5,972 | ||
94,555,450 | — | 1,139,197 | ||
187,989 | 289,831 | 106,082 | ||
— | — | — | ||
1,500,155 | — | 58,937 | ||
2,513,716 | — | 1,667,434 | ||
943,647 | — | — | ||
41,372 | 15,212 | 14,439 | ||
1,887,940,507 | 220,953,527 | 540,080,626 | ||
— | 10,002 | 53,496 | ||
— | — | — | ||
40,201,723 | — | — | ||
5,600,038 | — | — | ||
2,059,803 | — | — | ||
3,650,281 | — | 578,469 | ||
117,802 | — | — | ||
4,216,070 | 312,356 | 14,685,117 | ||
15,161,369 | — | — | ||
52,478 | — | — | ||
304,110,024 | 4,069 | 548,230 | ||
7,000 | 20,291 | 161,167 | ||
430,552 | — | — | ||
411,585 | — | — | ||
— | — | — | ||
1,939 | 327 | 3,369 | ||
419,104 | 90,739 | 215,108 | ||
56,721 | 23,043 | 24,344 | ||
369,223 | 75,769 | 135,893 | ||
376,865,712 | 536,596 | 16,405,193 | ||
$1,511,074,795 | $220,416,931 | $523,675,433 | ||
$1,560,186,739 | $223,622,656 | $558,489,963 | ||
(49,111,944) | (3,205,725) | (34,814,530) | ||
$1,511,074,795 | $220,416,931 | $523,675,433 | ||
$1,240,967,453 | $108,206,220 | $409,257,288 | ||
86,935,736 | 6,467,402 | 43,918,912 | ||
$14.28 | $16.73 | $9.32 | ||
$270,107,342 | $112,210,711 | $114,418,145 | ||
18,916,946 | 6,704,619 | 12,285,955 | ||
$14.28 | $16.74 | $9.31 | ||
$1,706,722,944 | $217,125,421 | $526,541,660 | ||
28,600,000 | — | — | ||
28,981,400 | 4,269,935 | 30,916,317 | ||
$1,764,304,344 | $221,395,356 | $557,457,977 | ||
$50,246,680 | $5,764,524 | $40,727,922 | ||
$5,279,933 | $— | $4,307,646 | ||
$— | $— | $— | ||
$40,033,942 | $— | $— | ||
$3,525,240 | $— | $— |
Table of Contents
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $— | $— | |
Income distributions received from affiliated funds | — | 278,371 | |
Interest | 22,109,033 | 24,200,732 | |
Securities lending, net | — | 112,319 | |
Less foreign taxes withheld | — | (5,016) | |
Total Investment Income | 22,109,033 | 24,586,406 | |
Expenses | |||
Investment advisory fees | 1,343,168 | 2,801,950 | |
Transfer agent fees: | |||
Institutional shares | 4,121 | 4,417 | |
Investor shares | 23,141 | 18,963 | |
Custodian fees | 38,327 | 126,206 | |
Shareholder servicing fees: | |||
Investor shares | 2,215,924 | 768,687 | |
Accounting and administration fees | 229,822 | 188,003 | |
Professional fees | 80,175 | 77,674 | |
Blue sky fees: | |||
Institutional shares | 10,577 | 10,022 | |
Investor shares | 8,199 | 9,612 | |
Shareholder reporting fees: | |||
Institutional shares | 1,380 | 1,661 | |
Investor shares | 27,418 | 9,505 | |
Trustees expenses | 6,971 | 5,771 | |
Line of credit facility fees and interest expense | 8,537 | 6,640 | |
Other expenses | 14,080 | 37,239 | |
Total Expenses | 4,011,840 | 4,066,350 | |
Expenses waived/reimbursed net of amount recaptured(1) | — | (48,549) | |
Net Expenses | 4,011,840 | 4,017,801 | |
Net Investment Income | 18,097,193 | 20,568,605 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 3,419 | (2,899,404) | |
Investment securities sold short | — | 131,034 | |
Futures transactions | — | (394,108) | |
Swap agreements | — | 1,108,962 | |
Forward rate agreements | — | (829,601) | |
Option contracts written | — | 131,726 | |
Option contracts purchased | — | (235,467) | |
Forward foreign currency contracts | — | (569,578) | |
Foreign currency | — | (490,325) | |
Net realized gain (loss) | 3,419 | (4,046,761) | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | (6,721,635) | |
Investment securities sold short | — | (10,021) | |
Futures | — | (65,202) | |
Swap agreements | — | (72,606) | |
Forward rate agreements | — | 31,798 | |
Option contracts written | — | (357,244) | |
Option contracts purchased | — | 468,489 | |
Forward foreign currency contracts | — | 1,903,019 | |
Foreign currency | — | 33,676 | |
Net change in unrealized appreciation (depreciation) | — | (4,789,726) | |
Net Realized and Unrealized Gain (Loss) | 3,419 | (8,836,487) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $18,100,612 | $11,732,118 |
(1) | See Note 3a and 3c in Notes to Financial Statements. |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$— | $21,032 | $295,973 | ||
998,285 | 81,659 | 510,321 | ||
46,353,379 | 8,488,390 | 26,323,608 | ||
133,227 | 43,589 | 232,239 | ||
— | — | (40,004) | ||
47,484,891 | 8,634,670 | 27,322,137 | ||
4,883,524 | 1,109,565 | 2,611,154 | ||
4,436 | 4,065 | 4,246 | ||
19,625 | 14,819 | 17,219 | ||
415,881 | 11,397 | 86,199 | ||
668,606 | 282,150 | 302,019 | ||
306,410 | 52,097 | 109,835 | ||
77,728 | 83,905 | 85,650 | ||
10,085 | 8,995 | 15,348 | ||
11,137 | 8,449 | 9,869 | ||
2,312 | 585 | 1,720 | ||
15,475 | 9,877 | 6,556 | ||
9,899 | 2,463 | 3,774 | ||
25,944 | 1,660 | 3,495 | ||
70,522 | 17,965 | 37,210 | ||
6,521,584 | 1,607,992 | 3,294,294 | ||
(174,019) | (13,762) | (86,418) | ||
6,347,565 | 1,594,230 | 3,207,876 | ||
41,137,326 | 7,040,440 | 24,114,261 | ||
(20,662,809) | (419,152) | 29,620 | ||
139,400 | — | — | ||
(8,592,438) | — | (1,158,018) | ||
6,783,043 | — | — | ||
— | — | — | ||
3,639,095 | — | 93,347 | ||
(3,964,884) | — | (390,038) | ||
1,235,633 | — | (4,560,042) | ||
(1,560,880) | (18,232) | (82,746) | ||
(22,983,840) | (437,384) | (6,067,877) | ||
(29,544,973) | (14,554,524) | (44,218,952) | ||
(170,582) | — | — | ||
8,525,517 | — | 317,839 | ||
(3,895,713) | — | — | ||
— | — | — | ||
(2,057,641) | — | (38,208) | ||
1,687,362 | — | (62,146) | ||
(348,490) | — | 337,482 | ||
(14,341) | 540 | 7,824 | ||
(25,818,861) | (14,553,984) | (43,656,161) | ||
(48,802,701) | (14,991,368) | (49,724,038) | ||
$(7,665,375) | $(7,950,928) | $(25,609,777) |
Table of Contents
Money Market Fund | |||
For the Year Ended | |||
12/31/18 | 12/31/17 | ||
Operations: | |||
Net investment income | $18,097,193 | $7,316,182 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 3,419 | 2,130 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase (decrease) in net assets resulting from operations | 18,100,612 | 7,318,312 | |
Distributions to Shareholders: | |||
Institutional shares | (5,076,945) | (2,230,825) | |
Investor shares | (13,020,248) | (5,085,360) | |
Total distributions | (18,097,193) | (7,316,185) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 1,748,822,489 | 807,337,066 | |
Investor shares | 4,746,224,687 | 4,112,655,800 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 2,208,188 | 892,830 | |
Investor shares | 5,445,866 | 2,182,102 | |
Total proceeds from shares sold and reinvested | 6,502,701,230 | 4,923,067,798 | |
Value of shares redeemed | |||
Institutional shares | (1,178,447,349) | (790,919,840) | |
Investor shares | (5,238,005,117) | (4,170,941,208) | |
Total value of shares redeemed | (6,416,452,466) | (4,961,861,048) | |
Net increase (decrease) from capital share transactions(1) | 86,248,764 | (38,793,250) | |
Total increase (decrease) in net assets | 86,252,183 | (38,791,123) | |
Net Assets: | |||
Beginning of Year | 1,163,511,202 | 1,202,302,325 | |
End of Year | $1,249,763,385 | $1,163,511,202 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||
For the Year Ended | For the Year Ended | |||||
12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | |||
$20,568,605 | $14,183,786 | $41,137,326 | $26,225,976 | |||
(4,046,761) | (3,446,540) | (22,983,840) | 3,037,605 | |||
(4,789,726) | 4,069,979 | (25,818,861) | 16,432,896 | |||
11,732,118 | 14,807,225 | (7,665,375) | 45,696,477 | |||
(15,019,892) | (10,229,709) | (34,879,820) | (20,072,788) | |||
(6,577,258) | (4,000,821) | (6,688,627) | (4,509,866) | |||
(21,597,150) | (14,230,530) | (41,568,447) | (24,582,654) | |||
99,252,756 | 158,108,971 | 245,602,344 | 318,069,701 | |||
34,391,035 | 59,956,096 | 47,923,137 | 66,368,668 | |||
14,827,815 | 10,172,772 | 34,717,112 | 20,024,021 | |||
6,574,660 | 3,998,619 | 6,583,119 | 4,505,754 | |||
155,046,266 | 232,236,458 | 334,825,712 | 408,968,144 | |||
(96,844,338) | (162,008,400) | (137,487,888) | (31,659,087) | |||
(42,427,351) | (34,562,859) | (44,988,883) | (21,675,790) | |||
(139,271,689) | (196,571,259) | (182,476,771) | (53,334,877) | |||
15,774,577 | 35,665,199 | 152,348,941 | 355,633,267 | |||
5,909,545 | 36,241,894 | 103,115,119 | 376,747,090 | |||
902,533,369 | 866,291,475 | 1,407,959,676 | 1,031,212,586 | |||
$908,442,914 | $902,533,369 | $1,511,074,795 | $1,407,959,676 |
Table of Contents
Extended-Duration Bond Fund | Global Bond Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | ||||
Operations: | |||||||
Net investment income | $7,040,440 | $7,781,680 | $24,114,261 | $19,616,872 | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | (437,384) | 2,794,827 | (6,067,877) | 3,444,253 | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (14,553,984) | 12,880,818 | (43,656,161) | 12,397,199 | |||
Net increase (decrease) in net assets resulting from operations | (7,950,928) | 23,457,325 | (25,609,777) | 35,458,324 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (4,610,373) | (4,710,887) | (13,546,563) | (13,826,842) | |||
Investor shares | (4,032,031) | (4,374,214) | (3,687,399) | (3,842,884) | |||
Total distributions | (8,642,404) | (9,085,101) | (17,233,962) | (17,669,726) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 7,774,517 | 10,173,790 | 73,567,800 | 74,337,429 | |||
Investor shares | 13,477,007 | 17,946,400 | 24,463,013 | 37,897,578 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 4,584,780 | 4,701,092 | 13,429,011 | 13,669,919 | |||
Investor shares | 4,024,823 | 4,368,631 | 3,675,912 | 3,833,048 | |||
Total proceeds from shares sold and reinvested | 29,861,127 | 37,189,913 | 115,135,736 | 129,737,974 | |||
Value of shares redeemed | |||||||
Institutional shares | (18,238,669) | (15,144,159) | (49,971,832) | (35,026,678) | |||
Investor shares | (22,210,332) | (23,820,763) | (27,176,135) | (11,855,469) | |||
Total value of shares redeemed | (40,449,001) | (38,964,922) | (77,147,967) | (46,882,147) | |||
Net increase (decrease) from capital share transactions(1) | (10,587,874) | (1,775,009) | 37,987,769 | 82,855,827 | |||
Total increase (decrease) in net assets | (27,181,206) | 12,597,215 | (4,855,970) | 100,644,425 | |||
Net Assets: | |||||||
Beginning of Year | 247,598,137 | 235,000,922 | 528,531,403 | 427,886,978 | |||
End of Year | $220,416,931 | $247,598,137 | $523,675,433 | $528,531,403 |
(1) | See Note 6 in 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# | 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 | ||||||||||||
2018 | $1.00 | $0.02 | $—† | $(0.02) | $— | $1.00 | 1.74% | $841,532 | 0.15% | 0.15% | 1.74% | N/A |
2017 | 1.00 | 0.01 | —† | (0.01) | —† | 1.00 | 0.76 | 268,948 | 0.17 | 0.17 | 0.77 | N/A |
2016 | 1.00 | —† | —† | —† | —† | 1.00 | 0.28 | 251,639 | 0.17 | 0.18 | 0.27 | N/A |
2015 | 1.00 | —† | —† | —† | —† | 1.00 | 0.08 | 245,882 | 0.17 | 0.18 | 0.08 | N/A |
2014 | 1.00 | —† | —† | —† | —† | 1.00 | 0.02 | 121,624 | 0.18 | 0.19 | 0.01 | N/A |
Investor Class | ||||||||||||
2018 | $1.00 | $0.01 | $—† | $(0.01) | $— | $1.00 | 1.48% | $408,231 | 0.40% | 0.40% | 1.47% | N/A |
2017 | 1.00 | 0.01 | —† | (0.01) | —† | 1.00 | 0.51 | 894,563 | 0.42 | 0.42 | 0.52 | N/A |
2016 | 1.00 | —† | —† | —† | —† | 1.00 | 0.04 | 950,663 | 0.41 | 0.42 | 0.03 | N/A |
2015 | 1.00 | —† | —† | —† | —† | 1.00 | 0.02 | 1,041,421 | 0.24 | 0.43 | 0.01 | N/A |
2014 | 1.00 | —† | —† | —† | —† | 1.00 | 0.02 | 1,163,495 | 0.19 | 0.44 | 0.01 | N/A |
Low-Duration Bond Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $13.35 | $0.30 | $(0.12) | $(0.32) | $— | $13.21 | 1.36% | $602,968 | 0.35% | 0.35% | 2.30% | 513% |
2017 | 13.34 | 0.21 | 0.01 | (0.21) | — | 13.35 | 1.69 | 592,325 | 0.35 | 0.36 | 1.60 | 102 |
2016 | 13.30 | 0.19 | 0.05(3) | (0.20) | — | 13.34 | 1.74 | 585,590 | 0.37 | 0.38 | 1.46 | 398 |
2015 | 13.41 | 0.21 | (0.10)(3) | (0.22) | — | 13.30 | 0.79 | 617,698 | 0.37 | 0.38 | 1.52 | 746 |
2014 | 13.57 | 0.14 | 0.02(3) | (0.30) | (0.02) | 13.41 | 1.16 | 141,461 | 0.36 | 0.42 | 1.06 | 529 |
Investor Class | ||||||||||||
2018 | $13.35 | $0.27 | $(0.13) | $(0.28) | $— | $13.21 | 1.10% | $305,475 | 0.61% | 0.61% | 2.03% | 513% |
2017 | 13.34 | 0.18 | 0.01 | (0.18) | — | 13.35 | 1.42 | 310,208 | 0.62 | 0.63 | 1.33 | 102 |
2016 | 13.27 | 0.16 | 0.03(3) | (0.12) | — | 13.34 | 1.47 | 280,701 | 0.64 | 0.65 | 1.18 | 398 |
2015 | 13.31 | 0.16 | (0.09)(3) | (0.11) | — | 13.27 | 0.49 | 242,325 | 0.60 | 0.65 | 1.17 | 746 |
2014 | 13.35 | 0.11 | 0.02(3) | (0.16) | (0.01) | 13.31 | 0.97 | 704,878 | 0.57 | 0.66 | 0.85 | 529 |
Medium-Duration Bond Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $14.75 | $0.40 | $(0.47) | $(0.40) | $— | $14.28 | (0.46)% | $1,240,967 | 0.37% | 0.38% | 2.76% | 431% |
2017 | 14.46 | 0.34 | 0.26 | (0.31) | — | 14.75 | 4.13 | 1,138,597 | 0.39 | 0.40 | 2.32 | 387 |
2016 | 14.44 | 0.37 | 0.08(3) | (0.39) | (0.04) | 14.46 | 3.21 | 815,430 | 0.45 | 0.46 | 2.50 | 337 |
2015 | 15.18 | 0.37 | (0.35)(3) | (0.54) | (0.22) | 14.44 | 0.03 | 706,760 | 0.45 | 0.47 | 2.46 | 346 |
2014 | 15.01 | 0.33 | 0.56(3) | (0.63) | (0.09) | 15.18 | 6.03 | 239,389 | 0.48 | 0.52 | 2.14 | 408 |
Investor Class | ||||||||||||
2018 | $14.75 | $0.36 | $(0.47) | $(0.36) | $— | $14.28 | (0.72)% | $270,107 | 0.64% | 0.65% | 2.49% | 431% |
2017 | 14.46 | 0.30 | 0.26 | (0.27) | — | 14.75 | 3.93 | 269,362 | 0.66 | 0.67 | 2.05 | 387 |
2016 | 14.31 | 0.33 | 0.08(3) | (0.22) | (0.04) | 14.46 | 2.88 | 215,783 | 0.72 | 0.73 | 2.24 | 337 |
2015 | 14.65 | 0.28 | (0.31)(3) | (0.21) | (0.10) | 14.31 | (0.22) | 187,863 | 0.66 | 0.75 | 1.92 | 346 |
2014 | 14.14 | 0.29 | 0.53(3) | (0.27) | (0.04) | 14.65 | 5.82 | 669,537 | 0.63 | 0.77 | 1.98 | 408 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(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. |
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# | 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 | |
Extended-Duration Bond Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $17.94 | $0.54 | $(1.09) | $(0.53) | $(0.13) | $16.73 | (3.07)% | $108,206 | 0.55% | 0.56% | 3.16% | 45% |
2017 | 16.90 | 0.59 | 1.13 | (0.56) | (0.12) | 17.94 | 10.38 | 122,526 | 0.57 | 0.58 | 3.37 | 93 |
2016 | 17.37 | 0.70 | 0.63(3) | (0.98) | (0.82) | 16.90 | 7.65 | 115,558 | 0.56 | 0.57 | 3.81 | 50 |
2015 | 21.26 | 0.78 | (1.74)(3) | (1.42) | (1.51) | 17.37 | (5.01) | 148,920 | 0.60 | 0.60 | 4.09 | 42 |
2014 | 21.85 | 0.96 | 2.70(3) | (2.42) | (1.83) | 21.26 | 17.47 | 56,216 | 0.56 | 0.57 | 4.19 | 48 |
Investor Class | ||||||||||||
2018 | $17.95 | $0.49 | $(1.09) | $(0.48) | $(0.13) | $16.74 | (3.34)% | $112,211 | 0.82% | 0.83% | 2.89% | 45% |
2017 | 16.90 | 0.54 | 1.15 | (0.52) | (0.12) | 17.95 | 10.13 | 125,072 | 0.85 | 0.85 | 3.09 | 93 |
2016 | 16.76 | 0.64 | 0.56(3) | (0.34) | (0.72) | 16.90 | 7.23 | 119,443 | 0.84 | 0.85 | 3.51 | 50 |
2015 | 18.30 | 0.66 | (1.60)(3) | (0.27) | (0.33) | 16.76 | (5.30) | 106,918 | 0.82 | 0.85 | 3.65 | 42 |
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 |
Global Bond Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $10.08 | $0.43 | $(0.88) | $(0.31) | $— | $9.32 | (4.51)% | $409,257 | 0.53% | 0.55% | 4.50% | 23% |
2017 | 9.68 | 0.42 | 0.35 | (0.37) | — | 10.08 | 8.09 | 405,411 | 0.56 | 0.58 | 4.18 | 31 |
2016 | 9.08 | 0.45 | 0.56(3) | (0.41) | — | 9.68 | 11.24 | 338,475 | 0.59 | 0.60 | 4.73 | 28 |
2015(4) | 10.09 | 0.27 | (1.02)(3) | (0.26) | — | 9.08 | (7.54) | 311,374 | 0.59 | 0.62 | 4.15 | 30 |
Investor Class | ||||||||||||
2018 | $10.07 | $0.41 | $(0.88) | $(0.29) | $— | $9.31 | (4.73)% | $114,418 | 0.80% | 0.82% | 4.22% | 23% |
2017 | 9.68 | 0.39 | 0.35 | (0.35) | — | 10.07 | 7.69 | 123,120 | 0.83 | 0.85 | 3.89 | 31 |
2016 | 9.08 | 0.42 | 0.56(3) | (0.38) | — | 9.68 | 10.91 | 89,412 | 0.88 | 0.89 | 4.42 | 28 |
2015 | 10.03 | 0.33 | (0.92)(3) | (0.36) | — | 9.08 | (6.00) | 78,636 | 0.82 | 0.84 | 3.35 | 30 |
2014 | 10.09 | 0.37 | (0.07)(3) | (0.36) | — | 10.03 | 2.90 | 401,321 | 0.79 | 0.82 | 3.64 | 57 |
# | 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) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Table of Contents
Table of Contents
% | |
Corporate Bonds | 23.7 |
U.S. Treasury Obligations | 21.1 |
Financials | 8.6 |
Health Care | 6.9 |
Information Technology | 6.5 |
Money Market Funds | 6.3 |
Industrials | 5.9 |
Consumer Staples | 4.8 |
Utilities | 4.8 |
Consumer Discretionary | 2.7 |
Energy | 2.7 |
Foreign Bonds | 2.1 |
Communication Services | 1.8 |
Materials | 1.6 |
Equity-Linked Securities | 1.3 |
Mutual Funds | 1.3 |
Real Estate | 1.0 |
Synthetic Convertible Instrument | 0.1 |
Written Options | (0.2) |
103.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (1.51)% | (1.69)% | (1.03)% | ||||
Five Year | 7.05% | 6.79% | 4.63% | ||||
Ten Year | N/A | N/A | N/A | ||||
Since Inception | 8.82% | 8.55% | 6.56% | ||||
Inception Date | 09/01/11 | 09/01/11 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 0.69% | 0.97% |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 39.9% | ||||
Communication Services — 1.8% | ||||
Activision Blizzard, Inc. | 6,185 | $288,035 | ||
Alphabet, Inc. Class A* | 3,054 | 3,191,308 | ||
Alphabet, Inc. Class C* | 566 | 586,155 | ||
AT&T, Inc. | 19,889 | 567,632 | ||
Cable One, Inc. | 120 | 98,412 | ||
CBS Corporation Class B (Non-Voting Shares) | 817 | 35,719 | ||
CenturyLink, Inc. | 2,272 | 34,421 | ||
Charter Communications, Inc. Class A* | 375 | 106,864 | ||
Comcast Corporation Class A | 8,825 | 300,491 | ||
Discovery, Inc. Class A* | 454 | 11,232 | ||
Discovery, Inc. Class C* | 631 | 14,564 | ||
Electronic Arts, Inc.* | 5,600 | 441,896 | ||
Facebook, Inc. Class A* | 18,781 | 2,462,001 | ||
Interpublic Group of Cos., Inc. (The) | 849 | 17,515 | ||
Netflix, Inc.* | 3,379 | 904,423 | ||
News Corporation Class A | 567 | 6,435 | ||
Omnicom Group, Inc. | 506 | 37,059 | ||
Take-Two Interactive Software, Inc.* | 175 | 18,015 | ||
TripAdvisor, Inc.* | 203 | 10,950 | ||
Twenty-First Century Fox, Inc. Class A | 2,177 | 104,757 | ||
Twenty-First Century Fox, Inc. Class B | 766 | 36,600 | ||
Twitter, Inc.* | 1,120 | 32,189 | ||
Verizon Communications, Inc. | 118,887 | 6,683,827 | ||
Walt Disney Co. (The) | 19,301 | 2,116,355 | ||
18,106,855 | ||||
Consumer Discretionary — 2.4% | ||||
Advance Auto Parts, Inc. | 152 | 23,934 | ||
Amazon.com, Inc.* | 1,377 | 2,068,213 | ||
AutoZone, Inc.* | 38 | 31,857 | ||
Best Buy Co., Inc. | 8,948 | 473,886 | ||
Booking Holdings, Inc.* | 614 | 1,057,566 | ||
BorgWarner, Inc. | 232 | 8,060 | ||
CarMax, Inc.* | 253 | 15,871 | ||
Carnival Corporation | 41,856 | 2,063,501 | ||
Chipotle Mexican Grill, Inc.* | 55 | 23,748 | ||
Cracker Barrel Old Country Store, Inc.Δ | 1,400 | 223,804 | ||
D.R. Horton, Inc. | 870 | 30,154 | ||
Darden Restaurants, Inc. | 10,008 | 999,399 | ||
Dollar General Corporation | 458 | 49,501 | ||
Dollar Tree, Inc.* | 490 | 44,257 | ||
Domino’s Pizza, Inc. | 2,436 | 604,104 | ||
eBay, Inc.* | 770 | 21,614 | ||
Expedia Group, Inc. | 332 | 37,400 | ||
Foot Locker, Inc. | 320 | 17,024 | ||
Ford Motor Co. | 7,983 | 61,070 | ||
Gap, Inc. (The) | 503 | 12,957 | ||
General Motors Co. | 2,563 | 85,732 | ||
Genuine Parts Co. | 27,728 | 2,662,442 | ||
Goodyear Tire & Rubber Co. (The) | 280 | 5,715 | ||
H&R Block, Inc. | 774 | 19,636 | ||
Hanesbrands, Inc. | 827 | 10,362 |
Shares | Value | |||
Harley-Davidson, Inc. | 372 | $12,693 | ||
Hasbro, Inc. | 1,294 | 105,137 | ||
Hilton Worldwide Holdings, Inc. | 368 | 26,422 | ||
Home Depot, Inc. (The) | 14,632 | 2,514,070 | ||
Kohl’s Corporation | 339 | 22,489 | ||
L Brands, Inc. | 411 | 10,550 | ||
Leggett & Platt, Inc. | 135 | 4,838 | ||
Lennar Corporation Class A | 374 | 14,642 | ||
LKQ Corporation* | 551 | 13,075 | ||
Lowe’s Cos., Inc. | 2,496 | 230,530 | ||
Lululemon Athletica, Inc.* | 9,625 | 1,170,496 | ||
Macy’s, Inc. | 736 | 21,918 | ||
Marriott International, Inc. Class A | 619 | 67,199 | ||
Mattel, Inc.* | 1,029 | 10,280 | ||
McDonald’s Corporation | 17,340 | 3,079,064 | ||
Michael Kors Holdings, Ltd.* | 280 | 10,618 | ||
Mohawk Industries, Inc.* | 105 | 12,281 | ||
Newell Brands, Inc. | 2,917 | 54,227 | ||
NIKE, Inc. Class B | 18,461 | 1,368,698 | ||
Nordstrom, Inc. | 287 | 13,377 | ||
Norwegian Cruise Line Holdings, Ltd.* | 444 | 18,821 | ||
O’Reilly Automotive, Inc.* | 165 | 56,814 | ||
Pool Corporation | 454 | 67,487 | ||
PulteGroup, Inc. | 555 | 14,424 | ||
PVH Corporation | 138 | 12,827 | ||
Ralph Lauren Corporation | 137 | 14,174 | ||
Ross Stores, Inc. | 5,774 | 480,397 | ||
Royal Caribbean Cruises, Ltd. | 380 | 37,160 | ||
Starbucks Corporation | 22,095 | 1,422,918 | ||
Tapestry, Inc. | 641 | 21,634 | ||
Target Corporation | 964 | 63,711 | ||
Tiffany & Co. | 162 | 13,043 | ||
TJX Cos., Inc. (The) | 17,082 | 764,249 | ||
Tractor Supply Co. | 240 | 20,026 | ||
Ulta Beauty, Inc.* | 534 | 130,745 | ||
Under Armour, Inc. Class A* | 210 | 3,711 | ||
Under Armour, Inc. Class C* | 211 | 3,412 | ||
VF Corporation | 555 | 39,594 | ||
Whirlpool Corporation | 160 | 17,099 | ||
Yum! Brands, Inc. | 13,566 | 1,246,987 | ||
23,863,644 | ||||
Consumer Staples — 4.2% | ||||
Archer-Daniels-Midland Co. | 1,013 | 41,503 | ||
Campbell Soup Co. | 418 | 13,790 | ||
Church & Dwight Co., Inc. | 655 | 43,073 | ||
Clorox Co. (The) | 4,379 | 674,979 | ||
Coca-Cola Co. (The) | 71,387 | 3,380,174 | ||
Colgate-Palmolive Co. | 42,573 | 2,533,945 | ||
Conagra Brands, Inc. | 599 | 12,795 | ||
Costco Wholesale Corporation | 7,902 | 1,609,716 | ||
Coty, Inc. Class A | 3,613 | 23,701 | ||
Estee Lauder Cos., Inc. (The) Class A | 10,900 | 1,418,090 | ||
Flowers Foods, Inc.Δ | 26,461 | 488,735 | ||
General Mills, Inc. | 1,045 | 40,692 | ||
Hershey Co. (The) | 31,587 | 3,385,495 | ||
Hormel Foods CorporationΔ | 20,100 | 857,868 |
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Shares | Value | |||
Ingredion, Inc. | 10,020 | $915,828 | ||
J.M. Smucker Co. (The) | 250 | 23,373 | ||
Kellogg Co. | 848 | 48,344 | ||
Kimberly-Clark Corporation | 1,630 | 185,722 | ||
Kraft Heinz Co. (The) | 1,315 | 56,598 | ||
Kroger Co. (The) | 1,673 | 46,007 | ||
Lamb Weston Holdings, Inc. | 13,987 | 1,028,884 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 9,381 | 1,306,210 | ||
Mondelez International, Inc. Class A | 27,090 | 1,084,413 | ||
Monster Beverage Corporation* | 15,348 | 755,429 | ||
PepsiCo, Inc. | 55,219 | 6,100,595 | ||
Procter & Gamble Co. (The) | 110,683 | 10,173,981 | ||
Sysco Corporation | 28,529 | 1,787,627 | ||
Tyson Foods, Inc. Class A | 661 | 35,297 | ||
Walgreens Boots Alliance, Inc. | 1,718 | 117,391 | ||
Walmart, Inc. | 47,213 | 4,397,891 | ||
42,588,146 | ||||
Energy — 1.5% | ||||
Anadarko Petroleum Corporation | 970 | 42,525 | ||
Apache Corporation | 795 | 20,869 | ||
Baker Hughes a GE Co. | 56,084 | 1,205,806 | ||
Cabot Oil & Gas Corporation | 793 | 17,723 | ||
Chevron Corporation | 68,379 | 7,438,951 | ||
Cimarex Energy Co. | 158 | 9,741 | ||
Concho Resources, Inc.* | 1,258 | 129,310 | ||
ConocoPhillips | 14,468 | 902,080 | ||
Devon Energy Corporation | 909 | 20,489 | ||
EOG Resources, Inc. | 13,827 | 1,205,853 | ||
Exxon Mobil Corporation | 23,850 | 1,626,331 | ||
Halliburton Co. | 1,400 | 37,212 | ||
Helmerich & Payne, Inc.Δ | 8,351 | 400,347 | ||
Hess Corporation | 541 | 21,910 | ||
HollyFrontier Corporation | 313 | 16,001 | ||
Kinder Morgan, Inc. | 1,482 | 22,793 | ||
Marathon Oil Corporation | 49,988 | 716,828 | ||
Marathon Petroleum Corporation | 2,161 | 127,521 | ||
National Oilwell Varco, Inc. | 635 | 16,319 | ||
Newfield Exploration Co.* | 284 | 4,163 | ||
Noble Energy, Inc. | 607 | 11,387 | ||
Occidental Petroleum Corporation | 1,528 | 93,789 | ||
ONEOK, Inc. | 903 | 48,717 | ||
Phillips 66 | 752 | 64,785 | ||
Pioneer Natural Resources Co. | 361 | 47,479 | ||
RPC, Inc.Δ | 22,206 | 219,173 | ||
Valero Energy Corporation | 5,717 | 428,603 | ||
Williams Cos., Inc. (The) | 1,532 | 33,781 | ||
14,930,486 | ||||
Financials — 6.7% | �� | |||
Affiliated Managers Group, Inc. | 93 | 9,062 | ||
Aflac, Inc. | 43,294 | 1,972,475 | ||
Alleghany Corporation | 1,248 | 777,903 | ||
Allstate Corporation (The) | 27,618 | 2,282,075 | ||
American Express Co. | 9,691 | 923,746 | ||
American Financial Group, Inc. | 9,156 | 828,893 | ||
American International Group, Inc. | 1,829 | 72,081 | ||
Ameriprise Financial, Inc. | 269 | 28,076 |
Shares | Value | |||
Arch Capital Group, Ltd.* | 24,987 | $667,653 | ||
Arthur J. Gallagher & Co. | 451 | 33,239 | ||
Assurant, Inc. | 75 | 6,708 | ||
Bank of America Corporation | 18,205 | 448,571 | ||
Bank of Hawaii CorporationΔ | 4,834 | 325,425 | ||
Bank of New York Mellon Corporation (The) | 93,465 | 4,399,398 | ||
BB&T Corporation | 11,072 | 479,639 | ||
Berkshire Hathaway, Inc. Class B* | 3,599 | 734,844 | ||
BlackRock, Inc. | 5,080 | 1,995,526 | ||
Brighthouse Financial, Inc.* | 405 | 12,344 | ||
Capital One Financial Corporation | 901 | 68,107 | ||
Capitol Federal Financial, Inc. | 288,700 | 3,686,699 | ||
Cboe Global Markets, Inc. | 2,562 | 250,640 | ||
Charles Schwab Corporation (The) | 2,042 | 84,804 | ||
Cincinnati Financial Corporation | 334 | 25,858 | ||
Citigroup, Inc. | 4,997 | 260,144 | ||
Citizens Financial Group, Inc. | 836 | 24,854 | ||
CME Group, Inc. | 14,026 | 2,638,571 | ||
Comerica, Inc. | 302 | 20,744 | ||
Commerce Bancshares, Inc.Δ | 13,589 | 766,012 | ||
Credit Acceptance CorporationΔ* | 943 | 360,000 | ||
Discover Financial Services | 9,426 | 555,945 | ||
E*TRADE Financial Corporation | 326 | 14,305 | ||
East West Bancorp, Inc. | 7,479 | 325,561 | ||
Erie Indemnity Co. Class A | 1,630 | 217,295 | ||
Everest Re Group, Ltd. | 3,814 | 830,537 | ||
Fidelity National Financial, Inc. | 42,598 | 1,339,281 | ||
Fifth Third Bancorp | 1,381 | 32,495 | ||
Franklin Resources, Inc. | 595 | 17,648 | ||
Goldman Sachs Group, Inc. (The) | 615 | 102,736 | ||
Hartford Financial Services Group, Inc. (The) | 633 | 28,137 | ||
Huntington Bancshares, Inc. | 1,372 | 16,354 | ||
Intercontinental Exchange, Inc. | 5,078 | 382,526 | ||
Invesco, Ltd. | 816 | 13,660 | ||
Jefferies Financial Group, Inc. | 558 | 9,687 | ||
JPMorgan Chase & Co. | 55,381 | 5,406,293 | ||
KeyCorp | 1,880 | 27,786 | ||
Legg Mason, Inc. | 44,300 | 1,130,093 | ||
Lincoln National Corporation | 388 | 19,908 | ||
Loews Corporation | 373 | 16,979 | ||
M&T Bank Corporation | 7,078 | 1,013,074 | ||
Markel Corporation* | 1,365 | 1,416,938 | ||
MarketAxess Holdings, Inc. | 282 | 59,589 | ||
Marsh & McLennan Cos., Inc. | 51,606 | 4,115,578 | ||
MetLife, Inc. | 7,346 | 301,627 | ||
Moody’s Corporation | 247 | 34,590 | ||
Morgan Stanley | 2,432 | 96,429 | ||
Nasdaq, Inc. | 251 | 20,474 | ||
Northern Trust Corporation | 10,470 | 875,187 | ||
People’s United Financial, Inc. | 674 | 9,726 | ||
PNC Financial Services Group, Inc. (The) | 69,529 | 8,128,635 | ||
Principal Financial Group, Inc. | 631 | 27,871 | ||
Progressive Corporation (The) | 44,447 | 2,681,488 | ||
Prudential Financial, Inc. | 855 | 69,725 | ||
Raymond James Financial, Inc. | 240 | 17,858 |
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Shares | Value | |||
Regions Financial Corporation | 2,436 | $32,594 | ||
RenaissanceRe Holdings, Ltd. | 3,581 | 478,780 | ||
S&P Global, Inc. | 1,008 | 171,300 | ||
SEI Investments Co. | 5,739 | 265,142 | ||
State Street Corporation | 650 | 40,996 | ||
SunTrust Banks, Inc. | 31,360 | 1,581,798 | ||
SVB Financial Group* | 1,969 | 373,952 | ||
Synchrony Financial | 1,366 | 32,046 | ||
T. Rowe Price Group, Inc. | 7,764 | 716,772 | ||
Torchmark Corporation | 219 | 16,322 | ||
Travelers Cos., Inc. (The) | 17,969 | 2,151,788 | ||
U.S. Bancorp | 75,531 | 3,451,767 | ||
Unum Group | 295 | 8,667 | ||
W.R. Berkley Corporation | 6,388 | 472,137 | ||
Wells Fargo & Co. | 99,285 | 4,575,053 | ||
Zions Bancorp NA | 159 | 6,478 | ||
67,915,698 | ||||
Health Care — 5.5% | ||||
Abbott Laboratories | 16,004 | 1,157,569 | ||
AbbVie, Inc. | 3,024 | 278,783 | ||
ABIOMED, Inc.* | 2,869 | 932,540 | ||
Agilent Technologies, Inc. | 9,877 | 666,302 | ||
Alexion Pharmaceuticals, Inc.* | 484 | 47,122 | ||
Align Technology, Inc.* | 4,651 | 974,059 | ||
Amgen, Inc. | 3,173 | 617,688 | ||
Anthem, Inc. | 6,078 | 1,596,265 | ||
Baxter International, Inc. | 9,958 | 655,436 | ||
Becton, Dickinson and Co. | 3,267 | 736,120 | ||
Biogen, Inc.* | 1,998 | 601,238 | ||
Boston Scientific Corporation* | 2,122 | 74,991 | ||
Bristol-Myers Squibb Co. | 71,842 | 3,734,347 | ||
Cardinal Health, Inc. | 35,750 | 1,594,450 | ||
Celgene Corporation* | 1,539 | 98,635 | ||
Centene Corporation* | 305 | 35,167 | ||
Cerner Corporation* | 527 | 27,636 | ||
Chemed Corporation | 1,877 | 531,717 | ||
Cigna Corporation | 5,121 | 972,558 | ||
CVS Health Corporation | 2,550 | 167,077 | ||
Danaher Corporation | 8,849 | 912,509 | ||
DaVita, Inc.* | 265 | 13,637 | ||
DENTSPLY SIRONA, Inc. | 472 | 17,563 | ||
Edwards Lifesciences Corporation* | 3,584 | 548,961 | ||
Eli Lilly & Co. | 48,027 | 5,557,684 | ||
Gilead Sciences, Inc. | 2,517 | 157,438 | ||
HCA Healthcare, Inc. | 500 | 62,225 | ||
Henry Schein, Inc.Δ* | 13,384 | 1,050,912 | ||
Hologic, Inc.* | 508 | 20,879 | ||
Humana, Inc. | 5,750 | 1,647,260 | ||
IDEXX Laboratories, Inc.* | 1,453 | 270,287 | ||
Illumina, Inc.* | 3,650 | 1,094,745 | ||
Intuitive Surgical, Inc.* | 4,719 | 2,260,023 | ||
IQVIA Holdings, Inc.* | 250 | 29,043 | ||
Johnson & Johnson | 99,945 | 12,897,902 | ||
Laboratory Corporation of America Holdings* | 237 | 29,947 | ||
McKesson Corporation | 399 | 44,078 | ||
Mettler-Toledo International, Inc.* | 2,038 | 1,152,652 |
Shares | Value | |||
Nektar Therapeutics* | 1,189 | $39,082 | ||
PerkinElmer, Inc. | 318 | 24,979 | ||
Premier, Inc. Class A* | 3,918 | 146,337 | ||
Quest Diagnostics, Inc. | 31,365 | 2,611,764 | ||
Regeneron Pharmaceuticals, Inc.* | 143 | 53,411 | ||
ResMed, Inc. | 4,509 | 513,440 | ||
Stryker Corporation | 11,784 | 1,847,142 | ||
Thermo Fisher Scientific, Inc. | 9,901 | 2,215,745 | ||
UnitedHealth Group, Inc. | 13,209 | 3,290,626 | ||
Universal Health Services, Inc. Class B | 174 | 20,281 | ||
Varian Medical Systems, Inc.* | 4,093 | 463,778 | ||
Vertex Pharmaceuticals, Inc.* | 2,108 | 349,317 | ||
Waters Corporation* | 589 | 111,115 | ||
WellCare Health Plans, Inc.* | 60 | 14,165 | ||
Zimmer Biomet Holdings, Inc. | 334 | 34,642 | ||
Zoetis, Inc. | 12,037 | 1,029,645 | ||
56,032,914 | ||||
Industrials — 5.1% | ||||
3M Co. | 30,151 | 5,744,972 | ||
Alaska Air Group, Inc. | 219 | 13,326 | ||
American Airlines Group, Inc. | 801 | 25,720 | ||
AMETEK, Inc. | 278 | 18,821 | ||
Arconic, Inc. | 1,067 | 17,990 | ||
Boeing Co. (The) | 6,928 | 2,234,280 | ||
C.H. Robinson Worldwide, Inc. | 2,486 | 209,048 | ||
Caterpillar, Inc. | 1,105 | 140,412 | ||
Cintas CorporationΔ | 4,601 | 772,922 | ||
Copart, Inc.* | 5,734 | 273,971 | ||
CSX Corporation | 1,596 | 99,160 | ||
Cummins, Inc. | 798 | 106,645 | ||
Curtiss-Wright Corporation | 795 | 81,185 | ||
Deere & Co. | 5,724 | 853,849 | ||
Delta Air Lines, Inc. | 1,312 | 65,469 | ||
Dover Corporation | 3,261 | 231,368 | ||
Emerson Electric Co. | 10,204 | 609,689 | ||
Equifax, Inc. | 234 | 21,792 | ||
Expeditors International of Washington, Inc. | 8,970 | 610,767 | ||
Fastenal Co. | 713 | 37,283 | ||
FedEx Corporation | 2,361 | 380,900 | ||
Flowserve Corporation | 291 | 11,064 | ||
Fluor Corporation | 406 | 13,073 | ||
Fortive Corporation | 3,879 | 262,453 | ||
Fortune Brands Home & Security, Inc. | 191 | 7,256 | ||
General Dynamics Corporation | 5,821 | 915,119 | ||
General Electric Co. | 17,028 | 128,902 | ||
GrafTech International, Ltd.Δ | 5,421 | 62,016 | ||
Harris Corporation | 191 | 25,718 | ||
Honeywell International, Inc. | 15,834 | 2,091,988 | ||
Hubbell, Inc. | 45,700 | 4,539,838 | ||
Huntington Ingalls Industries, Inc. | 227 | 43,200 | ||
IDEX Corporation | 1,348 | 170,199 | ||
IHS Markit, Ltd.* | 500 | 23,985 | ||
Illinois ToolWorks, Inc. | 11,938 | 1,512,425 | ||
J.B. Hunt Transport Services, Inc. | 166 | 15,445 | ||
Jacobs Engineering Group, Inc. | 78 | 4,560 |
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Shares | Value | |||
Kansas City Southern | 154 | $14,699 | ||
L3 Technologies, Inc. | 139 | 24,139 | ||
Landstar System, Inc. | 8,170 | 781,624 | ||
Lockheed Martin Corporation | 4,901 | 1,283,278 | ||
Masco Corporation | 401 | 11,725 | ||
Norfolk Southern Corporation | 17,856 | 2,670,186 | ||
Northrop Grumman Corporation | 317 | 77,633 | ||
PACCAR, Inc. | 655 | 37,427 | ||
Parker-Hannifin Corporation | 254 | 37,882 | ||
Quanta Services, Inc. | 139 | 4,184 | ||
Raytheon Co. | 25,113 | 3,851,079 | ||
Republic Services, Inc. | 102,351 | 7,378,484 | ||
Robert Half International, Inc. | 7,443 | 425,740 | ||
Rockwell Automation, Inc. | 3,263 | 491,016 | ||
Rollins, Inc. | 36,843 | 1,330,032 | ||
Roper Technologies, Inc. | 165 | 43,976 | ||
Snap-on, Inc. | 112 | 16,272 | ||
Southwest Airlines Co. | 14,199 | 659,970 | ||
Stanley Black & Decker, Inc. | 256 | 30,653 | ||
Teledyne Technologies, Inc.* | 5,042 | 1,044,047 | ||
Textron, Inc. | 272 | 12,509 | ||
TransDigm Group, Inc.* | 70 | 23,804 | ||
Union Pacific Corporation | 7,318 | 1,011,567 | ||
United Continental Holdings, Inc.* | 462 | 38,683 | ||
United Parcel Service, Inc. Class B | 27,453 | 2,677,491 | ||
United Rentals, Inc.* | 123 | 12,611 | ||
United Technologies Corporation | 6,183 | 658,366 | ||
Verisk Analytics, Inc.* | 707 | 77,091 | ||
W.W. Grainger, Inc. | 77 | 21,742 | ||
Waste Management, Inc. | 45,357 | 4,036,319 | ||
Xylem, Inc. | 293 | 19,549 | ||
51,180,588 | ||||
Information Technology — 6.2% | ||||
Adobe, Inc.* | 9,203 | 2,082,087 | ||
Advanced Micro Devices, Inc.* | 1,790 | 33,043 | ||
Akamai Technologies, Inc.* | 6,025 | 368,007 | ||
Alliance Data Systems Corporation | 101 | 15,158 | ||
Amdocs, Ltd. | 1,249 | 73,166 | ||
Amphenol Corporation Class A | 6,664 | 539,917 | ||
Analog Devices, Inc. | 634 | 54,416 | ||
ANSYS, Inc.Δ* | 1,340 | 191,540 | ||
Apple, Inc. | 16,824 | 2,653,818 | ||
Applied Materials, Inc. | 70,405 | 2,305,060 | ||
Autodesk, Inc.* | 417 | 53,630 | ||
Automatic Data Processing, Inc. | 49,082 | 6,435,632 | ||
Broadcom, Inc. | 787 | 200,118 | ||
Broadridge Financial Solutions, Inc. | 3,582 | 344,768 | ||
Cadence Design Systems, Inc.* | 3,618 | 157,311 | ||
Cisco Systems, Inc. | 166,027 | 7,193,950 | ||
Citrix Systems, Inc. | 271 | 27,767 | ||
Cognizant Technology Solutions Corporation Class A | 20,370 | 1,293,088 | ||
Corning, Inc. | 1,580 | 47,732 | ||
Dolby Laboratories, Inc. Class A | 2,230 | 137,903 | ||
DXC Technology Co. | 501 | 26,638 | ||
F5 Networks, Inc.* | 7,827 | 1,268,209 |
Shares | Value | |||
Fidelity National Information Services, Inc. | 549 | $56,300 | ||
Fiserv, Inc.* | 7,396 | 543,532 | ||
FleetCor Technologies, Inc.* | 133 | 24,701 | ||
FLIR Systems, Inc. | 19,638 | 855,039 | ||
Fortinet, Inc.* | 2,034 | 143,255 | ||
Gartner, Inc.* | 125 | 15,980 | ||
Global Payments, Inc. | 200 | 20,626 | ||
Hewlett Packard Enterprise Co. | 3,316 | 43,804 | ||
HP, Inc. | 2,972 | 60,807 | ||
Intel Corporation | 42,831 | 2,010,059 | ||
International Business Machines Corporation | 8,101 | 920,841 | ||
Intuit, Inc. | 13,910 | 2,738,183 | ||
Jack Henry & Associates, Inc. | 6,869 | 869,066 | ||
Juniper Networks, Inc. | 762 | 20,505 | ||
KLA-Tencor Corporation | 1,433 | 128,239 | ||
Lam Research Corporation | 290 | 39,489 | ||
Manhattan Associates, Inc.* | 1,564 | 66,267 | ||
Mastercard, Inc. Class A | 16,818 | 3,172,716 | ||
Maxim Integrated Products, Inc. | 76,200 | 3,874,770 | ||
Microchip Technology, Inc. | 461 | 33,155 | ||
Micron Technology, Inc.* | 2,018 | 64,031 | ||
Microsoft Corporation | 68,902 | 6,998,376 | ||
Motorola Solutions, Inc. | 226 | 25,999 | ||
National Instruments Corporation | 4,818 | 218,641 | ||
NetApp, Inc. | 478 | 28,522 | ||
NVIDIA Corporation | 4,847 | 647,074 | ||
Oracle Corporation | 59,166 | 2,671,345 | ||
Paychex, Inc. | 56,319 | 3,669,183 | ||
PayPal Holdings, Inc.* | 4,104 | 345,105 | ||
Qorvo, Inc.* | 254 | 15,425 | ||
QUALCOMM, Inc. | 2,850 | 162,194 | ||
Red Hat, Inc.* | 321 | 56,380 | ||
salesforce.com, Inc.* | 1,344 | 184,088 | ||
Skyworks Solutions, Inc. | 4,409 | 295,491 | ||
Symantec Corporation | 1,116 | 21,087 | ||
Texas Instruments, Inc. | 26,098 | 2,466,261 | ||
Total System Services, Inc. | 261 | 21,217 | ||
VeriSign, Inc.* | 1,528 | 226,587 | ||
Visa, Inc. Class AΔ | 24,939 | 3,290,452 | ||
Western Digital Corporation | 642 | 23,735 | ||
Western Union Co. (The) | 864 | 14,740 | ||
Xerox Corporation | 523 | 10,334 | ||
Xilinx, Inc. | 6,231 | 530,694 | ||
63,127,253 | ||||
Materials — 1.0% | ||||
Air Products & Chemicals, Inc. | 4,821 | 771,601 | ||
Albemarle Corporation | 215 | 16,570 | ||
Ball Corporation | 452 | 20,783 | ||
Bemis Co., Inc.Δ | 79,100 | 3,630,690 | ||
CF Industries Holdings, Inc. | 530 | 23,060 | ||
DowDuPont, Inc. | 53,385 | 2,855,030 | ||
Eastman Chemical Co. | 225 | 16,450 | ||
Ecolab, Inc. | 7,513 | 1,107,041 | ||
FMC Corporation | 211 | 15,606 |
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Shares | Value | |||
Freeport-McMoRan, Inc. | 2,471 | $25,476 | ||
International Flavors & Fragrances, Inc. | 127 | 17,052 | ||
International Paper Co. | 7,498 | 302,619 | ||
Martin Marietta Materials, Inc. | 107 | 18,390 | ||
Mosaic Co. (The) | 713 | 20,827 | ||
Newmont Mining Corporation | 1,042 | 36,105 | ||
Nucor Corporation | 550 | 28,495 | ||
Packaging Corporation of America | 176 | 14,689 | ||
PPG Industries, Inc. | 6,306 | 644,662 | ||
Sealed Air Corporation | 225 | 7,839 | ||
Sherwin-Williams Co. (The) | 1,781 | 700,752 | ||
Vulcan Materials Co. | 331 | 32,703 | ||
WestRock Co. | 597 | 22,543 | ||
10,328,983 | ||||
Real Estate — 0.7% | ||||
Alexandria Real Estate Equities, Inc. REIT | 172 | 19,821 | ||
American Tower Corporation REIT | 763 | 120,699 | ||
Apartment Investment & Management Co. Class A REIT | 481 | 21,106 | ||
AvalonBay Communities, Inc. REIT | 351 | 61,092 | ||
Boston Properties, Inc. REIT | 2,857 | 321,555 | ||
CBRE Group, Inc. Class A* | 534 | 21,381 | ||
Crown Castle International Corporation REIT | 826 | 89,728 | ||
Digital Realty Trust, Inc. REIT | 362 | 38,571 | ||
Equinix, Inc. REIT | 132 | 46,538 | ||
Equity Residential REIT | 647 | 42,709 | ||
Essex Property Trust, Inc. REIT | 109 | 26,728 | ||
Extra Space Storage, Inc. REIT | 205 | 18,549 | ||
Federal Realty Investment Trust REIT | 105 | 12,394 | ||
HCP, Inc. REIT | 1,147 | 32,036 | ||
Host Hotels & Resorts, Inc. REIT | 1,879 | 31,323 | ||
Iron Mountain, Inc. REIT | 754 | 24,437 | ||
Kimco Realty Corporation REIT | 934 | 13,683 | ||
Macerich Co. (The) REIT | 275 | 11,902 | ||
Mid-America Apartment Communities, Inc. REIT | 202 | 19,332 | ||
Prologis, Inc. REIT | 1,007 | 59,131 | ||
Public Storage REIT | 13,077 | 2,646,916 | ||
Realty Income Corporation REIT | 579 | 36,500 | ||
Regency Centers Corporation REIT | 625 | 36,675 | ||
SBA Communications Corporation REIT* | 154 | 24,931 | ||
Simon Property Group, Inc. REIT | 677 | 113,729 | ||
SL Green Realty Corporation REIT | 174 | 13,760 | ||
UDR, Inc. REIT | 300 | 11,886 | ||
Ventas, Inc. REIT | 810 | 47,458 | ||
Vornado Realty Trust REIT | 299 | 18,547 | ||
Welltower, Inc. REIT | 825 | 57,263 | ||
Weyerhaeuser Co. REIT | 133,207 | 2,911,905 | ||
6,952,285 | ||||
Utilities — 4.8% | ||||
AES Corporation | 1,420 | 20,533 | ||
Alliant Energy Corporation | 4,100 | 173,225 |
Shares | Value | |||
Ameren Corporation | 32,091 | $2,093,296 | ||
American Electric Power Co., Inc. | 29,986 | 2,241,154 | ||
American Water Works Co., Inc. | 25,822 | 2,343,863 | ||
Aqua America, Inc. | 15,173 | 518,765 | ||
Atmos Energy Corporation | 66,679 | 6,182,477 | ||
CenterPoint Energy, Inc. | 1,091 | 30,799 | ||
CMS Energy Corporation | 8,819 | 437,863 | ||
Consolidated Edison, Inc. | 18,667 | 1,427,279 | ||
Dominion Energy, Inc. | 14,558 | 1,040,315 | ||
DTE Energy Co. | 9,627 | 1,061,858 | ||
Duke Energy Corporation | 18,867 | 1,628,222 | ||
Edison International | 820 | 46,551 | ||
Entergy Corporation | 480 | 41,314 | ||
Evergy, Inc. | 31,489 | 1,787,630 | ||
Eversource Energy | 76,678 | 4,987,137 | ||
Exelon Corporation | 6,555 | 295,630 | ||
FirstEnergy Corporation | 1,116 | 41,906 | ||
NextEra Energy, Inc. | 17,846 | 3,101,992 | ||
NiSource, Inc. | 357 | 9,050 | ||
NRG Energy, Inc. | 569 | 22,532 | ||
OGE Energy CorporationΔ | 3,485 | 136,577 | ||
ONE Gas, Inc. | 61,042 | 4,858,943 | ||
PG&E Corporation* | 1,381 | 32,799 | ||
Pinnacle West Capital Corporation | 48,103 | 4,098,375 | ||
PPL Corporation | 6,836 | 193,664 | ||
Public Service Enterprise Group, Inc. | 11,028 | 574,007 | ||
SCANA Corporation | 365 | 17,440 | ||
Sempra EnergyΔ | 2,631 | 284,648 | ||
Southern Co. (The) | 18,676 | 820,250 | ||
Spire, Inc. | 59,222 | 4,387,166 | ||
UGI Corporation | 25,294 | 1,349,435 | ||
WEC Energy Group, Inc. | 21,216 | 1,469,420 | ||
Xcel Energy, Inc. | 25,599 | 1,261,263 | ||
49,017,378 | ||||
Total Common Stocks (Cost $347,562,486) | 404,044,230 | |||
FOREIGN COMMON STOCKS — 5.5% | ||||
Curacao — 0.5% | ||||
Schlumberger, Ltd. | 130,092 | 4,693,719 | ||
France — 0.9% | ||||
Sodexo SA | 14,900 | 1,527,915 | ||
TOTAL SA | 151,723 | 8,027,776 | ||
9,555,691 | ||||
Ireland — 1.8% | ||||
Accenture PLC Class A | 18,269 | 2,576,112 | ||
Allegion PLC | 156 | 12,435 | ||
Eaton Corporation PLC | 916 | 62,893 | ||
Ingersoll-Rand PLC | 551 | 50,268 | ||
Johnson Controls International PLC | 1,898 | 56,276 | ||
Linde PLC | 15,648 | 2,441,714 | ||
Medtronic PLC | 148,820 | 13,536,667 | ||
Pentair PLC | 294 | 11,107 | ||
Seagate Technology PLC | 660 | 25,469 |
Table of Contents
Shares | Value | |||
Willis Towers Watson PLC | 205 | $31,131 | ||
18,804,072 | ||||
Japan — 0.1% | ||||
Honda Motor Co., Ltd. | 24,300 | 640,185 | ||
Toyota Motor Corporation | 4,500 | 260,490 | ||
900,675 | ||||
Jersey — 0.1% | ||||
Aptiv PLC | 6,899 | 424,771 | ||
Janus Henderson Group PLC | 50,200 | 1,040,144 | ||
1,464,915 | ||||
Netherlands — 0.2% | ||||
LyondellBasell Industries NV Class A | 7,370 | 612,889 | ||
Mylan NV* | 4,025 | 110,285 | ||
Unilever NV CVA | 17,800 | 967,100 | ||
1,690,274 | ||||
Sweden — 0.2% | ||||
Atlas Copco AB, B Shares | 94,400 | 2,068,472 | ||
Switzerland — 1.5% | ||||
ABB, Ltd. | 57,000 | 1,088,478 | ||
Chubb, Ltd. | 56,048 | 7,240,281 | ||
Garmin, Ltd. | 9,459 | 598,944 | ||
Nestle SA | 67,500 | 5,478,488 | ||
Roche Holding AG | 1,600 | 397,214 | ||
TE Connectivity, Ltd. | 617 | 46,664 | ||
14,850,069 | ||||
United Kingdom — 0.2% | ||||
Aon PLC | 9,318 | 1,354,465 | ||
Nielsen Holdings PLC | 803 | 18,734 | ||
Smiths Group PLC | 36,300 | 631,095 | ||
TechnipFMC PLC | 1,083 | 21,205 | ||
2,025,499 | ||||
Total Foreign Common Stocks (Cost $59,057,757) | 56,053,386 | |||
PREFERRED STOCKS — 1.9% | ||||
Bank of America Corporation, 7.25%, 12/28/18 CONVΔ | 5,523 | 6,917,558 | ||
International Flavors & Fragrances, Inc., 6.00%, 03/13/19 CONVΔ | 46,978 | 2,381,785 | ||
Stanley Black & Decker, Inc., 5.38%, 10/31/18 CONVΔ | 54,805 | 4,981,226 | ||
Wells Fargo & Co., 7.50%, 11/29/18 CONV | 1,798 | 2,269,022 | ||
Welltower, Inc. REIT, 6.50%, 12/28/18 CONV | 42,585 | 2,689,243 | ||
Total Preferred Stocks (Cost $20,590,200) | 19,238,834 | |||
MUTUAL FUNDS — 1.3% | ||||
iShares Russell 1000 Value ETFΔ (Cost $13,782,538) | 114,907 | 12,760,423 | ||
SYNTHETIC CONVERTIBLE INSTRUMENT — 0.1% | ||||
Goldman Sachs International CONV††† (Cost $1,017,244) | 5,100 | 925,512 |
Par | Value | |||
CORPORATE BONDS — 23.7% | ||||
Advanced Micro Devices, Inc. | ||||
2.13%, 09/01/26 CONV | $185,000 | $450,244 | ||
Akamai Technologies, Inc. | ||||
0.13%, 05/01/25 144A CONV | 5,508,000 | 5,064,881 | ||
Allscripts Healthcare Solutions, Inc. | ||||
1.25%, 07/01/20 CONV | 4,626,000 | 4,470,465 | ||
Arconic, Inc. | ||||
1.63%, 10/15/19 CONV | 1,298,000 | 1,294,755 | ||
Ares Capital Corporation | ||||
3.75%, 02/01/22 CONV | 4,376,000 | 4,383,877 | ||
Atlassian, Inc. | ||||
0.63%, 05/01/23 144A CONV | 2,515,000 | 3,200,979 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28^ | 1,250,000 | 1,139,062 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONVΔ | 5,139,000 | 5,123,064 | ||
Blackstone Mortgage Trust, Inc. REIT | ||||
4.75%, 03/15/23 CONV | 5,675,000 | 5,543,488 | ||
BofA Finance LLC | ||||
0.25%, 05/01/23 CONV | 1,340,000 | 1,182,550 | ||
Booking Holdings, Inc. | ||||
0.35%, 06/15/20 CONV | 1,662,000 | 2,242,643 | ||
Chart Industries, Inc. | ||||
1.00%, 11/15/24 144A CONV | 933,000 | 1,162,378 | ||
Chegg, Inc. | ||||
0.25%, 05/15/23 144A CONV | 990,000 | 1,199,242 | ||
Chesapeake Energy Corporation | ||||
5.50%, 09/15/26 CONV | 2,103,000 | 1,697,882 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23^ | 2,600,000 | 2,376,010 | ||
Citrix Systems, Inc. | ||||
0.50%, 04/15/19 CONV | 338,000 | 480,760 | ||
Cypress Semiconductor Corporation | ||||
2.00%, 02/01/23 CONVΔ | 2,171,000 | 2,081,555 | ||
DexCom, Inc. | ||||
0.75%, 05/15/22 CONVΔ | 420,000 | 567,562 | ||
0.75%, 12/01/23 144A CONV | 3,455,000 | 3,498,378 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26 CONV | 4,872,000 | 3,946,398 | ||
DocuSign, Inc. | ||||
0.50%, 09/15/23 144A CONV | 1,364,000 | 1,253,007 | ||
Dycom Industries, Inc. | ||||
0.75%, 09/15/21 CONV | 2,313,000 | 2,159,132 |
Table of Contents
Par | Value | |||
Empire State Realty OP LP REIT | ||||
2.63%, 08/15/19 144A CONV | $1,332,000 | $1,327,552 | ||
Envestnet, Inc. | ||||
1.75%, 06/01/23 144A CONV | 2,621,000 | 2,628,842 | ||
Euronet Worldwide, Inc. | ||||
1.50%, 10/01/44 CONV | 270,000 | 384,226 | ||
Evolent Health, Inc. | ||||
1.50%, 10/15/25 144A CONV | 830,000 | 766,913 | ||
Exact Sciences Corporation | ||||
1.00%, 01/15/25 CONV | 2,572,000 | 2,830,743 | ||
Extra Space Storage LP REIT | ||||
3.13%, 10/01/35 144A CONV | 4,345,000 | 4,709,850 | ||
FireEye, Inc. | ||||
0.88%, 06/01/24 144A CONV | 1,347,000 | 1,357,631 | ||
Five9, Inc. | ||||
0.13%, 05/01/23 144A CONV | 567,000 | 693,776 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.83%), 5.30%, 11/10/26Δ^ | 2,223,000 | 1,995,142 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 02/01/24 CONV | 1,174,000 | 1,159,494 | ||
Herbalife Nutrition, Ltd. | ||||
2.63%, 03/15/24 144A CONV | 1,206,000 | 1,356,508 | ||
HubSpot, Inc. | ||||
0.25%, 06/01/22 CONV | 274,000 | 392,422 | ||
IAC FinanceCo, Inc. | ||||
0.88%, 10/01/22 144A CONV | 1,396,000 | 1,857,759 | ||
IH Merger Sub LLC REIT | ||||
3.50%, 01/15/22 CONV | 2,456,000 | 2,528,678 | ||
Illumina, Inc. | ||||
0.50%, 06/15/21 CONV | 495,000 | 652,267 | ||
0.00%, 08/15/23 144AΩ CONVΔ | 2,630,000 | 2,710,878 | ||
Insulet Corporation | ||||
1.38%, 11/15/24 144A CONV | 1,883,000 | 2,004,482 | ||
Intel Corporation | ||||
3.25%, 08/01/39 CONV | 1,042,000 | 2,383,575 | ||
InterDigital, Inc. | ||||
1.50%, 03/01/20 CONV | 554,000 | 583,404 | ||
Ionis Pharmaceuticals, Inc. | ||||
1.00%, 11/15/21 CONV | 1,433,000 | 1,540,623 | ||
Jazz Investments I, Ltd. | ||||
1.88%, 08/15/21 CONV | 2,522,000 | 2,452,085 | ||
1.50%, 08/15/24 CONV | 1,257,000 | 1,141,258 | ||
KBR, Inc. | ||||
2.50%, 11/01/23 144A CONV | 1,527,000 | 1,365,210 | ||
Liberty Expedia Holdings, Inc. | ||||
1.00%, 06/30/47 144A CONVΔ | 4,842,000 | 4,639,851 | ||
Liberty Interactive LLC | ||||
1.75%, 09/30/46 144A CONV | 1,596,000 | 1,637,815 |
Par | Value | |||
Liberty Media Corp-Liberty Formula One | ||||
1.00%, 01/30/23 CONVΔ | $1,080,000 | $1,115,014 | ||
Liberty Media Corporation | ||||
1.38%, 10/15/23 CONV | 518,000 | 555,969 | ||
2.25%, 09/30/46 CONV | 1,110,000 | 527,916 | ||
2.13%, 03/31/48 144A CONV | 4,030,000 | 3,808,834 | ||
Ligand Pharmaceuticals, Inc. | ||||
0.75%, 05/15/23 144A CONV | 1,990,000 | 1,767,138 | ||
Live Nation Entertainment, Inc. | ||||
2.50%, 03/15/23 144A CONV | 5,150,000 | 5,256,790 | ||
Lumentum Holdings, Inc. | ||||
0.25%, 03/15/24 CONVΔ | 1,395,000 | 1,406,516 | ||
Macquarie Infrastructure Corporation | ||||
2.00%, 10/01/23 CONV | 2,092,000 | 1,815,433 | ||
Marriott Vacations Worldwide Corporation | ||||
1.50%, 09/15/22 CONV | 4,768,000 | 4,114,369 | ||
Meritor, Inc. | ||||
3.25%, 10/15/37 CONVΔ | 5,245,000 | 4,592,627 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/27 CONV | 7,712,000 | 7,557,128 | ||
Micron Technology, Inc. | ||||
3.00%, 11/15/43 CONV | 456,000 | 506,625 | ||
Molina Healthcare, Inc. | ||||
1.13%, 01/15/20 CONV | 287,000 | 825,852 | ||
Nabors Industries, Inc. | ||||
0.75%, 01/15/24 CONV | 1,048,000 | 648,801 | ||
National Health Investors, Inc. REIT | ||||
3.25%, 04/01/21 CONV | 1,406,000 | 1,546,129 | ||
Navistar International Corporation | ||||
4.75%, 04/15/19 CONV | 1,213,000 | 1,212,989 | ||
Neurocrine Biosciences, Inc. | ||||
2.25%, 05/15/24 CONV | 740,000 | 885,212 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23 144A CONV | 1,275,000 | 1,279,660 | ||
NextEra Energy Partners LP | ||||
1.50%, 09/15/20 144A CONV | 4,257,000 | 4,092,416 | ||
Nice Systems, Inc. | ||||
1.25%, 01/15/24 CONV | 445,000 | 610,206 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONVΔ | 2,406,000 | 2,131,264 | ||
1.00%, 12/15/35 CONV | 711,000 | 619,383 |
Table of Contents
Par | Value | |||
Nutanix, Inc. | ||||
0.00%, 01/15/23 144AΩ CONV | $700,000 | $768,288 | ||
NuVasive, Inc. | ||||
2.25%, 03/15/21 CONVΔ | 2,129,000 | 2,245,999 | ||
Oasis Petroleum, Inc. | ||||
2.63%, 09/15/23 CONVΔ | 1,089,000 | 960,074 | ||
Oil States International, Inc. | ||||
1.50%, 02/15/23 144A CONV | 622,000 | 512,914 | ||
Okta, Inc. | ||||
0.25%, 02/15/23 144A CONV | 189,000 | 276,312 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 3,400,000 | 3,757,000 | ||
OSI Systems, Inc. | ||||
1.25%, 09/01/22 CONV | 1,411,000 | 1,314,959 | ||
Palo Alto Networks, Inc. | ||||
0.75%, 07/01/23 144A CONV | 3,158,000 | 3,139,017 | ||
Pandora Media, Inc. | ||||
1.75%, 12/01/23 CONV | 1,258,000 | 1,299,571 | ||
PDC Energy, Inc. | ||||
1.13%, 09/15/21 CONV | 684,000 | 609,615 | ||
Plains All American Pipeline LP | ||||
(Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22^ | 2,661,000 | 2,241,892 | ||
Pure Storage, Inc. | ||||
0.13%, 04/15/23 144A CONV | 1,855,000 | 1,732,199 | ||
Q2 Holdings, Inc. | ||||
0.75%, 02/15/23 144A CONV | 582,000 | 609,678 | ||
Rapid7, Inc. | ||||
1.25%, 08/01/23 144A CONV | 1,229,000 | 1,247,968 | ||
RH | ||||
2.52%, 06/15/23 144AΩ CONVΔ | 1,480,000 | 1,320,481 | ||
RingCentral, Inc. | ||||
0.00%, 03/15/23 144AΩ CONV | 1,748,000 | 2,077,272 | ||
Royal Gold, Inc. | ||||
2.88%, 06/15/19 CONV | 4,354,000 | 4,386,829 | ||
ServiceNow, Inc. | ||||
0.00%, 06/01/22Ω CONV | 416,000 | 581,688 | ||
Silicon Laboratories, Inc. | ||||
1.38%, 03/01/22 CONV | 2,532,000 | 2,681,018 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 726,000 | 678,457 | ||
Spirit Realty Capital, Inc. REIT | ||||
3.75%, 05/15/21 CONV | 3,873,000 | 3,798,154 | ||
Splunk, Inc. | ||||
0.50%, 09/15/23 144A CONV | 4,167,000 | 4,149,744 | ||
1.13%, 09/15/25 144A CONV | 515,000 | 508,675 | ||
Square, Inc. | ||||
0.50%, 05/15/23 144A CONV | 1,136,000 | 1,184,963 |
Par | Value | |||
Starwood Property Trust, Inc. REIT | ||||
4.38%, 04/01/23 CONVΔ | $3,809,000 | $3,780,322 | ||
Supernus Pharmaceuticals, Inc. | ||||
0.63%, 04/01/23 144A CONVΔ | 1,845,000 | 1,743,525 | ||
Teradyne, Inc. | ||||
1.25%, 12/15/23 CONVΔ | 1,468,000 | 1,744,167 | ||
Tesla, Inc. | ||||
1.25%, 03/01/21 CONV | 3,594,000 | 4,046,165 | ||
2.38%, 03/15/22 CONVΔ | 601,000 | 730,720 | ||
Transocean, Inc. | ||||
0.50%, 01/30/23 CONV | 946,000 | 898,581 | ||
Tutor Perini Corporation | ||||
2.88%, 06/15/21 CONV | 3,311,000 | 3,055,884 | ||
Twilio, Inc. | ||||
0.25%, 06/01/23 144A CONVΔ | 367,000 | 524,821 | ||
Twitter, Inc. | ||||
0.25%, 06/15/24 144A CONV | 2,477,000 | 2,164,955 | ||
Two Harbors Investment Corporation REIT | ||||
6.25%, 01/15/22 CONV | 3,074,000 | 3,009,944 | ||
U.S. Bancorp | ||||
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27^ | 3,599,000 | 3,392,057 | ||
Verint Systems, Inc. | ||||
1.50%, 06/01/21 CONV | 5,244,000 | 5,099,182 | ||
Wayfair, Inc. | ||||
1.13%, 11/01/24 144A CONV | 1,648,000 | 1,682,013 | ||
Weatherford International, Ltd. | ||||
5.88%, 07/01/21 CONVΔ | 656,000 | 417,835 | ||
Wells Fargo & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.77%), 6.56%, 03/15/19†Δ | 3,567,000 | 3,549,165 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 144A CONVΔ | 3,795,000 | 3,084,959 | ||
Workday, Inc. | ||||
0.25%, 10/01/22 CONV | 2,783,000 | 3,414,009 | ||
Wright Medical Group, Inc. | ||||
1.63%, 06/15/23 144A CONV | 2,686,000 | 2,748,697 | ||
Zendesk, Inc. | ||||
0.25%, 03/15/23 144A CONV | 2,928,000 | 3,327,326 | ||
Zillow Group, Inc. | ||||
2.00%, 12/01/21 CONV | 917,000 | 895,660 | ||
1.50%, 07/01/23 CONVΔ | 1,825,000 | 1,576,835 | ||
Total Corporate Bonds (Cost $248,784,747) | 239,465,156 |
Table of Contents
Par | Value | |||
FOREIGN BONDS — 2.1% | ||||
France — 1.1% | ||||
AXA SA | ||||
7.25%, 05/15/21 144A CONV | $328,000 | $286,608 | ||
Cie Generale des Etablissements Michelin SCA | ||||
0.63%, 01/10/22Ω CONV | 1,400,000 | 1,279,950 | ||
TOTAL SA | ||||
0.50%, 12/02/22 CONVΔ | 3,600,000 | 3,739,914 | ||
Valeo SA | ||||
0.00%, 06/16/21Ω CONV | 2,800,000 | 2,517,200 | ||
Vinci SA | ||||
0.38%, 02/16/22 CONVΔ | 2,800,000 | 2,899,171 | ||
10,722,843 | ||||
Israel — 0.3% | ||||
Wix.com, Ltd. | ||||
0.37%, 07/01/23 144AΩ CONV | 3,559,000 | 3,376,384 | ||
Jersey — 0.0% | ||||
Ensco Jersey Finance, Ltd. | ||||
3.00%, 01/31/24 CONVΔ | 576,000 | 382,328 | ||
Netherlands — 0.6% | ||||
NXP Semiconductors NV | ||||
1.00%, 12/01/19 CONV | 1,352,000 | 1,356,064 | ||
QIAGEN NV | ||||
0.88%, 03/19/21 CONV | 1,000,000 | 1,261,250 | ||
Siemens Financieringsmaatschappij NV | ||||
1.65%, 08/16/19 CONV | 1,250,000 | 1,303,438 | ||
STMicroelectronics NV | ||||
0.25%, 07/03/24 CONV | 1,600,000 | 1,614,192 | ||
5,534,944 | ||||
United Kingdom — 0.1% | ||||
Inmarsat PLC | ||||
3.88%, 09/09/23 CONV | 1,200,000 | 1,276,425 | ||
Total Foreign Bonds (Cost $22,289,414) | 21,292,924 |
Shares | |||
EQUITY-LINKED SECURITIES — 1.3% | |||
Berkshire Hathaway Inc., Issued by Wells Fargo Bank NA, Maturity Date 01/07/19 144A | 11,000 | 2,163,040 | |
Cigna Corporation, Issued by Merrill Lynch & Co., Inc., Maturity Date 03/07/19 144A | 5,300 | 975,359 | |
Lowe's Companies, Inc., Issued by Royal Bank of Canada, Maturity Date 06/17/19 144A CONV | 10,800 | 999,432 |
Shares | Value | |||
Martin Marietta Materials, Inc., Issued by Credit Suisse AG, Maturity Date 02/20/19 144A††† | 3,300 | $611,746 | ||
Martin Marietta Materials, Inc., Issued by Credit Suisse AG, Maturity Date 03/18/19 144A††† | 5,800 | 1,039,128 | ||
Martin Marietta Materials, Inc., Issued by Credit Suisse AG, Maturity Date 04/04/19 144A††† | 5,300 | 941,534 | ||
Martin Marietta Materials, Inc., Issued by Credit Suisse AG, Maturity Date 05/14/19 144A††† | 7,200 | 1,281,053 | ||
Martin Marietta Materials, Inc., Issued by Merrill Lynch & Co., Inc., Maturity Date 06/19/19 144A††† | 5,700 | 975,726 | ||
Martin Marietta Materials, Inc., Issued by Morgan Stanley BV, Maturity Date 05/10/19 144A††† | 1,500 | 268,253 | ||
Martin Marietta Materials, Inc., Issued by Royal Bank of Canada, Maturity Date 05/09/19 144A CONV | 3,054 | 549,812 | ||
Target Corporation, Issued by Merrill Lynch & Co., Inc., Maturity Date 05/31/19 144A††† | 14,900 | 994,277 | ||
Whirlpool Corporation, Issued by Morgan Stanley BV, Maturity Date 04/11/19 144A††† | 6,500 | 720,362 | ||
Zimmer Biomet Holdings, Inc., Issued by Morgan Stanley BV, Maturity Date 03/04/19 144A††† | 12,500 | 1,371,750 | ||
Total Equity-Linked Securities (Cost $13,341,356) | 12,891,472 | |||
MONEY MARKET FUNDS — 6.3% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 31,394,720 | 31,394,720 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 30,515,443 | 30,515,443 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 2,234,711 | 2,234,711 | ||
Total Money Market Funds (Cost $64,144,874) | 64,144,874 |
Par | |||
U.S. TREASURY OBLIGATIONS — 21.1% | |||
U.S. Treasury Bills | |||
2.30%, 06/20/19Ω | $33,500,000 | 33,116,676 | |
2.36%, 07/18/19Ω | 46,040,000 | 45,418,023 | |
U.S. Treasury Notes | |||
1.50%, 01/31/19 | 10,209,300 | 10,202,597 | |
0.75%, 02/15/19 | 22,100,000 | 22,057,391 | |
1.25%, 04/30/19 | 33,900,000 | 33,766,909 | |
1.75%, 09/30/19 | 32,190,000 | 31,983,791 |
Table of Contents
Par | Value | |||
1.00%, 10/15/19 | $37,970,000 | $37,493,894 | ||
Total U.S. Treasury Obligations (Cost $214,083,226) | 214,039,281 | |||
TOTAL INVESTMENTS —103.2% (Cost $1,004,653,842) | 1,044,856,092 |
Number of Contracts | Notional Amount | ||||
WRITTEN OPTIONS — (0.2)% | |||||
Call Options — (0.0)% | |||||
S&P 500®, Strike Price $2,530.00, Expires 01/22/19 (MSCS) | (13) | $(3,258,905) | (54,340) | ||
S&P 500®, Strike Price $2,560.00, Expires 01/23/19 (MSCS) | (14) | (3,509,590) | (41,720) | ||
S&P 500®, Strike Price $2,565.00, Expires 01/18/19 (MSCS) | (13) | (3,258,905) | (32,175) | ||
S&P 500®, Strike Price $2,625.00, Expires 01/28/19 (MSCS) | (12) | (3,008,220) | (16,680) | ||
S&P 500®, Strike Price $2,630.00, Expires 01/25/19 (MSCS) | (13) | (3,258,905) | (14,885) | ||
S&P 500®, Strike Price $2,645.00, Expires 01/16/19 (MSCS) | (13) | (3,258,905) | (5,785) | ||
S&P 500®, Strike Price $2,715.00, Expires 01/14/19 (MSCS) | (13) | (3,258,905) | (747) | ||
S&P 500®, Strike Price $2,720.00, Expires 01/11/19 (MSCS) | (13) | (3,258,905) | (487) | ||
S&P 500®, Strike Price $2,750.00, Expires 01/07/19 (MSCS) | (13) | (3,258,905) | (130) | ||
S&P 500®, Strike Price $2,750.00, Expires 01/09/19 (MSCS) | (13) | (3,258,905) | (163) | ||
S&P 500®, Strike Price $2,780.00, Expires 01/04/19 (MSCS) | (13) | (3,258,905) | (65) | ||
S&P 500®, Strike Price $2,820.00, Expires 01/02/19 (MSCS) | (13) | (3,258,905) | (65) | ||
(167,242) |
Number of Contracts | Notional Amount | Value | |||
Put Options — (0.2)% | |||||
S&P 500®, Strike Price $2,210.00, Expires 01/22/19 (MSCS) | (79) | $(19,804,115) | $(37,525) | ||
S&P 500®, Strike Price $2,230.00, Expires 01/23/19 (MSCS) | (76) | (19,052,060) | (45,980) | ||
S&P 500®, Strike Price $2,280.00, Expires 01/18/19 (MSCS) | (75) | (18,801,375) | (55,500) | ||
S&P 500®, Strike Price $2,325.00, Expires 01/25/19 (MSCS) | (76) | (19,052,060) | (113,620) | ||
S&P 500®, Strike Price $2,360.00, Expires 01/28/19 (MSCS) | (73) | (18,300,005) | (150,015) | ||
S&P 500®, Strike Price $2,390.00, Expires 01/16/19 (MSCS) | (73) | (18,300,005) | (126,655) | ||
S&P 500®, Strike Price $2,470.00, Expires 01/14/19 (MSCS) | (74) | (18,550,690) | (240,130) | ||
S&P 500®, Strike Price $2,480.00, Expires 01/11/19 (MSCS) | (74) | (18,550,690) | (244,570) | ||
S&P 500®, Strike Price $2,495.00, Expires 01/07/19 (MSCS) | (73) | (18,300,005) | (201,845) | ||
S&P 500®, Strike Price $2,500.00, Expires 01/09/19 (MSCS) | (73) | (18,300,005) | (263,165) | ||
S&P 500®, Strike Price $2,515.00, Expires 01/04/19 (MSCS) | (69) | (17,297,265) | (225,285) | ||
S&P 500®, Strike Price $2,580.00, Expires 01/02/19 (MSCS) | (69) | (17,297,265) | (521,295) | ||
(2,225,585) | |||||
Total Written Options (Premiums received $(2,263,813)) | (2,392,827) | ||||
Liabilities in Excess of Other Assets — (3.0)% | (30,205,014) | ||||
NET ASSETS — 100.0% | $1,012,258,251 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/29/19 | Swiss Francs | 402,707 | U.S. Dollars | 408,580 | CS | $4,616 | ||||||
03/29/19 | Swiss Francs | 1,004,724 | U.S. Dollars | 1,028,306 | UBS | 2,588 | ||||||
03/29/19 | Euro | 250,727 | U.S. Dollars | 287,981 | CS | 1,454 | ||||||
03/29/19 | Japanese Yen | 11,771,040 | U.S. Dollars | 106,859 | BOA | 1,325 | ||||||
03/29/19 | U.S. Dollars | 360,526 | Euro | 311,658 | CS | 753 | ||||||
03/29/19 | British Pounds | 12,052 | U.S. Dollars | 15,357 | JPM | 70 | ||||||
Subtotal Appreciation | $10,806 | |||||||||||
03/29/19 | U.S. Dollars | 519,882 | British Pounds | 408,883 | JPM | (3,531) | ||||||
03/29/19 | U.S. Dollars | 817,041 | Japanese Yen | 91,173,000 | BOA | (20,903) | ||||||
03/29/19 | U.S. Dollars | 8,338,691 | Euro | 7,247,011 | CS | (27,142) | ||||||
03/29/19 | U.S. Dollars | 1,606,361 | Swedish Kronor | 14,437,914 | GSC | (34,347) | ||||||
03/29/19 | U.S. Dollars | 6,878,453 | Swiss Francs | 6,766,334 | UBS | (64,125) | ||||||
Subtotal Depreciation | $(150,048) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2018 | $(139,242) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $404,044,230 | $404,044,230 | $— | $— | |||
Corporate Bonds | 239,465,156 | — | 239,465,156 | — | |||
Equity-Linked Securities | 12,891,472 | — | 4,687,643 | 8,203,829 | |||
Foreign Bonds | 21,292,924 | — | 21,292,924 | — | |||
Foreign Common Stocks: | |||||||
Japan | 900,675 | — | 900,675 | — | |||
Sweden | 2,068,472 | — | 2,068,472 | — | |||
Switzerland | 14,850,069 | 7,885,889 | 6,964,180 | — | |||
Other^^ | 38,234,170 | 38,234,170 | — | — | |||
Total Foreign Common Stocks | 56,053,386 | 46,120,059 | 9,933,327 | — | |||
Money Market Funds | 64,144,874 | 64,144,874 | — | — | |||
Mutual Funds | 12,760,423 | 12,760,423 | — | — | |||
Preferred Stocks | 19,238,834 | 19,238,834 | — | — | |||
Synthetic Convertible Instrument | 925,512 | — | — | 925,512 | |||
U.S. Treasury Obligations | 214,039,281 | — | 214,039,281 | — | |||
Total Assets - Investments in Securities | $1,044,856,092 | $546,308,420 | $489,418,331 | $9,129,341 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $10,806 | $— | $10,806 | $— | |||
Total Assets - Other Financial Instruments | $10,806 | $ — | $10,806 | $ — | |||
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: | |||||||
Call Options | $(167,242) | $(167,242) | $— | $— | |||
Put Options | (2,225,585) | (2,225,585) | — | — | |||
Total Written Options | (2,392,827) | (2,392,827) | — | — | |||
Total Liabilities - Investments in Securities | $(2,392,827) | $(2,392,827) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(150,048) | $— | $(150,048) | $— | |||
Total Liabilities - Other Financial Instruments | $(150,048) | $ — | $(150,048) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as forwards contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Forwards Foreign Currency Contracts outstanding" disclosures. |
Table of Contents
% | |
Information Technology | 18.9 |
Health Care | 14.3 |
Financials | 12.8 |
Communication Services | 9.6 |
Consumer Discretionary | 9.3 |
Industrials | 8.8 |
Consumer Staples | 7.2 |
Money Market Funds | 5.3 |
Energy | 5.0 |
Utilities | 3.2 |
Real Estate | 2.8 |
Materials | 2.6 |
U.S. Treasury Obligations | 0.1 |
99.9 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (4.29)% | (4.55)% | (4.38)% | ||||
Five Year | 8.45% | 8.18% | 8.49% | ||||
Ten Year | 13.12% | 12.89% | 13.11% | ||||
Since Inception | 6.35% | 6.20% | 6.53% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented June 19, 2018)(1) | 0.15% | 0.41% |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 91.3% | ||||
Communication Services — 9.6% | ||||
Activision Blizzard, Inc. | 54,306 | $2,529,030 | ||
Alphabet, Inc. Class A* | 21,295 | 22,252,423 | ||
Alphabet, Inc. Class C* | 21,982 | 22,764,779 | ||
AT&T, Inc. | 531,155 | 15,159,164 | ||
CBS Corporation Class B (Non-Voting Shares) | 22,958 | 1,003,724 | ||
CenturyLink, Inc. | 81,484 | 1,234,483 | ||
Charter Communications, Inc. Class A* | 13,277 | 3,783,547 | ||
Comcast Corporation Class A | 334,301 | 11,382,949 | ||
Discovery, Inc. Class AΔ* | 27,796 | 687,673 | ||
Discovery, Inc. Class C* | 15,921 | 367,457 | ||
DISH Network Corporation Class A* | 18,408 | 459,648 | ||
Electronic Arts, Inc.* | 25,211 | 1,989,400 | ||
Facebook, Inc. Class A* | 172,402 | 22,600,178 | ||
Interpublic Group of Cos., Inc. (The) | 17,812 | 367,462 | ||
Netflix, Inc.* | 30,896 | 8,269,623 | ||
News Corporation Class A | 13,865 | 157,368 | ||
News Corporation Class B | 13,984 | 161,515 | ||
Omnicom Group, Inc.Δ | 20,889 | 1,529,910 | ||
Take-Two Interactive Software, Inc.* | 10,102 | 1,039,900 | ||
TripAdvisor, Inc.Δ* | 4,311 | 232,535 | ||
Twenty-First Century Fox, Inc. Class A | 84,678 | 4,074,705 | ||
Twenty-First Century Fox, Inc. Class B | 27,297 | 1,304,251 | ||
Twitter, Inc.* | 41,260 | 1,185,812 | ||
Verizon Communications, Inc. | 302,532 | 17,008,349 | ||
Walt Disney Co. (The) | 110,738 | 12,142,422 | ||
153,688,307 | ||||
Consumer Discretionary — 9.2% | ||||
Advance Auto Parts, Inc. | 6,948 | 1,094,032 | ||
Amazon.com, Inc.* | 29,181 | 43,828,987 | ||
AutoZone, Inc.* | 2,011 | 1,685,902 | ||
Best Buy Co., Inc. | 15,833 | 838,516 | ||
Booking Holdings, Inc.* | 3,419 | 5,888,954 | ||
BorgWarner, Inc. | 6,279 | 218,132 | ||
CarMax, Inc.Δ* | 16,274 | 1,020,868 | ||
Carnival Corporation | 30,713 | 1,514,151 | ||
Chipotle Mexican Grill, Inc.* | 1,449 | 625,664 | ||
D.R. Horton, Inc. | 12,145 | 420,946 | ||
Darden Restaurants, Inc. | 6,841 | 683,142 | ||
Dollar General Corporation | 23,558 | 2,546,149 | ||
Dollar Tree, Inc.* | 18,243 | 1,647,708 | ||
eBay, Inc.* | 59,500 | 1,670,165 | ||
Expedia Group, Inc. | 10,462 | 1,178,544 | ||
Foot Locker, Inc. | 5,069 | 269,671 | ||
Ford Motor Co. | 395,246 | 3,023,632 | ||
Gap, Inc. (The) | 8,085 | 208,270 | ||
General Motors Co. | 106,950 | 3,577,477 | ||
Genuine Parts Co. | 12,313 | 1,182,294 | ||
Goodyear Tire & Rubber Co. (The) | 7,868 | 160,586 | ||
H&R Block, Inc. | 8,300 | 210,571 | ||
Hanesbrands, Inc.Δ | 14,216 | 178,126 | ||
Harley-Davidson, Inc.Δ | 8,982 | 306,466 | ||
Hasbro, Inc.Δ | 10,784 | 876,200 |
Shares | Value | |||
Hilton Worldwide Holdings, Inc. | 25,822 | $1,854,020 | ||
Home Depot, Inc. (The) | 82,780 | 14,223,260 | ||
Kohl’s CorporationΔ | 15,822 | 1,049,631 | ||
L Brands, Inc. | 9,448 | 242,530 | ||
Leggett & Platt, Inc.Δ | 4,991 | 178,877 | ||
Lennar Corporation Class A | 21,185 | 829,393 | ||
LKQ Corporation* | 11,558 | 274,271 | ||
Lowe’s Cos., Inc. | 58,190 | 5,374,428 | ||
Macy’s, Inc.Δ | 25,359 | 755,191 | ||
Marriott International, Inc. Class A | 24,143 | 2,620,964 | ||
Mattel, Inc.Δ* | 19,187 | 191,678 | ||
McDonald’s Corporation | 57,783 | 10,260,527 | ||
Michael Kors Holdings, Ltd.* | 14,032 | 532,093 | ||
Mohawk Industries, Inc.* | 2,387 | 279,183 | ||
Newell Brands, Inc. | 39,118 | 727,204 | ||
NIKE, Inc. Class B | 90,528 | 6,711,746 | ||
Nordstrom, Inc.Δ | 4,745 | 221,164 | ||
Norwegian Cruise Line Holdings, Ltd.* | 15,478 | 656,112 | ||
O’Reilly Automotive, Inc.* | 4,833 | 1,664,147 | ||
PulteGroup, Inc.Δ | 11,415 | 296,676 | ||
PVH Corporation | 2,959 | 275,039 | ||
Ralph Lauren Corporation | 2,058 | 212,921 | ||
Ross Stores, Inc. | 22,219 | 1,848,621 | ||
Royal Caribbean Cruises, Ltd. | 10,700 | 1,046,353 | ||
Starbucks Corporation | 94,517 | 6,086,895 | ||
Tapestry, Inc. | 24,199 | 816,716 | ||
Target Corporation | 41,380 | 2,734,804 | ||
Tiffany & Co.Δ | 9,641 | 776,197 | ||
TJX Cos., Inc. (The) | 90,590 | 4,052,997 | ||
Tractor Supply Co. | 4,911 | 409,774 | ||
Ulta Beauty, Inc.Δ* | 3,840 | 940,186 | ||
Under Armour, Inc. Class AΔ* | 4,310 | 76,158 | ||
Under Armour, Inc. Class CΔ* | 9,410 | 152,160 | ||
VF Corporation | 27,573 | 1,967,058 | ||
Whirlpool CorporationΔ | 2,806 | 299,877 | ||
Yum! Brands, Inc. | 23,522 | 2,162,142 | ||
147,656,146 | ||||
Consumer Staples — 7.2% | ||||
Archer-Daniels-Midland Co. | 58,262 | 2,386,994 | ||
Campbell Soup Co.Δ | 28,952 | 955,126 | ||
Church & Dwight Co., Inc.Δ | 27,416 | 1,802,876 | ||
Clorox Co. (The) | 10,276 | 1,583,943 | ||
Coca-Cola Co. (The) | 369,705 | 17,505,532 | ||
Colgate-Palmolive Co. | 85,113 | 5,065,926 | ||
Conagra Brands, Inc. | 41,499 | 886,419 | ||
Costco Wholesale Corporation | 30,186 | 6,149,190 | ||
Coty, Inc. Class AΔ | 30,795 | 202,015 | ||
Estee Lauder Cos., Inc. (The) Class A | 16,595 | 2,159,010 | ||
General Mills, Inc. | 62,909 | 2,449,676 | ||
Hershey Co. (The) | 15,496 | 1,660,861 | ||
Hormel Foods CorporationΔ | 31,661 | 1,351,291 | ||
J.M. Smucker Co. (The) | 10,457 | 977,625 | ||
Kellogg Co. | 23,889 | 1,361,912 | ||
Kimberly-Clark Corporation | 31,736 | 3,616,000 | ||
Kraft Heinz Co. (The) | 59,406 | 2,556,834 | ||
Kroger Co. (The) | 64,489 | 1,773,448 |
Table of Contents
Shares | Value | |||
Lamb Weston Holdings, Inc. | 10,520 | $773,851 | ||
McCormick & Co., Inc. (Non-Voting Shares)Δ | 12,700 | 1,768,348 | ||
Mondelez International, Inc. Class A | 123,970 | 4,962,519 | ||
Monster Beverage Corporation* | 46,680 | 2,297,590 | ||
PepsiCo, Inc. | 124,871 | 13,795,748 | ||
Procter & Gamble Co. (The) | 199,151 | 18,305,960 | ||
Sysco Corporation | 34,878 | 2,185,456 | ||
Tyson Foods, Inc. Class A | 35,391 | 1,889,879 | ||
Walgreens Boots Alliance, Inc. | 61,239 | 4,184,461 | ||
Walmart, Inc. | 102,675 | 9,564,176 | ||
114,172,666 | ||||
Energy — 4.7% | ||||
Anadarko Petroleum Corporation | 33,918 | 1,486,965 | ||
Apache CorporationΔ | 23,559 | 618,424 | ||
Archrock, Inc. | 13 | 97 | ||
Baker Hughes a GE Co. | 19,911 | 428,087 | ||
Cabot Oil & Gas CorporationΔ | 17,428 | 389,516 | ||
Chevron Corporation | 140,169 | 15,248,986 | ||
Cimarex Energy Co.Δ | 3,553 | 219,042 | ||
Concho Resources, Inc.Δ* | 15,869 | 1,631,175 | ||
ConocoPhillips | 82,651 | 5,153,290 | ||
Devon Energy Corporation | 38,557 | 869,075 | ||
Diamondback Energy, Inc.Δ | 10,890 | 1,009,503 | ||
EOG Resources, Inc. | 40,407 | 3,523,895 | ||
Exterran Corporation* | 6 | 106 | ||
Exxon Mobil Corporation | 306,343 | 20,889,529 | ||
Halliburton Co. | 74,621 | 1,983,426 | ||
Helmerich & Payne, Inc.Δ | 4,961 | 237,830 | ||
Hess CorporationΔ | 11,305 | 457,853 | ||
HollyFrontier Corporation | 10,771 | 550,614 | ||
Kinder Morgan, Inc. | 127,923 | 1,967,456 | ||
Marathon Oil Corporation | 69,854 | 1,001,706 | ||
Marathon Petroleum Corporation | 43,315 | 2,556,018 | ||
National Oilwell Varco, Inc. | 32,684 | 839,979 | ||
Newfield Exploration Co.Δ* | 7,387 | 108,293 | ||
Noble Energy, Inc. | 40,915 | 767,565 | ||
Occidental Petroleum Corporation | 56,890 | 3,491,908 | ||
ONEOK, Inc. | 27,351 | 1,475,586 | ||
Phillips 66 | 31,961 | 2,753,440 | ||
Pioneer Natural Resources Co. | 11,479 | 1,509,718 | ||
Valero Energy Corporation | 31,110 | 2,332,317 | ||
Williams Cos., Inc. (The) | 96,309 | 2,123,613 | ||
75,625,012 | ||||
Financials — 12.3% | ||||
Affiliated Managers Group, Inc. | 2,010 | 195,854 | ||
Aflac, Inc. | 66,659 | 3,036,984 | ||
Allstate Corporation (The) | 25,109 | 2,074,757 | ||
American Express Co. | 47,721 | 4,548,766 | ||
American International Group, Inc. | 67,569 | 2,662,894 | ||
Ameriprise Financial, Inc. | 10,894 | 1,137,007 | ||
Arthur J. Gallagher & Co. | 8,294 | 611,268 | ||
Assurant, Inc. | 2,341 | 209,379 | ||
Bank of America Corporation | 672,167 | 16,562,195 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 3,434,557 |
Shares | Value | |||
BB&T Corporation | 59,156 | $2,562,638 | ||
Berkshire Hathaway, Inc. Class B* | 143,070 | 29,212,033 | ||
BlackRock, Inc. | 9,421 | 3,700,757 | ||
Brighthouse Financial, Inc.Δ* | 4,017 | 122,438 | ||
Capital One Financial Corporation | 34,907 | 2,638,620 | ||
Cboe Global Markets, Inc. | 8,664 | 847,599 | ||
Charles Schwab Corporation (The) | 84,796 | 3,521,578 | ||
Cincinnati Financial Corporation | 5,441 | 421,242 | ||
Citigroup, Inc. | 179,525 | 9,346,071 | ||
Citizens Financial Group, Inc. | 37,570 | 1,116,956 | ||
CME Group, Inc. | 25,128 | 4,727,079 | ||
Comerica, Inc. | 6,388 | 438,792 | ||
Discover Financial Services | 17,665 | 1,041,882 | ||
E*TRADE Financial Corporation | 10,478 | 459,775 | ||
Everest Re Group, Ltd. | 3,173 | 690,952 | ||
Fifth Third Bancorp | 52,084 | 1,225,537 | ||
First Republic Bank | 11,885 | 1,032,806 | ||
Franklin Resources, Inc.Δ | 13,630 | 404,266 | ||
Goldman Sachs Group, Inc. (The) | 27,330 | 4,565,476 | ||
Hartford Financial Services Group, Inc. (The) | 28,747 | 1,277,804 | ||
Huntington Bancshares, Inc. | 83,830 | 999,254 | ||
Intercontinental Exchange, Inc. | 43,068 | 3,244,312 | ||
Invesco, Ltd. | 43,478 | 727,822 | ||
Jefferies Financial Group, Inc. | 12,259 | 212,816 | ||
JPMorgan Chase & Co. | 242,398 | 23,662,893 | ||
KeyCorp | 64,549 | 954,034 | ||
Lincoln National Corporation | 19,455 | 998,236 | ||
Loews Corporation | 12,502 | 569,091 | ||
M&T Bank Corporation | 10,059 | 1,439,745 | ||
Marsh & McLennan Cos., Inc. | 39,915 | 3,183,221 | ||
MetLife, Inc.Δ | 79,589 | 3,267,924 | ||
Moody’s Corporation | 11,483 | 1,608,079 | ||
Morgan Stanley | 104,741 | 4,152,981 | ||
MSCI, Inc. | 3,800 | 560,234 | ||
Nasdaq, Inc. | 4,269 | 348,222 | ||
Northern Trust Corporation | 14,249 | 1,191,074 | ||
People’s United Financial, Inc.Δ | 11,480 | 165,656 | ||
PNC Financial Services Group, Inc. (The) | 34,137 | 3,990,957 | ||
Principal Financial Group, Inc. | 22,421 | 990,336 | ||
Progressive Corporation (The) | 45,104 | 2,721,124 | ||
Prudential Financial, Inc. | 36,128 | 2,946,238 | ||
Raymond James Financial, Inc. | 9,228 | 686,655 | ||
Regions Financial Corporation | 83,579 | 1,118,287 | ||
S&P Global, Inc. | 17,423 | 2,960,865 | ||
State Street Corporation | 30,870 | 1,946,971 | ||
SunTrust Banks, Inc. | 27,922 | 1,408,386 | ||
SVB Financial Group* | 2,215 | 420,673 | ||
Synchrony Financial | 55,655 | 1,305,666 | ||
T. Rowe Price Group, Inc. | 15,490 | 1,430,037 | ||
Torchmark Corporation | 4,186 | 311,983 | ||
Travelers Cos., Inc. (The) | 21,004 | 2,515,229 | ||
U.S. Bancorp | 112,230 | 5,128,911 | ||
Unum Group | 8,642 | 253,902 | ||
Wells Fargo & Co. | 312,008 | 14,377,329 |
Table of Contents
Shares | Value | |||
Zions Bancorp NA | 7,446 | $303,350 | ||
195,930,455 | ||||
Health Care — 13.6% | ||||
Abbott Laboratories | 130,990 | 9,474,507 | ||
AbbVie, Inc. | 113,332 | 10,448,077 | ||
ABIOMED, Inc.* | 2,766 | 899,061 | ||
Agilent Technologies, Inc. | 32,843 | 2,215,589 | ||
Alexion Pharmaceuticals, Inc.* | 22,317 | 2,172,783 | ||
Align Technology, Inc.* | 8,080 | 1,692,194 | ||
Amgen, Inc. | 54,317 | 10,573,890 | ||
Anthem, Inc. | 19,854 | 5,214,256 | ||
Baxter International, Inc. | 41,154 | 2,708,756 | ||
Becton, Dickinson and Co. | 20,264 | 4,565,884 | ||
Biogen, Inc.* | 15,872 | 4,776,202 | ||
Boston Scientific Corporation* | 100,221 | 3,541,810 | ||
Bristol-Myers Squibb Co. | 154,349 | 8,023,061 | ||
Cardinal Health, Inc. | 27,527 | 1,227,704 | ||
Celgene Corporation* | 57,184 | 3,664,923 | ||
Centene Corporation* | 21,048 | 2,426,834 | ||
Cerner Corporation* | 28,126 | 1,474,927 | ||
Cigna Corporation | 29,324 | 5,569,146 | ||
CVS Health Corporation | 98,471 | 6,451,820 | ||
Danaher Corporation | 49,319 | 5,085,775 | ||
DaVita, Inc.* | 8,768 | 451,201 | ||
DENTSPLY SIRONA, Inc. | 26,241 | 976,428 | ||
Edwards Lifesciences CorporationΔ* | 19,109 | 2,926,926 | ||
Eli Lilly & Co. | 106,010 | 12,267,477 | ||
Gilead Sciences, Inc. | 105,608 | 6,605,780 | ||
HCA Healthcare, Inc. | 23,088 | 2,873,302 | ||
Henry Schein, Inc.Δ* | 11,738 | 921,668 | ||
Hologic, Inc.* | 29,305 | 1,204,436 | ||
Humana, Inc. | 10,819 | 3,099,427 | ||
IDEXX Laboratories, Inc.* | 8,626 | 1,604,609 | ||
Illumina, Inc.* | 10,930 | 3,278,235 | ||
Incyte Corporation* | 16,895 | 1,074,353 | ||
Intuitive Surgical, Inc.* | 9,533 | 4,565,544 | ||
IQVIA Holdings, Inc.* | 11,516 | 1,337,814 | ||
Johnson & Johnson | 220,415 | 28,444,556 | ||
Laboratory Corporation of America Holdings* | 7,436 | 939,613 | ||
McKesson Corporation | 13,930 | 1,538,847 | ||
Mettler-Toledo International, Inc.* | 2,187 | 1,236,923 | ||
Nektar TherapeuticsΔ* | 13,647 | 448,577 | ||
PerkinElmer, Inc. | 11,320 | 889,186 | ||
Quest Diagnostics, Inc. | 16,017 | 1,333,736 | ||
Regeneron Pharmaceuticals, Inc.* | 6,974 | 2,604,789 | ||
ResMed, Inc. | 11,820 | 1,345,943 | ||
Stryker Corporation | 23,247 | 3,643,967 | ||
Thermo Fisher Scientific, Inc. | 31,917 | 7,142,705 | ||
UnitedHealth Group, Inc. | 70,529 | 17,570,185 | ||
Universal Health Services, Inc. Class B | 9,989 | 1,164,318 | ||
Varian Medical Systems, Inc.* | 9,565 | 1,083,810 | ||
Vertex Pharmaceuticals, Inc.* | 21,434 | 3,551,828 | ||
Waters Corporation* | 6,921 | 1,305,647 | ||
WellCare Health Plans, Inc.* | 4,802 | 1,133,704 | ||
Zimmer Biomet Holdings, Inc. | 14,341 | 1,487,449 |
Shares | Value | |||
Zoetis, Inc. | 61,616 | $5,270,633 | ||
217,530,815 | ||||
Industrials — 8.3% | ||||
3M Co. | 41,768 | 7,958,475 | ||
A.O. Smith Corporation | 16,217 | 692,466 | ||
Alaska Air Group, Inc.Δ | 5,031 | 306,136 | ||
American Airlines Group, Inc.Δ | 38,478 | 1,235,529 | ||
AMETEK, Inc. | 16,745 | 1,133,637 | ||
Arconic, Inc. | 16,474 | 277,752 | ||
Boeing Co. (The) | 38,251 | 12,335,947 | ||
C.H. Robinson Worldwide, Inc. | 12,459 | 1,047,677 | ||
Caterpillar, Inc. | 42,426 | 5,391,072 | ||
Cintas CorporationΔ | 6,438 | 1,081,520 | ||
Copart, Inc.Δ* | 8,500 | 406,130 | ||
CSX Corporation | 58,186 | 3,615,096 | ||
Cummins, Inc. | 10,680 | 1,427,275 | ||
Deere & Co. | 22,646 | 3,378,104 | ||
Delta Air Lines, Inc. | 48,129 | 2,401,637 | ||
Dover Corporation | 13,712 | 972,866 | ||
Emerson Electric Co. | 47,350 | 2,829,162 | ||
Equifax, Inc. | 8,312 | 774,097 | ||
Expeditors International of Washington, Inc. | 6,818 | 464,238 | ||
Fastenal Co.Δ | 18,002 | 941,325 | ||
FedEx Corporation | 17,757 | 2,864,737 | ||
Flowserve CorporationΔ | 4,858 | 184,701 | ||
Fluor Corporation | 5,110 | 164,542 | ||
Fortive Corporation | 19,215 | 1,300,087 | ||
Fortune Brands Home & Security, Inc. | 18,870 | 716,871 | ||
General Dynamics Corporation | 20,407 | 3,208,184 | ||
General Electric Co.Δ | 624,860 | 4,730,190 | ||
Harris Corporation | 8,888 | 1,196,769 | ||
Honeywell International, Inc. | 52,209 | 6,897,853 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 533,820 | ||
IHS Markit, Ltd.* | 26,223 | 1,257,917 | ||
Illinois ToolWorks, Inc. | 22,337 | 2,829,875 | ||
J.B. Hunt Transport Services, Inc. | 3,269 | 304,148 | ||
Jacobs Engineering Group, Inc. | 4,647 | 271,664 | ||
Kansas City Southern | 10,006 | 955,073 | ||
L3 Technologies, Inc.Δ | 6,087 | 1,057,068 | ||
Lockheed Martin Corporation | 18,207 | 4,767,321 | ||
Masco Corporation | 31,887 | 932,376 | ||
Norfolk Southern Corporation | 19,839 | 2,966,724 | ||
Northrop Grumman Corporation | 12,728 | 3,117,087 | ||
PACCAR, Inc. | 22,794 | 1,302,449 | ||
Parker-Hannifin Corporation | 8,815 | 1,314,669 | ||
Quanta Services, Inc. | 5,431 | 163,473 | ||
Raytheon Co. | 21,046 | 3,227,404 | ||
Republic Services, Inc. | 19,655 | 1,416,929 | ||
Robert Half International, Inc. | 4,920 | 281,424 | ||
Rockwell Automation, Inc. | 8,494 | 1,278,177 | ||
Roper Technologies, Inc. | 6,043 | 1,610,580 | ||
Snap-on, Inc. | 5,899 | 857,066 | ||
Southwest Airlines Co. | 36,781 | 1,709,581 | ||
Stanley Black & Decker, Inc. | 10,352 | 1,239,548 | ||
Textron, Inc. | 19,700 | 906,003 |
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Shares | Value | |||
TransDigm Group, Inc.* | 3,870 | $1,316,032 | ||
Union Pacific Corporation | 53,368 | 7,377,059 | ||
United Continental Holdings, Inc.* | 12,532 | 1,049,304 | ||
United Parcel Service, Inc. Class B | 50,421 | 4,917,560 | ||
United Rentals, Inc.* | 7,513 | 770,308 | ||
United Technologies Corporation | 59,353 | 6,319,907 | ||
Verisk Analytics, Inc.* | 12,729 | 1,387,970 | ||
W.W. Grainger, Inc.Δ | 3,321 | 937,718 | ||
Waste Management, Inc. | 33,085 | 2,944,234 | ||
Xylem, Inc. | 6,524 | 435,281 | ||
131,689,824 | ||||
Information Technology — 18.4% | ||||
Adobe, Inc.* | 34,038 | 7,700,757 | ||
Advanced Micro Devices, Inc.Δ* | 52,740 | 973,580 | ||
Akamai Technologies, Inc.* | 6,606 | 403,494 | ||
Alliance Data Systems Corporation | 2,399 | 360,042 | ||
Amphenol Corporation Class A | 18,535 | 1,501,706 | ||
Analog Devices, Inc.Δ | 29,267 | 2,511,987 | ||
ANSYS, Inc.Δ* | 3,168 | 452,834 | ||
Apple, Inc. | 328,365 | 51,796,295 | ||
Applied Materials, Inc. | 77,376 | 2,533,290 | ||
Arista Networks, Inc.* | 4,638 | 977,227 | ||
Autodesk, Inc.* | 12,971 | 1,668,200 | ||
Automatic Data Processing, Inc. | 32,517 | 4,263,629 | ||
Broadcom, Inc. | 31,170 | 7,925,908 | ||
Broadridge Financial Solutions, Inc. | 6,807 | 655,174 | ||
Cadence Design Systems, Inc.* | 11,000 | 478,280 | ||
Cisco Systems, Inc. | 330,553 | 14,322,861 | ||
Citrix Systems, Inc. | 6,597 | 675,929 | ||
Cognizant Technology Solutions Corporation Class A | 43,559 | 2,765,125 | ||
Corning, Inc. | 59,799 | 1,806,528 | ||
DXC Technology Co. | 18,725 | 995,608 | ||
F5 Networks, Inc.* | 2,480 | 401,834 | ||
Fidelity National Information Services, Inc. | 26,656 | 2,733,573 | ||
Fiserv, Inc.* | 26,681 | 1,960,787 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,161,493 | ||
FLIR Systems, Inc. | 5,180 | 225,537 | ||
Gartner, Inc.* | 3,738 | 477,866 | ||
Global Payments, Inc. | 11,780 | 1,214,871 | ||
Hewlett Packard Enterprise Co. | 113,804 | 1,503,351 | ||
HP, Inc. | 132,336 | 2,707,595 | ||
Intel Corporation | 331,025 | 15,535,003 | ||
International Business Machines Corporation | 69,494 | 7,899,383 | ||
Intuit, Inc. | 17,914 | 3,526,371 | ||
Jack Henry & Associates, Inc. | 5,530 | 699,656 | ||
Juniper Networks, Inc. | 15,019 | 404,161 | ||
Keysight Technologies, Inc.* | 13,420 | 833,114 | ||
KLA-Tencor Corporation | 9,794 | 876,465 | ||
Lam Research Corporation | 10,705 | 1,457,700 | ||
Mastercard, Inc. Class A | 64,969 | 12,256,402 | ||
Maxim Integrated Products, Inc.Δ | 19,970 | 1,015,475 | ||
Microchip Technology, Inc.Δ | 16,977 | 1,220,986 | ||
Micron Technology, Inc.* | 84,017 | 2,665,859 | ||
Microsoft Corporation | 549,834 | 55,846,639 |
Shares | Value | |||
Motorola Solutions, Inc. | 13,048 | $1,501,042 | ||
NetApp, Inc. | 21,788 | 1,300,090 | ||
NVIDIA Corporation | 43,187 | 5,765,464 | ||
Oracle Corporation | 205,823 | 9,292,908 | ||
Paychex, Inc. | 23,112 | 1,505,747 | ||
PayPal Holdings, Inc.* | 83,736 | 7,041,360 | ||
Qorvo, Inc.* | 4,807 | 291,929 | ||
QUALCOMM, Inc. | 86,501 | 4,922,772 | ||
Red Hat, Inc.* | 10,450 | 1,835,438 | ||
salesforce.com, Inc.* | 52,180 | 7,147,095 | ||
Skyworks Solutions, Inc. | 15,074 | 1,010,259 | ||
Symantec Corporation | 47,298 | 893,696 | ||
Synopsys, Inc.* | 5,492 | 462,646 | ||
Texas Instruments, Inc. | 69,952 | 6,610,464 | ||
Total System Services, Inc. | 13,565 | 1,102,699 | ||
VeriSign, Inc.* | 7,867 | 1,166,597 | ||
Visa, Inc. Class AΔ | 128,789 | 16,992,421 | ||
Western Digital Corporation | 24,973 | 923,252 | ||
Western Union Co. (The) | 21,787 | 371,686 | ||
Xerox Corporation | 11,464 | 226,529 | ||
Xilinx, Inc. | 18,364 | 1,564,062 | ||
293,320,731 | ||||
Materials — 2.0% | ||||
Air Products & Chemicals, Inc. | 14,726 | 2,356,896 | ||
Albemarle CorporationΔ | 5,038 | 388,279 | ||
Avery Dennison Corporation | 3,272 | 293,924 | ||
Ball Corporation | 26,240 | 1,206,515 | ||
Celanese Corporation | 9,582 | 862,093 | ||
CF Industries Holdings, Inc. | 10,281 | 447,326 | ||
DowDuPont, Inc. | 165,657 | 8,859,336 | ||
Eastman Chemical Co. | 14,389 | 1,051,980 | ||
Ecolab, Inc. | 18,944 | 2,791,398 | ||
FMC CorporationΔ | 5,397 | 399,162 | ||
Freeport-McMoRan, Inc. | 85,590 | 882,433 | ||
International Flavors & Fragrances, Inc. | 3,799 | 510,092 | ||
International Paper Co. | 30,010 | 1,211,204 | ||
Martin Marietta Materials, Inc.Δ | 5,969 | 1,025,892 | ||
Mosaic Co. (The) | 16,259 | 474,925 | ||
Newmont Mining Corporation | 46,126 | 1,598,266 | ||
Nucor Corporation | 22,789 | 1,180,698 | ||
Packaging Corporation of America | 3,120 | 260,395 | ||
PPG Industries, Inc. | 18,443 | 1,885,428 | ||
Sealed Air CorporationΔ | 10,710 | 373,136 | ||
Sherwin-Williams Co. (The) | 6,348 | 2,497,684 | ||
Vulcan Materials Co. | 11,222 | 1,108,734 | ||
WestRock Co.Δ | 21,818 | 823,848 | ||
32,489,644 | ||||
Real Estate — 2.8% | ||||
Alexandria Real Estate Equities, Inc. REIT | 3,214 | 370,381 | ||
American Tower Corporation REIT | 31,527 | 4,987,256 | ||
Apartment Investment & Management Co. Class A REIT | 5,951 | 261,130 | ||
AvalonBay Communities, Inc. REIT | 9,934 | 1,729,013 | ||
Boston Properties, Inc. REIT | 11,272 | 1,268,664 |
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Shares | Value | |||
CBRE Group, Inc. Class A* | 26,915 | $1,077,677 | ||
Crown Castle International Corporation REIT | 30,379 | 3,300,071 | ||
Digital Realty Trust, Inc. REITΔ | 13,205 | 1,406,993 | ||
Duke Realty Corporation REIT | 32,547 | 842,967 | ||
Equinix, Inc. REIT | 5,188 | 1,829,081 | ||
Equity Residential REIT | 24,996 | 1,649,986 | ||
Essex Property Trust, Inc. REIT | 5,627 | 1,379,797 | ||
Extra Space Storage, Inc. REIT | 4,684 | 423,808 | ||
Federal Realty Investment Trust REIT | 2,600 | 306,904 | ||
HCP, Inc. REIT | 46,597 | 1,301,454 | ||
Host Hotels & Resorts, Inc. REIT | 47,435 | 790,741 | ||
Iron Mountain, Inc. REIT | 20,523 | 665,150 | ||
Kimco Realty Corporation REIT | 56,971 | 834,625 | ||
Macerich Co. (The) REITΔ | 4,614 | 199,694 | ||
Mid-America Apartment Communities, Inc. REIT | 4,060 | 388,542 | ||
Prologis, Inc. REIT | 48,593 | 2,853,381 | ||
Public Storage REIT | 13,141 | 2,659,870 | ||
Realty Income Corporation REITΔ | 23,830 | 1,502,243 | ||
Regency Centers Corporation REIT | 15,104 | 886,303 | ||
SBA Communications Corporation REIT* | 9,082 | 1,470,285 | ||
Simon Property Group, Inc. REIT | 23,980 | 4,028,400 | ||
SL Green Realty Corporation REIT | 3,720 | 294,178 | ||
UDR, Inc. REIT | 11,107 | 440,059 | ||
Ventas, Inc. REIT | 33,547 | 1,965,519 | ||
Vornado Realty Trust REIT | 15,993 | 992,046 | ||
Welltower, Inc. REIT | 27,025 | 1,875,805 | ||
Weyerhaeuser Co. REIT | 49,383 | 1,079,512 | ||
45,061,535 | ||||
Utilities — 3.2% | ||||
AES Corporation | 56,201 | 812,667 | ||
Alliant Energy CorporationΔ | 6,500 | 274,625 | ||
Ameren Corporation | 19,884 | 1,297,033 | ||
American Electric Power Co., Inc. | 43,060 | 3,218,304 | ||
American Water Works Co., Inc. | 16,565 | 1,503,605 | ||
CenterPoint Energy, Inc. | 32,201 | 909,034 | ||
CMS Energy Corporation | 24,417 | 1,212,304 | ||
Consolidated Edison, Inc. | 33,879 | 2,590,388 | ||
Dominion Energy, Inc. | 52,232 | 3,732,499 | ||
DTE Energy Co. | 15,525 | 1,712,408 | ||
Duke Energy Corporation | 60,096 | 5,186,285 | ||
Edison International | 25,039 | 1,421,464 | ||
Entergy Corporation | 9,511 | 818,612 | ||
Evergy, Inc. | 11,885 | 674,712 | ||
Eversource Energy | 22,827 | 1,484,668 | ||
Exelon Corporation | 74,076 | 3,340,828 | ||
FirstEnergy CorporationΔ | 24,029 | 902,289 | ||
NextEra Energy, Inc.Δ | 33,860 | 5,885,545 | ||
NiSource, Inc. | 23,079 | 585,053 | ||
NRG Energy, Inc. | 11,763 | 465,815 | ||
PG&E Corporation* | 31,399 | 745,726 | ||
Pinnacle West Capital Corporation | 4,108 | 350,002 |
Shares | Value | |||
PPL Corporation | 51,392 | $1,455,935 | ||
Public Service Enterprise Group, Inc. | 33,207 | 1,728,424 | ||
SCANA Corporation | 5,221 | 249,459 | ||
Sempra EnergyΔ | 17,215 | 1,862,491 | ||
Southern Co. (The) | 81,308 | 3,571,047 | ||
WEC Energy Group, Inc.Δ | 28,327 | 1,961,928 | ||
Xcel Energy, Inc. | 35,982 | 1,772,833 | ||
51,725,983 | ||||
Total Common Stocks (Cost $1,267,247,815) | 1,458,891,118 | |||
FOREIGN COMMON STOCKS — 3.2% | ||||
Curacao — 0.2% | ||||
Schlumberger, Ltd. | 98,897 | 3,568,204 | ||
Ireland — 1.9% | ||||
Accenture PLC Class A | 46,917 | 6,615,766 | ||
Allegion PLC | 11,277 | 898,889 | ||
Eaton Corporation PLC | 34,612 | 2,376,460 | ||
Ingersoll-Rand PLC | 16,206 | 1,478,473 | ||
Johnson Controls International PLC | 75,803 | 2,247,559 | ||
Linde PLC | 39,259 | 6,125,974 | ||
Medtronic PLC | 101,358 | 9,219,524 | ||
Pentair PLC | 6,692 | 252,824 | ||
Seagate Technology PLCΔ | 16,681 | 643,720 | ||
Willis Towers Watson PLC | 6,037 | 916,779 | ||
30,775,968 | ||||
Jersey — 0.1% | ||||
Aptiv PLC | 15,022 | 924,905 | ||
Netherlands — 0.3% | ||||
LyondellBasell Industries NV Class A | 27,312 | 2,271,266 | ||
Mylan NV* | 72,661 | 1,990,911 | ||
4,262,177 | ||||
Switzerland — 0.4% | ||||
Chubb, Ltd. | 35,583 | 4,596,612 | ||
Garmin, Ltd. | 4,430 | 280,508 | ||
TE Connectivity, Ltd. | 28,610 | 2,163,774 | ||
7,040,894 | ||||
United Kingdom — 0.3% | ||||
Aon PLC | 19,060 | 2,770,562 | ||
Nielsen Holdings PLC | 40,749 | 950,674 | ||
TechnipFMC PLC | 23,072 | 451,750 | ||
4,172,986 | ||||
Total Foreign Common Stocks (Cost $53,187,199) | 50,745,134 | |||
MONEY MARKET FUNDS — 5.3% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 83,664,332 | 83,664,332 |
Table of Contents
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 1,647,492 | $1,647,492 | ||
Total Money Market Funds (Cost $85,311,824) | 85,311,824 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $2,177,454) | $2,200,000 | 2,178,101 | |
TOTAL INVESTMENTS —99.9% (Cost $1,407,924,292) | 1,597,126,177 | ||
Other Assets in Excess of Liabilities — 0.1% | 1,330,956 | ||
NET ASSETS — 100.0% | $1,598,457,133 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2019 | 671 | $84,048,590 | $(1,421,472) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,458,891,118 | $1,458,891,118 | $— | $— | |||
Foreign Common Stocks | 50,745,134 | 50,745,134 | — | — | |||
Money Market Funds | 85,311,824 | 85,311,824 | — | — | |||
U.S. Treasury Obligation | 2,178,101 | — | 2,178,101 | — | |||
Total Assets - Investments in Securities | $1,597,126,177 | $1,594,948,076 | $2,178,101 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(1,421,472) | $(1,421,472) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(1,421,472) | $(1,421,472) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
Financials | 21.0 |
Health Care | 16.5 |
Information Technology | 11.2 |
Energy | 10.0 |
Industrials | 9.1 |
Communication Services | 6.3 |
Consumer Discretionary | 6.2 |
Consumer Staples | 5.1 |
Money Market Funds | 4.7 |
Utilities | 4.6 |
Materials | 4.4 |
Real Estate | 1.6 |
U.S. Treasury Obligation | 0.2 |
100.9 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (10.97)% | (11.19)% | (8.27)% | ||||
Five Year | 4.68% | 4.41% | 5.94% | ||||
Ten Year | 10.80% | 10.55% | 11.17% | ||||
Since Inception | 6.01% | 5.74% | 6.43% | ||||
Inception Date | 8/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 0.58% | 0.84% |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 87.3% | ||||
Communication Services — 6.3% | ||||
Alphabet, Inc. Class A* | 3,674 | $3,839,183 | ||
AT&T, Inc. | 371,401 | 10,599,785 | ||
CBS Corporation Class B (Non-Voting Shares) | 29,313 | 1,281,564 | ||
Charter Communications, Inc. Class A* | 998 | 284,400 | ||
Cinemark Holdings, Inc.Δ | 30,854 | 1,104,573 | ||
Comcast Corporation Class A | 632,904 | 21,550,381 | ||
InterActiveCorp* | 5,223 | 956,018 | ||
John Wiley & Sons, Inc. Class A | 17,328 | 813,896 | ||
Madison Square Garden Co. (The) Class A* | 1,225 | 327,932 | ||
TEGNA, Inc. | 68,453 | 744,084 | ||
Telephone & Data Systems, Inc. | 56,901 | 1,851,559 | ||
T-Mobile US, Inc.* | 2,824 | 179,635 | ||
Twenty-First Century Fox, Inc. Class A | 23,149 | 1,113,930 | ||
Twenty-First Century Fox, Inc. Class B | 11,003 | 525,723 | ||
United States Cellular Corporation* | 6,994 | 363,478 | ||
Verizon Communications, Inc. | 334,472 | 18,804,016 | ||
Walt Disney Co. (The) | 10,715 | 1,174,900 | ||
65,515,057 | ||||
Consumer Discretionary — 6.1% | ||||
Aaron's, Inc. | 20,196 | 849,242 | ||
Advance Auto Parts, Inc. | 29,575 | 4,656,879 | ||
Booking Holdings, Inc.* | 1,764 | 3,038,349 | ||
Brunswick Corporation | 37,078 | 1,722,273 | ||
Carnival Corporation | 8,332 | 410,768 | ||
Dana, Inc. | 226,994 | 3,093,928 | ||
Deckers Outdoor CorporationΔ* | 14,756 | 1,888,030 | ||
Dollar General Corporation | 105,732 | 11,427,515 | ||
eBay, Inc.* | 101,186 | 2,840,291 | ||
Foot Locker, Inc. | 22,678 | 1,206,470 | ||
Ford Motor Co. | 94,724 | 724,639 | ||
Garrett Motion, Inc.Δ* | 659 | 8,132 | ||
General Motors Co. | 27,959 | 935,228 | ||
Grand Canyon Education, Inc.* | 7,201 | 692,304 | ||
Lennar Corporation Class A | 130,351 | 5,103,242 | ||
Lennar Corporation Class B | 3,259 | 102,104 | ||
Lowe’s Cos., Inc. | 115,396 | 10,657,975 | ||
Lululemon Athletica, Inc.* | 11,730 | 1,426,485 | ||
McDonald’s Corporation | 13,882 | 2,465,027 | ||
Tapestry, Inc. | 112,593 | 3,800,014 | ||
Target Corporation | 23,672 | 1,564,482 | ||
Yum! Brands, Inc. | 51,644 | 4,747,116 | ||
63,360,493 | ||||
Consumer Staples — 5.1% | ||||
Archer-Daniels-Midland Co. | 24,764 | 1,014,581 | ||
Casey’s General Stores, Inc. | 8,044 | 1,030,758 | ||
Coca-Cola Co. (The) | 53,999 | 2,556,853 | ||
Colgate-Palmolive Co. | 20,220 | 1,203,494 | ||
Conagra Brands, Inc. | 39,068 | 834,493 | ||
Estee Lauder Cos., Inc. (The) Class A | 22,582 | 2,937,918 |
Shares | Value | |||
General Mills, Inc. | 15,766 | $613,928 | ||
Herbalife Nutrition, Ltd.Δ* | 21,988 | 1,296,193 | ||
Ingredion, Inc. | 21,073 | 1,926,072 | ||
Kimberly-Clark Corporation | 2,545 | 289,977 | ||
Kraft Heinz Co. (The) | 16,559 | 712,699 | ||
Kroger Co. (The) | 58,899 | 1,619,723 | ||
Lamb Weston Holdings, Inc. | 27,850 | 2,048,646 | ||
Mondelez International, Inc. Class A | 38,110 | 1,525,543 | ||
Nu Skin Enterprises, Inc. Class A | 26,509 | 1,625,797 | ||
PepsiCo, Inc. | 93,438 | 10,323,030 | ||
Performance Food Group Co.* | 28,317 | 913,790 | ||
Post Holdings, Inc.* | 2,867 | 255,536 | ||
Procter & Gamble Co. (The) | 128,324 | 11,795,542 | ||
Sprouts Farmers Market, Inc.* | 40,038 | 941,293 | ||
Tyson Foods, Inc. Class A | 46,481 | 2,482,086 | ||
USANA Health Sciences, Inc.* | 8,462 | 996,231 | ||
Walgreens Boots Alliance, Inc. | 18,712 | 1,278,591 | ||
Walmart, Inc. | 32,649 | 3,041,254 | ||
53,264,028 | ||||
Energy — 8.6% | ||||
Anadarko Petroleum Corporation | 37,054 | 1,624,447 | ||
Baker Hughes a GE Co. | 227,636 | 4,894,174 | ||
Chevron Corporation | 171,023 | 18,605,592 | ||
ConocoPhillips | 214,450 | 13,370,958 | ||
EOG Resources, Inc. | 10,615 | 925,734 | ||
Exxon Mobil Corporation | 113,571 | 7,744,407 | ||
HollyFrontier Corporation | 23,465 | 1,199,531 | ||
Kinder Morgan, Inc. | 42,163 | 648,467 | ||
Marathon Petroleum Corporation | 122,596 | 7,234,390 | ||
Occidental Petroleum Corporation | 203,627 | 12,498,625 | ||
PBF Energy, Inc. Class A | 33,493 | 1,094,216 | ||
Peabody Energy Corporation | 25,302 | 771,205 | ||
Phillips 66 | 165,246 | 14,235,943 | ||
Pioneer Natural Resources Co. | 874 | 114,948 | ||
Valero Energy Corporation | 52,712 | 3,951,819 | ||
88,914,456 | ||||
Financials — 20.9% | ||||
Aflac, Inc. | 20,165 | 918,717 | ||
Allstate Corporation (The) | 61,946 | 5,118,598 | ||
Ally Financial, Inc. | 165,139 | 3,742,050 | ||
American Express Co. | 93,702 | 8,931,675 | ||
American International Group, Inc. | 343,347 | 13,531,305 | ||
Ameriprise Financial, Inc. | 15,789 | 1,647,898 | ||
Bank of America Corporation | 544,880 | 13,425,843 | ||
Bank of New York Mellon Corporation (The) | 192,534 | 9,062,575 | ||
BB&T Corporation | 13,454 | 582,827 | ||
Berkshire Hathaway, Inc. Class B* | 38,760 | 7,914,017 | ||
BlackRock, Inc. | 2,653 | 1,042,151 | ||
Capital One Financial Corporation | 66,038 | 4,991,812 | ||
Citigroup, Inc. | 263,431 | 13,714,218 | ||
Citizens Financial Group, Inc. | 129,150 | 3,839,630 | ||
CME Group, Inc. | 6,737 | 1,267,364 | ||
CNO Financial Group, Inc. | 98,603 | 1,467,213 | ||
Goldman Sachs Group, Inc. (The) | 7,873 | 1,315,185 |
Table of Contents
Shares | Value | |||
Hartford Financial Services Group, Inc. (The) | 149,473 | $6,644,075 | ||
Intercontinental Exchange, Inc. | 126,671 | 9,542,126 | ||
JPMorgan Chase & Co. | 304,186 | 29,694,637 | ||
Lincoln National Corporation | 41,952 | 2,152,557 | ||
Marsh & McLennan Cos., Inc. | 5,914 | 471,642 | ||
MetLife, Inc. | 92,828 | 3,811,518 | ||
Morgan Stanley | 26,312 | 1,043,271 | ||
New York Community Bancorp, Inc.Δ | 619,244 | 5,827,086 | ||
Old Republic International Corporation | 53,370 | 1,097,821 | ||
PNC Financial Services Group, Inc. (The) | 9,549 | 1,116,374 | ||
Popular, Inc. | 62,020 | 2,928,584 | ||
Progressive Corporation (The) | 57,675 | 3,479,533 | ||
Prudential Financial, Inc. | 63,927 | 5,213,247 | ||
Radian Group, Inc. | 77,503 | 1,267,949 | ||
Reinsurance Group of America, Inc. | 25,804 | 3,618,495 | ||
S&P Global, Inc. | 21,993 | 3,737,490 | ||
State Street Corporation | 155,986 | 9,838,037 | ||
Travelers Cos., Inc. (The) | 5,022 | 601,385 | ||
U.S. Bancorp | 240,266 | 10,980,156 | ||
Voya Financial, Inc. | 43,866 | 1,760,781 | ||
Wells Fargo & Co. | 320,436 | 14,765,691 | ||
Zions Bancorp NA | 122,700 | 4,998,798 | ||
217,104,331 | ||||
Health Care — 12.6% | ||||
Abbott Laboratories | 40,688 | 2,942,963 | ||
Agilent Technologies, Inc. | 38,859 | 2,621,428 | ||
Alexion Pharmaceuticals, Inc.* | 2,244 | 218,476 | ||
Amgen, Inc. | 4,766 | 927,797 | ||
Amneal Pharmaceuticals, Inc.Δ* | 146,400 | 1,980,792 | ||
Anthem, Inc. | 38,065 | 9,997,011 | ||
Baxter International, Inc. | 46,682 | 3,072,609 | ||
Becton, Dickinson and Co. | 6,020 | 1,356,426 | ||
Biogen, Inc.* | 1,052 | 316,568 | ||
Boston Scientific Corporation* | 7,852 | 277,490 | ||
Bristol-Myers Squibb Co. | 88,433 | 4,596,747 | ||
Bruker Corporation | 49,861 | 1,484,362 | ||
Cardinal Health, Inc. | 90,414 | 4,032,464 | ||
Catalent, Inc.* | 24,713 | 770,551 | ||
Centene Corporation* | 57,542 | 6,634,593 | ||
Cigna Corporation | 37,332 | 7,090,129 | ||
CVS Health Corporation | 142,344 | 9,326,379 | ||
Danaher Corporation | 16,499 | 1,701,377 | ||
Eli Lilly & Co. | 53,162 | 6,151,907 | ||
Gilead Sciences, Inc. | 112,996 | 7,067,900 | ||
HCA Healthcare, Inc. | 2,702 | 336,264 | ||
Humana, Inc. | 13,639 | 3,907,301 | ||
IDEXX Laboratories, Inc.* | 3,479 | 647,164 | ||
Johnson & Johnson | 202,889 | 26,182,825 | ||
Ligand Pharmaceuticals, Inc.Δ* | 6,147 | 834,148 | ||
McKesson Corporation | 28,023 | 3,095,701 | ||
Molina Healthcare, Inc.Δ* | 36,345 | 4,224,016 | ||
Premier, Inc. Class A* | 26,216 | 979,168 | ||
Repligen CorporationΔ* | 4,064 | 214,335 | ||
Thermo Fisher Scientific, Inc. | 10,552 | 2,361,432 |
Shares | Value | |||
United Therapeutics Corporation* | 9,936 | $1,082,030 | ||
UnitedHealth Group, Inc. | 37,900 | 9,441,648 | ||
Waters Corporation* | 6,017 | 1,135,107 | ||
WellCare Health Plans, Inc.* | 5,497 | 1,297,787 | ||
Zoetis, Inc. | 26,290 | 2,248,847 | ||
130,555,742 | ||||
Industrials — 6.5% | ||||
3M Co. | 1,806 | 344,115 | ||
Caterpillar, Inc. | 376 | 47,778 | ||
CSX Corporation | 8,921 | 554,262 | ||
Delta Air Lines, Inc. | 92,153 | 4,598,435 | ||
EMCOR Group, Inc. | 30,920 | 1,845,615 | ||
Emerson Electric Co. | 4,331 | 258,777 | ||
EnerSys, Inc. | 13,621 | 1,057,126 | ||
Fluor Corporation | 64,000 | 2,060,800 | ||
General Dynamics Corporation | 29,456 | 4,630,778 | ||
General Electric Co. | 1,113,002 | 8,425,425 | ||
HD Supply Holdings, Inc.* | 86,162 | 3,232,798 | ||
Hillenbrand, Inc. | 16,934 | 642,307 | ||
Honeywell International, Inc. | 6,595 | 871,331 | ||
JetBlue Airways Corporation* | 85,956 | 1,380,453 | ||
Lockheed Martin Corporation | 987 | 258,436 | ||
Masco Corporation | 25,687 | 751,088 | ||
Moog, Inc. | 12,346 | 956,568 | ||
Norfolk Southern Corporation | 5,945 | 889,015 | ||
Quanta Services, Inc. | 77,494 | 2,332,569 | ||
Resideo Technologies, Inc.* | 1,099 | 22,585 | ||
Robert Half International, Inc. | 36,964 | 2,114,341 | ||
Southwest Airlines Co. | 3,899 | 181,226 | ||
Spirit Airlines, Inc.* | 12,845 | 743,982 | ||
Terex CorporationΔ | 102,260 | 2,819,308 | ||
Textron, Inc. | 167,203 | 7,689,666 | ||
Union Pacific Corporation | 1,470 | 203,198 | ||
United Continental Holdings, Inc.* | 40,282 | 3,372,812 | ||
United Parcel Service, Inc. Class B | 37,235 | 3,631,530 | ||
United Technologies Corporation | 102,251 | 10,887,687 | ||
Waste Management, Inc. | 1,785 | 158,847 | ||
WESCO International, Inc.* | 4,985 | 239,280 | ||
67,202,138 | ||||
Information Technology — 11.1% | ||||
ANSYS, Inc.* | 2,352 | 336,195 | ||
Aspen Technology, Inc.* | 22,527 | 1,851,269 | ||
Avnet, Inc. | 49,985 | 1,804,459 | ||
Broadcom, Inc. | 19,602 | 4,984,397 | ||
CDW Corporation | 13,599 | 1,102,199 | ||
Cisco Systems, Inc. | 354,363 | 15,354,549 | ||
Citrix Systems, Inc. | 33,300 | 3,411,918 | ||
Cognizant Technology Solutions Corporation Class A | 940 | 59,671 | ||
Corning, Inc. | 234,344 | 7,079,532 | ||
Cypress Semiconductor CorporationΔ | 456,700 | 5,809,224 | ||
F5 Networks, Inc.* | 3,206 | 519,468 | ||
First Data Corporation Class A* | 266,600 | 4,508,206 | ||
Hewlett Packard Enterprise Co. | 63,757 | 842,230 | ||
HP, Inc. | 251,698 | 5,149,741 | ||
Intel Corporation | 138,858 | 6,516,606 |
Table of Contents
Shares | Value | |||
International Business Machines Corporation | 25,415 | $2,888,923 | ||
Intuit, Inc. | 20,114 | 3,959,441 | ||
j2 Global, Inc.Δ | 13,295 | 922,407 | ||
Jabil, Inc. | 59,512 | 1,475,302 | ||
Micron Technology, Inc.* | 37,925 | 1,203,360 | ||
Microsoft Corporation | 122,380 | 12,430,137 | ||
Oracle Corporation | 267,028 | 12,056,314 | ||
QUALCOMM, Inc. | 145,069 | 8,255,877 | ||
Teradata Corporation* | 26,056 | 999,508 | ||
Texas Instruments, Inc. | 79,489 | 7,511,710 | ||
VeriSign, Inc.* | 20,940 | 3,105,193 | ||
Western Digital Corporation | 45,925 | 1,697,847 | ||
115,835,683 | ||||
Materials — 3.9% | ||||
Air Products & Chemicals, Inc. | 68,379 | 10,944,059 | ||
Domtar Corporation | 43,261 | 1,519,759 | ||
DowDuPont, Inc. | 339,882 | 18,176,889 | ||
Ecolab, Inc. | 2,751 | 405,360 | ||
Freeport-McMoRan, Inc. | 352,231 | 3,631,502 | ||
PPG Industries, Inc. | 4,393 | 449,096 | ||
Reliance Steel & Aluminum Co. | 40,237 | 2,863,667 | ||
Steel Dynamics, Inc. | 73,492 | 2,207,700 | ||
Trinseo SA | 15,299 | 700,388 | ||
40,898,420 | ||||
Real Estate — 1.6% | ||||
Apartment Investment & Management Co. Class A REIT | 11,737 | 515,020 | ||
CBRE Group, Inc. Class A* | 101,140 | 4,049,646 | ||
Crown Castle International Corporation REIT | 2,107 | 228,883 | ||
Hospitality Properties Trust REIT | 23,740 | 566,911 | ||
Host Hotels & Resorts, Inc. REIT | 38,266 | 637,894 | ||
Jones Lang LaSalle, Inc. | 52,738 | 6,676,631 | ||
Park Hotels & Resorts, Inc. REIT | 55,332 | 1,437,525 | ||
Prologis, Inc. REIT | 13,175 | 773,636 | ||
Simon Property Group, Inc. REIT | 1,310 | 220,067 | ||
Spirit Realty Capital, Inc. REIT | 25,502 | 898,938 | ||
VEREIT, Inc. REIT | 156,130 | 1,116,330 | ||
17,121,481 | ||||
Utilities — 4.6% | ||||
AES Corporation | 620,675 | 8,974,959 | ||
American Electric Power Co., Inc. | 12,512 | 935,147 | ||
Dominion Energy, Inc. | 119,020 | 8,505,169 | ||
Duke Energy Corporation | 19,040 | 1,643,152 | ||
Exelon Corporation | 222,532 | 10,036,193 | ||
NextEra Energy, Inc. | 10,915 | 1,897,245 | ||
NRG Energy, Inc. | 7,505 | 297,198 | ||
PG&E Corporation* | 44,042 | 1,045,998 | ||
PNM Resources, Inc. | 18,437 | 757,576 | ||
Portland General Electric Co.Δ | 24,071 | 1,103,655 | ||
Public Service Enterprise Group, Inc. | 120,356 | 6,264,530 |
Shares | Value | |||
Southern Co. (The) | 24,455 | $1,074,064 | ||
Southwest Gas Holdings, Inc. | 19,997 | 1,529,771 | ||
UGI Corporation | 66,996 | 3,574,237 | ||
47,638,894 | ||||
Total Common Stocks (Cost $847,478,009) | 907,410,723 | |||
FOREIGN COMMON STOCKS — 8.7% | ||||
Canada — 0.2% | ||||
Bausch Health Cos., Inc.* | 62,227 | 1,149,333 | ||
Methanex CorporationΔ | 15,300 | 737,001 | ||
1,886,334 | ||||
Curacao — 0.7% | ||||
Schlumberger, Ltd. | 190,359 | 6,868,153 | ||
France — 0.7% | ||||
Sanofi ADRΔ | 182,015 | 7,901,271 | ||
Ireland — 4.0% | ||||
Adient PLCΔ | 55,684 | 838,601 | ||
Eaton Corporation PLC | 9,355 | 642,314 | ||
Horizon Pharma PLC* | 56,735 | 1,108,602 | ||
ICON PLC* | 7,282 | 940,907 | ||
Jazz Pharmaceuticals PLC* | 9,397 | 1,164,852 | ||
Johnson Controls International PLC | 516,449 | 15,312,713 | ||
Linde PLC | 4,981 | 777,235 | ||
Medtronic PLC | 178,956 | 16,277,838 | ||
nVent Electric PLC | 108,664 | 2,440,594 | ||
Pentair PLC | 53,764 | 2,031,204 | ||
41,534,860 | ||||
Israel — 0.1% | ||||
Taro Pharmaceutical Industries, Ltd.Δ | 9,485 | 802,810 | ||
Netherlands — 0.8% | ||||
Koninklijke Philips NVΔ | 86,700 | 3,044,037 | ||
LyondellBasell Industries NV Class A | 36,459 | 3,031,931 | ||
Mylan NV* | 50,658 | 1,388,029 | ||
NXP Semiconductor NVΔ | 6,689 | 490,170 | ||
7,954,167 | ||||
Switzerland — 0.1% | ||||
Chubb, Ltd. | 10,938 | 1,412,971 | ||
United Kingdom — 2.1% | ||||
BP PLC ADR | 137,465 | 5,212,673 | ||
GlaxoSmithKline PLC ADR | 179,422 | 6,855,714 | ||
Nielsen Holdings PLC | 308,478 | 7,196,792 | ||
TechnipFMC PLC | 132,800 | 2,600,224 | ||
21,865,403 | ||||
Total Foreign Common Stocks (Cost $108,047,091) | 90,225,969 | |||
MONEY MARKET FUNDS — 4.7% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 45,944,522 | 45,944,522 |
Table of Contents
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 3,030,212 | $3,030,212 | ||
Total Money Market Funds (Cost $48,974,734) | 48,974,734 |
Par | |||
U.S. TREASURY OBLIGATION — 0.2% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $1,781,554) | $1,800,000 | 1,782,083 | |
TOTAL INVESTMENTS —100.9% (Cost $1,006,281,388) | 1,048,393,509 | ||
Liabilities in Excess of Other Assets — (0.9)% | (9,690,459) | ||
NET ASSETS — 100.0% | $1,038,703,050 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2019 | 412 | $51,607,120 | $(928,146) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $907,410,723 | $907,410,723 | $— | $— | |||
Foreign Common Stocks | 90,225,969 | 90,225,969 | — | — | |||
Money Market Funds | 48,974,734 | 48,974,734 | — | — | |||
U.S. Treasury Obligation | 1,782,083 | — | 1,782,083 | — | |||
Total Assets - Investments in Securities | $1,048,393,509 | $1,046,611,426 | $1,782,083 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(928,146) | $(928,146) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(928,146) | $(928,146) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
Information Technology | 29.8 |
Health Care | 16.3 |
Consumer Discretionary | 14.9 |
Communication Services | 11.6 |
Industrials | 7.7 |
Consumer Staples | 7.5 |
Money Market Funds | 4.1 |
Financials | 3.3 |
Foreign Common Stocks | 2.0 |
Materials | 1.3 |
Real Estate | 1.2 |
Energy | 0.2 |
U.S. Treasury Obligations | 0.2 |
100.1 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 1.22% | 0.99% | (1.51)% | ||||
Five Year | 9.09% | 8.83% | 10.40% | ||||
Ten Year | 14.79% | 14.57% | 15.28% | ||||
Since Inception | 6.34% | 6.19% | 6.94% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 0.74% | 1.00% |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 93.8% | ||||
Communication Services — 11.6% | ||||
Activision Blizzard, Inc. | 82,000 | $3,818,740 | ||
Alphabet, Inc. Class A* | 29,685 | 31,019,638 | ||
Alphabet, Inc. Class C* | 36,902 | 38,216,080 | ||
Comcast Corporation Class A | 257,690 | 8,774,344 | ||
Electronic Arts, Inc.* | 99,992 | 7,890,369 | ||
Facebook, Inc. Class A* | 326,395 | 42,787,121 | ||
Match Group, Inc.Δ | 110,900 | 4,743,193 | ||
Netflix, Inc.* | 50,829 | 13,604,890 | ||
Walt Disney Co. (The) | 88,550 | 9,709,507 | ||
160,563,882 | ||||
Consumer Discretionary — 14.9% | ||||
Alibaba Group Holding, Ltd. ADRΔ* | 345,709 | 47,386,333 | ||
Amazon.com, Inc.* | 57,012 | 85,630,314 | ||
Booking Holdings, Inc.* | 7,938 | 13,672,570 | ||
Chipotle Mexican Grill, Inc.* | 13,060 | 5,639,177 | ||
Floor & Decor Holdings, Inc. Class AΔ* | 124,430 | 3,222,737 | ||
Home Depot, Inc. (The) | 50,200 | 8,625,364 | ||
Starbucks Corporation | 208,604 | 13,434,098 | ||
TJX Cos., Inc. (The) | 163,202 | 7,301,657 | ||
Yum China Holdings, Inc. | 377,163 | 12,646,275 | ||
Yum! Brands, Inc. | 102,004 | 9,376,208 | ||
206,934,733 | ||||
Consumer Staples — 7.5% | ||||
Coca-Cola Co. (The) | 389,013 | 18,419,765 | ||
Colgate-Palmolive Co. | 217,634 | 12,953,576 | ||
Costco Wholesale Corporation | 75,572 | 15,394,772 | ||
Danone SA ADRΔ | 862,707 | 12,060,644 | ||
Estee Lauder Cos., Inc. (The) Class A | 61,056 | 7,943,386 | ||
McCormick & Co., Inc. (Non-Voting Shares)Δ | 30,580 | 4,257,959 | ||
Monster Beverage Corporation* | 426,050 | 20,970,181 | ||
Procter & Gamble Co. (The) | 134,238 | 12,339,157 | ||
104,339,440 | ||||
Energy — 0.2% | ||||
Pioneer Natural Resources Co. | 27,571 | 3,626,138 | ||
Financials — 3.3% | ||||
American Express Co. | 128,233 | 12,223,170 | ||
BlackRock, Inc. | 19,750 | 7,758,195 | ||
Charles Schwab Corporation (The) | 190,820 | 7,924,755 | ||
FactSet Research Systems, Inc. | 40,565 | 8,118,273 | ||
SEI Investments Co. | 208,915 | 9,651,873 | ||
45,676,266 | ||||
Health Care — 16.3% | ||||
ABIOMED, Inc.* | 5,900 | 1,917,736 | ||
Alexion Pharmaceuticals, Inc.* | 101,794 | 9,910,664 | ||
Align Technology, Inc.* | 24,400 | 5,110,092 | ||
Amgen, Inc. | 49,511 | 9,638,306 | ||
Biogen, Inc.* | 30,480 | 9,172,042 | ||
BioMarin Pharmaceutical, Inc.* | 102,456 | 8,724,128 | ||
Celgene Corporation* | 114,170 | 7,317,155 | ||
Cerner Corporation* | 165,521 | 8,679,921 |
Shares | Value | |||
Danaher Corporation | 85,168 | $8,782,524 | ||
DexCom, Inc.* | 70,344 | 8,427,211 | ||
Edwards Lifesciences Corporation* | 102,064 | 15,633,143 | ||
Illumina, Inc.* | 29,257 | 8,775,052 | ||
Intuitive Surgical, Inc.* | 23,603 | 11,303,949 | ||
Johnson & Johnson | 49,340 | 6,367,327 | ||
Loxo Oncology, Inc.* | 23,452 | 3,284,922 | ||
Novartis AG ADR | 105,712 | 9,071,147 | ||
Regeneron Pharmaceuticals, Inc.* | 71,449 | 26,686,201 | ||
Sarepta Therapeutics, Inc.Δ* | 23,708 | 2,587,254 | ||
Thermo Fisher Scientific, Inc. | 88,633 | 19,835,179 | ||
UnitedHealth Group, Inc. | 56,080 | 13,970,650 | ||
Varian Medical Systems, Inc.* | 76,302 | 8,645,780 | ||
Zoetis, Inc. | 263,579 | 22,546,548 | ||
226,386,931 | ||||
Industrials — 7.7% | ||||
BWX Technologies, Inc. | 115,019 | 4,397,176 | ||
Caterpillar, Inc. | 45,770 | 5,815,994 | ||
Cintas CorporationΔ | 45,211 | 7,594,996 | ||
CoStar Group, Inc.* | 21,341 | 7,199,173 | ||
Deere & Co. | 85,405 | 12,739,864 | ||
Expeditors International of Washington, Inc. | 214,493 | 14,604,828 | ||
Fortive CorporationΔ | 128,124 | 8,668,870 | ||
Honeywell International, Inc. | 64,230 | 8,486,068 | ||
IHS Markit, Ltd.* | 118,962 | 5,706,607 | ||
Roper Technologies, Inc. | 36,752 | 9,795,143 | ||
United Parcel Service, Inc. Class B | 118,529 | 11,560,133 | ||
W.W. Grainger, Inc.Δ | 34,810 | 9,828,952 | ||
106,397,804 | ||||
Information Technology — 29.8% | ||||
Adobe, Inc.* | 142,583 | 32,257,978 | ||
Akamai Technologies, Inc.* | 137,300 | 8,386,284 | ||
Amphenol Corporation Class A | 95,891 | 7,769,089 | ||
Apple, Inc. | 64,100 | 10,111,134 | ||
Autodesk, Inc.* | 204,377 | 26,284,926 | ||
Automatic Data Processing, Inc. | 36,461 | 4,780,766 | ||
Cisco Systems, Inc. | 272,583 | 11,811,021 | ||
FleetCor Technologies, Inc.* | 21,183 | 3,934,107 | ||
Genpact, Ltd. | 235,296 | 6,350,639 | ||
Intuit, Inc. | 54,394 | 10,707,459 | ||
Microsoft Corporation | 434,108 | 44,092,350 | ||
Nutanix, Inc. Class A* | 114,150 | 4,747,498 | ||
NVIDIA Corporation | 23,530 | 3,141,255 | ||
Oracle Corporation | 681,384 | 30,764,488 | ||
Palo Alto Networks, Inc.* | 73,477 | 13,839,393 | ||
PayPal Holdings, Inc.* | 237,606 | 19,980,288 | ||
QUALCOMM, Inc. | 372,954 | 21,224,812 | ||
Red Hat, Inc.* | 47,010 | 8,256,836 | ||
salesforce.com, Inc.* | 183,908 | 25,189,879 | ||
ServiceNow, Inc.* | 90,400 | 16,095,720 | ||
Splunk, Inc.* | 123,293 | 12,927,271 | ||
Texas Instruments, Inc. | 77,450 | 7,319,025 | ||
TiVo Corporation | 7 | 66 | ||
Visa, Inc. Class AΔ | 560,130 | 73,903,552 |
Table of Contents
Shares | Value | |||
Vmware, Inc. Class AΔ | 36,260 | $4,972,334 | ||
Workday, Inc. Class A* | 28,500 | 4,550,880 | ||
413,399,050 | ||||
Materials — 1.3% | ||||
Ecolab, Inc. | 58,740 | 8,655,339 | ||
Sherwin-Williams Co. (The) | 23,488 | 9,241,588 | ||
17,896,927 | ||||
Real Estate — 1.2% | ||||
Equinix, Inc. REIT | 20,530 | 7,238,057 | ||
SBA Communications Corporation REIT* | 60,774 | 9,838,703 | ||
17,076,760 | ||||
Total Common Stocks (Cost $1,022,209,989) | 1,302,297,931 | |||
FOREIGN COMMON STOCKS — 2.0% | ||||
Curacao — 0.9% | ||||
Schlumberger, Ltd. | 329,583 | 11,891,355 | ||
Ireland — 0.5% | ||||
Linde PLC | 46,060 | 7,187,202 | ||
Netherlands — 0.4% | ||||
NXP Semiconductor NVΔ | 71,042 | 5,205,958 | ||
United Kingdom — 0.2% | ||||
Atlassian Corporation PLC Class A* | 30,300 | 2,696,094 | ||
Total Foreign Common Stocks (Cost $39,214,801) | 26,980,609 |
Shares | Value | |||
MONEY MARKET FUNDS — 4.1% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 56,036,987 | $56,036,987 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 1,326,223 | 1,326,223 | ||
Total Money Market Funds (Cost $57,363,210) | 57,363,210 |
Par | |||
U.S. TREASURY OBLIGATION — 0.2% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $2,870,281) | $2,900,000 | 2,871,133 | |
TOTAL INVESTMENTS —100.1% (Cost $1,121,658,281) | 1,389,512,883 | ||
Liabilities in Excess of Other Assets — (0.1)% | (1,396,203) | ||
NET ASSETS — 100.0% | $1,388,116,680 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2019 | 456 | $57,118,560 | $(2,051,984) | ||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,302,297,931 | $1,302,297,931 | $— | $— | |||
Foreign Common Stocks | 26,980,609 | 26,980,609 | — | — | |||
Money Market Funds | 57,363,210 | 57,363,210 | — | — | |||
U.S. Treasury Obligation | 2,871,133 | — | 2,871,133 | — | |||
Total Assets - Investments in Securities | $1,389,512,883 | $1,386,641,750 | $2,871,133 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $(2,051,984) | $(2,051,984) | $— | $— | |||
Total Assets - Other Financial Instruments | $(2,051,984) | $(2,051,984) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
Information Technology | 19.6 |
Financials | 16.8 |
Industrials | 16.7 |
Health Care | 11.3 |
Consumer Discretionary | 9.5 |
Money Market Funds | 6.6 |
Real Estate | 6.5 |
Communication Services | 4.2 |
Energy | 3.6 |
Materials | 3.6 |
Utilities | 2.9 |
Consumer Staples | 1.7 |
U.S. Treasury Obligation | 0.2 |
103.2 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (12.01)% | (12.22)% | (11.01)% | ||||
Five Year | 2.79% | 2.53% | 4.41% | ||||
Ten Year | 11.75% | 11.51% | 11.97% | ||||
Since Inception | 6.60% | 6.41% | 7.55% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 1.03% | 1.30% |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 92.3% | ||||
Communication Services — 3.5% | ||||
ATN International, Inc. | 13,435 | $961,006 | ||
Cable One, Inc. | 5,310 | 4,354,731 | ||
Cinemark Holdings, Inc.Δ | 19,481 | 697,420 | ||
Cogent Communications Holdings, Inc. | 33,500 | 1,514,535 | ||
DHI Group, Inc.* | 68,556 | 104,205 | ||
Gannett Co., Inc.Δ | 32,900 | 280,637 | ||
Global Eagle Entertainment, Inc.Δ* | 5,837 | 13,016 | ||
Liberty TripAdvisor Holdings, Inc. Class A* | 22,809 | 362,435 | ||
Madison Square Garden Co. (The) Class A* | 1,500 | 401,550 | ||
Marchex, Inc. Class B | 6,700 | 17,755 | ||
Marcus Corporation (The)Δ | 10,637 | 420,161 | ||
Meet Group, Inc. (The)Δ* | 54,600 | 252,798 | ||
MSG Networks, Inc. Class AΔ* | 18,613 | 438,522 | ||
New Media Investment Group, Inc. | 32,724 | 378,617 | ||
Nexstar Media Group, Inc. Class AΔ | 5,086 | 399,963 | ||
Rosetta Stone, Inc.* | 139,097 | 2,281,191 | ||
Scholastic Corporation | 7,000 | 281,820 | ||
Shenandoah Telecommunications Co. | 41,900 | 1,854,075 | ||
Spok Holdings, Inc. | 14,304 | 189,671 | ||
Telephone & Data Systems, Inc. | 25,741 | 837,612 | ||
TravelzooΔ* | 14,693 | 144,432 | ||
United States Cellular Corporation* | 668 | 34,716 | ||
WideOpenWest, Inc.Δ* | 36,577 | 260,794 | ||
Yelp, Inc.Δ* | 19,124 | 669,149 | ||
Zynga, Inc. Class A* | 29,100 | 114,363 | ||
17,265,174 | ||||
Consumer Discretionary — 9.4% | ||||
Aaron's, Inc. | 35,589 | 1,496,517 | ||
Adtalem Global Education, Inc.* | 3,800 | 179,816 | ||
American Eagle Outfitters, Inc. | 62,311 | 1,204,472 | ||
American Public Education, Inc.* | 2,400 | 68,304 | ||
Barnes & Noble Education, Inc.* | 67,948 | 272,472 | ||
Bridgepoint Education, Inc.* | 8,243 | 57,783 | ||
Bright Horizons Family Solutions, Inc.* | 24,600 | 2,741,670 | ||
Brinker International, Inc.Δ | 10,627 | 467,375 | ||
Build-A-Bear Workshop, Inc.* | 2,100 | 8,295 | ||
Callaway Golf Co. | 110,000 | 1,683,000 | ||
Cheesecake Factory, Inc. (The)Δ | 25,331 | 1,102,152 | ||
Chegg, Inc.Δ* | 82,200 | 2,336,124 | ||
Chuy's Holdings, Inc.* | 25,317 | 449,124 | ||
Citi Trends, Inc. | 12,605 | 257,016 | ||
Clarus Corporation | 10,300 | 104,236 | ||
Cooper Tire & Rubber Co. | 10,785 | 348,679 | ||
Cooper-Standard Holdings, Inc.* | 5,900 | 366,508 | ||
CSS Industries, Inc. | 26,655 | 239,095 | ||
Deckers Outdoor CorporationΔ* | 6,772 | 866,477 | ||
Five Below, Inc.* | 12,217 | 1,250,043 | ||
Floor & Decor Holdings, Inc. Class AΔ* | 50,900 | 1,318,310 | ||
Foot Locker, Inc. | 11,942 | 635,314 | ||
Genesco, Inc.Δ* | 25,402 | 1,125,309 | ||
Group 1 Automotive, Inc.Δ | 11,200 | 590,464 |
Shares | Value | |||
GrubHub, Inc.Δ* | 2,423 | $186,111 | ||
Habit Restaurants, Inc. (The) Class AΔ* | 59,945 | 629,423 | ||
Hilton Grand Vacations, Inc.* | 41,800 | 1,103,102 | ||
Houghton Mifflin Harcourt Co.* | 33,873 | 300,115 | ||
Hudson, Ltd. Class A* | 111,300 | 1,908,795 | ||
J Alexander's Holdings, Inc.* | 24,246 | 199,545 | ||
J. Jill, Inc.Δ* | 4,300 | 22,919 | ||
Jack in the Box, Inc. | 15,922 | 1,236,025 | ||
Johnson Outdoors, Inc. Class A | 1,641 | 96,392 | ||
K12, Inc.* | 55,746 | 1,381,943 | ||
Leaf Group, Ltd.* | 5,300 | 36,305 | ||
Malibu Boats, Inc. Class A* | 26,453 | 920,564 | ||
MasterCraft Boat Holdings, Inc.* | 6,040 | 112,948 | ||
Modine Manufacturing Co.* | 38,400 | 415,104 | ||
Monro, Inc. | 33,750 | 2,320,313 | ||
Murphy USA, Inc.* | 8,639 | 662,093 | ||
National Vision Holdings, Inc.* | 98,000 | 2,760,660 | ||
Office Depot, Inc. | 256,400 | 661,512 | ||
Ollie's Bargain Outlet Holdings, Inc.* | 30,200 | 2,008,602 | ||
RTW RetailWinds, Inc.Δ* | 13,692 | 38,748 | ||
Signet Jewelers, Ltd.Δ | 18,900 | 600,453 | ||
Steven Madden, Ltd.Δ | 47,261 | 1,430,118 | ||
Strategic Education, Inc.Δ | 43,900 | 4,979,138 | ||
Tenneco, Inc. | 27,683 | 758,237 | ||
Tile Shop Holdings, Inc. | 100 | 548 | ||
Tilly's, Inc. Class A | 20,800 | 225,888 | ||
Tower International, Inc. | 33,305 | 792,659 | ||
Town Sports International Holdings, Inc.* | 2,600 | 16,640 | ||
Vista Outdoor, Inc.* | 58,300 | 661,705 | ||
Vitamin Shoppe, Inc.Δ* | 44,215 | 209,579 | ||
45,844,739 | ||||
Consumer Staples — 1.6% | ||||
Andersons, Inc. (The) | 9,200 | 274,988 | ||
Avon Products, Inc.* | 203,285 | 308,993 | ||
BJ's Wholesale Club Holdings, Inc.Δ* | 98,400 | 2,180,544 | ||
Fresh Del Monte Produce, Inc. | 17,147 | 484,746 | ||
Herbalife Nutrition, Ltd.Δ* | 15,274 | 900,402 | ||
Ingles Markets, Inc. Class AΔ | 14,838 | 403,890 | ||
J&J Snack Foods Corporation | 7,866 | 1,137,345 | ||
Lifevantage Corporation* | 21,752 | 286,909 | ||
Medifast, Inc. | 1,091 | 136,397 | ||
Natural Health Trends CorporationΔ | 6,069 | 112,216 | ||
Nu Skin Enterprises, Inc. Class A | 13,906 | 852,855 | ||
USANA Health Sciences, Inc.* | 4,964 | 584,412 | ||
7,663,697 | ||||
Energy — 3.6% | ||||
Arch Coal, Inc. Class AΔ | 18,248 | 1,514,402 | ||
Bonanza Creek Energy, Inc.* | 14,800 | 305,916 | ||
C&J Energy Services, Inc.* | 12,000 | 162,000 | ||
Cactus, Inc. Class A* | 46,600 | 1,277,306 | ||
Carrizo Oil & Gas, Inc.Δ* | 75,200 | 849,008 | ||
CONSOL Energy, Inc.* | 11,533 | 365,711 | ||
Dawson Geophysical Co.Δ* | 5,200 | 17,576 | ||
Exterran Corporation* | 36,520 | 646,404 |
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Shares | Value | |||
Gran Tierra Energy, Inc.Δ* | 167,818 | $364,165 | ||
Hallador Energy Co. | 10,142 | 51,420 | ||
HollyFrontier Corporation | 17,224 | 880,491 | ||
Keane Group, Inc.* | 69,784 | 570,833 | ||
KLX Energy Services Holdings, Inc.* | 9,503 | 222,845 | ||
Matador Resources Co.Δ* | 86,100 | 1,337,133 | ||
Matrix Service Co.* | 23,300 | 418,002 | ||
Midstates Petroleum Co., Inc.* | 15,400 | 115,654 | ||
Newpark Resources, Inc.* | 62,400 | 428,688 | ||
Nine Energy Service, Inc.* | 6,200 | 139,748 | ||
Overseas Shipholding Group, Inc. Class A* | 138,146 | 229,322 | ||
Par Pacific Holdings, Inc.Δ* | 41,409 | 587,180 | ||
Patterson-UTI Energy, Inc. | 36,830 | 381,191 | ||
PBF Energy, Inc. Class A | 24,279 | 793,195 | ||
Peabody Energy Corporation | 22,400 | 682,752 | ||
Pioneer Energy Services CorporationΔ* | 172,875 | 212,636 | ||
ProPetro Holding Corporation* | 22,384 | 275,771 | ||
Renewable Energy Group, Inc.Δ* | 50,583 | 1,299,983 | ||
REX American Resources CorporationΔ* | 7,005 | 477,111 | ||
SEACOR Holdings, Inc.* | 10,900 | 403,300 | ||
SilverBow Resources, Inc.Δ* | 13,332 | 315,168 | ||
Solaris Oilfield Infrastructure, Inc. Class AΔ | 106,500 | 1,287,585 | ||
SRC Energy, Inc.* | 15,346 | 72,126 | ||
Talos Energy, Inc.* | 3,200 | 52,224 | ||
US Silica Holdings, Inc.Δ | 25,882 | 263,479 | ||
W&T Offshore, Inc.Δ* | 16,300 | 67,156 | ||
World Fuel Services Corporation | 9,700 | 207,677 | ||
17,275,158 | ||||
Financials — 16.8% | ||||
1st Source Corporation | 12,248 | 494,084 | ||
American Equity Investment Life Holding Co. | 58,418 | 1,632,199 | ||
American National Bankshares, Inc.Δ | 1,300 | 38,103 | ||
AMERISAFE, Inc. | 22,000 | 1,247,180 | ||
Argo Group International Holdings, Ltd. | 42,145 | 2,834,251 | ||
Atlantic Capital Bancshares, Inc.* | 12,900 | 211,173 | ||
BancFirst Corporation | 9,100 | 454,090 | ||
Bancorp, Inc. (The)* | 99,011 | 788,128 | ||
Bank of Commerce HoldingsΔ | 2,061 | 22,589 | ||
Bank of Marin Bancorp | 7,200 | 296,928 | ||
BankFinancial Corporation | 3,300 | 49,335 | ||
Banner Corporation | 27,893 | 1,491,718 | ||
Baycom Corporation* | 3,125 | 72,156 | ||
BlackRock TCP Capital Corporation | 42,996 | 560,668 | ||
Bridge Bancorp, Inc. | 13,471 | 343,376 | ||
Bryn Mawr Bank Corporation | 12,629 | 434,438 | ||
Cadence BanCorpΔ | 137,600 | 2,308,928 | ||
Capital City Bank Group, Inc.Δ | 3,700 | 85,877 | ||
Capital Southwest Corporation | 9,686 | 186,165 | ||
Cathay General Bancorp | 4,000 | 134,120 | ||
CenterState Bank Corporation | 43,530 | 915,871 | ||
Central Pacific Financial CorporationΔ | 52,882 | 1,287,677 |
Shares | Value | |||
Central Valley Community Bancorp | 6,000 | $113,220 | ||
Century Bancorp, Inc. Class AΔ | 3,277 | 221,951 | ||
Chemung Financial CorporationΔ | 336 | 13,880 | ||
Cherry Hill Mortgage Investment Corporation REIT | 16,300 | 285,902 | ||
City Holding Co.Δ | 12,295 | 831,019 | ||
CNO Financial Group, Inc. | 93,945 | 1,397,902 | ||
Commerce Bancshares, Inc.Δ | 5,145 | 290,024 | ||
Community Trust Bancorp, Inc.Δ | 6,200 | 245,582 | ||
Cowen, Inc.Δ* | 29,136 | 388,674 | ||
Donegal Group, Inc. Class A | 1,700 | 23,196 | ||
East West Bancorp, Inc. | 12,600 | 548,478 | ||
Enova International, Inc.Δ* | 20,504 | 399,008 | ||
Enterprise Financial Services Corporation | 14,800 | 556,924 | ||
Essent Group, Ltd.* | 41,053 | 1,403,192 | ||
Evercore, Inc. Class A | 6,800 | 486,608 | ||
FCB Financial Holdings, Inc. Class A* | 21,284 | 714,717 | ||
FedNat Holding Co. | 12,125 | 241,530 | ||
Financial Institutions, Inc. | 23,991 | 616,569 | ||
First BancorpΔ | 38,652 | 1,262,374 | ||
First BanCorp | 132,500 | 1,139,500 | ||
First Bancshares, Inc. (The) | 3,300 | 99,825 | ||
First Business Financial Services, Inc. | 4,500 | 87,795 | ||
First Citizens BancShares, Inc. Class A | 681 | 256,771 | ||
First Commonwealth Financial CorporationΔ | 35,100 | 424,008 | ||
First Defiance Financial Corporation | 9,800 | 240,198 | ||
First Financial BancorpΔ | 43,931 | 1,042,043 | ||
First Financial Corporation | 9,350 | 375,402 | ||
First Hawaiian, Inc. | 800 | 18,008 | ||
First Interstate BancSystem, Inc. Class A | 28,975 | 1,059,326 | ||
First Merchants Corporation | 5,100 | 174,777 | ||
First Midwest Bancorp, Inc. | 27,300 | 540,813 | ||
Flagstar Bancorp, Inc.* | 37,500 | 990,000 | ||
Focus Financial Partners, Inc. Class A* | 52,500 | 1,382,325 | ||
Great Southern Bancorp, Inc.Δ | 3,800 | 174,914 | ||
Great Western Bancorp, Inc. | 39,907 | 1,247,094 | ||
Greenhill & Co., Inc.Δ | 14,109 | 344,260 | ||
Hallmark Financial Services, Inc.Δ* | 5,100 | 54,519 | ||
Hamilton Lane, Inc. Class AΔ | 83,825 | 3,101,525 | ||
Hancock Whitney Corporation | 19,400 | 672,210 | ||
Hanover Insurance Group, Inc. (The) | 10,629 | 1,241,148 | ||
Health Insurance Innovations, Inc. Class AΔ* | 69,637 | 1,861,397 | ||
Heartland Financial USA, Inc.Δ | 4,900 | 215,355 | ||
Heritage Commerce Corporation | 15,400 | 174,636 | ||
Heritage Financial CorporationΔ | 9,100 | 270,452 | ||
Heritage Insurance Holdings, Inc.Δ | 24,800 | 365,056 | ||
Home Bancorp, Inc. | 500 | 17,700 | ||
HomeTrust Bancshares, Inc. | 13,241 | 346,649 | ||
Hope Bancorp, Inc. | 31,291 | 371,111 | ||
IBERIABANK Corporation | 7,100 | 456,388 | ||
Independent Bank Corporation | 33,696 | 708,290 |
Table of Contents
Shares | Value | |||
Independent Bank Corporation (Rockland) | 12,658 | $889,984 | ||
Independent Bank Group, Inc. | 19,668 | 900,204 | ||
INTL. FCStone, Inc.* | 14,777 | 540,543 | ||
Jefferies Financial Group, Inc. | 21,166 | 367,442 | ||
Ladenburg Thalmann Financial Services, Inc. | 15,200 | 35,416 | ||
LegacyTexas Financial Group, Inc. | 6,600 | 211,794 | ||
LendingTree, Inc.Δ* | 2,475 | 543,436 | ||
Marlin Business Services Corporation | 2,800 | 62,524 | ||
Mercantile Bank Corporation | 1,000 | 28,260 | ||
Merchants Bancorp | 2,686 | 53,613 | ||
Meridian Bancorp, Inc. | 11,200 | 160,384 | ||
Meta Financial Group, Inc. | 63,900 | 1,239,021 | ||
Metropolitan Bank Holding Corporation* | 3,400 | 104,890 | ||
MGIC Investment Corporation* | 242,911 | 2,540,849 | ||
MidSouth Bancorp, Inc.Δ | 2,688 | 28,493 | ||
MidWestOne Financial Group, Inc. | 8,012 | 198,938 | ||
Moelis & Co. Class A | 4,845 | 166,571 | ||
National Bank Holdings Corporation Class A | 16,846 | 520,036 | ||
Navient Corporation | 67,501 | 594,684 | ||
Northeast Bancorp | 3,500 | 58,555 | ||
Northrim BanCorp, Inc. | 9,195 | 302,240 | ||
OFG Bancorp | 71,681 | 1,179,869 | ||
Old Line Bancshares, Inc.Δ | 1,000 | 26,320 | ||
Old National BancorpΔ | 66,100 | 1,017,940 | ||
Old Republic International Corporation | 52,478 | 1,079,472 | ||
Old Second Bancorp, Inc. | 1,300 | 16,900 | ||
Oppenheimer Holdings, Inc. Class A | 18,042 | 460,973 | ||
Orrstown Financial Services, Inc.Δ | 800 | 14,568 | ||
Park National CorporationΔ | 3,766 | 319,922 | ||
Peapack Gladstone Financial CorporationΔ | 5,200 | 130,936 | ||
Peoples Bancorp, Inc.Δ | 2,400 | 72,240 | ||
Popular, Inc. | 28,073 | 1,325,607 | ||
Primerica, Inc. | 9,944 | 971,628 | ||
ProAssurance Corporation | 53,000 | 2,149,680 | ||
Provident Financial Services, Inc. | 2,900 | 69,977 | ||
QCR Holdings, Inc. | 6,300 | 202,167 | ||
Radian Group, Inc. | 52,744 | 862,892 | ||
RBB BancorpΔ | 2,300 | 40,411 | ||
Regional Management Corporation* | 15,865 | 381,553 | ||
Reinsurance Group of America, Inc. | 3,900 | 546,897 | ||
Republic Bancorp, Inc. Class A | 6,599 | 255,513 | ||
Riverview Bancorp, Inc. | 3,400 | 24,752 | ||
Sandy Spring Bancorp, Inc. | 1,200 | 37,608 | ||
Santander Consumer USA Holdings, Inc.Δ | 22,375 | 393,576 | ||
Selective Insurance Group, Inc. | 26,178 | 1,595,287 | ||
Shore Bancshares, Inc. | 2,900 | 42,166 | ||
Sierra Bancorp | 20,397 | 490,140 | ||
South State Corporation | 2,000 | 119,900 | ||
Southern National Bancorp of Virginia, Inc. | 2,702 | 35,720 | ||
State Auto Financial Corporation | 2,000 | 68,080 |
Shares | Value | |||
Stellus Capital Investment CorporationΔ | 26,445 | $342,463 | ||
Sterling Bancorp | 38,999 | 643,873 | ||
Stifel Financial Corporation | 25,723 | 1,065,447 | ||
Synovus Financial Corporation | 6,000 | 191,940 | ||
Territorial Bancorp, Inc. | 2,000 | 51,960 | ||
Third Point Reinsurance, Ltd.Δ* | 87,500 | 843,500 | ||
THL Credit, Inc. | 42,763 | 259,999 | ||
TriCo Bancshares | 14,000 | 473,060 | ||
TrustCo Bank CorporationΔ | 57,000 | 391,020 | ||
UMB Financial CorporationΔ | 12,600 | 768,222 | ||
Umpqua Holdings Corporation | 29,239 | 464,900 | ||
Union Bankshares CorporationΔ | 2,400 | 67,752 | ||
United Community Banks, Inc. | 1,900 | 40,774 | ||
United Financial Bancorp, Inc. | 1,500 | 22,050 | ||
Valley National BancorpΔ | 99,138 | 880,345 | ||
Voya Financial, Inc. | 17,844 | 716,258 | ||
W.R. Berkley Corporation | 5,190 | 383,593 | ||
Waddell & Reed Financial, Inc. Class AΔ | 37,200 | 672,576 | ||
Washington Federal, Inc.Δ | 21,000 | 560,910 | ||
WesBanco, Inc. | 8,200 | 300,858 | ||
Wintrust Financial Corporation | 9,200 | 611,708 | ||
WisdomTree Investments, Inc.Δ | 272,500 | 1,812,125 | ||
WSFS Financial CorporationΔ | 34,024 | 1,289,850 | ||
81,719,053 | ||||
Health Care — 9.9% | ||||
AAC Holdings, Inc.Δ* | 107,800 | 150,920 | ||
Acceleron Pharma, Inc.Δ* | 25,500 | 1,110,525 | ||
Achillion Pharmaceuticals, Inc.* | 29,600 | 47,064 | ||
Acorda Therapeutics, Inc.Δ* | 34,700 | 540,626 | ||
Adamas Pharmaceuticals, Inc.Δ* | 62,169 | 530,923 | ||
Addus HomeCare CorporationΔ* | 44,700 | 3,034,236 | ||
Adverum Biotechnologies, Inc.Δ* | 13,900 | 43,785 | ||
Akebia Therapeutics, Inc.Δ* | 19,800 | 109,494 | ||
Alder Biopharmaceuticals, Inc.Δ* | 4,200 | 43,050 | ||
Allscripts Healthcare Solutions, Inc.* | 69,000 | 665,160 | ||
AMAG Pharmaceuticals, Inc.Δ* | 9,100 | 138,229 | ||
Amedisys, Inc.* | 17,178 | 2,011,716 | ||
American Renal Associates Holdings, Inc.Δ* | 56,600 | 652,032 | ||
Applied Genetic Technologies CorporationΔ* | 6,200 | 15,438 | ||
Aratana Therapeutics, Inc.* | 5,400 | 33,102 | ||
Ardelyx, Inc.* | 9,200 | 16,468 | ||
Assertio Therapeutics, Inc.* | 11,100 | 40,071 | ||
BioSpecifics Technologies Corporation* | 8,461 | 512,737 | ||
Blueprint Medicines Corporation* | 31,200 | 1,681,992 | ||
Calithera Biosciences, Inc.Δ* | 5,200 | 20,852 | ||
Catalent, Inc.* | 15,056 | 469,446 | ||
Chimerix, Inc.* | 31,998 | 82,235 | ||
Cidara Therapeutics, Inc.Δ* | 9,300 | 21,855 | ||
Conformis, Inc.Δ* | 23,800 | 8,520 | ||
CONMED Corporation | 19,055 | 1,223,331 | ||
Corvus Pharmaceuticals, Inc.* | 4,000 | 14,680 |
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Shares | Value | |||
CryoLife, Inc.* | 39,164 | $1,111,474 | ||
Eagle Pharmaceuticals, Inc.Δ* | 6,775 | 272,965 | ||
Epizyme, Inc.Δ* | 5,000 | 30,800 | ||
Evolent Health, Inc. Class AΔ* | 45,100 | 899,745 | ||
Five Prime Therapeutics, Inc.Δ* | 5,000 | 46,500 | ||
Five Star Senior Living, Inc.Ψ†††* | 2,086 | — | ||
HealthEquity, Inc.* | 13,900 | 829,135 | ||
Innoviva, Inc.* | 32,296 | 563,565 | ||
Inogen, Inc.Δ* | 3,700 | 459,429 | ||
Inspire Medical Systems, Inc.Δ* | 24,500 | 1,035,125 | ||
Integer Holdings Corporation* | 24,500 | 1,868,370 | ||
Intra-Cellular Therapies, Inc.* | 4,700 | 53,533 | ||
iRhythm Technologies, Inc.Δ* | 25,200 | 1,750,896 | ||
Lannett Co., Inc.Δ* | 49,428 | 245,163 | ||
LHC Group, Inc.Δ* | 30,800 | 2,891,504 | ||
Ligand Pharmaceuticals, Inc.Δ* | 7,762 | 1,053,303 | ||
Loxo Oncology, Inc.* | 11,600 | 1,624,812 | ||
Medicines Co. (The)Δ* | 41,733 | 798,770 | ||
Menlo Therapeutics, Inc.Δ* | 8,300 | 34,196 | ||
Merit Medical Systems, Inc.* | 24,193 | 1,350,211 | ||
Merrimack Pharmaceuticals, Inc.Δ* | 5,100 | 19,686 | ||
Minerva Neurosciences, Inc.* | 13,529 | 91,186 | ||
MyoKardia, Inc.Δ* | 18,100 | 884,366 | ||
NantKwest, Inc.Δ* | 7,400 | 8,584 | ||
Natera, Inc.* | 48,777 | 680,927 | ||
NextGen Healthcare, Inc.Δ* | 16,600 | 251,490 | ||
NuVasive, Inc.Δ* | 18,404 | 912,102 | ||
Orthofix Medical, Inc.* | 7,100 | 372,679 | ||
Ovid therapeutics, Inc.Δ* | 2,000 | 4,840 | ||
PetIQ, Inc.Δ* | 47,700 | 1,119,519 | ||
Phibro Animal Health Corporation Class A | 13,632 | 438,405 | ||
Prestige Consumer Healthcare, Inc.Δ* | 42,674 | 1,317,773 | ||
Psychemedics Corporation | 7,395 | 117,359 | ||
Puma Biotechnology, Inc.Δ* | 16,978 | 345,502 | ||
Quidel CorporationΔ* | 22,615 | 1,104,064 | ||
Ra Pharmaceuticals, Inc.* | 1,100 | 20,020 | ||
Repligen CorporationΔ* | 25,405 | 1,339,860 | ||
Retrophin, Inc.* | 50,267 | 1,137,542 | ||
Rhythm Pharmaceuticals, Inc.Δ* | 47,900 | 1,287,552 | ||
RTI Surgical, Inc.* | 91,325 | 337,903 | ||
SeaSpine Holdings CorporationΔ* | 2,700 | 49,248 | ||
Spark Therapeutics, Inc.Δ* | 12,085 | 473,007 | ||
Spectrum Pharmaceuticals, Inc.* | 50,993 | 446,189 | ||
Spero Therapeutics, Inc.Δ* | 1,600 | 9,840 | ||
Supernus Pharmaceuticals, Inc.Δ* | 15,856 | 526,736 | ||
Syndax Pharmaceuticals, Inc.Δ* | 2,100 | 9,345 | ||
Tabula Rasa HealthCare, Inc.Δ* | 6,724 | 428,722 | ||
Tandem Diabetes Care, Inc.* | 54,600 | 2,073,162 | ||
Tetraphase Pharmaceuticals, Inc.* | 10,500 | 11,865 | ||
Tivity Health, Inc.* | 6,446 | 159,925 | ||
Ultragenyx Pharmaceutical, Inc.Δ* | 5,317 | 231,183 | ||
Vanda Pharmaceuticals, Inc.* | 55,981 | 1,462,784 | ||
WellCare Health Plans, Inc.* | 2,200 | 519,398 | ||
48,330,746 | ||||
Industrials — 16.7% | ||||
ABM Industries, Inc.Δ | 37,488 | 1,203,740 |
Shares | Value | |||
AGCO Corporation | 8,900 | $495,463 | ||
Albany International Corporation Class A | 60,200 | 3,758,286 | ||
Allied Motion Technologies, Inc. | 8,259 | 369,095 | ||
Apogee Enterprises, Inc.Δ | 4,936 | 147,340 | ||
Applied Industrial Technologies, Inc. | 25,104 | 1,354,110 | ||
ARC Document Solutions, Inc.* | 114,789 | 235,317 | ||
ArcBest CorporationΔ | 16,900 | 578,994 | ||
Argan, Inc.Δ | 7,400 | 280,016 | ||
Armstrong Flooring, Inc.* | 40,362 | 477,886 | ||
ASGN, Inc.* | 88,921 | 4,846,194 | ||
Atkore International Group, Inc.* | 24,487 | 485,822 | ||
Barnes Group, Inc. | 22,725 | 1,218,514 | ||
Beacon Roofing Supply, Inc.Δ* | 119,100 | 3,777,852 | ||
Briggs & Stratton Corporation | 30,457 | 398,378 | ||
BrightView Holdings, Inc.* | 26,065 | 266,124 | ||
Casella Waste Systems, Inc. Class A* | 34,709 | 988,859 | ||
CIRCOR International, Inc.Δ* | 55,400 | 1,180,020 | ||
Clean Harbors, Inc.* | 45,500 | 2,245,425 | ||
Columbus McKinnon Corporation | 34,460 | 1,038,624 | ||
Comfort Systems USA, Inc. | 14,760 | 644,717 | ||
Continental Building Products, Inc.* | 70,646 | 1,797,941 | ||
Covenant Transportation Group, Inc. Class A* | 13,489 | 258,989 | ||
CRA International, Inc. | 19,386 | 824,874 | ||
CSW Industrials, Inc.* | 6,280 | 303,638 | ||
Ducommun, Inc.Δ* | 9,000 | 326,880 | ||
EMCOR Group, Inc. | 70,179 | 4,188,984 | ||
Encore Wire Corporation | 1,500 | 75,270 | ||
ESCO Technologies, Inc. | 14,207 | 936,952 | ||
Exponent, Inc. | 48,800 | 2,474,648 | ||
Federal Signal Corporation | 50,778 | 1,010,482 | ||
Fluor Corporation | 10,500 | 338,100 | ||
Foundation Building Materials, Inc.* | 15,500 | 128,805 | ||
Granite Construction, Inc. | 22,463 | 904,810 | ||
H&E Equipment Services, Inc. | 900 | 18,378 | ||
Hawaiian Holdings, Inc.Δ | 15,410 | 406,978 | ||
HD Supply Holdings, Inc.* | 29,488 | 1,106,390 | ||
Healthcare Services Group, Inc.Δ | 76,750 | 3,083,815 | ||
Heidrick & Struggles International, Inc. | 15,399 | 480,295 | ||
Herc Holdings, Inc.* | 9,615 | 249,894 | ||
Herman Miller, Inc. | 21,874 | 661,688 | ||
Hillenbrand, Inc. | 5,719 | 216,922 | ||
Hub Group, Inc. Class A* | 11,327 | 419,892 | ||
Hyster-Yale Materials Handling, Inc. | 5,600 | 346,976 | ||
ICF International, Inc. | 19,570 | 1,267,745 | ||
Kadant, Inc.Δ | 15,301 | 1,246,419 | ||
KBR, Inc. | 61,300 | 930,534 | ||
Kelly Services, Inc. Class A | 17,500 | 358,400 | ||
KeyW Holding Corporation (The)Δ* | 23,017 | 153,984 | ||
Kforce, Inc. | 12,664 | 391,571 | ||
Kimball International, Inc. Class B | 27,760 | 393,914 | ||
Knight-Swift Transportation HoldingsΔ | 22,200 | 556,554 | ||
LSI Industries, Inc. | 64,918 | 205,790 | ||
Manitowoc Co., Inc. (The)Δ* | 27,800 | 410,606 | ||
MasTec, Inc.Δ* | 16,324 | 662,101 |
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Shares | Value | |||
Miller Industries, Inc. | 14,223 | $384,021 | ||
Moog, Inc. | 16,688 | 1,292,986 | ||
MRC Global, Inc.Δ* | 17,100 | 209,133 | ||
MYR Group, Inc.* | 37,890 | 1,067,361 | ||
Navigant Consulting, Inc. | 39,169 | 942,014 | ||
Navistar International Corporation* | 14,400 | 373,680 | ||
Orion Group Holdings, Inc.* | 5,600 | 24,024 | ||
Park-Ohio Holdings Corporation | 3,500 | 107,415 | ||
Powell Industries, Inc. | 6,400 | 160,064 | ||
Quanta Services, Inc. | 32,922 | 990,952 | ||
Radiant Logistics, Inc.* | 35,939 | 152,741 | ||
RBC Bearings, Inc.Δ* | 11,000 | 1,442,100 | ||
Resources Connection, Inc. | 1,200 | 17,040 | ||
Rexnord Corporation* | 69,600 | 1,597,320 | ||
Rush Enterprises, Inc. Class A | 19,400 | 668,912 | ||
Ryder System, Inc. | 2,300 | 110,745 | ||
Safe Bulkers, Inc.* | 11,200 | 19,936 | ||
SPX FLOW, Inc.* | 12,400 | 377,208 | ||
Sterling Construction Co., Inc.* | 19,400 | 211,266 | ||
Terex Corporation | 5,100 | 140,607 | ||
Tetra Tech, Inc. | 21,405 | 1,108,137 | ||
Thermon Group Holdings, Inc.* | 15,896 | 322,371 | ||
Titan International, Inc. | 4,100 | 19,106 | ||
TriMas Corporation* | 1,785 | 48,713 | ||
TriNet Group, Inc.* | 92,900 | 3,897,155 | ||
Triumph Group, Inc.Δ | 4,400 | 50,600 | ||
TrueBlue, Inc.* | 36,579 | 813,883 | ||
UniFirst Corporation | 8,000 | 1,144,560 | ||
US Ecology, Inc. | 13,102 | 825,164 | ||
US Xpress Enterprises, Inc. Class A* | 29,068 | 163,071 | ||
USA Truck, Inc.* | 19,894 | 297,813 | ||
Vectrus, Inc.* | 24,210 | 522,452 | ||
Veritiv Corporation* | 17,863 | 446,039 | ||
Viad Corporation | 38,700 | 1,938,483 | ||
WageWorks, Inc.* | 89,011 | 2,417,539 | ||
WESCO International, Inc.* | 19,448 | 933,504 | ||
Willdan Group, Inc.* | 34,300 | 1,199,814 | ||
Willscot CorporationΔ* | 145,400 | 1,369,668 | ||
Woodward, Inc. | 6,572 | 488,234 | ||
81,425,826 | ||||
Information Technology — 18.3% | ||||
2U, Inc.Δ* | 56,700 | 2,819,124 | ||
ACI Worldwide, Inc.Δ* | 52,900 | 1,463,743 | ||
ADTRAN, Inc. | 33,000 | 354,420 | ||
Alpha & Omega Semiconductor, Ltd.Δ* | 33,325 | 339,582 | ||
Amkor Technology, Inc.* | 62,500 | 410,000 | ||
Anaplan, Inc.Δ* | 3,000 | 79,620 | ||
Anixter International, Inc.* | 19,715 | 1,070,722 | ||
Arlo Technologies, Inc.Δ* | 26,185 | 261,326 | ||
Aspen Technology, Inc.* | 8,757 | 719,650 | ||
Avaya Holdings CorporationΔ* | 58,900 | 857,584 | ||
Avid Technology, Inc.Δ* | 48,200 | 228,950 | ||
Avnet, Inc. | 26,222 | 946,614 | ||
Bel Fuse, Inc. Class B | 6,100 | 112,362 | ||
Belden, Inc.Δ | 16,331 | 682,146 | ||
Benchmark Electronics, Inc. | 37,400 | 792,132 |
Shares | Value | |||
Blackbaud, Inc.Δ | 5,702 | $358,656 | ||
Blackline, Inc.* | 50,900 | 2,084,355 | ||
Bottomline Technologies de, Inc.* | 41,000 | 1,968,000 | ||
Brooks Automation, Inc.Δ | 38,955 | 1,019,842 | ||
Cabot Microelectronics Corporation | 15,600 | 1,487,460 | ||
Calix, Inc.* | 28,600 | 278,850 | ||
ChannelAdvisor Corporation* | 8,100 | 91,935 | ||
Cirrus Logic, Inc.* | 30,200 | 1,002,036 | ||
Cision, Ltd.Δ* | 218,300 | 2,554,110 | ||
Comtech Telecommunications Corporation | 7,000 | 170,380 | ||
Cray, Inc.* | 19,000 | 410,210 | ||
Daktronics, Inc. | 28,900 | 213,860 | ||
Digi International, Inc.* | 16,900 | 170,521 | ||
DSP Group, Inc.* | 10,800 | 120,960 | ||
eGain Corporation* | 2,700 | 17,739 | ||
Electronics For Imaging, Inc.* | 6,600 | 163,680 | ||
EMCORE CorporationΔ* | 7,600 | 31,920 | ||
Evo Payments, Inc. Class AΔ* | 102,900 | 2,538,543 | ||
Exela Technologies, Inc.Δ* | 177,200 | 689,308 | ||
ExlService Holdings, Inc.Δ* | 79,158 | 4,165,294 | ||
Fair Isaac Corporation* | 11,850 | 2,215,950 | ||
FireEye, Inc.* | 6,600 | 106,986 | ||
Fitbit, Inc. Class AΔ* | 78,700 | 391,139 | ||
ForeScout Technologies, Inc.* | 34,700 | 901,853 | ||
Harmonic, Inc.Δ* | 80,300 | 379,016 | ||
II-VI, Inc.* | 31,076 | 1,008,727 | ||
Infinera CorporationΔ* | 112,900 | 450,471 | ||
Insight Enterprises, Inc.* | 14,436 | 588,267 | ||
Instructure, Inc.Δ* | 57,600 | 2,160,576 | ||
inTEST CorporationΔ* | 29,712 | 182,135 | ||
Intevac, Inc.Δ* | 10,900 | 57,007 | ||
j2 Global, Inc.Δ | 76,499 | 5,307,501 | ||
Jabil, Inc. | 51,091 | 1,266,546 | ||
Kimball Electronics, Inc.* | 23,354 | 361,753 | ||
Kulicke & Soffa Industries, Inc. | 18,560 | 376,211 | ||
Littelfuse, Inc. | 16,100 | 2,760,828 | ||
MACOM Technology Solutions Holdings, Inc.Δ* | 11,343 | 164,587 | ||
MaxLinear, Inc.Δ* | 65,670 | 1,155,792 | ||
MicroStrategy, Inc. Class A* | 9,742 | 1,244,540 | ||
MINDBODY, Inc. Class A* | 44,200 | 1,608,880 | ||
MKS Instruments, Inc. | 30,000 | 1,938,300 | ||
NeoPhotonics CorporationΔ* | 13,000 | 84,240 | ||
NETGEAR, Inc.Δ* | 16,978 | 883,365 | ||
NetScout Systems, Inc.Δ* | 13,600 | 321,368 | ||
New Relic, Inc.* | 14,000 | 1,133,580 | ||
nLight, Inc.Δ* | 112,000 | 1,991,360 | ||
Paycom Software, Inc.Δ* | 2,255 | 276,125 | ||
Paylocity Holding Corporation* | 54,000 | 3,251,340 | ||
PC Connection, Inc.Δ | 2,694 | 80,093 | ||
PCM, Inc.Δ* | 15,529 | 273,466 | ||
Pegasystems, Inc. | 35,500 | 1,697,965 | ||
Photronics, Inc.* | 61,272 | 593,113 | ||
Pixelworks, Inc.Δ* | 22,000 | 63,800 | ||
Plantronics, Inc. | 16,714 | 553,233 | ||
Pluralsight, Inc. Class AΔ* | 84,500 | 1,989,975 |
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Shares | Value | |||
Priority Technology Holdings, Inc.Δ* | 122,900 | $981,971 | ||
Progress Software Corporation | 13,563 | 481,351 | ||
Proofpoint, Inc.* | 3,267 | 273,807 | ||
Q2 Holdings, Inc.* | 109,578 | 5,429,590 | ||
Quantum CorporationΔ* | 47,400 | 94,800 | ||
Rapid7, Inc.* | 18,518 | 577,021 | ||
RealPage, Inc.* | 92,000 | 4,433,480 | ||
Rubicon Project, Inc. (The)* | 46,800 | 174,564 | ||
Sanmina Corporation* | 15,550 | 374,133 | ||
ScanSource, Inc.* | 9,600 | 330,048 | ||
Seachange International, Inc.Δ* | 58,181 | 73,308 | ||
Semtech Corporation* | 26,674 | 1,223,536 | ||
Silicon Laboratories, Inc.* | 9,655 | 760,911 | ||
Synaptics, Inc.Δ* | 25,000 | 930,250 | ||
Synchronoss Technologies, Inc.Δ* | 29,500 | 181,130 | ||
SYNNEX Corporation | 5,567 | 450,036 | ||
Tech Data Corporation* | 8,000 | 654,480 | ||
Telaria, Inc.Δ* | 25,300 | 69,069 | ||
Telenav, Inc.* | 9,100 | 36,946 | ||
Teradata Corporation* | 20,427 | 783,580 | ||
Unisys CorporationΔ* | 31,800 | 369,834 | ||
USA Technologies, Inc.Δ* | 129,400 | 503,366 | ||
Viavi Solutions, Inc.* | 89,600 | 900,480 | ||
Vishay Precision Group, Inc.* | 10,457 | 316,115 | ||
Zix Corporation* | 88,348 | 506,234 | ||
89,405,762 | ||||
Materials — 3.4% | ||||
Ashland Global Holdings, Inc. | 5,400 | 383,184 | ||
Balchem Corporation | 7,556 | 592,013 | ||
Boise Cascade Co. | 41,478 | 989,250 | ||
Clearwater Paper CorporationΔ* | 12,600 | 307,062 | ||
Coeur Mining, Inc.Δ* | 112,011 | 500,689 | ||
Domtar Corporation | 22,586 | 793,446 | ||
Flotek Industries, Inc.Δ* | 127,500 | 138,975 | ||
FutureFuel Corporation | 10,632 | 168,624 | ||
Huntsman Corporation | 2,900 | 55,941 | ||
Kaiser Aluminum Corporation | 12,760 | 1,139,340 | ||
Kraton Corporation* | 17,200 | 375,648 | ||
Materion Corporation | 10,800 | 485,892 | ||
Mercer International, Inc. | 33,991 | 354,866 | ||
Minerals Technologies, Inc. | 20,374 | 1,046,001 | ||
Neenah, Inc. | 20,345 | 1,198,727 | ||
Olympic Steel, Inc.Δ | 2,349 | 33,520 | ||
OMNOVA Solutions, Inc.* | 13,642 | 99,996 | ||
Orion Engineered Carbons SA | 11,226 | 283,793 | ||
Quaker Chemical CorporationΔ | 6,159 | 1,094,516 | ||
Resolute Forest Products, Inc. | 33,326 | 264,275 | ||
Steel Dynamics, Inc. | 32,196 | 967,168 | ||
Stepan Co.Δ | 12,717 | 941,058 | ||
Summit Materials, Inc. Class AΔ* | 118,409 | 1,468,272 | ||
SunCoke Energy, Inc.* | 10,100 | 86,355 | ||
Trinseo SA | 16,780 | 768,188 | ||
Verso Corporation Class A* | 26,064 | 583,834 | ||
Warrior Met Coal, Inc. | 16,386 | 395,067 |
Shares | Value | |||
Worthington Industries, Inc.Δ | 31,949 | $1,113,103 | ||
16,628,803 | ||||
Real Estate — 6.2% | ||||
Alexander & Baldwin, Inc. REITΔ* | 6,000 | 110,280 | ||
Americold Realty Trust REITΔ | 29,878 | 763,084 | ||
Armada Hoffler Properties, Inc. REIT | 87,150 | 1,225,329 | ||
Ashford Hospitality Trust, Inc. REITΔ | 180,810 | 723,240 | ||
Braemar Hotels & Resorts, Inc. REIT | 51,155 | 456,814 | ||
Brixmor Property Group, Inc. REIT | 51,830 | 761,383 | ||
Camden Property Trust REIT | 400 | 35,220 | ||
Cedar Realty Trust, Inc. REIT | 124,585 | 391,197 | ||
Chatham Lodging Trust REIT | 27,000 | 477,360 | ||
Chesapeake Lodging Trust REITΔ | 38,652 | 941,176 | ||
City Office REIT, Inc.Δ | 53,476 | 548,129 | ||
CoreCivic, Inc. REIT | 30,300 | 540,249 | ||
CorePoint Lodging, Inc. REIT | 36,781 | 450,567 | ||
Cousins Properties, Inc. REIT | 90,479 | 714,784 | ||
DiamondRock Hospitality Co. REIT | 67,400 | 611,992 | ||
EastGroup Properties, Inc. REIT | 15,216 | 1,395,764 | ||
First Industrial Realty Trust, Inc. REIT | 49,176 | 1,419,220 | ||
Franklin Street Properties Corporation REIT | 16,800 | 104,664 | ||
Getty Realty Corporation REIT | 5,200 | 152,932 | ||
Gladstone Commercial Corporation REIT | 25,409 | 455,329 | ||
Global Medical REIT, Inc.Δ | 45,618 | 405,544 | ||
Hersha Hospitality Trust REIT | 37,054 | 649,927 | ||
Howard Hughes Corporation (The)* | 4,700 | 458,814 | ||
Industrial Logistics Properties Trust REITΔ | 5,261 | 103,484 | ||
iStar, Inc. REITΔ | 27,200 | 249,424 | ||
Kennedy-Wilson Holdings, Inc.Δ | 167,525 | 3,043,929 | ||
Kite Realty Group Trust REITΔ | 88,710 | 1,249,924 | ||
Mack-Cali Realty Corporation REITΔ | 49,363 | 967,021 | ||
MedEquities Realty Trust, Inc. REIT | 4,007 | 27,408 | ||
National Storage Affiliates Trust REIT | 44,400 | 1,174,824 | ||
NexPoint Residential Trust, Inc. REITΔ | 12,400 | 434,620 | ||
Paramount Group, Inc. REIT | 14,200 | 178,352 | ||
Park Hotels & Resorts, Inc. REIT | 35,902 | 932,734 | ||
Pebblebrook Hotel Trust REIT | 30,685 | 868,692 | ||
Physicians Realty Trust REIT | 34,732 | 556,754 | ||
PS Business Parks, Inc. REIT | 800 | 104,800 | ||
Rayonier, Inc. REIT | 4,000 | 110,760 | ||
Retail Properties of America, Inc. Class A REIT | 2,100 | 22,785 | ||
RMR Group, Inc. (The) Class A | 9,361 | 496,882 | ||
RPT Realty REIT | 103,921 | 1,241,856 | ||
Spirit Realty Capital, Inc. REIT | 29,923 | 1,054,786 | ||
Sunstone Hotel Investors, Inc. REIT | 44,400 | 577,644 | ||
Tier REIT, Inc. | 33,800 | 697,294 | ||
UMH Properties, Inc. REIT | 26,201 | 310,220 | ||
VEREIT, Inc. REIT | 159,139 | 1,137,844 |
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Shares | Value | |||
Xenia Hotels & Resorts, Inc. REIT | 63,916 | $1,099,355 | ||
30,434,390 | ||||
Utilities — 2.9% | ||||
AES Corporation | 65,635 | 949,082 | ||
ALLETE, Inc. | 10,180 | 775,920 | ||
MDU Resources Group, Inc. | 25,234 | 601,579 | ||
Northwest Natural Holding Co. | 10,100 | 610,646 | ||
NorthWestern CorporationΔ | 33,818 | 2,010,142 | ||
NRG Energy, Inc. | 36,699 | 1,453,280 | ||
ONE Gas, Inc. | 7,800 | 620,880 | ||
PNM Resources, Inc. | 16,578 | 681,190 | ||
Portland General Electric Co. | 23,941 | 1,097,695 | ||
South Jersey Industries, Inc.Δ | 50,528 | 1,404,678 | ||
Southwest Gas Holdings, Inc. | 4,100 | 313,650 | ||
Spire, Inc. | 24,147 | 1,788,810 | ||
UGI Corporation | 24,484 | 1,306,221 | ||
Unitil Corporation | 12,487 | 632,342 | ||
14,246,115 | ||||
Total Common Stocks (Cost $504,741,840) | 450,239,463 | |||
FOREIGN COMMON STOCKS — 3.7% | ||||
Canada — 1.0% | ||||
Bausch Health Cos., Inc.* | 3,489 | 64,442 | ||
Colliers International Group, Inc. | 10,441 | 574,673 | ||
FirstService CorporationΔ | 8,039 | 550,511 | ||
Fortuna Silver Mines, Inc.Δ* | 145,660 | 530,202 | ||
IMAX CorporationΔ* | 77,400 | 1,455,894 | ||
Methanex CorporationΔ | 9,868 | 475,341 | ||
North American Construction Group, Ltd. | 7,444 | 66,252 | ||
Points International, Ltd.* | 22,640 | 225,494 | ||
SunOpta, Inc.* | 166,500 | 644,355 | ||
Taseko Mines, Ltd.* | 148,312 | 70,152 | ||
TransAlta CorporationΔ | 19,457 | 80,163 | ||
TransGlobe Energy CorporationΔ | 109,688 | 205,116 | ||
4,942,595 | ||||
France — 0.3% | ||||
Talend SA ADRΔ* | 37,000 | 1,371,960 | ||
Ireland — 0.4% | ||||
Horizon Pharma PLC* | 26,595 | 519,666 | ||
ICON PLC* | 4,100 | 529,761 | ||
Jazz Pharmaceuticals PLC* | 1,514 | 187,676 | ||
Mallinckrodt PLCΔ* | 53,013 | 837,605 | ||
Prothena Corporation PLC* | 8,200 | 84,460 | ||
2,159,168 | ||||
Israel — 0.3% | ||||
Ceragon Networks, Ltd.* | 66,648 | 251,929 | ||
Stratasys, Ltd.Δ* | 35,300 | 635,753 | ||
Taro Pharmaceutical Industries, Ltd.Δ | 7,315 | 619,142 | ||
1,506,824 | ||||
Jersey — 1.0% | ||||
Mimecast, Ltd.* | 6,032 | 202,856 | ||
Novocure, Ltd.* | 47,000 | 1,573,560 |
Shares | Value | |||
WNS Holdings, Ltd. ADR* | 69,307 | $2,859,607 | ||
4,636,023 | ||||
Netherlands — 0.7% | ||||
Argenx SE ADRΔ* | 8,700 | 835,809 | ||
InterXion Holding NV* | 18,001 | 974,935 | ||
Wright Medical Group NVΔ* | 53,850 | 1,465,797 | ||
3,276,541 | ||||
Total Foreign Common Stocks (Cost $21,790,476) | 17,893,111 | |||
PREFERRED STOCK — 0.4% | ||||
CuriosityStream LLC0.00 144A CONVΨ†††* (Cost $1,956,000) | 195,600 | 1,956,000 | ||
MONEY MARKET FUNDS — 6.6% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 16,995,292 | 16,995,292 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 15,056,596 | 15,056,596 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 69,363 | 69,363 | ||
Total Money Market Funds (Cost $32,121,251) | 32,121,251 |
Par | |||
U.S. TREASURY OBLIGATION — 0.2% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $989,693) | $1,000,000 | 990,046 | |
TOTAL INVESTMENTS —103.2% (Cost $561,599,260) | 503,199,871 | ||
Liabilities in Excess of Other Assets — (3.2)% | (15,502,053) | ||
NET ASSETS — 100.0% | $487,697,818 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Russell 2000 Mini Index | 03/2019 | 267 | $18,009,150 | $(481,715) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $450,239,463 | $450,239,463 | $— | $—** | |||
Foreign Common Stocks | 17,893,111 | 17,893,111 | — | — | |||
Money Market Funds | 32,121,251 | 32,121,251 | — | — | |||
Preferred Stock | 1,956,000 | — | — | 1,956,000 | |||
U.S. Treasury Obligation | 990,046 | — | 990,046 | — | |||
Total Assets - Investments in Securities | $503,199,871 | $500,253,825 | $990,046 | $1,956,000 | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(481,715) | $(481,715) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(481,715) | $(481,715) | $ — | $ — |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
Financials | 18.7 |
Industrials | 13.6 |
Health Care | 10.6 |
Consumer Discretionary | 10.1 |
Consumer Staples | 9.7 |
Materials | 6.9 |
Information Technology | 5.7 |
Energy | 5.6 |
Communication Services | 5.5 |
Money Market Funds | 5.1 |
Real Estate | 4.0 |
Utilities | 3.9 |
U.S. Treasury Obligation | 0.2 |
Rights | —** |
99.6 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||
Institutional Class* | Benchmark** | ||||
One Year | (12.86)% | (13.79)% | |||
Five Year | N/A | N/A | |||
Ten Year | N/A | N/A | |||
Since Inception | (0.14)% | (0.16)% | |||
Inception Date | 06/01/15 | ||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented September 17, 2018)(1) | 0.22% |
Table of Contents
Shares | Value | |||
COMMON STOCK — 0.0% | ||||
Health Care — 0.0% | ||||
BeiGene, Ltd. ADR* (Cost $230,754) | 1,505 | $211,091 | ||
FOREIGN COMMON STOCKS — 93.9% | ||||
Australia — 6.6% | ||||
AGL Energy, Ltd. | 36,482 | 529,340 | ||
Alumina, Ltd. | 123,227 | 199,628 | ||
Amcor, Ltd. | 58,261 | 543,729 | ||
AMP, Ltd. | 113,756 | 196,304 | ||
APA Group | 43,079 | 257,913 | ||
ASX, Ltd. | 6,366 | 268,764 | ||
Aurizon Holdings, Ltd. | 83,954 | 253,089 | ||
AusNet Services | 170,743 | 187,009 | ||
Australia & New Zealand Banking Group, Ltd. | 130,882 | 2,254,888 | ||
Bank of Queensland, Ltd.Δ | 4,238 | 28,955 | ||
Bendigo and Adelaide Bank, Ltd.Δ | 5,305 | 40,318 | ||
BHP Group, Ltd. | 117,395 | 2,830,382 | ||
BlueScope Steel, Ltd. | 20,263 | 156,424 | ||
Boral, Ltd. | 56,616 | 196,995 | ||
Brambles, Ltd. | 67,897 | 485,406 | ||
Caltex Australia, Ltd. | 11,404 | 204,666 | ||
Challenger, Ltd.Δ | 33,947 | 226,911 | ||
CIMIC Group, Ltd. | 1,304 | 39,871 | ||
Coca-Cola Amatil, Ltd. | 95,359 | 550,090 | ||
Cochlear, Ltd. | 3,288 | 401,971 | ||
Coles Group, Ltd.* | 50,160 | 414,776 | ||
Commonwealth Bank of Australia | 77,119 | 3,932,136 | ||
Computershare, Ltd. | 20,434 | 247,410 | ||
CSL, Ltd. | 18,509 | 2,413,896 | ||
Dexus REIT | 36,721 | 274,680 | ||
Domino’s Pizza Enterprises, Ltd. | 1,020 | 29,204 | ||
Flight Centre Travel Group, Ltd. | 6,157 | 186,130 | ||
Fortescue Metals Group, Ltd. | 95,428 | 281,630 | ||
Goodman Group REIT | 76,569 | 573,291 | ||
GPT Group (The) REIT | 67,147 | 252,555 | ||
Harvey Norman Holdings, Ltd.Δ | 90,687 | 201,846 | ||
Incitec Pivot, Ltd. | 86,785 | 200,497 | ||
Insurance Australia Group, Ltd. | 97,696 | 481,685 | ||
Lend Lease Group | 34,784 | 284,936 | ||
Macquarie Group, Ltd. | 13,348 | 1,021,491 | ||
Medibank Pvt., Ltd. | 117,607 | 212,890 | ||
Mirvac Group REIT | 149,919 | 236,534 | ||
National Australia Bank, Ltd.Δ | 129,758 | 2,199,879 | ||
Newcrest Mining, Ltd. | 36,206 | 555,937 | ||
Orica, Ltd. | 21,761 | 264,397 | ||
Origin Energy, Ltd.* | 89,304 | 406,971 | ||
QBE Insurance Group, Ltd. | 67,446 | 479,806 | ||
Ramsay Health Care, Ltd. | 6,096 | 247,876 | ||
REA Group, Ltd. | 1,108 | 57,735 | ||
Rio Tinto, Ltd. | 15,247 | 842,707 | ||
Santos, Ltd. | 59,995 | 231,571 | ||
Scentre Group REIT | 252,947 | 694,837 | ||
SEEK, Ltd.Δ | 15,462 | 184,270 | ||
Sonic Healthcare, Ltd. | 25,549 | 397,879 | ||
South32, Ltd. | 201,814 | 476,195 | ||
Stockland REIT | 85,681 | 212,430 |
Shares | Value | |||
Suncorp Group, Ltd. | 55,716 | $495,646 | ||
Sydney Airport | 85,801 | 406,720 | ||
Telstra Corporation, Ltd. | 216,660 | 434,923 | ||
TPG Telecom, Ltd. | 4,589 | 20,816 | ||
Transurban Group | 151,919 | 1,246,598 | ||
Unibail-Rodamco-Westfield REIT* | 10,140 | 76,421 | ||
Vicinity Centres REIT | 137,781 | 252,320 | ||
Washington H Soul Pattinson & Co., Ltd. | 1,395 | 24,456 | ||
Wesfarmers, Ltd. | 50,160 | 1,138,339 | ||
Westpac Banking Corporation | 155,825 | 2,748,274 | ||
Woodside Petroleum, Ltd. | 35,507 | 783,293 | ||
WorleyParsons, Ltd. | 15,221 | 122,433 | ||
36,100,969 | ||||
Austria — 0.2% | ||||
ANDRITZ AG | 720 | 33,067 | ||
Erste Group Bank AG* | 12,654 | 419,576 | ||
OMV AG | 5,326 | 232,603 | ||
Raiffeisen Bank International AG | 8,197 | 209,162 | ||
Verbund AGΔ | 1,978 | 84,681 | ||
voestalpine AG | 1,264 | 37,698 | ||
1,016,787 | ||||
Belgium — 0.7% | ||||
Ageas | 8,844 | 398,227 | ||
Colruyt SA | 6,500 | 463,525 | ||
Groupe Bruxelles Lambert SA | 4,039 | 352,074 | ||
KBC Group NV | 10,166 | 660,191 | ||
Proximus SADP | 7,723 | 209,005 | ||
Solvay SA | 4,910 | 491,230 | ||
Telenet Group Holding NV | 6,213 | 289,013 | ||
UCB SA | 7,959 | 650,186 | ||
Umicore SA | 9,507 | 379,718 | ||
3,893,169 | ||||
Denmark — 1.3% | ||||
AP Moeller - Maersk A/S Class A | 399 | 473,399 | ||
AP Moeller - Maersk A/S Class B | 60 | 75,476 | ||
Chr. Hansen Holding A/S | 5,914 | 524,967 | ||
Coloplast A/S Class B | 6,585 | 612,508 | ||
Danske Bank A/S | 33,495 | 664,956 | ||
DSV A/S | 8,840 | 583,815 | ||
Genmab A/SΔ* | 3,898 | 640,911 | ||
H Lundbeck A/S | 5,592 | 246,120 | ||
ISS A/S | 17,246 | 482,833 | ||
Novozymes A/S, B Shares | 12,803 | 572,069 | ||
Orsted A/S 144A | 9,192 | 615,108 | ||
Pandora A/S | 6,981 | 284,999 | ||
Tryg A/S | 10,694 | 269,713 | ||
VestasWind Systems A/SΔ | 9,047 | 684,846 | ||
William Demant Holding A/SΔ* | 8,113 | 230,992 | ||
6,962,712 | ||||
Finland — 1.2% | ||||
Elisa OYJ | 7,229 | 299,420 | ||
Fortum OYJ | 22,487 | 492,226 | ||
Kone OYJ Class B | 13,131 | 626,892 | ||
Metso OYJ | 1,554 | 40,827 |
Table of Contents
Shares | Value | |||
Neste OYJ | 6,074 | $470,265 | ||
Nokia OYJ | 212,443 | 1,233,258 | ||
Nokian Renkaat OYJ | 5,395 | 165,700 | ||
Nordea Bank Abp | 123,780 | 1,042,005 | ||
Orion OYJ Class B | 7,634 | 265,579 | ||
Sampo OYJ, A Shares | 16,393 | 726,532 | ||
Stora Enso OYJ, R Shares | 18,200 | 211,006 | ||
UPM-Kymmene OYJ | 19,161 | 485,038 | ||
Wartsila OYJ AbpΔ | 14,669 | 234,161 | ||
6,292,909 | ||||
France — 9.8% | ||||
Accor SA | 11,377 | 483,736 | ||
Aeroports de Paris | 1,224 | 232,097 | ||
Air Liquide SA | 18,557 | 2,305,830 | ||
Alstom SA | 8,266 | 334,034 | ||
Amundi SA 144A | 1,066 | 56,378 | ||
Arkema SA | 2,141 | 183,881 | ||
Atos SE | 4,791 | 392,374 | ||
AXA SA | 89,425 | 1,932,166 | ||
BioMerieux | 2,764 | 182,094 | ||
BNP Paribas SA | 46,746 | 2,114,251 | ||
Bollore SA | 52,988 | 212,489 | ||
Bouygues SA | 11,283 | 405,148 | ||
Bureau Veritas SA | 11,572 | 235,937 | ||
Capgemini SE | 7,893 | 784,968 | ||
Carrefour SA | 28,164 | 481,129 | ||
Casino Guichard Perrachon SA | 458 | 19,070 | ||
Cie de St-Gobain | 22,125 | 739,325 | ||
Cie Generale des Etablissements Michelin SCA | 7,665 | 761,414 | ||
CNP Assurances | 2,393 | 50,778 | ||
Covivio REIT | 2,682 | 258,738 | ||
Credit Agricole SA | 47,205 | 510,023 | ||
Danone SA | 32,315 | 2,277,402 | ||
Dassault Aviation SA | 24 | 33,273 | ||
Dassault Systemes SA | 5,621 | 667,855 | ||
Edenred | 7,926 | 291,598 | ||
Eiffage SA | 4,139 | 345,995 | ||
Electricite de France SA | 29,966 | 473,803 | ||
Engie SA | 92,801 | 1,331,743 | ||
EssilorLuxottica SA | 13,851 | 1,744,055 | ||
Eurazeo SE | 2,937 | 207,961 | ||
Eurofins Scientific SE Millicom International Cellular SA SDRΔ | 602 | 224,856 | ||
Eutelsat Communications SA | 8,399 | 165,566 | ||
Faurecia SA | 3,831 | 145,156 | ||
Gecina SA REIT | 2,894 | 374,685 | ||
Getlink SE | 19,820 | 266,374 | ||
Hermes International | 1,819 | 1,010,381 | ||
ICADE REIT | 2,606 | 198,557 | ||
Iliad SAΔ | 1,822 | 256,039 | ||
Imerys SA | 3,201 | 153,964 | ||
Ingenico Group | 2,848 | 161,654 | ||
Ipsen SA | 3,144 | 406,513 | ||
JCDecaux SAΔ | 1,071 | 30,088 | ||
Kering SA | 3,384 | 1,595,863 | ||
Klepierre REIT | 14,221 | 439,278 |
Shares | Value | |||
L’Oreal SA | 13,330 | $3,072,897 | ||
Legrand SA | 8,901 | 502,777 | ||
Natixis SA | 43,853 | 206,957 | ||
Orange SA | 91,693 | 1,487,086 | ||
Peugeot SA | 23,149 | 494,521 | ||
Publicis Groupe SA | 9,683 | 555,602 | ||
Renault SA | 7,966 | 497,880 | ||
Rexel SA | 16,065 | 171,180 | ||
Safran SA | 12,862 | 1,553,242 | ||
Sanofi | 50,211 | 4,352,664 | ||
Sartorius Stedim Biotech | 1,344 | 134,509 | ||
Schneider Electric SE | 21,852 | 1,495,205 | ||
SCOR SE | 5,564 | 251,173 | ||
SEB SA | 1,701 | 219,838 | ||
SES SA | 12,769 | 244,469 | ||
Societe BIC SA | 295 | 30,132 | ||
Societe Generale SA | 31,382 | 1,000,294 | ||
Sodexo SAΔ | 5,941 | 609,218 | ||
Suez | 19,394 | 256,204 | ||
Teleperformance | 2,595 | 415,062 | ||
Thales SA | 3,928 | 459,052 | ||
TOTAL SA | 97,426 | 5,154,882 | ||
Ubisoft Entertainment SA* | 2,676 | 216,094 | ||
Valeo SAΔ | 12,169 | 355,677 | ||
Veolia Environnement SA | 34,427 | 708,230 | ||
Vinci SA | 26,567 | 2,192,227 | ||
Vivendi SA | 44,861 | 1,093,781 | ||
Wendel SAΔ | 1,720 | 206,331 | ||
53,415,703 | ||||
Germany — 7.9% | ||||
1&1 Drillisch AG | 634 | 32,379 | ||
adidas AG | 8,095 | 1,691,767 | ||
Allianz SE | 19,521 | 3,922,849 | ||
Aroundtown SA | 29,327 | 243,296 | ||
Axel Springer SE | 487 | 27,592 | ||
BASF SE | 37,807 | 2,633,396 | ||
Bayerische Motoren Werke AG | 15,578 | 1,263,456 | ||
Beiersdorf AG | 5,172 | 539,452 | ||
Brenntag AG | 4,261 | 185,989 | ||
Commerzbank AG* | 30,491 | 202,463 | ||
Continental AG | 4,845 | 674,598 | ||
Covestro AG 144A | 8,920 | 441,759 | ||
Daimler AG | 42,316 | 2,230,685 | ||
Delivery Hero SE 144A* | 3,335 | 124,509 | ||
Deutsche Bank AG | 81,719 | 651,724 | ||
Deutsche Boerse AG | 6,870 | 821,345 | ||
Deutsche Lufthansa AG | 9,868 | 222,855 | ||
Deutsche Post AG | 40,217 | 1,098,295 | ||
Deutsche Telekom AG | 147,854 | 2,513,035 | ||
Deutsche Wohnen SE | 13,751 | 628,432 | ||
E.ON SE | 112,735 | 1,112,844 | ||
Evonik Industries AG | 1,751 | 43,707 | ||
Fraport AG Frankfurt Airport ServicesWorldwide | 2,669 | 191,015 | ||
Fresenius Medical Care AG & Co. KGaA | 9,321 | 604,199 | ||
Fresenius SE & Co. KGaA | 18,260 | 882,581 |
Table of Contents
Shares | Value | |||
GEA Group AG | 7,555 | $194,509 | ||
Hannover Rueck SE | 793 | 106,873 | ||
HeidelbergCement AG | 7,836 | 480,330 | ||
Henkel AG & Co. KGaA | 13,645 | 1,342,981 | ||
HOCHTIEF AG | 215 | 29,036 | ||
HUGO BOSS AG | 3,144 | 193,810 | ||
Infineon Technologies AG | 48,258 | 966,206 | ||
Innogy SE* | 2,135 | 90,802 | ||
KION Group AG | 3,162 | 160,799 | ||
LANXESS AG | 3,845 | 176,779 | ||
Merck KGaA | 7,532 | 775,288 | ||
METRO AG | 9,082 | 139,746 | ||
MTU Aero Engines AG | 1,436 | 260,780 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 6,484 | 1,414,152 | ||
OSRAM Licht AG | 5,516 | 240,049 | ||
ProSiebenSat.1 Media SE | 9,681 | 172,260 | ||
Puma SE | 389 | 190,313 | ||
RTL Group SAΔ | 567 | 30,386 | ||
RWE AG | 24,199 | 527,051 | ||
SAP SE | 44,119 | 4,378,797 | ||
Siemens AG | 33,266 | 3,712,540 | ||
Siemens Healthineers AG 144A* | 5,766 | 240,942 | ||
Symrise AG | 6,729 | 498,572 | ||
Telefonica Deutschland Holding AG | 56,298 | 221,584 | ||
thyssenkrupp AG | 21,536 | 369,945 | ||
TUI AG | 23,283 | 334,009 | ||
Uniper SE | 8,857 | 228,471 | ||
United Internet AG | 5,566 | 243,616 | ||
Volkswagen AG | 3,259 | 521,356 | ||
Vonovia SE | 20,386 | 918,979 | ||
Wirecard AG | 4,725 | 712,304 | ||
Zalando SE 144A* | 5,038 | 130,174 | ||
42,987,661 | ||||
Hong Kong — 3.4% | ||||
AIA Group, Ltd. | 518,000 | 4,299,853 | ||
ASM Pacific Technology, Ltd.Δ | 23,400 | 225,468 | ||
Bank of East Asia, Ltd. (The) | 67,813 | 215,637 | ||
BOC Hong Kong Holdings, Ltd. | 154,000 | 572,301 | ||
CK Asset Holdings, Ltd. | 103,500 | 757,365 | ||
CK Hutchison Holdings, Ltd. | 145,500 | 1,397,305 | ||
CK Infrastructure Holdings, Ltd.Δ | 35,000 | 265,053 | ||
CLP Holdings, Ltd. | 64,000 | 723,325 | ||
Hang Lung Group, Ltd. | 87,000 | 221,541 | ||
Hang Lung Properties, Ltd. | 117,000 | 222,928 | ||
Hang Seng Bank, Ltd. | 28,500 | 639,844 | ||
Henderson Land Development Co., Ltd. | 95,705 | 476,661 | ||
HK Electric Investments & HK Electric Investments, Ltd. | 86,500 | 87,268 | ||
HKT Trust & HKT, Ltd. | 69,000 | 99,396 | ||
Hong Kong & China Gas Co., Ltd.Δ | 412,663 | 853,731 | ||
Hong Kong Exchanges and Clearing, Ltd. | 52,580 | 1,521,567 | ||
Hysan Development Co., Ltd. | 9,000 | 42,813 | ||
Kerry Properties, Ltd. | 66,000 | 225,465 | ||
Link REIT | 91,500 | 926,627 |
Shares | Value | |||
Minth Group, Ltd.Δ | 34,000 | $109,635 | ||
MTR Corporation, Ltd. | 56,110 | 295,222 | ||
New World Development Co., Ltd. | 409,867 | 542,267 | ||
NWS Holdings, Ltd. | 21,399 | 43,888 | ||
PCCW, Ltd.Δ | 102,000 | 58,747 | ||
Power Assets Holdings, Ltd. | 42,500 | 295,799 | ||
Shangri-La Asia, Ltd. | 170,000 | 251,836 | ||
Sino Land Co., Ltd.Δ | 165,014 | 282,803 | ||
Sun Hung Kai Properties, Ltd. | 71,500 | 1,019,015 | ||
Swire Pacific, Ltd. Class A | 22,500 | 237,629 | ||
Swire Properties, Ltd. | 63,800 | 224,060 | ||
Techtronic Industries Co., Ltd. | 46,500 | 247,034 | ||
WH Group, Ltd. 144A | 353,500 | 272,218 | ||
Wharf Holdings, Ltd. (The) | 77,000 | 200,600 | ||
Wharf Real Estate Investment Co., Ltd. | 42,000 | 251,287 | ||
Wheelock & Co., Ltd. | 75,000 | 428,613 | ||
Yue Yuen Industrial Holdings, Ltd.Δ | 84,000 | 268,719 | ||
18,803,520 | ||||
Ireland — 0.5% | ||||
AIB Group PLC | 5,750 | 24,244 | ||
Bank of Ireland Group PLC | 27,124 | 151,036 | ||
CRH PLC | 33,522 | 887,221 | ||
DCC PLC | 3,336 | 254,486 | ||
James Hardie Industries PLC CDI | 16,895 | 179,928 | ||
Kerry Group PLC Class A | 9,365 | 928,141 | ||
Kingspan Group PLC | 5,720 | 244,977 | ||
Smurfit Kappa Group PLC | 7,293 | 194,359 | ||
2,864,392 | ||||
Israel — 0.6% | ||||
Azrieli Group | 1,239 | 59,147 | ||
Bank Hapoalim BM | 48,532 | 306,959 | ||
Bank Leumi Le-Israel BM | 65,831 | 397,887 | ||
Bezeq The Israeli Telecommunication Corporation, Ltd. | 221,752 | 216,462 | ||
Check Point Software Technologies, Ltd.Δ* | 5,794 | 594,754 | ||
Elbit Systems, Ltd. | 512 | 58,715 | ||
Israel Chemicals, Ltd. | 44,785 | 253,916 | ||
Mizrahi Tefahot Bank, Ltd. | 12,101 | 204,337 | ||
Nice, Ltd.* | 2,756 | 296,444 | ||
Teva Pharmaceutical Industries, Ltd. ADRΔ* | 38,600 | 595,212 | ||
Wix.com, Ltd.* | 1,160 | 104,794 | ||
3,088,627 | ||||
Italy — 1.7% | ||||
Assicurazioni Generali SpA | 36,421 | 608,740 | ||
Atlantia SpAΔ | 18,022 | 372,968 | ||
Enel SpA | 358,493 | 2,078,272 | ||
Eni SpA | 91,213 | 1,440,911 | ||
Intesa Sanpaolo SpA | 584,646 | 1,301,786 | ||
Leonardo SpAΔ | 20,334 | 179,147 | ||
Mediobanca Banca di Credito Finanziario SpA | 21,353 | 180,677 | ||
Moncler SpA | 7,412 | 246,654 | ||
Pirelli & C SpA 144AΔ* | 23,808 | 152,994 |
Table of Contents
Shares | Value | |||
Poste Italiane SpA 144A | 25,999 | $208,478 | ||
Prysmian SpA | 8,844 | 172,078 | ||
Recordati SpA | 8,616 | 298,374 | ||
Snam SpA | 106,584 | 466,664 | ||
Telecom Italia SpA* | 910,828 | 504,243 | ||
Tenaris SAΔ | 16,563 | 178,016 | ||
Terna Rete Elettrica Nazionale SpA | 42,588 | 241,863 | ||
UniCredit SpA | 78,683 | 891,235 | ||
9,523,100 | ||||
Japan — 22.7% | ||||
ABC-Mart, Inc. | 100 | 5,538 | ||
Acom Co., Ltd. | 3,200 | 10,410 | ||
AEON Co., Ltd. | 25,100 | 490,606 | ||
AEON Financial Service Co., Ltd. | 800 | 14,193 | ||
AEON Mall Co., Ltd.Δ | 900 | 14,339 | ||
AGC, Inc. | 7,200 | 223,797 | ||
Aisin Seiki Co., Ltd. | 5,800 | 199,381 | ||
Ajinomoto Co., Inc. | 31,600 | 561,503 | ||
Alfresa Holdings Corporation | 1,900 | 48,430 | ||
Alps Electric Co., Ltd. | 9,400 | 182,270 | ||
Amada Holdings Co., Ltd. | 3,200 | 28,726 | ||
ANA Holdings, Inc. | 7,400 | 265,653 | ||
Aozora Bank, Ltd. | 500 | 14,902 | ||
Asahi Intecc Co., Ltd. | 3,700 | 156,530 | ||
Asahi Kasei Corporation | 46,300 | 475,195 | ||
ASICS CorporationΔ | 12,500 | 158,758 | ||
Astellas Pharma, Inc. | 84,300 | 1,077,070 | ||
Bandai Namco Holdings, Inc. | 6,900 | 309,805 | ||
Bank of Kyoto, Ltd. (The) | 600 | 24,657 | ||
Benesse Holdings, Inc.Δ | 7,600 | 193,333 | ||
Bridgestone CorporationΔ | 25,700 | 986,002 | ||
Brother Industries, Ltd. | 11,600 | 171,695 | ||
Calbee, Inc. | 7,900 | 246,752 | ||
Canon, Inc.Δ | 50,700 | 1,395,046 | ||
Casio Computer Co., Ltd.Δ | 2,100 | 24,898 | ||
Central Japan Railway Co. | 5,900 | 1,244,825 | ||
Chiba Bank, Ltd. (The) | 40,000 | 222,819 | ||
Chubu Electric Power Co., Inc. | 38,800 | 551,326 | ||
Chugai Pharmaceutical Co., Ltd. | 10,400 | 603,192 | ||
Chugoku Electric Power Co., Inc. (The) | 3,100 | 40,287 | ||
Coca-Cola Bottlers Japan Holdings, Inc. | 17,900 | 533,797 | ||
Concordia Financial Group, Ltd. | 55,000 | 210,162 | ||
Credit Saison Co., Ltd. | 2,000 | 23,433 | ||
CyberAgent, Inc. | 5,700 | 220,348 | ||
Dai Nippon Printing Co., Ltd. | 10,500 | 219,178 | ||
Daicel Corporation | 3,100 | 31,823 | ||
Daifuku Co., Ltd.Δ | 5,500 | 249,373 | ||
Dai-ichi Life Holdings, Inc. | 41,500 | 644,480 | ||
Daiichi Sankyo Co., Ltd. | 23,400 | 748,466 | ||
Daikin Industries, Ltd. | 9,400 | 998,801 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 479,162 | ||
Daiwa House Industry Co., Ltd. | 24,600 | 784,701 | ||
Daiwa House REIT Investment CorporationΔ | 101 | 226,252 | ||
Daiwa Securities Group, Inc. | 49,000 | 248,706 | ||
DeNA Co., Ltd.Δ | 1,200 | 20,016 |
Shares | Value | |||
Denso Corporation | 16,900 | $748,124 | ||
Dentsu, Inc.Δ | 10,700 | 477,870 | ||
Disco Corporation | 1,500 | 174,403 | ||
Don Quijote Holdings Co., Ltd. | 4,600 | 284,402 | ||
East Japan Railway Co. | 19,400 | 1,713,217 | ||
Eisai Co., Ltd. | 10,100 | 781,940 | ||
Electric Power Development Co., Ltd. | 8,700 | 206,450 | ||
FamilyMart UNY Holdings Co., Ltd. | 2,600 | 327,221 | ||
FANUC Corporation | 7,700 | 1,168,550 | ||
Fast Retailing Co., Ltd. | 2,200 | 1,123,630 | ||
Fuji Electric Co., Ltd. | 1,000 | 29,453 | ||
FUJIFILM Holdings Corporation | 14,600 | 565,962 | ||
Fujitsu, Ltd. | 8,700 | 542,325 | ||
Fukuoka Financial Group, Inc. | 1,600 | 32,438 | ||
Hakuhodo DY Holdings, Inc. | 1,900 | 27,114 | ||
Hamamatsu Photonics KK | 1,200 | 40,215 | ||
Hankyu Hanshin Holdings, Inc. | 13,100 | 435,544 | ||
Hikari Tsushin, Inc. | 1,200 | 187,567 | ||
Hino Motors, Ltd. | 2,100 | 19,775 | ||
Hirose Electric Co., Ltd. | 105 | 10,273 | ||
Hisamitsu Pharmaceutical Co., Inc. | 3,300 | 182,169 | ||
Hitachi Chemical Co., Ltd. | 1,200 | 18,052 | ||
Hitachi Construction Machinery Co., Ltd. | 7,500 | 175,509 | ||
Hitachi High-Technologies Corporation | 600 | 18,789 | ||
Hitachi Metals, Ltd. | 2,000 | 20,801 | ||
Hitachi, Ltd. | 37,000 | 980,879 | ||
Honda Motor Co., Ltd. | 65,600 | 1,728,236 | ||
Hoshizaki Corporation | 600 | 36,407 | ||
Hoya Corporation | 15,200 | 916,561 | ||
Hulic Co., Ltd.Δ | 26,200 | 234,133 | ||
Idemitsu Kosan Co., Ltd. | 4,800 | 156,128 | ||
IHI Corporation | 1,500 | 41,313 | ||
Iida Group Holdings Co., Ltd.Δ | 2,500 | 43,303 | ||
Inpex Corporation | 43,600 | 386,332 | ||
Isetan Mitsukoshi Holdings, Ltd. | 3,600 | 39,775 | ||
Isuzu Motors, Ltd. | 18,100 | 253,891 | ||
ITOCHU Corporation | 54,100 | 918,769 | ||
J. Front Retailing Co., Ltd. | 17,300 | 198,010 | ||
Japan Airlines Co., Ltd. | 6,100 | 216,191 | ||
Japan Airport Terminal Co., Ltd.Δ | 400 | 13,828 | ||
Japan Exchange Group, Inc. | 17,100 | 275,821 | ||
Japan Post Bank Co., Ltd. | 20,800 | 229,003 | ||
Japan Post Holdings Co., Ltd. | 58,300 | 673,134 | ||
Japan Prime Realty Investment Corporation REITΔ | 9 | 34,176 | ||
Japan Real Estate Investment Corporation REIT | 46 | 258,275 | ||
Japan Retail Fund Investment Corporation REIT | 40 | 79,823 | ||
JFE Holdings, Inc. | 23,900 | 380,687 | ||
JGC CorporationΔ | 11,500 | 161,854 | ||
JSR Corporation | 2,200 | 33,023 | ||
JTEKT Corporation | 2,600 | 28,755 | ||
JXTG Holdings, Inc. | 127,850 | 663,992 | ||
Kajima Corporation | 17,500 | 235,079 | ||
Kakaku.com, Inc. | 1,200 | 21,227 | ||
Kamigumi Co., Ltd. | 1,000 | 20,459 |
Table of Contents
Shares | Value | |||
Kaneka Corporation | 600 | $21,487 | ||
Kansai Electric Power Co., Inc. (The) | 34,300 | 514,388 | ||
Kansai Paint Co., Ltd.Δ | 12,800 | 245,853 | ||
Kao Corporation | 20,400 | 1,509,960 | ||
Kawasaki Heavy Industries, Ltd. | 8,800 | 187,789 | ||
KDDI Corporation | 69,900 | 1,670,255 | ||
Keihan Holdings Co., Ltd. | 400 | 16,299 | ||
Keikyu Corporation | 14,200 | 232,047 | ||
Keio Corporation | 1,400 | 81,470 | ||
Keisei Electric Railway Co., Ltd. | 1,500 | 46,997 | ||
Keyence Corporation | 3,800 | 1,920,694 | ||
Kikkoman Corporation | 7,100 | 379,953 | ||
Kintetsu Group Holdings Co., Ltd. | 5,900 | 256,373 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 155,976 | ||
Kobe Steel, Ltd. | 3,500 | 24,259 | ||
Koito Manufacturing Co., Ltd. | 4,300 | 221,852 | ||
Komatsu, Ltd. | 36,500 | 784,383 | ||
Konami Holdings Corporation | 5,500 | 241,681 | ||
Konica Minolta, Inc. | 23,900 | 215,134 | ||
Kose Corporation | 1,400 | 219,909 | ||
Kubota Corporation | 39,300 | 558,599 | ||
Kuraray Co., Ltd. | 3,800 | 53,445 | ||
KuritaWater Industries, Ltd. | 900 | 21,790 | ||
Kyocera Corporation | 12,500 | 624,813 | ||
Kyowa Hakko Kirin Co., Ltd. | 12,800 | 241,870 | ||
Kyushu Electric Power Co., Inc. | 24,000 | 285,783 | ||
Kyushu Railway Co. | 1,100 | 37,216 | ||
Lawson, Inc. | 3,900 | 246,693 | ||
LINE CorporationΔ* | 5,200 | 177,594 | ||
Lion Corporation | 11,600 | 239,743 | ||
LIXIL Group Corporation | 11,900 | 147,525 | ||
M3, Inc. | 13,600 | 183,209 | ||
Makita Corporation | 6,500 | 230,855 | ||
Marubeni Corporation | 64,200 | 450,460 | ||
Marui Group Co., Ltd. | 3,000 | 58,140 | ||
Maruichi Steel Tube, Ltd. | 400 | 12,548 | ||
Mazda Motor Corporation | 20,700 | 212,804 | ||
McDonald’s Holdings Co. Japan, Ltd. | 5,400 | 229,381 | ||
Medipal Holdings Corporation | 2,200 | 47,067 | ||
MEIJI Holdings Co., Ltd. | 8,000 | 651,980 | ||
Minebea Mitsumi, Inc. | 13,700 | 197,554 | ||
MISUMI Group, Inc. | 9,900 | 208,561 | ||
Mitsubishi Chemical Holdings Corporation | 60,200 | 454,809 | ||
Mitsubishi Corporation | 51,700 | 1,417,436 | ||
Mitsubishi Electric Corporation | 69,100 | 762,007 | ||
Mitsubishi Estate Co., Ltd. | 48,200 | 758,355 | ||
Mitsubishi Gas Chemical Co., Inc. | 2,000 | 29,959 | ||
Mitsubishi Heavy Industries, Ltd. | 13,700 | 491,588 | ||
Mitsubishi Materials Corporation | 1,200 | 31,621 | ||
Mitsubishi Motors Corporation | 37,400 | 203,669 | ||
Mitsubishi Tanabe Pharma Corporation | 13,800 | 199,211 | ||
Mitsubishi UFJ Financial Group, Inc. | 514,300 | 2,524,007 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 38,900 | 186,449 | ||
Mitsui & Co., Ltd. | 95,400 | 1,465,660 | ||
Mitsui Chemicals, Inc. | 9,400 | 212,217 |
Shares | Value | |||
Mitsui Fudosan Co., Ltd. | 36,800 | $817,398 | ||
Mitsui OSK Lines, Ltd. | 1,300 | 28,132 | ||
Mizuho Financial Group, Inc. | 1,231,500 | 1,905,422 | ||
MonotaRO Co., Ltd. | 4,000 | 98,605 | ||
MS&AD Insurance Group Holdings, Inc. | 18,400 | 523,025 | ||
Murata Manufacturing Co., Ltd. | 7,100 | 956,724 | ||
Nabtesco CorporationΔ | 8,900 | 192,693 | ||
Nagoya Railroad Co., Ltd. | 1,600 | 42,138 | ||
NEC Corporation | 10,400 | 309,232 | ||
Nexon Co., Ltd.* | 18,700 | 241,408 | ||
NGK Insulators, Ltd. | 15,700 | 212,798 | ||
NGK Spark Plug Co., Ltd. | 1,900 | 37,610 | ||
NH Foods, Ltd. | 6,500 | 244,348 | ||
Nidec Corporation | 8,200 | 927,805 | ||
Nikon Corporation | 13,200 | 196,616 | ||
Nintendo Co., Ltd. | 4,600 | 1,221,480 | ||
Nippon Building Fund, Inc. REITΔ | 44 | 277,060 | ||
Nippon Electric Glass Co., Ltd.Δ | 600 | 14,700 | ||
Nippon Express Co., Ltd. | 4,000 | 222,213 | ||
Nippon Paint Holdings Co., Ltd.Δ | 7,300 | 248,722 | ||
Nippon Prologis REIT, Inc. | 121 | 255,367 | ||
Nippon Steel & Sumitomo Metal Corporation | 31,000 | 532,608 | ||
Nippon Telegraph & Telephone Corporation | 28,800 | 1,175,021 | ||
Nippon Yusen KK | 1,700 | 25,995 | ||
Nissan Chemical Corporation | 5,900 | 307,879 | ||
Nissan Motor Co., Ltd. | 88,200 | 705,540 | ||
Nisshin Seifun Group, Inc. | 15,300 | 315,126 | ||
Nissin Foods Holdings Co., Ltd. | 4,300 | 269,424 | ||
Nitori Holdings Co., Ltd. | 3,500 | 438,341 | ||
Nitto Denko Corporation | 7,100 | 356,096 | ||
Nomura Holdings, Inc. | 192,900 | 731,015 | ||
Nomura Real Estate Holdings, Inc. | 11,600 | 212,716 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 242,090 | ||
Nomura Research Institute, Ltd. | 5,719 | 212,076 | ||
NSK, Ltd. | 22,800 | 195,619 | ||
NTT Data Corporation | 29,300 | 320,241 | ||
NTT DOCOMO, Inc. | 48,200 | 1,083,017 | ||
Obayashi Corporation | 26,400 | 239,050 | ||
Obic Co., Ltd. | 2,600 | 200,690 | ||
Odakyu Electric Railway Co., Ltd. | 9,000 | 197,916 | ||
Oji Holdings Corporation | 31,000 | 158,393 | ||
Olympus Corporation | 13,500 | 412,894 | ||
Omron Corporation | 6,300 | 228,387 | ||
Ono Pharmaceutical Co., Ltd. | 20,500 | 418,625 | ||
Oracle Corporation | 700 | 44,435 | ||
Oriental Land Co., Ltd. | 8,900 | 895,068 | ||
ORIX Corporation | 55,400 | 809,501 | ||
Osaka Gas Co., Ltd. | 14,000 | 255,388 | ||
Otsuka Corporation | 6,900 | 189,898 | ||
Otsuka Holdings Co., Ltd. | 16,800 | 686,520 | ||
Panasonic Corporation | 92,100 | 827,373 | ||
Park24 Co., Ltd. | 7,600 | 167,361 | ||
Persol Holdings Co., Ltd. | 9,400 | 139,435 | ||
Pigeon Corporation | 6,500 | 277,243 |
Table of Contents
Shares | Value | |||
Pola Orbis Holdings, Inc. | 7,300 | $196,722 | ||
Rakuten, Inc. | 35,400 | 237,485 | ||
Recruit Holdings Co., Ltd. | 43,900 | 1,060,568 | ||
Renesas Electronics Corporation* | 45,200 | 205,295 | ||
Resona Holdings, Inc. | 92,600 | 444,154 | ||
Ricoh Co., Ltd. | 24,800 | 242,344 | ||
Rohm Co., Ltd. | 3,100 | 197,858 | ||
Ryohin Keikaku Co., Ltd. | 900 | 218,504 | ||
Santen Pharmaceutical Co., Ltd. | 34,300 | 494,889 | ||
SBI Holdings, Inc. | 9,400 | 183,319 | ||
Secom Co., Ltd. | 7,800 | 647,014 | ||
Seibu Holdings, Inc. | 13,200 | 229,594 | ||
Seiko Epson Corporation | 13,700 | 191,343 | ||
Sekisui Chemical Co., Ltd. | 16,800 | 249,743 | ||
Sekisui House, Ltd. | 31,600 | 464,049 | ||
Seven & i Holdings Co., Ltd. | 31,200 | 1,355,799 | ||
Seven Bank, Ltd. | 4,800 | 13,702 | ||
Sharp Corporation | 9,500 | 95,113 | ||
Shimadzu Corporation | 3,000 | 59,160 | ||
Shimamura Co., Ltd. | 200 | 15,315 | ||
Shimano, Inc.Δ | 3,200 | 451,096 | ||
Shimizu Corporation | 26,800 | 218,016 | ||
Shin-Etsu Chemical Co., Ltd. | 15,000 | 1,152,493 | ||
Shinsei Bank, Ltd. | 400 | 4,755 | ||
Shionogi & Co., Ltd. | 13,400 | 764,812 | ||
Shiseido Co., Ltd. | 15,200 | 951,945 | ||
Shizuoka Bank, Ltd. (The) | 5,000 | 38,975 | ||
Showa Denko KKΔ | 5,600 | 166,289 | ||
Showa Shell Sekiyu KK | 9,600 | 133,000 | ||
SMC Corporation | 2,300 | 692,467 | ||
SoftBank Group Corporation | 35,700 | 2,338,321 | ||
Sohgo Security Services Co., Ltd. | 600 | 28,034 | ||
Sompo Holdings, Inc. | 13,600 | 461,993 | ||
Sony Corporation | 49,500 | 2,386,376 | ||
Sony Financial Holdings, Inc. | 2,000 | 37,273 | ||
Stanley Electric Co., Ltd. | 7,300 | 204,214 | ||
Subaru Corporation | 21,900 | 467,858 | ||
SUMCO Corporation | 14,200 | 158,145 | ||
Sumitomo Chemical Co., Ltd. | 51,000 | 246,978 | ||
Sumitomo Corporation | 45,500 | 645,589 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 12,500 | 398,629 | ||
Sumitomo Electric Industries, Ltd. | 34,000 | 450,274 | ||
Sumitomo Metal Mining Co., Ltd. | 8,100 | 216,914 | ||
Sumitomo Mitsui Financial Group, Inc. | 59,100 | 1,948,235 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 13,800 | 502,554 | ||
Sumitomo Realty & Development Co., Ltd. | 18,000 | 658,955 | ||
Sumitomo Rubber Industries, Inc.Δ | 15,700 | 184,834 | ||
Sundrug Co., Ltd. | 6,600 | 196,542 | ||
Suntory Beverage & Food, Ltd. | 17,700 | 799,201 | ||
Suzuken Co., Ltd. | 900 | 45,830 | ||
Suzuki Motor Corporation | 13,600 | 685,596 | ||
Sysmex Corporation | 7,300 | 346,685 | ||
T&D Holdings, Inc. | 18,300 | 211,686 | ||
Taiheiyo Cement Corporation | 7,100 | 218,504 | ||
Taisei Corporation | 11,000 | 471,113 |
Shares | Value | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 1,900 | $190,700 | ||
Taiyo Nippon Sanso Corporation | 1,200 | 19,508 | ||
Takashimaya Co., Ltd. | 13,800 | 176,203 | ||
Takeda Pharmaceutical Co., Ltd.Δ | 37,300 | 1,264,265 | ||
TDK Corporation | 5,100 | 357,028 | ||
Teijin, Ltd. | 2,600 | 41,496 | ||
Terumo Corporation | 11,500 | 648,659 | ||
THK Co., Ltd.Δ | 9,100 | 170,005 | ||
Tobu Railway Co., Ltd. | 2,000 | 54,000 | ||
Toho Co., Ltd. | 1,600 | 57,973 | ||
Toho Gas Co., Ltd. | 300 | 12,619 | ||
Tohoku Electric Power Co., Inc. | 19,200 | 252,786 | ||
Tokio Marine Holdings, Inc. | 26,400 | 1,254,230 | ||
Tokyo Century Corporation | 2,400 | 105,702 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 333,236 | ||
Tokyo Electron, Ltd. | 6,600 | 742,990 | ||
Tokyo Gas Co., Ltd. | 20,300 | 513,431 | ||
Tokyu Corporation | 17,400 | 284,333 | ||
Tokyu Fudosan Holdings Corporation | 34,600 | 170,544 | ||
Toppan Printing Co., Ltd. | 14,000 | 205,790 | ||
Toray Industries, Inc. | 87,100 | 615,807 | ||
Toshiba Corporation | 25,300 | 714,394 | ||
Tosoh Corporation | 16,800 | 217,915 | ||
TOTO, Ltd. | 6,700 | 231,754 | ||
Toyo Seikan Group Holdings, Ltd. | 2,300 | 52,643 | ||
Toyo Suisan Kaisha, Ltd. | 4,200 | 146,257 | ||
Toyoda Gosei Co., Ltd. | 500 | 9,843 | ||
Toyota Industries Corporation | 5,300 | 244,064 | ||
Toyota Motor Corporation | 95,516 | 5,529,096 | ||
Toyota Tsusho Corporation | 7,800 | 229,183 | ||
Trend Micro, Inc. | 4,300 | 232,353 | ||
Tsuruha Holdings, Inc. | 1,900 | 162,701 | ||
Unicharm Corporation | 20,600 | 666,245 | ||
United Urban Investment Corporation REIT | 156 | 241,601 | ||
USS Co., Ltd. | 2,200 | 36,913 | ||
Welcia Holdings Co., Ltd. | 2,300 | 103,961 | ||
West Japan Railway Co. | 7,800 | 551,079 | ||
Yahoo Japan Corporation | 146,400 | 364,202 | ||
Yakult Honsha Co., Ltd. | 6,500 | 455,024 | ||
Yamada Denki Co., Ltd.Δ | 7,600 | 36,501 | ||
Yamaguchi Financial Group, Inc. | 2,000 | 19,118 | ||
Yamaha Corporation | 5,400 | 229,713 | ||
Yamaha Motor Co., Ltd.Δ | 10,200 | 199,142 | ||
Yamato Holdings Co., Ltd. | 10,600 | 290,616 | ||
Yamazaki Baking Co., Ltd.Δ | 4,200 | 87,957 | ||
Yaskawa Electric Corporation | 9,000 | 219,998 | ||
Yokogawa Electric Corporation | 2,500 | 43,156 | ||
Yokohama Rubber Co., Ltd. (The) | 1,000 | 18,702 | ||
ZOZO, Inc. | 8,300 | 152,065 | ||
123,840,999 | ||||
Jersey — 1.2% | ||||
Experian PLC | 38,966 | 946,139 | ||
Ferguson PLC | 9,304 | 594,960 | ||
Glencore PLC* | 516,891 | 1,919,499 |
Table of Contents
Shares | Value | |||
Shire PLC | 40,329 | $2,351,703 | ||
WPP PLC | 54,275 | 585,669 | ||
6,397,970 | ||||
Netherlands — 4.3% | ||||
ABN AMRO Group NV CVA 144A | 19,173 | 451,212 | ||
Aegon NV | 85,120 | 397,810 | ||
AerCap Holdings NVΔ* | 7,106 | 281,398 | ||
Airbus SE | 23,357 | 2,246,877 | ||
Akzo Nobel NV | 9,169 | 739,579 | ||
ArcelorMittal | 27,312 | 567,650 | ||
ASML Holding NV | 18,740 | 2,945,011 | ||
CNH Industrial NVΔ | 43,467 | 392,737 | ||
EXOR NV | 4,203 | 228,170 | ||
Ferrari NVΔ | 4,491 | 446,873 | ||
Fiat Chrysler Automobiles NV* | 41,027 | 591,542 | ||
ING Groep NV | 163,699 | 1,764,922 | ||
Koninklijke Ahold Delhaize NV | 54,836 | 1,386,936 | ||
Koninklijke DSM NV | 6,933 | 567,483 | ||
Koninklijke KPN NV | 130,887 | 383,907 | ||
Koninklijke Philips NV | 37,729 | 1,337,042 | ||
Koninklijke Vopak NVΔ | 953 | 43,327 | ||
NN Group NV | 12,839 | 511,918 | ||
NXP Semiconductor NV | 13,899 | 1,018,519 | ||
QIAGEN NV* | 14,497 | 495,373 | ||
Randstad NV | 7,963 | 365,765 | ||
STMicroelectronics NV | 30,848 | 441,271 | ||
Unibail-Rodamco-Westfield REIT | 6,095 | 945,545 | ||
Unilever NV CVA | 72,311 | 3,928,763 | ||
Wolters Kluwer NV | 13,376 | 791,718 | ||
23,271,348 | ||||
New Zealand — 0.2% | ||||
a2 Milk Co., Ltd.* | 45,565 | 341,003 | ||
Auckland International Airport, Ltd. | 11,201 | 53,980 | ||
Fisher & Paykel Healthcare Corporation, Ltd. | 24,725 | 215,740 | ||
Fletcher Building, Ltd.* | 50,457 | 165,270 | ||
Meridian Energy, Ltd. | 12,874 | 29,423 | ||
Ryman Healthcare, Ltd.Δ | 6,330 | 45,631 | ||
Spark New Zealand, Ltd. | 86,942 | 242,175 | ||
1,093,222 | ||||
Norway — 0.8% | ||||
Aker BP ASAΔ | 5,224 | 131,713 | ||
DNB ASA | 42,506 | 682,292 | ||
Equinor ASA | 53,385 | 1,132,410 | ||
Gjensidige Forsikring ASAΔ | 12,888 | 201,617 | ||
Marine Harvest ASA | 26,051 | 549,090 | ||
Norsk Hydro ASA | 45,500 | 206,163 | ||
Orkla ASA | 68,546 | 536,709 | ||
Schibsted ASA, B Shares | 1,488 | 45,265 | ||
Telenor ASA | 35,082 | 681,303 | ||
Yara International ASAΔ | 5,948 | 229,292 | ||
4,395,854 | ||||
Papua New Guinea — 0.0% | ||||
Oil Search, Ltd. | 44,305 | 223,436 |
Shares | Value | |||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 129,216 | $451,402 | ||
Galp Energia SGPS SA | 27,004 | 426,815 | ||
Jeronimo Martins SGPS SA | 14,871 | 176,178 | ||
1,054,395 | ||||
Singapore — 1.6% | ||||
Ascendas Real Estate Investment Trust | 124,200 | 234,193 | ||
CapitaLand Commercial Trust REIT | 41,879 | 53,772 | ||
CapitaLand Mall Trust REIT | 165,900 | 275,090 | ||
CapitaLand, Ltd.Δ | 199,700 | 455,678 | ||
City Developments, Ltd.Δ | 37,300 | 222,221 | ||
ComfortDelGro Corporation, Ltd. | 29,600 | 46,693 | ||
Dairy Farm International Holdings, Ltd. | 17,300 | 156,565 | ||
DBS Group Holdings, Ltd. | 72,012 | 1,251,670 | ||
Golden Agri-Resources, Ltd. | 1,257,700 | 226,081 | ||
Hongkong Land Holdings, Ltd. | 42,500 | 267,750 | ||
Jardine Cycle & Carriage, Ltd. | 8,811 | 228,526 | ||
Jardine Matheson Holdings, Ltd. | 9,200 | 640,136 | ||
Jardine Strategic Holdings, Ltd. | 7,400 | 271,654 | ||
Keppel Corporation, Ltd.Δ | 55,600 | 241,092 | ||
Oversea-Chinese Banking Corporation, Ltd. | 126,700 | 1,046,731 | ||
SATS, Ltd. | 9,200 | 31,455 | ||
Singapore Airlines, Ltd. | 30,700 | 212,182 | ||
Singapore Exchange, Ltd. | 7,800 | 40,919 | ||
Singapore Press Holdings, Ltd. | 116,700 | 201,214 | ||
Singapore Technologies Engineering, Ltd. | 16,100 | 41,226 | ||
Singapore Telecommunications, Ltd.Δ | 353,400 | 759,721 | ||
Suntec Real Estate Investment Trust | 26,900 | 35,131 | ||
United Overseas Bank, Ltd. | 53,959 | 972,723 | ||
UOL Group, Ltd. | 7,561 | 34,339 | ||
Venture Corporation, Ltd.Δ | 5,600 | 57,317 | ||
Wilmar International, Ltd.Δ | 188,000 | 430,361 | ||
Yangzijiang Shipbuilding Holdings, Ltd. | 35,300 | 32,375 | ||
8,466,815 | ||||
Spain — 3.1% | ||||
ACS Actividades de Construccion y Servicios SA | 7,730 | 299,620 | ||
Aena SME SA 144A | 3,930 | 611,255 | ||
Amadeus IT Group SA | 18,507 | 1,290,076 | ||
Banco Bilbao Vizcaya Argentaria SA | 269,854 | 1,433,228 | ||
Banco de Sabadell SA | 169,722 | 194,556 | ||
Banco Santander SA | 719,893 | 3,277,000 | ||
Bankia SAΔ | 11,453 | 33,593 | ||
Bankinter SA | 24,002 | 192,997 | ||
CaixaBank SA | 130,072 | 471,531 | ||
Enagas SA | 10,800 | 292,153 | ||
Endesa SAΔ | 13,556 | 312,655 | ||
Ferrovial SA | 26,581 | 538,904 | ||
Grifols SA | 11,220 | 294,387 | ||
Iberdrola SA | 285,583 | 2,296,337 | ||
Industria de Diseno Textil SA | 44,990 | 1,152,082 |
Table of Contents
Shares | Value | |||
International Consolidated Airlines Group SA | 46,834 | $371,328 | ||
Mapfre SA | 10,729 | 28,519 | ||
Naturgy Energy Group SA | 20,288 | 517,433 | ||
Red Electrica Corporation SA | 14,624 | 326,648 | ||
Repsol SA | 50,555 | 815,561 | ||
Siemens Gamesa Renewable Energy SAΔ* | 2,932 | 35,743 | ||
Telefonica SAΔ | 228,227 | 1,919,083 | ||
16,704,689 | ||||
Sweden — 2.4% | ||||
Alfa Laval AB | 9,705 | 208,631 | ||
Assa Abloy AB Class B | 40,797 | 730,544 | ||
Atlas Copco AB, A Shares | 26,482 | 631,809 | ||
Atlas Copco AB, B Shares | 15,381 | 337,025 | ||
Boliden AB | 9,794 | 212,226 | ||
Electrolux AB, Series BΔ | 13,970 | 294,470 | ||
Epiroc AB Class A* | 8,156 | 77,520 | ||
Epiroc AB Class B* | 46,082 | 411,345 | ||
Essity AB | 39,754 | 977,212 | ||
Hennes & Mauritz AB, B Shares | 37,981 | 540,131 | ||
Hexagon AB, B Shares | 9,655 | 446,327 | ||
Husqvarna AB, B SharesΔ | 23,565 | 174,945 | ||
ICA Gruppen ABΔ | 628 | 22,435 | ||
Industrivarden AB, C Shares | 8,930 | 180,797 | ||
Investor AB, B SharesΔ | 32,556 | 1,383,446 | ||
Kinnevik AB Class B | 8,239 | 199,379 | ||
L E Lundbergforetagen AB, B Shares | 660 | 19,491 | ||
Lundin Petroleum AB | 8,084 | 201,891 | ||
Millicom International Cellular SA SDR | 1,082 | 68,464 | ||
Sandvik AB | 46,877 | 671,667 | ||
Securitas AB, B Shares | 14,981 | 241,343 | ||
Skandinaviska Enskilda Banken AB Class A | 63,139 | 613,767 | ||
Skanska AB, B Shares | 13,311 | 212,247 | ||
SKF AB, B Shares | 13,321 | 202,461 | ||
Svenska Handelsbanken AB, A Shares | 65,615 | 730,011 | ||
Swedbank AB, A Shares | 34,481 | 770,690 | ||
Tele2 AB, B Shares | 19,177 | 244,579 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 115,479 | 1,022,216 | ||
Telia Co. AB | 126,527 | 601,875 | ||
Volvo AB, B Shares | 64,570 | 845,483 | ||
13,274,427 | ||||
Switzerland — 8.6% | ||||
ABB, Ltd. | 69,588 | 1,328,860 | ||
Adecco Group AG | 10,157 | 477,403 | ||
Baloise Holding AGΔ | 1,016 | 140,270 | ||
Barry Callebaut AG | 107 | 166,991 | ||
Chocoladefabriken Lindt & Spruengli AG | 39 | 720,871 | ||
Cie Financiere Richemont SA | 25,690 | 1,656,687 | ||
Clariant AG* | 2,778 | 51,231 | ||
Coca-Cola HBC AG* | 33,357 | 1,042,513 | ||
Credit Suisse Group AG* | 106,526 | 1,164,509 | ||
Dufry AGΔ* | 1,201 | 114,362 |
Shares | Value | |||
EMS-Chemie Holding AG | 12 | $5,713 | ||
Geberit AG | 1,465 | 570,501 | ||
Givaudan SA | 333 | 772,117 | ||
Julius Baer Group, Ltd.* | 11,052 | 393,855 | ||
Kuehne + Nagel International AG | 1,259 | 162,067 | ||
LafargeHolcim, Ltd.*,Δ* | 25,106 | 1,035,780 | ||
Lonza Group AGΔ* | 3,338 | 867,729 | ||
Nestle SA | 129,483 | 10,509,201 | ||
Novartis AG | 92,014 | 7,880,472 | ||
Pargesa Holding SA | 251 | 18,103 | ||
Partners Group Holding AG | 623 | 379,000 | ||
Roche Holding AG | 30,840 | 7,656,303 | ||
Schindler Holding AG | 1,974 | 388,431 | ||
SGS SA | 253 | 569,509 | ||
Sika AG | 4,914 | 624,194 | ||
Sonova Holding AG | 2,427 | 399,111 | ||
Straumann Holding AG | 601 | 379,569 | ||
Swatch Group AG (The) | 5,771 | 831,323 | ||
Swiss Life Holding AGΔ* | 710 | 274,038 | ||
Swiss Prime Site AG* | 4,727 | 382,893 | ||
Swiss Re AG | 11,416 | 1,050,276 | ||
Swisscom AG | 1,391 | 664,866 | ||
Temenos AG* | 2,132 | 256,187 | ||
UBS Group AGΔ* | 158,064 | 1,971,571 | ||
Vifor Pharma AG | 2,839 | 308,927 | ||
Zurich Insurance Group AG | 6,382 | 1,902,403 | ||
47,117,836 | ||||
United Kingdom — 14.9% | ||||
3i Group PLC | 54,344 | 535,710 | ||
Admiral Group PLC | 2,653 | 69,220 | ||
Anglo American PLC | 41,242 | 918,767 | ||
Antofagasta PLC | 23,560 | 235,192 | ||
Ashtead Group PLC | 21,261 | 443,615 | ||
Associated British Foods PLC | 20,169 | 525,202 | ||
AstraZeneca PLC | 54,741 | 4,097,761 | ||
Auto Trader Group PLC 144A | 48,519 | 281,259 | ||
Aviva PLC | 201,169 | 962,820 | ||
Babcock International Group PLC | 26,448 | 164,946 | ||
BAE Systems PLC | 129,929 | 760,470 | ||
Barclays PLC | 738,012 | 1,415,897 | ||
Barratt Developments PLC | 50,118 | 295,638 | ||
Berkeley Group Holdings PLC | 5,104 | 226,328 | ||
BHP Group PLC | 84,563 | 1,780,161 | ||
BP PLC | 832,881 | 5,264,957 | ||
British Land Co. PLC (The) REIT | 38,543 | 261,945 | ||
BT Group PLC | 339,019 | 1,028,863 | ||
Bunzl PLC | 11,056 | 333,839 | ||
Burberry Group PLC | 19,640 | 434,450 | ||
Carnival PLC | 9,106 | 436,753 | ||
Centrica PLC | 288,146 | 495,448 | ||
Coca-Cola European Partners PLC | 18,847 | 864,135 | ||
Compass Group PLC | 74,355 | 1,563,753 | ||
ConvaTec Group PLC 144A | 89,421 | 158,370 | ||
Croda International PLC | 3,976 | 237,427 | ||
Direct Line Insurance Group PLC | 64,437 | 261,753 | ||
easyJet PLC | 11,091 | 156,209 |
Table of Contents
Shares | Value | |||
Fresnillo PLC | 3,206 | $35,143 | ||
G4S PLC | 106,286 | 266,812 | ||
GlaxoSmithKline PLC | 226,687 | 4,308,603 | ||
Hammerson PLC REIT | 39,526 | 165,951 | ||
Hargreaves Lansdown PLC | 10,678 | 251,652 | ||
HSBC Holdings PLC | 854,648 | 7,046,904 | ||
Informa PLC | 61,491 | 493,928 | ||
InterContinental Hotels Group PLC | 11,675 | 630,506 | ||
Intertek Group PLC | 8,134 | 497,645 | ||
Investec PLC | 39,844 | 224,013 | ||
ITV PLC | 231,678 | 368,678 | ||
J Sainsbury PLC | 88,172 | 297,818 | ||
John Wood Group PLC | 31,746 | 204,826 | ||
Johnson Matthey PLC | 6,759 | 241,134 | ||
Kingfisher PLC | 173,177 | 458,018 | ||
Land Securities Group PLC REIT | 42,490 | 435,645 | ||
Legal & General Group PLC | 221,884 | 653,299 | ||
Lloyds Banking Group PLC | 3,156,523 | 2,086,083 | ||
London Stock Exchange Group PLC | 11,235 | 581,684 | ||
Marks & Spencer Group PLCΔ | 74,070 | 233,381 | ||
Meggitt PLC | 30,413 | 182,580 | ||
Melrose Industries PLC | 189,229 | 395,192 | ||
Merlin Entertainments PLC 144A | 46,524 | 188,276 | ||
Micro Focus International PLC | 16,532 | 291,421 | ||
Mondi PLC | 11,953 | 248,869 | ||
National Grid PLC | 156,345 | 1,522,878 | ||
Next PLC | 7,706 | 391,999 | ||
NMC Health PLC | 7,425 | 258,932 | ||
Pearson PLC | 57,595 | 688,885 | ||
Persimmon PLC | 14,726 | 362,256 | ||
Prudential PLC | 116,852 | 2,088,133 | ||
Reckitt Benckiser Group PLC | 33,845 | 2,593,938 | ||
RELX PLC* | 93,031 | 1,916,577 | ||
Rio Tinto PLC | 47,616 | 2,263,788 | ||
Rolls-Royce Holdings PLC* | 66,226 | 700,617 | ||
Royal Bank of Scotland Group PLC | 194,604 | 537,508 | ||
Royal Dutch Shell PLC, A Shares | 195,408 | 5,747,222 | ||
Royal Dutch Shell PLC, B Shares | 159,071 | 4,744,395 | ||
Royal Mail PLC | 33,665 | 116,756 | ||
RSA Insurance Group PLC | 43,200 | 282,802 | ||
Sage Group PLC (The) | 40,034 | 306,878 | ||
Schroders PLC | 6,913 | 215,260 | ||
Segro PLC REIT | 53,761 | 403,331 | ||
Severn Trent PLC | 9,681 | 224,022 | ||
Smith & Nephew PLC | 37,840 | 706,100 | ||
Smiths Group PLC | 15,525 | 269,911 | ||
SSE PLC | 45,313 | 624,631 | ||
St. James’s Place PLC | 18,780 | 225,965 | ||
Standard Chartered PLC | 118,779 | 922,454 | ||
Standard Life Aberdeen PLC | 114,480 | 374,640 | ||
Taylor Wimpey PLC | 236,549 | 410,801 | ||
Tesco PLC | 408,477 | 989,746 |
Shares | Value | |||
Unilever PLC | 57,664 | $3,019,687 | ||
United Utilities Group PLC | 27,605 | 259,034 | ||
Vodafone Group PLC | 1,072,151 | 2,089,476 | ||
Weir Group PLC (The) | 10,978 | 181,623 | ||
Whitbread PLC | 8,176 | 477,184 | ||
WM Morrison Supermarkets PLC | 106,161 | 288,555 | ||
81,204,933 | ||||
Total Foreign Common Stocks (Cost $568,021,313) | 511,995,473 | |||
FOREIGN PREFERRED STOCKS — 0.4% | ||||
Germany — 0.4% | ||||
Henkel AG & Co KGaA | ||||
1.87%, 04/10/18 | 7,479 | 816,924 | ||
Porsche Automobil Holding SE | ||||
3.47%, 05/16/18 | 4,564 | 268,420 | ||
Sartorius AG | ||||
0.48%, 04/06/18 | 1,809 | 225,143 | ||
Volkswagen AG | ||||
2.91%, 05/04/18 | 7,300 | 1,164,026 | ||
2,474,513 | ||||
Total Foreign Preferred Stocks (Cost $2,700,182) | 2,474,513 | |||
RIGHTS — 0.0% | ||||
Repsol SA* (Cost $23,718) | 50,555 | 23,169 | ||
MONEY MARKET FUNDS — 5.1% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 25,573,630 | 25,573,630 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 2,021,067 | 2,021,067 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 132,689 | 132,689 | ||
Total Money Market Funds (Cost $27,727,386) | 27,727,386 |
Par | |||
U.S. TREASURY OBLIGATION — 0.2% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $989,752) | $1,000,000 | 990,046 | |
TOTAL INVESTMENTS —99.6% (Cost $599,693,105) | 543,421,678 | ||
Other Assets in Excess of Liabilities — 0.4% | 2,004,849 | ||
NET ASSETS — 100.0% | $545,426,527 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2019 | 376 | $32,260,800 | $(435,045) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stock | $211,091 | $211,091 | $— | $— | |||
Foreign Common Stocks: | |||||||
Austria | 1,016,787 | — | 1,016,787 | — | |||
Denmark | 6,962,712 | — | 6,962,712 | — | |||
Finland | 6,292,909 | — | 6,292,909 | — | |||
Germany | 42,987,661 | 615,124 | 42,372,537 | — | |||
Italy | 9,523,100 | — | 9,523,100 | — | |||
Japan | 123,840,999 | — | 123,840,999 | — | |||
Netherlands | 23,271,348 | 21,116,653 | 2,154,695 | — | |||
Norway | 4,395,854 | — | 4,395,854 | — | |||
Sweden | 13,274,427 | — | 13,274,427 | — | |||
Switzerland | 47,117,836 | 1,623,286 | 45,494,550 | — | |||
Other^^ | 233,311,840 | 233,311,840 | — | — | |||
Total Foreign Common Stocks | 511,995,473 | 256,666,903 | 255,328,570 | — | |||
Foreign Preferred Stocks | 2,474,513 | — | 2,474,513 | — | |||
Money Market Funds | 27,727,386 | 27,727,386 | — | — | |||
Rights | 23,169 | 23,169 | — | — | |||
U.S. Treasury Obligation | 990,046 | — | 990,046 | — | |||
Total Assets - Investments in Securities | $543,421,678 | $284,628,549 | $258,793,129 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(435,045) | $(435,045) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(435,045) | $(435,045) | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
% | |
Financials | 17.1 |
Consumer Discretionary | 15.6 |
Industrials | 15.0 |
Health Care | 11.6 |
Communication Services | 9.5 |
Information Technology | 7.6 |
Consumer Staples | 6.2 |
Money Market Funds | 5.9 |
Energy | 5.7 |
Materials | 4.9 |
Utilities | 4.8 |
Real Estate | 1.4 |
U.S. Treasury Obligation | 0.3 |
Foreign Preferred Stocks Sold Short | (—)** |
Foreign Common Stocks Sold Short | (4.9) |
100.7 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (14.90)% | (15.06)% | (13.79)% | ||||
Five Year | 1.00% | 0.75% | 0.53% | ||||
Ten Year | 6.57% | 6.32% | 6.31% | ||||
Since Inception | 5.02% | 4.82% | 4.57% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 0.95% | 1.21% |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 2.0% | ||||
Communication Services — 0.2% | ||||
Spotify Technology SA* | 16,250 | $1,844,375 | ||
Consumer Discretionary — 1.4% | ||||
Amazon.com, Inc.* | 1,792 | 2,691,530 | ||
MakeMyTrip, Ltd.Δ* | 11,671 | 283,956 | ||
MercadoLibre, Inc.Δ* | 9,371 | 2,744,297 | ||
NIO, Inc. ADRΔ* | 131,875 | 840,044 | ||
Tesla, Inc.Δ* | 9,918 | 3,300,710 | ||
Yum China Holdings, Inc. | 150,194 | 5,036,005 | ||
14,896,542 | ||||
Health Care — 0.4% | ||||
Illumina, Inc.* | 13,380 | 4,013,063 | ||
Information Technology — 0.0% | ||||
NVIDIA Corporation | 5,059 | 675,377 | ||
Total Common Stocks (Cost $15,921,412) | 21,429,357 | |||
FOREIGN COMMON STOCKS — 97.3% | ||||
Australia — 2.6% | ||||
Alumina, Ltd. | 216,569 | 350,843 | ||
AMP, Ltd. | 1,069,280 | 1,845,211 | ||
Ansell, Ltd. | 27,639 | 429,064 | ||
ASX, Ltd.‡‡ | 2,303 | 97,230 | ||
Aurizon Holdings, Ltd.‡‡ | 190,769 | 575,096 | ||
Australia & New Zealand Banking Group, Ltd.‡‡ | 87,511 | 1,507,675 | ||
BHP Group, Ltd.‡‡ | 58,894 | 1,419,928 | ||
BlueScope Steel, Ltd. | 211,210 | 1,630,473 | ||
Brambles, Ltd. | 70,398 | 503,286 | ||
Caltex Australia, Ltd. | 78,837 | 1,414,875 | ||
CIMIC Group, Ltd.‡‡ | 51,394 | 1,571,414 | ||
Cochlear, Ltd. | 1,208 | 147,683 | ||
Coles Group, Ltd.* | 48,441 | 400,562 | ||
Commonwealth Bank of Australia | 10,988 | 560,255 | ||
Dexus REIT‡‡ | 12,849 | 96,113 | ||
Flight Centre Travel Group, Ltd. | 5,667 | 171,317 | ||
Goodman Group REIT‡‡ | 30,218 | 226,249 | ||
GPT Group (The) REIT | 25,055 | 94,238 | ||
GPT Group (The) REIT Ψ†††* | 63,198 | — | ||
Lend Lease Group | 106,068 | 868,866 | ||
Mirvac Group REIT‡‡ | 53,620 | 84,599 | ||
Newcrest Mining, Ltd. | 78,788 | 1,209,776 | ||
Orica, Ltd. | 231,170 | 2,808,724 | ||
Origin Energy, Ltd.* | 44,519 | 202,879 | ||
Qantas Airways, Ltd. | 415,288 | 1,693,622 | ||
QBE Insurance Group, Ltd. | 671,314 | 4,775,684 | ||
Rio Tinto, Ltd.‡‡ | 8,019 | 443,213 | ||
Scentre Group REIT‡‡ | 93,514 | 256,880 | ||
South32, Ltd. | 509,899 | 1,203,144 | ||
Stockland REIT‡‡ | 41,895 | 103,871 | ||
Telstra Corporation, Ltd. | 54,911 | 110,228 | ||
Vicinity Centres REIT‡‡ | 52,810 | 96,711 | ||
Wesfarmers, Ltd. | 48,441 | 1,099,328 | ||
Woodside Petroleum, Ltd. | 5,110 | 112,728 | ||
28,111,765 |
Shares | Value | |||
Austria — 0.0% | ||||
ams AGΔ* | 8,818 | $212,340 | ||
Belgium — 1.0% | ||||
Ageas | 22,718 | 1,022,946 | ||
Groupe Bruxelles Lambert SA‡‡ | 415 | 36,175 | ||
KBC Group NV | 91,325 | 5,930,747 | ||
Proximus SADP | 2,735 | 74,016 | ||
UCB SA | 24,262 | 1,982,011 | ||
Umicore SA | 44,423 | 1,774,292 | ||
10,820,187 | ||||
Canada — 1.0% | ||||
Alimentation Couche-Tard, Inc. Class B | 15,600 | 776,001 | ||
Canadian National Railway Co. | 86,131 | 6,383,168 | ||
Cenovus Energy, Inc. | 309,036 | 2,173,121 | ||
Suncor Energy, Inc. | 71,447 | 1,995,513 | ||
11,327,803 | ||||
China — 2.6% | ||||
Alibaba Group Holding, Ltd. ADR* | 55,166 | 7,561,603 | ||
Baidu, Inc. ADR* | 37,143 | 5,890,880 | ||
Ctrip.com International, Ltd. ADR* | 64,035 | 1,732,787 | ||
Ping An Insurance Group Co. of China, Ltd. Class HΔ | 228,500 | 2,017,850 | ||
TAL Education Group ADR* | 93,644 | 2,498,422 | ||
Tencent Holdings, Ltd. | 207,900 | 8,336,709 | ||
28,038,251 | ||||
Denmark — 1.8% | ||||
Ambu A/S Class BΔ | 42,333 | 1,022,657 | ||
Chr. Hansen Holding A/S | 10,954 | 972,351 | ||
Coloplast A/S Class B | 16,585 | 1,542,664 | ||
Danske Bank A/S | 12,095 | 240,115 | ||
Genmab A/S* | 15,988 | 2,628,756 | ||
GN Store Nord A/S | 86,392 | 3,237,023 | ||
H Lundbeck A/S | 41,636 | 1,832,520 | ||
ISS A/SΔ | 221,563 | 6,203,055 | ||
Novozymes A/S, B Shares | 16,353 | 730,692 | ||
Orsted A/S 144A | 2,685 | 179,674 | ||
Pandora A/S | 1,525 | 62,258 | ||
Rockwool International A/S, B Shares | 3,803 | 994,499 | ||
19,646,264 | ||||
Finland — 0.5% | ||||
Fortum OYJ | 21,595 | 472,701 | ||
Neste OYJ‡‡ | 29,797 | 2,306,962 | ||
Nokia OYJ | 38,874 | 225,668 | ||
Nordea Bank Abp | 48,014 | 404,191 | ||
Orion OYJ Class B | 4,521 | 157,281 | ||
UPM-Kymmene OYJ‡‡ | 62,151 | 1,573,280 | ||
5,140,083 | ||||
France — 9.8% | ||||
Accor SA | 56,000 | 2,381,052 | ||
Air Liquide SA | 45,873 | 5,700,023 | ||
Alstom SA | 2,000 | 80,821 | ||
Atos SE‡‡ | 13,291 | 1,088,509 |
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Shares | Value | |||
BNP Paribas SA‡‡ | 179,998 | $8,141,037 | ||
Bureau Veritas SA | 76,588 | 1,561,524 | ||
Capgemini SE‡‡ | 12,858 | 1,278,742 | ||
Christian Dior SE | 18,256 | 6,984,124 | ||
Cie de St-Gobain | 236,594 | 7,905,978 | ||
Cie Generale des Etablissements Michelin SCA‡‡ | 16,257 | 1,614,914 | ||
CNP Assurances‡‡ | 12,945 | 274,684 | ||
Credit Agricole SA | 18,152 | 196,122 | ||
Danone SA | 16,815 | 1,185,039 | ||
Dassault Aviation SA | 115 | 159,431 | ||
Dassault Systemes SA | 590 | 70,100 | ||
Electricite de France SA | 42,706 | 675,240 | ||
Engie SA‡‡ | 454,254 | 6,518,781 | ||
EssilorLuxottica SA | 4,130 | 522,644 | ||
Eutelsat Communications SA | 5,597 | 110,332 | ||
Gecina SA REIT | 674 | 87,263 | ||
Hermes International‡‡ | 3,950 | 2,194,065 | ||
Kering SA | 10,252 | 4,834,748 | ||
Klepierre REIT‡‡ | 4,327 | 133,658 | ||
L’Oreal SA | 39,053 | 9,002,689 | ||
Peugeot SA‡‡ | 105,369 | 2,250,946 | ||
Publicis Groupe SA | 68,135 | 3,909,529 | ||
Safran SA‡‡ | 17,177 | 2,074,330 | ||
Sanofi‡‡ | 139,806 | 12,119,426 | ||
Schneider Electric SE | 108,033 | 7,392,071 | ||
SES SA | 47,113 | 902,001 | ||
Societe Generale SA | 115,442 | 3,679,687 | ||
Teleperformance‡‡ | 5,756 | 920,653 | ||
Thales SA‡‡ | 14,548 | 1,700,174 | ||
TOTAL SA‡‡ | 90,761 | 4,802,231 | ||
Valeo SA | 96,161 | 2,810,602 | ||
Vinci SA | 1,202 | 99,185 | ||
105,362,355 | ||||
Germany — 9.5% | ||||
adidas AG | 3,842 | 802,936 | ||
AIXTRON SE* | 48,935 | 474,388 | ||
Allianz SE‡‡ | 90,781 | 18,242,925 | ||
Aurubis AG‡‡ | 9,971 | 494,086 | ||
BASF SE | 20,733 | 1,444,130 | ||
Bayerische Motoren Werke AG | 105,018 | 8,517,501 | ||
Beiersdorf AG | 66,570 | 6,943,415 | ||
Carl Zeiss Meditec AG | 1,652 | 128,908 | ||
Continental AG | 42,648 | 5,938,135 | ||
Covestro AG 144A‡‡ | 61,717 | 3,056,504 | ||
Daimler AG | 284,482 | 14,996,449 | ||
Delivery Hero SE 144A* | 22,637 | 845,130 | ||
Deutsche Boerse AG | 3,382 | 404,336 | ||
Deutsche Lufthansa AG‡‡ | 87,205 | 1,969,399 | ||
Deutsche Telekom AG | 432,319 | 7,348,010 | ||
Deutsche Wohnen SE | 6,238 | 285,081 | ||
E.ON SE‡‡ | 39,128 | 386,245 | ||
Evonik Industries AG | 172,590 | 4,308,049 | ||
Fresenius Medical Care AG & Co. KGaA | 1,080 | 70,007 | ||
Fresenius SE & Co. KGaA‡‡ | 5,433 | 262,599 |
Shares | Value | |||
Hella GmbH & Co. KGaA | 3,439 | $137,733 | ||
HOCHTIEF AG‡‡ | 776 | 104,800 | ||
MorphoSys AG* | 7,558 | 771,609 | ||
ProSiebenSat.1 Media SE | 10,921 | 194,324 | ||
Rheinmetall AG‡‡ | 9,383 | 832,074 | ||
Rocket Internet SE 144A* | 33,577 | 775,672 | ||
Salzgitter AG | 14,743 | 430,249 | ||
SAP SE‡‡ | 121,107 | 12,019,833 | ||
Scout24 AG 144A | 6,968 | 319,694 | ||
Siemens Healthineers AG 144A* | 5,898 | 246,458 | ||
Software AG | 20,687 | 747,325 | ||
Suedzucker AG | 33,283 | 431,345 | ||
Talanx AG | 9,401 | 321,033 | ||
thyssenkrupp AG | 172,014 | 2,954,849 | ||
TUI AG‡‡ | 24,090 | 345,586 | ||
Uniper SE | 10,120 | 261,051 | ||
Vonovia SE | 8,154 | 367,573 | ||
Wirecard AG‡‡ | 20,496 | 3,089,819 | ||
Zalando SE 144A* | 74,628 | 1,928,273 | ||
103,197,533 | ||||
Hong Kong — 4.5% | ||||
AIA Group, Ltd. | 1,731,800 | 14,375,455 | ||
China Mobile, Ltd. | 838,500 | 8,068,575 | ||
CK Asset Holdings, Ltd. | 43,500 | 318,313 | ||
CK Hutchison Holdings, Ltd. | 1,015,000 | 9,747,526 | ||
CK Infrastructure Holdings, Ltd.‡‡ | 11,000 | 83,303 | ||
CLP Holdings, Ltd. | 82,500 | 932,412 | ||
Hang Lung Properties, Ltd. | 63,000 | 120,038 | ||
Henderson Land Development Co., Ltd. | 46,600 | 232,092 | ||
Hong Kong Exchanges and Clearing, Ltd.‡‡ | 53,607 | 1,551,286 | ||
Kerry Properties, Ltd. | 429,500 | 1,467,228 | ||
Li & Fung, Ltd. | 2,988,000 | 469,349 | ||
Link REIT‡‡ | 41,000 | 415,210 | ||
Meituan Dianping Class BΔ* | 118,000 | 661,541 | ||
NWS Holdings, Ltd. | 60,000 | 123,057 | ||
PCCW, Ltd.‡‡ | 62,000 | 35,709 | ||
Sino Land Co., Ltd. | 562,000 | 963,162 | ||
Sun Hung Kai Properties, Ltd. | 72,500 | 1,033,267 | ||
Swire Properties, Ltd. | 33,200 | 116,595 | ||
WH Group, Ltd. 144A | 7,333,825 | 5,647,528 | ||
Wharf Holdings, Ltd. (The) | 317,000 | 825,848 | ||
Wheelock & Co., Ltd. | 125,000 | 714,354 | ||
Yue Yuen Industrial Holdings, Ltd. | 279,500 | 894,129 | ||
48,795,977 | ||||
India — 0.9% | ||||
Axis Bank, Ltd.* | 182,118 | 1,617,059 | ||
Housing Development Finance Corporation, Ltd. | 27,222 | 767,491 | ||
Tata Consultancy Services, Ltd. | 265,148 | 7,189,550 | ||
9,574,100 | ||||
Indonesia — 0.3% | ||||
PT Bank Mandiri Persero Tbk | 7,023,300 | 3,602,747 |
Table of Contents
Shares | Value | |||
Ireland — 0.6% | ||||
Linde PLC | 5,386 | $854,993 | ||
Ryanair Holdings PLC ADR* | 52,455 | 3,742,140 | ||
Willis Towers Watson PLC | 14,660 | 2,226,268 | ||
6,823,401 | ||||
Italy — 3.5% | ||||
A2A SpA‡‡ | 1,555,783 | 2,805,817 | ||
Autogrill SpA | 30,964 | 261,236 | ||
BPER Banca | 334,339 | 1,287,734 | ||
Enel SpA | 2,369,313 | 13,735,491 | ||
Eni SpA | 799,478 | 12,629,522 | ||
Intesa Sanpaolo SpA | 3,062,037 | 6,818,002 | ||
Telecom Italia SpA* | 224,652 | 124,369 | ||
Unipol Gruppo SpA | 42,566 | 171,659 | ||
37,833,830 | ||||
Japan — 15.8% | ||||
Alfresa Holdings Corporation | 23,900 | 609,202 | ||
Alps Electric Co., Ltd. | 20,000 | 387,808 | ||
ANA Holdings, Inc. | 7,200 | 258,473 | ||
Asahi Kasei Corporation | 5,900 | 60,554 | ||
Astellas Pharma, Inc.‡‡ | 196,600 | 2,511,886 | ||
Bandai Namco Holdings, Inc. | 52,600 | 2,361,700 | ||
Brother Industries, Ltd. | 50,500 | 747,465 | ||
Canon Marketing Japan, Inc. | 4,100 | 73,074 | ||
Central Japan Railway Co. | 300 | 63,296 | ||
Coca-Cola Bottlers Japan Holdings, Inc.Δ | 87,500 | 2,609,344 | ||
Daikin Industries, Ltd. | 63,400 | 6,736,596 | ||
Daito Trust Construction Co., Ltd.‡‡ | 1,000 | 136,903 | ||
Daiwa House Industry Co., Ltd.‡‡ | 9,100 | 290,276 | ||
Denso Corporation | 104,000 | 4,603,840 | ||
Don Quijote Holdings Co., Ltd. | 18,500 | 1,143,791 | ||
East Japan Railway Co. | 800 | 70,648 | ||
Eisai Co., Ltd.‡‡ | 19,500 | 1,509,687 | ||
Fuji Electric Co., Ltd. | 13,800 | 406,444 | ||
FUJIFILM Holdings Corporation | 205,800 | 7,977,738 | ||
Fujitsu, Ltd. | 75,200 | 4,687,679 | ||
Haseko Corporation‡‡ | 146,300 | 1,531,996 | ||
Hitachi Construction Machinery Co., Ltd. | 18,000 | 421,222 | ||
Hitachi High-Technologies Corporation | 5,900 | 184,755 | ||
Hitachi, Ltd.‡‡ | 102,900 | 2,727,905 | ||
Honda Motor Co., Ltd. | 378,000 | 9,958,436 | ||
Hoya Corporation‡‡ | 139,200 | 8,393,766 | ||
Idemitsu Kosan Co., Ltd. | 10,900 | 354,541 | ||
Isuzu Motors, Ltd. | 225,300 | 3,160,307 | ||
ITOCHU Corporation | 17,300 | 293,802 | ||
Itochu Techno-Solutions Corporation | 7,500 | 145,234 | ||
Japan Airlines Co., Ltd. | 48,400 | 1,715,348 | ||
Japan Real Estate Investment Corporation REIT | 18 | 101,064 | ||
Japan Retail Fund Investment Corporation REIT | 50 | 99,779 | ||
JXTG Holdings, Inc. | 244,500 | 1,269,817 | ||
Kajima Corporation | 21,400 | 287,468 |
Shares | Value | |||
Kamigumi Co., Ltd. | 13,500 | $276,193 | ||
Keyence Corporation | 600 | 303,268 | ||
Komatsu, Ltd. | 115,400 | 2,479,940 | ||
Kose Corporation | 5,100 | 801,097 | ||
Kyocera Corporation | 2,400 | 119,964 | ||
Kyowa Hakko Kirin Co., Ltd. | 22,800 | 430,831 | ||
Kyushu Railway Co. | 109,200 | 3,694,539 | ||
M3, Inc. | 186,500 | 2,512,384 | ||
Marubeni Corporation | 41,000 | 287,677 | ||
Matsumotokiyoshi Holdings Co., Ltd. | 27,300 | 839,387 | ||
Medipal Holdings Corporation | 4,800 | 102,692 | ||
Minebea Mitsumi, Inc. | 8,600 | 124,012 | ||
Mitsubishi Corporation | 33,700 | 923,938 | ||
Mitsubishi Electric Corporation | 460,400 | 5,077,105 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 22,000 | 346,137 | ||
Mitsubishi Gas Chemical Co., Inc.‡‡ | 37,700 | 564,731 | ||
Mitsubishi UFJ Financial Group, Inc.‡‡ | 301,600 | 1,480,149 | ||
Mitsui & Co., Ltd. | 5,600 | 86,035 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 16,000 | 355,391 | ||
Mixi, Inc. | 50,200 | 1,053,492 | ||
Murata Manufacturing Co., Ltd. | 400 | 53,900 | ||
Nexon Co., Ltd.* | 56,900 | 734,552 | ||
Nidec Corporation | 15,700 | 1,776,407 | ||
Nikon Corporation | 15,900 | 236,832 | ||
Nippon Building Fund, Inc. REIT | 16 | 100,749 | ||
Nippon Express Co., Ltd. | 19,300 | 1,072,179 | ||
Nippon Telegraph & Telephone Corporation | 36,300 | 1,481,015 | ||
Nomura Research Institute, Ltd. | 2,100 | 77,874 | ||
NTT DOCOMO, Inc.‡‡ | 27,200 | 611,163 | ||
Olympus Corporation | 248,200 | 7,591,139 | ||
Omron Corporation | 21,700 | 786,666 | ||
Oriental Land Co., Ltd. | 5,600 | 563,189 | ||
ORIX Corporation | 19,100 | 279,088 | ||
Otsuka Corporation | 11,700 | 322,001 | ||
Otsuka Holdings Co., Ltd. | 39,700 | 1,622,313 | ||
Pigeon Corporation | 19,500 | 831,728 | ||
Pola Orbis Holdings, Inc. | 13,800 | 371,885 | ||
Resona Holdings, Inc.‡‡ | 220,900 | 1,059,543 | ||
Rohm Co., Ltd.‡‡ | 1,500 | 95,738 | ||
Ryohin Keikaku Co., Ltd. | 1,000 | 242,783 | ||
SBI Holdings, Inc. | 36,500 | 711,825 | ||
Secom Co., Ltd. | 55,000 | 4,562,281 | ||
Sekisui Chemical Co., Ltd. | 319,400 | 4,748,085 | ||
Shimamura Co., Ltd. | 2,600 | 199,097 | ||
Shimizu Corporation | 17,600 | 143,175 | ||
Shinsei Bank, Ltd. | 14,700 | 174,757 | ||
Shionogi & Co., Ltd.‡‡ | 14,600 | 833,302 | ||
Shiseido Co., Ltd. | 16,800 | 1,052,150 | ||
SMC Corporation | 6,100 | 1,836,543 | ||
SoftBank Group Corporation | 85,300 | 5,587,081 | ||
Sojitz Corporation‡‡ | 507,300 | 1,756,625 | ||
Sony Corporation‡‡ | 25,700 | 1,238,987 | ||
Square Enix Holdings Co., Ltd.‡‡ | 13,600 | 370,231 | ||
Sumitomo Corporation | 4,100 | 58,174 |
Table of Contents
Shares | Value | |||
Sumitomo Dainippon Pharma Co., Ltd.‡‡ | 54,400 | $1,734,833 | ||
Sumitomo Electric Industries, Ltd. | 397,700 | 5,266,877 | ||
Sumitomo Heavy Industries, Ltd. | 7,400 | 219,419 | ||
Sumitomo Mitsui Financial Group, Inc. | 16,900 | 557,110 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | 219,652 | ||
Suzuken Co., Ltd. | 4,800 | 244,429 | ||
Sysmex Corporation | 11,100 | 527,151 | ||
Taisei Corporation | 31,500 | 1,349,095 | ||
Takeda Pharmaceutical Co., Ltd.Δ | 270,600 | 9,171,851 | ||
Terumo Corporation | 72,100 | 4,066,809 | ||
THK Co., Ltd. | 19,200 | 358,692 | ||
Tokio Marine Holdings, Inc. | 161,100 | 7,653,655 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 60,400 | 358,778 | ||
Tosoh Corporation | 44,800 | 581,105 | ||
Toyota Motor Corporation | 86,500 | 5,007,190 | ||
Toyota Tsusho Corporation | 1,800 | 52,888 | ||
Unicharm Corporation | 10,300 | 333,122 | ||
170,636,519 | ||||
Jersey — 2.7% | ||||
Experian PLC | 341,266 | 8,286,325 | ||
Ferguson PLC | 31,287 | 2,000,700 | ||
Glencore PLC* | 1,547,127 | 5,745,329 | ||
IWG PLC | 67,486 | 179,777 | ||
Randgold Resources, Ltd.‡‡ | 1,392 | 116,142 | ||
Shire PLC‡‡ | 14,363 | 837,549 | ||
WPP PLC | 1,101,621 | 11,887,333 | ||
29,053,155 | ||||
Mexico — 0.2% | ||||
Grupo Televisa SAB SA ADR | 165,900 | 2,087,022 | ||
Netherlands — 3.9% | ||||
Airbus SE | 8,612 | 828,450 | ||
Akzo Nobel NV | 8,587 | 692,634 | ||
ASM International NV | 8,648 | 358,686 | ||
ASML Holding NV | 54,949 | 8,635,295 | ||
ASR Nederland NV | 38,713 | 1,533,810 | ||
CNH Industrial NVΔ | 628,747 | 5,680,913 | ||
EXOR NV | 70,503 | 3,827,422 | ||
Ferrari NVΔ | 35,654 | 3,547,719 | ||
Fiat Chrysler Automobiles NV* | 181,388 | 2,615,320 | ||
Gemalto NV* | 3,241 | 188,120 | ||
ING Groep NV‡‡ | 66,977 | 722,113 | ||
Koninklijke Ahold Delhaize NV | 388,358 | 9,822,519 | ||
Koninklijke KPN NV | 30,080 | 88,228 | ||
Koninklijke Philips NV | 10,024 | 355,231 | ||
NN Group NV | 6,893 | 274,838 | ||
Randstad NV | 17,763 | 815,910 | ||
Signify NV 144A | 25,548 | 599,190 | ||
STMicroelectronics NV | 11,487 | 164,318 | ||
Unibail-Rodamco-Westfield REIT‡‡ | 1,666 | 258,454 | ||
Unilever NV CVA | 1,623 | 88,180 | ||
Wolters Kluwer NV | 9,177 | 543,182 | ||
41,640,532 |
Shares | Value | |||
Nigeria — 0.0% | ||||
Afriland Properties PLCΨ††† | 364,373 | $ — | ||
Norway — 0.6% | ||||
DNB ASA | 15,435 | 247,757 | ||
Equinor ASA | 79,341 | 1,682,992 | ||
Leroy Seafood Group ASA | 170,259 | 1,295,754 | ||
Salmar ASA | 44,676 | 2,215,876 | ||
Schibsted ASA Class A | 7,016 | 235,719 | ||
Schibsted ASA, B Shares | 22,416 | 681,896 | ||
Telenor ASA | 18,243 | 354,285 | ||
6,714,279 | ||||
Portugal — 0.0% | ||||
EDP - Energias de Portugal SA | 96,013 | 335,411 | ||
Singapore — 3.0% | ||||
Ascendas Real Estate Investment Trust‡‡ | 2,082,100 | 3,926,040 | ||
CapitaLand Commercial Trust REIT | 69,500 | 89,237 | ||
CapitaLand Mall Trust REIT‡‡ | 58,400 | 96,837 | ||
ComfortDelGro Corporation, Ltd. | 200,200 | 315,808 | ||
DBS Group Holdings, Ltd. | 320,900 | 5,577,696 | ||
Jardine Matheson Holdings, Ltd. | 58,545 | 4,073,561 | ||
Sembcorp Industries, Ltd.‡‡ | 14,800 | 27,581 | ||
Singapore Airlines, Ltd. | 28,700 | 198,359 | ||
Singapore Exchange, Ltd.‡‡ | 13,600 | 71,345 | ||
Singapore Telecommunications, Ltd. | 2,174,200 | 4,673,984 | ||
Suntec Real Estate Investment Trust | 65,200 | 85,151 | ||
United Overseas Bank, Ltd. | 669,277 | 12,065,106 | ||
UOL Group, Ltd. | 14,686 | 66,698 | ||
Yangzijiang Shipbuilding Holdings, Ltd. | 782,600 | 717,745 | ||
31,985,148 | ||||
South Africa — 0.5% | ||||
Naspers, Ltd. N Shares | 27,442 | 5,516,571 | ||
South Korea — 0.5% | ||||
Celltrion, Inc.* | 3,521 | 707,338 | ||
NAVER Corporation* | 17,685 | 1,938,204 | ||
Samsung Electronics Co., Ltd. | 64,800 | 2,255,799 | ||
4,901,341 | ||||
Spain — 4.1% | ||||
Acerinox SA | 7,506 | 74,493 | ||
ACS Actividades de Construccion y Servicios SA | 2,422 | 93,878 | ||
Almirall SA | 3,592 | 55,025 | ||
Amadeus IT Group SA | 109,321 | 7,620,486 | ||
Banco Bilbao Vizcaya Argentaria SA | 417,469 | 2,217,230 | ||
Banco Santander SA | 1,551,474 | 7,062,411 | ||
Distribuidora Internacional de Alimentacion SAΔ | 80,408 | 42,517 | ||
Endesa SA | 94,079 | 2,169,833 | ||
Iberdrola SA | 1,383,168 | 11,121,880 | ||
Industria de Diseno Textil SA | 143,532 | 3,675,498 | ||
International Consolidated Airlines Group SA‡‡ | 140,151 | 1,103,973 | ||
Mapfre SA | 356,133 | 946,651 | ||
Mediaset Espana Comunicacion SA | 12,967 | 81,565 |
Table of Contents
Shares | Value | |||
Repsol SA‡‡ | 145,724 | $2,350,843 | ||
Telefonica SA | 726,746 | 6,110,960 | ||
44,727,243 | ||||
Sweden — 3.3% | ||||
Alfa Laval AB | 44,885 | 964,905 | ||
Atlas Copco AB, A Shares | 68,804 | 1,641,528 | ||
Atlas Copco AB, B Shares | 6,930 | 151,849 | ||
Boliden AB | 45,676 | 989,754 | ||
Elekta AB, B Shares | 113,125 | 1,343,262 | ||
Hennes & Mauritz AB, B Shares | 366,933 | 5,218,185 | ||
Investor AB, B Shares‡‡ | 8,150 | 346,329 | ||
Kinnevik AB Class B | 61,493 | 1,488,092 | ||
Sandvik AB | 54,897 | 786,579 | ||
Skandinaviska Enskilda Banken AB Class A | 20,943 | 203,585 | ||
SKF AB, B Shares | 160,287 | 2,436,144 | ||
Svenska Handelsbanken AB, A Shares | 186,546 | 2,075,450 | ||
Swedbank AB, A Shares | 11,095 | 247,986 | ||
Swedish Orphan Biovitrum AB* | 88,735 | 1,932,297 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 35,001 | 309,828 | ||
Telia Co. AB | 2,471,469 | 11,756,508 | ||
Volvo AB, B Shares‡‡ | 278,225 | 3,643,095 | ||
35,535,376 | ||||
Switzerland — 8.4% | ||||
ABB, Ltd.Δ | 388,896 | 7,426,399 | ||
Adecco Group AG‡‡ | 16,941 | 796,268 | ||
Cie Financiere Richemont SA | 43,037 | 2,775,354 | ||
Credit Suisse Group AG* | 606,675 | 6,631,983 | ||
GAM Holding AG* | 89,610 | 353,341 | ||
Georg Fischer AG | 79 | 63,380 | ||
Idorsia, Ltd.* | 6,271 | 104,201 | ||
Kuehne + Nagel International AG | 15,360 | 1,977,242 | ||
LafargeHolcim, Ltd.Δ* | 96,100 | 3,965,910 | ||
Nestle SA | 142,312 | 11,550,439 | ||
Novartis AG‡‡ | 201,629 | 17,268,368 | ||
Roche Holding AG‡‡ | 69,099 | 17,154,439 | ||
Sika AG | 23,255 | 2,953,933 | ||
Sonova Holding AG‡‡ | 7,033 | 1,156,550 | ||
Swiss Life Holding AG‡‡* | 1,595 | 615,622 | ||
Temenos AG‡‡* | 14,334 | 1,722,414 | ||
UBS Group AG* | 445,082 | 5,551,616 | ||
Zurich Insurance Group AG‡‡ | 27,717 | 8,262,128 | ||
90,329,587 | ||||
Taiwan — 1.4% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 375,000 | 2,722,962 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 331,259 | 12,226,770 | ||
14,949,732 | ||||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS* | 1 | — | ||
United Kingdom — 14.3% | ||||
3i Group PLC‡‡ | 15,222 | 150,055 | ||
Anglo American PLC‡‡ | 40,823 | 909,433 | ||
Ashtead Group PLC | 141,926 | 2,961,315 |
Shares | Value | |||
Aston Martin Lagonda Global Holdings PLC 144AΔ* | 53,888 | $840,438 | ||
Barclays PLC‡‡ | 983,936 | 1,887,709 | ||
Bellway PLC | 16,130 | 517,066 | ||
BP PLC‡‡ | 1,686,637 | 10,661,872 | ||
British Land Co. PLC (The) REIT‡‡ | 18,907 | 128,495 | ||
BT Group PLC‡‡ | 1,357,139 | 4,118,676 | ||
BTG PLC* | 31,488 | 333,117 | ||
Burberry Group PLC‡‡ | 165,957 | 3,671,082 | ||
Centrica PLC | 237,469 | 408,313 | ||
Close Brothers Group PLC‡‡ | 12,283 | 225,445 | ||
Cobham PLC* | 74,321 | 92,570 | ||
Compass Group PLC | 347,668 | 7,311,772 | ||
Dialog Semiconductor PLC* | 2,556 | 66,235 | ||
Dixons Carphone PLC‡‡ | 586,639 | 898,024 | ||
Drax Group PLC | 105,673 | 483,271 | ||
easyJet PLC | 7,532 | 106,083 | ||
Evraz PLC‡‡ | 108,474 | 664,344 | ||
G4S PLC | 2,793,639 | 7,012,942 | ||
GlaxoSmithKline PLC | 484,376 | 9,206,456 | ||
Hammerson PLC REIT‡‡ | 15,352 | 64,456 | ||
Hays PLC | 34,372 | 61,335 | ||
HSBC Holdings PLC | 38,728 | 319,327 | ||
Inchcape PLC‡‡ | 90,989 | 639,600 | ||
Indivior PLC* | 68,643 | 98,298 | ||
Intermediate Capital Group PLC | 41,882 | 499,129 | ||
Investec PLC | 83,922 | 471,831 | ||
ITV PLC | 146,573 | 233,247 | ||
JD Sports Fashion PLC | 43,602 | 193,846 | ||
John Wood Group PLC | 824,188 | 5,317,682 | ||
Kingfisher PLC | 2,085,655 | 5,516,130 | ||
Land Securities Group PLC REIT | 14,472 | 148,380 | ||
Liberty Global PLC Class A* | 78,000 | 1,664,520 | ||
Liberty Global PLC Class C* | 136,100 | 2,809,104 | ||
Lloyds Banking Group PLC‡‡ | 25,927,355 | 17,134,874 | ||
London Stock Exchange Group PLC | 5,849 | 302,828 | ||
Man Group PLC‡‡ | 780,117 | 1,322,468 | ||
Meggitt PLC | 146,436 | 879,109 | ||
Moneysupermarket.com Group PLC | 289,291 | 1,015,852 | ||
National Grid PLC | 435,067 | 4,237,767 | ||
Ocado Group PLC* | 96,995 | 976,676 | ||
Persimmon PLC‡‡ | 9,882 | 243,095 | ||
Reckitt Benckiser Group PLC | 10,300 | 789,410 | ||
RELX PLC‡‡ | 31,076 | 640,287 | ||
Rio Tinto PLC‡‡ | 50,044 | 2,379,221 | ||
Rolls-Royce Holdings PLC* | 637,303 | 6,742,144 | ||
Royal Bank of Scotland Group PLC | 1,576,459 | 4,354,272 | ||
Royal Dutch Shell PLC, A Shares | 64,401 | 1,894,123 | ||
Royal Dutch Shell PLC, B Shares‡‡ | 414,518 | 12,363,266 | ||
Royal Mail PLC‡‡ | 250,333 | 868,202 | ||
Schroders PLC | 122,818 | 3,824,366 | ||
Segro PLC REIT | 14,592 | 109,473 | ||
Smith & Nephew PLC‡‡ | 72,068 | 1,344,799 | ||
Smiths Group PLC | 109,596 | 1,905,386 | ||
Spectris PLC | 18,635 | 541,312 | ||
SSE PLC | 475,288 | 6,551,750 | ||
Tate & Lyle PLC‡‡ | 77,696 | 653,607 | ||
Tesco PLC | 3,248,130 | 7,870,267 |
Table of Contents
Shares | Value | |||
Thomas Cook Group PLC | 160,125 | $62,780 | ||
Travis Perkins PLC | 163,206 | 2,225,840 | ||
Unilever PLC‡‡ | 21,864 | 1,144,951 | ||
Vodafone Group PLC | 905,666 | 1,765,019 | ||
WH Smith PLC | 3,444 | 75,503 | ||
154,910,245 | ||||
Total Foreign Common Stocks (Cost $1,142,748,310) | 1,051,808,797 | |||
FOREIGN PREFERRED STOCKS — 0.1% | ||||
Germany — 0.1% | ||||
Bayerische MotorenWerke AG | ||||
6.63%, 05/18/18 | 9,226 | 657,922 | ||
Henkel AG & Co KGaA | ||||
1.87%, 04/10/18 | 596 | 65,101 | ||
Porsche Automobil Holding SE | ||||
3.47%, 05/16/18‡‡ | 2,638 | 155,147 | ||
Sartorius AG | ||||
0.48%, 04/06/18 | 5,692 | 708,410 | ||
1,586,580 | ||||
Total Foreign Preferred Stocks (Cost $1,651,675) | 1,586,580 | |||
RIGHTS — 0.0% | ||||
Repsol SA* (Cost $49,330) | 105,147 | 48,189 | ||
MONEY MARKET FUNDS — 5.9% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 60,810,471 | 60,810,471 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 2,613,371 | 2,613,371 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 246,637 | 246,637 | ||
Total Money Market Funds (Cost $63,670,479) | 63,670,479 |
Par | |||
U.S. TREASURY OBLIGATION — 0.3% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $2,672,331) | $2,700,000 | 2,673,124 | |
TOTAL INVESTMENTS —105.6% (Cost $1,226,713,537) | 1,141,216,526 |
Shares | |||
FOREIGN COMMON STOCKS SOLD SHORT — (4.9)% | |||
Australia — (0.5)% | |||
Bank of Queensland, Ltd. | (9,204) | (62,883) | |
Challenger, Ltd. | (330,925) | (2,211,996) | |
Healthscope, Ltd. | (50,179) | (78,816) | |
Magellan Financial Group, Ltd. | (38,667) | (641,114) | |
Orica, Ltd.01/07/19 | (67,957) | (825,680) | |
SEEK, Ltd. | (89,838) | (1,070,654) |
Shares | Value | |||
TPG Telecom, Ltd. | (7,799) | $(35,376) | ||
Vocus Group, Ltd.* | (428,086) | (964,872) | ||
(5,891,391) | ||||
Austria — (0.1)% | ||||
ams AG* | (30,681) | (738,806) | ||
Belgium — (0.1)% | ||||
Telenet Group Holding NV | (14,145) | (657,989) | ||
Umicore SA | (1,412) | (56,397) | ||
(714,386) | ||||
Denmark — (0.3)% | ||||
AP Moeller - Maersk A/S Class B | (2,648) | (3,331,004) | ||
Finland — (0.1)% | ||||
Huhtamaki OYJ | (7,947) | (245,908) | ||
Outokumpu OYJ | (207,534) | (756,490) | ||
(1,002,398) | ||||
France — (0.9)% | ||||
Air France-KLM* | (169,418) | (1,840,169) | ||
Altran Technologies SA | (48,548) | (389,645) | ||
Bollore SA | (352,595) | (1,413,950) | ||
Edenred | (4,745) | (174,569) | ||
Elior Group SA 144A | (37,472) | (560,712) | ||
Eurofins Scientific SE Millicom International Cellular SA SDR | (1,347) | (503,124) | ||
Iliad SA | (15,465) | (2,173,239) | ||
Ingenico Group | (11,066) | (628,111) | ||
JCDecaux SA | (1,803) | (50,653) | ||
SPIE SA | (4,392) | (58,323) | ||
Suez | (54,115) | (714,886) | ||
Technicolor SA* | (384,084) | (419,821) | ||
Valeo SA | (29,444) | (860,592) | ||
(9,787,794) | ||||
Germany — (0.4)% | ||||
1&1 Drillisch AG | (26,676) | (1,362,379) | ||
CECONOMY AG | (14,390) | (51,869) | ||
Deutsche Bank AG | (100,527) | (801,722) | ||
GEA Group AG | (2,278) | (58,649) | ||
Innogy SE 144A | (1,983) | (92,598) | ||
OSRAM Licht AG | (13,118) | (570,877) | ||
Puma SE | (140) | (68,493) | ||
thyssenkrupp AG | (40,718) | (699,452) | ||
Zalando SE 144A* | (9,568) | (247,222) | ||
(3,953,261) | ||||
Ireland — (0.0)% | ||||
James Hardie Industries PLC CDI 2.23%, 12/12/17 | (14,558) | (155,039) | ||
Italy — (0.4)% | ||||
Banco BPM SpA* | (376,051) | (846,017) | ||
Brembo SpA | (44,184) | (450,933) | ||
Buzzi Unicem SpA | (28,861) | (497,802) | ||
Leonardo SpA | (43,308) | (381,553) | ||
Pirelli & C SpA 144A* | (138,199) | (888,091) | ||
Saipem SpA* | (81,420) | (305,112) |
Table of Contents
Shares | Value | |||
Tenaris SA | (29,860) | $(320,929) | ||
Unione di Banche Italiane SpA | (67,870) | (197,004) | ||
(3,887,441) | ||||
Japan — (0.5)% | ||||
Bank of Kyoto, Ltd. (The) | (13,300) | (546,562) | ||
Calbee, Inc. | (5,800) | (181,160) | ||
Daifuku Co., Ltd. | (8,500) | (385,394) | ||
Hitachi Metals, Ltd. | (17,100) | (177,849) | ||
Hokuriku Electric Power Co.* | (146,800) | (1,279,299) | ||
JGC Corporation | (15,900) | (223,781) | ||
Keikyu Corporation | (40,700) | (665,093) | ||
LINE Corporation* | (7,100) | (242,484) | ||
Nippon Paint Holdings Co., Ltd. | (38,400) | (1,308,346) | ||
Showa Denko KK | (11,600) | (344,456) | ||
Sony Financial Holdings, Inc. | (2,900) | (54,046) | ||
Taiyo Nippon Sanso Corporation | (6,100) | (99,167) | ||
(5,507,637) | ||||
Jersey — (0.0)% | ||||
Petrofac, Ltd. | (17,087) | (103,886) | ||
Netherlands — (0.2)% | ||||
ALTICE EUROPE NV* | (358,512) | (697,890) | ||
BoskalisWestminster | (9,569) | (238,241) | ||
OCI NV* | (59,963) | (1,223,594) | ||
SBM Offshore NV | (14,775) | (218,800) | ||
(2,378,525) | ||||
Norway — (0.2)% | ||||
Schibsted ASA Class A | (64,167) | (2,155,838) | ||
Subsea 7 SA | (42,119) | (410,431) | ||
Yara International ASA | (2,477) | (95,486) | ||
(2,661,755) | ||||
Spain — (0.3)% | ||||
Bankia SA | (18,544) | (54,392) | ||
Cellnex Telecom SA 144A* | (102,878) | (2,639,165) | ||
(2,693,557) | ||||
Sweden — (0.2)% | ||||
Getinge AB, B Shares | (43,686) | (395,037) | ||
Husqvarna AB, B Shares | (17,150) | (127,320) | ||
Millicom International Cellular SA SDR1.98%, 05/07/18 | (20,137) | (1,274,184) | ||
Saab AB Class B | (3,776) | (130,824) | ||
(1,927,365) | ||||
Switzerland — (0.0)% | ||||
Aryzta AG* | (47,532) | (52,663) | ||
United Kingdom — (0.7)% | ||||
John Wood Group PLC | (456,608) | (2,946,047) | ||
Merlin Entertainments PLC 144A | (58,313) | (235,984) | ||
Metro Bank PLC* | (8,022) | (173,107) | ||
Micro Focus International PLC | (57,531) | (1,014,140) | ||
NMC Health PLC | (13,194) | (460,115) | ||
Severn Trent PLC | (39,083) | (904,395) | ||
St. James’s Place PLC | (19,690) | (236,915) | ||
United Utilities Group PLC | (204,582) | (1,919,717) |
Shares | Value | |||
Weir Group PLC (The) | (4,206) | $(69,585) | ||
(7,960,005) | ||||
Total Foreign Common Stocks Sold Short (Proceeds $(59,998,621)) | (52,746,913) | |||
FOREIGN PREFERRED STOCKS SOLD SHORT — (0.0)% | ||||
Germany — (0.0)% | ||||
Sartorius AG 0.48%, 04/06/18 (Proceeds $(260,678)) | (2,762) | (343,750) | ||
Liabilities in Excess of Other Assets — (0.7)% | (7,389,483) | |||
NET ASSETS — 100.0% | $1,080,736,380 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
IBEX 35 Index | 01/2019 | (27) | $(2,634,786) | $64,017 | ||||
Hang Seng Index | 01/2019 | 9 | 1,485,767 | 4,327 | ||||
SGX MSCI Singapore Index | 01/2019 | 7 | 175,494 | 2,045 | ||||
AEX Index | 01/2019 | (9) | (1,005,849) | 19,390 | ||||
CAC 40 Index | 01/2019 | (3) | (162,530) | 1,845 | ||||
DAX Index | 03/2019 | 9 | 2,722,689 | (55,922) | ||||
FTSE 100 Index® | 03/2019 | 48 | 4,074,030 | (9,336) | ||||
MSCI EAFE Index | 03/2019 | 461 | 39,553,800 | (628,652) | ||||
S&P/TSE 60 Index | 03/2019 | (52) | (6,530,853) | 157,020 | ||||
Swiss Market Index | 03/2019 | (54) | (4,567,118) | 57,249 | ||||
ASX SPI 200 Index | 03/2019 | (61) | (5,973,258) | (37,138) | ||||
Topix Index® | 03/2019 | 165 | 22,483,235 | (1,282,899) | ||||
Total Futures Contracts outstanding at December 31, 2018 | $49,620,621 | $(1,708,054) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/20/19 | U.S. Dollars | 19,939,731 | Canadian Dollars | 26,512,000 | CITI | $484,013 | ||||||
03/20/19 | Swedish Kronor | 132,708,000 | U.S. Dollars | 14,782,659 | CITI | 286,800 | ||||||
03/20/19 | Japanese Yen | 1,658,403,000 | U.S. Dollars | 14,950,658 | CITI | 278,151 | ||||||
06/19/19 | U.S. Dollars | 4,643,671 | Swiss Francs | 4,391,000 | NT | 101,352 | ||||||
03/20/19 | Euro | 17,931,000 | U.S. Dollars | 20,602,549 | CITI | 80,089 | ||||||
03/20/19 | U.S. Dollars | 5,021,024 | Norwegian Kroner | 42,675,000 | CITI | 68,127 | ||||||
03/20/19 | U.S. Dollars | 4,886,634 | British Pounds | 3,801,000 | CITI | 23,113 | ||||||
03/20/19 | U.S. Dollars | 468,213 | Australian Dollars | 635,000 | CITI | 20,343 | ||||||
03/20/19 | Swiss Francs | 986,000 | U.S. Dollars | 998,579 | CITI | 12,151 | ||||||
03/20/19 | Danish Kroner | 8,508,000 | U.S. Dollars | 1,306,844 | CITI | 8,070 | ||||||
03/20/19 | U.S. Dollars | 3,661,294 | Euro | 3,171,200 | CITI | 3,451 | ||||||
03/20/19 | U.S. Dollars | 1,098,051 | Hong Kong Dollars | 8,567,000 | CITI | 1,407 | ||||||
03/20/19 | Singapore Dollars | 454,000 | U.S. Dollars | 332,908 | CITI | 802 | ||||||
03/20/19 | U.S. Dollars | 55,073 | Israeli Shekels | 203,000 | CITI | 445 | ||||||
03/20/19 | Israeli Shekels | 16,000 | U.S. Dollars | 4,282 | CITI | 24 | ||||||
Subtotal Appreciation | $1,368,338 | |||||||||||
03/20/19 | U.S. Dollars | 455,512 | Hong Kong Dollars | 3,560,000 | CITI | $(196) | ||||||
03/20/19 | Danish Kroner | 2,783,000 | U.S. Dollars | 430,649 | CITI | (536) | ||||||
03/20/19 | Euro | 160,000 | U.S. Dollars | 185,116 | CITI | (562) | ||||||
03/20/19 | Hong Kong Dollars | 4,191,000 | U.S. Dollars | 537,475 | CITI | (994) | ||||||
03/20/19 | U.S. Dollars | 168,648 | Singapore Dollars | 231,000 | CITI | (1,145) | ||||||
03/20/19 | U.S. Dollars | 159,744 | Israeli Shekels | 598,000 | CITI | (1,180) | ||||||
06/19/19 | Swiss Francs | 546,000 | U.S. Dollars | 569,682 | NT | (4,866) | ||||||
03/20/19 | U.S. Dollars | 611,432 | Norwegian Kroner | 5,330,000 | CITI | (7,172) | ||||||
03/20/19 | Israeli Shekels | 5,050,000 | U.S. Dollars | 1,369,044 | CITI | (10,071) | ||||||
03/20/19 | U.S. Dollars | 2,753,290 | Danish Kroner | 17,896,000 | CITI | (12,545) | ||||||
03/20/19 | British Pounds | 3,490,000 | U.S. Dollars | 4,500,496 | CITI | (34,911) | ||||||
03/20/19 | U.S. Dollars | 5,549,565 | British Pounds | 4,367,000 | CITI | (38,174) | ||||||
03/20/19 | Norwegian Kroner | 39,255,000 | U.S. Dollars | 4,644,767 | CITI | (88,799) | ||||||
03/20/19 | U.S. Dollars | 9,458,136 | Japanese Yen | 1,055,231,000 | CITI | (231,856) | ||||||
03/20/19 | U.S. Dollars | 54,033,368 | Euro | 47,122,800 | CITI | (320,759) | ||||||
03/20/19 | U.S. Dollars | 39,984,294 | Swiss Francs | 39,365,000 | CITI | (367,986) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/20/19 | U.S. Dollars | 34,125,586 | Swedish Kronor | 305,748,000 | CITI | $(593,172) | ||||||
03/20/19 | New Zealand Dollars | 50,576,000 | U.S. Dollars | 34,626,281 | CITI | (632,043) | ||||||
03/20/19 | Australian Dollars | 38,021,000 | U.S. Dollars | 27,595,806 | CITI | (779,354) | ||||||
03/20/19 | Canadian Dollars | 60,916,000 | U.S. Dollars | 45,969,539 | CITI | (1,266,592) | ||||||
Subtotal Depreciation | $(4,392,913) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2018 | $(3,024,575) |
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Total Return Swaps | ||||||||||||||
MSCI Sweden Index, Floating financing rate: 1-Month STIBOR - 0.45% | 03/20/19 | GSC | SEK | 64,847,479 | $299,277 | $ — | $299,277 | |||||||
MSCI Switzerland Index, Floating financing rate: 1-Month ICE LIBOR CHF - 0.45% | 03/20/19 | GSC | CHF | 3,508,153 | 169,471 | — | 169,471 | |||||||
MSCI Netherlands Index, Floating financing rate: 1-Month EURIBOR - 0.1% | 03/20/19 | GSC | EUR | 1,971,773 | 116,648 | — | 116,648 | |||||||
MSCI Spain Index, Floating financing rate: 1-Month EURIBOR - 0.45% | 03/20/19 | GSC | EUR | 107,868 | 4,426 | — | 4,426 | |||||||
Subtotal Appreciation | $589,822 | $ — | $589,822 | |||||||||||
MSCI Australia Index, Floating financing rate: 1-Month ASX Australian Bank Bill Short Term Rates Mid + 0.15% | 03/20/19 | GSC | AUD | 1,155,958 | $(1,128) | $ — | $(1,128) | |||||||
MSCI Hong Kong Index, Floating financing rate: 1-Month HIBOR | 03/20/19 | GSC | HKD | 34,804,659 | (68,037) | — | (68,037) | |||||||
MSCI Italy Index, Floating financing rate: 1-Month EURIBOR - 0.15% | 03/20/19 | GSC | EUR | 6,590,623 | (311,603) | — | (311,603) | |||||||
MSCI Japan Index, Floating financing rate: 1-Month ICE LIBOR JPY - 0.15% | 03/20/19 | GSC | JPY | 646,086,156 | (464,528) | — | (464,528) | |||||||
Subtotal Depreciation | $(845,296) | $ — | $(845,296) | |||||||||||
Net Total Return Swaps outstanding at December 31, 2018 | $(255,474) | $ — | $(255,474) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $21,429,357 | $21,429,357 | $— | $— | |||
Foreign Common Stocks: | |||||||
Austria | 212,340 | — | 212,340 | — | |||
Denmark | 19,646,264 | — | 19,646,264 | — | |||
Finland | 5,140,083 | — | 5,140,083 | — | |||
Germany | 103,197,533 | 345,586 | 102,851,947 | — | |||
Indonesia | 3,602,747 | — | 3,602,747 | — | |||
Italy | 37,833,830 | — | 37,833,830 | — | |||
Japan | 170,636,519 | — | 170,636,519 | — | |||
Netherlands | 41,640,532 | 25,969,158 | 15,671,374 | — | |||
Norway | 6,714,279 | — | 6,714,279 | — | |||
South Korea | 4,901,341 | — | 4,901,341 | — | |||
Sweden | 35,535,376 | 1,932,297 | 33,603,079 | — | |||
Switzerland | 90,329,587 | — | 90,329,587 | — | |||
Taiwan | 14,949,732 | 12,226,770 | 2,722,962 | — | |||
United Kingdom | 154,910,245 | 154,844,010 | 66,235 | — | |||
Other^^ | 362,558,389 | 362,558,389 | — | —** | |||
Total Foreign Common Stocks | 1,051,808,797 | 557,876,210 | 493,932,587 | — | |||
Foreign Preferred Stocks | 1,586,580 | — | 1,586,580 | — | |||
Money Market Funds | 63,670,479 | 63,670,479 | — | — | |||
Rights | 48,189 | 48,189 | — | — | |||
U.S. Treasury Obligation | 2,673,124 | — | 2,673,124 | — | |||
Total Assets - Investments in Securities | $1,141,216,526 | $643,024,235 | $498,192,291 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $1,368,338 | $— | $1,368,338 | $— | |||
Futures Contracts | 305,893 | 305,893 | — | — | |||
Swap Agreements | 589,822 | — | 589,822 | — | |||
Total Assets - Other Financial Instruments | $2,264,053 | $305,893 | $1,958,160 | $ — | |||
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: | |||||||
Austria | $(738,806) | $— | $(738,806) | $— | |||
Denmark | (3,331,004) | — | (3,331,004) | — | |||
Finland | (1,002,398) | — | (1,002,398) | — | |||
Germany | (3,953,261) | (120,362) | (3,832,899) | — | |||
Italy | (3,887,441) | — | (3,887,441) | — | |||
Japan | (5,507,637) | — | (5,507,637) | — | |||
Norway | (2,661,755) | — | (2,661,755) | — | |||
Sweden | (1,927,365) | — | (1,927,365) | — | |||
Switzerland | (52,663) | — | (52,663) | — | |||
Other^^ | (29,684,583) | (29,684,583) | — | — | |||
Total Foreign Common Stocks Sold Short | (52,746,913) | (29,804,945) | (22,941,968) | — | |||
Foreign Preferred Stocks Sold Short | (343,750) | — | (343,750) | — | |||
Total Liabilities - Investments in Securities | $(53,090,663) | $(29,804,945) | $(23,285,718) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(4,392,913) | $— | $(4,392,913) | $— | |||
Futures Contracts | (2,013,947) | (2,013,947) | — | — | |||
Swap Agreements | (845,296) | — | (845,296) | — | |||
Total Liabilities - Other Financial Instruments | $(7,252,156) | $(2,013,947) | $(5,238,209) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
** | Level 3 securities have zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
Table of Contents
% | |
Financials | 21.6 |
Information Technology | 16.2 |
Communication Services | 10.1 |
Consumer Discretionary | 9.6 |
Materials | 8.8 |
Energy | 8.4 |
Money Market Funds | 7.4 |
Consumer Staples | 5.0 |
Health Care | 4.4 |
Industrials | 4.4 |
Real Estate | 2.1 |
Utilities | 2.1 |
U.S. Treasury Obligation | 0.5 |
100.6 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (20.26)% | (20.49)% | (14.58)% | ||||
Five Year | (0.92)% | (1.19)% | 1.65% | ||||
Ten Year | N/A | N/A | N/A | ||||
Since Inception | (1.38)% | (1.63)% | 1.02% | ||||
Inception Date | 10/31/13 | 10/31/13 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus, as supplemented June 19, 2018)(1) | 1.33% | 1.58% |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 1.6% | ||||
Communication Services — 0.1% | ||||
Autohome, Inc. ADRΔ | 2,235 | $174,844 | ||
Momo, Inc. ADR* | 4,615 | 109,606 | ||
Weibo Corporation ADRΔ* | 1,984 | 115,925 | ||
YY, Inc. ADR* | 1,875 | 112,238 | ||
512,613 | ||||
Consumer Discretionary — 0.3% | ||||
Huazhu Group, Ltd. ADRΔ | 5,382 | 154,087 | ||
MercadoLibre, Inc.* | 1,316 | 385,390 | ||
Yum China Holdings, Inc. | 14,537 | 487,426 | ||
1,026,903 | ||||
Health Care — 0.5% | ||||
BeiGene, Ltd. ADRΔ* | 9,124 | 1,279,732 | ||
Hutchison China MediTech, Ltd. ADR* | 32,708 | 755,228 | ||
2,034,960 | ||||
Information Technology — 0.6% | ||||
Globant SA* | 33,401 | 1,881,144 | ||
Huami Corporation ADRΔ* | 39,502 | 388,305 | ||
Pagseguro Digital, Ltd. Class AΔ* | 15,109 | 282,992 | ||
StoneCo, Ltd. Class AΔ* | 7,719 | 142,338 | ||
2,694,779 | ||||
Materials — 0.1% | ||||
Nexa Resources SAΔ* | 30,330 | 360,927 | ||
Southern Copper Corporation | 4,037 | 124,218 | ||
485,145 | ||||
Total Common Stocks (Cost $7,949,211) | 6,754,400 | |||
FOREIGN COMMON STOCKS — 89.4% | ||||
Brazil — 5.2% | �� | |||
Atacadao Distribuicao Comercio e Industria Ltda.* | 47,500 | 221,592 | ||
B3 SA - Brasil Bolsa Balcao* | 122,400 | 845,712 | ||
Banco BTG Pactual SA* | 215,000 | 1,307,050 | ||
Banco do Brasil SA* | 77,100 | 922,993 | ||
BB Seguridade Participacoes SA | 87,000 | 619,382 | ||
BR Malls Participacoes SA* | 256,700 | 864,753 | ||
CCR SA | 66,700 | 192,374 | ||
Centrais Eletricas Brasileiras SA* | 29,000 | 180,696 | ||
Cia de Locacao das Americas | 64,800 | 630,792 | ||
Cia de Saneamento Basico do Estado de Sao Paulo ADR* | 65,430 | 528,020 | ||
Cosan SA | 12,100 | 104,480 | ||
CVC Brasil Operadora e Agencia de Viagens SA | 24,800 | 390,946 | ||
EDP - Energias do Brasil SA | 12,300 | 46,736 | ||
Embraer SA ADR | 7,243 | 160,288 | ||
Fibria Celulose SA ADR | 4,223 | 72,678 | ||
Fleury SA | 62,400 | 317,562 | ||
Hapvida Participacoes e Investimentos SA 144A* | 106,400 | 856,526 | ||
IRB Brasil Resseguros SA | 5,100 | 109,823 | ||
Lojas Renner SA | 115,300 | 1,257,889 | ||
Petroleo Brasileiro SA ADRΔ* | 140,366 | 1,826,162 |
Shares | Value | |||
Porto Seguro SA | 25,600 | $344,657 | ||
Rumo SA* | 370,100 | 1,620,473 | ||
Sao Martinho SA | 61,200 | 287,194 | ||
Sul America SA | 87,549 | 645,263 | ||
Suzano Papel e Celulose SA | 96,540 | 949,473 | ||
TIM Participacoes SA ADRΔ | 66,275 | 1,016,658 | ||
Vale SA ADR | 416,612 | 5,495,112 | ||
Wiz Solucoes e Corretagem de Seguros SA | 135,300 | 244,715 | ||
22,059,999 | ||||
Canada — 0.1% | ||||
Parex Resources, Inc.* | 40,957 | 490,512 | ||
Chile — 1.0% | ||||
Banco de Chile ADRΔ | 65,652 | 1,877,647 | ||
Banco de Credito e Inversiones SA | 2,158 | 140,192 | ||
Banco Santander Chile ADR | 36,692 | 1,097,091 | ||
Cencosud SA | 34,455 | 62,377 | ||
Empresas CMPC SA | 78,859 | 250,679 | ||
Empresas COPEC SA | 51,095 | 614,929 | ||
Enel Americas SA ADR | 6,711 | 59,862 | ||
Enel Chile SA ADR | 10,783 | 53,376 | ||
Itau CorpBanca | 6,756,657 | 63,078 | ||
Latam Airlines Group SA ADRΔ | 2,341 | 24,112 | ||
4,243,343 | ||||
China — 17.1% | ||||
58.com, Inc. ADR* | 10,444 | 566,169 | ||
Agricultural Bank of China, Ltd. Class A | 675,100 | 354,113 | ||
Alibaba Group Holding, Ltd. ADR* | 102,655 | 14,070,921 | ||
Anhui Conch Cement Co., Ltd. Class H | 125,000 | 606,602 | ||
BAIC Motor Corporation, Ltd. Class H 144A | 583,000 | 307,489 | ||
Baidu, Inc. ADR* | 12,094 | 1,918,108 | ||
Bank of China, Ltd. Class A | 203,500 | 107,035 | ||
Bank of China, Ltd. Class H | 61,199 | 26,416 | ||
Bank of Communications Co., Ltd. Class A | 50,300 | 42,435 | ||
Baoshan Iron & Steel Co., Ltd. Class A | 60,900 | 57,723 | ||
Beijing Capital International Airport Co., Ltd. Class H | 78,000 | 82,776 | ||
China Communications Services Corporation, Ltd. Class H | 472,000 | 390,596 | ||
China Construction Bank Corporation Class H | 5,928,532 | 4,890,916 | ||
China Evergrande Group | 359,000 | 1,075,097 | ||
China Huarong Asset Management Co., Ltd. Class H 144A | 1,146,000 | 209,282 | ||
China Longyuan Power Group Corporation, Ltd. Class H | 617,000 | 419,974 | ||
China Medical System Holdings, Ltd. | 642,000 | 596,866 | ||
China Mengniu Dairy Co., Ltd.* | 8,000 | 24,928 | ||
China Merchants Bank Co., Ltd. Class A | 13,800 | 50,715 | ||
China Merchants Bank Co., Ltd. Class H | 463,000 | 1,696,967 | ||
China National Building Material Co., Ltd. | 1,864,000 | 1,275,913 |
Table of Contents
Shares | Value | |||
China Oilfield Services, Ltd. Class H | 1,148,000 | $986,660 | ||
China Petroleum & Chemical Corporation Class A | 74,100 | 54,523 | ||
China Petroleum & Chemical Corporation Class H | 4,014,000 | 2,865,495 | ||
China Shenhua Energy Co., Ltd. Class H | 239,000 | 523,752 | ||
China Tower Corporation, Ltd. Class H 144A* | 10,356,000 | 1,957,331 | ||
China Vanke Co., Ltd. Class H | 97,700 | 331,884 | ||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 64,823 | 34,769 | ||
Country Garden Holdings Co., Ltd. | 343,471 | 418,017 | ||
Ctrip.com International, Ltd. ADR* | 15,343 | 415,182 | ||
Geely Automobile Holdings, Ltd. | 245,000 | 431,773 | ||
Guangzhou Automobile Group Co., Ltd. Class H | 1,388,000 | 1,384,366 | ||
Haitian International Holdings, Ltd. | 310,000 | 597,791 | ||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 272,300 | 1,027,110 | ||
Huaneng Renewables Corporation, Ltd. Class H | 4,208,000 | 1,128,510 | ||
Industrial & Commercial Bank of China, Ltd. Class A | 198,900 | 153,398 | ||
Industrial & Commercial Bank of China, Ltd. Class H | 2,827,091 | 2,018,190 | ||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 204,944 | 684,492 | ||
JD.com, Inc. ADR* | 29,937 | 626,581 | ||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 55,738 | 429,609 | ||
NARI Technology Co., Ltd. Class A | 118,175 | 319,573 | ||
NetEase, Inc. ADR | 3,144 | 740,003 | ||
New Oriental Education & Technology Group, Inc. ADR* | 14,027 | 768,820 | ||
People’s Insurance Co. Group of China, Ltd. (The) Class H | 211,000 | 84,880 | ||
PetroChina Co., Ltd. Class H | 730,000 | 454,939 | ||
PICC Property & Casualty Co., Ltd. Class H | 1,252,000 | 1,280,700 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 275,500 | 2,432,900 | ||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 344,000 | 278,521 | ||
SINA Corporation* | 2,218 | 118,974 | ||
Sinopec Engineering Group Co., Ltd. Class H | 345,500 | 283,707 | ||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 920,000 | 402,988 | ||
Sunac China Holdings, Ltd. | 106,859 | 347,986 | ||
Sunny Optical Technology Group Co., Ltd. | 117,601 | 1,045,275 | ||
TAL Education Group ADR* | 12,364 | 329,872 | ||
Tencent Holdings, Ltd. | 420,948 | 16,879,851 | ||
Tingyi Cayman Islands Holding Corporation | 184,000 | 245,788 | ||
Vipshop Holdings, Ltd. ADR* | 15,320 | 83,647 | ||
Weichai Power Co., Ltd. Class H | 20,000 | 22,859 | ||
WuXi AppTec Co., Ltd. Class H 144A* | 53,300 | 462,857 | ||
Yanzhou Coal Mining Co., Ltd. Class H | 884,000 | 713,477 | ||
Zijin Mining Group Co., Ltd. Class H | 1,380,000 | 523,415 | ||
72,661,506 |
Shares | Value | |||
Czech Republic — 0.4% | ||||
Moneta Money Bank AS 144A | 526,538 | $1,698,813 | ||
Egypt — 0.1% | ||||
Commercial International Bank Egypt SAE GDR | 117,739 | 499,802 | ||
Greece — 0.4% | ||||
JUMBO SA | 83,981 | 1,223,934 | ||
Sarantis SA | 34,902 | 279,123 | ||
1,503,057 | ||||
Hong Kong — 10.7% | ||||
AIA Group, Ltd. | 383,200 | 3,180,895 | ||
Alibaba Health Information Technology, Ltd.* | 56,000 | 45,412 | ||
ANTA Sports Products, Ltd. | 518,000 | 2,483,992 | ||
China Mobile, Ltd. | 377,000 | 3,627,731 | ||
China Overseas Land & Investment, Ltd. | 641,521 | 2,203,808 | ||
China Resources Cement Holdings, Ltd. | 2,802,398 | 2,523,071 | ||
China Resources Gas Group, Ltd. | 80,000 | 316,710 | ||
China Resources Land, Ltd. | 204,000 | 784,165 | ||
China Taiping Insurance Holdings Co., Ltd. | 184,400 | 506,302 | ||
China Traditional Chinese Medicine Holdings Co., Ltd. | 246,000 | 143,255 | ||
China Unicom Hong Kong, Ltd. | 2,090,000 | 2,231,326 | ||
CNOOC, Ltd. | 4,398,000 | 6,795,965 | ||
CSPC Pharmaceutical Group, Ltd. | 2,227,013 | 3,213,747 | ||
ENN Energy Holdings, Ltd. | 244,400 | 2,167,624 | ||
FIT Hon Teng, Ltd. 144A | 1,019,000 | 441,148 | ||
Fosun International, Ltd. | 178,000 | 259,141 | ||
Fullshare Holdings, Ltd.* | 140,970 | 32,405 | ||
Genscript Biotech Corporation* | 50,000 | 67,429 | ||
Guangdong Investment, Ltd. | 152,000 | 293,887 | ||
Haier Electronics Group Co., Ltd.* | 594,000 | 1,461,010 | ||
Hong Kong Exchanges and Clearing, Ltd. | 105,272 | 3,046,374 | ||
IMAX China Holding, Inc. 144A | 98,900 | 262,706 | ||
Innovent Biologics, Inc. 144A* | 346,000 | 1,064,887 | ||
Kingboard Laminates Holdings, Ltd. | 867,574 | 715,731 | ||
Longfor Group Holdings, Ltd. | 54,384 | 162,517 | ||
Microport Scientific Corporation | 1,178,000 | 1,158,368 | ||
Minth Group, Ltd. | 176,000 | 567,524 | ||
MMG, Ltd.* | 88,000 | 37,872 | ||
Nexteer Automotive Group, Ltd. | 232,000 | 330,646 | ||
Nine Dragons Paper Holdings, Ltd. | 531,201 | 491,821 | ||
Shimao Property Holdings, Ltd. | 49,000 | 130,783 | ||
Sino Biopharmaceutical, Ltd. | 3,872,000 | 2,551,500 | ||
Sinotruk Hong Kong, Ltd.Δ | 572,000 | 861,963 | ||
SSY Group, Ltd. | 658,000 | 487,376 | ||
Techtronic Industries Co., Ltd. | 54,500 | 289,535 | ||
Uni-President China Holdings, Ltd. | 755,000 | 655,641 | ||
45,594,267 | ||||
Hungary — 0.7% | ||||
OTP Bank Nyrt PLC | 77,539 | 3,133,590 | ||
India — 8.0% | ||||
Abbott India, Ltd. | 1,136 | 122,308 |
Table of Contents
Shares | Value | |||
Aditya Birla Fashion and Retail, Ltd.* | 80,413 | $233,240 | ||
AIA Engineering, Ltd. | 19,466 | 467,627 | ||
Amber Enterprises India, Ltd.* | 20,302 | 263,186 | ||
Ambuja Cements, Ltd. | 25,225 | 81,331 | ||
Apollo Hospitals Enterprise, Ltd. | 119,079 | 2,146,202 | ||
Atul, Ltd. | 3,377 | 166,248 | ||
Aurobindo Pharma, Ltd. | 11,992 | 125,898 | ||
Axis Bank, Ltd.* | 52,515 | 466,290 | ||
Bajaj Finance, Ltd. | 14,586 | 552,634 | ||
Bharat Financial Inclusion, Ltd.* | 158,059 | 2,292,722 | ||
Bharat Heavy Electricals, Ltd. | 537,770 | 563,074 | ||
Bharat Petroleum Corporation, Ltd. | 65,690 | 341,317 | ||
Coal India, Ltd. | 185,553 | 639,861 | ||
Crompton Greaves Consumer Electricals, Ltd. | 136,386 | 445,504 | ||
Dalmia Bharat, Ltd.†††* | 13,511 | 459,217 | ||
Divi's Laboratories, Ltd. | 21,634 | 459,438 | ||
Dr. Reddy's Laboratories, Ltd. | 1,998 | 74,880 | ||
Edelweiss Financial Services, Ltd. | 154,033 | 401,988 | ||
Eicher Motors, Ltd. | 4,791 | 1,589,224 | ||
GAIL India, Ltd. | 370,600 | 1,912,586 | ||
Glenmark Pharmaceuticals, Ltd. | 15,610 | 154,960 | ||
Godrej Consumer Products, Ltd. | 5,614 | 65,192 | ||
Godrej Industries, Ltd. | 74,771 | 585,241 | ||
HCL Technologies, Ltd. | 97,244 | 1,343,225 | ||
Hero MotoCorp, Ltd. | 18,984 | 844,103 | ||
Hindalco Industries, Ltd. | 250,540 | 811,747 | ||
Hindustan Petroleum Corporation, Ltd. | 28,273 | 102,559 | ||
Hindustan Unilever, Ltd. | 56,438 | 1,470,993 | ||
Hindustan Zinc, Ltd. | 77,663 | 309,973 | ||
Housing Development Finance Corporation, Ltd. | 31,482 | 887,597 | ||
ICICI Bank, Ltd. ADR | 23,245 | 239,191 | ||
ICICI Lombard General Insurance Co., Ltd. 144A | 31,342 | 388,077 | ||
Indiabulls Housing Finance, Ltd. | 72,362 | 885,000 | ||
Indian Oil Corporation, Ltd. | 197,544 | 387,788 | ||
Info Edge India, Ltd. | 16,511 | 340,709 | ||
Infosys, Ltd. ADRΔ | 219,012 | 2,084,994 | ||
InterGlobe Aviation, Ltd. 144A | 4,367 | 72,875 | ||
Jindal Steel & Power, Ltd.* | 123,514 | 291,735 | ||
JSW Steel, Ltd. | 29,107 | 127,889 | ||
Larsen & Toubro Infotech, Ltd. 144A | 11,100 | 275,246 | ||
Maruti Suzuki India, Ltd. | 7,883 | 842,950 | ||
MRF, Ltd. | 365 | 350,203 | ||
Navin Fluorine International, Ltd. | 24,012 | 240,378 | ||
Nestle India, Ltd. | 1,463 | 232,287 | ||
NTPC, Ltd. | 58,964 | 125,884 | ||
Oil & Natural Gas Corporation, Ltd. | 95,477 | 204,999 | ||
Prestige Estates Projects, Ltd. | 68,892 | 216,993 | ||
Procter & Gamble Hygiene & Health Care, Ltd. | 1,908 | 270,126 | ||
Reliance Industries, Ltd. | 5,041 | 80,960 | ||
Tata Consultancy Services, Ltd. | 101,594 | 2,754,745 | ||
Tata Steel, Ltd. | 50,197 | 374,635 | ||
TeamLease Services, Ltd.* | 15,538 | 637,344 | ||
Tech Mahindra, Ltd. | 179,114 | 1,855,279 | ||
Thermax, Ltd. | 9,968 | 159,946 |
Shares | Value | |||
Wipro, Ltd. | 26,150 | $123,924 | ||
Wipro, Ltd. ADR | 8,525 | 43,733 | ||
33,988,255 | ||||
Indonesia — 2.9% | ||||
Perusahaan Gas Negara Persero Tbk | 665,800 | 98,373 | ||
PT Adaro Energy Tbk | 9,711,400 | 821,579 | ||
PT Bank Central Asia Tbk | 2,017,400 | 3,648,366 | ||
PT Bank Mandiri Persero Tbk | 1,565,200 | 802,902 | ||
PT Bank Negara Indonesia Persero Tbk | 1,845,100 | 1,131,756 | ||
PT Bank Rakyat Indonesia Persero Tbk | 3,436,700 | 875,528 | ||
PT BFI Finance Indonesia Tbk | 4,146,800 | 191,768 | ||
PT Indah Kiat Pulp & Paper Corporation Tbk | 218,100 | 175,129 | ||
PT Indofood Sukses Makmur Tbk | 173,936 | 90,085 | ||
PT Link Net Tbk | 2,553,500 | 870,108 | ||
PT Matahari Department Store Tbk | 1,520,100 | 591,642 | ||
PT Semen Indonesia Persero Tbk | 375,300 | 300,081 | ||
PT Telekomunikasi Indonesia Persero Tbk | 6,115,400 | 1,598,770 | ||
PT United Tractors Tbk | 677,469 | 1,289,733 | ||
12,485,820 | ||||
Isle of Man — 0.0% | ||||
NEPI Rockcastle PLC | 18,122 | 142,331 | ||
Malaysia — 1.9% | ||||
AirAsia Group Bhd | 858,500 | 616,998 | ||
Bursa Malaysia Bhd | 712,900 | 1,179,972 | ||
CIMB Group Holdings Bhd | 121,100 | 167,328 | ||
Dialog Group Bhd | 781,200 | 587,909 | ||
Hartalega Holdings Bhd | 91,700 | 136,246 | ||
Hong Leong Bank Bhd. | 115,900 | 572,138 | ||
Malayan Banking Bhd | 651,600 | 1,497,931 | ||
Malaysia Airports Holdings | 337,900 | 685,203 | ||
My EG Services Bhd | 245,200 | 57,851 | ||
Petronas Chemicals Group Bhd | 85,099 | 191,306 | ||
Petronas Gas Bhd | 4,400 | 20,443 | ||
Public Bank Bhd | 289,200 | 1,732,751 | ||
Sime Darby Bhd | 311,100 | 180,675 | ||
Top Glove Corporation Bhd | 204,500 | 277,120 | ||
7,903,871 | ||||
Mexico — 3.3% | ||||
Alfa SAB de CV Series A | 282,900 | 336,715 | ||
Alpek SAB de CV* | 818,900 | 1,001,344 | ||
Alsea SAB de CV | 201,100 | 524,348 | ||
America Movil SAB de CV, Series L ADR | 9,914 | 141,275 | ||
Arca Continental SAB de CV | 11,900 | 66,549 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR | 26,966 | 166,111 | ||
Bolsa Mexicana de Valores SAB de CV | 346,500 | 590,673 | ||
Fibra Uno Administracion SA de CV REIT | 205,100 | 228,043 | ||
Fomento Economico Mexicano SAB de CV ADR | 863 | 74,261 | ||
Gruma SAB de CV Series B | 14,525 | 163,989 |
Table of Contents
Shares | Value | |||
Grupo Aeroportuario del Pacifico SAB de CV Series B | 7,100 | $57,857 | ||
Grupo Cementos de Chihuahua SAB de CV | 88,300 | 453,682 | ||
Grupo Financiero Banorte SAB de CV Series O | 539,710 | 2,634,594 | ||
Grupo Financiero Inbursa SAB de CV Series O | 28,900 | 41,721 | ||
Grupo Mexico SAB de CV Series B | 19,500 | 40,257 | ||
Industrias Penoles SAB de CV | 5,870 | 71,688 | ||
Mexichem SAB de CV | 570,096 | 1,447,886 | ||
Promotora y Operadora de Infraestructura SAB de CV | 3,935 | 37,612 | ||
Unifin Financiera SAB de CV SOFOM ENR | 149,800 | 318,706 | ||
Wal-Mart de Mexico SAB de CV | 2,172,382 | 5,524,986 | ||
13,922,297 | ||||
Netherlands — 0.6% | ||||
X5 Retail Group NV GDR | 62,749 | 1,554,920 | ||
Yandex NV Class A* | 31,970 | 874,380 | ||
2,429,300 | ||||
Peru — 1.2% | ||||
Alicorp SAA | 117,538 | 347,188 | ||
BBVA Banco Continental SA | 221,539 | 259,783 | ||
Cia de Minas Buenaventura SAA ADRΔ | 78,538 | 1,273,886 | ||
Credicorp, Ltd. | 13,891 | 3,079,218 | ||
Intercorp Financial Services, Inc. | 7,526 | 316,092 | ||
5,276,167 | ||||
Philippines — 0.4% | ||||
Ayala Land, Inc. | 278,800 | 215,491 | ||
BDO Unibank, Inc. | 47,840 | 118,976 | ||
International Container Terminal Services, Inc. | 28,840 | 54,845 | ||
JG Summit Holdings, Inc. | 72,940 | 77,092 | ||
Jollibee Foods Corporation | 113,420 | 629,369 | ||
Metro Pacific Investments Corporation | 308,400 | 27,142 | ||
SM Investments Corporation | 18,205 | 317,599 | ||
SM Prime Holdings, Inc. | 310,900 | 211,436 | ||
1,651,950 | ||||
Poland — 1.6% | ||||
Alior Bank SA* | 24,276 | 345,635 | ||
CD Projekt SA* | 3,862 | 150,247 | ||
Cyfrowy Polsat SA* | 12,630 | 76,414 | ||
Dino Polska SA 144A* | 27,186 | 698,138 | ||
Grupa Lotos SA | 3,271 | 77,500 | ||
Jastrzebska Spolka Weglowa SA* | 44,465 | 803,920 | ||
LPP SA | 221 | 464,648 | ||
PGE Polska Grupa Energetyczna SA* | 178,006 | 477,303 | ||
Polski Koncern Naftowy ORLEN SA | 45,838 | 1,328,098 | ||
Polskie Gornictwo Naftowe i Gazownictwo SA | 483,880 | 894,681 | ||
Powszechna Kasa Oszczednosci Bank Polski SA | 133,722 | 1,412,581 | ||
Powszechny Zaklad Ubezpieczen SA | 11,850 | 139,612 | ||
6,868,777 |
Shares | Value | |||
Portugal — 0.1% | ||||
Galp Energia SGPS SA | 31,948 | $504,958 | ||
Qatar — 0.2% | ||||
Industries Qatar QSC | 1,753 | 64,324 | ||
Qatar Islamic Bank SAQ | 662 | 27,634 | ||
Qatar National Bank QPSC | 10,822 | 579,551 | ||
671,509 | ||||
Romania — 0.0% | ||||
Banca Transilvania SA | 437,323 | 215,862 | ||
Russia — 2.5% | ||||
Gazprom PJSC ADR | 229,274 | 1,015,454 | ||
LUKOIL PJSC ADR | 38,603 | 2,759,337 | ||
Mobile TeleSystems PJSC ADR | 77,761 | 544,327 | ||
Novatek PJSC GDR | 4,011 | 685,881 | ||
Novolipetsk Steel PJSC GDR | 22,978 | 525,737 | ||
Rosneft Oil Co. PJSC GDR | 123,920 | 765,826 | ||
Sberbank of Russia PJSC ADR | 224,718 | 2,462,909 | ||
Severstal PJSC GDR | 90,804 | 1,239,474 | ||
Surgutneftegas PJSC ADR | 42,924 | 163,111 | ||
Tatneft PJSC ADR | 9,739 | 613,557 | ||
10,775,613 | ||||
South Africa — 5.2% | ||||
Absa Group, Ltd. | 160,190 | 1,801,699 | ||
Anglo American Platinum, Ltd. | 11,747 | 439,205 | ||
AngloGold Ashanti, Ltd. ADRΔ | 3,377 | 42,381 | ||
Bid Corporation, Ltd. | 19,561 | 360,290 | ||
Bidvest Group, Ltd. (The) | 6,822 | 98,080 | ||
Clicks Group, Ltd. | 40,924 | 544,563 | ||
Dis-Chem Pharmacies, Ltd. 144A | 234,020 | 471,537 | ||
Exxaro Resources, Ltd. | 113,760 | 1,090,119 | ||
FirstRand, Ltd. | 273,364 | 1,245,647 | ||
Gold Fields, Ltd. ADRΔ | 181,889 | 640,249 | ||
Growthpoint Properties, Ltd. REIT | 197,362 | 319,620 | ||
Imperial Logistics, Ltd. | 169,787 | 802,469 | ||
JSE, Ltd. | 62,847 | 723,194 | ||
Mondi, Ltd. | 15,110 | 325,116 | ||
Mr Price Group, Ltd. | 41,347 | 707,389 | ||
Nampak, Ltd.* | 977,031 | 940,530 | ||
Naspers, Ltd. N Shares | 25,116 | 5,048,984 | ||
Nedbank Group, Ltd. | 39,674 | 757,549 | ||
Netcare, Ltd. | 31,784 | 58,388 | ||
Old Mutual, Ltd. | 794,854 | 1,237,514 | ||
Pick n Pay Stores, Ltd. | 64,928 | 305,833 | ||
Redefine Properties, Ltd. REIT | 368,822 | 247,889 | ||
Remgro, Ltd. | 16,085 | 217,716 | ||
RMB Holdings, Ltd. | 35,312 | 193,648 | ||
Santam, Ltd. | 25,648 | 528,451 | ||
Sasol, Ltd. | 26,845 | 792,989 | ||
Shoprite Holdings, Ltd. | 19,362 | 255,895 | ||
Standard Bank Group, Ltd. | 62,204 | 773,081 | ||
Transaction Capital, Ltd. | 406,566 | 480,673 | ||
Truworths International, Ltd. | 98,228 | 601,487 | ||
Woolworths Holdings, Ltd. | 46,207 | 176,928 | ||
22,229,113 |
Table of Contents
Shares | Value | |||
South Korea — 12.3% | ||||
BGF retail Co., Ltd. | 3,871 | $706,576 | ||
Cheil Worldwide, Inc. | 2,830 | 57,037 | ||
Cuckoo Homesys Co., Ltd.* | 5,678 | 908,516 | ||
Daelim Industrial Co., Ltd. | 8,289 | 761,477 | ||
DB Insurance Co., Ltd. | 739 | 46,542 | ||
DGB Financial Group, Inc. | 4,823 | 35,928 | ||
Hana Financial Group, Inc. | 59,104 | 1,922,229 | ||
Hankook Tire Co., Ltd. | 22,704 | 816,023 | ||
Hanwha Life Insurance Co., Ltd. | 88,277 | 334,206 | ||
HDC Hyundai Development Co-Engineering & Construction* | 995 | 43,094 | ||
Hotel Shilla Co., Ltd. | 2,128 | 145,964 | ||
Hyundai Department Store Co., Ltd. | 1,500 | 121,471 | ||
Hyundai Engineering & Construction Co., Ltd. | 25,135 | 1,231,002 | ||
Hyundai Marine & Fire Insurance Co., Ltd. | 15,755 | 578,578 | ||
KB Financial Group, Inc. | 32,952 | 1,374,653 | ||
Kolmar Korea Co., Ltd. | 5,564 | 351,739 | ||
Korea Investment Holdings Co., Ltd. | 18,509 | 989,904 | ||
KT Corporation ADR | 44,922 | 638,791 | ||
Kumho Petrochemical Co., Ltd. | 10,772 | 843,416 | ||
LG Chem, Ltd. | 3,337 | 1,040,206 | ||
LG Corporation | 18,620 | 1,166,132 | ||
LG Electronic, Ltd. | 11,307 | 634,020 | ||
LG Household & Health Care, Ltd. | 1,671 | 1,651,477 | ||
Lotte Chemical Corporation | 1,203 | 299,104 | ||
Lotte Shopping Co., Ltd. | 4,565 | 861,901 | ||
Medy-Tox, Inc. | 1,016 | 527,762 | ||
NAVER Corporation* | 2,360 | 258,646 | ||
NCSoft Corporation | 2,365 | 991,338 | ||
Orange Life Insurance, Ltd. 144A | 28,716 | 720,396 | ||
Orion Corporation | 2,229 | 239,054 | ||
Osstem Implant Co., Ltd.* | 2,653 | 127,550 | ||
Pearl Abyss Corporation* | 216 | 40,430 | ||
POSCO | 8,217 | 1,797,318 | ||
Posco Daewoo Corporation | 6,418 | 104,781 | ||
Samsung Electro-Mechanics Co., Ltd. | 15,424 | 1,437,851 | ||
Samsung Electronics Co., Ltd. | 611,013 | 21,270,412 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 1,171 | 281,578 | ||
Samsung Life Insurance Co., Ltd. | 11,606 | 849,259 | ||
Samsung SDS Co., Ltd. | 6,594 | 1,206,764 | ||
Shinsegae, Inc. | 559 | 128,349 | ||
SK Hynix, Inc. | 75,668 | 4,125,156 | ||
SK Innovation Co., Ltd. | 1,267 | 203,372 | ||
SK Telecom Co., Ltd. | 488 | 117,745 | ||
Woori Bank | 12,925 | 180,742 | ||
52,168,489 | ||||
Taiwan — 9.2% | ||||
Acer, Inc.* | 154,000 | 97,239 | ||
Advantech Co., Ltd. | 113,000 | 771,960 | ||
Asia Cement Corporation | 50,000 | 55,297 | ||
Catcher Technology Co., Ltd. | 164,000 | 1,200,779 | ||
Cathay Financial Holding Co., Ltd. | 468,120 | 716,613 | ||
Chailease Holding Co., Ltd. | 306,926 | 968,095 | ||
China Airlines, Ltd. | 1,765,000 | 631,401 |
Shares | Value | |||
China Development Financial Holding Corporation | 1,044,000 | $330,602 | ||
China Life Insurance Co., Ltd. | 919,370 | 834,254 | ||
Chroma ATE, Inc. | 250,000 | 960,793 | ||
CTBC Financial Holding Co., Ltd. | 1,261,173 | 829,516 | ||
Delta Electronics, Inc. | 9,000 | 37,879 | ||
Eva Airways Corporation | 494,350 | 254,003 | ||
Evergreen Marine Corporation Taiwan, Ltd. | 92,250 | 35,769 | ||
Far Eastern New Century Corporation | 239,000 | 217,049 | ||
First Financial Holding Co., Ltd. | 1,278,231 | 832,748 | ||
Formosa Chemicals & Fibre Corporation | 397,000 | 1,358,154 | ||
Formosa Plastics Corporation | 47,000 | 154,489 | ||
Fubon Financial Holding Co., Ltd. | 265,000 | 406,589 | ||
General Interface Solution Holding, Ltd. | 10,000 | 29,303 | ||
Globalwafers Co., Ltd. | 129,000 | 1,182,613 | ||
Kingpak Technology, Inc. | 39,000 | 206,483 | ||
Largan Precision Co., Ltd. | 7,000 | 730,415 | ||
Mega Financial Holding Co., Ltd. | 37,420 | 31,591 | ||
Nan Ya Plastics Corporation | 92,000 | 226,260 | ||
Nanya Technology Corporation | 680,928 | 1,219,417 | ||
Nien Made Enterprise Co., Ltd. | 35,000 | 268,109 | ||
Novatek Microelectronics Corporation | 6,000 | 27,700 | ||
Phison Electronics Corporation | 8,000 | 59,565 | ||
Pou Chen Corporation | 131,010 | 138,779 | ||
Powertech Technology, Inc. | 117,763 | 253,170 | ||
President Chain Store Corporation | 155,000 | 1,561,626 | ||
Realtek Semiconductor Corporation | 52,000 | 241,173 | ||
Shin Kong Financial Holding Co., Ltd. | 3,376,027 | 987,290 | ||
Silergy Corporation | 86,000 | 1,265,548 | ||
Taiwan Business Bank | 371,000 | 124,912 | ||
Taiwan Cement Corporation | 196,000 | 226,226 | ||
Taiwan Cooperative Financial Holding Co., Ltd. | 382,130 | 219,526 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 818,000 | 5,939,689 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 304,224 | 11,228,908 | ||
Teco Electric and Machinery Co., Ltd. | 39,000 | 22,194 | ||
Uni-President Enterprises Corporation | 505,000 | 1,145,672 | ||
Win Semiconductors Corporation | 111,000 | 427,616 | ||
Yageo Corporation | 3,792 | 39,277 | ||
Zhen Ding Technology Holding, Ltd. | 182,000 | 473,413 | ||
38,969,704 | ||||
Thailand — 2.2% | ||||
Advanced Info Service PCL | 149,400 | 802,607 | ||
Airports of Thailand PCL | 311,600 | 614,874 | ||
Bangkok Bank PCL NVDR | 56,970 | 355,554 | ||
Bangkok Dusit Medical Services PCL NVDR | 159,000 | 121,014 | ||
Bumrungrad Hospital PCL NVDR | 7,800 | 44,898 | ||
Central Pattana PCL NVDR | 24,400 | 56,065 | ||
Home Product Center PCL NVDR | 856,300 | 399,602 | ||
Indorama Ventures PCL NVDR | 114,400 | 190,912 | ||
Kasikornbank PCL NVDR | 22,300 | 126,855 | ||
Krung Thai Bank PCL NVDR | 660,835 | 389,902 |
Table of Contents
Shares | Value | |||
PTT Exploration & Production PCL | 236,500 | $824,409 | ||
PTT Exploration & Production PCL NVDR | 261,100 | 906,114 | ||
PTT Global Chemical PCL NVDR | 561,454 | 1,230,199 | ||
PTT PCL NVDR | 1,400,400 | 1,974,967 | ||
Thai Oil PCL NVDR | 552,262 | 1,122,400 | ||
9,160,372 | ||||
Turkey — 1.0% | ||||
Akbank TAS | 1,116,149 | 1,446,723 | ||
Arcelik AS | 196,412 | 585,989 | ||
BIM Birlesik Magazalar AS | 4,115 | 67,644 | ||
Enerjisa Enerji AS 144A | 598,306 | 576,544 | ||
Eregli Demir ve Celik Fabrikalari TAS | 141,666 | 193,260 | ||
Ford Otomotiv Sanayi AS | 16,651 | 157,307 | ||
Sok Marketler Ticaret AS* | 156,970 | 318,834 | ||
TAV Havalimanlari Holding AS | 75,235 | 340,032 | ||
Turk Hava Yollari AO* | 88,904 | 270,618 | ||
Turkcell Iletisim Hizmetleri AS | 11,740 | 26,996 | ||
Türkiye Is Bankasi AS Class C | 436,790 | 373,861 | ||
4,357,808 | ||||
United Arab Emirates — 0.3% | ||||
Emaar Development PJSC | 899,540 | 1,079,992 | ||
United Kingdom — 0.8% | ||||
Anglo American PLC | 115,886 | 2,581,646 | ||
NMC Health PLC | 18,828 | 656,590 | ||
TBC Bank Group PLC | 11,947 | 231,765 | ||
3,470,001 | ||||
Total Foreign Common Stocks (Cost $405,779,170) | 380,157,078 | |||
FOREIGN PREFERRED STOCKS — 1.7% | ||||
Brazil — 1.7% | ||||
Azul SA | ||||
0.00%, * | 68,800 | 638,407 | ||
Azul SA ADR | ||||
0.00%, Δ* | 45,963 | 1,272,716 | ||
Banco Bradesco SA | ||||
0.00%, 01/03/19* | 138,100 | 1,374,740 | ||
Banco Bradesco SA ADR | ||||
0.00%, 01/03/19* | 21,220 | 209,866 | ||
Braskem SA Class A | ||||
3.98%, 05/02/18 | 37,200 | 454,340 | ||
Cia Brasileira de Distribuicao ADR | ||||
0.00%, 12/07/18* | 5,345 | 111,016 | ||
Cia Energetica de Minas Gerais | ||||
3.61%, 12/26/18 | 125,300 | 446,767 | ||
Gerdau SA | ||||
1.75%, 11/22/18 | 28,600 | 109,002 | ||
Itausa - Investimentos Itau SA | ||||
0.66%, 03/01/19 | 488,009 | 1,520,699 | ||
Petroleo Brasileiro SA | ||||
0.00%, 12/26/18* | 159,400 | 929,728 | ||
7,067,281 |
Shares | Value | |||
Colombia — 0.0% | ||||
Banco Davivienda SA | ||||
2.59%, 09/13/18 | 13,552 | $129,031 | ||
Total Foreign Preferred Stocks (Cost $6,178,334) | 7,196,312 | |||
MONEY MARKET FUNDS — 7.4% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 15,609,327 | 15,609,327 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 3,325,866 | 3,325,866 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 12,496,798 | 12,496,798 | ||
Total Money Market Funds (Cost $31,431,991) | 31,431,991 |
Par | |||
U.S. TREASURY OBLIGATION — 0.5% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $1,979,504) | $2,000,000 | 1,980,092 | |
TOTAL INVESTMENTS —100.6% (Cost $453,318,210) | 427,519,873 | ||
Liabilities in Excess of Other Assets — (0.6)% | (2,350,960) | ||
NET ASSETS — 100.0% | $425,168,913 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
HSCEI Index | 01/2019 | 174 | $11,223,728 | $18,295 | ||||
MSCI Taiwan Index | 01/2019 | 76 | 2,731,440 | 50,854 | ||||
SGX MSCI Singapore Index | 01/2019 | 89 | 2,231,285 | 17,604 | ||||
TAIEX | 01/2019 | 59 | 3,711,950 | (16,613) | ||||
Tel Aviv 35 Index | 01/2019 | 16 | 626,389 | (26,100) | ||||
FTSE Bursa Malaysia KLCI Index | 01/2019 | (4) | (81,863) | (392) | ||||
Bovespa Index | 02/2019 | (115) | (2,626,537) | 21,793 | ||||
BIST 30 Index | 02/2019 | (57) | (127,112) | 779 | ||||
SET50 Index | 03/2019 | (252) | (1,614,472) | 9,364 | ||||
WIG20 Index | 03/2019 | (59) | (718,276) | 10,310 | ||||
KOSPI 200 Index | 03/2019 | 17 | 997,938 | (1,961) | ||||
Mexican Bolsa Index | 03/2019 | (28) | (595,257) | (3,241) | ||||
MSCI Emerging Markets E-Mini | 03/2019 | 706 | 34,128,040 | (652,030) | ||||
FTSE/JSE Top 40 Index | 03/2019 | (119) | (3,892,200) | (122,086) | ||||
Total Futures Contracts outstanding at December 31, 2018 | $45,995,053 | $(693,424) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/20/19 | Mexican Pesos | 323,681,000 | U.S. Dollars | 15,675,850 | CITI | $591,747 | ||||||
03/20/19 | Indian Rupees | 753,905,000 | U.S. Dollars | 10,509,282 | CITI | 237,000 | ||||||
03/20/19 | U.S. Dollars | 5,492,589 | Chilean Pesos | 3,716,338,000 | CITI | 133,195 | ||||||
03/20/19 | U.S. Dollars | 4,917,764 | Colombian Pesos | 15,770,000,000 | CITI | 80,096 | ||||||
03/20/19 | U.S. Dollars | 2,034,308 | Russian Rubles | 137,665,000 | CITI | 79,197 | ||||||
03/20/19 | U.S. Dollars | 4,578,216 | Brazilian Reals | 17,600,000 | CITI | 63,820 | ||||||
03/20/19 | Polish Zloty | 18,987,000 | U.S. Dollars | 5,035,994 | CITI | 47,110 | ||||||
03/20/19 | U.S. Dollars | 2,403,630 | South African Rand | 34,540,000 | CITI | 25,730 | ||||||
03/20/19 | Singapore Dollars | 5,480,000 | U.S. Dollars | 4,003,345 | CITI | 24,693 | ||||||
03/20/19 | Indonesian Rupiahs | 23,400,000,000 | U.S. Dollars | 1,586,395 | CITI | 21,280 | ||||||
03/20/19 | South Korean Won | 2,499,408,000 | U.S. Dollars | 2,230,802 | CITI | 19,815 | ||||||
03/20/19 | Brazilian Reals | 10,981,000 | U.S. Dollars | 2,798,313 | CITI | 18,312 | ||||||
03/20/19 | Taiwan Dollars | 81,744,000 | U.S. Dollars | 2,676,055 | CITI | 16,159 | ||||||
03/20/19 | U.S. Dollars | 7,701,015 | South Korean Won | 8,535,805,875 | CITI | 14,872 | ||||||
03/20/19 | Hungarian Forint | 357,656,000 | U.S. Dollars | 1,271,448 | CITI | 12,057 | ||||||
03/20/19 | U.S. Dollars | 1,483,469 | Israeli Shekels | 5,484,000 | CITI | 7,704 | ||||||
03/20/19 | Philippine Pesos | 92,290,000 | U.S. Dollars | 1,743,374 | CITI | 7,287 | ||||||
03/20/19 | Chinese Offshore Yuan | 9,273,000 | U.S. Dollars | 1,343,555 | CITI | 6,279 | ||||||
03/20/19 | U.S. Dollars | 4,121,347 | Hong Kong Dollars | 32,156,500 | CITI | 5,065 | ||||||
03/20/19 | U.S. Dollars | 914,679 | Indonesian Rupiahs | 13,262,174,704 | CITI | 3,514 | ||||||
03/20/19 | Thai Baht | 15,060,000 | U.S. Dollars | 460,337 | CITI | 3,205 | ||||||
03/20/19 | Euro | 367,333 | U.S. Dollars | 421,216 | CITI | 2,490 | ||||||
03/20/19 | Peruvian Nuevo Soles | 699,874 | U.S. Dollars | 206,120 | CITI | 1,088 | ||||||
03/20/19 | Israeli Shekels | 180,000 | U.S. Dollars | 48,167 | CITI | 271 | ||||||
03/20/19 | Hong Kong Dollars | 2,600,000 | U.S. Dollars | 332,637 | CITI | 182 | ||||||
03/20/19 | U.S. Dollars | 14,853 | Peruvian Nuevo Soles | 50,000 | CITI | 50 | ||||||
03/20/19 | U.S. Dollars | 11,539 | Euro | 10,000 | CITI | 5 | ||||||
Subtotal Appreciation | $1,422,223 | |||||||||||
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/20/19 | Thai Baht | 100,000 | U.S. Dollars | 3,094 | CITI | $(16) | ||||||
03/20/19 | Euro | 22,667 | U.S. Dollars | 26,174 | CITI | (29) | ||||||
03/20/19 | Peruvian Nuevo Soles | 50,000 | U.S. Dollars | 14,874 | CITI | (71) | ||||||
03/20/19 | U.S. Dollars | 35,434 | Peruvian Nuevo Soles | 120,000 | CITI | (95) | ||||||
03/20/19 | U.S. Dollars | 396,019 | Hong Kong Dollars | 3,095,000 | CITI | (166) | ||||||
03/20/19 | U.S. Dollars | 21,267 | Hungarian Forint | 6,000,000 | CITI | (265) | ||||||
03/20/19 | Mexican Pesos | 23,500,000 | U.S. Dollars | 1,181,354 | CITI | (288) | ||||||
03/20/19 | Colombian Pesos | 3,620,000,000 | U.S. Dollars | 1,110,800 | CITI | (314) | ||||||
03/20/19 | U.S. Dollars | 137,694 | Euro | 120,000 | CITI | (720) | ||||||
03/20/19 | Philippine Pesos | 54,000,000 | U.S. Dollars | 1,025,767 | CITI | (1,434) | ||||||
03/20/19 | Brazilian Reals | 600,000 | U.S. Dollars | 155,440 | CITI | (1,540) | ||||||
03/20/19 | U.S. Dollars | 453,412 | South African Rand | 6,612,000 | CITI | (1,790) | ||||||
03/20/19 | U.S. Dollars | 1,079,756 | Chilean Pesos | 750,000,000 | CITI | (1,831) | ||||||
03/20/19 | U.S. Dollars | 474,581 | Polish Zloty | 1,788,000 | CITI | (4,093) | ||||||
03/20/19 | U.S. Dollars | 841,631 | Brazilian Reals | 3,301,000 | CITI | (5,074) | ||||||
03/20/19 | Indonesian Rupiahs | 14,000,000,000 | U.S. Dollars | 967,227 | CITI | (5,372) | ||||||
03/20/19 | U.S. Dollars | 1,632,485 | Philippine Pesos | 86,471,000 | CITI | (7,796) | ||||||
03/20/19 | Israeli Shekels | 4,188,000 | U.S. Dollars | 1,135,470 | CITI | (8,464) | ||||||
03/20/19 | U.S. Dollars | 1,379,226 | Taiwan Dollars | 42,143,000 | CITI | (8,741) | ||||||
03/20/19 | U.S. Dollars | 993,163 | Indian Rupees | 70,321,000 | CITI | (9,204) | ||||||
03/20/19 | U.S. Dollars | 1,122,812 | Thai Baht | 36,922,000 | CITI | (13,635) | ||||||
03/20/19 | U.S. Dollars | 1,174,390 | Czech Republic Koruna | 26,700,000 | CITI | (17,050) | ||||||
03/20/19 | U.S. Dollars | 1,620,087 | Indonesian Rupiahs | 23,841,906,508 | CITI | (17,947) | ||||||
03/20/19 | Hong Kong Dollars | 134,597,500 | U.S. Dollars | 17,250,688 | CITI | (21,169) | ||||||
03/20/19 | Chilean Pesos | 694,613,000 | U.S. Dollars | 1,032,960 | CITI | (31,248) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (36,057) | ||||||
03/20/19 | U.S. Dollars | 1,138,652 | Mexican Pesos | 23,453,000 | CITI | (40,052) | ||||||
03/20/19 | South African Rand | 23,276,000 | U.S. Dollars | 1,659,113 | CITI | (56,679) | ||||||
03/20/19 | U.S. Dollars | 13,239,558 | South Korean Won | 14,849,732,125 | CITI | (132,016) | ||||||
03/20/19 | U.S. Dollars | 10,654,038 | Chinese Offshore Yuan | 74,181,000 | CITI | (144,194) | ||||||
03/20/19 | Russian Rubles | 576,930,000 | U.S. Dollars | 8,530,973 | CITI | (337,443) | ||||||
Subtotal Depreciation | $(904,793) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2018 | $517,430 |
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Total Return Swaps | ||||||||||||||
MSCI Brazil Index, Floating financing rate: Brazil Cetip DI Interbank Deposit Rate (Monthly) | 3/20/2019 | GSC | BRL | 1,134,428 | $603 | $ — | $603 | |||||||
MSCI Mexico Index, Floating financing rate: 28-Day Mexico Interbank TIIE (Monthly) | 3/20/2019 | GSC | MXN | 2,180,985 | — | — | — | |||||||
MSCI Poland Index, Floating financing rate: 1-Month WIBOR - 0.05% (Monthly) | 3/20/2019 | GSC | PLN | 508,404 | 2,308 | — | 2,308 | |||||||
Subtotal Appreciation | $2,911 | $ — | $2,911 | |||||||||||
Table of Contents
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
MSCI China Index, Floating financing rate: 1-Month HIBOR - 0.05% (Monthly) | 3/20/2019 | GSC | HKD | 13,336,176 | $(94,939) | $ — | $(94,939) | |||||||
MSCI Daily TR Net Israel USD Index, Floating financing rate: 1-Month ICE LIBOR USD (Monthly) | 3/20/2019 | GSC | USD | 286,662 | (24,390) | — | (24,390) | |||||||
MSCI South Africa Index, Floating financing rate: 1-Month SAFE South Africa JIBAR - 0.20% (Monthly) | 3/20/2019 | GSC | ZAR | 27,592,544 | (33,125) | — | (33,125) | |||||||
Subtotal Depreciation | $(152,454) | $ — | $(152,454) | |||||||||||
Net Total Return Swaps outstanding December 31,2018 | $(149,543) | $ — | $(149,543) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $6,754,400 | $6,754,400 | $— | $— | |||
Foreign Common Stocks: | |||||||
Brazil | 22,059,999 | 10,309,982 | 11,750,017 | — | |||
Chile | 4,243,343 | 3,628,414 | 614,929 | — | |||
China | 72,661,506 | 69,380,780 | 3,280,726 | — | |||
Czech Republic | 1,698,813 | — | 1,698,813 | — | |||
Hungary | 3,133,590 | — | 3,133,590 | — | |||
India | 33,988,255 | 33,529,038 | — | 459,217 | |||
Indonesia | 12,485,820 | 1,061,876 | 11,423,944 | — | |||
Philippines | 1,651,950 | 54,845 | 1,597,105 | — | |||
Poland | 6,868,777 | — | 6,868,777 | — | |||
South Korea | 52,168,489 | 638,791 | 51,529,698 | — | |||
Taiwan | 38,969,704 | 11,228,908 | 27,740,796 | — | |||
Thailand | 9,160,372 | — | 9,160,372 | — | |||
Other^^ | 121,066,460 | 121,066,460 | — | — | |||
Total Foreign Common Stocks | 380,157,078 | 250,899,094 | 128,798,767 | 459,217 | |||
Foreign Preferred Stocks: | |||||||
Brazil | 7,067,281 | 1,593,598 | 5,473,683 | — | |||
Colombia | 129,031 | 129,031 | — | — | |||
Total Foreign Preferred Stocks | 7,196,312 | 1,722,629 | 5,473,683 | — | |||
Money Market Funds | 31,431,991 | 31,431,991 | — | — | |||
U.S. Treasury Obligation | 1,980,092 | — | 1,980,092 | — | |||
Total Assets - Investments in Securities | $427,519,873 | $290,808,114 | $136,252,542 | $459,217 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $1,422,223 | $— | $1,422,223 | $— | |||
Futures Contracts | 128,999 | 128,999 | — | — | |||
Swap Agreements | 2,911 | — | 2,911 | — | |||
Total Assets - Other Financial Instruments | $1,554,133 | $128,999 | $1,425,134 | $ — |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(904,793) | $— | $(904,793) | $— | |||
Futures Contracts | (822,423) | (822,423) | — | — | |||
Swap Agreements | (152,454) | — | (152,454) | — | |||
Total Liabilities - Other Financial Instruments | $(1,879,670) | $(822,423) | $(1,057,247) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
Table of Contents
Defensive Market Strategies Fund | Equity Index Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,013,461,372 | $1,513,461,845 | |
Investments in securities of affiliated issuers, at value | 31,394,720 | 83,664,332 | |
Total investments, at value(1), (2) | 1,044,856,092 | 1,597,126,177 | |
Cash collateral for swap agreements | — | — | |
Deposits with broker for futures contracts | — | 1,964,000 | |
Foreign currency(3) | — | — | |
Receivables: | |||
Dividends and reclaims | 964,313 | 1,544,341 | |
Interest | 1,727,068 | — | |
Securities lending | 28,660 | 8,505 | |
From advisor | 6,785 | 10,449 | |
Investment securities sold | 2,762,443 | 241,160 | |
Fund shares sold | 1,215,821 | 1,024,772 | |
Variation margin on futures contracts | — | 646,500 | |
Unrealized appreciation on foreign currency exchange contracts | 10,806 | — | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 28,065 | 23,730 | |
Total Assets | 1,051,600,053 | 1,602,589,634 | |
Liabilities | |||
Cash Overdraft | 329,670 | 235,850 | |
Securities sold short, at value(4) | — | — | |
Options written, at value(5) | 2,392,827 | — | |
Unrealized depreciation on foreign currency exchange contracts | 150,048 | — | |
Unrealized depreciation on swap agreements | — | — | |
Collateral held for securities on loan, at value | 30,515,443 | 1,647,492 | |
Collateral held for derivatives | — | — | |
Due to broker | — | — | |
Payables: | |||
Investment securities purchased | 4,932,326 | 1,033,116 | |
Dividends on short sales | — | — | |
Fund shares redeemed | 207,016 | 619,775 | |
Variation margin on futures contracts | — | — | |
Securities lending | 4,299 | 1,276 | |
Foreign capital gains taxes | — | — | |
Accrued expenses: | |||
Investment advisory fees | 538,914 | 121,200 | |
Shareholder servicing fees | 77,160 | 107,236 | |
Other expenses | 194,099 | 366,556 | |
Total Liabilities | 39,341,802 | 4,132,501 | |
Net Assets | $1,012,258,251 | $1,598,457,133 | |
Net Assets Consist of: | |||
Paid-in-capital | $968,478,629 | $1,414,169,962 | |
Distributable earnings (loss) | 43,779,622 | 184,287,171 | |
Net Assets | $1,012,258,251 | $1,598,457,133 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $653,480,990 | $1,107,944,440 | |
Institutional shares outstanding | 55,699,502 | 40,207,678 | |
Net asset value, offering and redemption price per Institutional share | $11.73 | $27.56 | |
Net assets applicable to the Investor Class | $358,777,261 | $490,512,693 | |
Investor shares outstanding | 30,568,292 | 17,786,470 | |
Net asset value, offering and redemption price per Investor share | $11.74 | $27.58 | |
(1)Investments in securities of unaffiliated issuers, at cost | $973,259,122 | $1,324,259,960 | |
Investments in securities of affiliated issuers, at cost | 31,394,720 | 83,664,332 | |
Total investments, at cost | $1,004,653,842 | $1,407,924,292 | |
(2)Includes securities loaned of: | $58,329,096 | $74,191,141 | |
(3)Foreign currency, at cost | $— | $— | |
(4)Proceeds from securities sold short | $— | $— | |
(5)Premiums received on options written | $2,263,813 | $— | |
(6)Net of $(842,668) accrued foreign capital gains taxed on appreciated securities for International Equity Fund. |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$1,002,448,987 | $1,333,475,896 | $486,204,579 | $517,848,048 | $1,080,406,055 | $411,910,546 | |||||
45,944,522 | 56,036,987 | 16,995,292 | 25,573,630 | 60,810,471 | 15,609,327 | |||||
1,048,393,509 | 1,389,512,883 | 503,199,871 | 543,421,678 | 1,141,216,526 | 427,519,873 | |||||
— | — | — | — | 3,412,116 | 435,900 | |||||
694,000 | — | 50,000 | 726,000 | 2,275,159 | 1,251,781 | |||||
— | — | — | 2,011,808 | 4,532,666 | 693,692 | |||||
1,649,315 | 773,664 | 619,626 | 1,116,719 | 6,746,074 | 991,017 | |||||
— | — | — | — | — | — | |||||
4,731 | 18,440 | 24,624 | 18,755 | 42,162 | 2,906 | |||||
5,651 | 10,092 | 3,007 | — | 12,555 | 3,532 | |||||
152,016 | — | 602,392 | 373,798 | 459,699 | 149,366 | |||||
40,121 | 234,126 | 82,440 | 23,614 | 314,739 | 49,790 | |||||
388,530 | 437,760 | 108,135 | 15,040 | 169,271 | 51,440 | |||||
— | — | — | — | 1,368,338 | 1,422,223 | |||||
— | — | — | — | 589,822 | 2,911 | |||||
25,191 | 26,935 | 11,055 | 8,794 | 24,258 | 29,122 | |||||
1,051,353,064 | 1,391,013,900 | 504,701,150 | 547,716,206 | 1,161,163,385 | 432,603,553 | |||||
171,485 | 198,778 | 58,732 | — | 16,358,784 | — | |||||
— | — | — | — | 53,090,663 | — | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 4,392,913 | 904,793 | |||||
— | — | — | — | 845,296 | 152,454 | |||||
3,030,212 | 1,326,223 | 15,056,596 | 2,021,067 | 2,613,371 | 3,325,866 | |||||
— | — | — | — | 90,000 | 516,342 | |||||
— | — | — | — | — | 34,982 | |||||
8,480,235 | 76,078 | 843,934 | 8,520 | 564,189 | 1,447,032 | |||||
— | — | — | — | 78,555 | — | |||||
195,964 | 117,855 | 432,193 | 7,446 | 212,708 | 47,265 | |||||
— | — | — | — | 72,318 | 199,422 | |||||
710 | 2,766 | 3,694 | 2,813 | 6,324 | 436 | |||||
— | — | — | — | 842,668 | — | |||||
504,717 | 808,379 | 400,197 | 52,912 | 696,948 | 325,326 | |||||
72,442 | 134,385 | 50,457 | — | 60,709 | 13,871 | |||||
194,249 | 232,756 | 157,529 | 196,921 | 501,559 | 466,851 | |||||
12,650,014 | 2,897,220 | 17,003,332 | 2,289,679 | 80,427,005 | 7,434,640 | |||||
$1,038,703,050 | $1,388,116,680 | $487,697,818 | $545,426,527 | $1,080,736,380 | $425,168,913 | |||||
$1,020,883,800 | $1,107,747,164 | $548,731,504 | $606,854,982 | $1,189,326,140 | $464,455,451 | |||||
17,819,250 | 280,369,516 | (61,033,686) | (61,428,455) | (108,589,760)(6) | (39,286,538) | |||||
$1,038,703,050 | $1,388,116,680 | $487,697,818 | $545,426,527 | $1,080,736,380 | $425,168,913 | |||||
$703,134,764 | $765,737,672 | $256,241,836 | $545,426,527 | $795,484,291 | $359,814,634 | |||||
41,872,648 | 35,660,740 | 19,647,979 | 59,028,008 | 67,763,135 | 41,320,305 | |||||
$16.79 | $21.47 | $13.04 | $9.24 | $11.74 | $8.71 | |||||
$335,568,286 | $622,379,008 | $231,455,982 | N/A | $285,252,089 | $65,354,279 | |||||
19,964,963 | 29,150,104 | 17,790,087 | N/A | 24,244,314 | 7,496,244 | |||||
$16.81 | $21.35 | $13.01 | N/A | $11.77 | $8.72 | |||||
$960,336,866 | $1,065,621,294 | $544,603,968 | $574,119,475 | $1,165,903,066 | $437,708,883 | |||||
45,944,522 | 56,036,987 | 16,995,292 | 25,573,630 | 60,810,471 | 15,609,327 | |||||
$1,006,281,388 | $1,121,658,281 | $561,599,260 | $599,693,105 | $1,226,713,537 | $453,318,210 | |||||
$29,240,358 | $143,812,618 | $102,492,114 | $22,494,249 | $24,681,375 | $5,914,607 | |||||
$— | $— | $— | $1,985,910 | $4,499,417 | $689,479 | |||||
$— | $— | $— | $— | $60,259,299 | $— | |||||
$— | $— | $— | $— | $— | $— | |||||
Table of Contents
Defensive Market Strategies Fund | Equity Index Fund | ||
Investment Income | |||
Dividends | $12,473,017 | $22,681,915 | |
Income distributions received from affiliated funds | 526,120 | 619,582 | |
Interest | 5,632,345 | 26,039 | |
Securities lending, net | 383,260 | 74,528 | |
Less foreign taxes withheld | (64,598) | (6,355) | |
Total Investment Income | 18,950,144 | 23,395,709 | |
Expenses | |||
Investment advisory fees | 6,400,132 | 1,083,645 | |
Transfer agent fees: | |||
Institutional shares | 4,345 | 6,739 | |
Investor shares | 18,588 | 20,955 | |
Custodian fees | 73,787 | 25,217 | |
Shareholder servicing fees: | |||
Investor shares | 905,940 | 1,293,399 | |
Accounting and administration fees | 209,069 | 246,253 | |
Professional fees | 81,001 | 84,492 | |
Blue sky fees: | |||
Institutional shares | 9,811 | 9,421 | |
Investor shares | 29,991 | 14,086 | |
Shareholder reporting fees: | |||
Institutional shares | 2,894 | 3,788 | |
Investor shares | 25,872 | 22,946 | |
Trustees expenses | 7,350 | 10,799 | |
Line of credit facility fees and interest expense | 6,635 | 7,993 | |
Dividends on securities sold short | — | — | |
Other expenses | 89,584 | 27,383 | |
Total Expenses | 7,864,999 | 2,857,116 | |
Expenses waived/reimbursed net of amount recaptured(1) | (87,105) | (95,755) | |
Fees paid indirectly | — | — | |
Net Expenses | 7,777,894 | 2,761,361 | |
Net Investment Income | 11,172,250 | 20,634,348 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 49,653,387 | 8,019,135 | |
Investment securities sold short | — | — | |
Futures transactions | — | (358,475) | |
Swap agreements | — | — | |
Option contracts written | (4,096,739) | — | |
Forward foreign currency contracts | 640,427 | — | |
Foreign currency | (12,091) | — | |
Net realized gain (loss) | 46,184,984 | 7,660,660 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities (net of estimated capital gains taxes of $(796,863) and $213,344 for International Equity Fund and Emerging Markets Fund, respectively) | (75,597,445) | (163,793,754) | |
Investment securities sold short | — | — | |
Futures | — | (1,654,162) | |
Swap agreements | — | — | |
Option contracts written | (354,284) | — | |
Forward foreign currency contracts | 158,614 | — | |
Foreign currency | (40,231) | — | |
Net change in unrealized appreciation (depreciation) | (75,833,346) | (165,447,916) | |
Net Realized and Unrealized Gain (Loss) | (29,648,362) | (157,787,256) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $(18,476,112) | $(137,152,908) |
(1) | See Note 3a and 3c in Notes to Financial Statements. |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$32,277,744 | $14,451,829 | $6,149,631 | $8,874,875 | $48,372,056 | $13,109,701 | |||||
492,060 | 914,712 | 317,837 | 263,090 | 1,047,798 | 263,735 | |||||
32,263 | 44,494 | 25,214 | 7,441 | — | 198,354 | |||||
85,624 | 232,359 | 248,510 | 95,737 | 558,207 | 59,808 | |||||
(84,317) | (62,557) | (10,212) | (540,307) | (3,095,726) | (1,562,163) | |||||
32,803,374 | 15,580,837 | 6,730,980 | 8,700,836 | 46,882,335 | 12,069,435 | |||||
7,606,415 | 11,794,251 | 5,302,440 | 343,400 | 10,816,118 | 4,451,608 | |||||
4,402 | 4,365 | 4,340 | 3,893 | 6,059 | 4,305 | |||||
18,295 | 21,563 | 18,703 | — | 27,073 | 17,824 | |||||
42,023 | 40,271 | 54,046 | 78,339 | 555,720 | 1,006,844 | |||||
963,501 | 1,663,574 | 686,292 | — | 837,872 | 208,959 | |||||
284,686 | 351,933 | 115,440 | 61,382 | 300,202 | 95,463 | |||||
79,017 | 79,610 | 83,612 | 100,845 | 82,629 | 81,676 | |||||
9,830 | 19,996 | 20,809 | 18,422 | 10,371 | 11,775 | |||||
9,123 | 20,105 | 28,589 | — | 11,628 | 25,573 | |||||
1,730 | 1,954 | 2,045 | 11,972 | 2,355 | 1,960 | |||||
17,706 | 26,540 | 17,568 | — | 17,480 | 9,595 | |||||
8,445 | 12,274 | 5,348 | 3,414 | 9,268 | 3,464 | |||||
9,306 | 11,314 | 3,935 | 2,062 | 9,689 | 2,961 | |||||
— | — | — | — | 3,652,921 | — | |||||
84,877 | 116,042 | 59,049 | 171,478 | 716,361 | 90,398 | |||||
9,139,356 | 14,163,792 | 6,402,216 | 795,207 | 17,055,746 | 6,012,405 | |||||
(82,469) | (150,962) | (52,846) | — | (176,471) | 352,608 | |||||
(44,891) | (28,482) | (30,540) | — | — | (4,467) | |||||
9,011,996 | 13,984,348 | 6,318,830 | 795,207 | 16,879,275 | 6,360,546 | |||||
23,791,378 | 1,596,489 | 412,150 | 7,905,629 | 30,003,060 | 5,708,889 | |||||
155,787,122 | 252,592,791 | 87,246,172 | 255,315 | 93,636,115 | (3,674,409) | |||||
— | — | — | — | (4,194,181) | — | |||||
2,239,050 | 618,324 | (2,249,972) | (3,598,700) | (5,865,032) | (4,678,621) | |||||
— | — | — | — | (1,866,302) | (211,852) | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 3,634,240 | (2,761,237) | |||||
— | — | — | (102,520) | (957,182) | (318,624) | |||||
158,026,172 | 253,211,115 | 84,996,200 | (3,445,905) | 84,387,658 | (11,644,743) | |||||
(291,281,345) | (177,624,422) | (151,598,388) | (74,404,722) | (320,377,992) | (95,044,575) | |||||
— | — | — | — | 12,868,290 | — | |||||
(1,349,338) | (2,591,050) | (659,331) | (521,677) | (3,406,061) | (2,248,972) | |||||
— | — | — | — | (714,311) | (20,787) | |||||
— | — | — | — | — | — | |||||
— | — | — | — | (2,309,894) | 81,210 | |||||
— | — | — | 5,689 | (220,750) | (12,545) | |||||
(292,630,683) | (180,215,472) | (152,257,719) | (74,920,710) | (314,160,718) | (97,245,669) | |||||
(134,604,511) | 72,995,643 | (67,261,519) | (78,366,615) | (229,773,060) | (108,890,412) | |||||
$(110,813,133) | $74,592,132 | $(66,849,369) | $(70,460,986) | $(199,770,000) | $(103,181,523) |
Table of Contents
Defensive Market Strategies Fund | |||
For the Year Ended | |||
12/31/18 | 12/31/17 | ||
Operations: | |||
Net investment income | $11,172,250 | $5,457,198 | |
Net realized gain on investment securities, foreign currency and derivatives | 46,184,984 | 51,735,832 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (75,833,346) | 49,856,677 | |
Net increase (decrease) in net assets resulting from operations | (18,476,112) | 107,049,707 | |
Distributions to Shareholders: | |||
Institutional shares | (41,477,892) | (33,570,695) | |
Investor shares | (21,575,912) | (18,087,352) | |
Total distributions | (63,053,804) | (51,658,047) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 109,896,688 | 140,679,912 | |
Investor shares | 93,697,336 | 119,380,649 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 41,301,785 | 33,471,335 | |
Investor shares | 21,410,733 | 18,031,024 | |
Total proceeds from shares sold and reinvested | 266,306,542 | 311,562,920 | |
Value of shares redeemed | |||
Institutional shares | (47,118,657) | (155,485,244) | |
Investor shares | (87,943,221) | (72,161,976) | |
Total value of shares redeemed | (135,061,878) | (227,647,220) | |
Net increase (decrease) from capital share transactions(1) | 131,244,664 | 83,915,700 | |
Total increase (decrease) in net assets | 49,714,748 | 139,307,360 | |
Net Assets: | |||
Beginning of Year | 962,543,503 | 823,236,143 | |
End of Year | $1,012,258,251 | $962,543,503 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Equity Index Fund | Value Equity Fund | Growth Equity Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | |||||
$20,634,348 | $13,618,330 | $23,791,378 | $23,562,997 | $1,596,489 | $454,731 | |||||
7,660,660 | 5,819,552 | 158,026,172 | 77,849,471 | 253,211,115 | 152,061,534 | |||||
(165,447,916) | 150,194,413 | (292,630,683) | 101,520,581 | (180,215,472) | 273,005,847 | |||||
(137,152,908) | 169,632,295 | (110,813,133) | 202,933,049 | 74,592,132 | 425,522,112 | |||||
(17,859,884) | (10,090,275) | (131,704,586) | (77,581,976) | (123,354,704) | (113,420,162) | |||||
(9,476,926) | (9,432,395) | (60,559,704) | (26,904,133) | (103,435,086) | (57,082,011) | |||||
(27,336,810) | (19,522,670) | (192,264,290) | (104,486,109) | (226,789,790) | (170,502,173) | |||||
838,342,777 | 71,678,208 | 50,727,891 | 97,004,036 | 66,628,943 | 65,442,695 | |||||
81,414,824 | 69,412,371 | 29,434,018 | 24,680,892 | 109,117,426 | 72,305,170 | |||||
17,801,303 | 10,072,333 | 131,533,865 | 77,497,179 | 123,205,758 | 113,344,523 | |||||
9,464,086 | 9,390,872 | 60,490,792 | 26,876,617 | 103,357,365 | 57,040,743 | |||||
947,022,990 | 160,553,784 | 272,186,566 | 226,058,724 | 402,309,492 | 308,133,131 | |||||
(102,133,596) | (27,051,533) | (407,490,599) | (37,902,976) | (525,109,319) | (90,956,174) | |||||
(59,989,419) | (47,764,607) | (48,591,948) | (51,948,137) | (72,422,871) | (51,399,978) | |||||
(162,123,015) | (74,816,140) | (456,082,547) | (89,851,113) | (597,532,190) | (142,356,152) | |||||
784,899,975 | 85,737,644 | (183,895,981) | 136,207,611 | (195,222,698) | 165,776,979 | |||||
620,410,257 | 235,847,269 | (486,973,404) | 234,654,551 | (347,420,356) | 420,796,918 | |||||
978,046,876 | 742,199,607 | 1,525,676,454 | 1,291,021,903 | 1,735,537,036 | 1,314,740,118 | |||||
$1,598,457,133 | $978,046,876 | $1,038,703,050 | $1,525,676,454 | $1,388,116,680 | $1,735,537,036 |
Table of Contents
Small Cap Equity Fund | |||
For the Year Ended | |||
12/31/18 | 12/31/17 | ||
Operations: | |||
Net investment income (loss) | $412,150 | $(131,678) | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 84,996,200 | 48,170,087 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (152,257,719) | 18,615,727 | |
Net increase (decrease) in net assets resulting from operations | (66,849,369) | 66,654,136 | |
Distributions to Shareholders: | |||
Institutional shares | (50,319,903) | (21,299,342) | |
Investor shares | (47,116,445) | (18,504,594) | |
Total distributions | (97,436,348) | (39,803,936) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 32,659,834 | 43,248,973 | |
Investor shares | 43,700,940 | 18,929,912 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 50,169,090 | 21,205,319 | |
Investor shares | 47,072,948 | 18,494,233 | |
Total proceeds from shares sold and reinvested | 173,602,812 | 101,878,437 | |
Value of shares redeemed | |||
Institutional shares | (37,720,650) | (51,500,812) | |
Investor shares | (39,794,698) | (53,953,097) | |
Total value of shares redeemed | (77,515,348) | (105,453,909) | |
Net increase (decrease) from capital share transactions(1) | 96,087,464 | (3,575,472) | |
Total increase (decrease) in net assets | (68,198,253) | 23,274,728 | |
Net Assets: | |||
Beginning of Year | 555,896,071 | 532,621,343 | |
End of Year | $487,697,818 | $555,896,071 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | 12/31/18 | 12/31/17 | |||||
$7,905,629 | $3,860,927 | $30,003,060 | $23,176,167 | $5,708,889 | $3,279,735 | |||||
(3,445,905) | 1,338,938 | 84,387,658 | 122,699,609 | (11,644,743) | 34,187,976 | |||||
(74,920,710) | 28,586,903 | (314,160,718) | 229,560,378 | (97,245,669) | 86,051,190 | |||||
(70,460,986) | 33,786,768 | (199,770,000) | 375,436,154 | (103,181,523) | 123,518,901 | |||||
(7,738,165) | (4,848,605) | (100,665,310) | (101,816,276) | (2,466,292) | (3,877,025) | |||||
— | — | (35,179,908) | (26,690,016) | (189,742) | (719,662) | |||||
(7,738,165) | (4,848,605) | (135,845,218) | (128,506,292) | (2,656,034) | (4,596,687) | |||||
437,966,963 | 35,042,423 | 112,243,308 | 74,829,236 | 72,827,933 | 52,727,535 | |||||
— | — | 33,374,437 | 44,880,631 | 42,361,289 | 58,762,844 | |||||
7,736,564 | 4,814,928 | 100,254,048 | 101,752,318 | 2,464,528 | 3,869,903 | |||||
— | — | 35,077,508 | 26,539,536 | 189,500 | 718,614 | |||||
445,703,527 | 39,857,351 | 280,949,301 | 248,001,721 | 117,843,250 | 116,078,896 | |||||
(10,199,496) | (13,695,024) | (446,987,290) | (111,081,403) | (31,715,518) | (40,941,162) | |||||
— | — | (42,245,013) | (41,440,030) | (54,108,446) | (30,260,344) | |||||
(10,199,496) | (13,695,024) | (489,232,303) | (152,521,433) | (85,823,964) | (71,201,506) | |||||
435,504,031 | 26,162,327 | (208,283,002) | 95,480,288 | 32,019,286 | 44,877,390 | |||||
357,304,880 | 55,100,490 | (543,898,220) | 342,410,150 | (73,818,271) | 163,799,604 | |||||
188,121,647 | 133,021,157 | 1,624,634,600 | 1,282,224,450 | 498,987,184 | 335,187,580 | |||||
$545,426,527 | $188,121,647 | $1,080,736,380 | $1,624,634,600 | $425,168,913 | $498,987,184 |
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# | 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 | |
Defensive Market Strategies Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $12.68 | $0.15 | $(0.32) | $(0.17) | $(0.61) | $11.73 | (1.51)% | $653,481 | 0.67% | 0.67% | 1.17% | 65% |
2017 | 11.90 | 0.09 | 1.42 | (0.08) | (0.65) | 12.68 | 12.74 | 602,011 | 0.67(3) | 0.68 | 0.70 | 60 |
2016 | 11.21 | 0.17 | 1.15(4) | (0.16) | (0.47) | 11.90 | 11.80 | 547,132 | 0.69 | 0.70 | 1.42 | 78 |
2015 | 11.61 | 0.17 | 0.11(4) | (0.17) | (0.51) | 11.21 | 2.43 | 443,499 | 0.72(3) | 0.73 | 1.46 | 55 |
2014 | 11.43 | 0.15 | 1.05(4) | (0.15) | (0.87) | 11.61 | 10.55 | 98,903 | 0.88(3)(5) | 0.83(5) | 1.24 | 102 |
Investor Class | ||||||||||||
2018 | $12.68 | $0.12 | $(0.32) | $(0.13) | $(0.61) | $11.74 | (1.69)% | $358,777 | 0.93% | 0.93% | 0.90% | 65% |
2017 | 11.91 | 0.05 | 1.41 | (0.04) | (0.65) | 12.68 | 12.35 | 360,533 | 0.95(3) | 0.96 | 0.43 | 60 |
2016 | 11.22 | 0.14 | 1.15(4) | (0.13) | (0.47) | 11.91 | 11.53 | 276,104 | 0.97 | 0.98 | 1.15 | 78 |
2015 | 11.60 | 0.13 | 0.12(4) | (0.12) | (0.51) | 11.22 | 2.16 | 167,117 | 0.99(3) | 1.00 | 1.12 | 55 |
2014 | 11.42 | 0.12 | 1.06(4) | (0.13) | (0.87) | 11.60 | 10.35 | 476,129 | 1.09(3)(5) | 1.07(5) | 1.03 | 102 |
Equity Index Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $29.43 | $0.55 | $(1.79) | $(0.48) | $(0.15) | $27.56 | (4.29)% | $1,107,944 | 0.12% | 0.13% | 1.81% | 3% |
2017 | 24.68 | 0.47 | 4.92 | (0.46) | (0.18) | 29.43 | 21.97 | 483,275 | 0.19 | 0.20 | 1.72 | 2 |
2016 | 22.81 | 0.46 | 2.27(4) | (0.56) | (0.30) | 24.68 | 12.16 | 355,404 | 0.15 | 0.16 | 1.97 | 3 |
2015 | 23.99 | 0.48 | (0.26)(4) | (0.61) | (0.79) | 22.81 | 0.92 | 276,599 | 0.17 | 0.18 | 1.94 | 6 |
2014 | 22.48 | 0.40 | 2.62(4) | (0.74) | (0.77) | 23.99 | 13.54 | 95,134 | 0.22 | 0.22 | 1.72 | 5 |
Investor Class | ||||||||||||
2018 | $29.44 | $0.47 | $(1.78) | $(0.40) | $(0.15) | $27.58 | (4.55)% | $490,513 | 0.37% | 0.38% | 1.56% | 3% |
2017 | 24.70 | 0.40 | 4.91 | (0.39) | (0.18) | 29.44 | 21.65 | 494,771 | 0.45 | 0.46 | 1.46 | 2 |
2016 | 22.58 | 0.39 | 2.27(4) | (0.29) | (0.25) | 24.70 | 11.84 | 386,796 | 0.42 | 0.42 | 1.70 | 3 |
2015 | 22.90 | 0.37 | (0.21)(4) | (0.18) | (0.30) | 22.58 | 0.70 | 332,005 | 0.41 | 0.44 | 1.62 | 6 |
2014 | 20.69 | 0.34 | 2.40(4) | (0.24) | (0.29) | 22.90 | 13.31 | 334,833 | 0.38 | 0.48 | 1.56 | 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) | The ratio for the Defensive Market Strategies Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00%, 0.01%, 0.00% and 0.00% for the years 2013, 2014, 2015 and 2017. |
(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) | The ratio for the Defensive Market Strategies Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11% and 0.02% for the years 2013 and 2014. |
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/ (Loss)# | 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/ (Loss), Net(1) | Portfolio Turnover Rate | |
Value Equity Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $22.76 | $0.39 | $(2.75) | $(0.40) | $(3.21) | $16.79 | (10.97)% | $703,135 | 0.56%(3) | 0.57% | 1.75% | 38% |
2017 | 21.18 | 0.39 | 2.85 | (0.37) | (1.29) | 22.76 | 15.54 | 1,128,445 | 0.57(3) | 0.58 | 1.78 | 38 |
2016 | 19.75 | 0.41 | 2.30(4) | (0.46) | (0.82) | 21.18 | 14.11 | 920,433 | 0.59(3) | 0.60 | 2.05 | 36 |
2015 | 23.56 | 0.39 | (1.20)(4) | (0.44) | (2.56) | 19.75 | (3.44) | 917,208 | 0.61(3) | 0.62 | 1.73 | 32 |
2014 | 25.88 | 0.37 | 2.46(4) | (0.65) | (4.50) | 23.56 | 10.91 | 273,359 | 0.65(3) | 0.67 | 1.40 | 41 |
Investor Class | ||||||||||||
2018 | $22.78 | $0.34 | $(2.75) | $(0.35) | $(3.21) | $16.81 | (11.19)% | $335,568 | 0.83%(3) | 0.84% | 1.50% | 38% |
2017 | 21.20 | 0.34 | 2.85 | (0.32) | (1.29) | 22.78 | 15.25 | 397,231 | 0.83(3) | 0.84 | 1.52 | 38 |
2016 | 19.46 | 0.35 | 2.33(4) | (0.26) | (0.68) | 21.20 | 13.84 | 370,589 | 0.86(3) | 0.87 | 1.78 | 36 |
2015 | 21.31 | 0.27 | (1.06)(4) | (0.08) | (0.98) | 19.46 | (3.70) | 324,440 | 0.89(3) | 0.89 | 1.26 | 32 |
2014 | 21.00 | 0.25 | 1.97(4) | (0.19) | (1.72) | 21.31 | 10.61 | 1,141,998 | 0.90(3) | 0.91 | 1.16 | 41 |
Growth Equity Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $25.18 | $0.05 | $0.41 | $(0.01) | $(4.16) | $21.47 | 1.22% | $765,738 | 0.70%(5) | 0.71% | 0.18% | 19% |
2017 | 21.08 | 0.03 | 6.80 | (0.02) | (2.71) | 25.18 | 32.43 | 1,150,773 | 0.72(5) | 0.73 | 0.12 | 41 |
2016 | 22.25 | —† | (0.22)(4) | — | (0.95) | 21.08 | (0.98) | 890,530 | 0.75(5) | 0.76 | 0.01 | 24 |
2015 | 25.80 | 0.02 | 1.38(4) | — | (4.95) | 22.25 | 5.67 | 932,232 | 0.77(5) | 0.78 | 0.09 | 79 |
2014 | 28.49 | (0.05) | 2.92(4) | — | (5.56) | 25.80 | 10.12 | 244,281 | 0.85(5) | 0.87 | (0.12) | 54 |
Investor Class | ||||||||||||
2018 | $25.11 | $(0.02) | $0.42 | $— | $(4.16) | $21.35 | 0.99% | $622,379 | 0.96%(5) | 0.97% | (0.06)% | 19% |
2017 | 21.07 | (0.04) | 6.79 | — | (2.71) | 25.11 | 32.06 | 584,764 | 0.98(5) | 0.99 | (0.14) | 41 |
2016 | 22.02 | (0.05) | (0.24)(4) | — | (0.66) | 21.07 | (1.30) | 424,210 | 1.01(5) | 1.02 | (0.26) | 24 |
2015 | 22.92 | (0.05) | 1.27(4) | — | (2.12) | 22.02 | 5.44 | 483,385 | 1.04(5) | 1.06 | (0.21) | 79 |
2014 | 23.02 | (0.08) | 2.36(4) | — | (2.38) | 22.92 | 9.93 | 1,240,254 | 1.06(5) | 1.11 | (0.33) | 54 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(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) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2014, 2015, 2016, 2017, and 2018. |
(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) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2014, 2015, 2016, 2017, and 2018. |
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/ (Loss)# | 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)(2) | Expenses, Gross(3) | Investment Income/ (Loss), Net(1) | Portfolio Turnover Rate | |
Small Cap Equity Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $18.36 | $0.04 | $(8.59) | $— | $3.23 | $13.04 | (12.01)% | $256,242 | 0.98% | 0.99% | 0.20% | 172% |
2017 | 17.53 | 0.02 | 2.24 | (0.03) | (1.40) | 18.36 | 12.98 | 293,953 | 0.98 | 1.00 | 0.09 | 80 |
2016 | 15.14 | 0.06 | 2.59(4) | (0.07) | (0.19) | 17.53 | 17.48 | 265,627 | 1.01 | 1.03 | 0.36 | 77 |
2015 | 18.05 | 0.08 | (1.13)(4) | (0.06) | (1.80) | 15.14 | (5.66) | 264,962 | 1.00 | 1.03 | 0.45 | 74 |
2014 | 20.94 | 0.06 | 0.75(4) | (0.12) | (3.58) | 18.05 | 4.03 | 84,324 | 0.97 | 0.99 | 0.27 | 103 |
Investor Class | ||||||||||||
2018 | $18.37 | $(0.01) | $(8.58) | $— | $3.23 | $13.01 | (12.22)% | $231,456 | 1.24% | 1.25% | (0.06)% | 172% |
2017 | 17.56 | (0.03) | 2.24 | — | (1.40) | 18.37 | 12.67 | 261,943 | 1.25 | 1.27 | (0.17) | 80 |
2016 | 15.17 | 0.02 | 2.59(4) | (0.03) | (0.19) | 17.56 | 17.17 | 266,994 | 1.27 | 1.30 | 0.11 | 77 |
2015 | 17.08 | 0.02 | (1.04)(4) | — | (0.89) | 15.17 | (5.91) | 236,850 | 1.24 | 1.27 | 0.13 | 74 |
2014 | 18.19 | 0.01 | 0.67(4) | (0.02) | (1.77) | 17.08 | 3.83 | 468,938 | 1.20 | 1.24 | 0.03 | 103 |
International Equity Index Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $10.76 | $0.27 | $(1.66) | $(0.13) | $— | $9.24 | (12.86)% | $545,427 | 0.27% | 0.27% | 2.64% | 4% |
2017 | 8.86 | 0.25 | 1.93 | (0.25) | (0.03) | 10.76 | 24.69 | 188,122 | 0.41 | 0.35 | 2.45 | 4 |
2016 | 8.94 | 0.23 | (0.09)(4) | (0.22) | — | 8.86 | 1.63 | 133,021 | 0.57 | 0.65 | 2.61 | 6 |
2015(5) | 10.00 | 0.07 | (1.06)(4) | (0.07) | — | 8.94 | (9.88) | 111,025 | 0.57 | 0.66 | 1.33 | 4 |
# | 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 for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01%, 0.02%, 0.01%, and 0.01% for the years 2014, 2015, 2016, and 2017. For the year ended December 31, 2018, the effect of fees paid indirectly decreased the ratio by 0.00% and 0.01% for Institutional and Investor Class, respectively. |
(3) | 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. |
(4) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(5) | Inception date was June 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
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# | 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 | |
International Equity Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $15.72 | $0.32 | $(2.65) | $(0.32) | $(1.33) | $11.74 | (14.90)% | $795,484 | 1.07%(3) | 1.08%(3) | 2.08% | 73% |
2017 | 13.16 | 0.25 | 3.65 | (0.25) | (1.09) | 15.72 | 29.85 | 1,279,089 | 0.92(3)(4) | 0.93(3) | 1.63 | 42 |
2016 | 13.14 | 0.27 | 0.13(5) | (0.27) | (0.11) | 13.16 | 2.96 | 1,017,929 | 1.00(3)(4) | 1.01(3) | 2.09 | 33 |
2015 | 14.25 | 0.22 | (0.50)(5) | (0.26) | (0.57) | 13.14 | (1.93) | 1,030,729 | 1.03(3)(4) | 1.05(3) | 1.49 | 43 |
2014 | 15.61 | 0.36 | (1.26)(5) | (0.46) | — | 14.25 | (5.80) | 235,545 | 1.13(3)(4) | 1.20(3) | 2.36 | 36 |
Investor Class | ||||||||||||
2018 | $15.74 | $0.27 | $(2.63) | $(0.28) | $(1.33) | $11.77 | (15.06)% | $285,252 | 1.33%(3) | 1.35%(3) | 1.76% | 73% |
2017 | 13.18 | 0.21 | 3.66 | (0.22) | (1.09) | 15.74 | 29.50 | 345,545 | 1.18(3)(4) | 1.19(3) | 1.37 | 42 |
2016 | 13.18 | 0.24 | 0.11(5) | (0.24) | (0.11) | 13.18 | 2.62 | 264,295 | 1.27(3)(4) | 1.28(3) | 1.81 | 33 |
2015 | 14.03 | 0.24 | (0.55)(5) | (0.12) | (0.42) | 13.18 | (2.16) | 245,976 | 1.35(3)(4) | 1.39(3) | 1.68 | 43 |
2014 | 15.24 | 0.32 | (1.23)(5) | (0.30) | — | 14.03 | (6.00) | 1,143,722 | 1.37(3)(4) | 1.44(3) | 2.09 | 36 |
Emerging Markets Equity Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $11.00 | $0.13 | $(2.36) | $(0.06) | $— | $8.71 | (20.26)% | $359,815 | 1.30%(6) | 1.21% | 1.26% | 155% |
2017 | 8.18 | 0.08 | 2.85 | (0.11) | — | 11.00 | 35.80 | 404,641 | 1.30(6) | 1.31 | 0.83 | 56 |
2016 | 7.34 | 0.08 | 0.90(5) | (0.14) | — | 8.18 | 13.46 | 290,082 | 1.30(6) | 1.48 | 0.98 | 54 |
2015 | 9.09 | 0.11 | (1.83)(5) | (0.03) | — | 7.34 | (18.93) | 272,123 | 1.28(6) | 1.50 | 1.36 | 39 |
2014 | 9.75 | 0.11 | (0.51)(5) | (0.07) | (0.19) | 9.09 | (4.14) | 45,058 | 1.25 | 1.63 | 1.07 | 39 |
Investor Class | ||||||||||||
2018 | $11.00 | $0.10 | $(2.35) | $(0.03) | $— | $8.72 | (20.49)% | $65,354 | 1.56%(6) | 1.52% | 0.96% | 155% |
2017 | 8.19 | 0.06 | 2.84 | (0.09) | — | 11.00 | 35.37 | 94,346 | 1.57(6) | 1.66 | 0.57 | 56 |
2016 | 7.35 | 0.06 | 0.91(5) | (0.13) | — | 8.19 | 13.20 | 45,106 | 1.56(6) | 1.87 | 0.73 | 54 |
2015 | 9.09 | 0.05 | (1.79)(5) | — | — | 7.35 | (19.14) | 25,659 | 1.51(6) | 1.83 | 0.58 | 39 |
2014 | 9.75 | 0.08 | (0.51)(5) | (0.04) | (0.19) | 9.09 | (4.38) | 255,202 | 1.50 | 1.84 | 0.81 | 39 |
# | 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) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.17%, 0.17%, 0.14% and 0.08% for the years 2014, 2015, 2016 and 2017. For the year ended December 31, 2018, the effect of dividend expense on securities sold short increased the ratio by 0.23% and 0.29% for Institutional Class and Investor Class, respectively. |
(4) | The ratio for the International Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2014, 2015, 2016 and 2017. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(6) | The ratio for the Emerging Markets Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017 and 2018. |
Table of Contents
% | |
Real Estate | 96.8 |
Money Market Funds | 2.4 |
Information Technology | 0.3 |
Consumer Discretionary | 0.3 |
U.S. Treasury Obligation | 0.2 |
100.0 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (4.70)% | (4.86)% | (5.63)% | ||||
Five Year | N/A | 4.96% | 4.34% | ||||
Ten Year | N/A | 10.75% | 9.65% | ||||
Since Inception(1) | 2.13% | 2.80% | 1.58% | ||||
Inception Date | 05/01/15 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(2) | 0.88% | 1.13% |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 51.4% | ||||
Real Estate — 51.4% | ||||
Acadia Realty Trust REIT | 33,519 | $796,411 | ||
Agree Realty Corporation REIT | 37,352 | 2,208,250 | ||
Alexandria Real Estate Equities, Inc. REIT | 31,153 | 3,590,072 | ||
Americold Realty Trust REITΔ | 45,314 | 1,157,320 | ||
Apartment Investment & Management Co. Class A REIT | 27,310 | 1,198,363 | ||
AvalonBay Communities, Inc. REIT | 13,440 | 2,339,232 | ||
Boston Properties, Inc. REIT | 14,790 | 1,664,615 | ||
Camden Property Trust REIT | 20,454 | 1,800,975 | ||
CareTrust REIT Inc. | 46,055 | 850,175 | ||
Columbia Property Trust Inc REIT | 44,887 | 868,564 | ||
CoreSite Realty Corporation REIT | 6,580 | 573,973 | ||
Cousins Properties, Inc. REIT | 110,370 | 871,923 | ||
Crown Castle International Corporation REIT | 7,527 | 817,658 | ||
CubeSmart REIT | 96,128 | 2,757,912 | ||
CyrusOne, Inc. REITΔ | 41,778 | 2,209,221 | ||
Digital Realty Trust, Inc. REITΔ | 14,068 | 1,498,945 | ||
Douglas Emmett, Inc. REIT | 57,526 | 1,963,362 | ||
Duke Realty Corporation REIT | 41,420 | 1,072,778 | ||
Empire State Realty Trust, Inc. Class A REIT | 53,665 | 763,653 | ||
Equity LifeStyle Properties, Inc. REIT | 28,305 | 2,749,265 | ||
Equity Residential REIT | 101,367 | 6,691,236 | ||
Essential Properties Realty Trust, Inc. REIT | 72,377 | 1,001,698 | ||
Essex Property Trust, Inc. REIT | 9,863 | 2,418,506 | ||
Extra Space Storage, Inc. REIT | 40,017 | 3,620,738 | ||
Four Corners Property Trust, Inc. REIT | 29,923 | 783,983 | ||
HCP, Inc. REIT | 169,320 | 4,729,108 | ||
Host Hotels & Resorts, Inc. REIT | 177,015 | 2,950,840 | ||
Hudson Pacific Properties, Inc. REIT | 33,621 | 977,026 | ||
Invitation Homes, Inc. REIT | 66,626 | 1,337,850 | ||
Iron Mountain, Inc. REIT | 11,891 | 385,387 | ||
JBG SMITH Properties REIT | 28,546 | 993,686 | ||
Kilroy Realty Corporation REITΔ | 30,216 | 1,899,982 | ||
Kimco Realty Corporation REIT | 60,762 | 890,163 | ||
Liberty Property Trust REIT | 34,537 | 1,446,410 | ||
Macerich Co. (The) REIT | 18,680 | 808,470 | ||
Mid-America Apartment Communities, Inc. REIT | 26,341 | 2,520,834 | ||
National Retail Properties, Inc. REIT | 33,083 | 1,604,856 | ||
Omega Healthcare Investors, Inc. REITΔ | 34,180 | 1,201,427 | ||
Paramount Group, Inc. REIT | 55,821 | 701,112 | ||
Pebblebrook Hotel Trust REITΔ | 21,134 | 598,304 | ||
Physicians Realty Trust REIT | 117,141 | 1,877,770 | ||
Prologis, Inc. REIT | 111,048 | 6,520,739 | ||
Public Storage REIT | 6,280 | 1,271,135 | ||
Realty Income Corporation REITΔ | 52,760 | 3,325,990 | ||
Regency Centers Corporation REIT | 54,118 | 3,175,644 | ||
Retail Properties of America, Inc. Class A REIT | 93,810 | 1,017,839 | ||
Rexford Industrial Realty, Inc. REIT | 55,738 | 1,642,599 |
Shares | Value | |||
Ryman Hospitality Properties, Inc. REIT | 26,807 | $1,787,759 | ||
Simon Property Group, Inc. REIT | 55,263 | 9,283,631 | ||
SITE Centers Corporation REIT | 61,101 | 676,388 | ||
STORE Capital Corporation REIT | 78,262 | 2,215,597 | ||
Sunstone Hotel Investors, Inc. REIT | 101,305 | 1,317,978 | ||
Taubman Centers, Inc. REIT | 7,513 | 341,766 | ||
Ventas, Inc. REIT | 20,538 | 1,203,321 | ||
Welltower, Inc. REIT | 83,660 | 5,806,841 | ||
110,779,280 | ||||
Total Common Stocks (Cost $114,249,111) | 110,779,280 | |||
FOREIGN COMMON STOCKS — 46.0% | ||||
Australia — 4.7% | ||||
Dexus REIT | 137,690 | 1,029,948 | ||
Goodman Group REIT | 275,971 | 2,066,261 | ||
GPT Group (The) REIT | 459,816 | 1,729,473 | ||
Ingenia Communities Group REIT | 107,542 | 227,242 | ||
Mirvac Group REIT | 849,100 | 1,339,662 | ||
Scentre Group REIT | 1,052,287 | 2,890,596 | ||
Vicinity Centres REIT | 412,348 | 755,137 | ||
10,038,319 | ||||
Austria — 0.2% | ||||
CA Immobilien Anlagen AG | 12,912 | 408,608 | ||
Belgium — 0.4% | ||||
Cofinimmo SA REIT | 2,000 | 248,628 | ||
VGP NV | 1,894 | 128,901 | ||
Warehouses De Pauw CVA REIT | 3,583 | 472,921 | ||
850,450 | ||||
Canada — 2.8% | ||||
Allied Properties Real Estate Investment Trust | 22,717 | 737,487 | ||
Canadian Apartment Properties REIT | 64,441 | 2,091,075 | ||
Dream Office Real Estate Investment Trust | 54,495 | 889,755 | ||
First Capital Realty, Inc. | 50,890 | 702,664 | ||
Granite Real Estate Investment Trust | 17,390 | 677,792 | ||
SmartCentres Real Estate Investment Trust | 38,172 | 862,030 | ||
5,960,803 | ||||
France — 0.8% | ||||
Gecina SA REIT | 13,338 | 1,726,868 | ||
Germany — 4.5% | ||||
ADLER Real Estate AG | 33,223 | 495,610 | ||
alstria office REIT-AG | 39,661 | 555,283 | ||
Aroundtown SA | 65,930 | 546,952 | ||
Deutsche Wohnen SE | 62,908 | 2,874,945 | ||
TLG Immobilien AG | 18,961 | 524,569 | ||
Vonovia SE | 106,612 | 4,805,954 | ||
9,803,313 | ||||
Hong Kong — 7.4% | ||||
Champion REIT | 575,161 | 393,699 | ||
CK Asset Holdings, Ltd. | 570,835 | 4,177,108 |
Table of Contents
Shares | Value | |||
Lifestyle International Holdings, Ltd. | 220,141 | $333,424 | ||
Link REIT | 423,574 | 4,289,562 | ||
New World Development Co., Ltd. | 1,125,868 | 1,489,559 | ||
Sino Land Co., Ltd. | 1,116,582 | 1,913,611 | ||
Sun Hung Kai Properties, Ltd. | 130,090 | 1,854,038 | ||
Swire Properties, Ltd. | 180,639 | 634,388 | ||
Wharf Real Estate Investment Co., Ltd. | 85,160 | 509,514 | ||
Wheelock & Co., Ltd. | 71,116 | 406,416 | ||
16,001,319 | ||||
Ireland — 0.7% | ||||
Cairn Homes PLC* | 198,888 | 243,827 | ||
Green REIT PLC | 337,926 | 528,499 | ||
Hibernia REIT PLC | 288,514 | 416,182 | ||
Irish Residential Properties REIT PLC | 199,776 | 309,006 | ||
1,497,514 | ||||
Japan — 11.4% | ||||
Daibiru Corporation | 38,200 | 377,558 | ||
Frontier Real Estate Investment Corporation REIT | 213 | 845,542 | ||
Global One Real Estate Investment Corporation REITΔ | 1,799 | 1,964,034 | ||
GLP J-REIT | 826 | 840,999 | ||
Japan Hotel REIT Investment Corporation | 733 | 523,197 | ||
Japan Logistics Fund, Inc. REIT | 492 | 999,574 | ||
Japan Real Estate Investment Corporation REIT | 117 | 656,916 | ||
Kenedix Office Investment Corporation REIT | 100 | 638,282 | ||
Kenedix Residential Next Investment Corporation REIT | 505 | 769,942 | ||
Kenedix Retail REIT Corporation | 196 | 444,355 | ||
MCUBS MidCity Investment Corporation REIT | 755 | 596,269 | ||
Mitsubishi Estate Co., Ltd. | 358,306 | 5,637,411 | ||
Mitsui Fudosan Co., Ltd. | 152,244 | 3,381,630 | ||
Mori Hills Investment Corporation REIT | 545 | 686,101 | ||
Mori Trust Sogo REIT, Inc. | 312 | 454,288 | ||
Nippon Building Fund, Inc. REITΔ | 140 | 881,556 | ||
Nippon Prologis REIT, Inc. | 277 | 584,601 | ||
Orix JREIT, Inc. | 390 | 648,573 | ||
Premier Investment Corporation REIT | 1,752 | 1,994,908 | ||
Sekisui House REIT, Inc. | 612 | 392,421 | ||
Sumitomo Realty & Development Co., Ltd. | 14,979 | 548,360 | ||
Tokyo Tatemono Co., Ltd. | 35,400 | 366,978 | ||
XYMAX REIT Investment CorporationΔ | 406 | 407,463 | ||
24,640,958 | ||||
Netherlands — 2.1% | ||||
InterXion Holding NV* | 14,918 | 807,959 | ||
Unibail-Rodamco-Westfield REIT | 23,987 | 3,721,213 | ||
4,529,172 |
Shares | Value | |||
Norway — 0.3% | ||||
Entra ASA 144A | 29,830 | $397,279 | ||
Selvaag Bolig ASA | 44,501 | 208,342 | ||
605,621 | ||||
Singapore — 2.7% | ||||
CapitaLand Commercial Trust REIT | 1,036,593 | 1,330,964 | ||
City Developments, Ltd. | 96,705 | 576,136 | ||
Far East Hospitality Trust | 456,318 | 202,555 | ||
Hongkong Land Holdings, Ltd. | 264,600 | 1,666,980 | ||
Mapletree Commercial Trust REIT | 183,346 | 221,960 | ||
Mapletree Logistics Trust REIT | 1,421,100 | 1,313,758 | ||
UOL Group, Ltd. | 107,300 | 487,316 | ||
5,799,669 | ||||
Spain — 1.1% | ||||
Inmobiliaria Colonial Socimi SA REIT | 49,908 | 465,176 | ||
Lar Espana Real Estate Socimi SA REIT | 44,635 | 380,997 | ||
Merlin Properties Socimi SA REIT | 128,487 | 1,587,703 | ||
2,433,876 | ||||
Sweden — 1.6% | ||||
Castellum AB | 66,232 | 1,223,878 | ||
Catena AB | 11,156 | 278,392 | ||
Fabege AB | 124,223 | 1,660,365 | ||
Samhallsbyggnadsbolaget i Norden ABΔ | 214,876 | 258,831 | ||
3,421,466 | ||||
Switzerland — 0.6% | ||||
Swiss Prime Site AG* | 16,928 | 1,371,188 | ||
United Kingdom — 4.7% | ||||
Assura PLC REIT | 598,480 | 402,770 | ||
British Land Co. PLC (The) REIT | 209,745 | 1,425,462 | ||
Capital & Counties Properties PLC | 59,113 | 174,123 | ||
Derwent London PLC REIT | 35,295 | 1,283,479 | ||
Grainger PLC | 453,607 | 1,212,996 | ||
Great Portland Estates PLC REIT | 61,043 | 512,816 | ||
Hammerson PLC REIT | 39,265 | 164,855 | ||
Intu Properties PLC REIT | 161,964 | 234,102 | ||
PRS REIT PLC (The) | 401,970 | 483,659 | ||
Safestore Holdings PLC REIT | 39,775 | 256,782 | ||
Segro PLC REIT | 254,268 | 1,907,594 | ||
Shaftesbury PLC REIT | 29,425 | 311,480 | ||
Tritax EuroBox PLC REIT 144A* | 197,558 | 233,143 | ||
UNITE Group PLC (The) REIT | 54,798 | 562,955 | ||
Urban & Civic PLC | 140,000 | 467,523 | ||
Warehouse Reit PLC | 102,497 | 123,588 | ||
Workspace Group PLC REIT | 30,499 | 308,466 | ||
10,065,793 | ||||
Total Foreign Common Stocks (Cost $104,248,676) | 99,154,937 |
Table of Contents
Shares | Value | |||
MONEY MARKET FUNDS — 2.4% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø∞ | 4,154,193 | $4,154,193 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.45%ا | 962,747 | 962,747 | ||
Total Money Market Funds (Cost $5,116,940) | 5,116,940 |
Par | |||
U.S. TREASURY OBLIGATION — 0.2% | |||
U.S. Treasury Bill | |||
2.48%, 05/30/19Ω‡‡ (Cost $395,901) | $400,000 | 396,018 | |
TOTAL INVESTMENTS —100.0% (Cost $224,010,628) | 215,447,175 | ||
Other Assets in Excess of Liabilities — 0.0% | 27,180 | ||
NET ASSETS — 100.0% | $215,474,355 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P MidCap 400 Index E-Mini | 03/2019 | 36 | $5,983,920 | $(205,915) | ||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $110,779,280 | $110,779,280 | $— | $— | |||
Foreign Common Stocks: | |||||||
Germany | 9,803,313 | 495,610 | 9,307,703 | — | |||
Japan | 24,640,958 | 407,463 | 24,233,495 | — | |||
Norway | 605,621 | — | 605,621 | — | |||
Sweden | 3,421,466 | — | 3,421,466 | — | |||
Switzerland | 1,371,188 | — | 1,371,188 | — | |||
Other^^ | 59,312,391 | 59,312,391 | — | — | |||
Total Foreign Common Stocks | 99,154,937 | 60,215,464 | 38,939,473 | — | |||
Money Market Funds | 5,116,940 | 5,116,940 | — | — | |||
U.S. Treasury Obligation | 396,018 | — | 396,018 | — | |||
Total Assets - Investments in Securities | $215,447,175 | $176,111,684 | $39,335,491 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(205,915) | $(205,915) | $— | $— | |||
Total Liabilities - Other Financial Instruments | $(205,915) | $(205,915) | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $211,292,982 |
Investments in securities of affiliated issuers, at value | 4,154,193 |
Total investments, at value(1), (2) | 215,447,175 |
Foreign currency(3) | 260,329 |
Receivables: | |
Dividends and reclaims | 1,183,956 |
Securities lending | 1,983 |
From advisor | 1,048 |
Investment securities sold | 668,755 |
Fund shares sold | 31,997 |
Variation margin on futures contracts | 53,841 |
Prepaid expenses and other assets | 9,782 |
Total Assets | 217,658,866 |
Liabilities | |
Cash Overdraft | 2,880 |
Collateral held for securities on loan, at value | 962,747 |
Payables: | |
Investment securities purchased | 650,927 |
Fund shares redeemed | 276,643 |
Securities lending | 297 |
Accrued expenses: | |
Investment advisory fees | 129,404 |
Shareholder servicing fees | 18,167 |
Other expenses | 143,446 |
Total Liabilities | 2,184,511 |
Net Assets | $215,474,355 |
Net Assets Consist of: | |
Paid-in-capital | $236,497,778 |
Distributable earnings (loss) | (21,023,423) |
Net Assets | $215,474,355 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $133,341,265 |
Institutional shares outstanding | 15,094,520 |
Net asset value, offering and redemption price per Institutional share | $8.83 |
Net assets applicable to the Investor Class | $82,133,090 |
Investor shares outstanding | 9,263,773 |
Net asset value, offering and redemption price per Investor share | $8.87 |
(1)Investments in securities of unaffiliated issuers, at cost | $219,856,435 |
Investments in securities of affiliated issuers, at cost | 4,154,193 |
Total investments, at cost | $224,010,628 |
(2)Includes securities loaned of: | $12,077,002 |
(3)Foreign currency, at cost | $259,358 |
Table of Contents
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $7,389,150 |
Income distributions received from affiliated funds | 63,690 |
Interest | 10,079 |
Securities lending, net | 37,801 |
Less foreign taxes withheld | (439,754) |
Total Investment Income | 7,060,966 |
Expenses | |
Investment advisory fees | 1,553,314 |
Transfer agent fees: | |
Institutional shares | 4,219 |
Investor shares | 16,339 |
Custodian fees | 215,515 |
Shareholder servicing fees: | |
Investor shares | 221,280 |
Accounting and administration fees | 45,832 |
Professional fees | 77,369 |
Blue sky fees: | |
Institutional shares | 20,454 |
Investor shares | 12,083 |
Shareholder reporting fees: | |
Institutional shares | 1,516 |
Investor shares | 16,812 |
Trustees expenses | 2,596 |
Line of credit facility fees and interest expense | 1,614 |
Other expenses | 30,443 |
Total Expenses | 2,219,386 |
Expenses waived/reimbursed net of amount recaptured(1) | (10,443) |
Fees paid indirectly | (17,236) |
Net Expenses | 2,191,707 |
Net Investment Income | 4,869,259 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 2,784,925 |
Futures transactions | (645,882) |
Forward foreign currency contracts | (1,550) |
Foreign currency | (20,598) |
Net realized gain | 2,116,895 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (17,445,202) |
Futures | (218,180) |
Foreign currency | (7,417) |
Net change in unrealized appreciation (depreciation) | (17,670,799) |
Net Realized and Unrealized Loss | (15,553,904) |
Net Decrease in Net Assets Resulting from Operations | $(10,684,645) |
(1) | See Note 3a and 3c in Notes to Financial Statements. |
Table of Contents
Global Real Estate Securities Fund | |||
For the Year Ended | |||
12/31/18 | 12/31/17 | ||
Operations: | |||
Net investment income | $4,869,259 | $6,351,304 | |
Net realized gain on investment securities, foreign currency and derivatives | 2,116,895 | 2,564,978 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (17,670,799) | 15,134,539 | |
Net increase (decrease) in net assets resulting from operations | (10,684,645) | 24,050,821 | |
Distributions to Shareholders: | |||
Institutional shares | (6,105,053) | (5,479,616) | |
Investor shares | (3,599,717) | (3,733,615) | |
Total distributions | (9,704,770) | (9,213,231) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 12,654,254 | 17,453,826 | |
Investor shares | 9,990,178 | 12,089,951 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 6,034,893 | 5,416,923 | |
Investor shares | 3,571,808 | 3,718,882 | |
Total proceeds from shares sold and reinvested | 32,251,133 | 38,679,582 | |
Value of shares redeemed | |||
Institutional shares | (6,697,484) | (21,355,788) | |
Investor shares | (21,086,951) | (25,148,188) | |
Total value of shares redeemed | (27,784,435) | (46,503,976) | |
Net increase (decrease) from capital share transactions(1) | 4,466,698 | (7,824,394) | |
Total increase (decrease) in net assets | (15,922,717) | 7,013,196 | |
Net Assets: | |||
Beginning of Year | 231,397,072 | 224,383,876 | |
End of Year | $215,474,355 | $231,397,072 |
(1) | See Note 6 in 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# | 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 | |
Global Real Estate Securities Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $9.69 | $0.21 | $(0.65) | $(0.42) | $— | $8.83 | (4.70)% | $133,341 | 0.86%(3) | 0.87% | 2.26% | 128% |
2017 | 9.10 | 0.27 | 0.73 | (0.41) | — | 9.69 | 11.05 | 133,656 | 0.87(3) | 0.88 | 2.86 | 138 |
2016 | 9.46 | 0.20 | 0.18(4) | (0.50) | (0.24) | 9.10 | 4.07 | 123,574 | 0.88(3) | 0.90 | 2.07 | 130 |
2015(5) | 10.50 | 0.12 | (0.33) | (0.27) | (0.56) | 9.46 | (1.89) | 159,196 | 0.93(3) | 0.94 | 1.83 | 137 |
Investor Class | ||||||||||||
2018 | $9.72 | $0.19 | $(0.65) | $(0.39) | $— | $8.87 | (4.86)% | $82,133 | 1.14%(3) | 1.15% | 1.97% | 128% |
2017 | 9.13 | 0.24 | 0.73 | (0.38) | — | 9.72 | 10.72 | 97,741 | 1.12(3) | 1.13 | 2.56 | 138 |
2016 | 9.49 | 0.16 | 0.19(4) | (0.47) | (0.24) | 9.13 | 3.78 | 100,810 | 1.14(3) | 1.19 | 1.68 | 130 |
2015 | 10.26 | 0.16 | (0.13) | (0.24) | (0.56) | 9.49 | 0.34 | 99,357 | 1.12(3) | 1.17 | 1.50 | 137 |
2014 | 9.36 | 0.23 | 1.28 | (0.25) | (0.36) | 10.26 | 16.13 | 269,883 | 1.15 | 1.15 | 2.23 | 129 |
# | 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) | The ratio for the Global Real Estate Securities Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the years 2015, 2016, 2017 and 2018. |
(4) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(5) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Table of Contents
Table of Contents
% | |
U.S. Treasury Obligations | 28.5 |
Corporate Bonds | 21.1 |
Money Market Funds | 19.8 |
Agency Obligations | 5.2 |
Information Technology | 4.0 |
Communication Services | 3.2 |
Foreign Bonds | 1.8 |
Health Care | 1.7 |
Industrials | 1.7 |
Materials | 1.5 |
Loan Agreements | 1.5 |
Financials | 1.4 |
Consumer Staples | 1.1 |
Consumer Discretionary | 1.0 |
Mortgage-Backed Securities | 0.6 |
Utilities | 0.5 |
Energy | 0.4 |
Real Estate | 0.1 |
Purchased Options | 0.1 |
Written Options | (0.2) |
Mutual Funds Sold Short | (0.6) |
Foreign Common Stocks Sold Short | (1.6) |
Common Stocks Sold Short | (2.3) |
90.5 |
Table of Contents
Average Annual Total Returns as of 12/31/18 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 0.15% | (0.17)% | 1.87% | ||||
Five Year | N/A | N/A | N/A | ||||
Ten Year | N/A | N/A | N/A | ||||
Since Inception | 1.03% | 0.75% | 1.61% | ||||
Inception Date | 06/30/17 | 06/30/17 | |||||
Total Fund Operating Expenses (May 1, 2018 Prospectus)(1) | 1.12% | 1.45% |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 5.2% | ||||
Federal Farm Credit Bank | ||||
1.00%, 01/07/19 | $1,000,000 | $999,829 | ||
Federal Home Loan Bank | ||||
1.38%, 05/28/19 | 8,000,000 | 7,961,312 | ||
Federal National Mortgage Association | ||||
1.00%, 02/26/19 | 11,354,000 | 11,328,874 | ||
Total Agency Obligations (Cost $20,293,571) | 20,290,015 | |||
CORPORATE BONDS — 21.1% | ||||
AES Corporation | ||||
4.88%, 05/15/23 | 1,000,000 | 980,000 | ||
Aircastle, Ltd. | ||||
6.25%, 12/01/19 | 700,000 | 716,831 | ||
Ally Financial, Inc. | ||||
3.75%, 11/18/19 | 2,250,000 | 2,247,187 | ||
AMC Networks, Inc. | ||||
4.75%, 12/15/22 | 500,000 | 490,000 | ||
Amgen, Inc. | ||||
4.10%, 06/15/21 | 1,000,000 | 1,020,224 | ||
APX Group, Inc. | ||||
7.88%, 12/01/22 | 2,400,000 | 2,280,000 | ||
Berry Global, Inc. | ||||
5.50%, 05/15/22 | 542,000 | 541,323 | ||
CalAtlantic Group, Inc. | ||||
6.63%, 05/01/20 | 1,250,000 | 1,289,062 | ||
Calpine Corporation | ||||
6.00%, 01/15/22 144A | 2,900,000 | 2,889,125 | ||
CCO Holdings LLC | ||||
5.25%, 03/15/21 | 750,000 | 750,938 | ||
5.25%, 09/30/22 | 1,750,000 | 1,737,969 | ||
Choice Hotels International, Inc. | ||||
5.75%, 07/01/22 | 395,000 | 404,381 | ||
Clean Harbors, Inc. | ||||
5.13%, 06/01/21 | 700,000 | 700,000 | ||
CNH Industrial Capital LLC | ||||
4.38%, 04/05/22 | 1,750,000 | 1,761,900 | ||
CyrusOne LP/CyrusOne Finance Corporation REIT | ||||
5.00%, 03/15/24 | 250,000 | 245,625 | ||
DaVita, Inc. | ||||
5.75%, 08/15/22 | 1,500,000 | 1,496,250 | ||
DISH DBS Corporation | ||||
7.88%, 09/01/19 | 500,000 | 511,400 | ||
5.13%, 05/01/20 | 2,500,000 | 2,475,000 | ||
Dollar Tree, Inc. | ||||
3.70%, 05/15/23 | 500,000 | 492,060 | ||
Equinix, Inc. REIT | ||||
5.38%, 01/01/22 | 1,000,000 | 1,010,000 | ||
5.38%, 04/01/23 | 3,000,000 | 2,996,250 | ||
Ford Motor Credit Co. LLC | ||||
2.68%, 01/09/20 | 1,735,000 | 1,706,680 | ||
Fresenius Medical Care US Finance II, Inc. | ||||
5.63%, 07/31/19 144A | 1,072,000 | 1,084,226 |
Par | Value | |||
Fresenius US Finance II, Inc. | ||||
4.50%, 01/15/23 144A | $1,000,000 | $1,011,348 | ||
GameStop Corporation | ||||
6.75%, 03/15/21 144A | 500,000 | 500,000 | ||
Goodyear Tire & Rubber Co. (The) | ||||
5.13%, 11/15/23 | 1,450,000 | 1,426,437 | ||
Group 1 Automotive, Inc. | ||||
5.00%, 06/01/22 | 1,000,000 | 951,250 | ||
5.25%, 12/15/23 144A | 500,000 | 466,250 | ||
Herc Rentals, Inc. | ||||
7.50%, 06/01/22 144A | 218,000 | 227,265 | ||
7.75%, 06/01/24 144A | 500,000 | 523,750 | ||
Hughes Satellite Systems Corporation | ||||
7.63%, 06/15/21 | 1,000,000 | 1,040,000 | ||
International Lease Finance Corporation | ||||
6.25%, 05/15/19 | 1,000,000 | 1,008,938 | ||
Iron Mountain, Inc. REIT | ||||
6.00%, 08/15/23 | 2,000,000 | 2,030,000 | ||
John Deere Capital Corporation | ||||
2.15%, 09/08/22 | 1,250,000 | 1,198,636 | ||
(Floating, ICE LIBOR USD 3M + 0.48%), 3.25%, 09/08/22† | 250,000 | 248,125 | ||
KGA Escrow LLC | ||||
7.50%, 08/15/23 144A | 500,000 | 494,375 | ||
Kinder Morgan, Inc. | ||||
3.15%, 01/15/23 | 2,000,000 | 1,945,294 | ||
Lamar Media Corporation | ||||
5.00%, 05/01/23 | 1,000,000 | 1,000,000 | ||
Laredo Petroleum, Inc. | ||||
5.63%, 01/15/22 | 1,250,000 | 1,128,125 | ||
Lennar Corporation | ||||
4.75%, 04/01/21 | 1,000,000 | 993,750 | ||
Michaels Stores, Inc. | ||||
5.88%, 12/15/20 144A | 1,000,000 | 998,750 | ||
Murphy Oil USA, Inc. | ||||
6.00%, 08/15/23 | 890,000 | 897,788 | ||
NCR Corporation | ||||
5.88%, 12/15/21 | 250,000 | 244,688 | ||
Newmark Group, Inc. | ||||
6.13%, 11/15/23 144A | 500,000 | 492,852 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 1,029,000 | 1,005,848 | ||
Nielsen Co. Luxembourg S.a.r.l. (The) | ||||
5.50%, 10/01/21 144A | 2,505,000 | 2,486,212 | ||
Nuance Communications, Inc. | ||||
5.38%, 08/15/20 144A | 998,000 | 997,376 | ||
Outfront Media Capital LLC | ||||
5.25%, 02/15/22 | 500,000 | 499,375 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.00%, 01/15/22 144A | 1,000,000 | 993,750 | ||
Party City Holdings, Inc. | ||||
6.13%, 08/15/23 144A | 3,000,000 | 2,955,000 | ||
Penske Automotive Group, Inc. | ||||
5.75%, 10/01/22 | 2,250,000 | 2,255,625 | ||
Penske Truck Leasing Co. LP | ||||
2.70%, 03/14/23 144A | 750,000 | 716,253 |
Table of Contents
Par | Value | |||
Prime Security Services Borrower LLC | ||||
9.25%, 05/15/23 144A | $1,250,000 | $1,292,187 | ||
PulteGroup, Inc. | ||||
4.25%, 03/01/21 | 1,000,000 | 995,000 | ||
Realogy Group LLC | ||||
5.25%, 12/01/21 144A | 3,675,000 | 3,495,844 | ||
Reynolds Group Issuer, Inc. | ||||
5.75%, 10/15/20 | 484,554 | 483,948 | ||
6.88%, 02/15/21 | 1,386,149 | 1,387,882 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 02/01/21 | 1,000,000 | 1,030,773 | ||
SBA Communications Corporation REIT | ||||
4.88%, 07/15/22 | 1,500,000 | 1,477,500 | ||
Sinclair Television Group, Inc. | ||||
6.13%, 10/01/22 | 775,000 | 782,750 | ||
Spectrum Brands Holdings, Inc. | ||||
7.75%, 01/15/22 | 1,250,000 | 1,268,750 | ||
Sprint Capital Corporation | ||||
6.90%, 05/01/19 | 1,000,000 | 1,008,750 | ||
Starwood Property Trust, Inc. REIT | ||||
3.63%, 02/01/21 | 1,250,000 | 1,206,250 | ||
Sunoco LP | ||||
4.88%, 01/15/23 | 1,000,000 | 977,500 | ||
Taylor Morrison Communities, Inc. | ||||
5.25%, 04/15/21 144A | 1,500,000 | 1,490,625 | ||
T-Mobile USA, Inc. | ||||
6.50%, 01/15/24 | 2,500,000 | 2,562,500 | ||
United Rentals North America, Inc. | ||||
4.63%, 07/15/23 | 250,000 | 246,250 | ||
Univision Communications, Inc. | ||||
6.75%, 09/15/22 144A | 400,000 | 400,000 | ||
5.13%, 05/15/23 144A | 1,000,000 | 900,000 | ||
Total Corporate Bonds (Cost $84,262,979) | 81,570,000 | |||
FOREIGN BONDS — 1.8% | ||||
Argentina — 0.0% | ||||
Bonos De La Nacion Argentina En Moneda Dua | ||||
4.50%, 06/21/19 | 150,000 | 149,263 | ||
Canada — 0.8% | ||||
1011778 BC ULC | ||||
4.63%, 01/15/22 144A | 750,000 | 727,500 | ||
Brookfield Residential Properties, Inc. | ||||
6.50%, 12/15/20 144A | 1,969,000 | 1,971,461 | ||
Quebecor Media, Inc. | ||||
5.75%, 01/15/23 | 250,000 | 252,500 | ||
2,951,461 | ||||
China — 0.2% | ||||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 1,000,000 | 971,250 | ||
Ireland — 0.4% | ||||
Fly Leasing, Ltd. | ||||
6.38%, 10/15/21 | 1,500,000 | 1,500,000 |
Par | Value | |||
South Africa — 0.4% | ||||
Republic of South Africa Government Bond | ||||
10.50%, 12/21/26(S) | $13,390,000 | $1,013,336 | ||
8.50%, 01/31/37(S) | 7,170,000 | 443,552 | ||
1,456,888 | ||||
Total Foreign Bonds (Cost $7,264,935) | 7,028,862 | |||
LOAN AGREEMENTS — 1.5% | ||||
APX Group, Inc. Initial Loan | ||||
(Floating, ICE LIBOR USD 2M + 5.00%), 7.50%, 04/01/24† | 996,296 | 970,970 | ||
(Floating, Prime Rate U.S. 3M + 4.00%, 1.00% Floor), 9.50%, 04/01/24† | 1,204 | 1,173 | ||
Asurion LLC Replacement B-2 Term Loan | ||||
0.00%, 08/04/25† Σ | 1,000,000 | 991,880 | ||
(Floating, ICE LIBOR USD 1M + 6.50%), 9.02%, 08/04/25† | 2,000,000 | 1,983,760 | ||
PetSmart, Inc. Tranche B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%, 1.00% Floor), 5.38%, 03/11/22† | 984,694 | 781,424 | ||
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | ||||
0.00%, 02/05/23† Σ | 997,455 | 953,637 | ||
Total Loan Agreements (Cost $5,905,178) | 5,682,844 | |||
MORTGAGE-BACKED SECURITIES — 0.6% | ||||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.54%, 09/15/43† IO | 690,047 | 104,043 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4286 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.54%, 12/15/43† IO | 413,173 | 64,117 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4320 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.64%, 07/15/39† IO | 1,946,593 | 271,342 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4583 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.54%, 05/15/46† IO | 1,733,912 | 342,426 | ||
Federal National Mortgage Association REMIC, Series 2012-115 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.59%, 10/25/42† IO | 778,197 | 137,028 | ||
Federal National Mortgage Association REMIC, Series 2013-121 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.59%, 12/25/43† IO | 4,009,286 | 555,457 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2016-69 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.59%, 10/25/46† IO | $910,636 | $114,911 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 5.94% - ICE LIBOR USD 1M, 5.94% Cap), 3.47%, 07/20/40† IO | 290,118 | 33,397 | ||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 3.23%, 08/20/45† IO | 408,862 | 50,009 | ||
(Floating, 5.71% - ICE LIBOR USD 1M, 5.71% Cap), 3.24%, 08/20/45† IO | 2,052,971 | 247,415 | ||
Government National Mortgage Association, Series 2015-126 | ||||
4.00%, 09/20/45 IO | 2,696,680 | 462,634 | ||
Government National Mortgage Association, Series 2015-57 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 3.13%, 04/20/45† IO | 676,371 | 79,953 | ||
Total Mortgage-Backed Securities (Cost $2,355,743) | 2,462,732 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.1% | ||||
Put Options — 0.1% | ||||
Mini S&P 500®, Strike Price $2,525.00, Expires 02/15/19 (MSCS) | 13 | $1,628,412 | 57,525 | |
S&P 500®, Strike Price $2,655.00, Expires 03/15/19 (JPM) | 26 | 6,517,810 | 466,570 | |
Total Purchased Options (Premiums paid $272,429) | 524,095 |
Par | |||
U.S. TREASURY OBLIGATIONS — 28.5% | |||
U.S. Treasury Bills | |||
1.82%, 01/03/19Ω | $14,450,000 | 14,449,104 | |
2.23%, 01/10/19Ω | 7,000,000 | 6,996,500 | |
2.27%, 01/17/19Ω | 11,000,000 | 10,989,550 | |
2.29%, 01/24/19Ω | 2,000,000 | 1,997,216 | |
2.33%, 02/14/19Ω | 5,000,000 | 4,985,725 | |
2.36%, 02/19/19Ω | 7,000,000 | 6,977,890 | |
2.37%, 03/07/19Ω | 750,000 | 746,832 | |
2.36%, 07/18/19Ω | 15,474,000 | 15,264,954 | |
62,407,771 | |||
U.S. Treasury Notes | |||
0.75%, 02/15/19 | 16,900,000 | 16,867,417 | |
1.25%, 04/30/19 | 16,200,000 | 16,136,399 |
Par | Value | |||
1.00%, 10/15/19 | $15,200,000 | $15,009,407 | ||
48,013,223 | ||||
Total U.S. Treasury Obligations (Cost $110,434,651) | 110,420,994 |
Shares | |||
COMMON STOCKS — 14.4% | |||
Communication Services — 3.2% | |||
Alphabet, Inc. Class A‡‡ * | 1,540 | 1,609,238 | |
Altice USA, Inc. Class A | 37,807 | 624,572 | |
CBS Corporation Class B (Non-Voting Shares)‡‡ | 25,873 | 1,131,168 | |
Pandora Media, Inc.* | 29,482 | 238,509 | |
Take-Two Interactive Software, Inc.* | 4,996 | 514,288 | |
T-Mobile US, Inc.* | 15,914 | 1,012,290 | |
Tribune Media Co. Class A | 47,345 | 2,148,516 | |
Twenty-First Century Fox, Inc. Class A‡‡ | 95,901 | 4,614,756 | |
Walt Disney Co. (The) | 5,849 | 641,343 | |
12,534,680 | |||
Consumer Discretionary — 1.0% | |||
Amazon.com, Inc.* | 379 | 569,247 | |
Darden Restaurants, Inc. | 5,143 | 513,580 | |
Home Depot, Inc. (The)‡‡ | 4,958 | 851,883 | |
Nutrisystem, Inc. | 37,235 | 1,633,872 | |
Tiffany & Co. | 5,744 | 462,449 | |
4,031,031 | |||
Consumer Staples — 1.1% | |||
Colgate-Palmolive Co. | 16,841 | 1,002,376 | |
Conagra Brands, Inc. | 24,975 | 533,466 | |
Mondelez International, Inc. Class A | 20,069 | 803,362 | |
PepsiCo, Inc.‡‡ | 7,752 | 856,441 | |
Walmart, Inc.‡‡ | 9,949 | 926,750 | |
4,122,395 | |||
Energy — 0.3% | |||
Marathon Petroleum Corporation | 18,499 | 1,091,626 | |
Financials — 1.4% | |||
Aspen Insurance Holdings, Ltd. | 47,316 | 1,986,799 | |
Bank of America Corporation | 21,043 | 518,500 | |
Beneficial Bancorp, Inc. | 14,534 | 207,691 | |
CM Seven Star Acquisition Corporation* | 39,791 | 401,889 | |
Constellation Alpha Capital Corporation* | 15,947 | 162,978 | |
Morgan Stanley | 19,562 | 775,633 | |
Navigators Group, Inc. (The) | 5,245 | 364,475 | |
State Bank Financial Corporation | 48,294 | 1,042,667 | |
5,460,632 | |||
Health Care — 1.2% | |||
athenahealth, Inc.‡‡ * | 14,826 | 1,955,994 | |
Civitas Solutions, Inc.* | 23,747 | 415,810 | |
CVS Health Corporation | 9,483 | 621,326 |
Table of Contents
Shares | Value | |||
Danaher Corporation | 7,891 | $813,720 | ||
Pacific Biosciences of California, Inc.* | 48,309 | 357,487 | ||
TESARO, Inc.* | 5,069 | 376,373 | ||
4,540,710 | ||||
Industrials — 1.7% | ||||
American Airlines Group, Inc. | 16,519 | 530,425 | ||
Boeing Co. (The) | 2,421 | 780,772 | ||
CSX Corporation | 7,325 | 455,102 | ||
Dun & Bradstreet Corporation (The)‡‡ | 19,412 | 2,770,869 | ||
Honeywell International, Inc.‡‡ | 7,406 | 978,481 | ||
Resideo Technologies, Inc.* | 11,842 | 243,353 | ||
Union Pacific Corporation | 1,781 | 246,188 | ||
Xylem, Inc. | 5,636 | 376,034 | ||
6,381,224 | ||||
Information Technology — 2.8% | ||||
Apple, Inc.‡‡ | 6,582 | 1,038,245 | ||
Apptio, Inc. Class A* | 16,905 | 641,714 | ||
Broadcom, Inc.‡‡ ‡ | 4,355 | 1,107,389 | ||
Cloudera, Inc.* | 24,510 | 271,081 | ||
Integrated Device Technology, Inc.* | 22,568 | 1,092,968 | ||
Microsoft Corporation‡‡ | 18,208 | 1,849,387 | ||
PayPal Holdings, Inc.* | 8,627 | 725,444 | ||
Red Hat, Inc.‡‡ * | 15,794 | 2,774,058 | ||
SendGrid, Inc.* | 23,983 | 1,035,346 | ||
TiVo Corporation | 15,894 | 149,563 | ||
10,685,195 | ||||
Materials — 1.1% | ||||
Alcoa Corporation* | 19,010 | 505,286 | ||
Bemis Co., Inc.‡‡ | 52,940 | 2,429,946 | ||
DowDuPont, Inc. | 17,467 | 934,135 | ||
Louisiana-Pacific Corporation | 22,837 | 507,438 | ||
4,376,805 | ||||
Real Estate — 0.1% | ||||
InfraREIT, Inc. | 25,260 | 530,965 | ||
Utilities — 0.5% | ||||
Vectren Corporation‡‡ | 26,206 | 1,886,308 | ||
Total Common Stocks (Cost $57,854,860) | 55,641,571 | |||
FOREIGN COMMON STOCKS — 2.2% | ||||
Canada — 0.2% | ||||
MEG Energy Corporation* | 81,250 | 458,861 | ||
Nevsun Resources, Ltd.* | 119,162 | 522,840 | ||
981,701 | ||||
Israel — 0.3% | ||||
Orbotech, Ltd.* | 19,804 | 1,119,718 | ||
Jersey — 0.8% | ||||
Randgold Resources, Ltd. ADR††† | 12,734 | 1,055,521 | ||
Shire PLC ADR‡‡ | 10,727 | 1,866,927 | ||
2,922,448 | ||||
Netherlands — 0.1% | ||||
NXP Semiconductor NV‡‡ | 7,530 | 551,799 |
Shares | Value | |||
United Kingdom — 0.8% | ||||
ARRIS International PLC* | 95,711 | $2,925,885 | ||
Total Foreign Common Stocks (Cost $8,935,388) | 8,501,551 | |||
MONEY MARKET FUNDS — 19.8% | ||||
GuideStone Money Market Fund, 2.22% (Institutional Class)Ø ∞ | 10,993,578 | 10,993,578 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.21%Ø | 65,439,069 | 65,439,069 | ||
Total Money Market Funds (Cost $76,432,647) | 76,432,647 | |||
TOTAL INVESTMENTS — 95.2% (Cost $374,012,381) | 368,555,311 | |||
COMMON STOCKS SOLD SHORT — (2.3)% | ||||
Communication Services — (0.7)% | ||||
AT&T, Inc. | (37,590) | (1,072,819) | ||
Netflix, Inc. * | (746) | (199,674) | ||
Sirius XM Holdings, Inc. | (43,600) | (248,956) | ||
Walt Disney Co. (The) | (9,725) | (1,066,346) | ||
(2,587,795) | ||||
Consumer Discretionary — (0.2)% | ||||
Gap, Inc. (The) | (10,609) | (273,288) | ||
Starbucks Corporation | (10,013) | (644,837) | ||
(918,125) | ||||
Financials — (0.3)% | ||||
Cadence BanCorp | (56,050) | (940,519) | ||
WSFS Financial Corporation | (4,379) | (166,008) | ||
(1,106,527) | ||||
Health Care — (0.0)% | ||||
Tivity Health, Inc. * | (7,972) | (197,785) | ||
Industrials — (0.6)% | ||||
3M Co. | (2,217) | (422,427) | ||
Cummins, Inc. | (3,331) | (445,155) | ||
Illinois ToolWorks, Inc. | (3,830) | (485,223) | ||
Rockwell Automation, Inc. | (2,144) | (322,629) | ||
Stanley Black & Decker, Inc. | (1,682) | (201,403) | ||
United Parcel Service, Inc. Class B | (4,266) | (416,063) | ||
(2,292,900) | ||||
Information Technology — (0.4)% | ||||
KLA-Tencor Corporation | (4,950) | (442,976) | ||
Twilio, Inc. Class A * | (11,630) | (1,038,559) | ||
(1,481,535) | ||||
Materials — (0.1)% | ||||
Nucor Corporation | (5,525) | (286,250) | ||
Total Common Stocks Sold Short (Proceeds $(10,104,555)) | (8,870,917) | |||
FOREIGN COMMON STOCKS SOLD SHORT — (1.6)% | ||||
Australia — (0.6)% | ||||
Amcor, Ltd. | (251,846) | (2,350,388) | ||
Canada — (0.6)% | ||||
Barrick Gold Corporation | (78,034) | (1,056,580) |
Table of Contents
Shares | Value | |||
Enbridge, Inc. | (27,497) | $(854,607) | ||
Husky Energy, Inc. | (27,880) | (288,153) | ||
(2,199,340) | ||||
Ireland — (0.1)% | ||||
Johnson Controls International PLC | (11,072) | (328,285) | ||
Japan — (0.3)% | ||||
Takeda Pharmaceutical Co., Ltd. | (36,733) | (1,241,693) | ||
Total Foreign Common Stocks Sold Short (Proceeds $(6,828,554)) | (6,119,706) | |||
MUTUAL FUNDS SOLD SHORT — (0.6)% | ||||
Consumer Staples Select SPDR Fund (Proceeds $(2,679,780)) | (48,503) | (2,462,982) |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.2)% | ||||
Call Options — (0.0)% | ||||
Broadcom, Inc., Strike Price $240.00, Expires 01/18/19 (Jefferies) | (23) | $(584,844) | (41,860) | |
Broadcom, Inc., Strike Price $250.00, Expires 01/18/19 (JPM) | (20) | (508,560) | (22,300) | |
Endocyte, Inc., Strike Price $24.00, Expires 04/18/19 (Cowen) | (226) | (542,174) | (1,130) | |
S&P 500®, Strike Price $2,655.00, Expires 03/15/19 (JPM) | (26) | (6,517,810) | (79,170) | |
(144,460) | ||||
Put Options — (0.2)% | ||||
S&P 500®, Strike Price $2,210.00, Expires 01/22/19 (MSCS) | (28) | (7,019,180) | (13,300) | |
S&P 500®, Strike Price $2,230.00, Expires 01/23/19 (MSCS) | (29) | (7,269,865) | (17,545) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $2,280.00, Expires 01/18/19 (MSCS) | (26) | $(6,517,810) | $(19,240) | ||
S&P 500®, Strike Price $2,325.00, Expires 01/25/19 (MSCS) | (29) | (7,269,865) | (43,355) | ||
S&P 500®, Strike Price $2,360.00, Expires 01/28/19 (MSCS) | (26) | (6,517,810) | (53,430) | ||
S&P 500®, Strike Price $2,390.00, Expires 01/16/19 (MSCS) | (27) | (6,768,495) | (46,845) | ||
S&P 500®, Strike Price $2,470.00, Expires 01/14/19 (MSCS) | (25) | (6,267,125) | (81,125) | ||
S&P 500®, Strike Price $2,480.00, Expires 01/11/19 (MSCS) | (25) | (6,267,125) | (82,625) | ||
S&P 500®, Strike Price $2,495.00, Expires 01/07/19 (MSCS) | (24) | (6,016,440) | (66,360) | ||
S&P 500®, Strike Price $2,500.00, Expires 01/09/19 (MSCS) | (26) | (6,517,810) | (93,730) | ||
S&P 500®, Strike Price $2,515.00, Expires 01/04/19 (MSCS) | (25) | (6,267,125) | (81,625) | ||
S&P 500®, Strike Price $2,580.00, Expires 01/02/19 (MSCS) | (25) | (6,267,125) | (188,875) | ||
(788,055) | |||||
Total Written Options (Premiums received $ (1,031,498)) | (932,515) | ||||
Other Assets in Excess of Liabilities — 9.5% | 36,887,188 | ||||
NET ASSETS — 100.0% | $387,056,379 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 03/2019 | 41 | $6,225,227 | $18,042 | ||||
Euro-BTP | 03/2019 | (7) | (1,025,148) | (27,283) | ||||
Euro-Bund | 03/2019 | 15 | 2,810,639 | 3,615 | ||||
Euro-OAT | 03/2019 | (12) | (2,073,349) | 5,225 | ||||
10-Year U.S. Treasury Note | 03/2019 | (1) | (122,016) | (299) | ||||
Ultra 10-Year U.S. Treasury Note | 03/2019 | (10) | (1,300,781) | (41,297) | ||||
U.S. Treasury Long Bond | 03/2019 | (22) | (3,212,000) | (60,245) | ||||
2-Year U.S. Treasury Note | 03/2019 | 20 | 4,246,250 | 29,529 | ||||
5-Year U.S. Treasury Note | 03/2019 | (316) | (36,241,250) | (421,083) | ||||
Ultra Long U.S. Treasury Bond | 03/2019 | 21 | 3,373,781 | 74,171 | ||||
3-Month Euro Euribor | 12/2019 | (118) | (33,884,126) | $ (18,437) |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Total Futures Contracts outstanding at December 31, 2018 | $(61,202,773) | $(438,062) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/17/19 | New Zealand Dollars | 54,567,205 | U.S. Dollars | 35,257,667 | GSC | $1,379,593 | ||||||
01/17/19 | U.S. Dollars | 20,414,415 | Canadian Dollars | 26,457,356 | SS | 1,025,398 | ||||||
01/17/19 | Swedish Kronor | 418,080,854 | U.S. Dollars | 46,432,954 | SS | 808,102 | ||||||
01/17/19 | Japanese Yen | 2,910,434,029 | U.S. Dollars | 25,858,357 | GSC | 732,592 | ||||||
01/17/19 | U.S. Dollars | 20,398,664 | British Pounds | 15,503,099 | GSC | 620,666 | ||||||
01/17/19 | U.S. Dollars | 11,194,901 | Canadian Dollars | 14,489,672 | JPM | 576,285 | ||||||
01/17/19 | U.S. Dollars | 13,261,010 | Canadian Dollars | 17,325,890 | CITI | 563,900 | ||||||
01/17/19 | U.S. Dollars | 10,196,170 | Norwegian Kroner | 83,586,921 | SS | 520,967 | ||||||
01/17/19 | U.S. Dollars | 15,427,566 | Norwegian Kroner | 128,860,824 | CITI | 511,898 | ||||||
01/17/19 | Japanese Yen | 2,162,408,176 | U.S. Dollars | 19,302,874 | CITI | 453,794 | ||||||
01/17/19 | U.S. Dollars | 7,496,169 | Norwegian Kroner | 61,742,192 | JPM | 349,497 | ||||||
01/17/19 | U.S. Dollars | 6,593,944 | Norwegian Kroner | 54,009,083 | SC | 342,381 | ||||||
01/17/19 | U.S. Dollars | 32,804,468 | Euro | 28,313,275 | SS | 315,436 | ||||||
01/17/19 | U.S. Dollars | 33,688,492 | Euro | 29,094,910 | GSC | 302,547 | ||||||
01/17/19 | U.S. Dollars | 7,895,691 | British Pounds | 5,975,156 | SS | 272,917 | ||||||
01/17/19 | U.S. Dollars | 6,785,243 | Canadian Dollars | 8,886,527 | GSC | 272,838 | ||||||
01/17/19 | U.S. Dollars | 19,204,064 | Australian Dollars | 26,900,999 | CITI | 249,332 | ||||||
01/17/19 | U.S. Dollars | 7,115,910 | British Pounds | 5,382,673 | SC | 248,993 | ||||||
01/17/19 | Japanese Yen | 985,494,860 | U.S. Dollars | 8,779,894 | SC | 224,001 | ||||||
01/17/19 | Japanese Yen | 1,266,119,259 | U.S. Dollars | 11,360,777 | SS | 207,019 | ||||||
01/17/19 | U.S. Dollars | 9,348,573 | British Pounds | 7,165,888 | CITI | 206,728 | ||||||
01/17/19 | U.S. Dollars | 7,033,623 | Norwegian Kroner | 59,297,405 | GSC | 169,938 | ||||||
01/17/19 | Swiss Francs | 21,285,777 | U.S. Dollars | 21,524,183 | GSC | 167,474 | ||||||
01/17/19 | U.S. Dollars | 3,701,294 | Canadian Dollars | 4,838,352 | RBC | 155,554 | ||||||
01/17/19 | U.S. Dollars | 2,487,076 | Canadian Dollars | 3,214,519 | SC | 131,347 | ||||||
01/17/19 | U.S. Dollars | 4,108,000 | Australian Dollars | 5,646,151 | GSC | 129,662 | ||||||
01/17/19 | U.S. Dollars | 2,063,977 | Norwegian Kroner | 16,756,302 | RBC | 124,432 | ||||||
01/17/19 | Swedish Kronor | 58,956,061 | U.S. Dollars | 6,547,287 | SC | 114,455 | ||||||
01/17/19 | Swedish Kronor | 50,950,438 | U.S. Dollars | 5,643,015 | GSC | 114,130 | ||||||
01/17/19 | Swedish Kronor | 66,821,082 | U.S. Dollars | 7,443,479 | RBC | 106,971 | ||||||
01/17/19 | U.S. Dollars | 17,065,538 | Australian Dollars | 24,078,190 | JPM | 99,787 | ||||||
01/17/19 | Euro | 15,138,520 | U.S. Dollars | 17,276,193 | GSC | 95,017 | ||||||
03/20/19 | U.S. Dollars | 2,908,866 | Canadian Dollars | 3,861,937 | MSCS | 74,800 | ||||||
01/17/19 | Swiss Francs | 9,694,513 | U.S. Dollars | 9,804,810 | CITI | 74,560 | ||||||
01/17/19 | Turkish Lira | 6,463,766 | U.S. Dollars | 1,135,482 | GSC | 73,388 | ||||||
01/07/19 | U.S. Dollars | 3,324,000 | Chinese Offshore Yuan | 22,361,545 | MSCS | 68,322 | ||||||
01/17/19 | Swedish Kronor | 44,791,181 | U.S. Dollars | 4,994,656 | CITI | 66,525 | ||||||
02/21/19 | U.S. Dollars | 1,233,721 | Russian Rubles | 82,235,051 | MSCS | 61,956 | ||||||
01/17/19 | U.S. Dollars | 1,642,866 | New Zealand Dollars | 2,356,242 | CITI | 60,849 | ||||||
01/17/19 | U.S. Dollars | 4,367,508 | Euro | 3,756,533 | RBC | 56,946 | ||||||
01/17/19 | U.S. Dollars | 6,323,863 | Australian Dollars | 8,897,411 | RBC | 54,652 | ||||||
01/17/19 | U.S. Dollars | 9,874,704 | Euro | 8,558,635 | CITI | 53,808 | ||||||
01/09/19 | U.S. Dollars | 1,672,000 | Chinese Offshore Yuan | 11,144,716 | MSCS | 49,422 | ||||||
01/17/19 | U.S. Dollars | 5,180,507 | Australian Dollars | 7,284,679 | SC | 47,644 | ||||||
01/17/19 | New Zealand Dollars | 3,564,923 | U.S. Dollars | 2,346,095 | CITI | 47,449 | ||||||
03/20/19 | U.S. Dollars | 1,242,439 | Australian Dollars | 1,697,982 | MSCS | 44,841 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/20/19 | Japanese Yen | 155,840,579 | U.S. Dollars | 1,390,171 | MSCS | $40,884 | ||||||
01/17/19 | Swedish Kronor | 15,667,985 | U.S. Dollars | 1,734,527 | JPM | 35,877 | ||||||
01/17/19 | U.S. Dollars | 1,524,797 | Mexican Pesos | 29,346,247 | CITI | 35,748 | ||||||
01/17/19 | U.S. Dollars | 2,517,304 | New Zealand Dollars | 3,697,912 | GSC | 34,469 | ||||||
01/17/19 | Euro | 9,684,179 | U.S. Dollars | 11,079,983 | CITI | 32,458 | ||||||
03/20/19 | U.S. Dollars | 2,370,745 | New Zealand Dollars | 3,479,993 | MSCS | 31,697 | ||||||
01/17/19 | Japanese Yen | 90,384,431 | U.S. Dollars | 798,309 | RBC | 27,481 | ||||||
01/15/19 | Indian Rupees | 126,905,341 | U.S. Dollars | 1,792,296 | MSCS | 26,419 | ||||||
01/17/19 | U.S. Dollars | 1,194,943 | Norwegian Kroner | 10,106,472 | CITI | 25,117 | ||||||
01/15/19 | U.S. Dollars | 1,296,522 | South African Rand | 18,372,768 | MSCS | 21,966 | ||||||
01/14/19 | Indonesian Rupiahs | 19,368,526,017 | U.S. Dollars | 1,322,244 | MSCS | 21,098 | ||||||
03/20/19 | Euro | 3,097,129 | U.S. Dollars | 3,555,685 | MSCS | 16,719 | ||||||
01/17/19 | Euro | 3,895,265 | U.S. Dollars | 4,453,990 | RBC | 15,764 | ||||||
03/20/19 | Swedish Kronor | 11,437,800 | Euro | 1,113,543 | MSCS | 14,378 | ||||||
03/20/19 | Mexican Pesos | 15,550,161 | U.S. Dollars | 767,545 | MSCS | 13,978 | ||||||
01/09/19 | Chinese Offshore Yuan | 11,144,716 | U.S. Dollars | 1,612,334 | MSCS | 10,244 | ||||||
01/14/19 | Argentine Pesos | 19,655,772 | U.S. Dollars | 501,986 | MSCS | 9,421 | ||||||
02/07/19 | Swedish Kronor | 3,592,827 | U.S. Dollars | 398,144 | MSCS | 8,524 | ||||||
01/17/19 | U.S. Dollars | 895,436 | Australian Dollars | 1,259,271 | SS | 8,140 | ||||||
03/20/19 | Czech Republic Koruna | 25,869,998 | Euro | 993,814 | MSCS | 8,081 | ||||||
01/17/19 | British Pounds | 874,392 | U.S. Dollars | 1,107,855 | CITI | 7,646 | ||||||
03/20/19 | Euro | 419,491 | Norwegian Kroner | 4,105,439 | MSCS | 7,384 | ||||||
01/24/19 | U.S. Dollars | 237,378 | Canadian Dollars | 313,779 | MSCS | 7,383 | ||||||
01/17/19 | New Zealand Dollars | 990,168 | U.S. Dollars | 658,128 | SS | 6,686 | ||||||
01/17/19 | Norwegian Kroner | 9,025,263 | U.S. Dollars | 1,038,126 | GSC | 6,550 | ||||||
01/17/19 | Swiss Francs | 3,545,017 | U.S. Dollars | 3,606,435 | SC | 6,179 | ||||||
03/20/19 | Euro | 305,060 | Canadian Dollars | 471,095 | MSCS | 6,163 | ||||||
01/07/19 | Chinese Offshore Yuan | 22,227,588 | U.S. Dollars | 3,230,050 | MSCS | 6,125 | ||||||
01/17/19 | Norwegian Kroner | 30,286,300 | U.S. Dollars | 3,499,936 | SS | 5,710 | ||||||
03/20/19 | Japanese Yen | 57,889,200 | Euro | 456,000 | MSCS | 5,609 | ||||||
01/17/19 | British Pounds | 485,175 | U.S. Dollars | 613,965 | RBC | 4,995 | ||||||
03/20/19 | Chinese Offshore Yuan | 4,600,967 | U.S. Dollars | 665,292 | MSCS | 4,452 | ||||||
01/07/19 | Malaysian Ringgit | 1,658,208 | U.S. Dollars | 396,995 | MSCS | 4,372 | ||||||
02/04/19 | Brazilian Reals | 2,755,474 | U.S. Dollars | 705,566 | MSCS | 3,779 | ||||||
03/20/19 | Turkish Lira | 1,015,312 | U.S. Dollars | 180,554 | MSCS | 3,394 | ||||||
01/04/19 | Philippine Pesos | 18,919,808 | U.S. Dollars | 356,778 | MSCS | 3,072 | ||||||
01/15/19 | South African Rand | 3,429,585 | U.S. Dollars | 234,900 | MSCS | 3,017 | ||||||
01/17/19 | Australian Dollars | 7,498,057 | U.S. Dollars | 5,280,567 | SS | 2,645 | ||||||
03/20/19 | Norwegian Kroner | 8,182,127 | Euro | 821,017 | MSCS | 2,617 | ||||||
01/15/19 | Japanese Yen | 12,895,538 | U.S. Dollars | 115,214 | MSCS | 2,586 | ||||||
03/20/19 | Norwegian Kroner | 1,511,618 | U.S. Dollars | 172,970 | MSCS | 2,469 | ||||||
01/07/19 | U.S. Dollars | 457,020 | Taiwan Dollar | 13,952,815 | MSCS | 2,202 | ||||||
03/20/19 | Polish Zloty | 2,203,822 | Euro | 509,672 | MSCS | 2,111 | ||||||
03/20/19 | British Pounds | 198,261 | Euro | 218,118 | MSCS | 2,092 | ||||||
01/10/19 | Malaysian Ringgit | 722,691 | U.S. Dollars | 173,084 | MSCS | 1,862 | ||||||
03/20/19 | Hungarian Forint | 39,548,143 | U.S. Dollars | 140,108 | MSCS | 1,817 | ||||||
03/20/19 | Polish Zloty | 652,686 | U.S. Dollars | 173,018 | MSCS | 1,716 | ||||||
01/28/19 | South Korean Won | 327,054,541 | U.S. Dollars | 292,343 | MSCS | 1,518 | ||||||
01/03/19 | U.S. Dollars | 172,984 | Brazilian Reals | 665,197 | MSCS | 1,384 | ||||||
01/03/19 | Brazilian Reals | 675,315 | U.S. Dollars | 172,905 | MSCS | 1,305 | ||||||
01/17/19 | British Pounds | 999,499 | U.S. Dollars | 1,273,883 | SS | 1,222 | ||||||
01/17/19 | Euro | 1,082,593 | U.S. Dollars | 1,241,128 | SS | 1,130 | ||||||
02/04/19 | U.S. Dollars | 277,085 | Brazilian Reals | 1,072,573 | MSCS | 970 | ||||||
03/20/19 | British Pounds | 436,781 | U.S. Dollars | 557,906 | MSCS | 970 | ||||||
01/07/19 | Indian Rupees | 7,462,685 | U.S. Dollars | 105,966 | MSCS | 953 | ||||||
01/28/19 | U.S. Dollars | 124,457 | Colombian Pesos | 401,708,794 | MSCS | 945 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/20/19 | Swiss Francs | 1,567,974 | Euro | 1,392,777 | MSCS | $791 | ||||||
03/20/19 | Singapore Dollars | 300,541 | U.S. Dollars | 220,152 | MSCS | 759 | ||||||
03/20/19 | Canadian Dollars | 95,246 | Australian Dollars | 98,031 | MSCS | 754 | ||||||
01/17/19 | U.S. Dollars | 1,210,354 | Turkish Lira | 6,467,771 | GSC | 736 | ||||||
03/20/19 | Hungarian Forint | 50,689,368 | Euro | 157,073 | MSCS | 729 | ||||||
03/20/19 | U.S. Dollars | 69,040 | South African Rand | 992,758 | MSCS | 694 | ||||||
01/17/19 | Swiss Francs | 281,945 | U.S. Dollars | 286,640 | RBC | 681 | ||||||
01/17/19 | U.S. Dollars | 117,869 | British Pounds | 92,088 | MSCS | 389 | ||||||
03/20/19 | U.S. Dollars | 177,927 | Chinese Offshore Yuan | 1,219,831 | MSCS | 361 | ||||||
03/20/19 | Euro | 152,066 | Swedish Kronor | 1,542,668 | MSCS | 226 | ||||||
01/28/19 | U.S. Dollars | 178,052 | South Korean Won | 197,961,964 | MSCS | 182 | ||||||
03/20/19 | U.S. Dollars | 175,283 | Euro | 151,918 | MSCS | 52 | ||||||
01/14/19 | U.S. Dollars | 177,007 | Indonesian Rupiahs | 2,551,819,974 | MSCS | 20 | ||||||
Subtotal Appreciation | $12,998,680 | |||||||||||
03/20/2019 | Singapore Dollars | 160,191 | U.S. Dollars | 117,807 | MSCS | $(59) | ||||||
03/20/2019 | Polish Zloty | 676,235 | Euro | 157,030 | MSCS | (89) | ||||||
01/07/2019 | U.S. Dollars | 76,453 | Taiwan Dollars | 2,351,073 | MSCS | (185) | ||||||
02/08/2019 | Euro | 353,225 | U.S. Dollars | 406,273 | MSCS | (199) | ||||||
01/18/2019 | U.S. Dollars | 57,613 | Taiwan Dollars | 1,769,018 | MSCS | (225) | ||||||
03/20/2019 | Euro | 152,087 | Hungarian Forint | 48,956,601 | MSCS | (263) | ||||||
03/20/2019 | U.S. Dollars | 207,921 | Turkish Lira | 1,149,159 | MSCS | (277) | ||||||
01/07/2019 | U.S. Dollars | 106,625 | Indian Rupees | 7,462,685 | MSCS | (294) | ||||||
03/20/2019 | Euro | 152,087 | Czech Republic Koruna | 3,940,290 | MSCS | (403) | ||||||
03/20/2019 | Euro | 292,853 | Romanian Leu | 1,375,972 | MSCS | (414) | ||||||
03/20/2019 | Australian Dollars | 247,103 | New Zealand Dollars | 259,912 | MSCS | (415) | ||||||
01/28/2019 | South Korean Won | 117,420,330 | U.S. Dollars | 105,966 | MSCS | (463) | ||||||
01/17/2019 | U.S. Dollars | 893,394 | Canadian Dollars | 1,219,778 | SS | (508) | ||||||
03/20/2019 | Euro | 153,083 | British Pounds | 138,447 | MSCS | (573) | ||||||
03/20/2019 | Euro | 157,033 | Polish Zloty | 678,743 | MSCS | (579) | ||||||
03/20/2019 | U.S. Dollars | 76,346 | Singapore Dollars | 104,654 | MSCS | (580) | ||||||
01/14/2019 | Indonesian Rupiahs | 2,148,563,514 | U.S. Dollars | 149,621 | MSCS | (604) | ||||||
03/20/2019 | U.S. Dollars | 249,652 | Swedish Kronor | 2,207,156 | MSCS | (978) | ||||||
03/20/2019 | Australian Dollars | 97,968 | Japanese Yen | 7,639,969 | MSCS | (1,059) | ||||||
03/20/2019 | Turkish Lira | 964,504 | U.S. Dollars | 175,957 | MSCS | (1,213) | ||||||
03/20/2019 | Norwegian Kroner | 602,018 | U.S. Dollars | 71,104 | MSCS | (1,234) | ||||||
02/04/2019 | U.S. Dollars | 869,888 | Philippine Pesos | 45,773,511 | MSCS | (1,270) | ||||||
01/18/2019 | Taiwan Dollars | 13,952,815 | U.S. Dollars | 457,619 | MSCS | (1,426) | ||||||
01/16/2019 | U.S. Dollars | 62,475 | New Zealand Dollars | 95,249 | MSCS | (1,475) | ||||||
03/20/2019 | British Pounds | 746,529 | U.S. Dollars | 956,751 | MSCS | (1,540) | ||||||
03/20/2019 | British Pounds | 139,547 | Euro | 156,137 | MSCS | (1,541) | ||||||
01/07/2019 | Taiwan Dollars | 16,303,888 | U.S. Dollars | 533,051 | MSCS | (1,596) | ||||||
03/20/2019 | New Zealand Dollars | 258,226 | Euro | 151,976 | MSCS | (1,733) | ||||||
01/15/2019 | U.S. Dollars | 439,081 | South African Rand | 6,356,000 | MSCS | (1,848) | ||||||
03/20/2019 | Euro | 164,903 | Swedish Kronor | 1,693,116 | MSCS | (2,050) | ||||||
01/03/2019 | Brazilian Reals | 3,007,892 | U.S. Dollars | 778,037 | MSCS | (2,097) | ||||||
03/20/2019 | U.S. Dollars | 349,247 | British Pounds | 275,117 | MSCS | (2,776) | ||||||
03/20/2019 | Canadian Dollars | 95,325 | Japanese Yen | 7,949,247 | MSCS | (3,043) | ||||||
03/20/2019 | Euro | 466,780 | Swiss Francs | 528,265 | MSCS | (3,103) | ||||||
02/08/2019 | U.S. Dollars | 692,769 | Euro | 605,657 | MSCS | (3,505) | ||||||
03/20/2019 | South African Rand | 1,974,315 | U.S. Dollars | 140,103 | MSCS | (4,181) | ||||||
01/17/2019 | U.S. Dollars | 2,160,161 | Euro | 1,886,201 | GSC | (4,225) | ||||||
01/03/2019 | U.S. Dollars | 773,747 | Brazilian Reals | 3,018,010 | MSCS | (4,803) | ||||||
01/28/2019 | U.S. Dollars | 530,563 | South Korean Won | 596,144,567 | MSCS | (5,076) | ||||||
01/17/2019 | Euro | 591,051 | U.S. Dollars | 684,644 | GSC | (6,422) | ||||||
01/04/2019 | U.S. Dollars | 1,223,923 | Philippine Pesos | 64,693,319 | MSCS | (6,526) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/14/2019 | U.S. Dollars | 834,510 | Indonesian Rupiahs | 12,130,122,422 | MSCS | $(6,798) | ||||||
01/17/2019 | British Pounds | 196,840 | U.S. Dollars | 258,755 | MSCS | (7,637) | ||||||
01/17/2019 | U.S. Dollars | 5,116,741 | Swiss Francs | 5,029,603 | SC | (8,767) | ||||||
03/20/2019 | U.S. Dollars | 691,287 | Mexican Pesos | 13,929,827 | MSCS | (8,801) | ||||||
02/07/2019 | U.S. Dollars | 595,908 | Swedish Kronor | 5,343,000 | MSCS | (8,860) | ||||||
01/17/2019 | Swiss Francs | 2,002,683 | U.S. Dollars | 2,050,133 | RBC | (9,263) | ||||||
01/17/2019 | U.S. Dollars | 1,090,337 | British Pounds | 862,581 | CITI | (10,096) | ||||||
01/28/2019 | Colombian Pesos | 1,588,547,804 | U.S. Dollars | 499,034 | MSCS | (10,610) | ||||||
01/17/2019 | U.S. Dollars | 1,191,709 | South Korean Won | 1,339,838,803 | GSC | (10,939) | ||||||
03/20/2019 | Australian Dollars | 481,438 | Euro | 304,023 | MSCS | (11,116) | ||||||
01/17/2019 | U.S. Dollars | 2,359,251 | British Pounds | 1,859,537 | GSC | (13,044) | ||||||
01/17/2019 | Australian Dollars | 737,616 | U.S. Dollars | 533,054 | RBC | (13,322) | ||||||
01/17/2019 | U.S. Dollars | 6,463,055 | Swiss Francs | 6,356,221 | JPM | (14,367) | ||||||
01/17/2019 | U.S. Dollars | 5,376,768 | Euro | 4,700,652 | SS | (17,155) | ||||||
03/20/2019 | U.S. Dollars | 2,572,643 | Euro | 2,245,649 | MSCS | (17,616) | ||||||
03/20/2019 | New Zealand Dollars | 1,301,975 | U.S. Dollars | 895,062 | MSCS | (19,952) | ||||||
01/17/2019 | New Zealand Dollars | 2,110,748 | U.S. Dollars | 1,437,780 | SS | (20,592) | ||||||
01/17/2019 | New Zealand Dollars | 1,981,870 | U.S. Dollars | 1,351,308 | GSC | (20,650) | ||||||
01/17/2019 | U.S. Dollars | 6,804,048 | Euro | 5,948,528 | CITI | (21,794) | ||||||
01/17/2019 | U.S. Dollars | 2,822,163 | Euro | 2,478,858 | RBC | (22,287) | ||||||
01/17/2019 | Canadian Dollars | 1,051,047 | U.S. Dollars | 794,996 | RBC | (24,747) | ||||||
01/17/2019 | Mexican Pesos | 29,346,247 | U.S. Dollars | 1,519,901 | GSC | (30,851) | ||||||
01/17/2019 | U.S. Dollars | 9,862,895 | Swiss Francs | 9,709,688 | SS | (31,938) | ||||||
03/20/2019 | U.S. Dollars | 2,489,706 | Chinese Offshore Yuan | 17,336,367 | MSCS | (33,880) | ||||||
03/20/2019 | Norwegian Kroner | 18,594,774 | Euro | 1,903,615 | MSCS | (37,614) | ||||||
03/20/2019 | U.S. Dollars | 1,610,540 | Japanese Yen | 179,647,327 | MSCS | (39,127) | ||||||
01/17/2019 | Brazilian Reals | 4,497,010 | U.S. Dollars | 1,198,244 | GSC | (39,135) | ||||||
03/20/2019 | Canadian Dollars | 1,423,858 | Euro | 939,835 | MSCS | (39,168) | ||||||
03/20/2019 | Canadian Dollars | 2,697,756 | U.S. Dollars | 2,019,675 | MSCS | (39,940) | ||||||
01/17/2019 | U.S. Dollars | 1,989,641 | Swedish Kronor | 17,972,430 | JPM | (41,154) | ||||||
01/17/2019 | U.S. Dollars | 6,080,731 | Swiss Francs | 6,009,394 | CITI | (43,252) | ||||||
01/17/2019 | Norwegian Kroner | 16,262,359 | U.S. Dollars | 1,929,014 | CITI | (46,642) | ||||||
01/17/2019 | U.S. Dollars | 1,851,116 | Japanese Yen | 207,777,573 | SC | (47,227) | ||||||
01/17/2019 | Australian Dollars | 3,640,843 | U.S. Dollars | 2,614,982 | SS | (49,604) | ||||||
01/17/2019 | Euro | 4,601,655 | U.S. Dollars | 5,331,593 | SS | (51,267) | ||||||
02/21/2019 | Russian Rubles | 97,686,394 | U.S. Dollars | 1,453,565 | MSCS | (61,635) | ||||||
03/20/2019 | Australian Dollars | 2,864,328 | U.S. Dollars | 2,094,705 | MSCS | (74,476) | ||||||
01/17/2019 | Euro | 6,538,395 | U.S. Dollars | 7,579,347 | SC | (76,643) | ||||||
01/15/2019 | U.S. Dollars | 1,824,026 | Indian Rupees | 132,722,910 | MSCS | (78,062) | ||||||
01/17/2019 | U.S. Dollars | 4,481,664 | New Zealand Dollars | 6,820,420 | GSC | (97,671) | ||||||
01/17/2019 | Norwegian Kroner | 17,534,230 | U.S. Dollars | 2,128,845 | JPM | (99,254) | ||||||
01/17/2019 | U.S. Dollars | 3,853,801 | Japanese Yen | 432,957,152 | JPM | (101,878) | ||||||
01/17/2019 | Canadian Dollars | 2,951,396 | U.S. Dollars | 2,283,498 | SC | (120,596) | ||||||
01/17/2019 | Euro | 12,777,237 | U.S. Dollars | 14,782,552 | CITI | (120,876) | ||||||
01/17/2019 | British Pounds | 6,432,069 | U.S. Dollars | 8,349,968 | RBC | (144,290) | ||||||
01/17/2019 | U.S. Dollars | 23,811,778 | Swiss Francs | 23,519,935 | GSC | (156,639) | ||||||
01/17/2019 | Norwegian Kroner | 35,193,942 | U.S. Dollars | 4,233,773 | SS | (160,066) | ||||||
01/17/2019 | Canadian Dollars | 4,054,835 | U.S. Dollars | 3,132,816 | JPM | (161,269) | ||||||
01/17/2019 | U.S. Dollars | 8,397,452 | Japanese Yen | 937,682,095 | RBC | (169,605) | ||||||
01/17/2019 | British Pounds | 9,010,653 | U.S. Dollars | 11,679,488 | CITI | (184,194) | ||||||
01/17/2019 | British Pounds | 7,582,254 | U.S. Dollars | 9,888,316 | GSC | (215,296) | ||||||
01/17/2019 | Australian Dollars | 12,533,511 | U.S. Dollars | 9,047,157 | CITI | (215,912) | ||||||
01/17/2019 | New Zealand Dollars | 19,062,225 | U.S. Dollars | 13,034,821 | CITI | (236,150) | ||||||
01/17/2019 | Euro | 29,716,516 | U.S. Dollars | 34,364,180 | JPM | (264,950) | ||||||
01/17/2019 | Canadian Dollars | 9,439,903 | U.S. Dollars | 7,183,220 | CITI | (265,278) | ||||||
01/17/2019 | U.S. Dollars | 9,485,141 | New Zealand Dollars | 14,541,162 | CITI | (278,018) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/17/2019 | U.S. Dollars | 9,131,599 | New Zealand Dollars | 14,029,870 | RBC | $(288,272) | ||||||
01/17/2019 | Norwegian Kroner | 56,025,949 | U.S. Dollars | 6,798,712 | RBC | (313,697) | ||||||
01/17/2019 | U.S. Dollars | 11,649,572 | Japanese Yen | 1,309,795,025 | CITI | (317,265) | ||||||
01/17/2019 | U.S. Dollars | 18,676,848 | Swedish Kronor | 168,142,320 | CITI | (322,399) | ||||||
01/17/2019 | U.S. Dollars | 15,026,170 | New Zealand Dollars | 22,927,380 | SS | (367,625) | ||||||
01/17/2019 | U.S. Dollars | 14,916,272 | Japanese Yen | 1,673,299,048 | GSC | (371,690) | ||||||
01/17/2019 | U.S. Dollars | 11,004,976 | New Zealand Dollars | 16,999,725 | SC | (408,901) | ||||||
01/17/2019 | U.S. Dollars | 17,564,132 | Japanese Yen | 1,970,025,540 | SS | (434,849) | ||||||
01/17/2019 | Australian Dollars | 69,938,455 | U.S. Dollars | 49,775,982 | GSC | (496,599) | ||||||
01/17/2019 | Norwegian Kroner | 129,691,127 | U.S. Dollars | 15,569,272 | CITI | (557,497) | ||||||
01/17/2019 | U.S. Dollars | 14,159,115 | New Zealand Dollars | 21,932,565 | JPM | (566,745) | ||||||
01/17/2019 | British Pounds | 14,367,748 | U.S. Dollars | 18,910,974 | JPM | (581,394) | ||||||
01/17/2019 | U.S. Dollars | 47,137,669 | Swedish Kronor | 425,557,313 | GSC | (948,188) | ||||||
01/17/2019 | Norwegian Kroner | 220,292,344 | U.S. Dollars | 26,679,513 | GSC | (1,180,629) | ||||||
01/17/2019 | Canadian Dollars | 53,813,092 | U.S. Dollars | 41,461,282 | GSC | (2,024,878) | ||||||
Subtotal Depreciation | $(13,403,448) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2018 | $(404,768) |
Reference Obligation | Payment Frequency | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Currency Swaps | ||||||||||||||||
Receive 3-Month LIBOR | Quarterly | USD | 540,000 | |||||||||||||
Pay Fixed 10.45% | Annually | 7/24/2028 | CITI | TRY | (2,604,150) | $11,028 | $ — | $11,028 | ||||||||
Receive 3-Month LIBOR | Quarterly | USD | 600,000 | |||||||||||||
Pay Fixed 11.15% | Annually | 8/10/2028 | DEUT | TRY | (3,159,000) | 4,566 | — | 4,566 | ||||||||
Receive 3-Month LIBOR | Quarterly | USD | 610,000 | |||||||||||||
Pay Fixed 11.41% | Annually | 8/14/2028 | CITI | TRY | (3,281,800) | 1,492 | — | 1,492 | ||||||||
$17,086 | $ — | $17,086 | ||||||||||||||
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day COP-IBR-OIS (Quarterly) | 4.75% (Quarterly) | 6/20/2020 | MSCS | COP | 10,392,325,000 | $15,210 | $9,788 | $5,422 | ||||||||
6-Month THB FIX Reuters (Semiannually) | 2.00% (Semiannually) | 12/19/2020 | CITI | THB | 64,530,000 | 9,784 | 5,393 | 4,391 | ||||||||
3-Month TELBOR (Quarterly) | 0.90% (Annually) | 3/20/2021 | CITI | ILS | 9,740,000 | 2,271 | — | 2,271 | ||||||||
3-Month TELBOR (Quarterly) | 0.93% (Annually) | 3/20/2021 | CITI | ILS | 7,680,000 | 2,728 | — | 2,728 | ||||||||
3-Month TELBOR (Quarterly) | 1.09% (Annually) | 3/20/2022 | BOA | ILS | 10,330,000 | 989 | — | 989 | ||||||||
Subtotal Appreciation | $30,982 | $15,181 | $15,801 | |||||||||||||
3.25% (Semiannually) | 6-Month CLP-TNA (Semiannually) | 9/20/2020 | CITI | CLP | 140,700,000 | $(361) | $1,064 | $(1,425) | ||||||||
Subtotal Depreciation | $(361) | $1,064 | $(1,425) | |||||||||||||
Net Interest Rate Swaps outstanding at December 31, 2018 | $30,621 | $16,245 | $14,376 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Monthly) | 7.25% (Monthly) | 1/2/2020 | BRL | 46,072,126 | $96,940 | $21,298 | $75,642 | |||||||
6-Month WIBOR (Semiannually) | 2.00% (Annually) | 9/19/2020 | PLN | 8,800,000 | 9,294 | 3,161 | 6,133 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 3.00% (Quarterly) | 9/19/2020 | CNY | 36,960,000 | 37,234 | 9,793 | 27,441 | |||||||
3-Month EURIBOR (Quarterly) | 0.09% (Annually) | 11/22/2020 | EUR | 23,240,000 | 76,375 | 1,138 | 75,237 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 3.00% (Quarterly) | 12/19/2020 | CNY | 20,400,000 | 22,730 | 7,465 | 15,265 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Monthly) | 8.00% (Monthly) | 1/4/2021 | BRL | 15,325,000 | 59,866 | 6,750 | 53,116 | |||||||
3-Month EURIBOR (Quarterly) | 0.10% (Annually) | 1/16/2021 | EUR | 12,070,000 | 36,936 | (8,186) | 45,122 | |||||||
1-Day COP-IBR-OIS (Quarterly) | 5.00% (Quarterly) | 3/20/2021 | COP | 15,447,025,000 | 24,197 | 2,091 | 22,106 | |||||||
3-Month CDOR (Semiannually) | 2.50% (Semiannually) | 3/20/2021 | CAD | 4,850,000 | 9,932 | 1,740 | 8,192 | |||||||
3-Month KORIBOR (Quarterly) | 1.75% (Quarterly) | 3/20/2021 | KRW | 11,283,070,000 | (10,076) | (12,708) | 2,632 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 2.25% (Semiannually) | 3/20/2021 | NZD | 14,350,000 | 47,865 | 23,504 | 24,361 | |||||||
6-Month CLP-TNA (Semiannually) | 3.60% (Semiannually) | 3/20/2021 | CLP | 695,725,000 | 4,220 | 58 | 4,162 | |||||||
6-Month WIBOR (Semiannually) | 2.00% (Annually) | 3/20/2021 | PLN | 41,820,000 | 33,861 | (8,990) | 42,851 | |||||||
3-Month JIBAR (Quarterly) | 7.75% (Quarterly) | 6/19/2021 | ZAR | 29,290,000 | 11,371 | — | 11,371 | |||||||
6-Month EURIBOR (Semiannually) | 0.35% (Annually) | 12/16/2021 | EUR | 18,850,000 | 148,115 | (29,589) | 177,704 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.58% (Upon termination) | 1/3/2022 | BRL | 18,475,000 | 47,703 | (46,158) | 93,861 | |||||||
28-Day Mexico Interbank TIIE (Monthly) | 8.87% (Monthly) | 3/16/2022 | MXN | 43,245,000 | 9,100 | — | 9,100 | |||||||
6-Month EURIBOR (Semiannually) | 0.60% (Annually) | 9/28/2022 | EUR | 9,750,000 | 85,126 | 1,811 | 83,315 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 3/20/2023 | EUR | 5,890,000 | 105,659 | 80,384 | 25,275 | |||||||
6-Month EURIBOR (Semiannually) | 0.67% (Annually) | 8/3/2023 | EUR | 5,610,000 | 66,291 | 14,495 | 51,796 | |||||||
3-Month LIBOR (Quarterly) | 2.75% (Semiannually) | 12/19/2023 | USD | 1,110,000 | 8,611 | (4,461) | 13,072 | |||||||
3-Month CDOR (Semiannually) | 2.50% (Semiannually) | 3/20/2024 | CAD | 8,660,000 | 61,029 | 204 | 60,825 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 3/20/2024 | EUR | 24,000,000 | 344,043 | 240,079 | 103,964 | |||||||
6-Month NIBOR (Semiannually) | 2.00% (Annually) | 3/20/2024 | NOK | 11,610,000 | 10,356 | 4,516 | 5,840 | |||||||
6-Month LIBOR (Semiannually) | 1.05% (Annually) | 8/7/2028 | CHF | 3,550,000 | 49,213 | (2,522) | 51,735 | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 9/20/2028 | USD | 3,310,000 | 22,194 | (29,053) | 51,247 | |||||||
28-Day Mexico Interbank TIIE (Monthly) | 9.30% (Monthly) | 10/27/2028 | MXN | 108,650,000 | (3,533) | (57,554) | 54,021 | |||||||
1.15% (Annually) | 6-Month SONIA (Annually) | 12/18/2028 | GBP | 580,000 | 19,803 | 680 | 19,123 | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 3/20/2029 | EUR | 2,030,000 | 33,123 | 19,352 | 13,771 | |||||||
3-Month LIBOR (Quarterly) | 3.50% (Semiannually) | 11/8/2048 | USD | 1,230,000 | 84,984 | 22,643 | 62,341 | |||||||
Subtotal Appreciation | $1,552,562 | $261,941 | $1,290,621 | |||||||||||
0.05% (Quarterly) | 3-Month STIBOR (Annually) | 1/16/2021 | SEK | 103,660,000 | $5,719 | $30,774 | $(25,055) | |||||||
8.90% (Monthly) | 28-Day Mexico Interbank TIIE (Monthly) | 3/17/2021 | MXN | 71,425,000 | (10,651) | — | (10,651) | |||||||
2.50% (Semiannually) | 6-Month PRIBOR (Annually) | 3/20/2021 | CZK | 167,300,000 | (74,205) | (5,846) | (68,359) | |||||||
2.75% (Quarterly) | 3-Month LIBOR (Semiannually) | 3/20/2021 | USD | 19,390,000 | (46,147) | 54,319 | (100,466) | |||||||
6-Month NSE MIBID MIBOR (Semiannually) | 6.75% (Semiannually) | 3/20/2021 | INR | 383,260,000 | (16,624) | 20,814 | (37,438) | |||||||
1.75% (Semiannually) | 6-Month BUBOR (Annually) | 6/19/2021 | HUF | 26,780,000 | (1,022) | (692) | (330) | |||||||
0.50% (Quarterly) | 3-Month STIBOR (Annually) | 12/16/2021 | SEK | 157,220,000 | (57,642) | 10,378 | (68,020) | |||||||
10.61% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 20,525,000 | (36,744) | 46,813 | (83,557) | |||||||
0.50% (Quarterly) | 3-Month STIBOR (Annually) | 3/20/2023 | SEK | 47,400,000 | (16,295) | (14,896) | (1,399) | |||||||
2.57% (Semiannually) | 6-Month WIBOR (Annually) | 3/21/2023 | PLN | 33,990,000 | (330,021) | (94,019) | (236,002) | |||||||
1.10% (Annually) | 6-Month SONIA (Annually) | 8/1/2023 | GBP | 4,220,000 | (31,735) | (5,054) | (26,681) | |||||||
2.75% (Quarterly) | 3-Month LIBOR (Semiannually) | 12/19/2023 | USD | 1,110,000 | (8,611) | 1,744 | (10,355) | |||||||
1.66% (Semiannually) | 6-Month BUBOR (Annually) | 12/28/2023 | HUF | 99,710,000 | (1,979) | — | (1,979) | |||||||
0.75% (Quarterly) | 3-Month STIBOR (Annually) | 3/20/2024 | SEK | 126,940,000 | (120,546) | (109,806) | (10,740) | |||||||
2.75% (Quarterly) | 3-Month LIBOR (Semiannually) | 3/20/2024 | USD | 10,910,000 | (89,049) | 44,149 | (133,198) |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
2.75% (Semiannually) | 6-Month ASX Australian Bank Bill Short Term Rates Mid (Semiannually) | 3/20/2024 | AUD | 10,250,000 | $(171,690) | $(133,585) | $(38,105) | |||||||
1.90% (Semiannually) | 6-Month LIBOR (Semiannually) | 8/3/2028 | GBP | 2,260,000 | (46,279) | (4,243) | (42,036) | |||||||
2.25% (Quarterly) | 3-Month KORIBOR (Quarterly) | 9/20/2028 | KRW | 4,089,440,000 | (60,400) | (2,518) | (57,882) | |||||||
3.25% (Quarterly) | 3-Month LIBOR (Semiannually) | 10/27/2028 | USD | 1,850,000 | (30,979) | (4,218) | (26,761) | |||||||
9.20% (Monthly) | 28-Day Mexico Interbank TIIE (Monthly) | 3/7/2029 | MXN | 29,200,000 | (20,713) | — | (20,713) | |||||||
1.25% (Quarterly) | 3-Month STIBOR (Annually) | 3/20/2029 | SEK | 10,560,000 | (6,718) | (6,048) | (670) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2049 | JPY | 207,330,000 | (141,249) | (78,123) | (63,126) | |||||||
Subtotal Depreciation | $(1,313,580) | $(250,057) | $(1,063,523) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2018 | $238,982 | $11,884 | $227,098 |
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Total Return Swaps | ||||||||||||||
Republic of Columbia 6.25% Maturity 11/26/2025 | 2/14/2019 | DEUT | COP | 323,000,000 | $1,022 | $ — | $1,022 | |||||||
Republic of Columbia 10.00% Maturity 7/24/2020 | 2/15/2019 | BOA | COP | 2,989,500,000 | 11,381 | — | 11,381 | |||||||
Republic of Columbia 11.00% Maturity 7/24/2020 | 2/15/2019 | BOA | COP | 5,609,300,000 | 12,732 | — | 12,732 | |||||||
Receive 1-Month LIBOR + 0.40%; Pay Dominion Resources, Inc. | 8/13/2019 | CITI | USD | 1,432,987 | 26,894 | — | 26,894 | |||||||
Receive Dominion Energy Midstream Partners; Pay 1-Month LIBOR + 0.45% | 8/13/2019 | CITI | USD | 23,470 | 142 | — | 142 | |||||||
Subtotal Appreciation | $52,171 | $ — | $52,171 | |||||||||||
Receive 1-Month LIBOR + 0.40%; Pay Dominion Resources, Inc. | 8/13/2019 | CITI | USD | 21,438 | $(67) | $ — | $(67) | |||||||
Receive Dominion Energy Midstream Partners; Pay 1-Month LIBOR + 0.75% | 8/13/2019 | CITI | USD | 1,433,657 | (23,225) | — | (23,225) | |||||||
Receive Valero Energy Partners; Pay 1-Month LIBOR + 0.75% | 8/13/2019 | CITI | USD | 525,312 | (59) | — | (59) | |||||||
Receive Shire PLC, Pay 1-Month LIBOR + 0.45% | 1/3/2020 | CITI | GBP | 36,385 | (3,992) | — | (3,992) | |||||||
Subtotal Depreciation | $(27,343) | $ — | $(27,343) | |||||||||||
Net Total Return Swaps outstanding at December 31, 2018 | $24,828 | $ — | $24,828 | |||||||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $20,290,015 | $— | $20,290,015 | $— | |||
Common Stocks | 55,641,571 | 55,641,571 | — | — | |||
Corporate Bonds | 81,570,000 | — | 81,570,000 | — | |||
Foreign Bonds | 7,028,862 | — | 7,028,862 | — | |||
Foreign Common Stocks: | |||||||
Jersey | 2,922,448 | 1,866,927 | — | 1,055,521 | |||
Other^^ | 5,579,103 | 5,579,103 | — | — | |||
Total Foreign Common Stocks | 8,501,551 | 7,446,030 | — | 1,055,521 | |||
Loan Agreements | 5,682,844 | — | 5,682,844 | — | |||
Money Market Funds | 76,432,647 | 76,432,647 | — | — | |||
Mortgage-Backed Securities | 2,462,732 | — | 2,462,732 | — | |||
Purchased Options: | |||||||
Put Option | 524,095 | 524,095 | — | — | |||
U.S. Treasury Obligations | 110,420,994 | — | 110,420,994 | — | |||
Total Assets - Investments in Securities | $368,555,311 | $140,044,343 | $227,455,447 | $1,055,521 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $12,998,680 | $— | $12,998,680 | $— | |||
Futures Contracts | 130,582 | 130,582 | — | — | |||
Swap Agreements | 1,375,679 | — | 1,375,679 | — | |||
Total Assets - Other Financial Instruments | $14,504,941 | $130,582 | $14,374,359 | $ — | |||
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Common Stocks Sold Short | $(8,870,917) | $(8,870,917) | $— | $— | |||
Foreign Common Stocks Sold Short | (6,119,706) | (6,119,706) | — | — | |||
Mutual Funds Sold Short | (2,462,982) | (2,462,982) | — | — | |||
Written Options: | |||||||
Call Options | (144,460) | (144,460) | — | — | |||
Put Options | (788,055) | (788,055) | — | — | |||
Total Written Options | (932,515) | (932,515) | — | — | |||
Total Liabilities - Investments in Securities | $(18,386,120) | $(18,386,120) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | (13,403,448) | $— | $(13,403,448) | $— | |||
Futures Contracts | (568,644) | (568,644) | — | — | |||
Swap Agreements | (1,092,291) | — | (1,092,291) | — | |||
Total Liabilities - Other Financial Instruments | $(15,064,383) | $(568,644) | $(14,495,739) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
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Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $357,561,733 |
Investments in securities of affiliated issuers, at value | 10,993,578 |
Total investments, at value | 368,555,311 |
Cash | 30,507,921 |
Cash collateral for swap agreements | 5,604,640 |
Deposits with broker for futures contracts | 265,494 |
Foreign currency | 3,791,527 |
Upfront premiums paid from swap agreements | 686,398 |
Receivables: | |
Dividends and reclaims | 67,538 |
Interest | 1,599,431 |
From advisor | 1,984 |
Investment securities sold | 3,434,509 |
Fund shares sold | 81,798 |
Variation margin on futures contracts | 49,473 |
Unrealized appreciation on foreign currency exchange contracts | 12,998,680 |
Unrealized appreciation on swap agreements | 85,058 |
Prepaid expenses and other assets | 2,422 |
Total Assets | 427,732,184 |
Liabilities | |
Securities sold short, at value | 17,453,605 |
Options written, at value | 932,515 |
Upfront premiums received from swap agreements | 658,269 |
Unrealized depreciation on foreign currency exchange contracts | 13,403,448 |
Unrealized depreciation on swap agreements | 28,768 |
Collateral held for derivatives | 1,463,522 |
Payables: | |
Investment securities purchased | 6,107,863 |
Dividends on short sales | 34,162 |
Fund shares redeemed | 1,970 |
Variation margin on centrally cleared swaps | 39,390 |
Variation margin on futures contracts | 125,574 |
Accrued expenses: | |
Investment advisory fees | 292,086 |
Shareholder servicing fees | 14,452 |
Other expenses | 120,181 |
Total Liabilities | 40,675,805 |
Net Assets | $387,056,379 |
Net Assets Consist of: | |
Paid-in-capital | $394,588,770 |
Distributable earnings (loss) | (7,532,391) |
Net Assets | $387,056,379 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $320,403,753 |
Institutional shares outstanding | 32,469,082 |
Net asset value, offering and redemption price per Institutional share | $9.87 |
Net assets applicable to the Investor Class | $66,652,626 |
Investor shares outstanding | 6,756,350 |
Net asset value, offering and redemption price per Investor share | $9.87 |
(1)Investments in securities of unaffiliated issuers, at cost | $363,018,803 |
Investments in securities of affiliated issuers, at cost | 10,993,578 |
Total investments, at cost | $374,012,381 |
(2)Foreign currency, at cost | $3,852,417 |
(3)Proceeds from securities sold short | $19,612,889 |
(4)Premiums received on options written | $1,031,498 |
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Strategic Alternatives Fund | |
Investment Income | |
Dividends | $3,414,317 |
Income distributions received from affiliated funds | 234,557 |
Interest | 7,795,557 |
Less foreign taxes withheld | (15,135) |
Total Investment Income | 11,429,296 |
Expenses | |
Investment advisory fees | 3,343,008 |
Transfer agent fees: | |
Institutional shares | 1,840 |
Investor shares | 13,467 |
Custodian fees | 18,668 |
Shareholder servicing fees: | |
Investor shares | 172,886 |
Accounting and administration fees | 72,668 |
Professional fees | 72,463 |
Blue sky fees: | |
Institutional shares | 18,290 |
Investor shares | 25,122 |
Shareholder reporting fees: | |
Institutional shares | 15,108 |
Investor shares | 11,834 |
Trustees expenses | 1,864 |
Line of credit facility fees and interest expense | 4,806 |
Dividends on securities sold short | 333,386 |
Other expenses | 63,197 |
Total Expenses | 4,168,607 |
Expenses waived/reimbursed net of amount recaptured | (41,229) |
Net Expenses | 4,127,378 |
Net Investment Income | 7,301,918 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (4,587,431) |
Investment securities sold short | 1,657,719 |
Futures transactions | 109,505 |
Swap agreements | 519,376 |
Option contracts written | (1,316,823) |
Option contracts purchased | 378,473 |
Forward foreign currency contracts | 175,389 |
Foreign currency | (158,453) |
Net realized loss | (3,222,245) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (7,463,311) |
Investment securities sold short | 3,131,390 |
Futures | (438,062) |
Swap agreements | 283,388 |
Option contracts written | 108,712 |
Option contracts purchased | 304,141 |
Forward foreign currency contracts | (132,813) |
Foreign currency | 42,220 |
Net change in unrealized appreciation (depreciation) | (4,164,335) |
Net Realized and Unrealized Loss | (7,386,580) |
Net Decrease in Net Assets Resulting from Operations | $(84,662) |
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Strategic Alternatives Fund | Strategic Alternatives Fund(1) | ||
For the Year Ended | Since Inception | ||
12/31/18 | 12/31/17 | ||
Operations: | |||
Net investment income | $7,301,918 | $746,959 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (3,222,245) | 1,697,228 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (4,164,335) | 448,309 | |
Net increase (decrease) in net assets resulting from operations | (84,662) | 2,892,496 | |
Distributions to Shareholders: | |||
Institutional shares | (6,830,775) | (1,984,218) | |
Investor shares | (1,229,603) | (353,126) | |
Total distributions | (8,060,378) | (2,337,344) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 35,043,876 | 307,033,823 | |
Investor shares | 24,057,205 | 62,729,965 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 6,830,607 | 1,984,218 | |
Investor shares | 1,225,449 | 353,065 | |
Total proceeds from shares sold and reinvested | 67,157,137 | 372,101,071 | |
Value of shares redeemed | |||
Institutional shares | (17,291,395) | (6,895,207) | |
Investor shares | (15,855,027) | (4,570,312) | |
Total value of shares redeemed | (33,146,422) | (11,465,519) | |
Net increase from capital share transactions | 34,010,715 | 360,635,552 | |
Total increase in net assets | 25,865,675 | 361,190,704 | |
Net Assets: | |||
Beginning of Period | 361,190,704 | — | |
End of Period | $387,056,379 | $361,190,704 |
(1) | Inception date was June 30, 2017. |
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For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||
Net Asset Value, Beginning of 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 | |
Strategic Alternatives Fund | ||||||||||||
Institutional Class | ||||||||||||
2018 | $10.07 | $0.20 | $(0.19) | $(0.18) | $(0.03) | $9.87 | 0.15% | $320,404 | 1.01%(3) | 1.02% | 1.96% | 172% |
2017(4) | 10.00 | 0.04 | 0.10 | (0.05) | (0.02) | 10.07 | 1.40 | 302,592 | 1.26(3) | 1.28(3) | 0.69 | 88 |
Investor Class | ||||||||||||
2018 | $10.07 | $0.17 | $(0.19) | $(0.15) | $(0.03) | $9.87 | (0.17)% | $66,652 | 1.36%(3) | 1.37% | 1.65% | 172% |
2017(4) | 10.00 | 0.01 | 0.12 | (0.04) | (0.02) | 10.07 | 1.31 | 58,599 | 1.63(3) | 1.65(3) | 0.25 | 88 |
# | 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) | The ratio for the Strategic Alternatives Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11% and 0.14% for the period ended December 31, 2017 and December 31, 2018. |
(4) | Inception date was June 30, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
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Acquired Fund | Shares Redeemed | Net Assets on 02/10/17 | Unrealized Appreciation (Depreciation) | Accumulated Net Realized Gains | Share Conversion Ratio | Acquiring Fund | Shares Issued | Net Assets on 02/10/17 | ||||||||
MyDestination 2005 | 10,442,917 | $105,467,529 | $(133,812) | $7,984 | 0.914801 | Conservative Allocation Fund | 9,553,188 | $414,132,552 |
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MyDestination 2005 Fund For the Period 01/01/17 - 02/10/17 | Conservative Allocation Fund For the Period 01/01/17 - 02/10/17 | ||||||||||||||
Acquired Fund | Net Investment Income | Net Realized and Unrealized Gain on Investments | Net Increase from Operations | Acquiring Fund | Net Investment Income | Net Realized and Unrealized Gain on Investments | Net Increase from Operations | ||||||||
MyDestination 2005 | $(28,858) | $1,495,619 | $1,466,761 | Conservative Allocation Fund | $2,111,598 | $13,791,554 | $15,903,152 |
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Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Money Market | ||||||||
Bank of Montreal | $45,000,000 | $(45,000,000) | $— | $— | ||||
Bank of Nova Scotia | 60,000,000 | (60,000,000) | — | — | ||||
BNP Paribas | 53,000,000 | (53,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 10,000,000 | (10,000,000) | — | — | ||||
Credit Agricole | 30,000,000 | (30,000,000) | — | — | ||||
Goldman Sachs & Co. | 43,000,000 | (43,000,000) | — | — | ||||
HSBC Securities USA, Inc. | 51,000,000 | (51,000,000) | — | — |
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Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Money Market | ||||||||
Mitsubishi UFJ Securities USA, Inc. | $30,000,000 | $(30,000,000) | $— | $— | ||||
Mizuho Securities USA, Inc. | 50,000,000 | (50,000,000) | — | — | ||||
Natixis S.A. | 25,000,000 | (25,000,000) | — | — | ||||
TD Securities USA LLC | 60,000,000 | (60,000,000) | — | — | ||||
Total Repurchase Agreements | $457,000,000 | $(457,000,000) | $— | $— | ||||
Medium-Duration Bond | ||||||||
Merrill Lynch Pierce Fenner & Smith | $28,600,000 | $(28,600,000) | $— | $— | ||||
(1) The value of the related collateral received exceeded the value of the repurchase agreements as of December 31, 2018. | ||||||||
(2) Net amount represents the net amount of receivable due from (payable to) the counterparty in the event of a default. |
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Fund | Assets | Liabilities | |
MyDestination 2015 | |||
Derivative Financial Instruments: | |||
Futures contracts | $21,606 | $875 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 21,606 | 875 | |
Derivatives not subject to an MA or similar agreement | 21,606 | 875 | |
Total assets and liabilities subject to an MA | $— | $— | |
MyDestination 2025 | |||
Derivative Financial Instruments: | |||
Futures contracts | $57,529 | $2,975 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 57,529 | 2,975 | |
Derivatives not subject to an MA or similar agreement | 57,529 | 2,975 | |
Total assets and liabilities subject to an MA | $— | $— | |
MyDestination 2035 | |||
Derivative Financial Instruments: | |||
Futures contracts | $64,774 | $3,500 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 64,774 | 3,500 | |
Derivatives not subject to an MA or similar agreement | 64,774 | 3,500 | |
Total assets and liabilities subject to an MA | $— | $— | |
MyDestination 2045 | |||
Derivative Financial Instruments: | |||
Futures contracts | $46,294 | $2,975 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 46,294 | 2,975 | |
Derivatives not subject to an MA or similar agreement | 46,294 | 2,975 | |
Total assets and liabilities subject to an MA | $— | $— | |
MyDestination 2055 | |||
Derivative Financial Instruments: | |||
Futures contracts | $16,231 | $875 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 16,231 | 875 | |
Derivatives not subject to an MA or similar agreement | 16,231 | 875 | |
Total assets and liabilities subject to an MA | $— | $— | |
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Fund | Assets | Liabilities | |
Conservative Allocation | |||
Derivative Financial Instruments: | |||
Futures contracts | $10,194 | $700 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 10,194 | 700 | |
Derivatives not subject to an MA or similar agreement | 10,194 | 700 | |
Total assets and liabilities subject to an MA | $— | $— | |
Balanced Allocation | |||
Derivative Financial Instruments: | |||
Futures contracts | $89,583 | $4,900 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 89,583 | 4,900 | |
Derivatives not subject to an MA or similar agreement | 89,583 | 4,900 | |
Total assets and liabilities subject to an MA | $— | $— | |
Growth Allocation | |||
Derivative Financial Instruments: | |||
Futures contracts | $75,951 | $5,075 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 75,951 | 5,075 | |
Derivatives not subject to an MA or similar agreement | 75,951 | 5,075 | |
Total assets and liabilities subject to an MA | $— | $— | |
Aggressive Allocation | |||
Derivative Financial Instruments: | |||
Futures contracts | $88,160 | $6,125 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 88,160 | 6,125 | |
Derivatives not subject to an MA or similar agreement | 88,160 | 6,125 | |
Total assets and liabilities subject to an MA | $— | $— | |
Low-Duration Bond | |||
Derivative Financial Instruments: | |||
Futures contracts | $394,035 | $529,150 | |
Forward foreign exchange contracts | 324,113 | 445,104 | |
Options | 716,736 | 1,063,233 | |
Centrally cleared swaps | 3,870 | — | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,438,754 | 2,037,487 | |
Derivatives not subject to an MA or similar agreement | 553,602 | 601,782 | |
Total assets and liabilities subject to an MA | $885,152 | $1,435,705 | |
Medium-Duration Bond | |||
Derivative Financial Instruments: | |||
Futures contracts | $1,500,155 | $411,585 | |
Forward foreign exchange contracts | 2,513,716 | 3,650,281 | |
Options | 4,313,923 | 5,600,038 | |
Centrally cleared swaps | — | 430,552 | |
Swap agreements | 943,647 | 117,802 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 9,271,441 | 10,210,258 | |
Derivatives not subject to an MA or similar agreement | 2,065,152 | 1,662,531 | |
Total assets and liabilities subject to an MA | $7,206,289 | $8,547,727 |
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Fund | Assets | Liabilities | |
Global Bond | |||
Derivative Financial Instruments: | |||
Futures contracts | $58,937 | $— | |
Forward foreign exchange contracts | 1,667,434 | 578,469 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,726,371 | 578,469 | |
Derivatives not subject to an MA or similar agreement | 58,937 | — | |
Total assets and liabilities subject to an MA | $1,667,434 | $578,469 | |
Defensive Market Strategies | |||
Derivative Financial Instruments: | |||
Forward foreign exchange contracts | $10,806 | $150,048 | |
Options | — | 2,392,827 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 10,806 | 2,542,875 | |
Derivatives not subject to an MA or similar agreement | 10,806 | 2,542,875 | |
Total assets and liabilities subject to an MA | $— | $— | |
Equity Index | |||
Derivative Financial Instruments: | |||
Futures contracts | $646,500 | $— | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 646,500 | — | |
Derivatives not subject to an MA or similar agreement | 646,500 | — | |
Total assets and liabilities subject to an MA | $— | $— | |
Value Equity | |||
Derivative Financial Instruments: | |||
Futures contracts | $388,530 | $— | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 388,530 | — | |
Derivatives not subject to an MA or similar agreement | 388,350 | — | |
Total assets and liabilities subject to an MA | $— | $— | |
Growth Equity | |||
Derivative Financial Instruments: | |||
Futures contracts | $437,760 | $— | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 437,760 | — | |
Derivatives not subject to an MA or similar agreement | 437,760 | — | |
Total assets and liabilities subject to an MA | $— | $— | |
Small Cap Equity | |||
Derivative Financial Instruments: | |||
Futures contracts | $108,135 | $— | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 108,135 | — | |
Derivatives not subject to an MA or similar agreement | 108,135 | — | |
Total assets and liabilities subject to an MA | $— | $— | |
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Fund | Assets | Liabilities | |
International Equity Index | |||
Derivative Financial Instruments: | |||
Futures contracts | $15,040 | $— | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 15,040 | — | |
Derivatives not subject to an MA or similar agreement | 15,040 | — | |
Total assets and liabilities subject to an MA | $— | $— | |
International Equity | |||
Derivative Financial Instruments: | |||
Futures contracts | $169,271 | $72,318 | |
Forward foreign exchange contracts | 1,368,338 | 4,392,913 | |
Swap agreements | 589,822 | 845,296 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,127,431 | 5,310,527 | |
Derivatives not subject to an MA or similar agreement | 169,271 | 72,318 | |
Total assets and liabilities subject to an MA | $1,958,160 | $5,238,209 | |
Emerging Markets Equity | |||
Derivative Financial Instruments: | |||
Futures contracts | $51,440 | $199,422 | |
Forward foreign exchange contracts | 1,422,223 | 904,793 | |
Swap agreements | 2,911 | 152,454 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,476,574 | 1,256,669 | |
Derivatives not subject to an MA or similar agreement | 51,440 | 199,422 | |
Total assets and liabilities subject to an MA | $1,425,134 | $1,057,247 | |
Global Real Estate Securities | |||
Derivative Financial Instruments: | |||
Futures contracts | $53,841 | $— | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 53,841 | — | |
Derivatives not subject to an MA or similar agreement | 53,841 | — | |
Total assets and liabilities subject to an MA | $— | $— | |
Strategic Alternatives | |||
Derivative Financial Instruments: | |||
Futures contracts | $49,473 | $125,574 | |
Forward foreign exchange contracts | 12,998,680 | 13,403,448 | |
Options | 524,095 | 932,515 | |
Centrally cleared swaps | — | 39,390 | |
Swap agreements | 85,058 | 28,768 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 13,657,306 | 14,529,695 | |
Derivatives not subject to an MA or similar agreement | 566,513 | 1,094,422 | |
Total assets and liabilities subject to an MA | $13,090,793 | $13,435,273 |
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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* | $ 349,127 | $ (661,374) | $ (312,247) | $— | $ (312,247) | ||||
Sub-adviser B | |||||||||
Other Counterparties* | 536,025 | (770,976) | (234,951) | 9,900 | (225,051) | ||||
Sub-adviser C | |||||||||
Other Counterparties* | — | (3,355) | (3,355) | — | (3,355) | ||||
Total Derivatives | $ 885,152 | $ (1,435,705) | $ (550,553) | $9,900 | $ (540,653) | ||||
Medium-Duration Bond | |||||||||
Sub-adviser A | |||||||||
Other Counterparties* | $ 151,799 | $ (263,983) | $ (112,184) | $22,024 | $ (90,160) | ||||
Sub-adviser B | |||||||||
Other Counterparties* | 5,935,133 | (7,432,792) | (1,497,659) | 758,991 | (738,668) | ||||
Sub-adviser C | |||||||||
Other Counterparties* | 1,119,357 | (850,952) | 268,405 | — | 268,405 | ||||
Total Derivatives | $ 7,206,289 | $ (8,547,727) | $ (1,341,438) | $781,015 | $ (560,423) | ||||
Global Bond | |||||||||
Sub-adviser A | |||||||||
CITI | $ 1,051,161 | $ (443,974) | $ 607,187 | $— | $ 607,187 | ||||
BAR | 616,273 | (134,495) | 481,778 | — | 481,778 | ||||
Total Derivatives | $ 1,667,434 | $ (578,469) | $ 1,088,965 | $— | $ 1,088,965 | ||||
International Equity | |||||||||
Sub-adviser A | |||||||||
Other Counterparties* | $1,856,808 | $(5,233,343) | $(3,376,535) | $3,045,474 | $(331,061) | ||||
Sub-adviser B | |||||||||
Other Counterparties* | 101,352 | (4,866) | 96,486 | — | 96,486 | ||||
Total Derivatives | $ 1,958,160 | $ (5,238,209) | $ (3,280,049) | $3,045,474 | $(234,575) | ||||
Emerging Markets Equity | |||||||||
Sub-adviser A | |||||||||
Other Counterparties* | $1,425,134 | $(1,021,190) | $403,944 | $(370,457) | $33,487 | ||||
Sub-adviser B | |||||||||
Other Counterparties* | — | (36,057) | (36,057) | — | (36,057) | ||||
Total Derivatives | $ 1,425,134 | $ (1,057,247) | $ 367,887 | $(370,457) | $(2,570) | ||||
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 | ||||
Strategic Alternatives | |||||||||
Sub-adviser A | |||||||||
GSC | $4,099,600 | $(5,616,856) | $(1,517,256) | $1,100,000 | $(417,256) | ||||
SS | 3,175,373 | (1,133,604) | 2,041,769 | — | 2,041,769 | ||||
Other Counterparties* | 5,113,734 | (6,098,001) | (984,267) | 1,047,572 | 63,305 | ||||
12,388,707 | (12,848,461) | (459,754) | 2,147,572 | 1,687,818 | |||||
Sub-adviser B | |||||||||
Other Counterparties* | 675,050 | (563,461) | 111,589 | (41,507) | 70,082 | ||||
Sub-adviser C | |||||||||
Other Counterparties* | 27,036 | (23,351) | 3,685 | — | 3,685 | ||||
Total Derivatives | $ 13,090,793 | $ (13,435,273) | $(344,480) | $2,106,065 | $1,761,585 |
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* |
Table of Contents
Asset Derivative Value | |||||||||
Fund | Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
MyDestination 2015 | |||||||||
Futures | $68,143 | $68,143 | $— | $— | $— | ||||
MyDestination 2025 | |||||||||
Futures | $123,105 | $123,105 | $— | $— | $— | ||||
MyDestination 2035 | |||||||||
Futures | $66,372 | $66,372 | $— | $— | $— | ||||
MyDestination 2045 | |||||||||
Futures | $21,103 | $21,103 | $— | $— | $— | ||||
MyDestination 2055 | |||||||||
Futures | $3,014 | $3,014 | $— | $— | $— | ||||
Conservative Allocation | |||||||||
Futures | $22,770 | $22,770 | $— | $— | $— | ||||
Balanced Allocation | |||||||||
Futures | $284,131 | $284,131 | $— | $— | $— | ||||
Growth Allocation | |||||||||
Futures | $107,531 | $107,531 | $— | $— | $— | ||||
Low-Duration Bond | |||||||||
Forwards | $324,113 | $— | $324,113 | $— | $— | ||||
Futures | 4,113,042 | 4,113,042 | — | — | — | ||||
Purchased Options | 716,736 | 716,736 | — | — | — | ||||
Swaps | 21,205 | 12,639 | — | 8,566 | — | ||||
Totals | $5,175,096 | $4,842,417 | $324,113 | $8,566 | $— | ||||
Medium-Duration Bond | |||||||||
Forwards | $2,513,716 | $— | $2,513,716 | $— | $— | ||||
Futures | 12,248,404 | 12,248,404 | — | — | — | ||||
Purchased Options | 4,313,923 | 4,181,754 | 132,169 | — | — | ||||
Swaps | 4,864,655 | 4,464,294 | — | 400,361 | — | ||||
Totals | $23,940,698 | $20,894,452 | $ 2,645,885 | $400,361 | $— | ||||
Global Bond Fund | |||||||||
Forwards | $1,667,434 | $— | $1,667,434 | $— | $— | ||||
Futures | 439,531 | 439,531 | — | — | — | ||||
Totals | $2,106,965 | $439,531 | $1,667,434 | $— | $— | ||||
Defensive Market Strategies | |||||||||
Forwards | $10,806 | $— | $10,806 | $— | $— | ||||
International Equity | |||||||||
Forwards | $1,368,338 | $— | $1,368,338 | $— | $— | ||||
Futures | 305,893 | — | — | — | 305,893 | ||||
Swaps | 589,822 | — | — | — | 589,822 | ||||
Totals | $2,264,053 | $— | $1,368,338 | $— | $895,715 | ||||
Table of Contents
Asset Derivative Value | |||||||||
Fund | Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
Emerging Markets Equity | |||||||||
Forwards | $1,422,223 | $— | $1,422,223 | $— | $— | ||||
Futures | 128,999 | — | — | — | 128,999 | ||||
Swaps | 2,911 | — | — | — | 2,911 | ||||
Totals | $1,554,133 | $— | $1,422,223 | $— | $131,910 | ||||
Strategic Alternatives | |||||||||
Forwards | $12,998,680 | $— | $12,998,680 | $— | $— | ||||
Futures | 130,582 | 130,582 | — | — | — | ||||
Purchased Options | 524,095 | — | — | — | 524,095 | ||||
Swaps | 1,375,679 | 1,306,422 | 17,086 | — | 52,171 | ||||
Totals | $15,029,036 | $1,437,004 | $12,998,680 | $— | $576,266 |
Liability Derivative Value | |||||||||
Fund | Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
MyDestination 2015 | |||||||||
Futures | $103,983 | $— | $— | $— | $103,983 | ||||
MyDestination 2025 | |||||||||
Futures | $354,208 | $— | $— | $— | $354,208 | ||||
MyDestination 2035 | |||||||||
Futures | $397,089 | $— | $— | $— | $397,089 | ||||
MyDestination 2045 | |||||||||
Futures | $343,787 | $— | $— | $— | $343,787 | ||||
MyDestination 2055 | |||||||||
Futures | $68,213 | $— | $— | $— | $68,213 | ||||
Conservative Allocation | |||||||||
Futures | $63,477 | $— | $— | $— | $63,477 | ||||
Balanced Allocation | |||||||||
Futures | $541,114 | $— | $— | $— | $541,114 | ||||
Growth Allocation | |||||||||
Futures | $588,421 | $— | $— | $— | $588,421 | ||||
Aggressive Allocation | |||||||||
Futures | $676,590 | $— | $— | $— | $676,590 | ||||
Low-Duration Bond | |||||||||
Forwards | $445,104 | $— | $445,104 | $— | $— | ||||
Futures | 4,166,144 | 4,166,144 | — | — | — | ||||
Written Options | 1,063,233 | 1,063,233 | — | — | — | ||||
Swaps | 73,279 | 73,279 | — | — | — | ||||
Totals | $5,747,760 | $5,302,656 | $445,104 | $— | $— | ||||
Table of Contents
Liability Derivative Value | |||||||||
Fund | Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
Medium-Duration Bond | |||||||||
Forwards | $3,650,281 | $— | $3,650,281 | $— | $— | ||||
Futures | 3,543,537 | 3,543,537 | — | — | — | ||||
Written Options | 5,600,038 | 5,571,963 | 28,075 | — | — | ||||
Swaps | 8,679,547 | 7,431,648 | — | 1,247,899 | — | ||||
Totals | $21,473,403 | $16,547,148 | $3,678,356 | $1,247,899 | $— | ||||
Global Bond Fund | |||||||||
Forwards | $578,469 | $— | $578,469 | $— | $— | ||||
Futures | 257,467 | 257,467 | — | — | — | ||||
Totals | 835,936 | $257,467 | $578,469 | $— | $— | ||||
Defensive Market Strategies | |||||||||
Forwards | $150,048 | $— | $150,048 | $— | $— | ||||
Written Options | 2,392,827 | — | — | — | 2,392,827 | ||||
Totals | $2,542,875 | $— | $150,048 | $— | $2,392,827 | ||||
Equity Index | |||||||||
Futures | $1,421,472 | $— | $— | $— | $1,421,472 | ||||
Value Equity | |||||||||
Futures | $928,146 | $— | $— | $— | $928,146 | ||||
Growth Equity | |||||||||
Futures | $2,051,984 | $— | $— | $— | $2,051,984 | ||||
Small Cap Equity | |||||||||
Futures | $481,715 | $— | $— | $— | $481,715 | ||||
International Equity Index | |||||||||
Futures | $435,045 | $— | $— | $— | $435,045 | ||||
International Equity | |||||||||
Forwards | $4,392,913 | $— | $4,392,913 | $— | $— | ||||
Futures | 2,013,947 | — | — | — | 2,013,947 | ||||
Swaps | 845,296 | — | — | — | 845,296 | ||||
Totals | $7,252,156 | $— | $4,392,913 | $— | $2,859,243 | ||||
Emerging Markets Equity | |||||||||
Forwards | $904,793 | $— | $904,793 | $— | $— | ||||
Futures | 822,423 | — | — | — | 822,423 | ||||
Swaps | 152,454 | — | — | — | 152,454 | ||||
Totals | $1,879,670 | $— | $904,793 | $— | $974,877 | ||||
Global Real Estate Securities | |||||||||
Futures | $205,915 | $— | $— | $— | $205,915 | ||||
Table of Contents
Liability Derivative Value | |||||||||
Fund | Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
Strategic Alternatives | |||||||||
Forwards | $13,403,448 | $— | $13,403,448 | $— | $— | ||||
Futures | 568,644 | 568,644 | — | — | — | ||||
Written Options | 932,515 | — | — | — | 932,515 | ||||
Swaps | 1,092,291 | 1,064,948 | — | — | 27,343 | ||||
Totals | $15,996,898 | $1,633,592 | $13,403,448 | $— | $959,858 |
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: Forward rate 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: Forward rate 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 written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
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 unrealized appreciation (depreciation) on: Futures | ||
Net unrealized appreciation (depreciation) on: Option contracts written | ||
Net unrealized appreciation (depreciation) on: Option contracts purchased |
Realized Gain (Loss) on Derivatives Recognized in Income | |||||||||
Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | |||||||||
Futures | $(219,700) | $(113,037) | $— | $— | $(106,663) | ||||
MyDestination 2025 | |||||||||
Futures | $(917,257) | $(233,268) | $— | $— | $(683,989) | ||||
MyDestination 2035 | |||||||||
Futures | $(661,039) | $(107,105) | $— | $— | $(553,934) | ||||
MyDestination 2045 | |||||||||
Futures | $(569,311) | $(43,897) | $— | $— | $(525,414) |
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | |||||||||
Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2055 | |||||||||
Futures | $(213,755) | $(956) | $— | $— | $(212,799) | ||||
Conservative Allocation | |||||||||
Futures | $(157,108) | $(54,237) | $— | $— | $(102,871) | ||||
Balanced Allocation | |||||||||
Futures | $(1,243,469) | $(516,933) | $— | $— | $(726,536) | ||||
Growth Allocation | |||||||||
Futures | $(1,138,812) | $(187,137) | $— | $— | $(951,675) | ||||
Aggressive Allocation | |||||||||
Futures | $(1,081,767) | $— | $— | $— | $(1,081,767) | ||||
Low-Duration Bond | |||||||||
Forwards | $(569,578) | $— | $(569,578) | $— | $— | ||||
Futures | (394,108) | (394,108) | — | — | — | ||||
Purchased Options | (235,467) | (234,224) | (1,243) | — | — | ||||
Swaps | 1,108,962 | 956,164 | — | 152,798 | — | ||||
Forward Rate Agreements | (829,601) | (829,601) | — | — | — | ||||
Written Options | 131,726 | 54,205 | 20,788 | 56,733 | — | ||||
Totals | $(825,853) | $(485,351) | $(550,033) | $209,531 | $— | ||||
Medium-Duration Bond | |||||||||
Forwards | $1,235,633 | $— | $1,235,633 | $— | $— | ||||
Futures | (8,592,438) | (8,592,438) | — | — | — | ||||
Purchased Options | (3,964,884) | (3,644,943) | (308,011) | (11,930) | — | ||||
Swaps | 6,783,043 | 6,580,518 | — | 167,761 | 34,764 | ||||
Written Options | 3,639,095 | 2,713,793 | 871,001 | 54,301 | — | ||||
Totals | $(899,551) | $(2,943,070) | $1,798,623 | $210,132 | $34,764 | ||||
Global Bond | |||||||||
Forwards | $(4,560,042) | $— | $(4,560,042) | $— | $— | ||||
Futures | (1,158,018) | (1,158,018) | — | — | — | ||||
Purchased Options | (390,038) | — | (390,038) | — | — | ||||
Written Options | 93,347 | — | 93,347 | — | — | ||||
Totals | $(6,014,751) | $(1,158,018) | $(4,856,733) | $— | $— | ||||
Defensive Market Strategies | |||||||||
Forwards | $640,427 | $— | $640,427 | $— | $— | ||||
Written Options | (4,096,739) | — | — | — | (4,096,739) | ||||
Totals | $(3,456,312) | $— | $640,427 | $— | $(4,096,739) | ||||
Equity Index | |||||||||
Futures | $(358,475) | $— | $— | $— | $(358,475) | ||||
Value Equity | |||||||||
Futures | $2,239,050 | $— | $— | $— | $2,239,050 | ||||
Growth Equity | |||||||||
Futures | $618,324 | $— | $— | $— | $618,324 |
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | |||||||||
Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Small Cap Equity | |||||||||
Futures | $(2,249,972) | $— | $— | $— | $(2,249,972) | ||||
International Equity Index | |||||||||
Futures | $(3,598,700) | $— | $— | $— | $(3,598,700) | ||||
International Equity | |||||||||
Forwards | $3,634,240 | $— | $3,634,240 | $— | $— | ||||
Futures | (5,865,032) | — | — | — | (5,865,032) | ||||
Swaps | (1,866,302) | — | — | — | (1,866,302) | ||||
Totals | $(4,097,094) | $— | $3,634,240 | $— | $(7,731,334) | ||||
Emerging Markets Equity | |||||||||
Forwards | $(2,761,237) | $— | $(2,761,237) | $— | $— | ||||
Futures | (4,678,621) | — | — | — | (4,678,621) | ||||
Swaps | (211,852) | — | — | — | (211,852) | ||||
Totals | $(7,651,710) | $— | $(2,761,237) | $— | $(4,890,473) | ||||
Global Real Estate Securities | |||||||||
Forwards | $(1,550) | $— | $(1,550) | $— | $— | ||||
Futures | (645,882) | — | — | — | (645,882) | ||||
Totals | $(647,432) | $— | $(1,550) | $— | $(645,882) | ||||
Strategic Alternatives | |||||||||
Forwards | $175,389 | $— | $175,389 | $— | $— | ||||
Futures | 109,505 | 120,466 | — | — | (10,961) | ||||
Purchased Options | 378,473 | — | (90,770) | — | 469,243 | ||||
Swaps | 519,376 | 348,569 | 42,328 | 809 | 127,670 | ||||
Written Options | (1,316,823) | — | 74,935 | — | (1,391,758) | ||||
Totals | $(134,080) | $469,035 | $201,882 | $809 | $(805,806) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||||
Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | |||||||||
Futures | $(75,663) | $14,148 | $— | $— | $(89,811) | ||||
MyDestination 2025 | |||||||||
Futures | $(370,203) | $161,402 | $— | $— | $(531,605) | ||||
MyDestination 2035 | |||||||||
Futures | $(481,691) | $83,170 | $— | $— | $(564,861) | ||||
MyDestination 2045 | |||||||||
Futures | $(459,393) | $26,478 | $— | $— | $(485,871) | ||||
MyDestination 2055 | |||||||||
Futures | $(88,827) | $3,014 | $— | $— | $(91,841) | ||||
Conservative Allocation | |||||||||
Futures | $(45,103) | $30,831 | $— | $— | $(75,934) |
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||||
Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Balanced Allocation | |||||||||
Futures | $(472,434) | $339,392 | $— | $— | $(811,826) | ||||
Growth Allocation | |||||||||
Futures | $(776,720) | $127,735 | $— | $— | $(904,455) | ||||
Aggressive Allocation | �� | ||||||||
Futures | $(985,334) | $— | $— | $— | $(985,334) | ||||
Low-Duration Bond | |||||||||
Forwards | $1,903,019 | $— | $1,903,019 | $— | $— | ||||
Futures | (65,202) | (65,202) | — | — | — | ||||
Purchased Options | 468,489 | 468,489 | — | — | — | ||||
Swaps | (72,606) | (78,310) | — | 5,704 | — | ||||
Forward Rate Agreements | 31,798 | 31,798 | — | — | — | ||||
Written Options | (357,244) | (353,137) | — | (4,107) | — | ||||
Totals | $1,908,254 | $3,638 | $1,903,019 | $1,597 | $— | ||||
Medium-Duration Bond | |||||||||
Forwards | $(348,490) | $— | $(348,490) | $— | $— | ||||
Futures | 8,525,517 | 11,227,948 | (2,702,431) | — | — | ||||
Purchased Options | 1,687,362 | 1,731,520 | (44,158) | — | — | ||||
Swaps | (3,895,713) | (2,895,894) | — | (999,819) | — | ||||
Written Options | (2,057,641) | (2,107,036) | 49,395 | — | — | ||||
Totals | $3,911,035 | $7,956,538 | $(3,045,684) | $(999,819) | $— | ||||
Global Bond | |||||||||
Forwards | $337,482 | $— | $337,482 | $— | $— | ||||
Futures | 317,839 | 317,839 | — | — | — | ||||
Purchased Options | (62,146) | — | (62,146) | — | — | ||||
Written Options | (38,208) | — | (38,208) | — | — | ||||
Totals | $554,967 | $317,839 | $237,128 | $— | $— | ||||
Defensive Market Strategies | |||||||||
Forwards | $158,614 | $— | $158,614 | $— | $— | ||||
Futures | — | — | — | — | — | ||||
Written Options | (354,284) | — | — | — | (354,284) | ||||
Totals | $(195,670) | $— | $158,614 | $— | $(354,284) | ||||
Equity Index | |||||||||
Futures | $(1,654,162) | $— | $— | $— | $(1,654,162) | ||||
Value Equity | |||||||||
Futures | $(1,349,338) | $— | $— | $— | $(1,349,338) | ||||
Growth Equity | |||||||||
Futures | $(2,591,050) | $— | $— | $— | $(2,591,050) | ||||
Small Cap Equity | |||||||||
Futures | $(659,331) | $— | $— | $— | $(659,331) |
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||||
Total Value at 12/31/18 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity Index | |||||||||
Futures | $(521,677) | $— | $— | $— | $(521,677) | ||||
International Equity | |||||||||
Forwards | $(2,309,894) | $— | $(2,309,894) | $— | $— | ||||
Futures | (3,406,061) | — | — | — | (3,406,061) | ||||
Swaps | (714,311) | — | — | — | (714,311) | ||||
Totals | $(6,430,266) | $— | $(2,309,894) | $— | $(4,120,372) | ||||
Emerging Markets Equity | |||||||||
Forwards | $81,210 | $— | $81,210 | $— | $— | ||||
Futures | (2,248,972) | — | — | — | (2,248,972) | ||||
Swaps | (20,787) | — | — | — | (20,787) | ||||
Totals | $(2,188,549) | $— | $81,210 | $— | $(2,269,759) | ||||
Global Real Estate Securities | |||||||||
Futures | $(218,180) | $— | $— | $— | $(218,180) | ||||
Strategic Alternatives | |||||||||
Forwards | $(132,813) | $— | $(132,813) | $— | $— | ||||
Futures | (438,062) | — | — | — | (438,062) | ||||
Swaps | 283,388 | 241,474 | 17,086 | — | 24,828 | ||||
Purchased Options | 304,141 | — | — | — | 304,141 | ||||
Written Options | 108,712 | — | — | — | 108,712 | ||||
Totals | $125,366 | $241,474 | $(115,727) | $— | $(381) |
Long Derivative Volume | |||||||
Forward Foreign Currency Contracts | Financial Futures Contracts | Purchased Option Contracts | Swap Agreements | ||||
MyDestination 2015 | $— | $7,949,849 | $— | $— | |||
MyDestination 2025 | — | 17,226,897 | — | — | |||
MyDestination 2035 | — | 14,622,389 | — | — | |||
MyDestination 2045 | — | 10,732,549 | — | — | |||
MyDestination 2055 | — | 2,986,634 | — | — | |||
Conservative Allocation | — | 7,256,571 | — | — | |||
Balanced Allocation | — | 28,840,150 | — | — | |||
Growth Allocation | — | 24,004,728 | — | — | |||
Aggressive Allocation | — | 22,185,389 | — | — | |||
Low-Duration Bond | 39,006,430 | 626,647,233 | 130,927 | 461,181,818 | |||
Medium-Duration Bond | 132,627,248 | 1,068,775,376 | 2,717,338 | 502,923,449 | |||
Global Bond | 42,306,003 | 77,795,270 | 54,280 | — | |||
Defensive Market Strategies | 17,903,350 | — | — | — | |||
Equity Index | — | 42,018,148 | — | — |
Table of Contents
Long Derivative Volume | |||||||
Forward Foreign Currency Contracts | Financial Futures Contracts | Purchased Option Contracts | Swap Agreements | ||||
Value Equity | $— | $42,251,140 | $— | $— | |||
Growth Equity | — | 56,711,616 | — | — | |||
Small Cap Equity | — | 21,638,051 | — | — | |||
International Equity Index | — | 16,325,588 | — | — | |||
International Equity | 216,917,945 | 120,529,972 | — | 18,167,374 | |||
Emerging Markets Equity | 80,592,784 | 57,937,655 | — | 73,258,557 | |||
Global Real Estate Securities | — | 5,841,278 | — | — | |||
Strategic Alternatives | 484,431,016 | 12,513,801 | 450,977 | 100,974,280 |
Short Derivative Volume | |||||||
Forward Foreign Currency Contracts | Financial Futures Contracts | Written Option Contracts | Swap Agreements | ||||
Low-Duration Bond | $24,530,613 | $274,692,997 | $495,881 | $230,139,811 | |||
Medium-Duration Bond | 93,748,660 | 893,147,435 | 2,949,468 | 420,892,383 | |||
Global Bond | 53,297,580 | 18,488,959 | 15,320 | — | |||
Defensive Market Strategies | 478,963 | — | 552,627 | — | |||
International Equity | 212,956,595 | 42,758,504 | — | 17,545,708 | |||
Emerging Markets Equity | 95,120,685 | 10,678,029 | — | 1,384,532 | |||
Strategic Alternatives | 485,655,974 | 33,133,197 | 858,060 | 138,372,716 |
Table of Contents
Fund | Advisory Fees | Sub-Adviser Fees | ||
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% | ||
Money Market | 0.07% | 0.04% | ||
Low-Duration Bond | 0.11% | 0.19% | ||
Medium-Duration Bond | 0.13% | 0.19% | ||
Extended-Duration Bond | 0.25% | 0.23% | ||
Global Bond | 0.25% | 0.23% | ||
Defensive Market Strategies | 0.33% | 0.29% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.21% | ||
Growth Equity | 0.33% | 0.34% | ||
Small Cap Equity | 0.33% | 0.60% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.39% | ||
Emerging Markets Equity | 0.33% | 0.61% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.47% |
Gross Advisory Fee | Waiver/ Reimbursements(1) | Net Advisory Fee (Reimbursement) | |||
MyDestination 2015 | $ 635,273 | $ (129,495) | $ 505,778 | ||
MyDestination 2025 | 1,150,409 | (174,630) | 975,779 | ||
MyDestination 2035 | 695,239 | (53,379) | 641,860 | ||
MyDestination 2045 | 529,019 | (32,865) | 496,154 | ||
MyDestination 2055 | 138,299 | (117,152) | 21,147 | ||
Conservative Allocation | 515,118 | — | 515,118 | ||
Balanced Allocation | 1,578,153 | — | 1,578,153 | ||
Growth Allocation | 1,228,747 | — | 1,228,747 | ||
Aggressive Allocation | 1,051,158 | — | 1,051,158 | ||
Money Market(2) | 824,387 | — | 824,387 |
Table of Contents
Gross Advisory Fee | Waiver/ Reimbursements(1) | Net Advisory Fee (Reimbursement) | |||
Low-Duration Bond | $1,023,745 | $(48,549) | $975,196 | ||
Medium-Duration Bond | 1,970,655 | (174,019) | 1,796,636 | ||
Extended-Duration Bond | 580,636 | (13,762) | 566,874 | ||
Global Bond | 1,359,670 | (86,418) | 1,273,252 | ||
Defensive Market Strategies | 3,413,559 | (87,105) | 3,326,454 | ||
Equity Index | 968,332 | (95,755) | 872,577 | ||
Value Equity | 4,672,749 | (82,469) | 4,590,280 | ||
Growth Equity | 5,767,732 | (150,962) | 5,616,770 | ||
Small Cap Equity | 1,887,784 | (52,846) | 1,834,938 | ||
International Equity Index | 299,004 | — | 299,004 | ||
International Equity | 4,932,354 | (176,471) | 4,755,883 | ||
Emerging Markets Equity | 1,565,001 | 352,608 | 1,917,609 | ||
Global Real Estate Securities | 680,960 | (10,443) | 670,517 | ||
Strategic Alternatives | 1,531,886 | (41,229) | 1,490,657 |
Table of Contents
For the Period January 1, 2018 to September 30, 2018 | For the Period October 1, 2018 to December 31, 2018 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | 0.20% | 0.40% | 0.50% | 0.75% | ||||
MyDestination 2025 | 0.20% | 0.40% | 0.50% | 0.75% | ||||
MyDestination 2035 | 0.20% | 0.40% | 0.50% | 0.75% | ||||
MyDestination 2045 | 0.20% | 0.40% | 0.50% | 0.75% | ||||
MyDestination 2055 | 0.20% | 0.40% | 0.50% | 0.75% | ||||
International Equity Index | 0.57% | N/A | 0.22% | N/A | ||||
Emerging Markets Equity | 1.32% | 1.57% | 1.32% | 1.57% | ||||
Strategic Alternatives | 1.28% | 1.53% | 1.28% | 1.53% | ||||
Equity Index | N/A | N/A | 0.15% | N/A |
Institutional Class | Investor Class | ||||||||||||
2019 | 2020 | 2021 | 2019 | 2020 | 2021 | ||||||||
MyDestination 2015 | $N/A | $— | $23,338 | $180,574 | $30,638 | $106,157 | |||||||
MyDestination 2025 | N/A | — | 34,998 | 185,515 | — | 139,632 | |||||||
MyDestination 2035 | N/A | — | 13,410 | 206,887 | 24,128 | 39,969 | |||||||
MyDestination 2045 | N/A | — | 6,432 | 232,288 | 59,007 | 26,433 | |||||||
MyDestination 2055 | N/A | 28,120 | 27,146 | 253,134 | 110,489 | 90,006 | |||||||
International Equity Index | — | — | — | N/A | N/A | N/A | |||||||
Emerging Markets Equity | 158,243 | 16,344 | — | 155,353 | 77,711 | — | |||||||
Strategic Alternatives | N/A | — | — | N/A | — | — | |||||||
Equity Index | — | — | — | N/A | N/A | N/A |
Fund | Expenses Paid Through Brokerage Service Arrangements | |
Value Equity | $ 44,891 | |
Growth Equity | 28,482 | |
Small Cap Equity | 30,540 | |
Emerging Markets Equity | 4,467 | |
Global Real Estate Securities | 17,236 |
Table of Contents
Fund | MyDestination 2015 | MyDestination 2025 | MyDestination 2035 | MyDestination 2045 | MyDestination 2055 | |||||
Low-Duration Bond | 10.01% | 5.58% | —% | —% | —% | |||||
Money Market | 0.60 | 1.28 | 1.28 | 0.83 | 0.29 | |||||
Medium-Duration Bond | 10.08 | 19.79 | 7.92 | 2.88 | 0.55 | |||||
Global Bond | 11.70 | 16.43 | 5.41 | 2.07 | 0.41 | |||||
Defensive Market Strategies | 6.42 | 12.16 | 3.93 | 2.53 | 0.72 | |||||
Equity Index | 6.60 | 17.97 | 16.20 | 14.24 | 4.27 | |||||
Small Cap Equity | 1.95 | 5.34 | 4.84 | 4.33 | 1.32 | |||||
International Equity Index | 10.62 | 29.36 | 27.18 | 24.04 | 7.10 | |||||
Emerging Markets Equity | 3.83 | 10.80 | 9.91 | 8.80 | 2.59 | |||||
Global Real Estate Securities | 2.69 | 6.35 | 5.08 | 4.43 | 1.27 | |||||
Strategic Alternatives Fund | 7.40 | 7.75 | — | — | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Low-Duration Bond | 26.22% | 10.39% | 3.50% | —% | ||||
Money Market | 0.41 | 2.06 | 1.46 | 1.48 | ||||
Medium-Duration Bond | 4.32 | 23.11 | 7.98 | — | ||||
Extended-Duration Bond | — | 28.03 | 9.40 | — | ||||
Global Bond | 3.14 | 24.31 | 8.18 | — | ||||
Defensive Market Strategies | 3.53 | 14.73 | 4.99 | — | ||||
Value Equity | 2.67 | 14.88 | 19.74 | 23.48 | ||||
Growth Equity | 2.01 | 11.26 | 14.88 | 17.81 | ||||
Small Cap Equity | 1.00 | 5.72 | 7.86 | 9.98 | ||||
International Equity | 2.88 | 16.14 | 21.63 | 25.28 | ||||
Emerging Markets Equity | 2.11 | 10.88 | 15.01 | 18.12 | ||||
Global Real Estate Securities | 2.86 | 14.82 | 16.96 | — | ||||
Strategic Alternatives | 6.56 | 15.68 | 7.27 | — |
Table of Contents
Total Value at 12/31/17 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/18 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $12,106 | $70,806 | $75,411 | $— | $— | $7,501 | $150 | $— | |||||||
Low-Duration Bond | 83,676 | 15,807 | 7,570 | (135) | (849) | 90,929 | 2,275 | — | |||||||
Medium-Duration Bond | 143,030 | 26,448 | 12,120 | (788) | (4,223) | 152,347 | 4,364 | — | |||||||
Global Bond | 56,061 | 12,150 | 2,000 | (158) | (4,763) | 61,290 | 2,002 | — | |||||||
Defensive Market Strategies | 70,548 | 6,325 | 6,975 | 610 | (5,539) | 64,969 | 917 | 3,287 | |||||||
Equity Index | 36,262 | 92,598 | 11,020 | 2,392 | (14,802) | 105,430 | 1,149 | 394 | |||||||
Value Equity | 38,924 | 738 | 40,945 | 1,551 | (268) | — | 322 | 276 | |||||||
Growth Equity | 38,687 | 23 | 45,066 | 6,626 | (270) | — | 16 | 7 | |||||||
Small Cap Equity | 11,294 | 2,994 | 1,775 | 159 | (3,157) | 9,515 | — | 1,904 | |||||||
International Equity Index | 21,474 | 45,559 | 725 | 62 | (8,454) | 57,916 | 822 | — | |||||||
International Equity | 43,459 | 2,779 | 45,056 | 1,808 | (2,990) | — | — | — | |||||||
Emerging Markets Equity | 18,733 | 2,555 | 950 | 131 | (4,202) | 16,267 | 110 | — | |||||||
Inflation Protected Bond (See Note 12) | 24,223 | 3 | 24,076 | (377) | 227 | — | 3 | — | |||||||
Global Real Estate Securities | 5,637 | 759 | 90 | (12) | (515) | 5,779 | 264 | — | |||||||
Strategic Alternatives | 26,891 | 2,325 | — | — | (565) | 28,651 | 516 | 94 | |||||||
$631,005 | $281,869 | $273,779 | $11,869 | $(50,370) | $600,594 | $12,910 | $5,962 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $22,192 | $113,892 | $120,126 | $— | $— | $15,958 | $351 | $— | |||||||
Low-Duration Bond | 29,895 | 22,436 | 1,200 | (12) | (416) | 50,703 | 1,064 | — | |||||||
Medium-Duration Bond | 265,615 | 62,659 | 20,050 | (1,249) | (7,833) | 299,142 | 8,185 | — | |||||||
Global Bond | 73,912 | 21,786 | 3,115 | (194) | (6,315) | 86,074 | 2,631 | — | |||||||
Defensive Market Strategies | 118,178 | 16,516 | 1,960 | 172 | (9,865) | 123,041 | 1,666 | 6,095 | |||||||
Equity Index | 94,422 | 254,307 | 25,965 | 5,888 | (41,437) | 287,215 | 3,172 | 1,092 | |||||||
Value Equity | 97,940 | 4,126 | 105,428 | 4,572 | (1,210) | — | 833 | 712 | |||||||
Growth Equity | 98,695 | 461 | 115,475 | 18,037 | (1,718) | — | 41 | 20 | |||||||
Small Cap Equity | 29,227 | 7,951 | 2,625 | 233 | (8,713) | 26,073 | 5,216 | ||||||||
International Equity Index | 54,954 | 129,297 | 1,230 | 110 | (22,984) | 160,147 | 2,251 | — | |||||||
International Equity | 111,542 | 6,945 | 115,226 | 3,638 | (6,899) | — | — | ||||||||
Emerging Markets Equity | 47,581 | 11,412 | 2,400 | 366 | (11,030) | 45,929 | 312 | — | |||||||
Inflation Protected Bond (See Note 12) | 17,885 | 2 | 17,776 | (179) | 68 | — | 2 | — | |||||||
Global Real Estate Securities | 13,292 | 1,627 | — | — | (1,255) | 13,664 | 623 | — | |||||||
Strategic Alternatives | 26,188 | 4,603 | 170 | — | (630) | 29,991 | 540 | 99 | |||||||
$1,101,518 | $658,020 | $532,746 | $31,382 | $(120,237) | $1,137,937 | $21,671 | $13,234 | ||||||||
Table of Contents
Total Value at 12/31/17 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/18 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $16,753 | $78,416 | $79,208 | $— | $— | $15,961 | $277 | $— | |||||||
Medium-Duration Bond | 99,953 | 31,132 | 8,040 | (485) | (2,846) | 119,714 | 3,158 | — | |||||||
Global Bond | 24,897 | 8,999 | 3,420 | (165) | (1,988) | 28,323 | 872 | — | |||||||
Defensive Market Strategies | 23,507 | 20,238 | 455 | 37 | (3,548) | 39,779 | 533 | 1,960 | |||||||
Equity Index | 85,735 | 220,470 | 14,130 | 3,205 | (36,335) | 258,945 | 2,903 | 1,004 | |||||||
Value Equity | 87,173 | 7,601 | 97,881 | 4,679 | (1,572) | — | 739 | 632 | |||||||
Growth Equity | 86,503 | 2,554 | 103,741 | 16,755 | (2,071) | — | 36 | 17 | |||||||
Small Cap Equity | 25,877 | 6,419 | 725 | 38 | (7,971) | 23,638 | — | 4,729 | |||||||
International Equity Index | 49,165 | 121,082 | 820 | 67 | (21,236) | 148,258 | 2,105 | — | |||||||
International Equity | 99,389 | 11,560 | 108,068 | 1,056 | (3,937) | — | — | — | |||||||
Emerging Markets Equity | 42,937 | 12,085 | 2,900 | 219 | (10,216) | 42,125 | 290 | — | |||||||
Global Real Estate Securities | 10,282 | 1,646 | — | — | (1,004) | 10,924 | 487 | — | |||||||
$652,171 | $522,202 | $419,388 | $25,406 | $(92,724) | $687,667 | $11,400 | $8,342 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $12,588 | $64,798 | $67,036 | $— | $— | $10,350 | $210 | $— | |||||||
Medium-Duration Bond | 35,713 | 12,721 | 3,730 | (173) | (1,047) | 43,484 | 1,141 | — | |||||||
Global Bond | 8,931 | 3,479 | 755 | (16) | (770) | 10,869 | 319 | — | |||||||
Defensive Market Strategies | — | 28,517 | 290 | (1) | (2,624) | 25,602 | 344 | 1,263 | |||||||
Equity Index | 76,209 | 189,000 | 8,233 | 1,825 | (31,247) | 227,554 | 2,566 | 887 | |||||||
Value Equity | 77,815 | 6,638 | 87,237 | 4,668 | (1,884) | — | 657 | 561 | |||||||
Growth Equity | 76,823 | 1,952 | 91,708 | 15,368 | (2,435) | — | 32 | 15 | |||||||
Small Cap Equity | 22,895 | 7,014 | 1,589 | 42 | (7,200) | 21,162 | — | 4,234 | |||||||
International Equity Index | 43,705 | 110,129 | 3,871 | 147 | (19,004) | 131,106 | 1,877 | — | |||||||
International Equity | 88,834 | 11,640 | 98,033 | 1,523 | (3,964) | — | — | — | |||||||
Emerging Markets Equity | 38,085 | 11,392 | 3,435 | 389 | (9,028) | 37,403 | 257 | — | |||||||
Global Real Estate Securities | 8,735 | 1,677 | — | — | (876) | 9,536 | 422 | — | |||||||
$490,333 | $448,957 | $365,917 | $23,772 | $(80,079) | $517,066 | $7,825 | $6,960 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $3,138 | $36,552 | $36,058 | $— | $— | $3,632 | $60 | $— | |||||||
Medium-Duration Bond | 4,532 | 5,391 | 1,475 | (69) | (109) | 8,270 | 212 | — | |||||||
Global Bond | 1,132 | 1,257 | 118 | (1) | (141) | 2,129 | 56 | — | |||||||
Defensive Market Strategies | — | 8,139 | 131 | (3) | (739) | 7,266 | 95 | 352 | |||||||
Equity Index | 18,933 | 61,220 | 3,236 | 738 | (9,433) | 68,222 | 746 | 257 | |||||||
Value Equity | 19,220 | 3,691 | 23,655 | 1,606 | (862) | — | 174 | 149 | |||||||
Growth Equity | 19,195 | 2,892 | 25,475 | 4,466 | (1,078) | — | 8 | 4 | |||||||
Small Cap Equity | 5,663 | 3,519 | 505 | 98 | (2,327) | 6,448 | — | 1,290 | |||||||
International Equity Index | 10,893 | 34,447 | 1,155 | 7 | (5,490) | 38,702 | 557 | — | |||||||
International Equity | 22,090 | 5,430 | 26,794 | 584 | (1,310) | — | — | ||||||||
Emerging Markets Equity | 9,388 | 4,536 | 450 | 69 | (2,521) | 11,022 | 75 | — | |||||||
Global Real Estate Securities | 2,173 | 938 | 128 | (5) | (239) | 2,739 | 114 | — | |||||||
$116,357 | $168,012 | $119,180 | $7,490 | $(24,249) | $148,430 | $2,097 | $2,052 | ||||||||
Table of Contents
Total Value at 12/31/17 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/18 | Dividend Income | Distributions of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $4,159 | $52,014 | $51,025 | $— | $— | $5,148 | $115 | $— | |||||||
Low-Duration Bond | 234,814 | 27,921 | 21,875 | (703) | (1,892) | 238,265 | 5,950 | — | |||||||
Medium-Duration Bond | 61,978 | 8,246 | 2,840 | (231) | (1,902) | 65,251 | 1,839 | — | |||||||
Global Bond | 15,659 | 2,176 | 100 | (2) | (1,296) | 16,437 | 530 | — | |||||||
Defensive Market Strategies | 38,041 | 3,328 | 2,860 | 252 | (2,991) | 35,770 | 497 | 1,796 | |||||||
Value Equity | 30,018 | 9,391 | 3,980 | (66) | (7,636) | 27,727 | 585 | 4,142 | |||||||
Growth Equity | 29,630 | 7,148 | 5,285 | 228 | (3,778) | 27,943 | 12 | 4,285 | |||||||
Small Cap Equity | 6,073 | 1,521 | 1,160 | 63 | (1,623) | 4,874 | — | 975 | |||||||
International Equity | 32,913 | 8,778 | 1,770 | 70 | (8,872) | 31,119 | 801 | 2,992 | |||||||
Emerging Markets Equity | 9,702 | 2,031 | 665 | 76 | (2,180) | 8,964 | 61 | — | |||||||
Inflation Protected Bond (See Note 12) | 18,866 | 2 | 18,752 | (287) | 171 | — | 2 | — | |||||||
Global Real Estate Securities | 5,776 | 935 | — | — | (555) | 6,156 | 281 | — | |||||||
Strategic Alternatives | 25,067 | 1,100 | 285 | 5 | (503) | 25,384 | 456 | 83 | |||||||
$512,696 | $124,591 | $110,597 | $(595) | $(33,057) | $493,038 | $11,129 | $14,273 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $34,920 | $87,927 | $97,044 | $— | $— | $25,803 | $543 | $— | |||||||
Low-Duration Bond | 102,990 | 5,167 | 12,700 | (207) | (865) | 94,385 | 2,416 | — | |||||||
Medium-Duration Bond | 323,215 | 71,533 | 33,350 | (3,002) | (9,017) | 349,379 | 10,172 | — | |||||||
Extended-Duration Bond | 68,277 | 5,513 | 7,250 | (1,459) | (3,313) | 61,768 | 2,123 | 512 | |||||||
Global Bond | 136,355 | 9,891 | 8,400 | (543) | (9,964) | 127,339 | 4,301 | — | |||||||
Defensive Market Strategies | 162,523 | 14,133 | 16,105 | 1,395 | (12,889) | 149,057 | 2,098 | 7,531 | |||||||
Value Equity | 172,871 | 33,124 | 5,860 | (268) | (45,332) | 154,535 | 3,315 | 24,058 | |||||||
Growth Equity | 174,330 | 35,019 | 34,000 | 1,752 | (20,403) | 156,698 | 68 | 24,050 | |||||||
Small Cap Equity | 34,568 | 7,885 | 5,540 | 396 | (9,393) | 27,916 | — | 5,585 | |||||||
International Equity | 196,362 | 37,913 | 9,865 | 613 | (50,681) | 174,342 | 4,550 | 16,903 | |||||||
Emerging Markets Equity | 56,665 | 5,925 | 4,795 | 695 | (12,234) | 46,256 | 314 | — | |||||||
Inflation Protected Bond (See Note 12) | 55,710 | 5 | 55,370 | (962) | 617 | — | 6 | — | |||||||
Global Real Estate Securities | 33,559 | 3,045 | 1,740 | (210) | (2,775) | 31,879 | 1,481 | — | |||||||
Strategic Alternatives | 61,385 | 3,941 | 3,415 | 29 | (1,236) | 60,704 | 1,093 | 199 | |||||||
$1,613,730 | $321,021 | $295,434 | $(1,771) | $(177,485) | $1,460,061 | $32,480 | $78,838 | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $25,873 | $67,803 | $75,475 | $— | $— | $18,201 | $425 | $— | |||||||
Low-Duration Bond | 35,221 | 3,261 | 6,270 | (107) | (268) | 31,837 | 841 | — | |||||||
Medium-Duration Bond | 129,044 | 9,588 | 13,795 | (903) | (3,352) | 120,582 | 3,533 | — | |||||||
Extended-Duration Bond | 23,520 | 2,559 | 3,700 | (749) | (913) | 20,717 | 748 | 181 | |||||||
Global Bond | 47,112 | 4,193 | 4,780 | (355) | (3,306) | 42,864 | 1,492 | — | |||||||
Defensive Market Strategies | 56,934 | 4,772 | 7,175 | (264) | (3,773) | 50,494 | 724 | 2,591 | |||||||
Value Equity | 240,278 | 39,645 | 13,180 | (606) | (61,204) | 204,933 | 4,493 | 32,552 | |||||||
Growth Equity | 233,527 | 40,345 | 39,460 | 1,914 | (29,239) | 207,087 | 94 | 33,466 | |||||||
Small Cap Equity | 46,558 | 10,164 | 6,810 | 472 | (12,023) | 38,361 | — | 7,239 | |||||||
International Equity | 268,037 | 43,237 | 8,270 | 548 | (69,904) | 233,648 | 6,217 | 23,131 | |||||||
Emerging Markets Equity | 77,118 | 7,036 | 4,410 | 642 | (16,584) | 63,802 | 433 | — | |||||||
Global Real Estate Securities | 38,184 | 2,986 | 1,200 | (141) | (3,354) | 36,475 | 1,696 | — | |||||||
Strategic Alternatives | 30,296 | 1,798 | 3,410 | (19) | (538) | 28,127 | 506 | 92 | |||||||
$1,251,702 | $237,387 | $187,935 | $432 | $(204,458) | $1,097,128 | $21,202 | $99,252 |
Table of Contents
Total Value at 12/31/17 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/18 | Dividend Income | Distributions of Realized Gains | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $21,357 | $62,384 | $65,292 | $— | $— | $18,449 | $359 | $— | |||||||
Value Equity | 286,620 | 48,639 | 17,560 | (923) | (73,039) | 243,737 | 5,413 | 38,926 | |||||||
Growth Equity | 280,845 | 42,993 | 43,085 | 1,904 | (34,842) | 247,815 | 115 | 40,217 | |||||||
Small Cap Equity | 56,568 | 14,632 | 7,665 | 549 | (15,376) | 48,708 | — | 9,172 | |||||||
International Equity | 321,532 | 49,548 | 13,210 | (3,049) | (81,774) | 273,047 | 7,401 | 28,053 | |||||||
Emerging Markets Equity | 92,968 | 10,700 | 6,500 | 113 | (20,223) | 77,058 | 540 | — | |||||||
$1,059,890 | $228,896 | $153,312 | $(1,406) | $(225,254) | $908,814 | $13,828 | $116,368 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $12,894 | $400,767 | $405,551 | $— | $— | $8,110 | $278 | $— | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $96,107 | $917,950 | $985,076 | $— | $— | $28,981 | $998 | $— | |||||||
Extended-Duration Bond | |||||||||||||||
Money Market | $6,203 | $69,239 | $71,172 | $— | $— | $4,270 | $82 | $— | |||||||
Global Bond | |||||||||||||||
Money Market | $29,746 | $327,564 | $326,394 | $— | $— | $30,916 | $510 | $— | |||||||
Defensive Market Strategies | |||||||||||||||
Money Market | $33,299 | $425,338 | $427,242 | $— | $— | $31,395 | $526 | $— | |||||||
Equity Index | |||||||||||||||
Money Market | $32,457 | $985,901 | $934,694 | $— | $— | $83,664 | $620 | $— | |||||||
Value Equity | |||||||||||||||
Money Market | $35,766 | $442,593 | $432,414 | $— | $— | $45,945 | $492 | $— | |||||||
Growth Equity | |||||||||||||||
Money Market | $51,856 | $757,112 | $752,931 | $— | $— | $56,037 | $915 | $— | |||||||
Small Cap Equity | |||||||||||||||
Money Market | $24,758 | $217,586 | $225,349 | $— | $— | $16,995 | $318 | $— | |||||||
International Equity Index | |||||||||||||||
Money Market | $7,056 | $482,637 | $464,119 | $— | $— | $25,574 | $263 | $— | |||||||
International Equity | |||||||||||||||
Money Market | $69,015 | $757,264 | $765,469 | $— | $— | $60,810 | $1,048 | $— | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $19,609 | $209,269 | $213,269 | $— | $— | $15,609 | $264 | $— | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $4,591 | $58,147 | $58,584 | $— | $— | $4,154 | $64 | $— | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $26,435 | $400,026 | $415,467 | $— | $— | $10,994 | $235 | $— |
Table of Contents
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral | ||||
Low-Duration Bond | $29,542,944 | $ 25,276,406 | $ 5,294,384 | $ 30,570,790 | ||||
Medium-Duration Bond | 50,246,680 | 48,000,335 | 4,216,070 | 52,216,405 | ||||
Extended-Duration Bond | 5,764,524 | 5,733,554 | 312,356 | 6,045,910 | ||||
Global Bond | 40,373,830 | 27,398,146 | 14,685,117 | 42,083,263 | ||||
Defensive Market Strategies | 58,329,096 | 29,066,855 | 30,515,443 | 59,582,298 | ||||
Equity Index | 74,191,141 | 74,301,450 | 1,647,492 | 75,948,942 | ||||
Value Equity | 29,240,358 | 26,928,239 | 3,030,212 | 29,958,451 | ||||
Growth Equity | 143,812,618 | 146,622,996 | 1,326,223 | 147,949,219 | ||||
Small Cap Equity | 102,492,114 | 90,236,340 | 15,056,596 | 105,292,936 | ||||
International Equity Index | 22,494,249 | 21,725,684 | 2,021,067 | 23,746,751 | ||||
International Equity | 24,681,375 | 23,268,172 | 2,613,371 | 25,881,543 | ||||
Emerging Markets Equity | 5,914,607 | 2,809,878 | 3,325,866 | 6,135,744 | ||||
Global Real Estate Securities | 12,077,002 | 11,635,610 | 962,747 | 12,598,357 |
Fund | Value of Securities Loaned | Fair Value of Non-cash Collateral | Cash Collateral (Pledged) | Net Amount(1) | ||||
Low-Duration Bond | $ 29,542,944 | $ (25,276,406) | $ (4,266,538) | $— | ||||
Medium-Duration Bond | 50,246,680 | (48,000,335) | (2,246,345) | — | ||||
Extended-Duration Bond | 5,764,524 | (5,733,554) | (30,970) | — | ||||
Global Bond | 40,727,922 | (27,398,146) | (13,329,776) | — |
Table of Contents
Fund | Value of Securities Loaned | Fair Value of Non-cash Collateral | Cash Collateral (Pledged) | Net Amount(1) | ||||
Defensive Market Strategies | $58,329,096 | $(29,066,855) | $(29,262,241) | $— | ||||
Equity Index | 74,191,141 | (74,191,141) | — | — | ||||
Value Equity | 29,240,358 | (26,928,239) | (2,312,119) | — | ||||
Growth Equity | 143,812,618 | (143,812,618) | — | — | ||||
Small Cap Equity | 102,492,114 | (90,236,340) | (12,255,774) | — | ||||
International Equity Index | 22,494,249 | (21,725,684) | (768,565) | — | ||||
International Equity | 24,681,375 | (23,268,172) | (1,413,203) | — | ||||
Emerging Markets Equity | 5,914,607 | (2,809,878) | (3,104,729) | — | ||||
Global Real Estate Securities | 12,077,002 | (11,635,610) | (441,392) | — | ||||
(1)Net amount represents the net amount receivable due from (payable to) the counterparty in the event of default. |
Fund | Overnight and Continuous | 30 — 90 Days | Greater than 90 Days | Total | ||||
Low-Duration Bond | ||||||||
Corporate Bonds, Foreign Bonds, | ||||||||
U.S. Treasury Obligations | $5,294,384 | $— | $— | $5,294,384 | ||||
Medium-Duration Bond | ||||||||
Corporate Bonds, Foreign Bonds, U.S. Treasury Obligations | 4,216,070 | — | — | 4,216,070 | ||||
Extended-Duration Bond | ||||||||
Corporate Bonds, Foreign Bonds, Preferred Stocks | 312,356 | — | — | 312,356 | ||||
Global Bond | ||||||||
Common Stocks, Corporate Bonds, Foreign Bonds, | ||||||||
Foreign Common Stocks, Preferred Stocks, U.S. Treasury Obligations | 14,685,117 | — | — | 14,685,117 | ||||
Defensive Market Strategies | ||||||||
Common Stocks, Corporate Bonds, Foreign Bonds, | ||||||||
Foreign Common Stocks, Mutual Funds, Preferred Stocks | 30,515,443 | — | — | 30,515,443 | ||||
Equity Index | ||||||||
Common Stocks, Foreign Common Stocks | 1,647,492 | — | — | 1,647,492 | ||||
Value Equity | ||||||||
Common Stocks, Foreign Common Stocks | 3,030,212 | — | — | 3,030,212 | ||||
Growth Equity | ||||||||
Common Stocks, Foreign Common Stocks | 1,326,223 | — | — | 1,326,223 | ||||
Small Cap Equity | ||||||||
Common Stocks, Foreign Common Stocks | 15,056,596 | — | — | 15,056,596 | ||||
International Equity Index | ||||||||
Foreign Common Stocks | 2,021,067 | — | — | 2,021,067 | ||||
Table of Contents
Fund | Overnight and Continuous | 30 — 90 Days | Greater than 90 Days | Total | ||||
International Equity | ||||||||
Common Stocks, Foreign Common Stocks | $2,613,371 | $— | $— | $2,613,371 | ||||
Emerging Markets Equity | ||||||||
Common Stocks, Foreign Common Stocks, | ||||||||
Foreign Preferred Stocks | 3,325,866 | — | — | 3,325,866 | ||||
Global Real Estate Securities | ||||||||
Common Stocks, Foreign Common Stocks | 962,747 | — | — | 962,747 |
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 2015 | $ 211,063,176 | $ 198,367,424 | $— | $— | |||
MyDestination 2025 | 544,127,337 | 412,618,746 | — | — | |||
MyDestination 2035 | 443,785,935 | 340,179,619 | — | — | |||
MyDestination 2045 | 384,158,731 | 298,881,450 | — | — | |||
MyDestination 2055 | 131,461,971 | 83,124,809 | — | — | |||
Conservative Allocation | 72,575,899 | 59,571,974 | — | — | |||
Balanced Allocation | 233,095,482 | 198,390,219 | — | — | |||
Growth Allocation | 169,583,750 | 112,460,000 | — | — | |||
Aggressive Allocation | 166,511,370 | 88,020,000 | — | — | |||
Low-Duration Bond | 356,783,411 | 425,885,452 | 4,284,634,279 | 4,342,056,388 | |||
Medium-Duration Bond | 6,177,000,347 | 5,737,056,912 | 647,069,318 | 788,579,703 | |||
Extended-Duration Bond | 50,203,928 | 23,332,524 | 49,540,804 | 90,487,224 | |||
Global Bond | 132,545,267 | 92,207,709 | 31,287,637 | 20,046,697 | |||
Defensive Market Strategies | 549,509,556 | 498,314,730 | — | — | |||
Equity Index | 752,778,359 | 30,603,785 | — | — | |||
Value Equity | 524,041,117 | 877,289,569 | — | — | |||
Growth Equity | 313,434,932 | 742,566,345 | — | — | |||
Small Cap Equity | 943,703,808 | 937,778,450 | — | — | |||
International Equity Index | 421,923,524 | 13,088,621 | — | — | |||
International Equity | 1,018,539,390 | 1,318,969,013 | — | — | |||
Emerging Markets Equity | 711,830,922 | 680,946,559 | — | — | |||
Global Real Estate Securities | 285,402,498 | 283,768,050 | — | — | |||
Strategic Alternatives | 251,237,439 | 246,919,338 | 19,680,951 | 19,724,346 |
Table of Contents
Year Ended 12/31/18 | Year Ended 12/31/17 | ||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | |||||||
Shares sold | 1,592,802 | 7,664,541 | 11,311,755 | 8,161,355 | |||
Shares reinvested | 691,890 | 3,169,737 | 294,297 | 1,282,525 | |||
Shares redeemed | (1,692,956) | (8,305,598) | (1,102,017) | (15,353,846) | |||
Net increase (decrease) | 591,736 | 2,528,680 | 10,504,035 | (5,909,966) | |||
MyDestination 2025 | |||||||
Shares sold | 5,435,507 | 11,013,083 | 21,786,823 | 13,964,826 | |||
Shares reinvested | 1,750,073 | 5,958,892 | 866,930 | 3,230,196 | |||
Shares redeemed | (1,496,924) | (5,621,517) | (997,626) | (23,795,418) | |||
Net increase (decrease) | 5,688,656 | 11,350,458 | 21,656,127 | (6,600,396) | |||
MyDestination 2035 | |||||||
Shares sold | 4,259,575 | 7,435,946 | 15,294,295 | 8,309,475 | |||
Shares reinvested | 1,389,913 | 3,995,826 | 599,898 | 1,865,235 | |||
Shares redeemed | (893,295) | (2,044,306) | (577,563) | (15,040,131) | |||
Net increase (decrease) | 4,756,193 | 9,387,466 | 15,316,630 | (4,865,421) | |||
MyDestination 2045 | |||||||
Shares sold | 3,644,133 | 5,819,518 | 14,986,419 | 5,916,597 | |||
Shares reinvested | 1,471,382 | 3,176,096 | 662,778 | 1,502,334 | |||
Shares redeemed | (694,206) | (1,337,921) | (513,484) | (14,314,901) | |||
Net increase (decrease) | 4,421,309 | 7,657,693 | 15,135,713 | (6,895,970) | |||
MyDestination 2055 | |||||||
Shares sold | 1,735,905 | 2,251,547 | 2,804,021 | 2,448,608 | |||
Shares reinvested | 349,702 | 593,894 | 125,955 | 250,170 | |||
Shares redeemed | (190,603) | (421,124) | (93,452) | (2,345,351) | |||
Net increase (decrease) | 1,895,004 | 2,424,317 | 2,836,524 | 353,427 | |||
Conservative Allocation | |||||||
Shares sold | 1,397,312 | 3,933,200 | 2,604,032 | 10,852,413 | |||
Shares issued for merger | - | - | - | 9,553,188 | |||
Shares reinvested | 272,742 | 1,183,139 | 135,077 | 587,792 | |||
Shares redeemed | (1,084,008) | (5,097,960) | (2,206,596) | (11,853,182) | |||
Net increase (decrease) | 586,046 | 18,379 | 532,513 | 9,140,211 | |||
Balanced Allocation | |||||||
Shares sold | 1,247,657 | 3,732,737 | 3,604,680 | 5,838,745 | |||
Shares reinvested | 1,212,231 | 4,504,896 | 707,736 | 2,490,824 | |||
Shares redeemed | (3,145,614) | (8,296,634) | (6,264,351) | (7,412,128) | |||
Net increase (decrease) | (685,726) | (59,001) | (1,951,935) | 917,441 | |||
Table of Contents
Year Ended 12/31/18 | Year Ended 12/31/17 | ||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Growth Allocation | |||||||
Shares sold | 584,203 | 2,640,443 | 979,587 | 3,728,084 | |||
Shares reinvested | 966,710 | 3,155,813 | 1,059,613 | 3,547,036 | |||
Shares redeemed | (1,781,797) | (6,724,880) | (1,908,452) | (5,796,094) | |||
Net increase (decrease) | (230,884) | (928,624) | 130,748 | 1,479,026 | |||
Aggressive Allocation | |||||||
Shares sold | 472,057 | 2,132,753 | 498,052 | 2,635,197 | |||
Shares reinvested | 638,095 | 2,666,545 | 1,104,497 | 4,768,864 | |||
Shares redeemed | (1,333,609) | (5,264,693) | (1,500,639) | (4,481,481) | |||
Net increase (decrease) | (223,457) | (465,395) | 101,910 | 2,922,580 | |||
Money Market | |||||||
Shares sold | 1,748,822,489 | 4,746,224,687 | 807,335,296 | 4,112,657,567 | |||
Shares reinvested | 2,208,187 | 5,445,866 | 892,830 | 2,182,091 | |||
Shares redeemed | (1,178,447,349) | (5,238,005,118) | (790,919,842) | (4,170,940,970) | |||
Net increase (decrease) | 572,583,327 | (486,334,565) | 17,308,284 | (56,101,312) | |||
Low-Duration Bond | |||||||
Shares sold | 7,598,064 | 2,461,282 | 11,797,654 | 4,475,371 | |||
Shares reinvested | 1,120,581 | 496,739 | 759,850 | 298,655 | |||
Shares redeemed | (7,437,019) | (3,068,194) | (12,093,538) | (2,584,765) | |||
Net increase (decrease) | 1,281,626 | (110,173) | 463,966 | 2,189,261 | |||
Medium-Duration Bond | |||||||
Shares sold | 16,940,380 | 3,332,425 | 21,590,615 | 4,508,267 | |||
Shares reinvested | 2,434,579 | 461,492 | 1,359,854 | 305,851 | |||
Shares redeemed | (9,644,859) | (3,137,711) | (2,144,985) | (1,474,724) | |||
Net increase (decrease) | 9,730,100 | 656,206 | 20,805,484 | 3,339,394 | |||
Extended-Duration Bond | |||||||
Shares sold | 449,708 | 796,153 | 574,697 | 1,018,406 | |||
Shares reinvested | 270,425 | 237,241 | 267,374 | 248,393 | |||
Shares redeemed | (1,081,183) | (1,297,143) | (853,288) | (1,366,343) | |||
Net increase (decrease) | (361,050) | (263,749) | (11,217) | (99,544) | |||
Global Bond | |||||||
Shares sold | 7,558,859 | 2,522,405 | 7,397,690 | 3,788,108 | |||
Shares reinvested | 1,386,648 | 379,119 | 1,364,492 | 382,595 | |||
Shares redeemed | (5,259,775) | (2,836,189) | (3,478,226) | (1,183,453) | |||
Net increase (decrease) | 3,685,732 | 65,335 | 5,283,956 | 2,987,250 | |||
Defensive Market Strategies | |||||||
Shares sold | 8,509,401 | 7,339,280 | 10,935,031 | 9,469,733 | |||
Shares reinvested | 3,377,339 | 1,751,027 | 2,633,634 | 1,418,838 | |||
Shares redeemed | (3,671,181) | (6,948,280) | (12,057,475) | (5,648,763) | |||
Net increase (decrease) | 8,215,559 | 2,142,027 | 1,511,190 | 5,239,808 | |||
Table of Contents
Year Ended 12/31/18 | Year Ended 12/31/17 | ||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Equity Index | |||||||
Shares sold | 26,415,319 | 2,666,638 | 2,670,293 | 2,577,662 | |||
Shares reinvested | 635,988 | 329,987 | 354,894 | 331,218 | |||
Shares redeemed | (3,267,111) | (2,013,706) | (999,744) | (1,763,054) | |||
Net increase (decrease) | 23,784,196 | 982,919 | 2,025,443 | 1,145,826 | |||
Value Equity | |||||||
Shares sold | 2,427,541 | 1,334,212 | 4,399,848 | 1,112,974 | |||
Shares reinvested | 7,299,082 | 3,388,630 | 3,432,082 | 1,190,539 | |||
Shares redeemed | (17,432,247) | (2,197,442) | (1,704,687) | (2,344,749) | |||
Net increase (decrease) | (7,705,624) | 2,525,400 | 6,127,243 | (41,236) | |||
Growth Equity | |||||||
Shares sold | 2,611,117 | 3,989,703 | 2,633,409 | 2,940,628 | |||
Shares reinvested | 5,525,364 | 4,664,964 | 4,487,829 | 2,263,183 | |||
Shares redeemed | (18,178,641) | (2,790,036) | (3,664,559) | (2,053,753) | |||
Net increase (decrease) | (10,042,160) | 5,864,631 | 3,456,679 | 3,150,058 | |||
Small Cap Equity | |||||||
Shares sold | 1,854,040 | 2,279,150 | 2,426,384 | 1,038,450 | |||
Shares reinvested | 3,707,989 | 3,486,885 | 1,162,291 | 1,014,494 | |||
Shares redeemed | (1,926,065) | (2,234,624) | (2,726,187) | (2,996,412) | |||
Net increase (decrease) | 3,635,964 | 3,531,411 | 862,488 | (943,468) | |||
International Equity Index | |||||||
Shares sold | 41,656,032 | 3,393,145 | |||||
Shares reinvested | 856,762 | 450,292 | |||||
Shares redeemed | (973,357) | (1,367,261) | |||||
Net increase (decrease) | 41,539,437 | 2,476,176 | |||||
International Equity | |||||||
Shares sold | 7,425,117 | 2,175,172 | 4,762,687 | 2,917,522 | |||
Shares reinvested | 8,296,428 | 2,899,478 | 6,500,917 | 1,695,817 | |||
Shares redeemed | (29,345,787) | (2,778,019) | (7,241,803) | (2,711,267) | |||
Net increase (decrease) | (13,624,242) | 2,296,631 | 4,021,801 | 1,902,072 | |||
Emerging Markets Equity | |||||||
Shares sold | 7,175,778 | 4,062,973 | 5,242,544 | 6,002,825 | |||
Shares reinvested | 290,286 | 22,294 | 357,994 | 66,477 | |||
Shares redeemed | (2,936,797) | (5,166,585) | (4,253,483) | (3,000,554) | |||
Net increase (decrease) | 4,529,267 | (1,081,318) | 1,347,055 | 3,068,748 | |||
Global Real Estate Securities | |||||||
Shares sold | 1,352,089 | 1,058,826 | 1,838,741 | 1,264,737 | |||
Shares reinvested | 656,128 | 386,397 | 566,717 | 387,636 | |||
Shares redeemed | (713,302) | (2,238,944) | (2,190,546) | (2,641,183) | |||
Net increase (decrease) | 1,294,915 | (793,721) | 214,912 | (988,810) | |||
Table of Contents
Year Ended 12/31/18 | Year Ended 12/31/17 | ||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Strategic Alternatives | |||||||
Shares sold | 3,454,216 | 2,383,652 | 30,519,947 | 6,233,378 | |||
Shares reinvested | 694,201 | 124,486 | 196,715 | 35,008 | |||
Shares redeemed | (1,713,511) | (1,568,326) | (682,486) | (451,848) | |||
Net increase (decrease) | 2,434,906 | 939,812 | 30,034,176 | 5,816,538 |
Fund | Loan Date | Loan Amount | Loan Rate | Repayment Date | Repayment Amount | |||||
Global Bond Fund | 7/10/2018 | $3,500,000.00 | 2.91% | 7/12/2018 | $3,500,565.83 | |||||
Global Bond Fund | 9/20/2018 | $5,000,000.00 | 2.92% | 9/24/2018 | $5,001,622.20 |
Table of Contents
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2015 | 2018 | $ 22,803,959 | $ 14,085,921 | $ — | $ 36,889,880 | |||||
2017 | 3,028,666 | 13,344,184 | — | 16,372,850 | ||||||
MyDestination 2025 | 2018 | 33,986,791 | 38,055,961 | — | 72,042,752 | |||||
2017 | 11,998,150 | 30,205,364 | — | 42,203,514 | ||||||
MyDestination 2035 | 2018 | 22,165,480 | 25,579,129 | — | 47,744,609 | |||||
2017 | 5,085,384 | 19,417,604 | — | 24,502,988 | ||||||
MyDestination 2045 | 2018 | 15,798,135 | 23,490,194 | — | 39,288,329 | |||||
2017 | 3,506,285 | 17,240,457 | — | 20,746,742 | ||||||
MyDestination 2055 | 2018 | 4,222,783 | 6,934,772 | — | 11,157,555 | |||||
2017 | 160,109 | 4,857,239 | — | 5,017,348 | ||||||
Conservative Allocation | 2018 | 15,397,717 | 437,488 | — | 15,835,205 | |||||
2017 | 3,900,622 | 4,398,229 | — | 8,298,851 | ||||||
Balanced Allocation | 2018 | 59,404,751 | 3,908,455 | — | 63,313,206 | |||||
2017 | 20,890,962 | 18,221,162 | — | 39,112,124 | ||||||
Growth Allocation | 2018 | 41,898,996 | 3,525,774 | — | 45,424,770 | |||||
2017 | 11,871,095 | 45,385,045 | — | 57,256,140 | ||||||
Aggressive Allocation | 2018 | 31,324,625 | 3,691,707 | — | 35,016,332 | |||||
2017 | 11,165,259 | 60,731,715 | — | 71,896,974 | ||||||
Money Market | 2018 | 18,097,193 | — | — | 18,097,193 | |||||
2017 | 7,316,185 | — | — | 7,316,185 | ||||||
Low-Duration Bond | 2018 | 21,597,150 | — | — | 21,597,150 | |||||
2017 | 14,230,530 | — | — | 14,230,530 | ||||||
Medium-Duration Bond | 2018 | 41,568,447 | — | — | 41,568,447 | |||||
2017 | 24,582,654 | — | — | 24,582,654 | ||||||
Extended-Duration Bond | 2018 | 6,878,837 | 1,763,567 | — | 8,642,404 | |||||
2017 | 7,411,170 | 1,673,931 | — | 9,085,101 | ||||||
Global Bond | 2018 | 17,233,962 | — | — | 17,233,962 | |||||
2017 | 17,669,726 | — | — | 17,669,726 | ||||||
Defensive Market Strategies | 2018 | 23,181,404 | 39,872,400 | — | 63,053,804 | |||||
2017 | 23,370,589 | 28,287,458 | — | 51,658,047 | ||||||
Equity Index | 2018 | 21,300,972 | 6,035,838 | — | 27,336,810 | |||||
2017 | 15,992,257 | 3,530,413 | — | 19,522,670 | ||||||
Value Equity | 2018 | 38,627,518 | 153,636,772 | — | 192,264,290 | |||||
2017 | 30,911,640 | 73,574,469 | — | 104,486,109 | ||||||
Growth Equity | 2018 | 5,401,351 | 221,388,439 | — | 226,789,790 | |||||
2017 | 8,392,047 | 162,110,126 | — | 170,502,173 | ||||||
Small Cap Equity | 2018 | 16,705,821 | 80,730,527 | — | 97,436,348 |
Table of Contents
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
2017 | $9,173,522 | $30,630,414 | $— | $39,803,936 | ||||||
International Equity Index | 2018 | 7,738,165 | — | — | 7,738,165 | |||||
2017 | 4,462,915 | 385,690 | — | 4,848,605 | ||||||
International Equity | 2018 | 27,909,942 | 107,935,276 | — | 135,845,218 | |||||
2017 | 44,466,793 | 84,039,499 | — | 128,506,292 | ||||||
Emerging Markets Equity | 2018 | 2,656,034 | — | — | 2,656,034 | |||||
2017 | 4,596,687 | — | — | 4,596,687 | ||||||
Global Real Estate Securities | 2018 | 9,704,770 | — | — | 9,704,770 | |||||
2017 | 9,213,231 | — | — | 9,213,231 | ||||||
Strategic Alternatives | 2018 | 7,693,005 | 367,373 | — | 8,060,378 | |||||
2017 | 2,138,677 | 198,667 | — | 2,337,344 |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain/ (Capital Loss Carryforward) | Qualified Late Year Losses | Net Unrealized Appreciation (Depreciation) | ||||
MyDestination 2015 | $117,711 | $4,033,931 | $— | $(32,349,349) | ||||
MyDestination 2025 | 4,945 | 8,465,699 | — | (76,644,880) | ||||
MyDestination 2035 | 116,439 | 5,290,115 | (168,782) | (60,135,633) | ||||
MyDestination 2045 | 75,063 | 4,480,818 | (259,865) | (49,549,984) | ||||
MyDestination 2055 | 157,981 | 1,170,377 | — | (15,485,645) | ||||
Conservative Allocation | 68,111 | 12,233,550 | — | (30,887,757) | ||||
Balanced Allocation | 346,415 | 66,788,467 | — | (177,024,910) | ||||
Growth Allocation | 255,274 | 89,557,703 | — | (201,624,728) | ||||
Aggressive Allocation | 106,436 | 107,443,501 | — | (215,414,816) | ||||
Money Market | 5,549 | — | — | — | ||||
Low-Duration Bond | 119,598 | (14,858,941) | — | (4,947,270) | ||||
Medium-Duration Bond | 5,445 | (21,420,688) | (2,005,620) | (25,691,081) | ||||
Extended-Duration Bond | 12,216 | 532 | (182,274) | (3,036,198) | ||||
Global Bond | 1,543,454 | (4,096,517) | — | (32,261,467) | ||||
Defensive Market Strategies | 109,918 | 6,732,593 | (329,997) | 37,276,048 | ||||
Equity Index | 68,928 | 1,994,876 | (1,189,091) | 183,412,458 | ||||
Value Equity | 14,612 | 1,004 | (4,947,015) | 22,750,649 | ||||
Growth Equity | 1,362,471 | 21,679,688 | (2,053,718) | 259,381,075 | ||||
Small Cap Equity | 713,862 | — | (1,470,100) | (60,277,448) | ||||
International Equity Index | 55,857 | (2,112,209) | (1,857,795) | (57,514,308) | ||||
International Equity | — | 3,748 | (8,713,260) | (99,880,248) | ||||
Emerging Markets Equity | 37,797 | (7,298,426) | — | (32,027,220) | ||||
Global Real Estate Securities | 173,536 | (4,140,771) | — | (17,056,189) | ||||
Strategic Alternatives | 1,108,988 | — | (2,776,465) | (5,794,649) |
Table of Contents
Fund | Unlimited | Total | ||
Low-Duration Bond | $14,858,941 | $14,858,941 | ||
Medium-Duration Bond | 21,420,688 | 21,420,688 | ||
Global Bond | 4,096,517 | 4,096,517 | ||
International Equity Index | 2,112,209 | 2,112,209 | ||
Emerging Markets Equity | 7,298,426 | 7,298,426 | ||
Global Real Estate Securities | 4,140,771 | 4,140,771 |
During the year ended December 31, 2018, the following Fund utilized capital loss carryforwards to offset capital gains:
Carryforward Utilized | |
Global Bond | $704,503 |
Capital | Ordinary Income | Total | |||
MyDestination 2035 | $168,782 | $— | $168,782 | ||
MyDestination 2045 | 259,865 | — | 259,865 | ||
Medium-Duration Bond | — | 2,005,620 | 2,005,620 | ||
Extended-Duration | 182,274 | — | 182,274 | ||
Defensive Market Strategies | 329,997 | — | 329,997 | ||
Equity Index | 1,189,091 | — | 1,189,091 | ||
Value Equity | 4,947,015 | — | 4,947,015 | ||
Growth Equity | 2,053,718 | — | 2,053,718 | ||
Small Cap Equity | 1,470,100 | — | 1,470,100 | ||
International Equity Index | 1,857,795 | — | 1,857,795 | ||
International Equity | 8,709,208 | 4,052 | 8,713,260 | ||
Strategic Alternatives | 2,776,465 | — | 2,776,465 | ||
Table of Contents
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||
MyDestination 2015 | $633,144,530 | $(32,349,347) | $59 | $(32,349,406) | ||||
MyDestination 2025 | 1,215,086,446 | (76,644,880) | 147 | (76,645,027) | ||||
MyDestination 2035 | 748,503,329 | (60,135,632) | 206 | (60,135,838) | ||||
MyDestination 2045 | 567,166,721 | (49,549,984) | 162 | (49,550,146) | ||||
MyDestination 2055 | 164,116,423 | (15,485,644) | — | (15,485,644) | ||||
Conservative Allocation | 524,028,775 | (30,887,755) | 29 | (30,887,784) | ||||
Balanced Allocation | 1,638,293,410 | (177,024,908) | 235 | (177,025,143) | ||||
Growth Allocation | 1,299,608,596 | (201,624,728) | 250 | (201,624,978) | ||||
Aggressive Allocation | 1,125,231,613 | (215,414,815) | 294 | (215,415,109) | ||||
Money Market | 1,215,503,838 | — | — | — | ||||
Low-Duration Bond | 978,788,752 | (4,839,779) | 3,483,813 | (8,323,592) | ||||
Medium-Duration Bond | 1,731,039,036 | (26,308,786) | 15,101,935 | (41,410,721) | ||||
Extended-Duration Bond | 221,687,642 | (3,035,787) | 5,482,433 | (8,518,220) | ||||
Global Bond | 558,291,440 | (32,228,201) | 10,514,688 | (42,742,889) | ||||
Defensive Market Strategies | 1,008,045,487 | 36,810,605 | 76,831,152 | (40,020,547) | ||||
Equity Index | 1,413,713,719 | 183,412,458 | 252,924,001 | (69,511,543) | ||||
Value Equity | 1,026,031,728 | 22,740,296 | 137,746,508 | (115,006,212) | ||||
Growth Equity | 1,130,131,807 | 259,381,076 | 312,906,813 | (53,525,737) | ||||
Small Cap Equity | 563,570,727 | (60,320,856) | 26,014,381 | (86,335,237) | ||||
International Equity Index | 601,113,754 | (57,542,076) | 6,996,543 | (64,538,619) | ||||
International Equity | 1,185,913,789 | (99,054,841) | 85,909,162 | (184,964,003) | ||||
Emerging Markets Equity | 459,570,662 | (32,235,642) | 17,376,862 | (49,612,504) | ||||
Global Real Estate Securities | 232,497,273 | (17,050,098) | 2,493,940 | (19,544,038) | ||||
Strategic Alternatives | 355,077,737 | (5,856,843) | 1,573,272 | (7,430,115) | ||||
Table of Contents
Fund | Paid in Capital | Undistributed Net Investment Income ** | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions ** | |||
MyDestination 2015 | $— | $ 1,167,626 | $(1,167,626) | |||
MyDestination 2025 | — | 2,342,715 | (2,342,715) | |||
MyDestination 2035 | — | 1,514,532 | (1,514,532) | |||
MyDestination 2045 | — | 1,250,382 | (1,250,382) | |||
MyDestination 2055 | — | 494,958 | (494,958) | |||
Conservative Allocation | — | 1,031,526 | (1,031,526) | |||
Balanced Allocation | — | 5,151,176 | (5,151,176) | |||
Growth Allocation | — | 5,249,741 | (5,249,741) | |||
Aggressive Allocation | — | 5,667,600 | (5,667,600) | |||
Money Market | — | 5,549 | (5,549) | |||
Low-Duration Bond | (405,834) | 2,172,568 | (1,766,734) | |||
Medium-Duration Bond | (276,067) | 1,417,085 | (1,141,018) | |||
Extended-Duration Bond | — | (156,887) | 156,887 | |||
Global Bond | 355,057 | (7,247,563) | 6,892,506 | |||
Defensive Market Strategies | — | 683,171 | (683,171) | |||
Equity Index | — | (249,232) | 249,232 | |||
Value Equity | — | (51,402) | 51,402 | |||
Growth Equity | — | (428,736) | 428,736 | |||
International Equity Index | — | (102,520) | 102,520 | |||
International Equity | — | (2,149,837) | 2,149,837 | |||
Emerging Markets Equity | (9,014) | (4,041,668) | 4,050,682 | |||
Global Real Estate Securities | — | 4,027,328 | (4,027,328) | |||
Strategic Alternatives | (5,560) | 774,566 | (769,006) |
Table of Contents
Table of Contents
MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||
Dividends and Distributions to Shareholders: | |||||||||
Dividends from net investment income | |||||||||
Institutional shares | $(641,478) | $(2,639,827) | $(1,105,684) | $(1,124,943) | $(65,415) | ||||
Investor shares | (1,860,261) | (8,364,170) | (2,490,452) | (1,895,549) | (41,040) | ||||
Distributions from net realized capital gains | |||||||||
Institutional shares | (2,417,980) | (6,291,456) | (4,865,521) | (5,234,610) | (1,616,713) | ||||
Investor shares | (11,453,131) | (24,908,061) | (16,041,331) | (12,491,640) | (3,294,180) |
Table of Contents
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Dividends and Distributions to Shareholders: | |||||||
Dividends from net investment income | |||||||
Institutional shares | $(363,818) | $(4,352,882) | $(2,439,768) | $(2,123,426) | |||
Investor shares | (907,016) | (13,704,307) | (6,311,843) | (7,542,741) | |||
Distributions from net realized capital gains | |||||||
Institutional shares | (1,195,256) | (4,343,325) | (10,773,669) | (11,458,334) | |||
Investor shares | (5,832,761) | (16,711,610) | (37,730,860) | (50,772,473) |
Money Market Fund | Low-Duration Bond Fund | Medium-Duration Bond Fund | Extended-Duration Bond Fund | ||||
Dividends and Distributions to Shareholders: | |||||||
Dividends from net investment income | |||||||
Institutional shares | $(2,230,825) | $(10,229,709) | $(20,072,788) | $(3,878,270) | |||
Investor shares | (5,085,360) | (4,000,821) | (4,509,866) | (3,532,900) | |||
Distributions from net realized capital gains | |||||||
Institutional shares | — | — | — | (832,617) | |||
Investor shares | — | — | — | (841,314) |
Global Bond Fund | Defensive Market Strategies Fund | Equity Index Fund | Value Equity Fund | ||||
Dividends and Distributions to Shareholders: | |||||||
Dividends from net investment income | |||||||
Institutional shares | $(13,826,842) | $(3,675,515) | $(7,183,738) | $(17,608,553) | |||
Investor shares | (3,842,884) | (1,266,103) | (6,406,244) | (5,433,418) | |||
Distributions from net realized capital gains | |||||||
Institutional shares | — | (29,895,180) | (2,906,537) | (59,973,423) | |||
Investor shares | — | (16,821,249) | (3,026,151) | (21,470,715) |
Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | ||||
Dividends and Distributions to Shareholders: | |||||||
Dividends from net investment income | |||||||
Institutional shares | $(740,405) | $(500,162) | $(4,274,787) | $(20,323,118) | |||
Investor shares | — | — | — | (4,650,292) | |||
Distributions from net realized capital gains | |||||||
Institutional shares | (112,679,757) | (20,799,180) | (573,818) | (81,493,158) | |||
Investor shares | (57,082,011) | (18,504,594) | — | (22,039,724) |
Table of Contents
Emerging Markets Equity Fund | Global Real Estate Securities Fund | Strategic Alternatives Fund | |||
Dividends and Distributions to Shareholders: | |||||
Dividends from net investment income | |||||
Institutional shares | $(3,877,025) | $(5,479,616) | $(1,536,102) | ||
Investor shares | (719,662) | (3,733,615) | (261,510) | ||
Distributions from net realized capital gains | |||||
Institutional shares | — | — | (448,116) | ||
Investor shares | — | — | (91,616) |
Table of Contents
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, Money Market Fund, Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Global Bond Fund, Defensive Market Strategies Fund, Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, International Equity Index Fund, International Equity Fund, Emerging Markets Equity Fund and Global Real Estate Securities Fund | Statements of operations for the year ended December 31, 2018 and statements of changes in net assets for the years ended December 31, 2018 and 2017 |
Strategic Alternatives Fund | Statement of operations for the year ended December 31, 2018 and statements of changes in net assets for the year ended December 31, 2018 and for the period June 30, 2017 (inception date) through December 31, 2017 |
Table of Contents
Fund | Ordinary Income | Long-Term Capital Gain (20% rate) | Return of Capital | |||
MyDestination 2015 Fund | $22,803,959 | $14,085,921 | $— | |||
MyDestination 2025 Fund | 33,986,791 | 38,055,961 | — | |||
MyDestination 2035 Fund | 22,165,480 | 25,579,129 | — | |||
MyDestination 2045 Fund | 15,798,135 | 23,490,194 | — | |||
MyDestination 2055 Fund | 4,222,783 | 6,934,772 | — | |||
Conservative Allocation Fund | 15,397,717 | 437,488 | — | |||
Balanced Allocation Fund | 59,404,751 | 3,908,455 | — | |||
Growth Allocation Fund | 41,898,996 | 3,525,774 | — | |||
Aggressive Allocation Fund | 31,324,625 | 3,691,707 | — | |||
Money Market Fund | 18,097,193 | — | — | |||
Low-Duration Bond Fund | 21,597,150 | — | — | |||
Medium-Duration Bond Fund | 41,568,447 | — | — | |||
Extended-Duration Bond Fund | 6,878,837 | 1,763,567 | — | |||
Global Bond Fund | 17,233,962 | — | — | |||
Defensive Market Strategies Fund | 23,181,404 | 39,872,400 | — | |||
Equity Index Fund | 21,300,972 | 6,035,838 | — | |||
Value Equity Fund | 38,627,518 | 153,636,772 | — | |||
Growth Equity Fund | 5,401,351 | 221,388,439 | — | |||
Small Cap Equity Fund | 16,705,821 | 80,730,527 | — | |||
International Equity Index Fund | 7,738,165 | — | — | |||
International Equity Fund | 27,909,942 | 107,935,276 | — | |||
Emerging Markets Equity Fund | 2,656,034 | — | — | |||
Global Real Estate Securities Fund | 9,704,770 | — | — | |||
Strategic Alternatives Fund | 7,693,005 | 367,373 | — | |||
Table of Contents
Fund | Qualified Dividend Income | Qualified Short Term | ||
MyDestination 2015 Fund | 15.23% | —% | ||
MyDestination 2025 Fund | 25.75% | —% | ||
MyDestination 2035 Fund | 31.31% | —% | ||
MyDestination 2045 Fund | 38.12% | —% | ||
MyDestination 2055 Fund | 43.86% | —% | ||
Conservative Allocation Fund | 13.02% | —% | ||
Balanced Allocation Fund | 17.53% | —% | ||
Growth Allocation Fund | 28.89% | —% | ||
Aggressive Allocation Fund | 43.34% | —% | ||
Defensive Market Strategies Fund | 87.43% | —% | ||
Equity Index Fund | 100.00% | 72.58% | ||
Value Equity Fund | 100.00% | 43.22% | ||
Growth Equity Fund | 100.00% | 100.00% | ||
Small Cap Equity Fund | —% | 26.53% | ||
International Equity Index Fund | 100.00% | —% | ||
International Equity Fund | 100.00% | —% | ||
Emerging Markets Equity Fund | 100.00% | —% | ||
Global Real Estate Securities Fund | 8.00% | —% | ||
Strategic Alternatives | 19.42% | —% |
Table of Contents
Table of Contents
Name, (Date of Birth), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee |
INDEPENDENT TRUSTEES | ||||
William Craig George (1958) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2004 | Senior Credit Officer, First National Bank of PA, 2014 - present; Chief Credit Officer, CapStone Bank, 2011 - 2014. | 24 | None |
Barry D. Hartis (1945) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2014 | Certified Public Accountant, 1987 - present. | 24 | GuideStone Financial Resources – Board of Trustees Member, 2004 – 2012; GuideStone Funds – Board of Trustees, Interested Trustee, 2005 – 2012. |
Grady R. Hazel (1947) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2011 | Chief Financial Officer – The Dunham School, 2016 – present; Certified Public Accountant, 2015 - present; G400 Relations Manager, American Institute of Certified Public Accountants, 2012 - 2015; Executive Director, Society of Louisiana CPAs, 1995 - 2012. | 24 | Neighbors Federal Credit Union – Vice - Chairman of the Board; Stonetrust Commercial Insurance Company – Board of Directors Member and Chairman of Audit Committee; State Board of Certified Public Accountants of Louisiana - Board Member. |
Christopher W. Kersey, MD, MBA (1969) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2017 | Founding Managing Partner, Havencrest Healthcare Capital Partners, 2016 - present, Managing Member and Partner, Camden Partners Holdings, LLC - Registered Investment Adviser, 2008 - 2016. | 24 | Essence Group Holdings Corporation - Board of Directors Member, 2011 - 2017; IPG - Board of Directors Member, 2013 - 2016; Metabolon - Board of Directors Member, 2013 - 2016; Paragon Bioservices - Board of Directors Member 2013 - 2016; PatientSafe Solutions - Board of Directors Member 2010 - 2017; Johns Hopkins Medicine International - Chairman of the Board, 2011 - present, John Hopkins Medicine - Board of Trustee Member, 2010 - present; The Johns Hopkins Hospital - Board of Trustees Member, 2010 - present; The Johns Hopkins Hospital Endowment Fund - Board of Directors Member, 2010 - present; The Johns Hopkins Carey Business School - Member of the Health Care Advisory Board of Directors, 2012 - present. |
Joseph A. Mack (1939) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2002 | Independent Consultant, 2010 - present; Director of Public Policy, North Greenville University, 2011 - 2016: Contractor, Interim Director of Public Policy, South Carolina Baptist Convention, 2017; Contractor, South Carolina Citizens for Life, 2014 - present. | 24 | None |
David B. McMillan (1957)2 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2019 | Chief Executive Officer and Founder, Peridot Energy LLC, 2008 - present; Chief Executive Officer, INEA International/VHSC Cement, 2015 - 2017. | 24 | GuideStone Financial Resources - Board of Trustees Member, July 2010 - June 2018; GuideStone Financial Resources - Chairman of the Audit Committee, July 2013 - June 2018; GuideStone Capital Management, LLC, Board of Directors Member, July 2011 - June 2018; GuideStone Capital Management, LLC - Chairman of the Board of Directors, July 2013 - June 2018; GuideStone Investment Services - Chairman of the Board of Directors, May 2014 - June 2018; GuideStone Resource Management, Inc. - Chairman of the Board of Directors, May 2014 - June 2018. |
Table of Contents
Name, (Date of Birth), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee |
Franklin R. Morgan (1943) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2005 | Retired - Senior Vice President, Director of International Administration, Prudential Securities, Inc., 1960 - 2003. | 24 | None |
Kyle L. Tucker (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2013 | Vice President and Financial Advisor, CAPTRUST Financial Advisors, 2006 - present. | 24 | Fellowship of Christian Athletes (NC) Triangle Board, 2012 – 2015; NC Values Coalition Board, 2015 - present; Institute for Faith and Family, 2015 - present; College Golf Fellowship, 2012 - present. |
INTERESTED TRUSTEES3 | ||||
Randall T. Hahn, D.Min. (1965) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2018 | Senior Pastor, The Heights Baptist Church, 2002 - present. | 24 | GuideStone Financial Resources – Board of Trustees Member, June 2015 – present. |
John R. Morris (1938) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2017 | Vice President and Broker-in-Charge, Hound Ears Club, Inc., 2010 - 2018. | 24 | GuideStone Financial Resources – Chairman, June 2018 - present; GuideStone Financial Resources - Board of Trustees Member, June 2012 - present; GuideStone Capital Management, LLC, Board of Directors Member, May 2014 - present; GuideStone Investment Services, Board of Directors Member, July 2012 - present; GuideStone Resource Management, Inc., Board of Directors Member, May 2014 - present. |
OFFICERS WHO ARE NOT TRUSTEES4 | ||||
Ron W. Bass (1966) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Chief Compliance Officer and AML Officer | Since 2009 | Director of Asset Management Compliance, GuideStone Financial Resources, June 2009 – present. | N/A | N/A |
Melanie Childers (1971) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President – Fund Operations | Since 2014 | Managing Director, Fund Operations, GuideStone Financial Resources, 2014 - present; Director, Funds Administration and Operations, GuideStone Financial Resources, 2009 - 2014. | N/A | N/A |
John R. Jones (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 President | Since 2000 | Executive Vice President and Chief Operating Officer, GuideStone Financial Resources, 1997 - present. | N/A | N/A |
Patrick Pattison (1974) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Treasurer | Since 2008 | Chief Accounting Officer, GuideStone Financial Resources, 2015 - present; Director of Financial Reporting & Process Review, GuideStone Financial Resources, 2008 - 2015. | N/A | N/A |
Matt L. Peden (1967) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Investment Officer | Since 2001 | Vice President and Chief Investment Officer, GuideStone Financial Resources, 2015 - present; Director of Portfolio Management, GuideStone Financial Resources, 2010 - 2015. | N/A | N/A |
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Name, (Date of Birth), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee |
Matthew A. Wolfe (1982) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Chief Legal Officer and Secretary | Since 2017 | Associate Counsel - Investment and Corporate Services, GuideStone Financial Resources, 2015 - present; Vice President and Assistant General Counsel, Goldman Sachs & Co., 2012 - 2015. | N/A | N/A |
Erin Wynne (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Financial Officer | Since 2016 | Director, Financial Reporting & Analysis, GuideStone Financial Resources, 2015 - present; Manager, Financial Reporting & Analysis, GuideStone Financial Resources, 2010 - 2015. | N/A | N/A |
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Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Money Market | BlackRock Advisors, LLC | 1994 | $6.0Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1988 | $6.0Tr | |||
Pacific Investment Management Company LLC | 1971 | $1.7Tr | ||||
Payden & Rygel | 1983 | $111.5B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $1.3Tr | |||
Pacific Investment Management Company LLC | 1971 | $1.7Tr | ||||
Western Asset Management Company and Western Asset Management Company Limited | 1971 | $429.1B | ||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $249.7B | |||
Schroder Investment Management North America Inc.(1) | 1804 | $112.2B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $249.7B | |||
Western Asset Management Company and Western Asset Management Company Limited | 1971 | $429.1B | ||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $149.5B | |||
AQR Capital Management, LLC | 1998 | $196.0B | ||||
Parametric Portfolio Associates LLC | 1992 | $226.7B | ||||
Shenkman Capital Management, Inc. | 1985 | $25.2B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $175.1B | |||
Value Equity | AJO, LP | 1984 | $19.8B | |||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $71.9B | ||||
Legal & General Investment Management America, Inc. | 2006 | $175.1B | ||||
TCW Investment Management Company LLC | 1971 | $191.0B | ||||
Growth Equity | Brown Advisory, LLC | 1993 | $30.4B | |||
ClearBridge Investments, LLC | 2005 | $125.5B | ||||
Loomis, Sayles & Company, L.P. | 1926 | $249.7B | ||||
Sands Capital Management, LLC | 1992 | $35.4B | ||||
Small Cap Equity | AJO, LP | 1984 | $19.8B | |||
Delaware Investments Fund Advisers | 1929 | $234.5B | ||||
Jacobs Levy Equity Management, Inc. | 1986 | $7.4B | ||||
TimesSquare Capital Management, LLC | 2000 | $14.5B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $175.1B | |||
International Equity | AQR Capital Management, LLC | 1998 | $196.0B | |||
Baillie Gifford Overseas Limited | 1983 | $220.7B | ||||
Harris Associates L.P. | 1976 | $108.0B | ||||
MFS Institutional Advisors, Inc. | 1970 | $426.6B | ||||
Mondrian Investment Partners Ltd. | 1990 | $47.8B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $196.0B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $1.3Tr | ||||
Wellington Management Company LLP | 1928 | $1.0Tr | ||||
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Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Global Real Estate Securities | Heitman Real Estate Securities, LLC, Heitman International Real Estate Securities GmbH and Heitman International Real Estate Securities HK Limited | 1989 | $41.7B | |||
RREEF America L.L.C., DWS Investments Australia Limited and DWS Alternatives Global Limited(1) | 1975 | $61.6B | ||||
Strategic Alternatives | Allianz Global Investors U.S. LLC | 1895 | $113.2B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $1.3Tr | ||||
Neuberger Berman Investment Advisers LLC | 2002 | $304.1B | ||||
Parametric Portfolio Associates LLC | 1992 | $226.7B | ||||
Perella Weinberg Partners Capital Management LP(2) | 2006 | $13.9B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $7.6Tr | |||
Cash Overlay for Target Date, Asset Allocation, Fixed Income, Equity and Real Asset Funds | Parametric Portfolio Associates LLC | 1992 | $226.7B |
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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 Grady R. Hazel 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 ofForm 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 $687,300 and $694,000 for 2017 and 2018, respectively. |
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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 $0 and $0 for 2017 and 2018, respectively. |
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 $131,320 and $131,000 for 2017 and 2018, respectively. Tax fees are related to tax services in connection with Funds’ excise tax calculations and review of the Funds’ applicable tax returns. |
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 $96,750 and $0 for 2017 and 2018, respectively. |
(e)(1) | Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X. |
GuideStone
Non-Audit Services Provided to the Company, Advisor, and Others
The Audit Committee shallpre-approve all permissiblenon-audit services (e.g., tax services) tobe provided to the Company by the Auditors, including the fees therefor;provided, that if the Committee chooses to delegate the authority to grantpre-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 suchpre-approvals; and,further provided, that each delegatedpre-approval shall be reported to the Committee during its next regularly scheduled meeting.
Thepre-approval requirement for a permittednon-audit service may be waived if:
(1) | the aggregate amount of all suchnon-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 thenon-audit services are provided; |
(2) | such services were not recognized by the Company at the time of the engagement to benon-audit services; and |
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(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 Rule2-01 of RegulationS-X, the Audit Committee shallpre-approve their engagements fornon-audit services with:
(1) | the Advisor (excluding any subadviser whose role is primarily portfolio management and issub-contracted or overseen by the Advisor), and |
(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 bepre-approved by the Audit Committee pursuant to this paragraph (in the absence of this exception). The Auditors may not perform contemporaneously any prohibitednon-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, orcontribution-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 Rule2-01 of RegulationS-X are as follows: |
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(b) | Not applicable |
(c) | 100% |
(d) | 100% |
(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 aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-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 adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 and $0 for 2017 and 2018, respectively. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including anysub-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 notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-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 forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
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Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-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 Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-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 Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the registrant’s last 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. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of Ethics, or any amendment hereto, that is the subject of disclosure required by Item 2 is incorporated herein by reference to Exhibit 13(a)(1) to the report filed on Formn-CSR on March 8, 2017 (accession Number0001193125-17-074159). |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | GuideStone Funds |
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(Principal Executive Officer) |
Date | March 8, 2019 |
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 | March 8, 2019 |
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) |
Date | March 8, 2019 |
* | Print the name and title of each signing officer under his or her signature. |